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: 11/30/20
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, 2020
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, 2020
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, 2020. 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, 2020, the Fund returned 17.09%, 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 19.41% over the same period.
The trailing twelve-month period was characterized by several market-moving
events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending,
1
individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress
with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the conclusion of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as, in our view, it lessened the likelihood of an increase in taxes or regulatory policies.
2
Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity.” Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by the end of December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
The Fund is a “fund of funds” that invests in affiliated mutual funds managed by Lord Abbett. Under normal conditions, through the underlying funds, the Fund indirectly invests in fixed income securities of various types, select U.S. equity securities across all market capitalization ranges and all investment styles, and foreign (including emerging market) securities. The Fund tactically allocates among these asset classes in response to market conditions or to seek to capitalize on investment opportunities.
Over the period, the portfolio’s weightings in domestic large-cap value stocks within the Lord Abbett Fundamental Equity Fund was the largest detractor from performance, as the global pandemic caused stocks within cyclical industries to underperform relative to the Russell 1000® Index. In addition, despite high yield and core fixed income asset classes generating positive returns over the period, the portfolio’s allocation to high yield corporate bonds within the Lord Abbett High Yield Fund was another notable detractor from performance relative to the Russell 1000® Index, as below investment grade bonds underperformed equities over the period.
The portfolio’s weightings in domestic mid- and large-cap growth stocks within the Lord Abbett Growth Leaders Fund, the Lord Abbett Durable Growth Fund, and the Lord Abbett Growth Opportunities Fund were the largest contributors to relative performance over the period, as secular-growth and innovation-oriented stocks outperformed cyclical industries throughout both the severe bear market in March 2020 and the subsequent recovery. The portfolio’s allocation to convertible bonds within the Lord Abbett Convertible Fund also contributed to relative performance, as the asset class outperformed the U.S. equity market, benefiting from downside protection throughout the selloff, and deep exposure to secular growth industries.
3
Lord Abbett Multi-Asset Income Fund
For the fiscal year ended November 30, 2020, the Fund returned 12.33%, 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 Index3, which returned 7.28% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment
4
soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the conclusion of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as, in our view, it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity.” Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with
the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by the end of December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
The Fund is a “fund of funds” that invests in affiliated mutual funds managed by Lord Abbett. Under normal conditions, through the underlying funds, the Fund indirectly invests in fixed income securities of various types, select U.S. equity securities across all market capitalization ranges and all investment styles, and foreign (including emerging market) securities. The Fund tactically allocates among these asset classes in response to market conditions or to seek to capitalize on investment opportunities.
Over the period, the portfolio’s weightings in domestic mid- and large-cap growth stocks within the Lord Abbett Growth Leaders Fund, the Lord Abbett Durable Growth Fund, and the Lord Abbett Growth Opportunities Fund were the largest contributors to relative performance, as secular-growth and innovation-oriented stocks
5
outperformed cyclical industries throughout both the severe bear market in March 2020 and the subsequent recovery. The portfolio’s allocation to convertible bonds within the Lord Abbett Convertible Fund was another notable contributor to relative performance, as the asset class outperformed the U.S. equity market, benefiting from downside protection throughout the selloff, and deep exposure to secular growth industries throughout the subsequent recovery.
The portfolio’s weightings in intermediate term municipal bonds within the Lord Abbett Intermediate Tax-Free Fund was the primary detractor from relative performance over the period, as
municipal bonds generally underperformed U.S. Treasury bonds across all maturities. In addition, the portfolio’s weightings in domestics large-cap value stocks within the Lord Abbett Fundamental Equity Fund also detracted from performance, as the global pandemic caused stocks within cyclical industries to underperform relative to the Bloomberg Barclays U.S. Aggregate Bond Index.
Each Fund’s portfolio is actively managed and, therefore, 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 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 Bloomberg Barclays U.S. Aggregate Bond Index is 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.
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 Funds’ 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, 2020. 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’ portfolios are 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
6
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.
7
Multi-Asset Balanced Opportunity Fund
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.
8
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2020
1 Year | 5 Year | 10 Year | Life of Class | ||||||
Class A4 | 14.42% | 8.16% | 7.64% | – | |||||
Class C5 | 15.17% | 7.85% | 7.09% | – | |||||
Class F6 | 17.26% | 8.83% | 8.06% | – | |||||
Class F37 | 17.47% | – | – | 8.78% | |||||
Class I6 | 17.29% | 8.90% | 8.14% | – | |||||
Class P6 | 16.86% | 8.42% | 7.67% | – | |||||
Class R26 | 16.58% | 8.26% | 7.50% | – | |||||
Class R36 | 16.74% | 8.39% | 7.62% | – | |||||
Class R48 | 17.09% | 8.66% | – | 7.03% | |||||
Class R58 | 17.34% | 8.94% | – | 7.30% | |||||
Class R68 | 17.48% | 8.97% | – | 7.34% |
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 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, 2020, 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
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 U.S. Aggregate Bond 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.
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Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2020
1 Year | 5 Year | 10 Year | Life of Class | ||||||
Class A4 | 9.77% | 6.45% | 6.07% | – | |||||
Class C5 | 10.46% | 6.14% | 5.53% | – | |||||
Class F6 | 12.49% | 7.12% | 6.48% | – | |||||
Class F37 | 12.68% | – | – | 6.99% | |||||
Class I6 | 12.61% | 7.21% | 6.58% | – | |||||
Class R26 | 11.97% | 6.57% | 5.95% | – | |||||
Class R36 | 12.04% | 6.68% | 6.05% | – | |||||
Class R48 | 12.33% | 6.96% | – | 5.68% | |||||
Class R58 | 12.61% | 7.22% | – | 5.94% | |||||
Class R68 | 12.68% | 7.28% | – | 5.99% |
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 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, 2020, 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. |
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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, 2020 through November 30, 2020).
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 6/1/20 – 11/30/20” 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.
12
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 | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period†# | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,203.60 | $ | 2.81 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.45 | $ | 2.58 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,199.00 | $ | 6.93 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.70 | $ | 6.36 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,204.40 | $ | 1.98 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.20 | $ | 1.82 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,205.70 | $ | 0.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,024.10 | $ | 0.91 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,204.10 | $ | 1.43 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.70 | $ | 1.32 | ||||||
Class P | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,202.60 | $ | 3.91 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.45 | $ | 3.59 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,201.00 | $ | 4.73 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.70 | $ | 4.34 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,201.60 | $ | 4.18 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.20 | $ | 3.84 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,203.60 | $ | 2.81 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.45 | $ | 2.58 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,205.70 | $ | 1.43 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.70 | $ | 1.32 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,205.90 | $ | 0.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,024.10 | $ | 0.91 |
† | 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, 0.18% 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 0.18% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (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, 2020
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 3.98 | % | ||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 2.88 | % | ||
Lord Abbett Securities Trust-Durable Growth Fund-Class I | 5.50 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 7.42 | % | ||
Lord Abbett Investment Trust-Floating Rate Fund-Class I | 1.95 | % | ||
Lord Abbett Securities Trust-Focused Large Cap Value Fund-Class I | 17.44 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 8.05 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 13.29 | % | ||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 5.62 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 14.19 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 2.70 | % | ||
Lord Abbett Municipal Income Fund, Inc.-Intermediate Tax-Free Fund-Class I | 1.55 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 5.29 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 5.64 | % | ||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 4.50 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments of Underlying Funds. |
14
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 | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period†# | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,156.60 | $ | 2.64 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.55 | $ | 2.48 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,151.70 | $ | 6.67 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.80 | $ | 6.26 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,157.40 | $ | 1.83 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.30 | $ | 1.72 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,158.10 | $ | 0.97 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,024.10 | $ | 0.91 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,157.50 | $ | 1.29 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.80 | $ | 1.21 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,154.20 | $ | 4.58 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.75 | $ | 4.29 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,155.20 | $ | 3.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.30 | $ | 3.74 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,156.60 | $ | 2.70 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.50 | $ | 2.53 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,157.50 | $ | 1.29 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.80 | $ | 1.21 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,158.10 | $ | 0.97 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,024.10 | $ | 0.91 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.49% for Class A, 1.24% for Class C, 0.34% for Class F, 0.18% for Class F3, 0.24% for Class I, 0.85% for Class R2, 0.74% for Class R3, 0.50% for Class R4, 0.24% for Class R5 and 0.18% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Income Fund invests. |
15
Portfolio Holdings Presented by Portfolio Allocation
November 30, 2020
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 3.10 | % | ||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 12.45 | % | ||
Lord Abbett Securities Trust-Durable Growth Fund-Class I | 3.49 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 7.08 | % | ||
Lord Abbett Investment Trust-Floating Rate Fund-Class I | 1.97 | % | ||
Lord Abbett Securities Trust- Focused Large Cap Value Fund-Class I | 13.57 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 3.90 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 8.36 | % | ||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 3.63 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 15.35 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 5.07 | % | ||
Lord Abbett Municipal Income Fund, Inc.-Intermediate Tax-Free Fund-Class I | 7.88 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 5.48 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 5.66 | % | ||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 3.01 | % | ||
Total | 100.00 | % |
* | Represent percent of total investments of Underlying Funds. |
16
MULTI-ASSET BALANCED OPPORTUNITY FUND November 30, 2020
Investments | Shares | Fair Value (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b) 99.70% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 4,849,827 | $ | 100,197 | |||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 6,203,078 | 72,452 | ||||||
Lord Abbett Securities Trust-Durable Growth Fund-Class I(e) | 6,753,316 | 138,511 | ||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(f) | 35,858,964 | 186,825 | ||||||
Lord Abbett Investment Trust-Floating Rate Fund-Class I(g) | 5,983,423 | 49,064 | ||||||
Lord Abbett Securities Trust- Focused Large Cap Value Fund-Class I(h) | 30,141,295 | 438,857 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(i) | 17,248,686 | 202,672 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I(e) | 7,558,854 | 334,404 | ||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(e) | 3,802,916 | 141,507 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(j) | 48,656,396 | 357,138 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(k) | 5,987,254 | 67,895 | ||||||
Lord Abbett Municipal Income Fund, Inc.-Intermediate Tax-Free Fund-Class I(l) | 3,468,744 | 39,023 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(h) | 8,744,081 | 133,085 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(m) | 19,874,753 | 141,906 | ||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I*(n) | 4,060,558 | 113,249 | ||||||
Total Investments in Underlying Funds (cost $2,216,498,488) | 2,516,785 | |||||||
OPTIONS PURCHASED 0.54% (cost $59,873,243) | 13,599 | |||||||
Principal Amount (000) | ||||||||
SHORT-TERM INVESTMENT 0.12% | ||||||||
REPURCHASE AGREEMENT 0.12% | ||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $2,986,100 of U.S. Treasury Note at 1.375% due 10/15/2022; value: $3,059,175; proceeds: $2,999,163 (cost $2,999,163) | $2,999 | 2,999 | ||||||
Total Investments in Securities 100.36% (cost $2,279,370,894) | 2,533,383 | |||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(o) (0.36%) | (9,035 | ) | ||||||
Net Assets 100.00% | $ | 2,524,348 |
* | 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. |
See Notes to Financial Statements. | 17 |
Schedule of Investments (continued)
MULTI-ASSET BALANCED OPPORTUNITY FUND November 30, 2020
(e) | Fund investment objective is to seek capital appreciation. | |
(f) | Fund investment objective is to seek high total return. | |
(g) | Fund investment objective is to seek a high level of current income. | |
(h) | Fund investment objective is to seek long-term capital appreciation. | |
(i) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(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 the maximum amount of interest income exempt from federal income tax as is consistent with reasonable risk. | |
(m) | Fund investment objective is to seek a high level of total return. | |
(n) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. | |
(o) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts, purchased options, written options and swaps as follows: |
OTC Options Purchased at November 30, 2020:
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value (000) | ||||||||||||||||
EUR vs JPY, Put | Credit Suisse | 62,500,000 | 12/4/2020 | $ | 112 | $62,500,000 | $ | – | (a) | |||||||||||||
EUR vs JPY, Put | Credit Suisse | 75,000,000 | 12/9/2020 | 111 | 75,000,000 | – | (a) | |||||||||||||||
EUR vs JPY, Put | Goldman Sachs | 75,000,000 | 12/18/2020 | 112 | 75,000,000 | – | (a) | |||||||||||||||
EUR vs JPY, Put | UBS | 75,000,000 | 2/12/2021 | 111 | 75,000,000 | 16 | ||||||||||||||||
S&P 500 Index, Put | Citibank | 98,000 | 2/19/2021 | 3,060 | 98,000 | 2,556 | ||||||||||||||||
S&P 500 Index, Put | Citibank | 47,032 | 3/19/2021 | 3,000 | 47,032 | 1,612 | ||||||||||||||||
S&P 500 Index, Put | JPMorgan | 99,971 | 3/19/2021 | 3,000 | 99,971 | 3,426 | ||||||||||||||||
S&P 500 Index, Put | JPMorgan | 102,480 | 3/19/2021 | 3,000 | 102,480 | 3,512 | ||||||||||||||||
S&P 500 Index, Put | UBS | 95,000 | 2/19/2021 | 3,060 | 95,000 | 2,477 | ||||||||||||||||
Total OTC Options Purchased | $ | 13,599 |
(a) | Amount is less than $1,000. |
Open OTC Written Options at November 30, 2020:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums (Received) | Unrealized Appreciation | ||||||||||||||||||||
EUR vs JPY, Put | Credit Suisse | $ 109 | 12/4/2020 | 62,500,000 | $ | (62,500,000 | ) | $ | (75 | ) | $ | (750,798 | ) | $ | 750,723 | |||||||||||||
EUR vs JPY, Put | Credit Suisse | 108 | 12/9/2020 | 75,000,000 | (75,000,000 | ) | (89 | ) | (1,039,842 | ) | 1,039,753 | |||||||||||||||||
EUR vs JPY, Put | Goldman Sachs | 109 | 12/18/2020 | 75,000,000 | (75,000,000 | ) | (89 | ) | (1,042,189 | ) | 1,042,100 | |||||||||||||||||
EUR vs JPY, Put | UBS | 108 | 2/12/2021 | 75,000,000 | (75,000,000 | ) | (7,426 | ) | (1,167,209 | ) | 1,159,783 | |||||||||||||||||
S&P 500 Index, Put | Citibank | 2,720 | 2/19/2021 | 98,000 | (98,000 | ) | (995,469 | ) | (5,287,100 | ) | 4,291,631 | |||||||||||||||||
S&P 500 Index, Put | Citibank | 2,665 | 3/19/2021 | 47,032 | (47,032 | ) | (704,867 | ) | (3,429,103 | ) | 2,724,236 | |||||||||||||||||
S&P 500 Index, Put | JPMorgan | 2,665 | 3/19/2021 | 99,971 | (99,971 | ) | (1,498,261 | ) | (7,037,958 | ) | 5,539,697 | |||||||||||||||||
S&P 500 Index, Put | JPMorgan | 2,665 | 3/19/2021 | 102,480 | (102,480 | ) | (1,535,864 | ) | (6,474,738 | ) | 4,938,874 | |||||||||||||||||
S&P 500 Index, Put | UBS | 2,720 | 2/19/2021 | 95,000 | (95,000 | ) | (964,995 | ) | (5,225,000 | ) | 4,260,005 | |||||||||||||||||
Total OTC Written Options | $ | (5,707,135 | ) | $ | (31,453,937 | ) | $ | 25,746,802 | ||||||||||||||||||||
18 | See Notes to Financial Statements. |
Schedule of Investments (continued)
MULTI-ASSET BALANCED OPPORTUNITY FUND November 30, 2020
Open Total Return Swap Contracts at November 30, 2020:
Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
Goldman Sachs | RU10VATR | 3 Mo. LIBOR + 0.23% | 40,128 | Long | 5/12/2021 | $ 70,350,371 | $ 71,534,666 | $1,184,295 | ||||||||||||||
Swap Counterparty | Referenced Index** | Referenced Spread | Units | Position | Termination Date | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
Goldman Sachs | RU10GRTR | 3 Mo. LIBOR + 0.21% | 30,412 | Short | 5/12/2021 | $(70,350,458 | ) | $(70,462,228 | ) | $ (111,770 | ) |
* | Russell 1000 Value Total Return Index. | |
** | Russell 1000 Growth Total Return Index. |
LIBOR | London Interbank Offered Rate. |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Goldman Sachs | 12/22/2020 | 4,000,000 | $4,317,799 | $4,774,521 | $ | 456,722 | ||||||||||||||
Japanese yen | Buy | Standard Chartered Bank | 12/22/2020 | 467,120,000 | 4,386,309 | 4,476,337 | 90,028 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 546,750 | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
Euro | Sell | Standard Chartered Bank | 12/22/2020 | 4,000,000 | $4,386,309 | $4,774,521 | $ | (388,212 | ) | |||||||||||||
Japanese yen | Sell | Goldman Sachs | 12/22/2020 | 467,208,800 | 4,317,799 | 4,477,188 | (159,389 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (547,601 | ) |
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
Nikkei 225 | December 2020 | 681 | Long | $85,569,357 | $89,602,575 | $ | 4,033,218 | |||||||||||||
Ultra Long U.S. Treasury Bond | March 2021 | 410 | Long | 87,968,009 | 88,572,812 | 604,803 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 4,638,021 |
See Notes to Financial Statements. | 19 |
Schedule of Investments (concluded)
MULTI-ASSET BALANCED OPPORTUNITY FUND November 30, 2020
The following is a summary of the inputs used as of November 30, 2020 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 | $ | 2,516,785 | $ | – | $ | – | $ | 2,516,785 | ||||||||
OTC Options Purchased | – | 13,599 | – | 13,599 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 2,999 | – | 2,999 | ||||||||||||
Total | $ | 2,516,785 | $ | 16,598 | $ | – | $ | 2,533,383 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 547 | $ | – | $ | 547 | ||||||||
Liabilities | – | (548 | ) | – | (548 | ) | ||||||||||
OTC Written Options | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (5,707 | ) | – | (5,707 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 4,638 | – | – | 4,638 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | – | 1,184 | – | 1,184 | ||||||||||||
Liabilities | – | (112 | ) | – | (112 | ) | ||||||||||
Total | $ | 4,638 | $ | (4,636 | ) | $ | – | $ | 2 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
20 | See Notes to Financial Statements. |
Schedule of Investments
MULTI-ASSET INCOME FUND November 30, 2020
Investments | Shares | Fair Value (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b) 99.83% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 1,815,501 | $ | 37,508 | |||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 12,901,486 | 150,689 | ||||||
Lord Abbett Securities Trust-Durable Growth Fund-Class I(e) | 2,061,138 | 42,274 | ||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(f) | 16,438,509 | 85,645 | ||||||
Lord Abbett Investment Trust-Floating Rate Fund-Class I(g) | 2,903,249 | 23,807 | ||||||
Lord Abbett Securities Trust- Focused Large Cap Value Fund-Class I(h) | 11,276,756 | 164,189 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(i) | 4,013,843 | 47,163 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I(e) | 2,288,463 | 101,242 | ||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(e) | 1,180,729 | 43,935 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(j) | 25,319,619 | 185,846 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(k) | 5,415,298 | 61,409 | ||||||
Lord Abbett Municipal Income Fund, Inc.-Intermediate Tax-Free Fund-Class I(l) | 8,476,939 | 95,365 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(h) | 4,354,249 | 66,272 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(m) | 9,593,320 | 68,496 | ||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I*(n) | 1,308,098 | 36,483 | ||||||
Total Investments in Underlying Funds (cost $1,105,148,193) | 1,210,323 | |||||||
OPTIONS PURCHASED 0.40% (cost $24,886,805) | 4,906 | |||||||
Principal Amount (000) | ||||||||
SHORT-TERM INVESTMENT 0.07% | ||||||||
REPURCHASE AGREEMENT | ||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $835,800 of U.S. Treasury Inflation Index Note at 0.125% due 11/30/2022; value: $835,343; proceeds: $818,947 (cost $818,947) | $819 | 819 | ||||||
Total Investments in Securities 100.30% (cost $1,130,853,945) | 1,216,048 | |||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(o) (0.30%) | (3,629 | ) | ||||||
Net Assets 100.00% | $ | 1,212,419 |
* | 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 capital appreciation. | |
(f) | Fund investment objective is to seek high total return. |
See Notes to Financial Statements. | 21 |
Schedule of Investments (continued)
MULTI-ASSET INCOME FUND November 30, 2020
(g) | Fund investment objective is to seek a high level of current income. | |
(h) | Fund investment objective is to seek long-term capital appreciation. | |
(i) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(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 the maximum amount of interest income exempt from federal income tax as is consistent with reasonable risk. | |
(m) | Fund investment objective is to seek a high level of total return. | |
(n) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. | |
(o) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts, purchased options, written options and swaps as follows: |
OTC Options Purchased at November 30, 2020:
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value (000) | ||||||||||||||||
EUR vs JPY, Put | Credit Suisse | 62,500,000 | 12/4/20 | $ | 112 | $62,500,000 | $ | – | (a) | |||||||||||||
EUR vs JPY, Put | Credit Suisse | 75,000,000 | 12/9/20 | 111 | 75,000,000 | – | (a) | |||||||||||||||
EUR vs JPY, Put | Goldman Sachs | 75,000,000 | 12/18/20 | 112 | 75,000,000 | – | (a) | |||||||||||||||
EUR vs JPY, Put | UBS | 75,000,000 | 2/12/21 | 111 | 75,000,000 | 16 | ||||||||||||||||
S&P 500 Index, Put | Citibank | 42,000 | 2/19/21 | 3,060 | 42,000 | 1,095 | ||||||||||||||||
S&P 500 Index, Put | Citibank | 20,156 | 3/19/21 | 3,000 | 20,156 | 691 | ||||||||||||||||
S&P 500 Index, Put | JPMorgan | 37,520 | 3/19/21 | 3,000 | 37,520 | 1,286 | ||||||||||||||||
S&P 500 Index, Put | JPMorgan | 49,239 | 3/19/21 | 3,000 | 49,239 | 1,687 | ||||||||||||||||
S&P 500 Index, Put | UBS | 5,000 | 2/19/21 | 3,060 | 5,000 | 131 | ||||||||||||||||
Total OTC Options Purchased | $ | 4,906 |
(a) | Amount is less than $1,000. |
Open OTC Written Options at November 30, 2020:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums (Received) | Unrealized Appreciation | ||||||||||||||||||||
EUR vs JPY, Put | Credit Suisse | $ 109 | 12/4/20 | 62,500,000 | $ | (62,500,000 | ) | $ | (75 | ) | $ | (750,798 | ) | $ | 750,723 | |||||||||||||
EUR vs JPY, Put | Credit Suisse | 108 | 12/9/20 | 75,000,000 | (75,000,000 | ) | (89 | ) | (1,039,842 | ) | 1,039,753 | |||||||||||||||||
EUR vs JPY, Put | Goldman Sachs | 109 | 12/18/20 | 75,000,000 | (75,000,000 | ) | (89 | ) | (1,042,189 | ) | 1,042,100 | |||||||||||||||||
EUR vs JPY, Put | UBS | 108 | 2/12/21 | 75,000,000 | (75,000,000 | ) | (7,425 | ) | (1,167,209 | ) | 1,159,784 | |||||||||||||||||
S&P 500 Index, Put | Citibank | 2,720 | 2/19/21 | 42,000 | (42,000 | ) | (426,630 | ) | (2,265,900 | ) | 1,839,270 | |||||||||||||||||
S&P 500 Index, Put | Citibank | 2,665 | 3/19/21 | 20,156 | (20,156 | ) | (302,077 | ) | (1,469,574 | ) | 1,167,497 | |||||||||||||||||
S&P 500 Index, Put | JPMorgan | 2,665 | 3/19/21 | 37,520 | (37,520 | ) | (562,311 | ) | (2,370,532 | ) | 1,808,221 | |||||||||||||||||
S&P 500 Index, Put | JPMorgan | 2,665 | 3/19/21 | 49,239 | (49,239 | ) | (737,943 | ) | (3,466,426 | ) | 2,728,483 | |||||||||||||||||
S&P 500 Index, Put | UBS | 2,720 | 2/19/21 | 5,000 | (5,000 | ) | (50,789 | ) | (275,000 | ) | 224,211 | |||||||||||||||||
Total OTC Written Options | $ | (2,087,428 | ) | $ | (13,847,470 | ) | $ | 11,760,042 | ||||||||||||||||||||
22 | See Notes to Financial Statements. |
Schedule of Investments (continued)
MULTI-ASSET INCOME FUND November 30, 2020
Open Total Return Swap Contracts at November 30, 2020:
Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
Goldman Sachs | RU10VATR | 3 Mo. LIBOR + .23% | 19,764 | Long | 5/12/2021 | $ 34,649,241 | $ 35,232,535 | $ | 583,294 | |||||||||||||
Swap Counterparty | Referenced Index** | Referenced Spread | Units | Position | Termination Date | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
Goldman Sachs | RU10GRTR | 3 Mo. LIBOR + .21% | 14,979 | Short | 5/12/2021 | $(34,650,122 | ) | $(34,705,173 | ) | $ | (55,051 | ) |
* | Russell 1000 Value Total Return Index. | |
** | Russell 1000 Growth Total Return Index. |
LIBOR | London Interbank Offered Rate. |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Goldman Sachs | 12/22/2020 | 4,000,000 | $4,317,799 | $4,774,521 | $ | 456,722 | ||||||||||||||
Japanese yen | Buy | Standard Chartered Bank | 12/22/2020 | 467,120,000 | 4,386,309 | 4,476,337 | 90,028 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 546,750 | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
Euro | Sell | Standard Chartered Bank | 12/22/2020 | 4,000,000 | $4,386,309 | $4,774,521 | $ | (388,212 | ) | |||||||||||||
Japanese yen | Sell | Goldman Sachs | 12/22/2020 | 467,208,800 | 4,317,799 | 4,477,188 | (159,389 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (547,601 | ) |
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
Nikkei 225 | December 2020 | 234 | Long | $30,044,168 | $30,788,550 | $ | 744,382 | |||||||||||||
Ultra Long U.S. Treasury Bond | March 2021 | 201 | Long | 43,125,780 | 43,422,281 | 296,501 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 1,040,883 |
See Notes to Financial Statements. | 23 |
Schedule of Investments (concluded)
MULTI-ASSET INCOME FUND November 30, 2020
The following is a summary of the inputs used as of November 30, 2020 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 | $ | 1,210,323 | $ | – | $ | – | $ | 1,210,323 | ||||||||
OTC Options Purchased | – | 4,906 | – | 4,906 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 819 | – | 819 | ||||||||||||
Total | $ | 1,210,323 | $ | 5,725 | $ | – | $ | 1,216,048 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 547 | $ | – | $ | 547 | ||||||||
Liabilities | – | (548 | ) | – | (548 | ) | ||||||||||
OTC Written Options | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (2,087 | ) | – | (2,087 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,041 | – | – | 1,041 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | – | 583 | – | 583 | ||||||||||||
Liabilities | – | (55 | ) | – | (55 | ) | ||||||||||
Total | $ | 1,041 | $ | (1,560 | ) | $ | – | $ | (519 | ) |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
24 | See Notes to Financial Statements. |
Statements of Assets and Liabilities
November 30, 2020
Multi-Asset | ||||||||
Balanced | ||||||||
Opportunity | Multi-Asset | |||||||
Fund | Income Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 62,872,406 | $ | 25,705,752 | ||||
Investments in Underlying Funds, at cost | 2,216,498,488 | 1,105,148,193 | ||||||
Investments in securities, at value | $ | 16,598,023 | $ | 5,724,822 | ||||
Investments in Underlying Funds, at value | 2,516,785,074 | 1,210,323,460 | ||||||
Cash | 420,000 | 420,000 | ||||||
Deposits with brokers for futures collateral | 8,674,500 | 3,503,700 | ||||||
Deposits with brokers for forwards, options and swaps collateral | 19,838,616 | 7,312,780 | ||||||
Foreign cash, at value (cost $2,632 and $2,209, respectively) | 2,630 | 2,184 | ||||||
Receivables: | ||||||||
Interest and dividends | 2,740,059 | 1,785,066 | ||||||
Capital shares sold | 943,961 | 953,554 | ||||||
Premiums for OTC written options sold | 31,855,503 | 14,249,035 | ||||||
Total return swap, at fair value | 1,184,295 | 583,294 | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | 546,750 | 546,750 | ||||||
Prepaid expenses and other assets | 71,907 | 60,545 | ||||||
Total assets | 2,599,661,318 | 1,245,465,190 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investments in Underlying Funds purchased | 3,801,345 | 1,983,959 | ||||||
Premiums for options purchased | 60,441,041 | 25,454,604 | ||||||
Variation margin for futures contracts | 1,665,613 | 582,865 | ||||||
Capital shares reacquired | 1,427,957 | 788,156 | ||||||
12b-1 distribution plan | 505,472 | 358,787 | ||||||
Trustees’ fees | 409,516 | 173,290 | ||||||
Management fee | 201,756 | 97,512 | ||||||
Fund administration | 80,702 | 39,007 | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | 547,601 | 547,601 | ||||||
Total return swap, at fair value | 111,770 | 55,051 | ||||||
Options written outstanding, at value (including premiums received of $31,453,937 and $13,847,470, respectively) (See Note 2) | 5,707,135 | 2,087,428 | ||||||
Accrued expenses and other liabilities | 413,577 | 877,710 | ||||||
Total liabilities | 75,313,485 | 33,045,970 | ||||||
Commitments and contingent liabilities | ||||||||
NET ASSETS | $ | 2,524,347,833 | $ | 1,212,419,220 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 2,221,767,550 | $ | 1,236,749,052 | ||||
Total distributable earnings (loss) | 302,580,283 | (24,329,832 | ) | |||||
Net Assets | $ | 2,524,347,833 | $ | 1,212,419,220 | ||||
See Notes to Financial Statements. | 25 |
Statements of Assets and Liabilities (concluded)
November 30, 2020
Multi-Asset | ||||||||
Balanced | ||||||||
Opportunity | Multi-Asset | |||||||
Fund | Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 2,087,947,812 | $ | 745,462,438 | ||||
Class C Shares | $ | 254,522,523 | $ | 240,404,033 | ||||
Class F Shares | $ | 70,405,834 | $ | 165,707,439 | ||||
Class F3 Shares | $ | 74,607 | $ | 2,013,014 | ||||
Class I Shares | $ | 37,219,569 | $ | 35,613,131 | ||||
Class P Shares | $ | 724,501 | – | |||||
Class R2 Shares | $ | 594,120 | $ | 124,064 | ||||
Class R3 Shares | $ | 48,307,510 | $ | 19,030,966 | ||||
Class R4 Shares | $ | 13,893,472 | $ | 2,987,678 | ||||
Class R5 Shares | $ | 178,246 | $ | 46,610 | ||||
Class R6 Shares | $ | 10,479,639 | $ | 1,029,847 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest) | ||||||||
Class A Shares | 158,807,883 | 45,259,544 | ||||||
Class C Shares | 19,490,163 | 14,364,646 | ||||||
Class F Shares | 5,355,220 | 10,061,766 | ||||||
Class F3 Shares | 5,660 | 122,754 | ||||||
Class I Shares | 2,831,318 | 2,175,378 | ||||||
Class P Shares | 55,377 | – | ||||||
Class R2 Shares | 44,132 | 7,319 | ||||||
Class R3 Shares | 3,681,173 | 1,155,387 | ||||||
Class R4 Shares | 1,056,662 | 181,404 | ||||||
Class R5 Shares | 13,535 | 2,846 | ||||||
Class R6 Shares | 795,784 | 62,801 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $13.15 | $16.47 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $13.45 | $16.85 | ||||||
Class C Shares-Net asset value | $13.06 | $16.74 | ||||||
Class F Shares-Net asset value | $13.15 | $16.47 | ||||||
Class F3 Shares-Net asset value | $13.18 | $16.40 | ||||||
Class I Shares-Net asset value | $13.15 | $16.37 | ||||||
Class P Shares-Net asset value | $13.08 | – | ||||||
Class R2 Shares-Net asset value | $13.46 | $16.95 | ||||||
Class R3 Shares-Net asset value | $13.12 | $16.47 | ||||||
Class R4 Shares-Net asset value | $13.15 | $16.47 | ||||||
Class R5 Shares-Net asset value | $13.17 | $16.38 | ||||||
Class R6 Shares-Net asset value | $13.17 | $16.40 | ||||||
26 | See Notes to Financial Statements. |
For the Year Ended November 30, 2020
Multi-Asset | ||||||||
Balanced | ||||||||
Opportunity | Multi-Asset | |||||||
Fund | Income Fund | |||||||
Investment income: | ||||||||
Dividends received from underlying Funds | $ | 54,360,521 | $ | 31,768,775 | ||||
Interest and other | 5,684 | 2,179 | ||||||
Total investment income | 54,366,205 | 31,770,954 | ||||||
Expenses: | ||||||||
Management fee | 2,334,882 | 1,181,500 | ||||||
12b-1 distribution plan-Class A | 4,704,123 | 1,645,255 | ||||||
12b-1 distribution plan-Class C | 2,847,190 | 2,850,215 | ||||||
12b-1 distribution plan-Class F | 65,101 | 174,948 | ||||||
12b-1 distribution plan-Class P | 2,753 | – | ||||||
12b-1 distribution plan-Class R2 | 4,046 | 724 | ||||||
12b-1 distribution plan-Class R3 | 228,935 | 96,414 | ||||||
12b-1 distribution plan-Class R4 | 31,133 | 6,497 | ||||||
Shareholder servicing | 2,315,499 | 873,867 | ||||||
Fund administration | 933,953 | 472,600 | ||||||
Registration | 296,895 | 200,778 | ||||||
Reports to shareholders | 215,502 | 71,958 | ||||||
Trustees’ fees | 95,321 | 44,839 | ||||||
Professional | 74,739 | 39,317 | ||||||
Custody | 32,668 | 18,968 | ||||||
Other | 78,874 | 21,658 | ||||||
Gross expenses | 14,261,614 | 7,699,538 | ||||||
Expense reductions (See Note 9) | (22,485 | ) | (11,679 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (29,504 | ) | (17,118 | ) | ||||
Net expenses | 14,209,625 | 7,670,741 | ||||||
Net investment income | 40,156,580 | 24,100,213 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Capital gain distributions received from Underlying Funds | 86,475,454 | 31,334,183 | ||||||
Net realized gain (loss) on Investments in Underlying Funds | 9,512,911 | (193,068 | ) | |||||
Net realized gain (loss) on Investments | (7,235,778 | ) | (7,235,778 | ) | ||||
Net realized gain (loss) on futures contracts | (20,325,750 | ) | (13,428,315 | ) | ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 13,876 | (967,593 | ) | |||||
Net realized gain (loss) on OTC written options | 5,017,007 | 4,840,550 | ||||||
Net realized gain (loss) on swap contracts | (1,830,582 | ) | (1,054,777 | ) | ||||
Net realized gain (loss) on foreign currency related transactions | 701 | (42,411 | ) | |||||
Net change in unrealized appreciation/depreciation in Underlying Funds | 261,894,039 | 96,241,032 | ||||||
Net change in unrealized appreciation/depreciation on Investments | (46,274,383 | ) | (19,980,930 | ) | ||||
Net change in unrealized appreciation/depreciation on futures contracts | 4,044,092 | 739,910 | ||||||
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | (851 | ) | (851 | ) | ||||
Net change in unrealized appreciation/depreciation on OTC written options | 25,746,802 | 11,760,042 | ||||||
Net change in unrealized appreciation/depreciation on swap contracts | 3,199,183 | 1,637,804 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (166,234 | ) | (166,258 | ) | ||||
Net realized and unrealized gain (loss) | 320,070,487 | 103,483,540 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 360,227,067 | $ | 127,583,753 |
See Notes to Financial Statements. | 27 |
Statements of Changes in Net Assets
Multi-Asset Balanced Opportunity Fund | ||||||||
For the Year Ended | For the Year Ended | |||||||
INCREASE IN NET ASSETS | November 30, 2020 | November 30, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 40,156,580 | $ | 39,698,440 | ||||
Capital gain distributions received from Underlying Funds | 86,475,454 | 65,105,464 | ||||||
Net realized gain (loss) on investments in Underlying Funds | 9,512,911 | 437,166 | ||||||
Net realized gain (loss) on investments | (7,235,778 | ) | – | |||||
Net realized gain (loss) on futures contracts, OTC written options, forward foreign currency exchange contracts, swaps and foreign currency related transactions | (17,124,748 | ) | (20,870,547 | ) | ||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 261,894,039 | 84,277,520 | ||||||
Net change in unrealized appreciation/depreciation on Investments | (46,274,383 | ) | – | |||||
Net change in unrealized appreciation/depreciation on futures contracts, OTC written options, forward foreign currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 32,822,992 | (878,900 | ) | |||||
Net increase in net assets resulting from operations | 360,227,067 | 167,769,143 | ||||||
Distributions to shareholders: | ||||||||
Class A | (63,141,333 | ) | (83,733,540 | ) | ||||
Class C | (8,012,384 | ) | (13,318,023 | ) | ||||
Class F | (2,348,286 | ) | (3,275,707 | ) | ||||
Class F3 | (1,809 | ) | (1,117 | ) | ||||
Class I | (1,063,213 | ) | (1,067,541 | ) | ||||
Class P | (18,781 | ) | (32,915 | ) | ||||
Class R2 | (21,299 | ) | (25,153 | ) | ||||
Class R3 | (1,464,731 | ) | (1,867,955 | ) | ||||
Class R4 | (403,633 | ) | (385,003 | ) | ||||
Class R5 | (8,941 | ) | (8,254 | ) | ||||
Class R6 | (496,087 | ) | (425,636 | ) | ||||
Total distributions to shareholders | (76,980,497 | ) | (104,140,844 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 183,969,392 | 141,970,512 | ||||||
Net proceeds from reorganizations (See Note 15) | – | 1,171,902,740 | ||||||
Reinvestment of distributions | 75,069,227 | 101,774,992 | ||||||
Cost of shares reacquired | (514,582,678 | ) | (520,732,286 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | (255,544,059 | ) | 894,915,958 | |||||
Net increase in net assets | 27,702,511 | 958,544,257 | ||||||
NET ASSETS: | ||||||||
Beginning of year | $ | 2,496,645,322 | $ | 1,538,101,065 | ||||
End of year | $ | 2,524,347,833 | $ | 2,496,645,322 |
28 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (concluded)
Multi-Asset Income Fund | ||||||||
For the Year Ended | For the Year Ended | |||||||
DECREASE IN NET ASSETS | November 30, 2020 | November 30, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 24,100,213 | $ | 34,469,913 | ||||
Capital gain distributions received from Underlying Funds | 31,334,183 | 27,912,945 | ||||||
Net realized gain (loss) on investments in Underlying Funds | (193,068 | ) | 1,555,315 | |||||
Net realized gain (loss) on investments | (7,235,778 | ) | – | |||||
Net realized gain (loss) on futures contracts, OTC written options, forward foreign currency exchange contracts, swaps and foreign currency related transactions | (10,652,546 | ) | (11,341,762 | ) | ||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 96,241,032 | 57,494,915 | ||||||
Net change in unrealized appreciation/depreciation on Investments | (19,980,930 | ) | – | |||||
Net change in unrealized appreciation/depreciation on futures contracts, OTC written options, forward foreign currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 13,970,647 | (4,844,934 | ) | |||||
Net increase in net assets resulting from operations | 127,583,753 | 105,246,392 | ||||||
Distributions to shareholders: | ||||||||
Class A | (16,082,638 | ) | (23,801,009 | ) | ||||
Class C | (4,729,009 | ) | (10,223,578 | ) | ||||
Class F | (4,568,847 | ) | (7,608,013 | ) | ||||
Class F3 | (58,861 | ) | (146,802 | ) | ||||
Class I | (1,015,424 | ) | (1,841,166 | ) | ||||
Class R2 | (2,452 | ) | (3,744 | ) | ||||
Class R3 | (423,860 | ) | (627,711 | ) | ||||
Class R4 | (62,614 | ) | (72,378 | ) | ||||
Class R5 | (1,074 | ) | (1,169 | ) | ||||
Class R6 | (54,611 | ) | (105,800 | ) | ||||
Total distributions to shareholders | (26,999,390 | ) | (44,431,370 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 117,383,469 | 138,058,781 | ||||||
Reinvestment of distributions | 25,100,919 | 41,327,339 | ||||||
Cost of shares reacquired | (323,495,816 | ) | (383,530,266 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (181,011,428 | ) | (204,144,146 | ) | ||||
Net decrease in net assets | (80,427,065 | ) | (143,329,124 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | $ | 1,292,846,285 | $ | 1,436,175,409 | ||||
End of year | $ | 1,212,419,220 | $ | 1,292,846,285 |
See Notes to Financial Statements. | 29 |
MULTI-ASSET BALANCED OPPORTUNITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2020 | $ | 11.60 | $ | 0.21 | $ | 1.66 | $ | 1.87 | $ | (0.18 | ) | $ | (0.14 | ) | $ | (0.32 | ) | |||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2020 | 11.53 | 0.12 | 1.65 | 1.77 | (0.10 | ) | (0.14 | ) | (0.24 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2020 | 11.60 | 0.23 | 1.66 | 1.89 | (0.20 | ) | (0.14 | ) | (0.34 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2020 | 11.62 | 0.26 | 1.65 | 1.91 | (0.21 | ) | (0.14 | ) | (0.35 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 11.60 | 0.24 | 1.66 | 1.90 | (0.21 | ) | (0.14 | ) | (0.35 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2020 | 11.55 | 0.19 | 1.64 | 1.83 | (0.16 | ) | (0.14 | ) | (0.30 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2020 | 11.87 | 0.17 | 1.70 | 1.87 | (0.14 | ) | (0.14 | ) | (0.28 | ) | ||||||||||||||||||
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 | ) |
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 (%) | ||||||||||||||||||||
$ | 13.15 | 17.09 | 0.52 | 0.52 | 1.81 | $ | 2,087,948 | 60 | ||||||||||||||||||
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 | ||||||||||||||||||||
13.06 | 16.17 | 1.27 | 1.27 | 1.03 | 254,523 | 60 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.15 | 17.26 | 0.37 | 0.37 | 1.97 | 70,406 | 60 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.18 | 17.47 | 0.18 | 0.18 | 2.23 | 75 | 60 | ||||||||||||||||||||
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 | ||||||||||||||||
13.15 | 17.29 | 0.27 | 0.27 | 2.08 | 37,220 | 60 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.08 | 16.86 | 0.72 | 0.72 | 1.61 | 725 | 60 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.46 | 16.58 | 0.87 | 0.87 | 1.44 | 594 | 60 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 31 |
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 | ||||||||||||||||||||||||||||
11/30/2020 | $ | 11.58 | $ | 0.18 | $ | 1.65 | $ | 1.83 | $ | (0.15 | ) | $ | (0.14 | ) | $ | (0.29 | ) | |||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2020 | 11.60 | 0.21 | 1.66 | 1.87 | (0.18 | ) | (0.14 | ) | (0.32 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2020 | 11.62 | 0.20 | 1.70 | 1.90 | (0.21 | ) | (0.14 | ) | (0.35 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2020 | 11.61 | 0.24 | 1.67 | 1.91 | (0.21 | ) | (0.14 | ) | (0.35 | ) | ||||||||||||||||||
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 | ) |
(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. |
32 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return (%)(c) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 13.12 | 16.74 | 0.77 | 0.77 | 1.56 | $ | 48,308 | 60 | ||||||||||||||||||
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 | ||||||||||||||||||||
13.15 | 17.09 | 0.52 | 0.52 | 1.79 | 13,893 | 60 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.17 | 17.34 | 0.28 | 0.28 | 1.79 | 178 | 60 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.17 | 17.48 | 0.19 | 0.19 | 2.13 | 10,480 | 60 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 33 |
Financial Highlights
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2020 | $ | 15.02 | $ | 0.33 | $ | 1.43 | $ | 1.76 | $ | (0.31 | ) | $ | – | $ | (0.31 | ) | ||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2020 | 15.25 | 0.22 | 1.47 | 1.69 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2020 | 15.02 | 0.35 | 1.43 | 1.78 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2020 | 14.95 | 0.39 | 1.40 | 1.79 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 14.93 | 0.36 | 1.42 | 1.78 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2020 | 15.44 | 0.29 | 1.47 | 1.76 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2020 | 15.02 | 0.29 | 1.43 | 1.72 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
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 | ) |
34 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return (%)(c) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 16.47 | 12.33 | 0.50 | 0.50 | 2.19 | $ | 745,462 | 75 | ||||||||||||||||||
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 | ||||||||||||||||||||
16.74 | 11.46 | 1.25 | 1.25 | 1.44 | 240,404 | 75 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.47 | 12.49 | 0.35 | 0.35 | 2.35 | 165,707 | 75 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.40 | 12.68 | 0.18 | 0.18 | 2.61 | 2,013 | 75 | ||||||||||||||||||||
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 | ||||||||||||||||
16.37 | 12.61 | 0.25 | 0.25 | 2.45 | 35,613 | 75 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.95 | 11.97 | 0.85 | 0.85 | 1.87 | 124 | 75 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.47 | 12.04 | 0.75 | 0.75 | 1.94 | 19,031 | 75 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 35 |
Financial Highlights (concluded)
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2020 | $ | 15.02 | $ | 0.33 | $ | 1.43 | $ | 1.76 | $ | (0.31 | ) | $ | – | $ | (0.31 | ) | ||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2020 | 14.93 | 0.36 | 1.43 | 1.79 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2020 | 14.95 | 0.38 | 1.41 | 1.79 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ) |
(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. |
36 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return (%)(c) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 16.47 | 12.33 | 0.50 | 0.50 | 2.18 | $ | 2,988 | 75 | ||||||||||||||||||
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 | ||||||||||||||||||||
16.38 | 12.61 | 0.24 | 0.24 | 2.42 | 47 | 75 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.40 | 12.68 | 0.18 | 0.18 | 2.55 | 1,030 | 75 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 37 |
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.
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. Effective June 30, 2020, Class C shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the month on which the purchase order was accepted, provided that each Fund or financial intermediary through which a shareholder purchased Class C shares has records verifying that the C shares have been held at least eight years. The first conversion of Class C to A Shares under this new policy took place on July 25, 2020 for all Class C shares that were held for more than eight years as of June 30, 2020. Prior to June 30, 2020, Class C shares converted following the tenth anniversary of the month 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 |
38
Notes to Financial Statements (continued)
reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. | |
Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time. Exchange traded futures contracts are valued at the last sales price in the market in which they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and ask prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps, options and options on swaps (“swaptions”) are valued daily using independent pricing services or quotations from broker/dealers to the extent available. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(c) | Investment Income–Dividend income and capital gain distributions are recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other 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, 2017 through November 30, 2020. 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. In addition, Class F3 and R6 |
39
Notes to Financial Statements (continued)
bear only their class-specific shareholder servicing expenses. Class A, C, F, P, R2, R3 and R4 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. | |
(f) | Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce its 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 in order to hedge credit risk or for speculation purposes. 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, the 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 |
40
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 in 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. Realized and Change in Unrealized gains and losses on purchased options are included in realized and change in unrealized gains and losses on investments. |
41
Notes to Financial Statements (continued)
(j) | Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
(k) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
(l) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk—for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing each Fund’s investments and other financial instruments as of November 30, 2020 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.
42
Notes to Financial Statements (continued)
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, 2020, 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. Lord Abbett voluntarily waived the following Funds’ administration fees during the fiscal year ended November 30, 2020:
Fund | Fund Administration Fee | ||
Multi-Asset Balanced Opportunity Fund | $29,504 | ||
Multi-Asset Income Fund | 17,118 |
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, 2020:
Distributor Commissions | Dealers’ Concessions | |||||||
Multi-Asset Balanced Opportunity Fund | $136,151 | $896,194 | ||||||
Multi-Asset Income Fund | 51,319 | 330,871 |
43
Notes to Financial Statements (continued)
Distributor received the following amount of CDSCs for the fiscal year ended November 30, 2020:
Class A | Class C | ||||||
Multi-Asset Balanced Opportunity Fund | $ 7,370 | $12,416 | |||||
Multi-Asset Income Fund | 15,449 | 6,469 |
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 year ended November 30, 2020 and fiscal year ended November 30, 2019 were as follows:
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||||||||||
Year Ended 11/30/2020 | Year Ended 11/30/2019 | Year Ended 11/30/2020 | Year Ended 11/30/2019 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Tax Exempt Income | $ | 783,207 | $ | – | $ | 1,133,710 | $ | – | ||||||||
Ordinary income | 45,820,935 | 59,663,229 | 25,865,680 | 44,431,370 | ||||||||||||
Net long-term capital gains | 30,376,355 | 44,477,615 | – | – | ||||||||||||
Total distributions paid | $ | 76,980,497 | $ | 104,140,844 | $ | 26,999,390 | $ | 44,431,370 |
Subsequent to the Funds’ fiscal year ended November 30, 2020, year-end distributions were paid. The approximate amounts were as follows:
Net Investment Income | Net Long-Term Capital Gains | Record Date | Ex-Date | |||||||||
Multi-Asset Balanced Opportunity Fund | $56,643,000 | $51,671,000 | December 21, 2020 | December 22, 2020 | ||||||||
Multi-Asset Income Fund | 21,439,000 | – | December 21, 2020 | December 22, 2020 |
44
Notes to Financial Statements (continued)
As of November 30, 2020, 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 | $ | 41,241,744 | $ | 13,064,510 | ||||
Undistributed long-term capital gains | 51,653,036 | – | ||||||
Total undistributed earnings | 92,894,780 | 13,064,510 | ||||||
Capital loss carryforwards* | (10,114,643 | ) | (103,242,597 | ) | ||||
Temporary differences | (409,517 | ) | (173,288 | ) | ||||
Unrealized gains (losses) - net | 220,209,663 | 66,021,543 | ||||||
Total accumulated gains (losses) - net | $ | 302,580,283 | $ | (24,329,832 | ) |
* | The capital losses will carry forward indefinitely. |
As of November 30, 2020, 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 | $ | 2,344,463,697 | $ | 1,163,188,798 | ||||
Gross unrealized gain | 270,955,289 | 89,440,958 | ||||||
Gross unrealized loss | (50,579,392 | ) | (23,253,157 | ) | ||||
Net unrealized security gain (loss) | $ | 220,375,897 | $ | 66,187,801 |
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.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended November 30, 2020 were as follows:
Purchases | Sales | |||||||
Multi-Asset Balanced Opportunity Fund | $1,397,182,525 | $1,644,738,481 | ||||||
Multi-Asset Income Fund | 881,963,649 | 1,058,967,697 |
There were no purchases or sales of U.S. Government securities for the fiscal year ended November 30, 2020.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Funds entered into forward foreign currency exchange contracts for the fiscal year ended November 30, 2020 (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.
45
Notes to Financial Statements (continued)
The Funds entered into domestic and foreign equity index futures contracts for the fiscal year ended November 30, 2020 (as described in note 2(g)) to manage cash and economically hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.
The Funds entered into swaptions and options on indexes and foreign currencies for the fiscal year ended November 30, 2020 (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.
The Funds entered into total return swaps on indexes and foreign currencies for the fiscal year ended November 30, 2020 (as described in note 2(j)) 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.
The Funds entered into credit default swaps for the fiscal year ended November 30, 2020 (as described in note 2(h)) 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.
46
Notes to Financial Statements (continued)
As of November 30, 2020, the Funds 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 | Interest Rate Contracts | Equity Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 546,750 | – | – | ||||||||
Futures Contracts(2) | – | $604,803 | $ | 4,033,218 | ||||||||
Purchased Options(3) | $ | 16,014 | – | $ | 13,582,846 | |||||||
Total Return Swap Contracts(4) | – | – | $ | 1,184,295 | ||||||||
Liability Derivatives | ||||||||||||
Forward Foreign Currency Exchange Contracts(5) | $ | 547,601 | – | – | ||||||||
Total Return Swap Contracts(4) | – | – | $ | 111,770 | ||||||||
OTC Written Options(6) | $ | 7,679 | – | $ | 5,699,456 | |||||||
Multi-Asset Income Fund | ||||||||||||
Asset Derivatives | Foreign Currency Contracts | Interest Rate Contracts | Equity Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 546,750 | – | – | ||||||||
Futures Contracts(2) | – | $296,501 | $ | 744,382 | ||||||||
Purchased Options(3) | $ | 16,014 | – | $ | 4,889,861 | |||||||
Total Return Swap Contracts(4) | – | – | $ | 583,294 | ||||||||
Liability Derivatives | ||||||||||||
Forward Foreign Currency Exchange Contracts(5) | $ | 547,601 | – | – | ||||||||
Total Return Swap Contracts(4) | – | – | $ | 55,051 | ||||||||
OTC Written Options(6) | $ | 7,678 | – | $ | 2,079,750 |
(1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(2) | 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. |
(3) | Statements of Assets and Liabilities location: included in Investments in securities. |
(4) | Statements of Assets and Liabilities location: Total return swap, at fair value. |
(5) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(6) | Statements of Assets and Liabilities location: Options written outstanding, at value. |
47
Notes to Financial Statements (continued)
Transactions in derivative investments for the fiscal year ended November 30, 2020, were as follows:
Multi-Asset Balanced Opportunity Fund | ||||||||||||||||
Foreign Currency Contracts | Interest Rate Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swaps Contracts(1) | – | – | – | $ | (8,199,011 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | 13,876 | – | – | – | |||||||||||
Futures Contracts(3) | – | $ | (5,951,055 | ) | $ | (14,374,695 | ) | – | ||||||||
Options Purchased(4) | $ | (7,235,778 | ) | – | – | – | ||||||||||
Total Return Swap Contracts(1) | – | $ | 6,368,429 | – | – | |||||||||||
OTC Written Options(5) | $ | 4,708,214 | – | $ | 308,793 | – | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Futures Contracts(6) | – | $ | 604,803 | $ | 3,439,289 | – | ||||||||||
Forward Foreign Currency Exchange Contracts(7) | $ | (851 | ) | – | – | – | ||||||||||
Options Purchased(8) | $ | (5,638,334 | ) | – | $ | (40,636,049 | ) | – | ||||||||
Total Return Swap Contracts(9) | $ | 2,126,658 | – | $ | 1,072,525 | – | ||||||||||
OTC Written Options(10) | $ | 3,992,359 | – | $ | 21,754,443 | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swaps(11) | – | – | – | 10,851,183 | ||||||||||||
Forward Foreign Currency Exchange Contracts(11) | $ | 12,096,987 | – | – | – | |||||||||||
Futures Contracts(12) | – | 150 | 1,630 | – | ||||||||||||
Options Purchased(11) | 5,949,620 | – | 9,372,170 | – | ||||||||||||
Total Return Swap Contracts(11) | – | 622,728 | 10,914,240 | – | ||||||||||||
OTC Written Options(11) | $ | 4,323,507 | – | $ | 4,765,058 | – |
48
Notes to Financial Statements (continued)
Multi-Asset Income Fund | ||||||||||||||||
Foreign Currency Contracts | Interest Rate Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swaps Contracts(1) | – | – | – | $ | (4,378,879 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | (967,593 | ) | – | – | – | ||||||||||
Futures Contracts(3) | – | $ | (3,026,454 | ) | $ | (10,401,861 | ) | – | ||||||||
Options Purchased(4) | $ | (7,235,778 | ) | – | – | – | ||||||||||
Total Return Swap Contracts(1) | – | $ | 3,324,102 | – | – | |||||||||||
OTC Written Options(5) | $ | 4,708,214 | – | $ | 132,336 | – | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Futures Contracts(6) | – | $ | 296,501 | $ | 443,409 | – | ||||||||||
Forward Foreign Currency Exchange Contracts(7) | $ | (851 | ) | – | – | – | ||||||||||
Options Purchased(8) | $ | (5,638,334 | ) | – | $ | (14,342,596 | ) | – | ||||||||
Total Return Swap Contracts(9) | – | $ | 1,054,510 | $ | 583,294 | – | ||||||||||
OTC Written Options(10) | $ | 3,992,360 | – | $ | 7,767,682 | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swaps(11) | – | – | – | 37,056,375 | ||||||||||||
Forward Foreign Currency Exchange Contracts(11) | $ | 46,346,103 | – | – | �� | – | ||||||||||
Futures Contracts(12) | – | 97 | 832 | – | ||||||||||||
Options Purchased(11) | 319,230,769 | – | 27,466 | – | ||||||||||||
Total Return Swap Contracts(11) | – | 2,666,914 | 395,493 | – | ||||||||||||
OTC Written Options(11) | $ | 4,061,372 | – | $ | 1,781,637 | – |
* | Calculated based on the number of contracts or notional amounts for the fiscal year ended November 30, 2020. |
(1) | Statements of Operations location: Net realized gain(loss) on swap contracts. |
(2) | Statements of Operations location: Net realized gain(loss) on forward foreign currency exchange contracts. |
(3) | Statements of Operations location: Net realized gain(loss) on futures contracts. |
(4) | Statements of Operations location: Net realized gain(loss) on investmeSnts includes options purchased. |
(5) | Statements of Operations location: Net realized gain(loss) on OTC written options. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(7) | Statements of Operations location: Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts. |
(8) | Statements of Operations location: Net change in unrealized appreciation/depreciation on investments includes options purchased. |
(9) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(10) | Statements of Operations location: Net change in unrealized appreciation/depreciation on OTC written options. |
(11) | Amount represents notional amounts in U.S. dollars. |
(12) | Amount represents number of contracts. |
49
Notes to Financial Statements (continued)
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the Statements of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by 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 Statements of Assets and Liabilities across transactions between the Funds and the applicable counterparty:
Multi-Asset Balanced Opportunity Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 546,750 | $ | – | $ | 546,750 | ||||||
Options Purchased | 13,598,860 | – | 13,598,860 | |||||||||
Total Return Swap Contracts | 1,184,295 | – | 1,184,295 | |||||||||
Repurchase Agreement | 2,999,163 | – | 2,999,163 | |||||||||
Total | $ | 18,329,068 | $ | – | $ | 18,329,068 |
Net Amounts of | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | |||||||||||||||
Citibank | $ | 4,167,336 | $ | (1,700,336 | ) | $ | – | $ | – | $ | 2,467,000 | |||||||||
Credit Suisse | 164 | (164 | ) | – | – | – | ||||||||||||||
Fixed Income Clearing Corp. | 2,999,163 | – | – | (2,999,163 | ) | – | ||||||||||||||
Goldman Sachs | 1,641,197 | (271,248 | ) | (1,369,949 | ) | – | – | |||||||||||||
JPMorgan | 6,937,804 | (3,034,125 | ) | – | – | 3,903,679 | ||||||||||||||
Standard Chartered Bank | 90,028 | (90,028 | ) | – | – | – | ||||||||||||||
UBS | 2,493,376 | (972,421 | ) | – | – | 1,520,955 | ||||||||||||||
Total | $ | 18,329,068 | $ | (6,068,322 | ) | $ | (1,369,949 | ) | $ | (2,999,163 | ) | $ | 7,891,634 |
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 | $ | 547,601 | $ | – | $ | 547,601 | ||||||
OTC Written Options | 5,707,135 | – | 5,707,135 | |||||||||
Total Return Swap Contracts | 111,770 | – | 111,770 | |||||||||
Total | $ | 6,366,506 | $ | – | $ | 6,366,506 |
50
Notes to Financial Statements (continued)
Multi-Asset Balanced Opportunity 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) | |||||||||||||||
Citibank | $ | 1,700,336 | $ | (1,700,336 | ) | $ | – | $ | – | $ | – | |||||||||
Credit Suisse | 164 | (164 | ) | – | – | – | ||||||||||||||
Goldman Sachs | 271,248 | (271,248 | ) | – | – | – | ||||||||||||||
JPMorgan | 3,034,125 | (3,034,125 | ) | – | – | – | ||||||||||||||
Standard Chartered Bank | 388,212 | (90,028 | ) | (270,000 | ) | – | 28,184 | |||||||||||||
UBS | 972,421 | (972,421 | ) | – | – | – | ||||||||||||||
Total | $ | 6,366,506 | $ | (6,068,322 | ) | $ | (270,000 | ) | $ | – | $ | 28,184 |
Multi-Asset Income Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 546,750 | $ | – | $ | 546,750 | ||||||
Options Purchased | 4,905,875 | – | 4,905,875 | |||||||||
Total Return Swap Contracts | 583,294 | – | 583,294 | |||||||||
Repurchase Agreement | 818,947 | – | 818,947 | |||||||||
Total | $ | 6,854,866 | $ | – | $ | 6,854,866 |
Net Amounts of | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | |||||||||||||||
Citibank | $ | 1,785,982 | $ | (728,707 | ) | $ | – | $ | – | $ | 1,057,275 | |||||||||
Credit Suisse | 164 | (164 | ) | – | – | – | ||||||||||||||
Fixed Income Clearing Corp. | 818,947 | – | – | (818,947 | ) | – | ||||||||||||||
Goldman Sachs | 1,040,195 | (214,529 | ) | (825,666 | ) | – | – | |||||||||||||
JPMorgan | 2,973,149 | (1,300,254 | ) | – | – | 1,672,895 | ||||||||||||||
Standard Chartered Bank | 90,028 | (90,028 | ) | – | – | – | ||||||||||||||
UBS | 146,401 | (58,214 | ) | – | – | 88,187 | ||||||||||||||
Total | $ | 6,854,866 | $ | (2,391,896 | ) | $ | (825,666 | ) | $ | (818,947 | ) | $ | 2,818,357 |
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 | $ | 547,601 | $ | – | $ | 547,601 | ||||||
OTC Written Options | 2,087,428 | – | 2,087,428 | |||||||||
Total Return Swap Contracts | 55,051 | 55,051 | ||||||||||
Total | $ | 2,690,080 | $ | – | $ | 2,690,080 |
51
Notes to Financial Statements (continued)
Multi-Asset Income 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) | |||||||||||||||
Citibank | $ | 728,707 | $ | (728,707 | ) | $ | – | $ | – | $ | – | |||||||||
Credit Suisse | 164 | (164 | ) | – | – | – | ||||||||||||||
Goldman Sachs | 214,529 | (214,529 | ) | – | – | – | ||||||||||||||
JPMorgan | 1,300,254 | (1,300,254 | ) | – | – | – | ||||||||||||||
Standard Chartered Bank | 388,212 | (90,028 | ) | (270,000 | ) | – | 28,184 | |||||||||||||
UBS | 58,214 | (58,214 | ) | – | – | – | ||||||||||||||
Total | $ | 2,690,080 | $ | (2,391,896 | ) | $ | (270,000 | ) | $ | – | $ | 28,184 |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by the counterparty as of November 30, 2020. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of November 30, 2020. |
8. | TRUSTEES’ REMUNERATION |
The Trust’s officers and one Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
9. | EXPENSE REDUCTIONS |
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
10. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
For the fiscal year ended November 30, 2020, 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
52
Notes to Financial Statements (continued)
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, 2020:
Multi-Asset Balanced Opportunity Fund | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2019 | Gross Additions | Gross Sales | Balance of Shares Held at 11/30/2020 | Fair Value at 11/30/2020 | Net Realized Gain (Loss) 12/1/2019 to 11/30/2020 | Dividend Income 12/1/2019 to 11/30/2020 | Net Change in Appreciation (Depreciation 12/1/2019 to 11/30/2020 | ) | |||||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund–Class I | 11,174,184 | 951,917 | (7,276,274 | ) | 4,849,827 | $ | 100,197,430 | $ | 42,049,255 | (a) | $ | 2,429,107 | $ | 18,594,101 | ||||||||||||||||||
Lord Abbett Investment Trust–Core Fixed Income Fund–Class I | 11,196,261 | 6,632,524 | (11,625,707 | ) | 6,203,078 | 72,451,949 | 5,929,542 | 2,210,483 | (1,235,961 | ) | ||||||||||||||||||||||
Lord Abbett Securities Trust–Durable Growth Fund–Class I | – | 9,260,993 | (2,507,677 | ) | 6,753,316 | 138,510,505 | 10,637,320 | (b) | 129,684 | 25,693,433 | ||||||||||||||||||||||
Lord Abbett Global Fund, Inc.–Emerging Markets Bond Fund–Class I | 17,414,790 | 20,277,701 | (1,833,527 | ) | 35,858,964 | 186,825,204 | (951,318 | ) | 5,642,408 | 2,184,719 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Floating Rate Fund–Class I | – | 17,526,609 | (11,543,186 | ) | 5,983,423 | 49,064,070 | (15,109,897 | ) | 1,901,290 | 208,972 | ||||||||||||||||||||||
Lord Abbett Securities Trust–Focused Large Cap Value Fund– Class I | 1,723,858 | 34,241,151 | (5,823,714 | ) | 30,141,295 | 438,857,261 | 33,400,113 | (c) | 5,370,657 | 72,946,340 | ||||||||||||||||||||||
Lord Abbett Securities Trust–Fundamental Equity Fund–Class I | 36,089,864 | 9,178,124 | (28,019,302 | ) | 17,248,686 | 202,672,063 | (76,162,841 | ) | 4,078,273 | 21,283,740 | ||||||||||||||||||||||
Lord Abbett Securities Trust–Growth Leaders Fund–Class I | 7,050,449 | 3,760,855 | (3,252,450 | ) | 7,558,854 | 334,403,698 | 68,175,487 | (d) | – | 91,918,498 | ||||||||||||||||||||||
Lord Abbett Research Fund, Inc.–Growth Opportunities Fund–Class I | 10,401,654 | 628,300 | (7,227,038 | ) | 3,802,916 | 141,506,517 | 45,207,904 | (e) | – | (3,160,527 | ) | |||||||||||||||||||||
Lord Abbett Investment Trust–High Yield Fund–Class I | 55,467,522 | 6,246,440 | (13,057,566 | ) | 48,656,396 | 357,137,949 | (6,108,504 | ) | 20,886,666 | 2,836,427 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Inflation Focused Fund–Class I | 10,139,853 | 261,986 | (4,414,585 | ) | 5,987,254 | 67,895,463 | (3,065,636 | ) | 2,833,409 | 4,138,077 | ||||||||||||||||||||||
Lord Abbett Municipal Income Fund, Inc.– Intermediate Tax-Free Fund–Class I | – | 7,372,468 | (3,903,724 | ) | 3,468,744 | 39,023,370 | 1,000,024 | 872,097 | 838,164 | |||||||||||||||||||||||
Lord Abbett Securities Trust–International Equity Fund-Class I | 9,220,505 | 1,021,546 | (1,497,970 | ) | 8,744,081 | 133,084,907 | 1,740,376 | 2,095,500 | 14,242,710 | |||||||||||||||||||||||
Lord Abbett Securities Trust–International Value Fund–Class I | 17,347,241 | 4,502,183 | (1,974,671 | ) | 19,874,753 | 141,905,738 | (1,931,867 | ) | 2,608,903 | 6,565,799 | ||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.–Class I | 8,766,015 | 383,713 | (5,089,170 | ) | 4,060,558 | 113,248,950 | (8,106,550 | )(f) | 2,840,868 | 5,071,749 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Ultra Short Bond Fund–Class I | 14,702,490 | 6,551,874 | (21,254,364 | ) | – | – | (715,043 | ) | 461,176 | (232,202 | ) | |||||||||||||||||||||
Total | $ | 2,516,785,074 | $ | 95,988,365 | $ | 54,360,521 | $ | 261,894,039 |
(a) | Includes $10,470,600 of distributed capital gains. |
(b) | Includes $3,335,580 of distributed capital gains. |
(c) | Includes $22,862,038 of distributed capital gains. |
(d) | Includes $29,995,802 of distributed capital gains. |
(e) | Includes $14,042,234 of distributed capital gains. |
(f) | Includes $5,769,200 of distributed capital gains. |
53
Notes to Financial Statements (continued)
Multi-Asset Income Fund | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2019 | Gross Additions | Gross Sales | Balance of Shares Held at 11/30/2020 | Fair Value at 11/30/2020 | Net Realized Gain (Loss) 12/1/2019 to 11/30/2020 | Dividend Income 12/1/2019 to 11/30/2020 | Net Change in Appreciation (Depreciation 12/1/2019 to 11/30/2020 | ) | |||||||||||||||||||||||
Lord Abbett Investment Trust–Convertible Fund–Class I | 8,648,622 | 608,834 | (7,441,955 | ) | 1,815,501 | $ | 37,508,242 | $ | 27,659,891 | (a) | $ | 1,325,728 | $ | (294,668 | ) | |||||||||||||||||
Lord Abbett Investment Trust–Core Fixed Income Fund–Class I | 2,351,335 | 19,869,705 | (9,319,554 | ) | 12,901,486 | 150,689,362 | 2,733,389 | 2,969,598 | 4,515,805 | |||||||||||||||||||||||
Lord Abbett Securities Trust–Durable Growth Fund–Class I | – | 3,385,640 | (1,324,502 | ) | 2,061,138 | 42,273,949 | 4,429,326 | (b) | 39,580 | 8,592,155 | ||||||||||||||||||||||
Lord Abbett Global Fund, Inc.–Emerging Markets Bond Fund–Class I | 12,609,725 | 5,280,491 | (1,451,707 | ) | 16,438,509 | 85,644,633 | (597,444 | ) | 2,973,336 | 1,429,831 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Floating Rate Fund–Class I | – | 11,855,419 | (8,952,170 | ) | 2,903,249 | 23,806,638 | (11,736,063 | ) | 1,386,276 | 101,426 | ||||||||||||||||||||||
Lord Abbett Securities Trust–Focused Large Cap Value Fund– Class I | 874,871 | 13,332,433 | (2,930,548 | ) | 11,276,756 | 164,189,573 | 13,874,800 | (c) | 2,009,323 | 25,810,799 | ||||||||||||||||||||||
Lord Abbett Securities Trust–Fundamental Equity Fund-Class I | �� | 10,401,486 | 3,368,109 | (9,755,752 | ) | 4,013,843 | 47,162,659 | (28,443,158 | ) | 949,032 | 9,098,807 | |||||||||||||||||||||
Lord Abbett Securities Trust–Growth Leaders Fund–Class I | 1,573,580 | 2,230,736 | (1,515,853 | ) | 2,288,463 | 101,241,583 | 30,533,450 | (d) | – | 19,780,006 | ||||||||||||||||||||||
Lord Abbett Research Fund, Inc.–Growth Opportunities Fund–Class I | 2,466,810 | 121,452 | (1,407,533 | ) | 1,180,729 | 43,934,930 | 5,626,126 | (e) | – | 4,211,539 | ||||||||||||||||||||||
Lord Abbett Investment Trust–High Yield Fund–Class I | 28,903,625 | 4,110,960 | (7,694,966 | ) | 25,319,619 | 185,846,007 | (3,341,464 | ) | 10,927,891 | 2,432,479 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Inflation Focused Fund–Class I | 8,660,636 | 237,255 | (3,482,593 | ) | 5,415,298 | 61,409,479 | (3,142,807 | ) | 2,563,898 | 3,885,257 | ||||||||||||||||||||||
Lord Abbett Municipal Income Fund, Inc.– Intermediate Tax-Free Fund–Class I | – | 10,295,063 | (1,818,124 | ) | 8,476,939 | 95,365,566 | 471,006 | 1,310,793 | 2,720,700 | |||||||||||||||||||||||
Lord Abbett Securities Trust–International Equity Fund–Class I | 5,269,439 | 513,980 | (1,429,170 | ) | 4,354,249 | 66,271,678 | 1,559,560 | 1,193,718 | 6,265,306 | |||||||||||||||||||||||
Lord Abbett Securities Trust–International Value Fund–Class I | 9,977,369 | 1,355,474 | (1,739,523 | ) | 9,593,320 | 68,496,306 | (1,846,651 | ) | 1,348,758 | 3,074,079 | ||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 3,720,836 | 245,331 | (2,658,069 | ) | 1,308,098 | 36,482,855 | (5,230,759 | )(f) | 1,208,527 | 5,327,394 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Ultra Short Bond Fund–Class I | 26,571,167 | 2,704,078 | (29,275,245 | ) | – | – | (1,408,087 | ) | 1,562,317 | (709,883 | ) | |||||||||||||||||||||
Total | $ | 1,210,323,460 | $ | 31,141,115 | $ | 31,768,775 | $ | 96,241,032 |
(a) | Includes $6,897,018 of distributed capital gains. |
(b) | Includes $1,018,032 of distributed capital gains. |
(c) | Includes $8,553,369 of distributed capital gains. |
(d) | Includes $9,081,307 of distributed capital gains. |
(e) | Includes $3,330,194 of distributed capital gains. |
(f) | Includes $2,454,263 of distributed capital gains. |
54
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.
On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on the Funds or the LIBOR-based instruments in which the Funds invest cannot yet be determined. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based instruments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior and/or subsequent to the end of 2021.
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
55
Notes to Financial Statements (continued)
companies held in the Underlying Fund fails to produce the intended result, a Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.
Each Fund’s investment exposure to foreign (which may include emerging market) companies generally is subject to the risk that the value of securities issued by foreign companies may be adversely affected by political, economic and social volatility and subject to less government supervision, lack of transparency, or inadequate regulatory and accounting standards, inadequate exchange control regulations, foreign taxes, higher transaction and other costs, and delays in settlement. The cost of a Fund’s potential use of forward currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing. The Underlying Fund’s investments in emerging market companies generally are subject to more risks than investments in developed market companies.
Because Multi-Asset Income Fund will be more heavily invested in fixed income funds than equity funds, it will be more affected by the risks associated with fixed income securities. Given Multi-Asset Balanced Opportunity Fund’s more balanced allocation among fixed income funds and equity funds, each will be affected by risks associated with both equity and fixed income investments.
Each Fund may invest in derivatives, either directly or through its Underlying Funds. Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities and other investments. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, heightened counterparty risk, credit risk, and volatility. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of each Fund’s investments. Market disruptions can also prevent the Funds from implementing its investment strategies and achieving its investment objective.
The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways.
The COVID-19 pandemic and its effects may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession.
56
Notes to Financial Statements (continued)
The foregoing could disrupt the operations of each Fund and its service providers, adversely affect the value and liquidity of each Fund’s investments, and negatively impact each Fund’s performance and your investment in each Fund.
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, 2020 | Year Ended November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 11,691,588 | $ | 134,775,665 | 9,141,772 | $ | 101,204,949 | ||||||||||
Converted from Class C* | 5,206,781 | 61,124,085 | 1,433,326 | 16,143,393 | ||||||||||||
Reinvestment of distributions | 5,294,475 | 62,047,591 | 7,930,354 | 82,179,814 | ||||||||||||
Shares reacquired | (33,568,230 | ) | (378,469,363 | ) | (31,815,661 | ) | (352,908,608 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 75,890,657 | 862,876,766 | ||||||||||||
Increase (decrease) | (11,375,386 | ) | $ | (120,522,022 | ) | 62,580,448 | $ | 709,496,314 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,483,646 | $ | 16,941,994 | 1,500,111 | $ | 16,495,615 | ||||||||||
Reinvestment of distributions | 668,460 | 7,795,530 | 1,268,039 | 12,883,474 | ||||||||||||
Shares reacquired | (6,690,342 | ) | (75,546,252 | ) | (6,514,716 | ) | (71,780,826 | ) | ||||||||
Converted to Class A* | (5,245,720 | ) | (61,124,085 | ) | (1,442,996 | ) | (16,143,393 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 14,510,239 | 163,965,699 | ||||||||||||
Increase (decrease) | (9,783,956 | ) | $ | (111,932,813 | ) | 9,320,677 | $ | 105,420,569 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 1,182,438 | $ | 13,842,080 | 1,228,932 | $ | 13,689,784 | ||||||||||
Reinvestment of distributions | 197,262 | 2,308,512 | 309,872 | 3,213,157 | ||||||||||||
Shares reacquired | (2,340,195 | ) | (26,277,009 | ) | (2,564,592 | ) | (28,533,275 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 3,175,676 | 36,107,437 | ||||||||||||
Increase (decrease) | (960,495 | ) | $ | (10,126,417 | ) | 2,149,888 | $ | 24,477,103 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 1,560 | $ | 19,006 | – | $ | 1 | ||||||||||
Reinvestment of distributions | 108 | 1,253 | 104.00 | 1,116 | ||||||||||||
Shares reacquired | (11 | ) | (137 | ) | (807 | ) | (9,237 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 3,778 | 43,033 | ||||||||||||
Increase | 1,657 | $ | 20,122 | 3,075.00 | $ | 34,913 |
57
Notes to Financial Statements (continued)
Multi-Asset Balanced Opportunity Fund | Year Ended November 30, 2020 | Year Ended November 30, 2019 | ||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 667,086 | $ | 7,940,349 | 149,226 | $ | 1,695,360 | ||||||||||
Reinvestment of distributions | 58,255 | 680,608 | 88,658 | 912,862 | ||||||||||||
Shares reacquired | (436,374 | ) | (4,871,749 | ) | (1,738,505 | ) | (19,757,843 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 2,763,127 | 31,416,744 | ||||||||||||
Increase | 288,967 | $ | 3,749,208 | 1,262,506 | $ | 14,267,123 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 4,200 | $ | 48,055 | 7,240 | $ | 81,036 | ||||||||||
Reinvestment of distributions | 1,605 | 18,781 | 3,222 | 32,916 | ||||||||||||
Shares reacquired | (1,353 | ) | (13,627 | ) | (5,115 | ) | (58,407 | ) | ||||||||
Increase | 4,452 | $ | 53,209 | 5,347 | $ | 55,545 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 3,160 | $ | 36,787 | 2,638 | $ | 30,226 | ||||||||||
Reinvestment of distributions | 1,777 | 21,262 | 2,367 | 25,142 | ||||||||||||
Shares reacquired | (31,360 | ) | (373,591 | ) | (6,939 | ) | (80,534 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 41,242 | 479,638 | ||||||||||||
Increase (decrease) | (26,423 | ) | $ | (315,542 | ) | 39,308 | $ | 454,472 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 473,149 | $ | 5,339,277 | 459,819 | $ | 5,094,314 | ||||||||||
Reinvestment of distributions | 125,156 | 1,464,205 | 180,586 | 1,867,819 | ||||||||||||
Shares reacquired | (1,456,070 | ) | (16,551,665 | ) | (1,202,171 | ) | (13,398,185 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 2,680,828 | 30,427,397 | ||||||||||||
Increase (decrease) | (857,765 | ) | $ | (9,748,183 | ) | 2,119,062 | $ | 23,991,345 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 294,189 | $ | 3,378,470 | 258,980 | $ | 2,873,615 | ||||||||||
Reinvestment of distributions | 34,358 | 402,700 | 36,737 | 384,424 | ||||||||||||
Shares reacquired | (320,713 | ) | (3,642,900 | ) | (231,326 | ) | (2,598,497 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 543,909 | 6,184,246 | ||||||||||||
Increase | 7,834 | $ | 138,270 | 608,300 | $ | 6,843,788 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 31,373 | $ | 376,697 | 1,042 | $ | 11,607 | ||||||||||
Reinvestment of distributions | 781 | 8,941 | 792 | 8,254 | ||||||||||||
Shares reacquired | (36,186 | ) | (418,900 | ) | (1,258 | ) | (13,595 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 6,321 | 71,998 | ||||||||||||
Increase (decrease) | (4,032 | ) | $ | (33,262 | ) | 6,897 | $ | 78,264 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 110,870 | $ | 1,271,012 | 71,178 | $ | 794,005 | ||||||||||
Reinvestment of distributions | 27,549 | 319,844 | 24,958 | 266,014 | ||||||||||||
Shares reacquired | (719,679 | ) | (8,417,485 | ) | (2,745,894 | ) | (31,593,279 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 3,543,917 | 40,329,782 | ||||||||||||
Increase (decrease) | (581,260 | ) | $ | (6,826,629 | ) | 894,159 | $ | 9,796,522 |
58
Notes to Financial Statements (continued)
Multi-Asset Income Fund | Year Ended November 30, 2020 | Year Ended November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,353,420 | $ | 80,839,530 | 4,983,674 | $ | 72,185,662 | ||||||||||
Converted from Class C* | 3,913,724 | 59,706,716 | 1,148,763 | 16,985,884 | ||||||||||||
Reinvestment of distributions | 1,014,056 | 15,295,085 | 1,622,422 | 22,944,162 | ||||||||||||
Shares reacquired | (10,174,760 | ) | (149,884,930 | ) | (12,579,199 | ) | (181,503,402 | ) | ||||||||
Increase (decrease) | 106,440 | $ | 5,956,401 | (4,824,340 | ) | $ | (69,387,694 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 656,960 | $ | 9,967,968 | 1,310,603 | $ | 19,199,659 | ||||||||||
Reinvestment of distributions | 291,117 | 4,456,012 | 668,537 | 9,500,022 | ||||||||||||
Shares reacquired | (5,074,397 | ) | (76,259,978 | ) | (6,698,826 | ) | (98,571,003 | ) | ||||||||
Converted to Class A* | (3,853,689 | ) | (59,706,716 | ) | (1,131,992 | ) | (16,985,884 | ) | ||||||||
Decrease | (7,980,009 | ) | $ | (121,542,714 | ) | (5,851,678 | ) | $ | (86,857,206 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 1,356,269 | $ | 20,574,817 | 2,164,773 | $ | 31,496,054 | ||||||||||
Reinvestment of distributions | 252,352 | 3,789,872 | 440,278 | 6,230,349 | ||||||||||||
Shares reacquired | (4,868,625 | ) | (71,842,526 | ) | (5,171,312 | ) | (74,604,494 | ) | ||||||||
Decrease | (3,260,004 | ) | $ | (47,477,837 | ) | (2,566,261 | ) | $ | (36,878,091 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 1,338 | $ | 18,115 | 79,151 | $ | 1,151,662 | ||||||||||
Reinvestment of distributions | 3,918 | 58,861 | 10,385 | 146,802 | ||||||||||||
Shares reacquired | (118,480 | ) | (1,796,489 | ) | (139,374 | ) | (2,033,659 | ) | ||||||||
Decrease | (113,224 | ) | $ | (1,719,513 | ) | (49,838 | ) | $ | (735,195 | ) | ||||||
Class I Shares | ||||||||||||||||
Shares sold | 172,402 | $ | 2,584,452 | 402,951 | $ | 5,803,920 | ||||||||||
Reinvestment of distributions | 64,257 | 960,922 | 121,419 | 1,705,893 | ||||||||||||
Shares reacquired | (962,789 | ) | (14,080,418 | ) | (1,422,423 | ) | (20,435,890 | ) | ||||||||
Decrease | (726,130 | ) | $ | (10,535,044 | ) | (898,053 | ) | $ | (12,926,077 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 186 | $ | 2,808 | 1,849 | $ | 27,665 | ||||||||||
Reinvestment of distributions | 158 | 2,452 | 238 | 3,463 | ||||||||||||
Shares reacquired | (1,963 | ) | (26,635 | ) | (1,423 | ) | (20,815 | ) | ||||||||
Increase (decrease) | (1,619 | ) | $ | (21,375 | ) | 664 | $ | 10,313 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 151,218 | $ | 2,255,111 | 447,645 | $ | 6,503,136 | ||||||||||
Reinvestment of distributions | 28,104 | 423,592 | 44,302 | 627,630 | ||||||||||||
Shares reacquired | (455,970 | ) | (6,663,135 | ) | (343,040 | ) | (4,999,229 | ) | ||||||||
Increase (decrease) | (276,648 | ) | $ | (3,984,432 | ) | 148,907 | $ | 2,131,537 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 63,570 | $ | 927,308 | 89,878 | $ | 1,304,447 | ||||||||||
Reinvestment of distributions | 4,153 | 62,614 | 5,083 | 72,374 | ||||||||||||
Shares reacquired | (47,528 | ) | (715,578 | ) | (56,195 | ) | (819,577 | ) | ||||||||
Increase | 20,195 | $ | 274,344 | 38,766 | $ | 557,244 |
59
Notes to Financial Statements (continued)
Multi-Asset Income Fund | Year Ended November 30, 2020 | Year Ended November 30, 2019 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 399 | $ | 5,998 | 413 | $ | 5,727 | ||||||||||
Reinvestment of distributions | 61 | 914 | 82 | 1,169 | ||||||||||||
Shares reacquired | (29 | ) | (437 | ) | (24 | ) | (356 | ) | ||||||||
Increase | 431 | $ | 6,475 | 471 | $ | 6,540 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 14,011 | $ | 207,362 | 26,475.00 | $ | 380,849 | ||||||||||
Reinvestment of distributions | 3,415 | 50,595 | 6,758 | 95,475 | ||||||||||||
Shares reacquired | (146,850 | ) | (2,225,690 | ) | (37,767 | ) | (541,841 | ) | ||||||||
Decrease | (129,424 | ) | $ | (1,967,733 | ) | (4,534.00 | ) | $ | (65,517 | ) |
* | Effective June 30, 2020, 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 eighth anniversary of the day on which the purchase order was accepted. Prior to June 30, 2020, conversion occurred following the tenth anniversary of the day on which the purchase was accepted. |
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.
60
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 Statements of Operations since the date of acquisition.
61
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, 2020, 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, 2020, 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, 2020, 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, 2021
We have served as the auditor of one or more Lord Abbett Family of Funds’ investment companies since 1932.
62
Investments in Underlying Funds (unaudited)
The Funds invest in Underlying Funds managed by Lord Abbett. As of November 30, 2020, 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 | 3.98% | |
Lord Abbett Investment Trust - Core Fixed Income Fund – Class I | 2.88% | |
Lord Abbett Securities Trust - Durable Growth Fund – Class I | 5.50% | |
Lord Abbett Global Fund, Inc. - Emerging Markets Bond Fund – Class I | 7.42% | |
Lord Abbett Investment Trust - Floating Rate Fund – Class I | 1.95% | |
Lord Abbett Securities Trust - Focused Large Cap Value Fund – Class I | 17.44% | |
Lord Abbett Securities Trust - Fundamental Equity Fund – Class I | 8.05% | |
Lord Abbett Securities Trust - Growth Leaders Fund – Class I | 13.29% | |
Lord Abbett Research Fund, Inc. - Growth Opportunities Fund – Class I | 5.62% | |
Lord Abbett Investment Trust - High Yield Fund – Class I | 14.19% | |
Lord Abbett Investment Trust - Inflation Focused Fund – Class I | 2.70% | |
Lord Abbett Municipal Income Fund, Inc. – Intermediate Tax-Free Fund – Class I | 1.55% | |
Lord Abbett Securities Trust - International Equity Fund – Class I | 5.29% | |
Lord Abbett Securities Trust - International Value Fund – Class I | 5.64% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 4.50% |
Multi-Asset Income Fund’s Investments:
Underlying Fund Name | % of Investments | |
Lord Abbett Investment Trust - Convertible Fund – Class I | 3.10% | |
Lord Abbett Investment Trust - Core Fixed Income Fund – Class I | 12.45% | |
Lord Abbett Securities Trust - Durable Growth Fund – Class I | 3.49% | |
Lord Abbett Global Fund, Inc. - Emerging Markets Bond Fund – Class I | 7.08% | |
Lord Abbett Investment Trust-Floating Rate Fund – Class I | 1.97% | |
Lord Abbett Securities Trust - Focused Large Cap Value Fund – Class I | 13.57% | |
Lord Abbett Securities Trust - Fundamental Equity Fund – Class I | 3.90% | |
Lord Abbett Securities Trust - Growth Leaders Fund – Class I | 8.36% | |
Lord Abbett Research Fund, Inc. - Growth Opportunities Fund – Class I | 3.63% | |
Lord Abbett Investment Trust - High Yield Fund – Class I | 15.35% | |
Lord Abbett Investment Trust - Inflation Focused Fund – Class I | 5.07% | |
Lord Abbett Municipal Income Fund, Inc. – Intermediate Tax-Free Fund – Class I | 7.88% | |
Lord Abbett Securities Trust - International Equity Fund – Class I | 5.48% | |
Lord Abbett Securities Trust - International Value Fund – Class I | 5.66% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 3.01% |
The Ten Largest Holdings and the Holdings by Sector or Credit Rating, as of November 30, 2020, 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.
63
Investments in Underlying Funds (unaudited) (continued)
Lord Abbett Investment Trust – Convertible Fund
Ten Largest Holdings | % of Investments | |
Tesla, Inc., 2.00%, 5/15/2024 | 6.22% | |
Canopy Growth Corp., 4.25%, 7/15/2023 | 4.27% | |
SunPower Corp., 4.00%, 1/15/2023 | 2.99% | |
Weibo Corp. (China), 1.25%, 11/15/2022 | 2.63% | |
NextEra Energy, Inc., 4.872% | 2.51% | |
Booking Holdings, Inc., 0.90%, 9/15/2021 | 2.37% | |
Square, Inc., 0.125%, 3/1/2025 | 2.25% | |
Scorpio Tankers, Inc. (Monaco), 3.00%, 5/15/2022 | 2.20% | |
Danaher Corp., 4.75% | 2.19% | |
Snap, Inc., 0.75%, 8/1/2026 | 1.93% |
Holding by Sector* | % of Investments | |
Automotive | 6.91% | |
Banking | 1.62% | |
Capital Goods | 3.83% | |
Energy | 0.59% | |
Financial Services | 4.12% | |
Health Care | 18.48% | |
Leisure | 5.86% | |
Media | 3.69% | |
Real Estate | 2.19% | |
Retail | 5.83% | |
Technology & Electronics | 33.81% | |
Telecommunications | 0.64% | |
Transportation | 6.32% | |
Utilities | 2.51% | |
Repurchase Agreement | 3.60% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Core Fixed Income Fund
Ten Largest Holdings | % of Investments | |
U.S. Treasury Note, 2.5%, 1/31/2021 | 8.52% | |
Federal National Mortgage Assoc., 3.50%, 12/14/2050 | 7.45% | |
U.S. Treasury Notes, 0.25%, 10/31/2025 | 6.78% | |
Federal National Mortgage Assoc., 3.00%, 12/14/2050 | 6.43% | |
Federal National Mortgage Assoc., 4.00%, 12/14/2050 | 4.00% | |
U.S. Treasury Notes, 0.23%, 11/15/2023 | 3.87% | |
U.S. Treasury Notes, 0.125%, 10/31/2022 | 2.92% | |
U.S. Treasury Notes, 0.125%, 09/30/2022 | 2.44% | |
U.S. Treasury Notes, 1.125%, 05/15/2040 | 2.01% | |
Federal National Mortgage Assoc., 2.50%, 12/14/2050 | 1.85% |
64
Investments in Underlying Funds (unaudited) (continued)
Holding by Sector* | % of Investments | |
Auto | 1.08% | |
Basic Industry | 0.25% | |
Capital Goods | 0.86% | |
Consumer Cyclicals | 0.08% | |
Consumer Services | 0.90% | |
Consumer Staples | 0.71% | |
Energy | 1.88% | |
Financial Services | 23.63% | |
Foreign Government | 2.12% | |
Health Care | 4.77% | |
Integrated Oils | 0.35% | |
Materials and Processing | 1.31% | |
Municipal | 1.08% | |
Producer Durables | 0.62% | |
Technology | 1.95% | |
Telecommunications | 0.83% | |
Transportation | 0.10% | |
U.S. Government | 50.71% | |
Utilities | 2.35% | |
Repurchase Agreement | 4.42% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – Durable Growth Fund
Ten Largest Holdings | % of Investments | |
Amazon.Com, Inc. | 8.40% | |
Microsoft Corp. | 7.50% | |
Apple, Inc. | 6.90% | |
Alphabet, Inc. Class A | 4.93% | |
Facebook, Inc. Class A | 4.63% | |
Mastercard, Inc. Class A | 2.67% | |
Salesforce.Com, Inc. | 2.42% | |
Paypal Holdings, Inc. | 2.31% | |
Nvidia Corp. | 2.21% | |
Qualcomm, Inc. | 2.09% |
Holding by Sector* | % of Investments | |
Communication Services | 13.52% | |
Consumer Discretionary | 16.54% | |
Consumer Staples | 4.13% | |
Financial Services | 2.00% | |
Health Care | 13.01% | |
Industrials | 6.58% | |
Information Technology | 39.45% | |
Materials | 2.69% | |
Real Estate | 1.61% | |
Repurchase Agreement | 0.47% | |
Total | 100.00% |
* | A sector may comprise several industries. |
65
Investments in Underlying Funds (unaudited) (continued)
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund
Ten Largest Holdings | % of Investments | |
Republic of Nigeria, 6.50%, 11/28/2027 | 1.51% | |
State of Qatar, 3.25%, 6/2/2026 | 1.50% | |
Petroleos Mexicanos, 5.35%, 2/12/2028 | 1.40% | |
Republic of South Africa, 4.30%, 10/12/2028 | 1.38% | |
Republic of Egypt, 6.588%, 2/21/2028 | 1.29% | |
Oman Government International Bond, 4.75%, 6/15/2026 | 1.26% | |
Ukraine Government, 7.375%, 9/25/2032 | 1.06% | |
Ivory Coast Bond, 6.375%, 3/3/2028 | 1.02% | |
Republic of Turkey, 4.25%, 4/14/2026 | 1.01% | |
Dominican Republic, 6.40%, 6/5/2049 | 0.98% |
Holding by Sector* | % of Investments | |
Agency | 0.26% | |
Automotive | 0.31% | |
Banking | 3.87% | |
Basic Industry | 3.33% | |
Consumer Goods | 0.95% | |
Energy | 11.56% | |
Financial Services | 1.77% | |
Foreign Sovereign | 62.77% | |
Media | 0.48% | |
Real Estate | 0.71% | |
Retail | 0.99% | |
Services | 0.44% | |
Technology & Electronics | 0.07% | |
Transportation | 1.01% | |
Utilities | 4.02% | |
Repurchase Agreement | 7.46% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Floating Rate Fund
Ten Largest Holdings | % of Investments | |
Invesco Senior Loan ETF | 1.28% | |
CSC Holdings, LLC 2017 1st Lien Term Loan, 2.4081%, 7/17/2025 | 0.82% | |
Asurion LLC 2018 Term Loan B6, 3.156%, 11/3/2023 | 0.80% | |
CenturyLink, Inc. 2020 Term Loan B, 2.4064%, 3/15/2027 | 0.80% | |
Caesars Resort Collection, LLC 2017 1st Lien Term Loan B, 2.09064%, 12/23/2024 | 0.72% | |
Bausch Health Companies Inc. Term Loan B, 2.9333%, 11/27/20225 | 0.62% | |
1011778 B.C. Unlimited Liability Company Term Loan B4, 1.9064%, 11/19/2026 | 0.61% | |
Almonde, Inc. USD 1st Lien Term Loan, 4.50%, 12/10/2024 | 0.58% | |
Playtika Holding Corp Term Loan B, 7.072%, 12/10/2024 | 0.55% | |
Starfruit Finco B.V 2018 USD Term Loan B, 3.1641%, 10/1/2025 | 0.54% |
66
Investments in Underlying Funds (unaudited) (continued)
Holding by Sector* | % of Investments | |
Aerospace | 3.70% | |
Chemicals | 2.35% | |
Consumer Durables | 0.65% | |
Consumer Non-Durables | 1.40% | |
Energy | 3.24% | |
Financial Services | 11.88% | |
Food And Drug | 0.56% | |
Food/Tobacco | 3.33% | |
Forest Products | 0.97% | |
Gaming/Leisure | 6.01% | |
Health Care | 13.44% | |
Housing | 3.58% | |
Information Technology | 14.13% | |
Manufacturing | 3.96% | |
Media/Telecom | 12.76% | |
Metals/Minerals | 1.36% | |
Retail | 3.79% | |
Transportation | 5.82% | |
Utilities | 2.31% | |
Repurchase Agreement | 4.76% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – Focused Large Cap Value Fund
Ten Largest Holdings | % of Investments | |
Discover Financial Services | 3.92% | |
Ameriprise Financial, Inc. | 3.74% | |
Caesars Entertainment, Inc. | 3.73% | |
Spectrum Brands Holdings, Inc. | 3.71% | |
Nexstar Media Group, Inc. Class A | 3.67% | |
Invesco Ltd. | 3.62% | |
Dow, Inc. | 3.59% | |
JPMorgan Chase & Co. | 3.40% | |
Fidelity National Financial, Inc. | 3.35% | |
CIT Group, Inc. | 3.33% |
Holding by Sector* | % of Investments | |
Communication Services | 8.59% | |
Consumer Discretionary | 15.61% | |
Consumer Staples | 6.04% | |
Energy | 5.34% | |
Financials | 30.07% | |
Health Care | 14.43% | |
Industrials | 8.29% | |
Information Technology | 4.20% | |
Materials | 6.44% | |
Repurchase Agreement | 0.99% | |
Total | 100.00% |
* | A sector may comprise several industries. |
67
Investments in Underlying Funds (unaudited) (continued)
Lord Abbett Securities Trust – Fundamental Equity Fund
Ten Largest Holdings | % of Investments | |
JPMorgan Chase & Co. | 3.42% | |
Honeywell International, Inc. | 2.61% | |
Alphabet, Inc. Class A | 2.23% | |
Medtronic plc | 2.21% | |
American Express Co. | 2.06% | |
Verizon Communications, Inc. | 2.05% | |
Morgan Stanley | 1.96% | |
Texas Instruments, Inc. | 1.95% | |
Bristol-Myers Squibb Co. | 1.88% | |
Comcast Corp. Class A | 1.87% |
Holding by Sector* | % of Investments | |
Communication Services | 8.72% | |
Consumer Discretionary | 7.53% | |
Consumer Staples | 6.81% | |
Energy | 4.16% | |
Financial Services | 19.99% | |
Health Care | 14.38% | |
Industrials | 13.10% | |
Information Technology | 11.24% | |
Materials | 4.73% | |
Real Estate | 3.12% | |
Utilities | 5.75% | |
Repurchase Agreement | 0.47% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – Growth Leaders Fund
Ten Largest Holdings | % of Investments | |
Apple, Inc. | 5.82% | |
Amazon.com, Inc. | 5.29% | |
Microsoft Corp. | 4.54% | |
Alphabet, Inc. Class A | 3.10% | |
Tesla, Inc. | 3.03% | |
NVIDIA Corp. | 2.60% | |
Roku, Inc. | 2.29% | |
Facebook, Inc. Class A | 2.24% | |
Uber Technologies, Inc. | 2.22% | |
Square, Inc. Class A | 2.12% |
Holding by Sector* | % of Investments | |
Communication Services | 15.83% | |
Consumer Discretionary | 18.46% | |
Financial Services | 2.00% | |
Health Care | 14.13% | |
Industrials | 6.80% | |
Information Technology | 41.25% | |
Repurchase Agreement | 1.53% | |
Total | 100.00% |
* | A sector may comprise several industries. |
68
Investments in Underlying Funds (unaudited) (continued)
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund
Ten Largest Holdings | % of Investments | |
RingCentral, Inc. Class A | 2.32% | |
Twilio, Inc. Class A | 2.25% | |
Splunk, Inc. | 2.24% | |
Align Technology, Inc. | 1.98% | |
DocuSign, Inc. | 1.82% | |
Zendesk, Inc. | 1.72% | |
FleetCor Technologies, Inc. | 1.67% | |
Ball Corp. | 1.66% | |
Chipotle Mexican Grill, Inc. | 1.64% | |
Veeva Systems, Inc. Class A | 1.58% |
Holding by Sector* | ||
Communication Services | 5.28% | |
Consumer Discretionary | 13.56% | |
Consumer Staples | 3.82% | |
Financial Services | 5.70% | |
Health Care | 22.25% | |
Industrials | 10.86% | |
Information Technology | 31.53% | |
Materials | 3.85% | |
Real Estate | 1.28% | |
Repurchase Agreement | 0.78% | |
Money Market Fund | 0.98% | |
Time Deposit | 0.11% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – High Yield Fund
Ten Largest Holdings | % of Investments | |
Sprint Capital Corp., 6.88%, 11/15/2028 | 1.49% | |
Ford Motor Co., 9.00%, 4/22/2025 | 1.25% | |
DISH DBS Corp., 7.75%, 7/1/2026 | 1.21% | |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/1/2030 | 0.75% | |
TransDigm, Inc., 5.50%, 11/15/2027 | 0.61% | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 5/1/2027 | 0.61% | |
Tenet Healthcare Corp., 6.25%, 2/1/2027 | 0.60% | |
Kraft Heinz Foods Co., 4.38%, 6/1/2046 | 0.57% | |
Netflix, Inc., 8.50%, 11/15/2017 | 0.56% | |
Kraft Heinz Foods Co., 4.88%, 10/1/2049 | 0.55% |
69
Investments in Underlying Funds (unaudited) (continued)
Holding by Sector* | % of Investments | |
Automotive | 4.38% | |
Banking | 1.90% | |
Basic Industry | 12.13% | |
Capital Goods | 5.00% | |
Consumer Cyclicals | 0.01% | |
Consumer Discretionary | 0.01% | |
Consumer Goods | 5.80% | |
Energy | 10.76% | |
Financial Services | 3.44% | |
Foreign Sovereign | 0.11% | |
Health Care | 8.93% | |
Insurance | 0.49% | |
Leisure | 8.17% | |
Media | 9.98% | |
Municipal | 0.37% | |
Personal & Household Products | 0.08% | |
Pharmaceuticals | 0.00% | |
Real Estate | 0.98% | |
Retail | 5.98% | |
Services | 4.78% | |
Technology & Electronics | 6.11% | |
Telecommunications | 3.99% | |
Transportation | 2.97% | |
Utilities | 3.25% | |
Repurchase Agreement | 0.38% | |
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, 0.25%, 10/31/2025 | 1.71% | |
Wells Fargo & Co., 2.16%, 2/11/2026 | 1.22% | |
Dell International LLC/EMC Corp., 5.45%, 6/15/2023 | 0.80% | |
UBS AG, 7.63%, 8/17/2022 | 0.79% | |
Boeing Co. (The), 4.51%, 5/1/2023 | 0.76% | |
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A, 3.905%, 5/5/2030 | 0.75% | |
NBCUniversal Enterprise, Inc., 5.25%, 1/1/2099 | 0.70% | |
Continental Resources, Inc., 5.00%, 9/15/2022 | 0.62% | |
CFCRE Commercial Mortgage Trust 2018-TAN A, 4.235%, 2/15/2033 | 0.58% | |
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/2024 | 0.58% |
70
Investments in Underlying Funds (unaudited) (continued)
Holding by Sector* | % of Investments | |
Auto | 4.70% | |
Basic Industry | 0.01% | |
Capital Goods | 1.55% | |
Consumer Cyclicals | 1.82% | |
Consumer Discretionary | 0.88% | |
Consumer Services | 1.85% | |
Consumer Staples | 0.58% | |
Energy | 8.04% | |
Financial Services | 51.19% | |
Foreign Government | 0.59% | |
Health Care | 4.31% | |
Integrated Oils | 0.17% | |
Materials and Processing | 3.25% | |
Municipal | 0.33% | |
Other | 0.04% | |
Producer Durables | 1.83% | |
Technology | 4.21% | |
Telecommunications | 0.75% | |
Transportation | 1.05% | |
U.S. Government | 2.34% | |
Utilities | 3.63% | |
Repurchase Agreement | 6.88% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Municipal Bond Fund, Inc. – Intermediate Tax Free Fund
Ten Largest Holdings | % of Investments | |
Buckeye Tabacco, 5.00%, 6/1/2055 | 0.63% | |
KY Public Energy Auth-Peak Energy, 4.00%, 2/1/2050 | 0.55% | |
NJ Trans Trust Fund, 5.00%, 12/15/2033 | 0.53% | |
PEFA Gas, 5.00%, 9/1/2049 | 0.48% | |
CA State GO, 4.00%, 3/1/2036 | 0.47% | |
TX Muni Gas Acq & Supply-Macquarie, 5.00%, 12/15/2024 | 0.44% | |
VA Clg Bldg Auth, 4.00%, 2/1/2034 | 0.43% | |
Atlanta Arpt-PFC AMT, 4.00%, 7/1/2034 | 0.43% | |
CT State GO, 4.00%, 1/15/2036 | 0.43% | |
MTA NY, 4.75%, 11/15/2045 | 0.38% |
71
Investments in Underlying Funds (unaudited) (continued)
Holding by Credit Rating | % of Investments | |
AAA | 3.17% | |
AA+ | 5.48% | |
AA | 13.66% | |
AA- | 9.94% | |
A+ | 12.53% | |
A | 11.29% | |
A- | 10.71% | |
BBB+ | 8.90% | |
BBB | 4.29% | |
BBB- | 6.40% | |
BB+ | 1.63% | |
BB | 0.53% | |
BB- | 2.70% | |
B+ | 0.37% | |
B | 0.12% | |
B- | 0.74% | |
CCC- | 0.03% | |
CC | 0.25% | |
C | 0.06% | |
NR | 7.20% | |
Total | 100.00% |
Lord Abbett Securities Trust – International Equity Fund
Ten Largest Holdings | % of Investments | |
Alibaba Group Holding Ltd. ADR | 2.88% | |
Tencent Holdings Ltd. | 2.66% | |
Samsung Electronics Co., Ltd. | 2.33% | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2.12% | |
Nestle SA Registered Shares | 1.94% | |
Sony Corp. | 1.67% | |
AIA Group Ltd. | 1.55% | |
ASML Holding NV | 1.52% | |
Lonza Group AG | 1.51% | |
LVMH Moet Hennessy Louis Vuitton SE | 1.46% |
Holding by Sector | % of Investments | |
Communication Services | 4.45% | |
Consumer Discretionary | 13.91% | |
Consumer Staples | 8.28% | |
Energy | 3.56% | |
Financial Services | 17.54% | |
Health Care | 10.30% | |
Industrials | 16.61% | |
Information Technology | 12.60% | |
Materials | 8.21% | |
Real Estate | 1.97% | |
Utilities | 2.14% | |
Repurchase Agreement | 0.43% | |
Total | 100.00% |
* | A sector may comprise several industries. |
72
Investments in Underlying Funds (unaudited) (continued)
Lord Abbett Securities Trust – International Value Fund
Ten Largest Holdings | % of Investments | |
Sanofi | 2.81% | |
Anglo American plc | 2.49% | |
UBS Group AG | 2.29% | |
Samsung Electronics Co., Ltd. | 2.27% | |
Allianz SE Registered Shares | 2.22% | |
TDK Corp. | 2.21% | |
Credit Agricole SA | 2.03% | |
Royal Dutch Shell Spon ADR A | 2.03% | |
BHP Group Ltd. | 1.88% | |
Sanwa Holdings Corp. | 1.85% |
Holding by Sector* | % of Investments | |
Communication Services | 3.54% | |
Consumer Discretionary | 14.38% | |
Consumer Staples | 5.23% | |
Energy | 5.92% | |
Financial Services | 22.60% | |
Health Care | 7.73% | |
Industrials | 16.91% | |
Information Technology | 6.93% | |
Materials | 7.26% | |
Real Estate | 3.68% | |
Utilities | 5.78% | |
Repurchase Agreement | 0.04% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Mid Cap Stock Fund, Inc.
Ten Largest Holdings | % of Investments | |
Discover Financial Services | 2.07% | |
Euronet Worldwide, Inc. | 2.01% | |
Teradyne, Inc. | 1.90% | |
Ameriprise Financial, Inc. | 1.84% | |
Corteva, Inc. | 1.82% | |
Cummins, Inc. | 1.77% | |
Lear Corp. | 1.73% | |
Lundin Mining Corp. | 1.73% | |
Edison International | 1.69% | |
CIT Group, Inc. | 1.69% |
73
Investments in Underlying Funds (unaudited) (concluded)
Holding by Sector* | % of Investments | |
Communication Services | 3.14% | |
Consumer Discretionary | 12.74% | |
Consumer Staples | 4.22% | |
Energy | 3.95% | |
Financial Services | 16.94% | |
Health Care | 7.39% | |
Industrials | 16.58% | |
Information Technology | 9.93% | |
Materials | 7.94% | |
Real Estate | 9.46% | |
Utilities | 7.14% | |
Repurchase Agreement | 0.57% | |
Total | 100.00% |
* | A sector may comprise several industries. |
74
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Fund in accordance with the laws of the state of organization. The Board elects officers who are responsible for the day-to-day operations of the Fund and who execute policies authorized by the Board. The Board also approves an investment adviser to the 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 Board member holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Fund’s organizational documents.
Lord, Abbett & Co. LLC (“Lord Abbett”), a Delaware limited liability company, is the Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Fund.
Independent Board Members
The following Independent Board Members also are board members of each of the 13 investment companies in the Lord Abbett Family of Funds, which consist of 60 investment portfolios.
Name, Address and Year of Birth | Current Position and Length of Service with the Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Evelyn E. Guernsey Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1955) | Board member since 2011 | Principal Occupation: None. Other Directorships: None. | ||
Julie A. Hill Lord, Abbett & Co. LLC c/o Legal Dept. | Board member since 2004 | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998). | ||
90 Hudson Street Jersey City, NJ 07302 (1946) | 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. | Board member since 2017 | Principal Occupation: President and Chief Investment Officer of CenturyLink Investment Management Company (since 2006). | ||
90 Hudson Street Jersey City, NJ 07302 (1963) | Other Directorships: None. | |||
James M. McTaggart Lord, Abbett & Co. LLC c/o Legal Dept. | Board member since 2012 | Principal Occupation: Independent management advisor and consultant (since 2012). | ||
90 Hudson Street Jersey City, NJ 07302 (1947) | Other Directorships: Blyth, Inc., a home products company (2004–2015). | |||
Charles O. Prince Lord, Abbett & Co. LLC c/o Legal Dept. | Board member since 2019 | Principal Occupation: None. Formerly Chairman and Chief Executive Officer, Citigroup, Inc. (Retired 2007). | ||
90 Hudson Street Jersey City, NJ 07302 (1950) | Other Directorships: Currently serves as director of Johnson & Johnson (2006–Present). Previously served as director of Xerox Corporation (2008–2018). |
75
Basic Information About Management (continued)
Name, Address and Year of Birth | Current Position and Length of Service with the Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Karla M. Rabusch Lord, Abbett & Co. LLC c/o Legal Dept. | Board member since 2017 | Principal Occupation: President and Director of Wells Fargo Funds Management, LLC (2003–2017); President of Wells Fargo Funds (2003–2016). | ||
90 Hudson Street | Other Directorships: None. | |||
Jersey City, NJ 07302 | ||||
(1959) | ||||
Mark A. Schmid Lord, Abbett & Co. LLC c/o Legal Dept. | Board member since 2016 | Principal Occupation: Vice President and Chief Investment Officer of the University of Chicago (since 2009). | ||
90 Hudson Street | Other Directorships: None. | |||
Jersey City, NJ 07302 | ||||
(1959) | ||||
James L.L. Tullis Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street | Board member 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). | ||
Jersey City, NJ 07302 (1947) | Other Directorships: Currently serves as director of Crane Co. (since 1998), Alphatec Spine (since 2018), electroCore, Inc. (since 2018), and Exagen Inc. (since 2019). |
Interested Board Members
Mr. Sieg is affiliated with Lord Abbett and is an “interested person” of the Fund as defined in the Act. Mr. Sieg is a board member of each of the 13 investment companies in the Lord Abbett Family of Funds, which consist of 60 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 Fund | 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) | Board member 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. |
Officers
None of the officers listed below have received compensation from the Fund. All of the officers of the Fund 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).
76
Basic Information About Management (concluded)
Name and Year of Birth | Current Position with the Fund | 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) | Chief Financial Officer and Treasurer | Elected as Chief Financial Officer in 2020 and Treasurer in 2018 | Partner and Director of U.S. Fund Treasury & Global Taxation, joined Lord Abbett in 2003. | |||
Linda Y. Kim (1980) | Vice President and Assistant Secretary | Elected in 2016 | Counsel, joined Lord Abbett in 2015. | |||
Joseph M. McGill (1962) | Chief Compliance Officer | Elected in 2014 | Partner and Chief Compliance Officer, joined Lord Abbett in 2014. | |||
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 Fund’s Board members. It is available free upon request.
77
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, each Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review each Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that each Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. The Board has appointed Lord Abbett as the administrator for each Fund’s Program. At the May 28–29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: each Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period. There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in each Fund may be subject.
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 (or related notice of internet availability of 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.
78
Tax Information
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 | 19% | 25% | |||
Multi-Asset Income Fund | 14% | 21% |
Additionally, of the distributions paid to the shareholders during the fiscal year ended November 30, 2020, the following amount represent long-term capital gains:
Fund Name | ||
Multi-Asset Balanced Opportunity Fund | $ 30,376,355 |
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 | $4,208,254 | $777,188 | ||||
Multi-Asset Income Fund | 2,285,976 | $420,817 |
The percentages below reflect the portion of net investment income distributions paid during the fiscal year ended November 30, 2020 that is tax-exempt dividend income.
Multi-Asset Balanced Opportunity Fund | 1.68 | % |
Multi-Asset Income Fund | 4.20 | % |
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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 Multi-Asset Balanced Opportunity Fund Lord Abbett Multi-Asset Income Fund | LASAF-2 (01/21) |
LORD ABBETT
ANNUAL REPORT
Lord Abbett
Convertible Fund
Core Fixed Income Fund
Core Plus Bond Fund
Corporate Bond Fund
Floating Rate Fund
High Yield Fund
Income Fund
Inflation Focused Fund
Short Duration Core Bond Fund
Short Duration Income Fund
Total Return Fund
Ultra Short Bond Fund
For the fiscal year ended November 30, 2020
Table of Contents
Lord Abbett Convertible Fund, Lord Abbett Core Fixed Income Fund, Lord Abbett Core Plus Bond Fund, Lord Abbett Corporate Bond Fund, Lord Abbett Floating Rate Fund, Lord Abbett High Yield Fund, Lord Abbett Income Fund, Lord Abbett Inflation Focused Fund, Lord Abbett Short Duration Core Bond Fund, Lord Abbett Short Duration Income Fund, Lord Abbett Total Return Fund, and Lord Abbett Ultra Short Bond Fund
Annual Report
For the fiscal year ended November 30, 2020
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, 2020. 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, 2020, the Fund returned 57.67%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the
ICE BofA All U.S. Convertibles Index,1 which returned 39.99% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a
1
“phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
In November, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the
Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by December.
Convertibles proved to be rather resilient despite increased volatility and large swings in both the equity and credit markets. Convertible securities were one of the best performing asset classes during the period, exhibiting strong absolute and risk-adjusted returns. The convertible market saw robust issuance during the period, with volume recording a record high in 2020, and strong demand from both investors and issuers.
Among the largest contributors to the Fund’s relative performance during the period was security selection within the technology sector; specifically, in the software and semiconductor industries. Security selection within the health care sector also contributed to relative performance.
Among the largest detractors from the Fund’s relative performance during the period were security selection and
2
overweights within the transportation and retail sectors, which were disproportionately impacted by COVID-19. Positioning within select energy related industries also detracted from relative performance.
Lord Abbett Core Fixed Income Fund
For the fiscal year ended November 30, 2020, the Fund returned 7.40%, 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,3 which returned 7.28%.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted
investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
3
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the removal of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine, and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
Regarding fund performance, for the 12-month period ended November 2020, the largest contributor was an overweight allocation to investment grade corporate bonds. The asset class rallied significantly following the March drawdown and
outperformed the broader index over the 12-month period. Also contributing to relative performance over the period was security selection within agency mortgage-backed securities.
The largest detractor from relative performance over the period was security selection within investment grade corporate bonds. Specifically, selection in the consumer cyclical and energy sectors hurt performance. Also detracting was security selection within commercial mortgage-backed securities, and more specifically, hotel and retail properties, which hurt performance as the effects of social distancing due to the COVID-19 pandemic led to concerns around commercial real estate fundamentals.
Lord Abbett Core Plus Bond Fund
For the fiscal year ended November 30, 2020, the Fund returned 6.57%, 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,3 which returned 7.28%.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the
4
COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in
earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the removal of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine, and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by December. Additionally, in its November meeting, the
5
Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
For the 12-month period ended November 2020, an allocation to high yield corporate bonds detracted most from the Fund’s relative performance. Despite posting positive returns during the period, the portfolio’s high yield bond allocation came under pressure during March, as the credit markets wrestled with the news around a mounting global pandemic and a Russia-Saudi Arabia oil war. Also detracting from relative performance was security selection within commercial mortgage-backed securities, and, more specifically, hotel and retail properties, which hurt performance as the effects of social distancing due to the COVID-19 pandemic led to concerns around commercial real estate fundamentals.
The Fund’s largest contributor to relative performance was an overweight in investment grade corporate bonds. Investment grade corporate bonds rallied significantly following the March drawdown and the asset class outperformed the broader index over the 12-month period. Also contributing to relative performance was security selection within mortgage-backed securities.
Lord Abbett Corporate Bond Fund
For the fiscal year ended November 30, 2020, the Fund returned 8.95%, 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,4 which returned 9.76% over the period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional
6
credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the conclusion of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as, in our view, it
lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity.” Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by the end of December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
Over the trailing 12-month period, security selection within investment grade corporate bonds was the Fund’s primary detractor from relative performance. Specifically, selection within the banking, travel & leisure, and energy sectors were the largest detractors over the period. However, security selection within utilities (specifically idiosyncratic opportunities within electric utilities and natural gas) generated a notable positive contribution to relative performance and helped offset some of the negative contributions within other sectors.
Though the asset class underperformed the index, security selection within the Fund’s modest off-benchmark allocation to high yield corporates was the largest contributor to relative performance over
7
the period. Specifically, security selection within the energy sector was the most significant contributor to relative performance, as oil prices rallied over the 12-month period. In addition, select bonds reduced down to a below investment-grade credit rating offered compelling investment opportunities. The Fund’s modest allocation to U.S. Treasury bonds also contributed to relative performance over the period. The asset class benefited from lower interest rates across the yield curve, as investors flocked to high quality assets earlier in the year amid fears around COVID-19.
Lord Abbett Floating Rate Fund
For the fiscal year ended November 30, 2020, the Fund returned -1.58%, 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,5 which returned 3.10% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil
contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however,
8
market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the conclusion of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as, in our view, it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer and BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer and BioNTech vaccine and the Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by the end of December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept
interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
Security selection within and an overweight allocation to the aerospace industry detracted from relative performance. The portfolio’s positions in several U.S.-based airlines detracted from relative performance as airlines faced continued pressure amid deteriorating demand due to near term COVID-19 related headwinds. Security selection within the health care and manufacturing sectors also detracted from relative performance. Additionally, the Fund’s underweight to and security selection within the BB-rated segment of the loan market were detractors from relative performance.
Security selection within the gaming & leisure sector contributed to relative performance. The sector, and more specifically regional gaming securities, benefited from pent up demand as gaming-oriented properties reopened. Security selection within the housing sector also contributed to relative performance. Additionally, the Fund benefited from its exposure to innovation, most notably in the information technology and health care sectors, which was achieved through convertible bonds. The asset class’s equity-like return profile was advantageous during the market recovery, which began in late-March.
Lord Abbett High Yield Fund
For the fiscal year ended November 30, 2020, the Fund returned 4.65%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the
9
ICE BofA U.S. High Yield Constrained Index,6 which returned 6.26% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional
credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the conclusion of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as, in our
10
view, it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer and BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer and BioNTech vaccine and the Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by the end of December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
Among the largest detractors from the Fund’s relative performance were security selection within and an overweight allocation to the transportation sector. Within the transportation sector, the Fund’s exposure to select airlines detracted from relative performance following COVID-19 related headwinds and demand deterioration. Additionally, the Fund’s underweight allocation to the BB-rated segment detracted from relative performance as the higher rated credit tiers significantly outperformed the lower quality segments of the market. The Fund’s allocation to bank loans also detracted from relative performance as the asset
class faced pronounced outflows and a negative technical backdrop.
Security selection within the automotive sector contributed to relative performance. This procyclical sector benefited from the gradual reopening of the global economy. Additionally, as people started using less public transportation during the pandemic and many shifted from urban living to suburban living, the automotive sector experienced a secular shift with pent-up demand bolstering performance. The Fund benefited from its exposure to innovation, most notably in the information technology and health care sectors, which was achieved through convertible bonds. The asset class’s equity-like return profile was advantageous during the market recovery, which began in late-March.
Lord Abbett Income Fund
For the fiscal year ended November 30, 2020, the Fund returned 7.65%, 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,7 which returned 9.17% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence,
11
and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued
rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the conclusion of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as, in our view, it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity.” Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by the end of December.
12
Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
Investment grade corporate bonds were among the top performing sectors within fixed income during the trailing 12-month period. While the benchmark predominantly consists of investment grade corporate bonds, the Fund took 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. As a result, the Fund’s underweight to and security selection within investment grade corporate bonds were the primary detractors from performance. Most notably, underweights to and selection within the technology and consumer cyclical sectors negatively impacted relative performance.
The Fund’s modest allocation to U.S. Treasury bonds was the largest contributor to performance over the period. The asset class benefited from lower interest rates across the yield curve, as investors flocked to high quality assets earlier in the year amid fears around the COVID-19 pandemic. In addition, the Fund’s off-benchmark allocation to high yield corporates also contributed to relative performance. Specifically, security selection within the energy and consumer cyclicals sectors were the most significant contributors to relative performance over the period.
Lord Abbett Inflation Focused Fund
For the fiscal year ended November 30, 2020, 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 U.S. 1-5 Year TIPS Index,8 which returned 5.41% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt,
13
and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the removal of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican
Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine, and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
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”). The Fund combines a short-term bond portfolio with an overlay of consumer price index (CPI) swaps through which the Fund seeks to hedge against inflation over a full market cycle. The Fund’s CPI swap overlay was a contributor to relative performance. Inflation expectations rose over the 12-month period, despite falling drastically during the March drawdown. In our view, the main catalyst for inflation expectations
14
rallying over the latter half of the 12-month period was the Federal Reserve’s announcement that it was more willing to allow inflation to rise above 2% for some time before raising rates. Chairman Powell, while speaking at the annual Jackson Hole event, announced the new inflation policy, which was described as a “flexible” average inflation targeting strategy. The Fed has given itself room to loosen policy and allow inflation to rise “moderately” above 2% for periods, as it focuses on increasing broad-based employment.
Within the underlying bond portfolio, the allocation to commercial mortgage-backed securities was the largest detractor to relative performance over the period. Despite holding an up-in-quality bias, the allocation detracted as commercial real estate valuation uncertainty and the shutdown nature of COVID-19, especially in hotel and retail properties, acted as strong headwinds to the asset class. Also detracting from relative performance was a modest allocation to cash and cash equivalents.
The main contributor to relative performance over the period was security selection within investment grade corporate bonds. Security selection in the healthcare and capital goods sectors most notably benefited performance. After the March drawdown, we began to add modestly to short-term high yield as we believed the asset class might benefit from the easing of restrictions, lower rates, and a search-for-yield environment. Since March, the Fund’s allocation to high yield credit has contributed significantly to performance. Most notably, the portfolio’s high yield allocations within the autos, leisure, energy and technology sectors contributed to relative performance.
Lord Abbett Short Duration Core Bond Fund
For the fiscal year ended November 30, 2020, the Fund returned 2.46%, 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,9 which returned 3.49% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of
15
banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the removal of
the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine, and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
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 diversification and allows for the flexibility to take advantage of relative value opportunities across sectors.
16
The Fund’s allocation to commercial mortgage-backed securities was the largest detractor to relative performance over the period. Despite holding an up-in-quality bias, the allocation detracted from relative performance as commercial real estate valuation uncertainty and the shutdown nature of the COVID-19 pandemic, especially in hotel and retail properties, acted as strong headwinds to the asset class. Also detracting from relative performance was security selection within investment grade corporate bonds, and, more specifically, selection within the leisure sector.
The main contributor to relative performance over the period was an overweight to investment grade corporate bonds. Investment grade corporate bonds rallied significantly following the March drawdown and the asset class outperformed the broader index over the 12-month period. Also contributing to relative performance was an underweight to U.S. Treasuries and an off-benchmark allocation to asset-backed securities (ABS). Despite providing positive returns over the period as interest rates fell, U.S. Treasuries underperformed the broader benchmark while high-quality ABS outperformed as the U.S. consumer was well-supported through fiscal stimulus.
Lord Abbett Short Duration Income Fund
For the fiscal year ended November 30, 2020, the Fund returned 2.76%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the ICE BofA 1-3 Year U.S. Corporate Index,10 which returned 4.30% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF),
17
the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the removal of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in
taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine, and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
Consistent with the Fund’s strategic design, the Fund continues to maintain 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.
The Fund’s allocation to commercial mortgage-backed securities was the largest detractor to relative performance over the period. Despite holding an up-in-quality bias, the allocation detracted as commercial real estate valuation uncertainty and the shutdown nature of the COVID-19 pandemic, especially in hotel and retail properties, acted as strong headwinds to the asset class. Also detracting from relative performance was a
18
modest allocation to cash and cash equivalents.
The main contributor to relative performance over the period was security selection within investment grade corporate bonds. Security selection in the healthcare and capital goods sectors most notably benefited performance. After the March drawdown, we began to add modestly to short-term high yield, as we believed the asset class might benefit from the easing of restrictions, lower rates, and a search-for-yield environment. Since March the Fund’s allocation to high yield credit has contributed significantly to performance. Most notably, the portfolio’s high yield allocations within the autos, leisure, energy and technology sectors contributed to relative performance.
Lord Abbett Total Return Fund
For the fiscal year ended November 30, 2020, the Fund returned 6.63%, 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,3 which returned 7.28%.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence,
and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors
19
listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the removal of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine, and Moderna vaccine were on
track to receive Emergency Use Authorization from the FDA by December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
For the 12-month period ended November 2020, an allocation to high yield corporate bonds detracted most from the Fund’s relative performance. Despite posting positive returns during the period, the portfolio’s high yield bond allocation came under pressure during March, as the credit markets wrestled with the news around a mounting global pandemic and a Russia-Saudi Arabia oil war. Also detracting from relative performance was security selection within commercial mortgage-backed securities, and, more specifically, hotel and retail properties which hurt performance as the effects of social distancing due to the COVID-19 pandemic led to concerns around commercial real estate fundamentals.
The Fund’s largest contributor to relative performance was an overweight to investment grade corporate bonds. Investment grade corporate bonds rallied significantly following the March drawdown and the asset class outperformed the broader index over the 12-month period. Also contributing to relative performance was security selection within mortgage-backed securities.
Lord Abbett Ultra Short Bond Fund
For the fiscal year ended November 30, 2020, the Fund returned 1.25%, reflecting performance at the net asset value (NAV)
20
of Class A shares with all distributions reinvested, compared to its benchmark, the ICE BofA U.S. Treasury Bill Index,11 which returned 0.88% over the same period.
The trailing twelve-month period was characterized by several market-moving events. After trade tensions continued to ebb and flow in the final four months of 2019, U.S. President Donald Trump signed a “phase one” trade deal with China on the 15th of January 2020 and markets priced in a likelihood of two more interest rate cuts in 2020. The tide turned abruptly in February and March 2020, as the outbreak of the COVID-19 pandemic and the expected economic damage resulting from a sudden slowdown in corporate spending, individual spending, consumer confidence, and thus recessionary and deflationary pressures, triggered a severe sell-off. As the COVID-19 pandemic fueled fears of slowing global growth, oil prices fell precipitously, with the primary U.S. oil contract closing in negative territory for the first time in history, although it has since rebounded. During the month of March, the S&P 500 Index2 experienced its fastest bear market since 1987 and the longest U.S. economic expansion in history ended at 128 months.
The U.S. Federal Reserve (Fed) responded to the COVID-19 outbreak with a breadth of policy measures which lifted investors’ confidence in the markets. The Fed launched a $700 billion quantitative easing program, decreased the reserve requirements to zero for thousands of banks, and cut the federal funds rate to the current target range of 0-0.25%. Next, the Fed announced additional stimulus programs, including open-ended asset purchases, purchases of corporate debt, and a commitment to a new small business
lending program. Additionally, the central bank announced $2.3 trillion of additional credit support by expanding the Primary Market Corporate Credit Facility (PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), and the Term Asset-Backed Securities Loan Facility (TALF). Most notably, the expanded measures included the purchase of select fallen angels.
Risk assets began to stage a recovery in April and May 2020 on the back of progress with respect to COVID-19 treatments and vaccines, commentary from several corporations that indicated stabilization in April and May, and massive monetary and fiscal policy globally. Positive market sentiment continued into the third quarter of 2020 as well. In addition to the factors listed above, tailwinds for the continued rally in risk assets included a rebound in earnings revisions as well as further progress in COVID-19 treatments, as evidenced by multiple drugs reaching Phase III trials. In September, however, market sentiment soured amid political volatility related to the Supreme Court of the United States vacancy, heightened COVID-19 concerns in Europe as global deaths topped one million, heightened uncertainty leading up to the U.S. Presidential election, and worries about stalled fiscal stimulus talks in Washington.
Despite the volatility in the fall, the markets rallied in the month of November with the Dow Jones Industrial Average having its best month since 1987. The rally was largely attributed to the removal of the U.S. Presidential Election uncertainty and positive vaccine news. Specifically, Former U.S. Vice President Biden defeated U.S. President Trump in the U.S. Presidential Election, while the Republican Party narrowed the Democratic majority in
21
the House and will likely retain control of the Senate. The market responded positively to a split U.S. Congress as it lessened the likelihood of an increase in taxes or regulatory policies. Soon after, Pfizer and BioNTech announced that their COVID-19 vaccine was more than 90% effective in preventing COVID-19 among those without evidence of prior infection, hailing the development as “a great day for science and humanity”. Following the Pfizer/BioNTech announcement, Moderna announced that its COVID-19 vaccine was 94.5% effective and AstraZeneca said the vaccine the company developed with the University of Oxford was 90% effective. By the end of the month, the Pfizer/BioNTech vaccine, and Moderna vaccine were on track to receive Emergency Use Authorization from the FDA by December. Additionally, in its November meeting, the Fed signaled that it would continue to support the economy through its bond-buying program. It also kept interest rates steady, citing general economic progress but a long road ahead to get the economy back to pre-COVID-19 levels.
Consistent with the Fund’s design, the Fund maintained exposure to a variety of short maturity, investment grade bond sectors in addition to the U.S. Treasury Bills represented in the benchmark, including 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 during the period. Floating rate notes presented what we viewed as attractive carry opportunities during the period, allowing the portfolio to capture higher yield over traditional short-term U.S. Treasury Bills. An 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. While there were elevated levels of volatility over the past year, given the rush to liquidity during the COVID-19 crisis, the Fund’s allocations to short term investment grade securities, including short-term corporate bonds, commercial paper and ABS all generated higher returns than U.S. Treasury Bills over the full period.
Each Fund’s portfolio is actively managed and, therefore, 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.
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1 The ICE BofA All 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. 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.
5 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.
6 The ICE BofA 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.
7 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.
8 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.
9 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.
10 The ICE BofA U.S. Corporate 1-3 Year 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.
11 The ICE BofA US Treasury Bill Index tracks the performance of U.S. 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
23
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, 2020. 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’ portfolios are 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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Convertible Fund
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the ICE BofA All 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, 2020 | |||||||||
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 54.08% | 18.18% | 11.96% | – | |||||
Class C4 | 55.72% | 17.98% | 11.52% | – | |||||
Class F5 | 57.83% | 18.85% | 12.34% | – | |||||
Class F36 | 58.11% | – | – | 21.55% | |||||
Class I5 | 58.08% | 18.98% | 12.46% | – | |||||
Class P5 | 57.33% | 18.47% | 11.98% | – | |||||
Class R25 | 57.05% | 18.25% | 11.79% | – | |||||
Class R35 | 57.25% | 18.38% | 11.90% | – | |||||
Class R47 | 57.67% | 18.68% | – | 15.43% | |||||
Class R57 | 58.01% | 18.97% | – | 15.72% | |||||
Class R67 | 58.08% | 19.02% | – | 15.76% |
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Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class P | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
0.00% | 0.00% | 0.00% | 0.22% | 0.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.09% | 0.22% |
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, 2020 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.
26
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, 2020 | |||||||||
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 4.94% | 3.55% | 3.37% | – | |||||
Class C4 | 5.66% | 3.37% | 2.95% | – | |||||
Class F5 | 7.41% | 4.10% | 3.71% | – | |||||
Class F36 | 7.69% | – | – | 4.93% | |||||
Class I5 | 7.56% | 4.23% | 3.81% | – | |||||
Class R25 | 6.97% | 3.61% | 3.20% | – | |||||
Class R35 | 7.08% | 3.72% | 3.30% | – | |||||
Class R47 | 7.26% | 3.96% | – | 3.72% | |||||
Class R57 | 7.61% | 4.24% | – | 4.00% | |||||
Class R67 | 7.60% | 4.33% | – | 4.07% |
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Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
0.73% | 0.12% | 0.84% | 1.02% | 0.98% | 0.35% | 0.45% | 0.70% | 0.94% | 1.02% |
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, 2020, 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.
28
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. Aggregate Bond Index and 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, 2020 |
1 Year | Life of Class | ||||
Class A3 | 4.20% | 4.48% | |||
Class C4 | 4.83% | 4.23% | |||
Class F5 | 6.61% | 5.03% | |||
Class F36 | 6.69% | 5.17% | |||
Class I5 | 6.71% | 5.16% | |||
Class R35 | 6.19% | 4.64% | |||
Class R45 | 6.45% | 4.90% | |||
Class R55 | 6.72% | 5.16% | |||
Class R65 | 6.86% | 5.25% |
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Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R3 | Class R4 | Class R5 | Class R6 |
1.88% | 1.24% | 2.02% | 2.21% | 2.12% | 1.62% | 1.87% | 2.12% | 2.20% |
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, 2020 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.
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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, 2020 |
1 Year | Life of Class | ||||
Class A3 | 6.45% | 5.41% | |||
Class C4 | 7.12% | 5.30% | |||
Class F5 | 8.95% | 6.20% | |||
Class F35 | 9.22% | 6.37% | |||
Class I5 | 9.08% | 6.25% | |||
Class R25 | 8.43% | 5.63% | |||
Class R35 | 8.54% | 5.73% | |||
Class R45 | 8.91% | 6.02% | |||
Class R55 | 9.07% | 6.29% | |||
Class R65 | 9.22% | 6.37% |
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Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
1.78% | 1.16% | 1.92% | 2.04% | 2.01% | 1.43% | 1.52% | 1.77% | 2.01% | 2.04% |
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, 2020 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.
32
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, 2020 | |||||||||
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | –3.79% | 2.83% | 3.42% | – | |||||
Class C4 | –3.24% | 2.64% | 2.97% | – | |||||
Class F5 | –1.50% | 3.38% | 3.75% | – | |||||
Class F36 | –1.32% | – | – | 2.04% | |||||
Class I5 | –1.50% | 3.49% | 3.84% | – | |||||
Class R25 | –2.09% | 2.86% | 3.23% | – | |||||
Class R35 | –1.99% | 2.99% | 3.34% | – | |||||
Class R47 | –1.63% | 3.24% | – | 2.66% | |||||
Class R57 | –1.49% | 3.50% | – | 2.93% | |||||
Class R67 | –1.44% | 3.53% | – | 2.95% |
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Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
3.69% | 3.17% | 3.88% | 4.02% | 3.96% | 3.39% | 3.48% | 3.73% | 3.98% | 4.02% |
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, 2020, 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.
34
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 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, 2020 | |||||||||
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 2.29% | 6.02% | 6.42% | – | |||||
Class C4 | 3.15% | 5.82% | 5.97% | – | |||||
Class F5 | 4.89% | 6.63% | 6.78% | – | |||||
Class F36 | 4.97% | – | – | 4.90% | |||||
Class I5 | 5.00% | 6.73% | 6.88% | – | |||||
Class P5 | 4.42% | 6.27% | 6.42% | – | |||||
Class R25 | 4.39% | 6.08% | 6.26% | – | |||||
Class R35 | 4.49% | 6.22% | 6.36% | – | |||||
Class R47 | 4.61% | 6.46% | – | 5.23% | |||||
Class R57 | 4.87% | 6.72% | – | 5.50% | |||||
Class R67 | 4.97% | 6.81% | – | 5.61% |
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Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class P | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
3.58% | 3.04% | 3.76% | 3.94% | 3.86% | 3.41% | 3.26% | 3.36% | 3.61% | 3.86% | 3.94% |
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, 2020 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.
36
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, 2020 | |||||||||
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 5.11% | 5.67% | 5.21% | – | |||||
Class C4 | 5.60% | 5.47% | 4.79% | – | |||||
Class F5 | 7.38% | 6.23% | 5.56% | – | |||||
Class F36 | 7.95% | – | – | 6.07% | |||||
Class I5 | 7.49% | 6.34% | 5.71% | – | |||||
Class R25 | 6.83% | 5.69% | 5.04% | – | |||||
Class R35 | 7.32% | 5.81% | 5.16% | – | |||||
Class R47 | 7.60% | 6.08% | – | 5.25% | |||||
Class R57 | 7.50% | 6.34% | – | 5.52% | |||||
Class R67 | 7.95% | 6.44% | – | 5.61% |
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Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
2.08% | 1.51% | 2.23% | 2.40% | 2.32% | 1.73% | 1.83% | 2.08% | 2.32% | 2.40% |
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, 2020 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.
38
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 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, 2020
1 Year | 5 Years | Life of Class | |||||
Class A3 | 2.49% | 1.92% | 0.70% | ||||
Class C4 | 3.23% | 1.74% | 0.28% | ||||
Class F5 | 5.06% | 2.49% | 1.05% | ||||
Class F36 | 5.24% | – | 2.24% | ||||
Class I5 | 5.08% | 2.60% | 1.16% | ||||
Class R25 | 4.28% | 1.94% | 0.59% | ||||
Class R35 | 4.65% | 2.10% | 0.70% | ||||
Class R47 | 4.91% | 2.35% | 1.59% | ||||
Class R57 | 5.08% | 2.59% | 1.83% | ||||
Class R67 | 5.24% | 2.73% | 1.97% |
39
Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
1.41% | 0.84% | 1.54% | 1.67% | 1.64% | 1.07% | 1.15% | 1.39% | 1.64% | 1.67% |
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, 2020, 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.
40
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, 2020
1 Year | Life of Class | ||||
Class A3 | 0.15% | 1.85% | |||
Class C4 | 0.76% | 1.76% | |||
Class F5 | 2.54% | 2.59% | |||
Class F35 | 2.65% | 2.76% | |||
Class I5 | 2.65% | 2.70% | |||
Class R35 | 2.16% | 2.20% | |||
Class R45 | 2.41% | 2.45% | |||
Class R55 | 2.66% | 2.70% | |||
Class R65 | 2.75% | 2.78% |
41
Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R3 | Class R4 | Class R5 | Class R6 |
0.51% | 0.00% | 0.62% | 0.78% | 0.72% | 0.23% | 0.49% | 0.72% | 0.78% |
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, 2020, 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.
42
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 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, 2020
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 0.38% | 2.49% | 2.65% | – | |||||
Class C4 | 1.11% | 2.26% | 2.20% | – | |||||
Class F5 | 2.62% | 3.00% | 2.96% | – | |||||
Class F36 | 3.03% | – | – | 3.17% | |||||
Class I5 | 2.97% | 3.11% | 3.06% | – | |||||
Class R25 | 2.36% | 2.55% | 2.49% | – | |||||
Class R35 | 2.46% | 2.65% | 2.57% | – | |||||
Class R47 | 2.47% | 2.86% | – | 2.59% | |||||
Class R57 | 2.97% | 3.11% | – | 2.84% | |||||
Class R67 | 2.79% | 3.18% | – | 2.91% |
43
Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
1.25% | 0.64% | 1.38% | 1.54% | 1.48% | 0.88% | 0.98% | 1.23% | 1.47% | 1.54% |
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, 2020, 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.
44
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. Aggregate Bond Index and 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, 2020
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 4.25% | 3.69% | 3.71% | – | |||||
Class C4 | 4.98% | 3.52% | 3.29% | – | |||||
Class F5 | 6.84% | 4.27% | 4.05% | – | |||||
Class F36 | 6.95% | – | – | 4.75% | |||||
Class I5 | 6.98% | 4.40% | 4.17% | – | |||||
Class P5 | 6.45% | 3.91% | 3.69% | – | |||||
Class R25 | 6.21% | 3.74% | 3.53% | – | |||||
Class R35 | 6.32% | 3.84% | 3.64% | – | |||||
Class R47 | 6.58% | 4.12% | – | 3.80% | |||||
Class R57 | 6.85% | 4.34% | – | 4.02% | |||||
Class R67 | 7.05% | 4.49% | – | 4.16% |
45
Standardized Yield for the Period Ended November 30, 2020
Class A | Class C | Class F | Class F3 | Class I | Class P | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 |
1.30% | 0.71% | 1.43% | 1.63% | 1.57% | 1.09% | 0.94% | 1.04% | 1.28% | 1.53% | 1.62% |
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, 2020, 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.
46
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 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 Maximum Applicable
Sales Charge for the Periods Ended November 30, 2020
1 Year | Life of Class | ||||
Class A2 | 1.25% | 1.80% | |||
Class A13 | –0.34% | 0.33% | |||
Class F2 | 1.30% | 1.84% | |||
Class F34 | 1.45% | 2.05% | |||
Class I2 | 1.40% | 1.95% | |||
Class R52 | 1.41% | 1.97% | |||
Class R62 | 1.45% | 2.00% |
Standardized Yield for the Period Ended November 30, 2020
Class A | Class A1 | Class F | Class F3 | Class I | Class R5 | Class R6 |
0.16% | 0.09% | 0.21% | 0.35% | 0.31% | 0.31% | 0.35% |
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 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of
1.50% applicable to Class A1 shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2020, is calculated using the SEC-required uniform method to compute such return. Commenced operations and performance for the Class began on July 31, 2019.
4 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
47
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, 2020 through November 30, 2020).
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 6/1/20 – 11/30/20” 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.
48
Convertible Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,386.00 | $ | 6.26 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.75 | $ | 5.30 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,382.10 | $ | 10.06 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.55 | $ | 8.52 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,386.70 | $ | 5.67 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,386.90 | $ | 4.65 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.10 | $ | 3.94 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,387.30 | $ | 5.07 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.75 | $ | 4.29 | ||||||
Class P | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,383.60 | $ | 7.75 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.50 | $ | 6.56 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,383.50 | $ | 8.52 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.85 | $ | 7.21 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,383.40 | $ | 8.04 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.25 | $ | 6.81 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,385.60 | $ | 6.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.45 | $ | 5.60 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,386.70 | $ | 5.07 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.75 | $ | 4.29 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,387.50 | $ | 4.66 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.10 | $ | 3.94 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.69% for Class C, 0.95% for Class F, 0.78% for Class F3, 0.85% for Class I, 1.30% for Class P, 1.43% for Class R2, 1.35% for Class R3, 1.11% for Class R4, 0.85% for Class R5 and 0.78% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
49
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | |||
Automotive | 6.91 | % | ||
Banking | 1.62 | % | ||
Capital Goods | 3.83 | % | ||
Energy | 0.59 | % | ||
Financial Services | 4.12 | % | ||
Healthcare | 18.48 | % | ||
Leisure | 5.86 | % | ||
Media | 3.69 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |||
Real Estate | 2.19 | % | ||
Retail | 5.83 | % | ||
Technology & Electronics | 33.81 | % | ||
Telecommunications | 0.64 | % | ||
Transportation | 6.32 | % | ||
Utility | 2.51 | % | ||
Repurchase Agreement | 3.60 | % | ||
Total | 100.00 | % |
50
Core Fixed Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.50 | $ | 3.05 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.00 | $ | 3.03 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.40 | $ | 6.24 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.85 | $ | 6.21 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.10 | $ | 2.49 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.55 | $ | 2.48 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.90 | $ | 1.63 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.40 | $ | 1.62 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.90 | $ | 1.83 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.20 | $ | 1.82 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,030.50 | $ | 5.08 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.00 | $ | 5.05 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.10 | $ | 4.57 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.50 | $ | 4.55 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,032.40 | $ | 3.30 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.75 | $ | 3.29 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.50 | $ | 2.03 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.00 | $ | 2.02 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,034.00 | $ | 1.63 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.40 | $ | 1.62 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.60% for Class A, 1.23% for Class C, 0.49% for Class F, 0.32% for Class F3, 0.36% for Class I, 1.00% for Class R2, 0.90% for Class R3, 0.65% for Class R4, 0.40% for Class R5 and 0.32% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
51
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 1.08 | % | |
Basic Industry | 0.25 | % | |
Capital Goods | 0.86 | % | |
Consumer Cyclical | 0.08 | % | |
Consumer Services | 0.90 | % | |
Consumer Staples | 0.71 | % | |
Energy | 1.88 | % | |
Financial Services | 23.63 | % | |
Foreign Government | 2.12 | % | |
Health Care | 4.77 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Integrated Oils | 0.35 | % | |
Materials & Processing | 1.31 | % | |
Municipal | 1.08 | % | |
Producer Durables | 0.62 | % | |
Technology | 1.95 | % | |
Telecommunications | 0.83 | % | |
Transportation | 0.10 | % | |
U.S. Government | 50.71 | % | |
Utilities | 2.35 | % | |
Repurchase Agreement | 4.42 | % | |
Total | 100.00 | % |
52
Core Plus Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,057.60 | $ | 3.50 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.60 | $ | 3.44 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,054.00 | $ | 7.09 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.10 | $ | 6.96 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,058.20 | $ | 2.98 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.10 | $ | 2.93 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,058.50 | $ | 2.01 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.05 | $ | 1.97 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,058.70 | $ | 2.47 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.60 | $ | 2.43 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,056.10 | $ | 5.04 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.10 | $ | 4.95 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,057.40 | $ | 3.75 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.35 | $ | 3.69 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,058.00 | $ | 2.47 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.60 | $ | 2.43 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,059.20 | $ | 2.01 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.05 | $ | 1.97 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.38% for Class C, 0.58% for Class F, 0.39% for Class F3, 0.48% for Class I, 0.98% for Class R3, 0.73% for Class R4, 0.48% for Class R5 and 0.39% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
53
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 1.69 | % | |
Basic Industry | 0.39 | % | |
Capital Goods | 0.77 | % | |
Consumer Cyclical | 2.69 | % | |
Consumer Discretionary | 1.28 | % | |
Consumer Services | 2.66 | % | |
Consumer Staples | 1.64 | % | |
Energy | 5.66 | % | |
Financial Services | 33.47 | % | |
Foreign Government | 4.23 | % | |
Health Care | 6.58 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Integrated Oils | 0.09 | % | |
Materials & Processing | 3.43 | % | |
Municipal | 0.52 | % | |
Producer Durables | 2.55 | % | |
Technology | 4.32 | % | |
Telecommunications | 1.57 | % | |
Transportation | 0.89 | % | |
U.S. Government | 19.06 | % | |
Utilities | 3.29 | % | |
Repurchase Agreement | 3.22 | % | |
Total | 100.00 | % |
54
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 | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,077.90 | $ | 3.53 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.60 | $ | 3.44 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,074.50 | $ | 7.05 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.20 | $ | 6.86 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.50 | $ | 3.01 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.10 | $ | 2.93 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,080.40 | $ | 2.34 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.75 | $ | 2.28 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,079.20 | $ | 2.50 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.60 | $ | 2.43 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.00 | $ | 5.61 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.60 | $ | 5.45 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.50 | $ | 5.09 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.10 | $ | 4.95 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.90 | $ | 3.79 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.35 | $ | 3.69 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,080.20 | $ | 2.50 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.60 | $ | 2.43 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,080.40 | $ | 2.34 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.75 | $ | 2.28 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.36% for Class C, 0.58% for Class F, 0.45% 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 0.45% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
55
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 1.03 | % | |
Capital Goods | 1.50 | % | |
Consumer Cyclical | 1.74 | % | |
Consumer Services | 3.62 | % | |
Consumer Staples | 2.27 | % | |
Energy | 10.87 | % | |
Financial Services | 28.28 | % | |
Healthcare | 11.88 | % | |
Integrated Oils | 0.84 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Materials & Processing | 4.15 | % | |
Municipal | 1.38 | % | |
Producer Durables | 4.33 | % | |
Technology | 5.53 | % | |
Telecommunications | 5.26 | % | |
Transportation | 2.54 | % | |
U.S. Government | 1.55 | % | |
Utilities | 11.00 | % | |
Repurchase Agreement | 2.23 | % | |
Total | 100.00 | % |
56
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 | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.50 | $ | 4.05 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.10 | $ | 3.94 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,071.80 | $ | 7.25 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.00 | $ | 7.06 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,077.10 | $ | 3.53 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.60 | $ | 3.44 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.40 | $ | 2.75 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.35 | $ | 2.68 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.20 | $ | 3.01 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.10 | $ | 2.93 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.00 | $ | 6.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.10 | $ | 5.96 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,073.60 | $ | 5.60 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.60 | $ | 5.45 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.30 | $ | 4.31 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.85 | $ | 4.19 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,077.60 | $ | 3.01 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.10 | $ | 2.93 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,076.50 | $ | 2.75 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.35 | $ | 2.68 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.78% for Class A, 1.40% for Class C, 0.68% for Class F, 0.53% for Class F3, 0.58% for Class I, 1.18% for Class R2, 1.08% for Class R3, 0.83% for Class R4, 0.58% for Class R5 and 0.53% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
57
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Aerospace | 3.70 | % | |
Chemicals | 2.35 | % | |
Consumer Durables | 0.64 | % | |
Consumer Non-Durables | 1.40 | % | |
Energy | 3.24 | % | |
Financial Services | 11.89 | % | |
Food and Drug | 0.56 | % | |
Food/Tobacco | 3.33 | % | |
Forest Products | 0.97 | % | |
Gaming/Leisure | 6.01 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Healthcare | 13.44 | % | |
Housing | 3.58 | % | |
Information Technology | 14.13 | % | |
Manufacturing | 3.96 | % | |
Media/Telecommunications | 12.76 | % | |
Metals/Minerals | 1.36 | % | |
Retail | 3.79 | % | |
Transportation | 5.82 | % | |
Utilities | 2.31 | % | |
Repurchase Agreement | 4.76 | % | |
Total | 100.00 | % |
58
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 | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,119.80 | $ | 4.72 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.55 | $ | 4.50 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,116.70 | $ | 8.04 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.40 | $ | 7.67 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,122.00 | $ | 4.19 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.05 | $ | 3.99 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,122.50 | $ | 3.24 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.95 | $ | 3.08 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,122.00 | $ | 3.66 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.55 | $ | 3.49 | ||||||
Class P | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,118.60 | $ | 5.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.35 | $ | 5.70 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,118.60 | $ | 6.83 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.55 | $ | 6.51 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,119.10 | $ | 6.30 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.05 | $ | 6.01 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,119.60 | $ | 4.98 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.30 | $ | 4.75 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,120.50 | $ | 3.66 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.55 | $ | 3.49 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,122.50 | $ | 3.24 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.95 | $ | 3.08 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.89% for Class A, 1.52% for Class C, 0.79% for Class F, 0.61% for Class F3, 0.69% for Class I, 1.13% for Class P, 1.29% for Class R2, 1.19% for Class R3, 0.94% for Class R4, 0.69% for Class R5 and 0.61% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
59
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Automotive | 4.61 | % | |
Banking | 1.50 | % | |
Basic Industry | 11.89 | % | |
Capital Goods | 4.87 | % | |
Consumer Goods | 5.84 | % | |
Energy | 12.10 | % | |
Financial Services | 4.42 | % | |
Foreign Government | 0.11 | % | |
Healthcare | 8.42 | % | |
Insurance | 0.33 | % | |
Leisure | 9.93 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. | |
(a) | Securities were purchased with the cash collateral from loaned securities. |
Sector* | %** | ||
Media | 9.64 | % | |
Real Estate | 1.23 | % | |
Retail | 4.71 | % | |
Services | 4.04 | % | |
Technology & Electronics | 5.94 | % | |
Telecommunications | 3.81 | % | |
Transportation | 3.40 | % | |
Utility | 2.77 | % | |
Repurchase Agreement | 0.38 | % | |
Money Market Fund(a) | 0.05 | % | |
Time Deposit(a) | 0.01 | % | |
Total | 100.00 | % |
60
Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,085.80 | $ | 3.96 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.20 | $ | 3.84 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.40 | $ | 7.22 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.05 | $ | 7.01 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,086.40 | $ | 3.44 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.70 | $ | 3.34 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,087.30 | $ | 2.50 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.60 | $ | 2.43 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,086.90 | $ | 2.92 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.20 | $ | 2.83 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,083.20 | $ | 6.04 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.20 | $ | 5.86 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,084.00 | $ | 5.52 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.70 | $ | 5.35 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,085.60 | $ | 4.22 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.95 | $ | 4.09 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,086.90 | $ | 2.92 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.20 | $ | 2.83 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,087.40 | $ | 2.50 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.60 | $ | 2.43 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.76% for Class A, 1.39% for Class C, 0.66% for Class F, 0.48% for Class F3, 0.56% for Class I, 1.16% for Class R2, 1.06% for Class R3, 0.81% for Class R4, 0.56% for Class R5 and 0.48% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
61
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 2.91 | % | |
Basic Industry | 0.09 | % | |
Capital Goods | 1.30 | % | |
Consumer Cyclical | 3.03 | % | |
Consumer Discretionary | 1.00 | % | |
Consumer Services | 2.82 | % | |
Consumer Staples | 3.15 | % | |
Energy | 11.03 | % | |
Financial Services | 25.31 | % | |
Health Care | 10.92 | % | |
Integrated Oils | 0.53 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Materials & Processing | 5.19 | % | |
Municipal | 0.21 | % | |
Other | 0.24 | % | |
Producer Durables | 3.79 | % | |
Technology | 5.62 | % | |
Telecommunications | 4.39 | % | |
Transportation | 1.15 | % | |
U.S. Government | 7.43 | % | |
Utilities | 6.87 | % | |
Repurchase Agreement | 3.02 | % | |
Total | 100.00 | % |
62
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 | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,125.20 | $ | 3.56 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.65 | $ | 3.39 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,122.70 | $ | 6.79 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.60 | $ | 6.46 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,126.60 | $ | 3.03 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.15 | $ | 2.88 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,128.60 | $ | 2.24 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.90 | $ | 2.12 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,127.30 | $ | 2.50 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.65 | $ | 2.38 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,123.10 | $ | 5.63 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.70 | $ | 5.35 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,124.50 | $ | 5.15 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.15 | $ | 4.90 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,125.90 | $ | 3.83 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.40 | $ | 3.64 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,127.40 | $ | 2.50 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.65 | $ | 2.38 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,127.60 | $ | 2.23 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.90 | $ | 2.12 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.67% for Class A, 1.28% for Class C, 0.57% for Class F, 0.42% for Class F3, 0.47% for Class I, 1.06% for Class R2, 0.97% for Class R3, 0.72% for Class R4, 0.47% for Class R5 and 0.42% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
63
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 4.70 | % | |
Basic Industry | 0.01 | % | |
Capital Goods | 1.55 | % | |
Consumer Cyclical | 1.83 | % | |
Consumer Discretionary | 0.88 | % | |
Consumer Services | 1.85 | % | |
Consumer Staples | 0.58 | % | |
Energy | 8.04 | % | |
Financial Services | 51.18 | % | |
Foreign Government | 0.59 | % | |
Healthcare | 4.31 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Integrated Oils | 0.17 | % | |
Materials & Processing | 3.25 | % | |
Municipal | 0.33 | % | |
Other | 0.04 | % | |
Producer Durables | 1.83 | % | |
Technology | 4.21 | % | |
Telecommunications | 0.75 | % | |
Transportation | 1.05 | % | |
U.S. Government | 2.34 | % | |
Utilities | 3.63 | % | |
Repurchase Agreement | 6.88 | % | |
Total | 100.00 | % |
64
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 | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.50 | $ | 3.04 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.00 | $ | 3.03 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.10 | $ | 6.47 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.60 | $ | 6.46 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.90 | $ | 2.53 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.50 | $ | 2.53 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.10 | $ | 1.72 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.30 | $ | 1.72 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.40 | $ | 2.03 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.00 | $ | 2.02 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.00 | $ | 4.55 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.50 | $ | 4.55 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.30 | $ | 3.29 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.75 | $ | 3.29 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.50 | $ | 2.03 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.00 | $ | 2.02 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,027.00 | $ | 1.72 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.30 | $ | 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, 1.28% for Class C, 0.50% for Class F, 0.34% for Class F3, 0.40% for Class I, 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 183/366 (to reflect one-half year period). |
65
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 2.80 | % | |
Basic Industry | 0.16 | % | |
Capital Goods | 1.58 | % | |
Consumer Cyclical | 0.19 | % | |
Consumer Discretionary | 0.13 | % | |
Consumer Services | 0.41 | % | |
Energy | 3.55 | % | |
Financial Services | 42.00 | % | |
Healthcare | 3.91 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Materials & Processing | 2.93 | % | |
Municipal | 0.01 | % | |
Producer Durables | 1.40 | % | |
Technology | 2.37 | % | |
Telecommunications | 0.11 | % | |
Transportation | 0.39 | % | |
U.S. Government | 29.73 | % | |
Utilities | 2.29 | % | |
Repurchase Agreement | 6.04 | % | |
Total | 100.00 | % |
66
Short Duration Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.40 | $ | 3.01 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.05 | $ | 2.98 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.00 | $ | 6.31 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.80 | $ | 6.26 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.50 | $ | 2.49 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.55 | $ | 2.48 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,039.80 | $ | 1.68 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.35 | $ | 1.67 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.00 | $ | 1.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.05 | $ | 1.97 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.40 | $ | 5.04 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.05 | $ | 5.00 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.90 | $ | 4.53 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.55 | $ | 4.50 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.70 | $ | 3.26 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.80 | $ | 3.23 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,039.60 | $ | 1.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.05 | $ | 1.97 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.40 | $ | 1.68 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.35 | $ | 1.67 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.59% for Class A, 1.24% for Class C, 0.49% for Class F, 0.33% for Class F3, 0.39% for Class I, 0.99% for Class R2, 0.89% for Class R3, 0.64% for Class R4, 0.39% for Class R5 and 0.33% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
67
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 4.53 | % | |
Basic Industry | 0.21 | % | |
Capital Goods | 1.24 | % | |
Consumer Cyclical | 2.04 | % | |
Consumer Discretionary | 0.97 | % | |
Consumer Services | 1.10 | % | |
Consumer Staples | 0.44 | % | |
Energy | 7.20 | % | |
Financial Services | 50.27 | % | |
Foreign Government | 1.09 | % | |
Forest Products | 0.05 | % | |
Gaming/Leisure | 0.05 | % | |
Healthcare | 4.92 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Integrated Oil | 0.04 | % | |
Materials & Processing | 3.02 | % | |
Municipal | 0.10 | % | |
Other | 0.06 | % | |
Producer Durables | 1.80 | % | |
Technology | 4.64 | % | |
Telecommunications | 0.63 | % | |
Transportation | 1.14 | % | |
U.S. Government | 9.38 | % | |
Utilities | 3.47 | % | |
Repurchase Agreement | 1.61 | % | |
Total | 100.00 | % |
68
Total Return Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.20 | $ | 3.37 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.70 | $ | 3.34 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.00 | $ | 6.53 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.60 | $ | 6.46 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.70 | $ | 2.86 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.20 | $ | 2.83 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.80 | $ | 1.84 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.20 | $ | 1.82 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.40 | $ | 2.15 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.90 | $ | 2.12 | ||||||
Class P | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.80 | $ | 4.65 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.45 | $ | 4.60 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.20 | $ | 5.41 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.70 | $ | 5.35 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.70 | $ | 4.90 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.20 | $ | 4.85 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.00 | $ | 3.63 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.45 | $ | 3.59 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.30 | $ | 2.35 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.70 | $ | 2.33 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.70 | $ | 1.84 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.20 | $ | 1.82 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.66% for Class A, 1.28% for Class C, 0.56% for Class F, 0.36% for Class F3, 0.42% for Class I, 0.91% for Class P, 1.06% for Class R2, 0.96% for Class R3, 0.71% for Class R4, 0.46% for Class R5 and 0.36% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
69
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 0.85 | % | |
Basic Industry | 0.29 | % | |
Capital Goods | 0.50 | % | |
Consumer Cyclical | 1.18 | % | |
Consumer Discretionary | 0.61 | % | |
Consumer Services | 1.22 | % | |
Consumer Staples | 0.64 | % | |
Energy | 4.28 | % | |
Financial Services | 25.08 | % | |
Foreign Government | 3.67 | % | |
Health Care | 4.85 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Integrated Oils | 0.20 | % | |
Materials & Processing | 3.04 | % | |
Municipal | 0.63 | % | |
Other | 0.01 | % | |
Producer Durables | 1.23 | % | |
Technology | 3.51 | % | |
Telecommunications | 0.81 | % | |
Transportation | 0.90 | % | |
U.S. Government | 39.54 | % | |
Utilities | 2.66 | % | |
Repurchase Agreement | 4.30 | % | |
Total | 100.00 | % |
70
Ultra Short Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | Period† | ||||||||||
6/1/20 – | ||||||||||||
6/1/20 | 11/30/20 | 11/30/20 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.00 | $ | 2.21 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.80 | $ | 2.23 | ||||||
Class A1 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.50 | $ | 2.61 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.40 | $ | 2.63 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.20 | $ | 1.96 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.05 | $ | 1.97 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.90 | $ | 1.26 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.75 | $ | 1.26 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.70 | $ | 1.46 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.55 | $ | 1.47 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.70 | $ | 1.46 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.55 | $ | 1.47 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,007.90 | $ | 1.25 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.75 | $ | 1.26 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.44% for Class A, 0.52% for Class A1, 0.39% for Class F, 0.25% for Class F3, 0.29% for Class I, 0.29% for Class R5 and 0.25% for Class R6) multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period). |
71
Portfolio Holdings Presented by Sector
November 30, 2020
Sector* | %** | ||
Auto | 9.18 | % | |
Basic Industry | 0.06 | % | |
Capital Goods | 0.05 | % | |
Consumer Cyclical | 1.85 | % | |
Consumer Discretionary | 0.24 | % | |
Consumer Services | 1.00 | % | |
Consumer Staples | 0.79 | % | |
Energy | 1.65 | % | |
Financial Services | 62.86 | % | |
Health Care | 4.12 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Materials & Processing | 4.32 | % | |
Producer Durables | 0.95 | % | |
Technology | 2.22 | % | |
Telecommunications | 0.06 | % | |
Transportation | 0.10 | % | |
U.S. Government | 6.76 | % | |
Utilities | 3.61 | % | |
Repurchase Agreement | 0.18 | % | |
Total | 100.00 | % |
72
Schedule of Investments
CONVERTIBLE FUND November 30, 2020
Investments | Shares (000) | Fair Value | ||||||||||
LONG-TERM INVESTMENTS 95.77% | ||||||||||||
COMMON STOCKS 2.63% | ||||||||||||
Electronics 0.46% | ||||||||||||
NVIDIA Corp. | 12 | $ | 6,325,508 | |||||||||
Pharmaceuticals 0.66% | ||||||||||||
Arena Pharmaceuticals, Inc.* | 66 | 4,347,420 | ||||||||||
Rocket Pharmaceuticals, Inc.* | 153 | 4,736,880 | ||||||||||
Total | 9,084,300 | |||||||||||
Software/Services 1.01% | ||||||||||||
Pinterest, Inc. Class A* | 198 | 13,863,960 | ||||||||||
Technology Hardware & Equipment 0.50% | ||||||||||||
QUALCOMM, Inc. | 47 | 6,916,990 | ||||||||||
Total Common Stocks (cost $24,158,008) | 36,190,758 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 85.35% | ||||||||||||
Advertising 1.92% | ||||||||||||
Snap, Inc. | 0.75% | 8/1/2026 | $12,830 | 26,446,154 | ||||||||
Air Transportation 4.09% | ||||||||||||
American Airlines Group, Inc. | 6.50% | 7/1/2025 | 23,567 | 25,777,585 | ||||||||
Atlas Air Worldwide Holdings, Inc. | 1.875% | 6/1/2024 | 8,230 | 9,562,231 | ||||||||
Southwest Airlines Co. | 1.25% | 5/1/2025 | 14,170 | 20,971,600 | ||||||||
Total | 56,311,416 | |||||||||||
Automakers 6.18% | ||||||||||||
Tesla, Inc. | 2.00% | 5/15/2024 | 9,302 | 85,136,555 | ||||||||
Consumer/Commercial/Lease Financing 1.23% | ||||||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 4.125% | 9/1/2022 | 8,350 | 16,919,605 | ||||||||
Diversified Capital Goods 1.58% | ||||||||||||
Enphase Energy, Inc.† | 0.25% | 3/1/2025 | 11,950 | 21,816,071 | ||||||||
Electronics 4.51% | ||||||||||||
Advanced Micro Devices, Inc. | 2.125% | 9/1/2026 | 1,158 | 13,398,407 | ||||||||
Microchip Technology, Inc. | 1.625% | 2/15/2025 | 7,650 | 22,500,563 |
See Notes to Financial Statements. | 73 |
Schedule of Investments (continued)
CONVERTIBLE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics (continued) | ||||||||||||
Novellus Systems, Inc. | 2.625% | 5/15/2041 | $ | 631 | $ | 8,966,798 | ||||||
Teradyne, Inc. | 1.25% | 12/15/2023 | 4,930 | 17,221,106 | ||||||||
Total | 62,086,874 | |||||||||||
Gaming 0.95% | ||||||||||||
Penn National Gaming, Inc. | 2.75% | 5/15/2026 | 4,218 | 13,130,199 | ||||||||
Health Services 4.41% | ||||||||||||
CryoPort, Inc.† | 3.00% | 6/1/2025 | 4,480 | 9,709,440 | ||||||||
Guardant Health, Inc.† | Zero Coupon | 11/15/2027 | 8,000 | 8,890,000 | ||||||||
Insmed, Inc. | 1.75% | 1/15/2025 | 17,703 | 21,387,272 | ||||||||
NeoGenomics, Inc. | 1.25% | 5/1/2025 | 5,528 | 8,139,125 | ||||||||
Repligen Corp. | 0.375% | 7/15/2024 | 7,215 | 12,569,394 | ||||||||
Total | 60,695,231 | |||||||||||
Hotels 1.61% | ||||||||||||
Huazhu Group Ltd. (China)(a) | 0.375% | 11/1/2022 | 18,160 | 22,142,166 | ||||||||
Integrated Energy 0.58% | ||||||||||||
Atlantica Sustainable Infrastructure Jersey Ltd. (Jersey)†(a) | 4.00% | 7/15/2025 | 7,168 | 8,033,324 | ||||||||
Machinery 2.22% | ||||||||||||
Chart Industries, Inc.† | 1.00% | 11/15/2024 | 11,145 | 20,834,184 | ||||||||
Middleby Corp. (The)† | 1.00% | 9/1/2025 | 7,700 | 9,706,813 | ||||||||
Total | 30,540,997 | |||||||||||
Media: Diversified 1.75% | ||||||||||||
Match Group Financeco 2, Inc.† | 0.875% | 6/15/2026 | 14,090 | 24,092,025 | ||||||||
Medical Products 4.04% | ||||||||||||
CONMED Corp. | 2.625% | 2/1/2024 | 10,000 | 13,115,098 | ||||||||
Insulet Corp. | 0.375% | 9/1/2026 | 13,900 | 18,729,341 | ||||||||
Nevro Corp. | 1.75% | 6/1/2021 | 8,185 | 13,894,038 | ||||||||
Tandem Diabetes Care, Inc.† | 1.50% | 5/1/2025 | 8,520 | 9,860,225 | ||||||||
Total | 55,598,702 | |||||||||||
Pharmaceuticals 7.08% | ||||||||||||
Bridgebio Pharma, Inc.† | 2.50% | 3/15/2027 | 7,891 | 11,006,019 | ||||||||
Canopy Growth Corp.†(b) | 4.25% | 7/15/2023 | CAD | 72,337 | 58,484,523 | |||||||
Invitae Corp. | 2.00% | 9/1/2024 | $ | 4,775 | 8,754,967 | |||||||
Natera, Inc.† | 2.25% | 5/1/2027 | 4,348 | 10,556,249 |
74 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CONVERTIBLE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Pharmaceuticals (continued) | ||||||||||||
Sarepta Therapeutics, Inc. | 1.50% | 11/15/2024 | $ | 4,225 | $ | 8,750,780 | ||||||
Total | 97,552,538 | |||||||||||
Real Estate Development & Management 1.68% | ||||||||||||
IIP Operating Partnership LP† | 3.75% | 2/21/2024 | 3,435 | 8,239,534 | ||||||||
Redfin Corp.† | Zero Coupon | 10/15/2025 | 15,015 | 14,964,693 | ||||||||
Total | 23,204,227 | |||||||||||
Real Estate Investment Trusts 0.49% | ||||||||||||
IH Merger Sub LLC | 3.50% | 1/15/2022 | 5,125 | 6,721,495 | ||||||||
Recreation & Travel 2.11% | ||||||||||||
Carnival Corp.† | 5.75% | 4/1/2023 | 2,250 | 5,014,469 | ||||||||
Royal Caribbean Cruises Ltd.† | 4.25% | 6/15/2023 | 17,430 | 24,035,970 | ||||||||
Total | 29,050,439 | |||||||||||
Software/Services 22.35% | ||||||||||||
Booking Holdings, Inc. | 0.90% | 9/15/2021 | 29,100 | 32,461,050 | ||||||||
Cardlytics, Inc.† | 1.00% | 9/15/2025 | 9,673 | 15,193,352 | ||||||||
Cerence, Inc.† | 3.00% | 6/1/2025 | 6,882 | 17,482,757 | ||||||||
Coupa Software, Inc.† | 0.375% | 6/15/2026 | 19,645 | 26,085,501 | ||||||||
Five9, Inc.† | 0.50% | 6/1/2025 | 15,700 | 21,098,999 | ||||||||
Fiverr International Ltd. (Israel)†(a) | Zero Coupon | 11/1/2025 | 6,603 | 8,022,645 | ||||||||
JPMorgan Chase Bank NA† | 0.125% | 1/1/2023 | 12,325 | 15,152,047 | ||||||||
MongoDB, Inc.† | 0.25% | 1/15/2026 | 4,150 | 6,319,355 | ||||||||
Okta, Inc.† | 0.375% | 6/15/2026 | 17,235 | 21,480,317 | ||||||||
Pinduoduo, Inc. (China)(a) | Zero Coupon | 12/1/2025 | 11,397 | 12,166,354 | ||||||||
Q2 Holdings, Inc. | 0.75% | 6/1/2026 | 5,271 | 7,488,114 | ||||||||
RingCentral, Inc.† | Zero Coupon | 3/1/2025 | 17,325 | 19,577,927 | ||||||||
Shopify, Inc. (Canada)(a) | 0.125% | 11/1/2025 | 7,447 | 8,536,124 | ||||||||
Square, Inc.† | 0.125% | 3/1/2025 | 16,675 | 30,845,141 | ||||||||
Twilio, Inc. | 0.25% | 6/1/2023 | 4,565 | 20,594,084 | ||||||||
Weibo Corp. (China)(a) | 1.25% | 11/15/2022 | 37,425 | 35,929,423 | ||||||||
Wix.com Ltd. (Israel)†(a) | Zero Coupon | 8/15/2025 | 9,300 | 9,336,178 | ||||||||
Total | 307,769,368 | |||||||||||
Specialty Retail 4.96% | ||||||||||||
Burlington Stores, Inc.† | 2.25% | 4/15/2025 | 15,579 | 19,333,745 | ||||||||
Etsy, Inc. | 0.125% | 10/1/2026 | 7,826 | 15,263,806 | ||||||||
RealReal, Inc. (The)† | 3.00% | 6/15/2025 | 4,601 | 5,080,116 | ||||||||
RH | Zero Coupon | 6/15/2023 | 4,200 | 9,969,960 |
See Notes to Financial Statements. | 75 |
Schedule of Investments (continued)
CONVERTIBLE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Specialty Retail (continued) | ||||||||||||
Wayfair, Inc.† | 0.625% | 10/1/2025 | $ | 19,120 | $ | 18,710,554 | ||||||
Total | 68,358,181 | |||||||||||
Support: Services 2.86% | ||||||||||||
Chegg, Inc. | 0.25% | 5/15/2023 | 4,185 | 12,144,505 | ||||||||
Lyft, Inc.† | 1.50% | 5/15/2025 | 13,822 | 17,476,191 | ||||||||
ServiceNow, Inc. | Zero Coupon | 6/1/2022 | 2,485 | 9,816,054 | ||||||||
Total | 39,436,750 | |||||||||||
Technology Hardware & Equipment 4.77% | ||||||||||||
SunPower Corp. | 0.875% | 6/1/2021 | 5,100 | 5,125,500 | ||||||||
SunPower Corp. | 4.00% | 1/15/2023 | 33,790 | 40,953,194 | ||||||||
Western Digital Corp. | 1.50% | 2/1/2024 | 20,000 | 19,647,038 | ||||||||
Total | 65,725,732 | |||||||||||
Telecommunications: Wireline Integrated & Services 0.64% | ||||||||||||
GDS Holdings Ltd. (China)(a) | 2.00% | 6/1/2025 | 4,799 | 8,822,822 | ||||||||
Theaters & Entertainment 1.15% | ||||||||||||
Live Nation Entertainment, Inc. | 2.50% | 3/15/2023 | 13,175 | 15,823,022 | ||||||||
Transportation: Infrastructure/Services 2.19% | ||||||||||||
Scorpio Tankers, Inc. (Monaco)(a) | 3.00% | 5/15/2022 | 31,643 | 30,120,383 | ||||||||
Total Convertible Bonds (cost $889,721,050) | 1,175,534,276 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
CONVERTIBLE PREFERRED STOCKS 7.79% | ||||||||||||
Auto Parts & Equipment 0.69% | ||||||||||||
Aptiv plc (Ireland)(a) | 5.50% | 68 | 9,451,832 | |||||||||
Banking 1.61% | ||||||||||||
Bank of America Corp. | 7.25% | 15 | 22,246,800 | |||||||||
Electric: Integrated 2.49% | ||||||||||||
NextEra Energy, Inc. | 4.872% | 606 | 34,295,011 | |||||||||
Medical Products 2.17% | ||||||||||||
Danaher Corp. | 4.75% | 19 | 29,931,788 |
76 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CONVERTIBLE FUND November 30, 2020
Investments | Dividend Rate | Shares (000) | Fair Value | |||||||||
Specialty Retail 0.83% | ||||||||||||
2020 Mandatory Exchangeable Trust† | 6.50% | 6 | $ | 11,379,647 | ||||||||
Total Convertible Preferred Stocks (cost $93,010,204) | 107,305,078 | |||||||||||
Total Long-Term Investments (cost $1,006,889,262) | 1,319,030,112 | |||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
(000) | ||||||||||||
SHORT-TERM INVESTMENT 3.58% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $49,021,800 of U.S. Treasury Note at 1.375 due 10/15/2022; value: $50,221,444; proceeds: $49,236,635 (cost $49,236,635) | $49,237 | 49,236,635 | ||||||||||
Total Investments in Securities 99.35% (cost $1,056,125,897) | 1,368,266,747 | |||||||||||
Other Assets in Excess of Liabilities(c) 0.65% | 9,015,393 | |||||||||||
Net Assets 100.00% | $ | 1,377,282,140 |
CAD | Canadian dollar. | |
* | 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, 2020, the total value of Rule 144A securities was $507,818,011, which represents 36.87% of net assets. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
Polish zloty | Buy | Goldman Sachs | 1/19/2021 | 5,735,000 | $ | 1,488,179 | $ | 1,528,569 | $ | 40,390 | ||||||||||
Polish zloty | Buy | State Street Bank and Trust | 1/19/2021 | 3,379,000 | 854,148 | 900,616 | 46,468 | |||||||||||||
Polish zloty | Buy | State Street Bank and Trust | 1/19/2021 | 30,886,000 | 7,810,254 | 8,232,152 | 421,898 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 508,756 |
See Notes to Financial Statements. | 77 |
Schedule of Investments (concluded)
CONVERTIBLE FUND November 30, 2020
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 | Sell | Bank of America | 1/20/2021 | 800,000 | $ | 604,906 | $ | 616,206 | $ | (11,300 | ) | |||||||||
Canadian dollar | Sell | Bank of America | 1/20/2021 | 12,263,000 | 9,336,111 | 9,445,668 | (109,557 | ) | ||||||||||||
Canadian dollar | Sell | Bank of America | 1/20/2021 | 898,000 | 679,866 | 691,691 | (11,825 | ) | ||||||||||||
Canadian dollar | Sell | Goldman Sachs | 1/20/2021 | 4,703,000 | 3,619,055 | 3,622,521 | (3,466 | ) | ||||||||||||
Canadian dollar | Sell | Goldman Sachs | 1/20/2021 | 2,285,000 | 1,743,516 | 1,760,038 | (16,522 | ) | ||||||||||||
Canadian dollar | Sell | Morgan Stanley | 1/20/2021 | 1,427,000 | 1,085,685 | 1,099,157 | (13,472 | ) | ||||||||||||
Canadian dollar | Sell | Morgan Stanley | 1/20/2021 | 163,000 | 123,923 | 125,552 | (1,629 | ) | ||||||||||||
Canadian dollar | Sell | Morgan Stanley | 1/20/2021 | 325,000 | 244,072 | 250,334 | (6,262 | ) | ||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 1/20/2021 | 50,100,000 | 38,087,031 | 38,589,901 | (502,870 | ) | ||||||||||||
Polish zloty | Sell | State Street Bank and Trust | 1/19/2021 | 40,000,000 | 10,445,131 | 10,661,338 | (216,207 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (893,110 | ) |
The following is a summary of the inputs used as of November 30, 2020 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 | $ | 36,190,758 | $ | – | $ | – | $ | 36,190,758 | ||||||||
Convertible Bonds | – | 1,175,534,276 | – | 1,175,534,276 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Auto Parts & Equipment | 9,451,832 | – | – | 9,451,832 | ||||||||||||
Banking | – | 22,246,800 | – | 22,246,800 | ||||||||||||
Electric: Integrated | – | 34,295,011 | – | 34,295,011 | ||||||||||||
Medical Products | 29,931,788 | – | – | 29,931,788 | ||||||||||||
Specialty Retail | 11,379,647 | – | – | 11,379,647 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | �� | – | 49,236,635 | – | 49,236,635 | |||||||||||
Total | $ | 86,954,025 | $ | 1,281,312,722 | $ | – | $ | 1,368,266,747 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 508,756 | $ | – | $ | 508,756 | ||||||||
Liabilities | – | (893,110 | ) | – | (893,110 | ) | ||||||||||
Total | $ | – | $ | (384,354 | ) | $ | – | $ | (384,354 | ) |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
78 | See Notes to Financial Statements. |
Schedule of Investments
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 117.95% | ||||||||||||
ASSET-BACKED SECURITIES 14.44% | ||||||||||||
Automobiles 5.83% | ||||||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | $ | 1,414 | $ | 1,420,914 | ||||||
American Credit Acceptance Receivables Trust 2020-2 A† | 1.65% | 12/13/2023 | 1,176 | 1,181,479 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 1,664 | 1,683,892 | ||||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 1,008 | 1,018,123 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 653 | 669,585 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2017-2A A† | 2.97% | 3/20/2024 | 8,500 | 8,798,738 | ||||||||
BMW Vehicle Owner Trust 2019-A A2 | 2.05% | 5/25/2022 | 1,431 | 1,434,721 | ||||||||
BMW Vehicle Owner Trust 2020-A A2 | 0.39% | 2/27/2023 | 6,403 | 6,408,627 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 572 | 577,909 | ||||||||
California Republic Auto Receivables Trust 2018-1 B | 3.56% | 3/15/2023 | 2,191 | 2,231,050 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 C† | 3.69% | 12/20/2023 | 1,442 | 1,467,636 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 999 | 1,001,778 | ||||||||
CarMax Auto Owner Trust 2019-3 A2A | 2.21% | 12/15/2022 | 635 | 638,811 | ||||||||
CarMax Auto Owner Trust 2020-1 C | 2.34% | 11/17/2025 | 763 | 788,901 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 97 | 97,132 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 367 | 368,135 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 298 | 301,646 | ||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 949 | 981,383 | ||||||||
CPS Auto Receivables Trust 2020-B A† | 1.15% | 7/17/2023 | 4,208 | 4,218,999 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 334 | 338,571 | ||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 1,772 | 1,815,088 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 1,937 | 1,958,347 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 661 | 671,684 | ||||||||
Drive Auto Receivables Trust 2017-BA E† | 5.30% | 7/15/2024 | 5,337 | 5,466,727 | ||||||||
Drive Auto Receivables Trust 2018-2 C | 3.63% | 8/15/2024 | 83 | 83,315 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 603 | 606,601 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 117 | 117,592 | ||||||||
Exeter Automobile Receivables Trust 2020-2A A† | 1.13% | 8/15/2023 | 1,484 | 1,487,434 | ||||||||
First Investors Auto Owner Trust 2019-2A C† | 2.71% | 12/15/2025 | 1,606 | 1,653,978 | ||||||||
See Notes to Financial Statements. | 79 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | $ | 69 | $ | 69,178 | ||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 555 | 558,059 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 1,407 | 1,433,786 | ||||||||
Flagship Credit Auto Trust 2020-2 A† | 1.49% | 7/15/2024 | 983 | 990,232 | ||||||||
Ford Credit Auto Owner Trust 2019-C A2A | 1.88% | 7/15/2022 | 3,414 | 3,429,371 | ||||||||
Ford Credit Auto Owner Trust 2020-A A2 | 1.03% | 10/15/2022 | 741 | 743,637 | ||||||||
Ford Credit Auto Owner Trust 2020-B A2 | 0.50% | 2/15/2023 | 7,984 | 7,992,301 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 833 | 840,459 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 1,477 | 1,512,864 | ||||||||
GLS Auto Receivables Issuer Trust 2020-3A C† | 1.92% | 5/15/2025 | 3,345 | 3,398,725 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2018-4 A3 | 3.21% | 10/16/2023 | 3,296 | 3,360,735 | ||||||||
Honda Auto Receivables Owner Trust 2017-4 A4 | 2.21% | 3/21/2024 | 5,591 | 5,629,703 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 51 | 50,862 | ||||||||
Honda Auto Receivables Owner Trust 2020-2 A2 | 0.74% | 11/15/2022 | 2,838 | 2,844,539 | ||||||||
Hyundai Auto Receivables Trust 2017-A 2017-A C | 2.53% | 11/15/2023 | 2,918 | 2,948,500 | ||||||||
Hyundai Auto Receivables Trust 2017-B A4 | 1.96% | 2/15/2023 | 6,709 | 6,745,631 | ||||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 677 | 679,577 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 159 | 159,140 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 626 | 628,970 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 79 | 78,722 | ||||||||
Santander Retail Auto Lease Trust 2019-B A2A† | 2.29% | 4/20/2022 | 584 | 588,128 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 1,508 | 1,511,863 | ||||||||
Volkswagen Auto Loan Enhanced Trust 2020-1 A2A | 0.93% | 12/20/2022 | 4,790 | 4,803,665 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 970 | 975,050 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 1,285 | 1,324,754 | ||||||||
Westlake Automobile Receivables Trust 2020-1A C† | 2.52% | 4/15/2025 | 3,611 | 3,710,134 | ||||||||
Westlake Automobile Receivables Trust 2020-2A A2A† | 0.93% | 2/15/2024 | 10,698 | 10,737,373 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 123 | 123,237 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 640 | 642,341 | ||||||||
World Omni Auto Receivables Trust 2018-B A3 | 2.87% | 7/17/2023 | 1,507 | 1,529,435 | ||||||||
Total | 119,529,767 |
80 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards 0.98% | ||||||||||||
Capital One Multi-Asset Execution Trust 2005- B3 B3 | 0.787% (3 Mo. LIBOR + .55% | )# | 5/15/2028 | $ | 2,677 | $ | 2,614,601 | |||||
Citibank Credit Card Issuance Trust 2018-A1 | 2.49% | 1/20/2023 | 3,163 | 3,172,851 | ||||||||
Genesis Sales Finance Master Trust 2019-AA A† | 4.68% | 8/20/2023 | 1,235 | 1,244,295 | ||||||||
Genesis Sales Finance Master Trust 2020-AA B† | 2.24% | 9/22/2025 | 4,000 | 4,004,428 | ||||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 2,579 | 2,585,499 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 2,687 | 2,710,795 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 747 | 753,737 | ||||||||
World Financial Network Credit Card Master Trust 2018-B A | 3.46% | 7/15/2025 | 2,832 | 2,900,891 | ||||||||
Total | 19,987,097 | |||||||||||
Other 7.63% | ||||||||||||
ALM VII Ltd. 2012-7A A2R2† | 2.087% (3 Mo. LIBOR +1.85% | )# | 7/15/2029 | 3,302 | 3,301,820 | |||||||
ALM VII Ltd. 2012-7A CR2† | 3.787% (3 Mo. LIBOR + 3.55% | )# | 7/15/2029 | 888 | 888,347 | |||||||
Ares XLI CLO Ltd. 2016-41A B† | 2.037% (3 Mo. LIBOR + 1.80% | )# | 1/15/2029 | 2,100 | 2,097,426 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 31 | 31,474 | ||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 1.815% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 731 | 730,194 | |||||||
Avery Point VII CLO Ltd. 2015-7A BR† | 1.987% (3 Mo. LIBOR + 1.75% | )# | 1/15/2028 | 1,500 | 1,499,747 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 1.468% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 3,500 | 3,491,808 | |||||||
BlueMountain CLO Ltd. 2015-2A A1R† | 1.148% (3 Mo. LIBOR + .93% | )# | 7/18/2027 | 486 | 483,667 | |||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 2,138 | 2,122,217 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 1,200 | 1,192,142 | |||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 82 | 81,993 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 500 | 503,450 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 863 | 872,225 | ||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 1.238% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 485 | 479,908 |
See Notes to Financial Statements. | 81 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 2.365% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | $ | 448 | $ | 441,516 | |||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 1,204 | 1,317,004 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 2,165 | 2,313,372 | ||||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 1.515% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 1,250 | 1,230,897 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 2.815% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 1,681 | 1,620,013 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 1.668% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 2,500 | 2,497,819 | |||||||
Kayne CLO 5 Ltd. 2019-5A A† | 1.565% (3 Mo. LIBOR + 1.35% | )# | 7/24/2032 | 4,000 | 4,005,506 | |||||||
Kayne CLO 7 Ltd. 2020-7A A1† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/17/2033 | 4,578 | 4,566,636 | |||||||
KKR CLO Ltd. 18 D† | 3.818% (3 Mo. LIBOR + 3.60% | )# | 7/18/2030 | 332 | 329,824 | |||||||
KKR CLO Ltd.18 B† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 7/18/2030 | 2,072 | 2,064,727 | |||||||
KVK CLO Ltd. 2016-1A C† | 3.387% (3 Mo. LIBOR + 3.15% | )# | 1/15/2029 | 1,564 | 1,565,926 | |||||||
Lending Funding Trust 2020-2A A† | 2.32% | 4/21/2031 | 5,712 | 5,725,491 | ||||||||
Longtrain Leasing III LLC 2015-1A A2† | 4.06% | 1/15/2045 | 1,664 | 1,706,569 | ||||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.518% (3 Mo. LIBOR + 1.30% | )# | 4/20/2033 | 2,824 | 2,822,317 | |||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 1.165% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 843 | 840,868 | |||||||
ME Funding LLC 2019-1 A2† | 6.448% | 7/30/2049 | 5,514 | 5,134,268 | ||||||||
Mountain View CLO 2014-1 Ltd. 2014-1A CRR† | 2.237% (3 Mo. LIBOR + 2.00% | )# | 10/15/2026 | 1,700 | 1,668,730 | |||||||
Mountain View CLO LLC 2017-1A AR† | 1.32% (3 Mo. LIBOR + 1.09% | )# | 10/16/2029 | 2,645 | 2,624,092 | |||||||
Mountain View CLO X Ltd. 2015-10A AR† | 1.044% (3 Mo. LIBOR + .82% | )# | 10/13/2027 | 1,231 | 1,220,970 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 1.574% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 1,449 | 1,425,322 | |||||||
Navient Private Education Refi Loan Trust 2018-DA A2A† | 4.00% | 12/15/2059 | 1,346 | 1,425,094 |
82 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Neuberger Berman CLO XIX Ltd. 2015-19A A1R2† | 1.037% (3 Mo. LIBOR + .80% | )# | 7/15/2027 | $ | 475 | $ | 472,893 | |||||
Neuberger Berman CLO XX Ltd. 2015-20A AR† | 1.037% (3 Mo. LIBOR + .80% | )# | 1/15/2028 | 1,338 | 1,329,440 | |||||||
Northwoods Capital 20 Ltd. 2019-20A C† | 3.015% (3 Mo. LIBOR + 2.80% | )# | 1/25/2030 | 1,395 | 1,395,921 | |||||||
Northwoods Capital 20 Ltd. 2019-20A D† | 4.465% (3 Mo. LIBOR + 4.25% | )# | 1/25/2030 | 1,616 | 1,616,342 | |||||||
Octagon Investment Partners 25 Ltd. 2015-1A AR† | 1.018% (3 Mo. LIBOR + .80% | )# | 10/20/2026 | 1,592 | 1,587,194 | |||||||
Octagon Investment Partners 29 Ltd. 2016-1A AR† | 1.395% (3 Mo. LIBOR + 1.18% | )# | 1/24/2033 | 2,566 | 2,549,098 | |||||||
Octagon Investment Partners 48 Ltd. 2020-3A A† | 1.732% (3 Mo. LIBOR + 1.50% | )# | 10/20/2031 | 3,500 | 3,507,047 | |||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 5,645 | 5,980,366 | ||||||||
OneMain Financial Issuance Trust 2020-2A A† | 1.75% | 9/14/2035 | 8,110 | 8,260,176 | ||||||||
Orec Ltd. 2018-CRE1 A† | 1.321% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 1,950 | 1,920,750 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 0.837% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 9,470 | 9,442,347 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 1.287% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 946 | 935,155 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 1.637% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 716 | 701,530 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 1.618% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 485 | 478,359 | |||||||
Palmer Square Loan Funding Ltd. 2020-1A A1† | 1.024% (3 Mo. LIBOR + .80% | )# | 2/20/2028 | 2,640 | 2,621,685 | |||||||
Parallel Ltd. 2015-1A AR† | 1.068% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 6,696 | 6,664,592 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 0.485% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 667 | 632,209 | |||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 1,069 | 1,072,547 | ||||||||
PFS Financing Corp. 2020-A† | 1.27% | 6/15/2025 | 3,826 | 3,880,733 | ||||||||
See Notes to Financial Statements. | 83 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | $ | 1,411 | $ | 1,338,658 | ||||||
Race Point IX CLO Ltd. 2015-9A A1AR† | 1.447% (3 Mo. LIBOR + 1.21% | )# | 10/15/2030 | 1,424 | 1,421,170 | |||||||
Salem Fields CLO Ltd. 2016-2A A1R† | 1.365% (3 Mo. LIBOR + 1.15% | )# | 10/25/2028 | 3,402 | 3,397,172 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 158 | 158,593 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 630 | 631,659 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 1,475 | 1,481,201 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 4,181 | 4,198,887 | ||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | 3,285 | 3,424,312 | ||||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 2,384 | 2,483,726 | ||||||||
Shackleton CLO Ltd. 2016-9A B† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 1,070 | 1,070,070 | |||||||
Shackleton CLO Ltd. 2019-14A A2† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 7/20/2030 | 3,798 | 3,799,159 | |||||||
SLC Student Loan Trust 2008-1 A4A | 1.85% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 2,221 | 2,257,038 | |||||||
Sound Point CLO XII Ltd. 2016-2A CR† | 2.818% (3 Mo. LIBOR + 2.60% | )# | 10/20/2028 | 1,565 | 1,549,460 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 2.709% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 1,114 | 1,116,771 | |||||||
Sound Point CLO XVII 2017-3A A2† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/20/2030 | 4,046 | 3,971,750 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 0.749% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 1,220 | 1,206,560 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 1.274% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 1,988 | 1,975,575 | |||||||
Tralee CLO III Ltd. 2014-3A AR† | 1.248% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 926 | 924,084 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 466 | 472,520 | ||||||||
Total | 156,250,128 | |||||||||||
Total Asset-Backed Securities (cost $293,784,420) | 295,766,992 | |||||||||||
CORPORATE BONDS 30.49% | ||||||||||||
Aerospace/Defense 1.16% | ||||||||||||
BAE Systems plc (United Kingdom)†(a) | 3.40% | 4/15/2030 | 5,985 | 6,767,787 | ||||||||
Boeing Co. (The) | 4.875% | 5/1/2025 | 9,040 | 10,101,464 | ||||||||
Boeing Co. (The) | 5.04% | 5/1/2027 | 6,056 | 6,945,991 | ||||||||
Total | 23,815,242 |
84 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation 0.04% | ||||||||||||
British Airways 2020-1 Class A Pass Through Trust (United Kingdom)†(a) | 4.25% | 11/15/2032 | $ | 871 | $ | 917,951 | ||||||
Auto Parts: Original Equipment 0.07% | ||||||||||||
BorgWarner, Inc. | 2.65% | 7/1/2027 | 1,265 | 1,354,038 | ||||||||
Automotive 1.27% | ||||||||||||
BMW US Capital LLC† | 3.90% | 4/9/2025 | 4,799 | 5,386,532 | ||||||||
Ford Motor Co. | 9.00% | 4/22/2025 | 3,265 | 3,971,922 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 6,423 | 8,675,465 | ||||||||
Volkswagen Group of America Finance LLC† | 3.125% | 5/12/2023 | 7,027 | 7,427,952 | ||||||||
Volkswagen Group of America Finance LLC† | 3.35% | 5/13/2025 | 575 | 631,210 | ||||||||
Total | 26,093,081 | |||||||||||
Banks: Regional 4.73% | ||||||||||||
Banco de Credito e Inversiones SA (Chile)†(a) | 3.50% | 10/12/2027 | 1,290 | 1,413,666 | ||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 4,807 | 5,447,624 | |||||||
Bank of America Corp. | 3.97% (3 Mo. LIBOR + 1.07% | )# | 3/5/2029 | 1,698 | 1,976,617 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 1,716 | 1,921,030 | ||||||||
Bank of America Corp. | 4.25% | 10/22/2026 | 4,291 | 5,011,846 | ||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 940 | 1,097,814 | ||||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15% | )# | 1/29/2031 | 9,393 | 10,102,464 | |||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 5,022 | 5,722,429 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 1,874 | 2,199,000 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 1,071 | 1,640,955 | ||||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38% | )# | 5/1/2028 | 1,452 | 1,646,084 | |||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 12,750 | 14,624,405 | |||||||
JPMorgan Chase & Co. | 3.96% (3 Mo. LIBOR + 1.25% | )# | 1/29/2027 | 2,137 | 2,445,461 | |||||||
JPMorgan Chase & Co. | 4.60% (SOFR + 3.13% | )# | - | (b) | 2,230 | 2,280,175 | ||||||
Kookmin Bank (South Korea)†(a) | 1.75% | 5/4/2025 | 2,320 | 2,410,747 | ||||||||
Macquarie Group Ltd. (Australia)†(a) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | 3,121 | 3,628,816 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 1,033 | 1,181,411 |
See Notes to Financial Statements. | 85 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Morgan Stanley | 3.875% | 1/27/2026 | $ | 5,383 | $ | 6,158,696 | ||||||
Morgan Stanley | 4.431% (3 Mo. LIBOR + 1.63% | )# | 1/23/2030 | 2,615 | 3,187,277 | |||||||
Toronto-Dominion Bank (The) (Canada)(a) | 3.625% (5 Yr. Swap rate + 2.21% | )# | 9/15/2031 | 4,066 | 4,585,861 | |||||||
Truist Bank | 2.25% | 3/11/2030 | 1,627 | 1,708,446 | ||||||||
UBS AG (Switzerland)(a) | 5.125% | 5/15/2024 | 1,694 | 1,869,753 | ||||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 3,062 | 3,241,035 | |||||||
Wells Fargo & Co. | 3.00% | 10/23/2026 | 3,498 | 3,854,488 | ||||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 5,275 | 7,473,177 | ||||||||
Total | 96,829,277 | |||||||||||
Beverages 0.51% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 6,717 | 8,590,226 | ||||||||
Becle SAB de CV (Mexico)†(a) | 3.75% | 5/13/2025 | 800 | 867,776 | ||||||||
Coca-Cola Femsa SAB de CV (Mexico)(a) | 1.85% | 9/1/2032 | 1,010 | 1,021,276 | ||||||||
Total | 10,479,278 | |||||||||||
Biotechnology Research & Production 0.82% | ||||||||||||
Biogen, Inc. | 2.25% | 5/1/2030 | 9,117 | 9,434,737 | ||||||||
Regeneron Pharmaceuticals, Inc. | 1.75% | 9/15/2030 | 4,898 | 4,826,265 | ||||||||
Royalty Pharma plc† | 1.75% | 9/2/2027 | 2,447 | 2,500,248 | ||||||||
Total | 16,761,250 | |||||||||||
Building Materials 0.13% | ||||||||||||
Owens Corning, Inc. | 3.95% | 8/15/2029 | 1,655 | 1,894,305 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 697 | 827,059 | ||||||||
Total | 2,721,364 | |||||||||||
Business Services 0.51% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(a) | 4.00% | 7/30/2027 | 704 | 753,184 | ||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 1,128 | 1,183,830 | ||||||||
PayPal Holdings, Inc. | 2.85% | 10/1/2029 | 6,951 | 7,742,903 | ||||||||
Pepperdine University | 3.301% | 12/1/2059 | 695 | 758,351 | ||||||||
Total | 10,438,268 | |||||||||||
Chemicals 0.19% | ||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(a) | 3.50% | 7/19/2022 | 1,270 | 1,280,694 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(a) | 3.875% | 6/19/2029 | 912 | 934,815 | ||||||||
86 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(a) | 4.125% | 7/19/2027 | $ | 218 | $ | 224,845 | ||||||
Nutrition & Biosciences, Inc.† | 1.832% | 10/15/2027 | 1,427 | 1,458,569 | ||||||||
Total | 3,898,923 | |||||||||||
Computer Hardware 0.28% | ||||||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 2,950 | 3,583,585 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 1,521 | 2,210,834 | ||||||||
Total | 5,794,419 | |||||||||||
Computer Software 0.18% | ||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 1,116 | 1,723,897 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 2,131 | 2,077,689 | ||||||||
Total | 3,801,586 | |||||||||||
Construction/Homebuilding 0.70% | ||||||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 5,089 | 5,482,027 | ||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 5,329 | 5,796,551 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 681 | 937,414 | ||||||||
Shea Homes LP† | 4.75% | 4/1/2029 | 1,965 | 2,048,512 | ||||||||
Total | 14,264,504 | |||||||||||
Containers 0.18% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 3,706 | 3,692,102 | ||||||||
Drugs 1.79% | ||||||||||||
AbbVie, Inc. | 3.25% | 10/1/2022 | 3,169 | 3,309,739 | ||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 8,461 | 10,731,663 | ||||||||
AstraZeneca plc (United Kingdom)(a) | 4.375% | 8/17/2048 | 1,233 | 1,688,719 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 1,425 | 1,845,460 | ||||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 7,168 | 7,838,032 | ||||||||
Bayer US Finance II LLC† | 4.375% | 12/15/2028 | 5,525 | 6,492,276 | ||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 4,181 | 4,754,696 | ||||||||
Total | 36,660,585 | |||||||||||
Electric: Power 2.76% | ||||||||||||
Ameren Corp. | 3.50% | 1/15/2031 | 3,304 | 3,829,703 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 3,872 | 4,769,703 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 1,850 | 1,952,213 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 1,705 | 1,980,763 | ||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 1,113 | 1,648,443 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 581 | 839,216 | ||||||||
See Notes to Financial Statements. | 87 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
DTE Electric Co. | 2.625% | 3/1/2031 | $ | 5,859 | $ | 6,493,830 | ||||||
Emera US Finance LP | 4.75% | 6/15/2046 | 3,338 | 4,208,888 | ||||||||
Exelon Generation Co. LLC | 3.25% | 6/1/2025 | 2,074 | 2,236,856 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 3,018 | 3,370,989 | ||||||||
Interstate Power & Light Co. | 3.50% | 9/30/2049 | 1,570 | 1,783,173 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 3,388 | 3,398,745 | ||||||||
Minejesa Capital BV (Netherlands)†(a) | 4.625% | 8/10/2030 | 700 | 747,992 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 1,834 | 2,006,827 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 1,032 | 1,359,354 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 2,655 | 4,075,031 | ||||||||
Oklahoma Gas & Electric Co. | 3.30% | 3/15/2030 | 1,146 | 1,310,806 | ||||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 1,682 | 1,852,035 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 1,518 | 2,239,009 | ||||||||
Tucson Electric Power Co. | 1.50% | 8/1/2030 | 3,416 | 3,399,342 | ||||||||
Union Electric Co. | 2.625% | 3/15/2051 | 2,926 | 3,065,651 | ||||||||
Total | 56,568,569 | |||||||||||
Electrical Equipment 1.06% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 11,996 | 13,489,354 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(a) | 3.15% | 5/1/2027 | 7,487 | 8,178,632 | ||||||||
Total | 21,667,986 | |||||||||||
Financial Services 2.01% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(a) | 3.50% | 1/15/2025 | 2,732 | 2,834,041 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(a) | 3.875% | 1/23/2028 | 6,194 | 6,323,561 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 370 | 410,895 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 5,040 | 7,233,980 | ||||||||
Ameriprise Financial, Inc. | 3.00% | 4/2/2025 | 2,795 | 3,049,755 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 4.25% | 4/15/2026 | 989 | 1,025,520 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 5.25% | 5/15/2024 | 4,791 | 5,121,438 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 1,795 | 1,928,503 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 1,164 | 1,297,467 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 690 | 786,963 | ||||||||
OneMain Finance Corp. | 6.125% | 3/15/2024 | 1,755 | 1,903,649 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(a) | 5.50% | 2/15/2024 | 3,956 | 4,225,832 | ||||||||
Quicken Loans LLC† | 5.25% | 1/15/2028 | 1,730 | 1,837,044 | ||||||||
88 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.625% | 3/1/2029 | $ | 1,239 | $ | 1,233,753 | ||||||
SURA Asset Management SA (Columbia)†(a) | 4.875% | 4/17/2024 | 1,835 | 2,013,013 | ||||||||
Total | 41,225,414 | |||||||||||
Food 0.37% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 938 | 989,773 | ||||||||
Kraft Heinz Foods Co.† | 3.75% | 4/1/2030 | 3,450 | 3,712,364 | ||||||||
Sysco Corp. | 2.40% | 2/15/2030 | 1,594 | 1,676,055 | ||||||||
Sysco Corp. | 6.60% | 4/1/2040 | 752 | 1,112,497 | ||||||||
Total | 7,490,689 | |||||||||||
Health Care Products 1.48% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 6,648 | 7,063,816 | ||||||||
Boston Scientific Corp. | 2.65% | 6/1/2030 | 5,255 | 5,646,563 | ||||||||
Stryker Corp. | 1.95% | 6/15/2030 | 8,401 | 8,700,906 | ||||||||
Zimmer Biomet Holdings, Inc. | 3.55% | 4/1/2025 | 4,690 | 5,168,872 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 2,849 | 3,771,085 | ||||||||
Total | 30,351,242 | |||||||||||
Health Care Services 1.79% | ||||||||||||
Adventist Health System | 2.952% | 3/1/2029 | 841 | 886,486 | ||||||||
Advocate Health & Hospitals Corp. | 3.387% | 10/15/2049 | 2,271 | 2,569,661 | ||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 5,552 | 5,819,653 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 6,309 | 6,854,172 | ||||||||
DaVita, Inc.† | 3.75% | 2/15/2031 | 1,990 | 1,986,269 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 5,757 | 7,684,778 | ||||||||
LifePoint Health, Inc.† | 4.375% | 2/15/2027 | 1,819 | 1,832,643 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 1,867 | 2,116,751 | ||||||||
Quest Diagnostics, Inc. | 2.80% | 6/30/2031 | 3,789 | 4,181,585 | ||||||||
UnitedHealth Group, Inc. | 3.50% | 8/15/2039 | 1,821 | 2,169,481 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 632 | 657,950 | ||||||||
Total | 36,759,429 | |||||||||||
Insurance 0.30% | ||||||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 4,592 | 6,165,798 | ||||||||
Investment Management Companies 0.06% | ||||||||||||
Temasek Financial I Ltd. (Singapore)†(a) | 2.50% | 10/6/2070 | 1,180 | 1,199,369 |
See Notes to Financial Statements. | 89 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural 0.43% | ||||||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | $ | 3,114 | $ | 3,461,948 | ||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 3,348 | 3,776,875 | ||||||||
BAT Capital Corp. | 4.70% | 4/2/2027 | 1,302 | 1,526,239 | ||||||||
Total | 8,765,062 | |||||||||||
Machinery: Industrial/Specialty 0.34% | ||||||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 3,015 | 3,344,801 | ||||||||
nVent Finance Sarl (Luxembourg)(a) | 4.55% | 4/15/2028 | 3,315 | 3,589,754 | ||||||||
Total | 6,934,555 | |||||||||||
Media 1.11% | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 1,875 | 1,987,969 | ||||||||
Comcast Corp. | 4.95% | 10/15/2058 | 2,567 | 3,943,126 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 4,814 | 8,214,713 | ||||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 3,190 | 3,571,795 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 3,385 | 4,977,012 | ||||||||
Total | 22,694,615 | |||||||||||
Metals & Minerals: Miscellaneous 0.60% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(a) | 3.625% | 9/11/2024 | 695 | 756,369 | ||||||||
Anglo American Capital plc (United Kingdom)†(a) | 4.75% | 4/10/2027 | 3,199 | 3,744,576 | ||||||||
Antofagasta plc (Chile)†(a) | 2.375% | 10/14/2030 | 2,032 | 2,024,888 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 1,909 | 2,012,802 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(a) | 5.55% | 10/25/2042 | 3,084 | 3,738,733 | ||||||||
Total | 12,277,368 | |||||||||||
Natural Gas 0.54% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 1,283 | 1,643,696 | ||||||||
ENN Energy Holdings Ltd. (China)†(a) | 2.625% | 9/17/2030 | 1,200 | 1,208,980 | ||||||||
NiSource, Inc. | 3.49% | 5/15/2027 | 7,351 | 8,276,899 | ||||||||
Total | 11,129,575 | |||||||||||
Oil 1.37% | ||||||||||||
Apache Corp. | 4.75% | 4/15/2043 | 4,176 | 4,165,560 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 2,777 | 2,786,720 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 906 | 1,011,057 | ||||||||
Empresa Nacional del Petroleo (Chile)†(a) | 3.75% | 8/5/2026 | 1,475 | 1,600,633 | ||||||||
Eni SpA (Italy)†(a) | 5.70% | 10/1/2040 | 5,053 | 6,184,881 | ||||||||
Equinor ASA (Norway)(a) | 7.15% | 11/15/2025 | 1,354 | 1,732,079 | ||||||||
Occidental Petroleum Corp. | 2.70% | 2/15/2023 | 3,879 | 3,742,071 | ||||||||
Pertamina Persero PT (Indonesia)†(a) | 4.15% | 2/25/2060 | 520 | 553,586 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(a) | 2.875% | 4/16/2024 | 1,950 | 2,062,338 |
90 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Shell International Finance BV (Netherlands)(a) | 6.375% | 12/15/2038 | $ | 1,773 | $ | 2,765,512 | ||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(a) | 3.25% | 8/15/2030 | 1,400 | 1,463,722 | ||||||||
Total | 28,068,159 | |||||||||||
Oil: Crude Producers 0.41% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(a) | 4.60% | 11/2/2047 | 770 | 956,386 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(a) | 3.25% | 9/30/2040 | 4,400 | 4,571,321 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 771 | 937,061 | ||||||||
Western Midstream Operating LP | 4.10% | 2/1/2025 | 1,868 | 1,866,842 | ||||||||
Total | 8,331,610 | |||||||||||
Oil: Integrated Domestic 0.43% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.138% | 11/7/2029 | 1,842 | 1,999,928 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 2,595 | 3,634,136 | ||||||||
National Oilwell Varco, Inc. | 3.60% | 12/1/2029 | 3,092 | 3,170,338 | ||||||||
Total | 8,804,402 | |||||||||||
Paper & Forest Products 0.13% | ||||||||||||
Suzano Austria GmbH (Brazil)(a) | 3.75% | 1/15/2031 | 2,511 | 2,649,733 | ||||||||
Real Estate Investment Trusts 0.62% | ||||||||||||
Healthcare Realty Trust, Inc. | 2.40% | 3/15/2030 | 1,148 | 1,192,650 | ||||||||
Longfor Group Holdings Ltd. (China)(a) | 4.50% | 1/16/2028 | 1,180 | 1,306,083 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 5,718 | 6,543,469 | ||||||||
WEA Finance LLC† | 2.875% | 1/15/2027 | 3,628 | 3,633,919 | ||||||||
Total | 12,676,121 | |||||||||||
Retail 0.10% | ||||||||||||
Walgreens Boots Alliance, Inc. | 3.20% | 4/15/2030 | 1,893 | 2,052,813 | ||||||||
Technology 0.77% | ||||||||||||
Baidu, Inc. (China)(a) | 2.375% | 10/9/2030 | 1,550 | 1,595,286 | ||||||||
Baidu, Inc. (China)(a) | 3.075% | 4/7/2025 | 1,300 | 1,389,089 | ||||||||
eBay, Inc. | 1.90% | 3/11/2025 | 734 | 767,129 | ||||||||
JD.com, Inc. (China)(a) | 3.375% | 1/14/2030 | 1,200 | 1,310,455 | ||||||||
Meituan (China)†(a) | 3.05% | 10/28/2030 | 2,290 | 2,374,913 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 2,971 | 3,731,695 | ||||||||
Prosus NV (Netherlands)†(a) | 3.68% | 1/21/2030 | 550 | 600,723 |
See Notes to Financial Statements. | 91 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology (continued) | ||||||||||||
Tencent Holdings Ltd. (China)†(a) | 3.595% | 1/19/2028 | $ | 3,700 | $ | 4,075,176 | ||||||
Total | 15,844,466 | |||||||||||
Telecommunications 1.03% | ||||||||||||
AT&T, Inc.† | 3.50% | 9/15/2053 | 5,532 | 5,693,138 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 9,872 | 11,795,689 | ||||||||
Ooredoo International Finance Ltd.† | 3.75% | 6/22/2026 | 3,270 | 3,656,596 | ||||||||
Total | 21,145,423 | |||||||||||
Transportation: Miscellaneous 0.08% | ||||||||||||
Huntington Ingalls Industries, Inc.† | 3.844% | 5/1/2025 | 1,406 | 1,566,303 | ||||||||
Utilities 0.14% | ||||||||||||
Essential Utilities, Inc. | 3.566% | 5/1/2029 | 2,468 | 2,807,671 | ||||||||
Total Corporate Bonds (cost $578,814,175) | 624,698,240 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.89% | ||||||||||||
China 0.19% | ||||||||||||
China Government International Bond†(a) | 2.25% | 10/21/2050 | 3,850 | 3,846,063 | ||||||||
Indonesia 0.13% | ||||||||||||
Republic of Indonesia(a) | 3.40% | 9/18/2029 | 2,450 | 2,750,686 | ||||||||
Japan 2.24% | ||||||||||||
Development Bank of Japan, Inc.†(a) | 1.00% | 8/27/2030 | 5,620 | 5,598,554 | ||||||||
Japan Treasury Discount Bill(c) | Zero Coupon | 2/22/2021 | JPY | 4,200,000 | 40,238,683 | |||||||
Total | 45,837,237 | |||||||||||
Peru 0.06% | ||||||||||||
Peruvian Government International Bond(a) | 2.392% | 1/23/2026 | $ | 1,200 | 1,265,400 | |||||||
Qatar 0.05% | ||||||||||||
State of Qatar†(a) | 5.103% | 4/23/2048 | 725 | 1,038,581 | ||||||||
South Africa 0.22% | ||||||||||||
Saudi International Bond†(a) | 3.25% | 10/26/2026 | 4,000 | 4,419,396 | ||||||||
Total Foreign Government Obligations (cost $58,088,631) | 59,157,363 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.22% | ||||||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.187% | #(d) | 2/25/2032 | 11,737 | 1,390,548 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(d) | 2/16/2049 | 2,514 | 2,638,606 | |||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(d) | 2/16/2053 | 477 | 500,691 | |||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $4,457,474) | 4,529,845 |
92 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 26.13% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 10/1/2049 | $ | 3,092 | $ | 3,493,555 | ||||||
Federal National Mortgage Assoc.(e) | 2.50% | TBA | 44,600 | 46,734,507 | ||||||||
Federal National Mortgage Assoc.(e) | 3.00% | TBA | 155,650 | 162,614,731 | ||||||||
Federal National Mortgage Assoc. | 3.50% | 9/1/2047 - 3/1/2050 | 26,430 | 28,557,773 | ||||||||
Federal National Mortgage Assoc.(e) | 3.50% | TBA | 178,600 | 188,416,022 | ||||||||
Federal National Mortgage Assoc. | 4.00% | 1/1/2048 | 3,826 | 4,323,917 | ||||||||
Federal National Mortgage Assoc.(e) | 4.00% | TBA | 94,916 | 101,265,362 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $533,764,250) | 535,405,867 | |||||||||||
MUNICIPAL BONDS 1.33% | ||||||||||||
Miscellaneous | ||||||||||||
California | 7.30% | 10/1/2039 | 550 | 906,054 | ||||||||
California | 7.625% | 3/1/2040 | 820 | 1,424,594 | ||||||||
California Health Facilities Financing Authority | 3.034% | 6/1/2034 | 825 | 879,351 | ||||||||
City of Atlanta GA Water & Wastewater Revenue | 2.257% | 11/1/2035 | 9,585 | 9,884,627 | ||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 1,509 | 1,590,109 | ||||||||
Massachusetts School Building Authority | 3.395% | 10/15/2040 | 2,090 | 2,200,436 | ||||||||
Metropolitan District (The) | 2.562% | 4/1/2039 | 2,063 | 2,089,427 | ||||||||
Michigan Finance Authority | 3.084% | 12/1/2034 | 2,195 | 2,370,227 | ||||||||
New Jersey Educational Facilities Authority | 3.636% | 9/1/2029 | 1,319 | 1,392,455 | ||||||||
New Jersey Educational Facilities Authority | 3.836% | 9/1/2036 | 1,592 | 1,748,812 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 1,590 | 1,750,033 | ||||||||
University of California Bond of Regents | 3.006% | 5/15/2050 | 950 | 1,019,568 | ||||||||
Total Municipal Bonds (cost $26,143,885) | 27,255,693 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 6.22% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(d) | 12/25/2059 | 739 | 748,185 | |||||||
Angel Oak Mortgage Trust I LLC 2019-4 A1† | 2.993% | #(d) | 7/26/2049 | 2,252 | 2,287,577 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 1.091% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 1,141 | 1,104,804 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.097% (1 Mo. LIBOR + .96% | )# | 11/15/2034 | 1,510 | 1,473,508 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 1.451% (1 Mo. LIBOR + 1.31% | )# | 11/15/2034 | 664 | 642,355 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 0.812% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 4,127 | 4,132,647 | |||||||
BX Trust 2018-GW A† | 0.941% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 3,064 | 2,985,175 | |||||||
BX Trust 2019-OC11 A† | 3.202% | 12/9/2041 | 2,929 | 3,146,220 |
See Notes to Financial Statements. | 93 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CF Trust 2019-BOSS A1† | 3.391% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | $ | 1,690 | $ | 1,560,948 | (f) | ||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.335% | #(d) | 5/10/2047 | 16,412 | 546,473 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 3,025 | 2,124,554 | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(d) | 4/15/2049 | 709 | 457,526 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.133% | #(d) | 8/10/2047 | 2,912 | 82,811 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS4 D† | 4.863% | #(d) | 8/10/2047 | 4,440 | 3,538,906 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | 4.451% | #(d) | 2/10/2048 | 3,741 | 2,486,145 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.576% | #(d) | 7/10/2050 | 620 | 663,104 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.576% | #(d) | 7/10/2050 | 3,385 | 3,276,022 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.576% | #(d) | 7/10/2050 | 1,471 | 1,186,157 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | 690 | 754,642 | ||||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(d) | 2/25/2050 | 2,051 | 2,091,940 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-SPT1 A1† | 1.70% | 4/25/2065 | 4,221 | 4,248,393 | ||||||||
CSAIL Commercial Mortgage Trust 2015-C2 C | 4.33% | #(d) | 6/15/2057 | 325 | 260,568 | |||||||
CSAIL Commercial Mortgage Trust 2016-C7 D† | 4.532% | #(d) | 11/15/2049 | 1,875 | 1,174,204 | |||||||
CSAIL Commercial Mortgage Trust 2019-C18 AS | 3.321% | 12/15/2052 | 1,635 | 1,807,630 | ||||||||
CSMC Series 2019-UVIL A† | 3.16% | 12/15/2041 | 1,436 | 1,423,923 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 1.179% (1 Mo. LIBOR + 1.03% | )# | 12/19/2030 | 1,916 | 1,884,412 | |||||||
Deephaven Residential Mortgage Trust 2019-3A A1† | 2.964% | #(d) | 7/25/2059 | 2,372 | 2,406,175 | |||||||
Deephaven Residential Mortgage Trust 2019-4A A1† | 2.791% | #(d) | 10/25/2059 | 1,549 | 1,578,106 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(d) | 1/25/2060 | 1,045 | 1,058,540 | |||||||
Deephaven Residential Mortgage Trust 2020-2 A1† | 1.692% | 5/25/2065 | 3,714 | 3,739,274 | ||||||||
Ellington Financial Mortgage Trust 2020-1 A1† | 2.006% | #(d) | 5/25/2065 | 3,945 | 4,010,153 |
94 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | $ | 797 | $ | 816,874 | ||||||
GCAT Trust 2020-NQM2 A1† | 1.555% | 4/25/2065 | 4,080 | 4,091,888 | ||||||||
Great Wolf Trust 2019-WOLF A† | 1.175% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | 6,000 | 5,830,263 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 1.091% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 1,346 | 1,291,687 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.569% | #(d) | 7/10/2048 | 685 | 689,091 | |||||||
Hilton Orlando Trust 2018-ORL A† | 0.911% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 4,123 | 4,010,852 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 2,410 | 1,995,386 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(d) | 8/5/2034 | 2,231 | 1,489,103 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.41% | #(d) | 7/15/2048 | 2,629 | 2,621,022 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 2,232 | 2,169,549 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 1.441% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 2,292 | 2,203,310 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.02% (1 Mo. LIBOR + 1.02% | )# | 11/15/2035 | 1,026 | 992,020 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 1.088% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 4,703 | 4,629,737 | |||||||
New Residential Mortgage Loan Trust 2019-NQM3 A1† | 2.802% | #(d) | 7/25/2049 | 2,090 | 2,117,805 | |||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(d) | 1/26/2060 | 668 | 683,297 | |||||||
PFP Ltd. 2019-6 A† | 1.186% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 1,729 | 1,707,387 | |||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.833% | 10/25/2052 | 1,217 | 1,240,690 | ||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(d) | 2/25/2024 | 503 | 513,693 | |||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(d) | 9/25/2042 | 171 | 173,199 | |||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(d) | 2/25/2050 | 1,017 | 1,039,608 | |||||||
Starwood Mortgage Residential Trust 2020-3 A1† | 1.486% | #(d) | 4/25/2065 | 5,375 | 5,414,939 | |||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 2,567 | 2,618,300 | ||||||||
Verus Securitization Trust 2020-4 A1† | 1.502% | 5/25/2065 | 4,035 | 4,067,749 | ||||||||
Verus Securitization Trust 2020-INV1 A1† | 1.977% | #(d) | 3/25/2060 | 3,667 | 3,722,764 | |||||||
Vista Point Securitization Trust 2020-1 A1† | 1.763% | #(d) | 3/25/2065 | 5,753 | 5,804,872 | |||||||
Vista Point Securitization Trust 2020-2 A1† | 1.475% | #(d) | 4/25/2065 | 3,027 | 3,043,451 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(d) | 7/15/2048 | 2,139 | 2,062,585 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(d) | 11/15/2050 | 1,151 | 1,225,751 |
See Notes to Financial Statements. | 95 |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.71% | #(d) | 10/15/2057 | $ | 21,035 | $ | 376,474 | |||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $130,347,700) | 127,524,423 | |||||||||||
U.S. TREASURY OBLIGATIONS 36.23% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 2/4/2021 | 16,079 | 16,076,963 | ||||||||
U.S. Treasury Bond | 1.125% | 5/15/2040 | 52,994 | 50,936,343 | ||||||||
U.S. Treasury Bond | 1.375% | 8/15/2050 | 10,715 | 10,183,435 | ||||||||
U.S. Treasury Bond | 1.625% | 11/15/2050 | 18,591 | 18,789,982 | ||||||||
U.S. Treasury Bond | 2.375% | 11/15/2049 | 9,065 | 10,799,743 | ||||||||
U.S. Treasury Bond | 3.625% | 8/15/2043 | 10,814 | 15,466,554 | ||||||||
U.S. Treasury Note | 0.125% | 9/30/2022 | 61,635 | 61,620,554 | ||||||||
U.S. Treasury Note | 0.125% | 10/31/2022 | 73,981 | 73,957,881 | ||||||||
U.S. Treasury Note | 0.25% | 11/15/2023 | 97,556 | 97,735,107 | ||||||||
U.S. Treasury Note | 0.25% | 10/31/2025 | 172,269 | 171,380,738 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 214,604 | 215,446,512 | ||||||||
Total U.S. Treasury Obligations (cost $741,719,749) | 742,393,812 | |||||||||||
Total Long-Term Investments (cost $2,367,120,284) | 2,416,732,235 | |||||||||||
SHORT-TERM INVESTMENTS 5.46% | ||||||||||||
REPURCHASE AGREEMENTS | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $41,718,500 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $41,695,680; proceeds: $40,878,116 | 40,878 | 40,878,116 | ||||||||||
Repurchase Agreement dated 11/30/2020, 0.07% due 12/1/2020 with Toronto Dominion Grand Cayman collateralized by $67,815,000 of U.S. Treasury Note at 2.250% due 4/30/2024; value: $72,631,788; proceeds: $71,000,138 | 71,000 | 71,000,000 | ||||||||||
Total Repurchase Agreements (cost $111,878,116) | 111,878,116 | |||||||||||
Total Investments in Securities 123.41% (cost $2,478,998,400) | 2,528,610,351 | |||||||||||
Liabilities in Excess of Other Assets(g) (23.41%) | (479,593,627 | ) | ||||||||||
Net Assets 100.00% | $ | 2,049,016,724 |
JPY | Japanese yen. | |
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, 2020, the total value of Rule 144A securities was $528,920,463, which represents 25.81% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. |
96 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUND November 30, 2020
(a) | Foreign security traded in U.S. dollars. | |
(b) | Security is perpetual in nature and has no stated maturity. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(e) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(f) | 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. | |
(g) | 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: |
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at November 30, 2020(1):
Referenced Index | Central Clearing party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | |||||||
Markit CDX.NA.IG.35(4)(5) | Credit Suisse | 1.00% | 12/20/2025 | $39,500,000 | $40,481,174 | $ (877,378) | $ (103,796) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(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 $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $103,796. | |
(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 investment grade securities. |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Sell | State Street Bank and Trust | 2/22/2021 | 4,200,000,000 | $ | 40,163,216 | $ | 40,287,135 | $ | (123,919 | ) |
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. Long Bond | March 2021 | 302 | Long | $ | 52,644,072 | $ | 52,821,687 | $ | 177,615 | |||||||||
U.S. Ultra Long Treasury Bond | March 2021 | 297 | Long | 63,723,168 | 64,161,281 | 438,113 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 615,728 |
See Notes to Financial Statements. | 97 |
Schedule of Investments (concluded)
CORE FIXED INCOME FUND November 30, 2020
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Note | March 2021 | 479 | Short | $ | (75,149,247 | ) | $ | (75,262,875 | ) | $(113,628 | ) |
The following is a summary of the inputs used as of November 30, 2020 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 | $ | – | $ | 295,766,992 | $ | – | $ | 295,766,992 | ||||||||
Corporate Bonds | – | 624,698,240 | – | 624,698,240 | ||||||||||||
Foreign Government Obligations | – | 59,157,363 | – | 59,157,363 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 4,529,845 | – | 4,529,845 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 535,405,867 | – | 535,405,867 | ||||||||||||
Municipal Bonds | – | 27,255,693 | – | 27,255,693 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 125,963,475 | 1,560,948 | 127,524,423 | ||||||||||||
U.S. Treasury Obligations | – | 742,393,812 | – | 742,393,812 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 111,878,116 | – | 111,878,116 | ||||||||||||
Total | $ | – | $ | 2,527,049,403 | $ | 1,560,948 | $ | 2,528,610,351 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (103,796 | ) | – | (103,796 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (123,919 | ) | – | (123,919 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 615,728 | – | – | 615,728 | ||||||||||||
Liabilities | (113,628 | ) | – | – | (113,628 | ) | ||||||||||
Total | $ | 502,100 | $ | (227,715 | ) | $ | – | $ | 274,385 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the year.
98 | See Notes to Financial Statements. |
Schedule of Investments
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 107.83% | ||||||||||||
ASSET-BACKED SECURITIES 16.20% | ||||||||||||
Automobiles 7.30% | ||||||||||||
ACC Trust 2019-1 B† | 4.47% | 10/20/2022 | $ | 100 | $ | 100,426 | ||||||
Ally Auto Receivables Trust 2019-4 A2 | 1.93% | 10/17/2022 | 236 | 236,985 | ||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 64 | 64,077 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 16 | 16,191 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 265 | 265,932 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-3 A2A | 2.17% | 1/18/2023 | 97 | 97,707 | ||||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 230 | 232,130 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 500 | 512,699 | ||||||||
Avid Automobile Receivables Trust 2019-1 C† | 3.14% | 7/15/2026 | 500 | 508,274 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2017-2A A† | 2.97% | 3/20/2024 | 1,200 | 1,242,175 | ||||||||
BMW Vehicle Owner Trust 2019-A A2 | 2.05% | 5/25/2022 | 225 | 225,240 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 73 | 73,754 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 194 | 194,777 | ||||||||
Capital One Prime Auto Receivables Trust 2019-2 A2 | 2.06% | 9/15/2022 | 267 | 268,278 | ||||||||
CarMax Auto Owner Trust 2019-3 A2A | 2.21% | 12/15/2022 | 99 | 100,040 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 85 | 85,317 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 46 | 46,131 | ||||||||
Chesapeake Funding II LLC 2019-1A A1† | 2.94% | 4/15/2031 | 669 | 682,496 | ||||||||
CPS Auto Receivables Trust 2017-C D† | 3.79% | 6/15/2023 | 88 | 89,410 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 411 | 415,596 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 411 | 419,184 | ||||||||
CPS Auto Receivables Trust 2020-B D† | 4.75% | 4/15/2026 | 293 | 316,411 | ||||||||
CPS Auto Trust 2017-A D† | 4.61% | 12/15/2022 | 891 | 904,080 | ||||||||
Credit Acceptance Auto Loan Trust 2017-3A C† | 3.48% | 10/15/2026 | 250 | 253,012 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 52 | 52,447 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 39 | 39,576 | ||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 1,590 | 1,628,662 | ||||||||
Drive Auto Receivables Trust 2017-3 D† | 3.53% | 12/15/2023 | 83 | 84,000 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 327 | 332,616 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 7 | 7,158 |
See Notes to Financial Statements. | 99 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2019-1 D | 4.09% | 6/15/2026 | $ | 797 | $ | 835,242 | ||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 275 | 280,812 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 12 | 12,211 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 71 | 71,417 | ||||||||
First Investors Auto Owner Trust 2019-1A A† | 2.89% | 3/15/2024 | 26 | 26,033 | ||||||||
First Investors Auto Owner Trust 2019-2A A† | 2.21% | 9/16/2024 | 224 | 226,039 | ||||||||
First Investors Auto Owner Trust 2019-2A C† | 2.71% | 12/15/2025 | 427 | 439,756 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 1 | 929 | ||||||||
Ford Credit Auto Owner Trust 2019-C A2A | 1.88% | 7/15/2022 | 535 | 537,876 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 871 | 879,029 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 E† | 5.56% | 1/16/2024 | 451 | 471,349 | ||||||||
GLS Auto Receivables Issuer Trust 2020-3A C† | 1.92% | 5/15/2025 | 470 | 477,549 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 36 | 36,642 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 1 | 1,208 | ||||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 106 | 106,562 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 25 | 25,068 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 98 | 98,846 | ||||||||
Nissan Auto Receivables Owner Trust 2017-C A3 | 2.12% | 4/18/2022 | 85 | 84,898 | ||||||||
Prestige Auto Receivables Trust 2017-1A D† | 3.61% | 10/16/2023 | 329 | 335,283 | ||||||||
Santander Consumer Auto Receivables Trust 2020-B† | 1.29% | 4/15/2026 | 1,650 | 1,659,979 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 18 | 18,207 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 C | 3.81% | 12/16/2024 | 974 | 984,911 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 13 | 12,536 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 11 | 11,028 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 110 | 110,700 | ||||||||
Westlake Automobile Receivables Trust 2018-2A D† | 4.00% | 1/16/2024 | 1,357 | 1,386,113 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 138 | 137,904 | ||||||||
Westlake Automobile Receivables Trust 2019-1A B† | 3.26% | 10/17/2022 | 530 | 533,814 | ||||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 246 | 251,144 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 57 | 58,763 | ||||||||
Westlake Automobile Receivables Trust 2019-3A A2† | 2.15% | 2/15/2023 | 507 | 510,916 | ||||||||
Westlake Automobile Receivables Trust 2019-3A B† | 2.41% | 10/15/2024 | 275 | 279,756 | ||||||||
Westlake Automobile Receivables Trust 2020-1A C† | 2.52% | 4/15/2025 | 602 | 618,527 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 137 | 137,391 | ||||||||
World Omni Automobile Lease Securitization Trust 2019-A A2 | 2.89% | 11/15/2021 | 44 | 43,843 | ||||||||
Total | 21,197,062 |
100 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards 1.00% | ||||||||||||
First National Master Note Trust 2018-1 A | 0.601% (1 Mo. LIBOR + .46% | )# | 10/15/2024 | $ | 105 | $ | 105,132 | |||||
Genesis Sales Finance Master Trust 2020-AA B† | 2.24% | 9/22/2025 | 1,000 | 1,001,107 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA B† | 5.42% | 8/20/2023 | 100 | 100,753 | ||||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 500 | 510,378 | ||||||||
Perimeter Master Note Business Trust 2019-2A C† | 7.06% | 5/15/2024 | 750 | 758,064 | ||||||||
World Financial Network Credit Card Master Trust 2018-B A | 3.46% | 7/15/2025 | 402 | 411,779 | ||||||||
Total | 2,887,213 | |||||||||||
Other 7.90% | ||||||||||||
ALM VII Ltd. 2012-7A CR2† | 3.787% (3 Mo. LIBOR + 3.55% | )# | 7/15/2029 | 250 | 249,977 | |||||||
Ammc Clo Ltd. 2016-19A BR† | 2.037% (3 Mo. LIBOR + 1.80% | )# | 10/16/2028 | 500 | 497,574 | |||||||
Ammc Clo Ltd. 2016-19A CR† | 2.787% (3 Mo. LIBOR + 2.55% | )# | 10/16/2028 | 500 | 494,456 | |||||||
Amur Equipment Finance Receivables V LLC 2018-1A C† | 3.74% | 4/22/2024 | 675 | 686,122 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | – | (a) | 258 | |||||||
Avery Point VII CLO Ltd. 2015-7A BR† | 1.987% (3 Mo. LIBOR + 1.75% | )# | 1/15/2028 | 250 | 249,958 | |||||||
BDS Ltd. 2019-FL3 A† | 1.544% (1 Mo. LIBOR + 1.40% | )# | 12/15/2035 | 100 | 99,755 | |||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 271 | 268,566 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 1.543% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 83 | 82,751 | |||||||
CoreVest American Finance Ltd. 2018-1 A† | 3.804% | 6/15/2051 | 99 | 103,703 | ||||||||
Dell Equipment Finance Trust 2020-2 D† | 1.92% | 3/23/2026 | 791 | 796,798 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 25 | 25,110 | ||||||||
Dryden 43 Senior Loan Fund 2016-43A BR† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 7/20/2029 | 900 | 897,247 | |||||||
Elm CLO Ltd. 2014-1A BRR† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/17/2029 | 200 | 200,495 | |||||||
Fairstone Financial Issuance Trust I 2019-1A C†(b) | 6.299% | 3/21/2033 | CAD | 150 | 116,978 | (c) | ||||||
Fairstone Financial Issuance Trust I 2020-1A D†(b) | 6.873% | 10/20/2039 | CAD | 781 | 601,184 | (c) |
See Notes to Financial Statements. | 101 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
GreatAmerica Leasing Receivables Funding LLC Series 2019-1† | 3.21% | 2/18/2025 | $ | 110 | $ | 115,350 | ||||||
Greywolf CLO IV Ltd. 2019-1A A2† | 2.168% (3 Mo. LIBOR + 1.95% | )# | 4/17/2030 | 250 | 250,188 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-3A A1R† | 1.118% (3 Mo. LIBOR + .90% | )# | 10/18/2027 | 279 | 276,796 | |||||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 161 | 176,502 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 27 | 29,316 | ||||||||
Jackson Mill CLO Ltd. 2015-1A AR† | 1.067% (3 Mo. LIBOR + .83% | )# | 4/15/2027 | 228 | 227,196 | |||||||
Jamestown CLO VI-R Ltd. 2018-6RA A1† | 1.365% (3 Mo. LIBOR + 1.15% | )# | 4/25/2030 | 400 | 395,913 | |||||||
Kayne CLO 7 Ltd. 2020-7A A1† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/17/2033 | 721 | 718,973 | |||||||
KKR CLO Ltd.17 B† | 1.887% (3 Mo. LIBOR + 1.65% | )# | 4/15/2029 | 250 | 248,933 | |||||||
KKR CLO Ltd.18 B† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 7/18/2030 | 250 | 249,122 | |||||||
KVK CLO Ltd. 2016-1A B† | 2.487% (3 Mo. LIBOR + 2.25% | )# | 1/15/2029 | 743 | 743,615 | |||||||
Lendmark Funding Trust 2018-1A A† | 3.81% | 12/21/2026 | 1,409 | 1,429,246 | ||||||||
LMREC, Inc. 2019-CRE3 A† | 1.551% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 174 | 172,538 | |||||||
Longtrain Leasing III LLC 2015-1A A2† | 4.06% | 1/15/2045 | 98 | 100,505 | ||||||||
M360 LLC 2019-CRE2 AS† | 1.991% (1 Mo. LIBOR + 1.85% | )# | 9/15/2034 | 519 | 507,914 | |||||||
M360 LLC 2019-CRE2 B† | 2.391% (1 Mo. LIBOR + 2.25% | )# | 9/15/2034 | 258 | 247,850 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.518% (3 Mo. LIBOR + 1.30% | )# | 4/20/2033 | 429 | 428,656 | |||||||
ME Funding LLC 2019-1 A2† | 6.448% | 7/30/2049 | 834 | 776,132 | ||||||||
Mountain View CLO 2017-1A BR† | 1.98% (3 Mo. LIBOR + 1.75% | )# | 10/16/2029 | 250 | 248,023 | |||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 100 | 102,723 | ||||||||
Northwoods Capital 20 Ltd. 2019-20A D† | 4.465% (3 Mo. LIBOR + 4.25% | )# | 1/25/2030 | 250 | 250,115 | |||||||
Oaktree CLO 2014-1A A1R† | 1.511% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 245 | 243,743 | |||||||
Oaktree EIF III Series I Ltd. 2016-IIIA B† | 2.218% (3 Mo. LIBOR + 2.00% | )# | 10/20/2027 | 583 | 582,715 | |||||||
Octagon Investment Partners 30 Ltd. 2017-1A A2† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 3/17/2030 | 500 | 498,148 | |||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 100 | 105,941 |
102 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
OneMain Financial Issuance Trust 2019-1A A† | 3.48% | 2/14/2031 | $ | 140 | $ | 141,234 | ||||||
OneMain Financial Issuance Trust 2020-2A A† | 1.75% | 9/14/2035 | 1,157 | 1,178,425 | ||||||||
Orange Lake Timeshare Trust 2015-AA A† | 2.88% | 9/8/2027 | 8 | 7,976 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 31 | 31,929 | ||||||||
Orec Ltd. 2018-CRE1 A† | 1.321% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 23 | 22,655 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 0.837% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 1,155 | 1,151,656 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 1.068% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 830 | 827,110 | |||||||
Palmer Square Loan Funding Ltd. 2020-1A A1† | 1.024% (3 Mo. LIBOR + .80% | )# | 2/20/2028 | 655 | 650,656 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 0.485% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 29 | 27,087 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 100,310 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 103 | 102,877 | ||||||||
Salem Fields CLO Ltd. 2016-2A A1R† | 1.365% (3 Mo. LIBOR + 1.15% | )# | 10/25/2028 | 464 | 463,671 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 15 | 14,590 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 22 | 21,834 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 4 | 3,786 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 201 | 201,845 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 142 | 142,607 | ||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | 402 | 419,048 | ||||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 291 | 303,173 | ||||||||
SLM Student Loan Trust 2007-3 A4 | 0.275% (3 Mo. LIBOR + .06% | )# | 1/25/2022 | 77 | 73,894 | |||||||
Sound Point CLO XII Ltd. 2016-2A BR† | 2.018% (3 Mo. LIBOR + 1.80% | )# | 10/20/2028 | 250 | 248,705 | |||||||
Sound Point CLO XVII 2017-3A A2† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/20/2030 | 287 | 281,733 | |||||||
TCW CLO AMR Ltd. 2019-1A D† | 3.211% (3 Mo. LIBOR + 2.99% | )# | 2/15/2029 | 700 | 666,387 | |||||||
TCW CLO Ltd. 2017-1A DR† | 3.363% (3 Mo. LIBOR + 3.15% | )# | 7/29/2029 | 440 | 428,684 | |||||||
THL Credit Wind River CLO Ltd. 2017-1A D† | 3.968% (3 Mo. LIBOR + 3.75% | )# | 4/18/2029 | 540 | 533,690 | |||||||
TRTX Issuer Ltd. 2019-FL3 C† | 2.244% (1 Mo. LIBOR + 2.10% | )# | 10/15/2034 | 411 | 399,697 | |||||||
Total | 22,942,344 | |||||||||||
Total Asset-Backed Securities (cost $46,810,635) | 47,026,619 |
See Notes to Financial Statements. | 103 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
CORPORATE BONDS 55.15% | ||||||||||||
Aerospace/Defense 1.37% | ||||||||||||
BAE Systems plc (United Kingdom)†(d) | 3.40% | 4/15/2030 | $ | 488 | $ | 551,826 | ||||||
Boeing Co. (The) | 4.875% | 5/1/2025 | 1,230 | 1,374,425 | ||||||||
Boeing Co. (The) | 5.04% | 5/1/2027 | 794 | 910,686 | ||||||||
Boeing Co. (The) | 5.15% | 5/1/2030 | 251 | 295,203 | ||||||||
Signature Aviation US Holdings, Inc.† | 4.00% | 3/1/2028 | 277 | 277,917 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 540 | 561,398 | ||||||||
Total | 3,971,455 | |||||||||||
Air Transportation 0.73% | ||||||||||||
American Airlines Group, Inc.† | 5.00% | 6/1/2022 | 358 | 297,140 | ||||||||
American Airlines, Inc.† | 11.75% | 7/15/2025 | 258 | 285,735 | ||||||||
British Airways 2020-1 Class A Pass Through Trust (United Kingdom)†(d) | 4.25% | 11/15/2032 | 124 | 130,684 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 517 | 591,107 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.50% | 10/20/2025 | 247 | 260,963 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 251 | 270,576 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.† | 8.00% | 9/20/2025 | 260 | 289,445 | ||||||||
Total | 2,125,650 | |||||||||||
Auto Parts: Original Equipment 0.60% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | 606 | 611,303 | ||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 270 | 282,488 | ||||||||
BorgWarner, Inc. | 2.65% | 7/1/2027 | 185 | 198,021 | ||||||||
Clarios Global LP† | 8.50% | 5/15/2027 | 386 | 416,069 | ||||||||
Tenneco, Inc. | 5.375% | 12/15/2024 | 257 | 233,391 | ||||||||
Total | 1,741,272 | |||||||||||
Automotive 1.29% | ||||||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 10 | 10,250 | ||||||||
Daimler Finance North America LLC† | 1.121% (3 Mo. LIBOR + .90% | )# | 2/15/2022 | 850 | 855,769 | |||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 481 | 604,557 | ||||||||
General Motors Financial Co., Inc. | 3.60% | 6/21/2030 | 1,688 | 1,885,895 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 368 | 383,530 | ||||||||
Total | 3,740,001 | |||||||||||
Banks: Regional 6.05% | ||||||||||||
AIB Group plc (Ireland)†(d) | 4.75% | 10/12/2023 | 850 | 935,499 | ||||||||
Banco de Credito e Inversiones SA (Chile)†(d) | 3.50% | 10/12/2027 | 290 | 317,801 |
104 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Banco do Brasil SA† | 4.625% | 1/15/2025 | $ | 220 | $ | 238,370 | ||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 2,306 | 2,613,318 | |||||||
Bank of America Corp. | 3.97% (3 Mo. LIBOR + 1.07% | )# | 3/5/2029 | 14 | 16,297 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 7 | 7,836 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 230 | 283,144 | ||||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15% | )# | 1/29/2031 | 278 | 298,998 | |||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 1,394 | 1,588,424 | |||||||
Citigroup, Inc. | 3.98% (3 Mo. LIBOR + 1.34% | )# | 3/20/2030 | 336 | 393,646 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 38 | 44,590 | ||||||||
Danske Bank A/S (Denmark)†(d) | 5.375% | 1/12/2024 | 200 | 225,585 | ||||||||
Discover Bank | 4.682% (5 Yr. Swap rate + 1.73% | )# | 8/9/2028 | 500 | 530,732 | |||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 622 | 713,442 | |||||||
JPMorgan Chase & Co. | 3.96% (3 Mo. LIBOR + 1.25% | )# | 1/29/2027 | 179 | 204,837 | |||||||
JPMorgan Chase & Co. | 4.60% (SOFR + 3.13% | )# | – | (e) | 340 | 347,650 | ||||||
Kookmin Bank (South Korea)†(d) | 1.75% | 5/4/2025 | 300 | 311,734 | ||||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.625% | 4/7/2021 | 16 | 16,334 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | 204 | 237,193 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 1,124 | 1,285,485 | ||||||||
Morgan Stanley | 4.431% (3 Mo. LIBOR + 1.63% | )# | 1/23/2030 | 309 | 376,623 | |||||||
Morgan Stanley | 5.875% (3 Mo. LIBOR + 4.44% | )# | – | (e) | 422 | 470,002 | ||||||
National Australia Bank Ltd. (Australia)†(d) | 3.933% (5 Yr Treasury CMT + 1.88% | )# | 8/2/2034 | 675 | 757,014 | |||||||
Natwest Group plc (United Kingdom)(d) | 6.125% | 12/15/2022 | 40 | 43,970 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 89 | 96,222 | ||||||||
Toronto-Dominion Bank (The) (Canada)(d) | 3.625% (5 Yr. Swap rate + 2.21% | )# | 9/15/2031 | 394 | 444,375 | |||||||
Turkiye Garanti Bankasi AS (Turkey)†(d) | 5.875% | 3/16/2023 | 200 | 204,651 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.625% | 5/30/2022 | 200 | 200,550 | ||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | 2,045 | 2,257,169 | ||||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | 1,157 | 1,212,359 | |||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 530 | 560,989 | |||||||
Westpac Banking Corp. (Australia)(d) | 4.11% (5 Yr Treasury CMT + 2.00% | )# | 7/24/2034 | 300 | 341,235 | |||||||
Total | 17,576,074 | |||||||||||
Beverages 0.70% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.75% | 1/23/2029 | 1,532 | 1,881,058 | ||||||||
Coca-Cola Femsa SAB de CV (Mexico)(d) | 1.85% | 9/1/2032 | 150 | 151,675 | ||||||||
Total | 2,032,733 |
See Notes to Financial Statements. | 105 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Biotechnology Research & Production 0.80% | ||||||||||||
Biogen, Inc. | 2.25% | 5/1/2030 | $ | 1,248 | $ | 1,291,494 | ||||||
Regeneron Pharmaceuticals, Inc. | 1.75% | 9/15/2030 | 683 | 672,997 | ||||||||
Royalty Pharma plc† | 1.75% | 9/2/2027 | 351 | 358,638 | ||||||||
Total | 2,323,129 | |||||||||||
Building Materials 0.46% | ||||||||||||
Cemex SAB de CV (Mexico)†(d) | 5.45% | 11/19/2029 | 210 | 230,212 | ||||||||
Forterra Finance LLC/FRTA Finance Corp.† | 6.50% | 7/15/2025 | 266 | 284,540 | ||||||||
Griffon Corp. | 5.75% | 3/1/2028 | 216 | 229,122 | ||||||||
Norbord, Inc. (Canada)†(d) | 6.25% | 4/15/2023 | 21 | 22,809 | ||||||||
Owens Corning | 3.95% | 8/15/2029 | 490 | 560,852 | ||||||||
Total | 1,327,535 | |||||||||||
Business Services 0.70% | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 5.25% | 3/15/2025 | 288 | 286,380 | ||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 255 | 272,345 | ||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 166 | 174,216 | ||||||||
Garda World Security Corp. (Canada)†(d) | 4.625% | 2/15/2027 | 283 | 284,415 | ||||||||
Global Payments, Inc. | 3.20% | 8/15/2029 | 572 | 635,223 | ||||||||
Pepperdine University | 3.301% | 12/1/2059 | 102 | 111,298 | ||||||||
United Rentals North America, Inc. | 4.00% | 7/15/2030 | 268 | 283,410 | ||||||||
Total | 2,047,287 | |||||||||||
Chemicals 1.00% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | 60 | 79,158 | ||||||||
CF Industries, Inc. | 4.95% | 6/1/2043 | 433 | 540,438 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.50% | 7/19/2022 | 400 | 403,368 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 4.125% | 7/19/2027 | 450 | 464,130 | ||||||||
Nouryon Holding BV (Netherlands)†(d) | 8.00% | 10/1/2026 | 250 | 268,281 | ||||||||
Nutrition & Biosciences, Inc.† | 1.23% | 10/1/2025 | 1,145 | 1,159,992 | ||||||||
Total | 2,915,367 | |||||||||||
Coal 0.04% | ||||||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 111 | 111,087 | ||||||||
Computer Hardware 0.82% | ||||||||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 490 | 525,598 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 8 | 8,854 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 115 | 139,699 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 772 | 1,122,133 |
106 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Hardware (continued) | ||||||||||||
Leidos, Inc. | 5.50% | 7/1/2033 | $ | 27 | $ | 32,779 | ||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 192 | 261,804 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 254 | 277,733 | ||||||||
Total | 2,368,600 | |||||||||||
Construction/Homebuilding 0.83% | ||||||||||||
Century Communities, Inc. | 6.75% | 6/1/2027 | 490 | 526,948 | ||||||||
Installed Building Products, Inc.† | 5.75% | 2/1/2028 | 526 | 559,433 | ||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 504 | 548,219 | ||||||||
PulteGroup, Inc. | 5.00% | 1/15/2027 | 250 | 295,469 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 121 | 134,741 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 43 | 49,445 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 266 | 291,552 | ||||||||
Total | 2,405,807 | |||||||||||
Containers 0.22% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 572 | 569,855 | ||||||||
Intertape Polymer Group, Inc. (Canada)†(d) | 7.00% | 10/15/2026 | 79 | 84,021 | ||||||||
Total | 653,876 | |||||||||||
Drugs 1.97% | ||||||||||||
AstraZeneca plc (United Kingdom)(d) | 4.00% | 1/17/2029 | 379 | 457,258 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 203 | 262,897 | ||||||||
Bayer US Finance II LLC† | 4.25% | 12/15/2025 | 1,194 | 1,368,045 | ||||||||
Becton Dickinson & Co. | 1.28% (3 Mo. LIBOR + 1.03% | )# | 6/6/2022 | 617 | 622,403 | |||||||
Cigna Corp. | 3.90% | 2/15/2022 | 1,538 | 1,602,431 | ||||||||
Cigna Corp. | 4.125% | 11/15/2025 | 663 | 763,190 | ||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 563 | 640,252 | ||||||||
Total | 5,716,476 | |||||||||||
Electric: Power 3.67% | ||||||||||||
AES Corp. (The) | 5.125% | 9/1/2027 | 541 | 597,380 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 4.35% | 8/1/2028 | 25 | 28,903 | ||||||||
Cemig Geracao e Transmissao SA (Brazil)†(d) | 9.25% | 12/5/2024 | 200 | 228,950 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 6 | 8,667 | ||||||||
DTE Electric Co. | 2.625% | 3/1/2031 | 810 | 897,765 | ||||||||
Duquesne Light Holdings, Inc.† | 2.532% | 10/1/2030 | 924 | 945,689 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(d) | 5.75% | 1/26/2021 | 200 | 199,324 | ||||||||
Exelon Generation Co. LLC | 3.25% | 6/1/2025 | 279 | 300,908 | ||||||||
FirstEnergy Corp. | 3.90% | 7/15/2027 | 556 | 615,270 |
See Notes to Financial Statements. | 107 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
ITC Holdings Corp. | 3.35% | 11/15/2027 | $ | 206 | $ | 229,809 | ||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 480 | 481,522 | ||||||||
Cikarang Listrindo Tbk PT (Indonesia)†(d) | 4.95% | 9/14/2026 | 350 | 362,250 | ||||||||
NRG Energy, Inc.†(f) | 2.45% | 12/2/2027 | 283 | 290,452 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 619 | 708,287 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 254 | 277,679 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 340 | 447,849 | ||||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 175 | 192,691 | ||||||||
Perusahaan Listrik Negara PT (Indonesia)†(d) | 4.125% | 5/15/2027 | 200 | 221,912 | ||||||||
Perusahaan Listrik Negara PT (Indonesia)†(d) | 5.25% | 10/24/2042 | 200 | 238,574 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 700 | 1,032,481 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 796 | 827,670 | ||||||||
Southwestern Electric Power Co. | 4.10% | 9/15/2028 | 1,105 | 1,291,814 | ||||||||
Star Energy Geothermal Darajat II /Star Energy Geothermal Salak (Indonesia)†(d) | 4.85% | 10/14/2038 | 200 | 217,463 | ||||||||
Total | 10,643,309 | |||||||||||
Electrical Equipment 0.86% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 1,637 | 1,840,786 | ||||||||
Microchip Technology, Inc. | 4.333% | 6/1/2023 | 598 | 647,796 | ||||||||
Total | 2,488,582 | |||||||||||
Electronics 0.45% | ||||||||||||
Jabil, Inc. | 3.00% | 1/15/2031 | 468 | 490,060 | ||||||||
Roper Technologies, Inc. | 1.40% | 9/15/2027 | 804 | 814,661 | ||||||||
Total | 1,304,721 | |||||||||||
Energy Equipment & Services 0.32% | ||||||||||||
Enviva Partners LP/Enviva Partners Finance Corp.† | 6.50% | 1/15/2026 | 400 | 428,116 | ||||||||
Greenko Solar Mauritius Ltd. (Mauritius)†(d) | 5.95% | 7/29/2026 | 210 | 227,082 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 245 | 266,367 | ||||||||
Total | 921,565 | |||||||||||
Entertainment 0.80% | ||||||||||||
Caesars Entertainment Inc.† | 8.125% | 7/1/2027 | 266 | 292,933 | ||||||||
Cedar Fair LP | 5.25% | 7/15/2029 | 282 | 289,527 | ||||||||
Live Nation Entertainment, Inc.† | 4.75% | 10/15/2027 | 283 | 279,552 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 410 | 426,953 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 336 | 357,210 | ||||||||
Scientific Games International, Inc.† | 8.25% | 3/15/2026 | 265 | 284,691 |
108 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Entertainment (continued) | ||||||||||||
Vail Resorts, Inc.† | 6.25% | 5/15/2025 | $ | 378 | $ | 404,932 | ||||||
Total | 2,335,798 | |||||||||||
Environmental Services 0.08% | ||||||||||||
Stericycle, Inc.† | 3.875% | 1/15/2029 | 226 | 235,323 | ||||||||
Financial Services 2.19% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.875% | 1/16/2024 | 1,050 | 1,131,529 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 197 | 218,774 | ||||||||
Aircastle Ltd. | 4.25% | 6/15/2026 | 550 | 561,104 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 541 | 776,505 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 4.25% | 4/15/2026 | 134 | 138,948 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.25% | 5/15/2024 | 418 | 446,830 | ||||||||
Brightsphere Investment Group, Inc. | 4.80% | 7/27/2026 | 11 | 11,837 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 397 | 349,213 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 5.50% | 8/15/2028 | 269 | 280,601 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 464 | 500,262 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 20 | 22,293 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 303 | 345,580 | ||||||||
OneMain Finance Corp. | 5.375% | 11/15/2029 | 521 | 569,192 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 5.50% | 2/15/2024 | 382 | 408,055 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.625% | 3/1/2029 | 279 | 277,818 | ||||||||
SURA Asset Management SA (Colombia)†(d) | 4.375% | 4/11/2027 | 200 | 225,212 | ||||||||
SURA Asset Management SA (Columbia)†(d) | 4.875% | 4/17/2024 | 100 | 109,701 | ||||||||
Total | 6,373,454 | |||||||||||
Food 1.12% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 123 | 129,789 | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.875% | 2/15/2030 | 628 | 687,471 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 371 | 388,851 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(d) | 5.625% | 8/15/2026 | 270 | 275,011 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 416 | 476,844 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 814 | 869,542 | ||||||||
Minerva Luxembourg SA (Luxembourg)†(d) | 5.875% | 1/19/2028 | 400 | 430,200 | ||||||||
Total | 3,257,708 |
See Notes to Financial Statements. | 109 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Products 1.25% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | $ | 1,104 | $ | 1,173,053 | ||||||
Boston Scientific Corp. | 2.65% | 6/1/2030 | 701 | 753,233 | ||||||||
Stryker Corp. | 1.95% | 6/15/2030 | 932 | 965,271 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 555 | 734,627 | ||||||||
Total | 3,626,184 | |||||||||||
Health Care Services 3.31% | ||||||||||||
Acadia Healthcare Co., Inc.† | 5.00% | 4/15/2029 | 533 | 562,981 | ||||||||
Adventist Health System | 2.952% | 3/1/2029 | 116 | 122,274 | ||||||||
Advocate Health & Hospitals Corp. | 3.387% | 10/15/2049 | 203 | 229,697 | ||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 301 | 315,511 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 271 | 284,465 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 692 | 751,797 | ||||||||
DaVita, Inc.† | 3.75% | 2/15/2031 | 391 | 390,267 | ||||||||
Encompass Health Corp. | 4.50% | 2/1/2028 | 270 | 282,995 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 55 | 61,069 | ||||||||
HCA, Inc. | 4.125% | 6/15/2029 | 1,188 | 1,373,508 | ||||||||
HCA, Inc. | 4.50% | 2/15/2027 | 354 | 407,287 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 450 | 531,587 | ||||||||
LifePoint Health, Inc.† | 4.375% | 2/15/2027 | 371 | 373,782 | ||||||||
LifePoint Health, Inc.† | 6.75% | 4/15/2025 | 139 | 148,730 | ||||||||
MEDNAX, Inc.† | 6.25% | 1/15/2027 | 261 | 279,917 | ||||||||
Radiology Partners, Inc.† | 9.25% | 2/1/2028 | 263 | 287,327 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 499 | 533,451 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 44 | 44,798 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 197 | 216,084 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 223 | 233,904 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 140 | 150,710 | ||||||||
Tenet Healthcare Corp. | 7.00% | 8/1/2025 | 412 | 426,253 | ||||||||
UnitedHealth Group, Inc. | 3.875% | 12/15/2028 | 475 | 573,245 | ||||||||
Universal Health Services, Inc.† | 2.65% | 10/15/2030 | 489 | 504,672 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 500 | 520,530 | ||||||||
Total | 9,606,841 | |||||||||||
Household Equipment/Products 0.14% | ||||||||||||
Newell Brands, Inc. | 5.875% | 4/1/2036 | 331 | 398,855 | ||||||||
Insurance 0.30% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 7.00% | 11/15/2025 | 271 | 278,283 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 162 | 174,174 |
110 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | $ | 275 | $ | 435,086 | ||||||
Total | 887,543 | |||||||||||
Investment Management Companies 0.09% | ||||||||||||
Temasek Financial I Ltd. (Singapore)†(d) | 2.50% | 10/6/2070 | 250 | 254,104 | ||||||||
Leisure 0.51% | ||||||||||||
Carnival Corp.† | 7.625% | 3/1/2026 | 171 | 181,845 | ||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 410 | 467,484 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 237 | 278,771 | ||||||||
Viking Cruises Ltd.† | 13.00% | 5/15/2025 | 470 | 553,131 | ||||||||
Total | 1,481,231 | |||||||||||
Lodging 0.83% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 162 | 164,958 | ||||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 410 | 427,937 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 504 | 544,317 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 1,046 | 1,100,292 | ||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 158 | 165,676 | ||||||||
Total | 2,403,180 | |||||||||||
Machinery: Agricultural 1.58% | ||||||||||||
Altria Group, Inc. | 4.80% | 2/14/2029 | 475 | 569,006 | ||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 16 | 17,788 | ||||||||
BAT International Finance plc (United Kingdom)(d) | 1.668% | 3/25/2026 | 2,750 | 2,802,594 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(d) | 3.875% | 7/26/2029 | 509 | 574,938 | ||||||||
MHP Lux SA (Luxembourg)†(d) | 6.25% | 9/19/2029 | 400 | 404,000 | ||||||||
MHP Lux SA (Luxembourg)†(d) | 6.95% | 4/3/2026 | 200 | 212,294 | ||||||||
Total | 4,580,620 | |||||||||||
Machinery: Industrial/Specialty 1.23% | ||||||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 471 | 522,521 | ||||||||
nVent Finance Sarl (Luxembourg)(d) | 4.55% | 4/15/2028 | 944 | 1,022,241 | ||||||||
Stanley Black & Decker, Inc. | 4.00% (5 Yr Treasury CMT + 2.66% | )# | 3/15/2060 | 393 | 416,575 | |||||||
Vertical Midco GmbH†(b) | 4.375% | 7/15/2027 | EUR | 115 | 144,315 | |||||||
Vertical US Newco, Inc.† | 5.25% | 7/15/2027 | $ | 307 | 322,925 | |||||||
Westinghouse Air Brake Technologies Corp. | 4.95% | 9/15/2028 | 973 | 1,136,800 | ||||||||
Total | 3,565,377 | |||||||||||
Manufacturing 0.04% | ||||||||||||
Amsted Industries, Inc.† | 4.625% | 5/15/2030 | 112 | 119,057 |
See Notes to Financial Statements. | 111 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media 2.96% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | $ | 651 | $ | 671,178 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 538 | 570,415 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 134 | 141,002 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 28 | 40,009 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 742 | 1,266,165 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 745 | 787,092 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | 621 | 482,439 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 588 | 669,723 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(d) | 4.875% | 1/22/2030 | 325 | 338,978 | ||||||||
Nexstar Broadcasting, Inc.† | 5.625% | 7/15/2027 | 647 | 690,876 | ||||||||
Scripps Escrow, Inc.† | 5.875% | 7/15/2027 | 375 | 378,281 | ||||||||
Sirius XM Radio, Inc.† | 3.875% | 8/1/2022 | 391 | 397,354 | ||||||||
TEGNA, Inc. | 5.00% | 9/15/2029 | 515 | 542,197 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 1,101 | 1,618,815 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 6 | 9,360 | ||||||||
Total | 8,603,884 | |||||||||||
Metals & Minerals: Miscellaneous 1.09% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.75% | 4/10/2027 | 600 | 702,328 | ||||||||
Antofagasta plc (Chile)†(d) | 2.375% | 10/14/2030 | 400 | 398,600 | ||||||||
Chinalco Capital Holdings Ltd. | 4.00% | 8/25/2021 | 220 | 222,090 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(d) | 4.50% | 9/15/2027 | 256 | 281,088 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 259 | 273,083 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 390 | 424,425 | ||||||||
Glencore Funding LLC† | 4.875% | 3/12/2029 | 580 | 687,656 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 164 | 176,866 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.95% | 3/15/2024 | 7 | 7,991 | ||||||||
Total | 3,174,127 | |||||||||||
Natural Gas 0.97% | ||||||||||||
CenterPoint Energy Resources Corp. | 1.75% | 10/1/2030 | 670 | 682,889 | ||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 200 | 256,227 | ||||||||
ENN Energy Holdings Ltd. (China)†(d) | 2.625% | 9/17/2030 | 200 | 201,497 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 458 | 514,377 | ||||||||
NiSource, Inc. | 3.49% | 5/15/2027 | 1,029 | 1,158,608 | ||||||||
Total | 2,813,598 |
112 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil 3.00% | ||||||||||||
Apache Corp. | 4.375% | 10/15/2028 | $ | 145 | $ | 147,846 | ||||||
Apache Corp. | 4.625% | 11/15/2025 | 273 | 284,179 | ||||||||
Citgo Holding, Inc.† | 9.25% | 8/1/2024 | 263 | 235,385 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 260 | 253,987 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 284 | 287,801 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.625% | 10/15/2025 | 265 | 270,201 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 281 | 294,934 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 122 | 136,147 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 689 | 717,378 | ||||||||
Empresa Nacional del Petroleo (Chile)†(d) | 3.75% | 8/5/2026 | 255 | 276,720 | ||||||||
Eni SpA (Italy)†(d) | 5.70% | 10/1/2040 | 100 | 122,400 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 70 | 92,090 | ||||||||
EQT Corp. | 7.875% | 2/1/2025 | 391 | 448,240 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 288 | 286,116 | ||||||||
Laredo Petroleum, Inc. | 9.50% | 1/15/2025 | 395 | 269,216 | ||||||||
MEG Energy Corp. (Canada)†(d) | 7.00% | 3/31/2024 | 184 | 185,380 | ||||||||
MEG Energy Corp. (Canada)†(d) | 7.125% | 2/1/2027 | 607 | 596,377 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 276 | 250,211 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 280 | 279,125 | ||||||||
Pertamina Persero PT (Indonesia)†(d) | 4.70% | 7/30/2049 | 200 | 228,019 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 4.50% | 1/23/2026 | 614 | 579,819 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 5.35% | 2/12/2028 | 360 | 337,662 | ||||||||
Range Resources Corp.† | 9.25% | 2/1/2026 | 280 | 290,780 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.875% | 4/16/2024 | 600 | 634,566 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 410 | 433,319 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(d) | 3.25% | 8/15/2030 | 200 | 209,103 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 531 | 561,607 | ||||||||
Total | 8,708,608 | |||||||||||
Oil: Crude Producers 1.98% | ||||||||||||
AI Candelaria Spain SLU (Spain)†(d) | 7.50% | 12/15/2028 | 300 | 336,528 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 588 | 402,366 | |||||||
Cheniere Corpus Christi Holdings LLC | 3.70% | 11/15/2029 | 161 | 176,854 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(d) | 3.25% | 9/30/2040 | 602 | 625,440 | ||||||||
MPLX LP | 3.375% | 3/15/2023 | 467 | 493,496 | ||||||||
MPLX LP | 5.25% | 1/15/2025 | 485 | 498,456 |
See Notes to Financial Statements. | 113 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | $ | 600 | $ | 670,863 | ||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 1,883 | 2,259,407 | ||||||||
Western Midstream Operating LP | 5.05% | 2/1/2030 | 277 | 296,218 | ||||||||
Total | 5,759,628 | |||||||||||
Oil: Integrated Domestic 0.10% | ||||||||||||
National Oilwell Varco, Inc. | 3.60% | 12/1/2029 | 271 | 277,866 | ||||||||
Paper & Forest Products 0.13% | ||||||||||||
Suzano Austria GmbH (Brazil)(d) | 3.75% | 1/15/2031 | 355 | 374,614 | ||||||||
Real Estate Investment Trusts 1.80% | ||||||||||||
Country Garden Holdings Co. Ltd. (China)(d) | 4.75% | 9/28/2023 | 200 | 204,606 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 421 | 417,677 | ||||||||
Equinix, Inc. | 1.55% | 3/15/2028 | 813 | 820,903 | ||||||||
ESH Hospitality, Inc.† | 4.625% | 10/1/2027 | 395 | 401,518 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 356 | 390,484 | ||||||||
Healthcare Trust of America Holdings LP | 3.10% | 2/15/2030 | 194 | 211,104 | ||||||||
Kaisa Group Holdings Ltd. (China)(d) | 9.375% | 6/30/2024 | 200 | 193,006 | ||||||||
Kaisa Group Holdings Ltd. (China)†(d) | 11.95% | 10/22/2022 | 200 | 211,000 | ||||||||
Longfor Group Holdings Ltd. (China)(d) | 4.50% | 1/16/2028 | 200 | 221,370 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 276 | 291,353 | ||||||||
Sunac China Holdings Ltd. (China)(d) | 7.875% | 2/15/2022 | 420 | �� | 430,500 | |||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 739 | 845,684 | ||||||||
Yuzhou Group Holdings Co. Ltd. (China)(d) | 6.00% | 10/25/2023 | 200 | 203,125 | ||||||||
Zhenro Properties Group Ltd. (China)(d) | 8.65% | 1/21/2023 | 360 | 372,597 | ||||||||
Total | 5,214,927 | |||||||||||
Retail 1.66% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(d) | 2.70% | 7/26/2022 | 580 | 599,861 | ||||||||
AutoNation, Inc. | 4.75% | 6/1/2030 | 47 | 56,589 | ||||||||
Gap, Inc. (The)† | 8.625% | 5/15/2025 | 490 | 545,247 | ||||||||
IRB Holding Corp.† | 7.00% | 6/15/2025 | 499 | 546,083 | ||||||||
L Brands, Inc.† | 6.625% | 10/1/2030 | 262 | 288,364 | ||||||||
Lithia Motors, Inc.† | 4.625% | 12/15/2027 | 474 | 504,514 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 500 | 532,407 | ||||||||
PetSmart, Inc.† | 5.875% | 6/1/2025 | 268 | 271,585 | ||||||||
PetSmart, Inc.† | 8.875% | 6/1/2025 | 249 | 251,179 | ||||||||
Rite Aid Corp.† | 8.00% | 11/15/2026 | 436 | 443,085 |
114 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail (continued) | ||||||||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.625% | 12/1/2025 | $ | 266 | $ | 272,983 | ||||||
Yum! Brands, Inc.† | 7.75% | 4/1/2025 | 460 | 510,025 | ||||||||
Total | 4,821,922 | |||||||||||
Steel 0.44% | ||||||||||||
CSN Resources SA (Brazil)†(d) | 7.625% | 2/13/2023 | 200 | 209,300 | ||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 990 | 1,056,869 | ||||||||
Total | 1,266,169 | |||||||||||
Technology 2.18% | ||||||||||||
Alibaba Group Holding Ltd. (China)(d) | 3.60% | 11/28/2024 | 630 | 695,179 | ||||||||
Baidu, Inc. (China)(d) | 2.375% | 10/9/2030 | 215 | 221,282 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 244 | 279,709 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 17 | 20,507 | ||||||||
GrubHub Holdings, Inc.† | 5.50% | 7/1/2027 | 527 | 552,691 | ||||||||
JD.com, Inc. (China)(d) | 3.375% | 1/14/2030 | 335 | 365,835 | ||||||||
Match Group Holdings II LLC† | 4.125% | 8/1/2030 | 520 | 539,094 | ||||||||
Match Group Holdings II LLC† | 5.625% | 2/15/2029 | 156 | 170,430 | ||||||||
Meituan (China)†(d) | 3.05% | 10/28/2030 | 310 | 321,495 | ||||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 108 | 114,683 | ||||||||
Netflix, Inc.† | 4.875% | 6/15/2030 | 234 | 271,001 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 659 | 827,730 | ||||||||
Prosus NV (Netherlands)†(d) | 3.68% | 1/21/2030 | 200 | 218,445 | ||||||||
Tencent Holdings Ltd. (China)†(d) | 3.595% | 1/19/2028 | 620 | 682,867 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 220 | 237,463 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 796 | 805,452 | ||||||||
Total | 6,323,863 | |||||||||||
Telecommunications 1.75% | ||||||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 2,671 | 3,191,479 | ||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(d) | 6.75% | 10/1/2026 | 397 | 412,026 | ||||||||
Frontier Communications Corp.† | 5.00% | 5/1/2028 | 325 | 330,688 | ||||||||
Logan Merger Sub, Inc.† | 5.50% | 9/1/2027 | 270 | 280,463 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 377 | 490,317 | ||||||||
Zayo Group Holdings, Inc.† | 4.00% | 3/1/2027 | 263 | 261,999 | ||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 108 | 114,396 | ||||||||
Total | 5,081,368 |
See Notes to Financial Statements. | 115 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Toys 0.48% | ||||||||||||
Hasbro, Inc. | 3.00% | 11/19/2024 | $ | 796 | $ | 858,197 | ||||||
Mattel, Inc. | 5.45% | 11/1/2041 | 137 | 145,808 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 381 | 401,079 | ||||||||
Total | 1,405,084 | |||||||||||
Transportation: Miscellaneous 0.26% | ||||||||||||
Watco Cos LLC/Watco Finance Corp.† | 6.50% | 6/15/2027 | 434 | 460,854 | ||||||||
XPO Logistics, Inc.† | 6.25% | 5/1/2025 | 265 | 284,378 | ||||||||
Total | 745,232 | |||||||||||
Total Corporate Bonds (cost $153,813,251) | 160,110,691 | |||||||||||
FLOATING RATE LOAN(g) 0.00% | ||||||||||||
Transportation: Miscellaneous | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan (cost $12,018) | 9.50% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 12 | 10,920 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS 4.95% | ||||||||||||
Bermuda 0.30% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | 825 | 858,413 | ||||||||
China 0.18% | ||||||||||||
China Government International Bond†(d) | 2.25% | 10/21/2050 | 520 | 519,468 | ||||||||
Dominican Republic 0.33% | ||||||||||||
Dominican Republic†(d) | 4.875% | 9/23/2032 | 900 | 965,250 | ||||||||
Egypt 0.44% | ||||||||||||
Republic of Egypt†(d) | 4.55% | 11/20/2023 | 200 | 205,039 | ||||||||
Republic of Egypt†(d) | 6.588% | 2/21/2028 | 1,000 | 1,073,925 | ||||||||
Total | 1,278,964 | |||||||||||
Guatemala 0.24% | ||||||||||||
Republic of Guatemala†(d) | 4.90% | 6/1/2030 | 600 | 689,916 | ||||||||
Japan 2.21% | ||||||||||||
Development Bank of Japan, Inc.†(d) | 1.00% | 8/27/2030 | 682 | 679,398 | ||||||||
Japan Treasury Discount Bill(b) | Zero Coupon | 2/22/2021 | JPY | 600,000 | 5,748,383 | |||||||
Total | 6,427,781 | |||||||||||
Kenya 0.22% | ||||||||||||
Republic of Kenya†(d) | 7.25% | 2/28/2028 | $ | 575 | 633,117 |
116 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Nigeria 0.22% | ||||||||||||
Republic of Nigeria†(d) | 6.375% | 7/12/2023 | $ | 600 | $ | 644,205 | ||||||
Peru 0.06% | ||||||||||||
Peruvian Government International Bond(d) | 2.392% | 1/23/2026 | 160 | 168,720 | ||||||||
Qatar 0.33% | ||||||||||||
State of Qatar†(d) | 3.25% | 6/2/2026 | 600 | 667,248 | ||||||||
State of Qatar†(d) | 5.103% | 4/23/2048 | 200 | 286,505 | ||||||||
Total | 953,753 | |||||||||||
Saudi Arabia 0.15% | ||||||||||||
Saudi International Bond†(d) | 3.625% | 3/4/2028 | 400 | 447,127 | ||||||||
Turkey 0.13% | ||||||||||||
Republic of Turkey(d) | 4.25% | 4/14/2026 | 200 | 192,758 | ||||||||
Republic of Turkey(d) | 5.25% | 3/13/2030 | 200 | 193,826 | ||||||||
Total | 386,584 | |||||||||||
Ukraine 0.14% | ||||||||||||
Ukraine Government International Bond†(d) | 7.75% | 9/1/2023 | 360 | 391,569 | ||||||||
Total Foreign Government Obligations (cost $14,167,778) | 14,364,867 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATION 0.00% | ||||||||||||
Government National Mortgage Assoc. 2017-76 AS (cost $9,746) | 2.65% | 11/16/2050 | 10 | 10,318 | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 14.30% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 10/1/2049 | 373 | 421,306 | ||||||||
Federal National Mortgage Assoc.(h) | 2.50% | TBA | 2,593 | 2,717,098 | ||||||||
Federal National Mortgage Assoc.(h) | 3.00% | TBA | 22,050 | 23,036,652 | ||||||||
Federal National Mortgage Assoc. | 3.50% | 9/1/2047 - 3/1/2050 | 4,038 | 4,363,310 | ||||||||
Federal National Mortgage Assoc.(h) | 3.50% | TBA | 5,900 | 6,224,269 | ||||||||
Federal National Mortgage Assoc. | 4.00% | 1/1/2048 | 467 | 527,216 | ||||||||
Federal National Mortgage Assoc.(h) | 4.00% | TBA | 3,969 | 4,234,504 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $41,278,103) | 41,524,355 | |||||||||||
MUNICIPAL BONDS 0.58% | ||||||||||||
Miscellaneous | ||||||||||||
California | 7.30% | 10/1/2039 | 75 | 123,553 | ||||||||
California | 7.625% | 3/1/2040 | 115 | 199,791 | ||||||||
California Health Facilities Financing Authority | 3.034% | 6/1/2034 | 115 | 122,576 |
See Notes to Financial Statements. | 117 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Miscellaneous (continued) | ||||||||||||
City of San Antonio TX Airport System, Revenue Bonds Series B | 3.527% | 7/1/2040 | $ | 245 | $ | 255,471 | ||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 208 | 219,180 | ||||||||
Michigan Finance Authority | 3.084% | 12/1/2034 | 300 | 323,949 | ||||||||
New Jersey Educational Facilities Authority | 3.636% | 9/1/2029 | 182 | 192,136 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 220 | 242,143 | ||||||||
Total Municipal Bonds (cost $1,586,093) | 1,678,799 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 9.72% | ||||||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust 2005-1 A3† | 5.278% | 8/10/2035 | 49 | 52,551 | ||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(i) | 12/25/2059 | 109 | 110,740 | |||||||
Angel Oak Mortgage Trust I LLC 2019-4 A1† | 2.993% | #(i) | 7/26/2049 | 307 | 311,670 | |||||||
AREIT Trust 2018-CRE2 A† | 1.116% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 36 | 35,559 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM A† | 1.071% (1 Mo. LIBOR + .93% | )# | 12/15/2036 | 1,075 | 1,030,024 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 1.091% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 100 | 96,828 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-AHT B† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 3/15/2034 | 100 | 94,524 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 168 | 168,418 | ||||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 175 | 179,243 | ||||||||
BBCMS Mortgage Trust 2018-TALL E† | 2.578% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 64 | 57,077 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.097% (1 Mo. LIBOR + .96% | )# | 11/15/2034 | 197 | 192,239 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 1.451% (1 Mo. LIBOR + 1.31% | )# | 11/15/2034 | 87 | 84,164 | |||||||
BBCMS Mortgage Trust 2019-BWAY C† | 1.751% (1 Mo. LIBOR + 1.61% | )# | 11/15/2034 | 350 | 330,758 | |||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 100 | 101,951 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 0.812% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 70 | 70,096 | |||||||
BX Commercial Mortgage Trust 2019-XL C† | 1.391% (1 Mo. LIBOR + 1.25% | )# | 10/15/2036 | 142 | 142,396 | |||||||
BX Commercial Mortgage Trust 2019-XL D† | 1.591% (1 Mo. LIBOR + 1.45% | )# | 10/15/2036 | 161 | 161,106 | |||||||
BX Commercial Mortgage Trust 2019-XL E† | 1.941% (1 Mo. LIBOR + 1.80% | )# | 10/15/2036 | 95 | 94,676 | |||||||
BX Trust 2018-GW A† | 0.941% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 55 | 53,585 | |||||||
BX Trust 2019-OC11 A† | 3.202% | 12/9/2041 | 397 | 426,442 |
118 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CF Trust 2019-BOSS A1† | 3.391% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | $ | 222 | $ | 205,048 | (c) | ||||
CF Trust 2019-MF1 C† | 2.65% (1 Mo. LIBOR + 1.65% | )# | 8/21/2032 | 378 | 376,885 | |||||||
CF Trust 2019-MF1 D† | 2.95% (1 Mo. LIBOR + 1.95% | )# | 8/21/2032 | 706 | 706,498 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 AS | 3.849% | 2/10/2049 | 98 | 107,766 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 485 | 340,631 | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(i) | 4/15/2049 | 25 | 16,133 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2† | 3.40% | 10/5/2030 | 100 | 86,989 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS4 D† | 4.863% | #(i) | 8/10/2047 | 835 | 665,538 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS6 B | 4.349% | #(i) | 12/10/2047 | 50 | 52,875 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | 4.451% | #(i) | 2/10/2048 | 707 | 469,803 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 A5 | 3.902% | 7/10/2050 | 275 | 305,298 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 AM | 4.29% | #(i) | 7/10/2050 | 53 | 59,183 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.576% | #(i) | 7/10/2050 | 50 | 53,476 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.576% | #(i) | 7/10/2050 | 10 | 9,678 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.576% | #(i) | 7/10/2050 | 425 | 342,703 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | 88 | 96,244 | ||||||||
Commercial Mortgage Pass-Through Certificates 2017-COR2 AM | 3.803% | 9/10/2050 | 200 | 224,481 | ||||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A† | 1.391% (1 Mo. LIBOR + 1.25% | )# | 1/15/2034 | 683 | 663,907 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(i) | 2/25/2050 | 260 | 264,850 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-SPT1 A1† | 1.70% | 4/25/2065 | 592 | 595,674 | ||||||||
CSAIL Commercial Mortgage Trust 2016-C7 D† | 4.532% | #(i) | 11/15/2049 | 1,250 | 782,802 | |||||||
CSAIL Commercial Mortgage Trust 2019-C18 AS | 3.321% | 12/15/2052 | 214 | 236,764 | ||||||||
Deephaven Residential Mortgage Trust 2019-3A A1† | 2.964% | #(i) | 7/25/2059 | 323 | 327,991 |
See Notes to Financial Statements. | 119 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Deephaven Residential Mortgage Trust 2019-4A A1† | 2.791% | #(i) | 10/25/2059 | $ | 211 | $ | 215,115 | |||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(i) | 1/25/2060 | 159 | 161,603 | |||||||
Ellington Financial Mortgage Trust 2020-2 A1† | 1.178% | #(i) | 10/25/2065 | 188 | 188,601 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 A† | 1.144% (1 Mo. LIBOR + 1.00% | )# | 4/15/2036 | 56 | 55,778 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 AS† | 1.644% (1 Mo. LIBOR + 1.50% | )# | 4/15/2036 | 100 | 99,000 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A† | 3.144% | 12/10/2036 | 134 | 139,848 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B† | 3.447% | 12/10/2036 | 100 | 101,989 | ||||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 126 | 128,746 | ||||||||
Great Wolf Trust 2019-WOLF A† | 1.175% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | 512 | 497,516 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 1.091% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 100 | 95,822 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 10/15/2036 | 1,219 | 1,184,460 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P B† | 1.461% (1 Mo. LIBOR + 1.32% | )# | 10/15/2036 | 813 | 772,985 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P XCP IO† | 0.50% | #(i) | 10/15/2036 | 86,776 | 156,197 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP A† | 1.291% (1 Mo. LIBOR + 1.15% | )# | 8/15/2032 | 750 | 735,129 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP B† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 8/15/2032 | 525 | 507,060 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP XCP IO† | 0.606% | #(i) | 8/15/2032 | 36,803 | 9,157 | |||||||
GS Mortgage Securities Trust 2013-G1 A2† | 3.557% | #(i) | 4/10/2031 | 154 | 152,974 | |||||||
GS Mortgage Securities Trust 2014-GC26 C | 4.662% | #(i) | 11/10/2047 | 50 | 46,549 | |||||||
Hilton Orlando Trust 2018-ORL A† | 0.911% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 45 | 43,776 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 3.75% | 9/15/2029 | 325 | 307,833 | (c) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 4.65% | 9/15/2029 | 325 | 304,204 | (c) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 5.35% | 9/15/2029 | 325 | 300,515 | (c) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 6.305% | 9/15/2029 | 325 | 295,388 | (c) |
120 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 7.35% | 9/15/2029 | $ | 325 | $ | 292,182 | (c) | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C8 A3 | 2.829% | 10/15/2045 | 7 | 7,471 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | 3.931% | #(i) | 6/10/2027 | 100 | 10,913 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.41% | #(i) | 7/15/2048 | 10 | 9,970 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 103 | 103,208 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 684 | 664,696 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 1.441% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 294 | 282,239 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 30 | 28,285 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.02% (1 Mo. LIBOR + 1.02% | )# | 11/15/2035 | 10 | 9,669 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 2.35% (1 Mo. LIBOR + 1.35% | )# | 11/15/2035 | 10 | 9,443 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 1.088% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 10 | 9,528 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFL† | 1.388% (1 Mo. LIBOR + 1.25% | )# | 7/5/2033 | 26 | 25,506 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 10 | 10,432 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 10 | 10,356 | ||||||||
LoanCore Issuer Ltd. 2019-CRE3 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 4/15/2034 | 900 | 885,813 | |||||||
Motel 6 Trust 2017-MTL6 E† | 3.391% (1 Mo. LIBOR + 3.25% | )# | 8/15/2034 | 28 | 27,859 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.917% | #(i) | 11/15/2032 | 50 | 51,560 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.917% | #(i) | 11/15/2032 | 50 | 51,168 | |||||||
Natixis Commercial Mortgage Securities Trust 2019-1776 XCP IO† | 0.634% | #(i) | 10/15/2036 | 36,272 | 207,113 | |||||||
New Residential Mortgage Loan Trust 2019-NQM3 A1† | 2.802% | #(i) | 7/25/2049 | 285 | 288,624 | |||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(i) | 1/26/2060 | 98 | 99,965 |
See Notes to Financial Statements. | 121 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
PFP Ltd. 2019-6 B† | 1.836% (1 Mo. LIBOR + 1.70% | )# | 4/14/2037 | $ | 500 | $ | 491,250 | |||||
PFP Ltd. 2019-6 C† | 2.236% (1 Mo. LIBOR + 2.10% | )# | 4/14/2037 | 332 | 320,380 | |||||||
Prima Capital CRE Securitization Ltd. 2019-RK1 AG† | 4.00% | 4/15/2038 | 165 | 170,333 | ||||||||
Prima Capital CRE Securitization Ltd. 2019-RK1 AT† | 4.45% | 4/15/2038 | 100 | 105,301 | (c) | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 16 | 16,843 | ||||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.833% | 10/25/2052 | 845 | 861,168 | ||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(i) | 2/25/2024 | 86 | 87,970 | |||||||
RETL 2019-RVP C† | 2.241% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 70 | 63,658 | |||||||
SG Commercial Mortgage Securities Trust 2019-787E IO† | 0.456% | #(i) | 2/15/2041 | 1,217 | 30,311 | |||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(i) | 2/25/2050 | 154 | 157,896 | |||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 365 | 371,793 | ||||||||
Verus Securitization Trust 2020-5 A1† | 1.218% | 5/25/2065 | 680 | 681,584 | ||||||||
Vista Point Securitization Trust 2020-2 A1† | 1.475% | #(i) | 4/25/2065 | 425 | 427,043 | |||||||
VMC Finance LLC 2019-FL3 A† | 1.244% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | 1,575 | 1,553,894 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 B | 4.41% | #(i) | 7/15/2046 | 494 | 470,120 | (c) | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 A5 | 3.817% | 8/15/2050 | 165 | 178,880 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.238% | #(i) | 5/15/2048 | 60 | 52,426 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(i) | 7/15/2048 | 1,270 | 1,224,630 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(i) | 11/15/2050 | 146 | 155,482 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-HSDB A† | 0.991% (1 Mo. LIBOR + .85% | )# | 12/13/2031 | 200 | 194,398 | |||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 98 | 98,626 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C8 C | 5.048% | #(i) | 8/15/2045 | 50 | 50,375 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C12 B | 3.863% | #(i) | 3/15/2048 | 25 | 26,148 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C12 C | 4.46% | #(i) | 3/15/2048 | 50 | 50,612 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $29,474,057) | 28,212,630 | |||||||||||
U.S. TREASURY OBLIGATIONS 6.93% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 2/4/2021 | 5,679 | 5,678,281 | ||||||||
U.S. Treasury Bond | 1.125% | 5/15/2040 | 8,271 | 7,949,853 | ||||||||
U.S. Treasury Bond | 1.375% | 8/15/2050 | 1,522 | 1,446,494 | ||||||||
U.S. Treasury Bond | 1.625% | 11/15/2050 | 2,243 | 2,267,007 |
122 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||||||
U.S. Treasury Bond | 2.375% | 11/15/2049 | $ | 2,131 | $ | 2,538,803 | ||||||
U.S. Treasury Note | 0.25% | 10/31/2025 | 230 | 228,814 | ||||||||
Total U.S. Treasury Obligations (cost $20,222,494) | 20,109,252 | |||||||||||
Total Long-Term Investments (cost $307,374,175) | 313,048,451 | |||||||||||
SHORT-TERM INVESTMENT 3.59% | ||||||||||||
REPURCHASE AGREEMENT 3.59% | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $10,632,500 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $10,626,684; proceeds: $10,418,273 (cost $10,418,273) | 10,418 | 10,418,273 | ||||||||||
Total Investments in Securities 111.42% (cost $317,792,448) | 323,466,724 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(j) (11.42%) | (33,161,038 | ) | ||||||||||
Net Assets 100.00% | $ | 290,305,686 |
CAD | Canadian dollar. | |
EUR | Euro. | |
JPY | Japanese yen. | |
CMT | Constant Maturity Rate. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
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, 2020, the total value of Rule 144A securities was $133,057,676, which represents 45.83% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
(a) | Amount is less than $1,000. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(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, 2020. | |
(h) | 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. | |
(i) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(j) | 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. | 123 |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at November 30, 2020(1):
Referenced Index* | Central Clearing party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | |||||||||||||||
Markit CDX. NA.IG.35(4)(5) | Credit Suisse | 1.00% | 12/20/2025 | $5,600,000 | $5,739,103 | $(124,388 | ) | $(14,715 | ) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(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 $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $14,715. | |
(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 investment grade securities. |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Sell | Morgan Stanley | 12/15/2020 | 149,000 | $ | 113,091 | $ | 114,740 | $ | (1,649 | ) | |||||||||
Canadian dollar | Sell | Barclays Bank plc | 1/20/2021 | 781,000 | 595,140 | 601,571 | (6,431 | ) | ||||||||||||
Euro | Sell | Credit Agricole | 12/4/2020 | 115,000 | 136,406 | 137,184 | (778 | ) | ||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 2/22/2021 | 600,000,000 | 5,737,602 | 5,755,305 | (17,703 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (26,561 | ) |
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. Long Bond | March 2021 | 31 | Long | $ | 5,403,862 | $ | 5,422,094 | $ | 18,232 | ||||||||||
U.S. Ultra Treasury Bond | March 2021 | 58 | Long | 12,456,421 | 12,529,812 | 73,391 | |||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 91,623 | |||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 10-Year Ultra Treasury Note | March 2021 | 84 | Short | $ | (13,178,574 | ) | $ | (13,198,500 | ) | $ | (19,926) |
124 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUND November 30, 2020
The following is a summary of the inputs used as of November 30, 2020 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 | ||||||||||||||||
Other | $ | – | $ | 22,224,182 | $ | 718,162 | $ | 22,942,344 | ||||||||
Remaining Industries | – | 24,084,275 | – | 24,084,275 | ||||||||||||
Corporate Bonds | – | 160,110,691 | – | 160,110,691 | ||||||||||||
Floating Rate Loan | – | 10,920 | – | 10,920 | ||||||||||||
Foreign Government Obligations | – | 14,364,867 | – | 14,364,867 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligation | – | 10,318 | – | 10,318 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 41,524,355 | – | 41,524,355 | ||||||||||||
Municipal Bonds | – | 1,678,799 | – | 1,678,799 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 25,932,039 | 2,280,591 | 28,212,630 | ||||||||||||
U.S. Treasury Obligations | – | 20,109,252 | – | 20,109,252 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 10,418,273 | – | 10,418,273 | ||||||||||||
Total | $ | – | $ | 320,467,971 | $ | 2,998,753 | $ | 323,466,724 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (14,715 | ) | – | (14,715 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (26,561 | ) | – | (26,561 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 91,623 | – | – | 91,623 | ||||||||||||
Liabilities | (19,926 | ) | – | – | (19,926 | ) | ||||||||||
Total | $ | 71,697 | $ | (41,276 | ) | $ | – | $ | 30,421 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
See Notes to Financial Statements. | 125 |
Schedule of Investments (concluded)
CORE PLUS BOND FUND November 30, 2020
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, 2019 | $ | 1,125,658 | $ | 2,619,445 | ||||||
Accrued Discounts (Premiums) | 376 | (613 | ) | |||||||
Realized Gain (Loss) | 18,965 | (8,674 | ) | |||||||
Change in Unrealized Appreciation (Depreciation) | (10,756 | ) | (194,030 | ) | ||||||
Purchases | 591,622 | – | ||||||||
Sales | (500,000 | ) | (476,289 | ) | ||||||
Transfers into Level 3 | – | 513,483 | ||||||||
Transfers out of Level 3 | (507,703 | ) | (172,731 | ) | ||||||
Balance as of November 30, 2020 | $ | 718,162 | $ | 2,280,591 | ||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2020, related to Level 3 investments held at November 30, 2020 | $ | 12,921 | $ | (189,253 | ) |
126 | See Notes to Financial Statements. |
Schedule of Investments
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 97.25% | ||||||||||||
ASSET-BACKED SECURITIES 0.24% | ||||||||||||
Other | ||||||||||||
Hardee’s Funding LLC 2018-1A A2II† (cost $24,500) | 4.959% | 6/20/2048 | $ | 25 | $ | 26,175 | ||||||
CORPORATE BONDS 94.09% | ||||||||||||
Aerospace/Defense 1.20% | ||||||||||||
Boeing Co. (The) | 3.60% | 5/1/2034 | 10 | 10,125 | ||||||||
Boeing Co. (The) | 5.705% | 5/1/2040 | 10 | 12,662 | ||||||||
Boeing Co. (The) | 5.805% | 5/1/2050 | 49 | 64,888 | ||||||||
Boeing Co. (The) | 5.93% | 5/1/2060 | 32 | 43,629 | ||||||||
Total | 131,304 | |||||||||||
Air Transportation 0.11% | ||||||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 9 | 6,791 | ||||||||
British Airways 2020-1 Class A Pass Through Trust (United Kingdom)†(a) | 4.25% | 5/15/2034 | 5 | 5,270 | ||||||||
Total | 12,061 | |||||||||||
Automotive 1.02% | ||||||||||||
General Motors Co. | 6.75% | 4/1/2046 | 78 | 111,314 | ||||||||
Banks: Regional 15.09% | ||||||||||||
Bank of America Corp. | 1.319% (SOFR + 1.15% | )# | 6/19/2026 | 50 | 50,651 | |||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 249 | 282,184 | |||||||
Bank of Montreal (Canada)(a) | 3.803% (5 Yr. Swap rate + 1.43% | )# | 12/15/2032 | 45 | 50,953 | |||||||
Citigroup, Inc. | 3.106% (SOFR + 2.75% | )# | 4/8/2026 | 25 | 27,220 | |||||||
Citigroup, Inc. | 3.668% (3 Mo. LIBOR + 1.39% | )# | 7/24/2028 | 170 | 192,832 | |||||||
Comerica, Inc. | 4.00% | 2/1/2029 | 46 | 53,561 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.25% | 10/21/2025 | 85 | 97,659 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 40 | 61,287 | ||||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 23 | 23,924 | ||||||||
JPMorgan Chase & Co. | 3.96% (3 Mo. LIBOR + 1.25% | )# | 1/29/2027 | 50 | 57,217 | |||||||
JPMorgan Chase & Co. | 8.00% | 4/29/2027 | 120 | 165,583 | ||||||||
Macquarie Bank Ltd. (Australia)†(a) | 6.625% | 4/7/2021 | 60 | 61,252 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 90 | 102,969 | ||||||||
Morgan Stanley | 4.431% (3 Mo. LIBOR + 1.63% | )# | 1/23/2030 | 36 | 43,878 |
See Notes to Financial Statements. | 127 |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Morgan Stanley | 5.00% | 11/24/2025 | $ | 5 | $ | 5,966 | ||||||
Santander UK plc (United Kingdom)(a) | 7.95% | 10/26/2029 | 30 | 40,699 | ||||||||
Toronto-Dominion Bank (The) (Canada)(a) | 3.625% (5 Yr. Swap rate + 2.21% | )# | 9/15/2031 | 20 | 22,557 | |||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 19 | 20,700 | ||||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | 85 | 89,067 | |||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 25 | 26,462 | |||||||
Wells Fargo & Co. | 5.95% | 12/1/2086 | 56 | 74,782 | ||||||||
Westpac Banking Corp. (Australia)(a) | 2.65% | 1/16/2030 | 15 | 16,773 | ||||||||
Westpac Banking Corp. (Australia)(a) | 4.11% (5 Yr Treasury CMT + 2.00% | )# | 7/24/2034 | 44 | 50,048 | |||||||
Westpac Banking Corp. (Australia)(a) | 4.322% (5 Yr. Swap rate + 2.24% | )# | 11/23/2031 | 27 | 30,560 | |||||||
Total | 1,648,784 | |||||||||||
Beverages 1.75% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 55 | 70,338 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.75% | 1/23/2029 | 35 | 42,975 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 8.20% | 1/15/2039 | 45 | 77,611 | ||||||||
Total | 190,924 | |||||||||||
Biotechnology Research & Production 1.91% | ||||||||||||
Biogen, Inc. | 2.25% | 5/1/2030 | 71 | 73,474 | ||||||||
Gilead Sciences, Inc. | 4.15% | 3/1/2047 | 20 | 24,617 | ||||||||
Regeneron Pharmaceuticals, Inc. | 1.75% | 9/15/2030 | 51 | 50,253 | ||||||||
Royalty Pharma plc† | 2.20% | 9/2/2030 | 60 | 60,785 | ||||||||
Total | 209,129 | |||||||||||
Building Materials 1.52% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(a) | 3.00% | 11/1/2022 | 18 | 18,431 | ||||||||
Carrier Global Corp.† | 2.70% | 2/15/2031 | 20 | 21,372 | ||||||||
Carrier Global Corp.† | 3.577% | 4/5/2050 | 20 | 22,876 | ||||||||
Owens Corning, Inc. | 3.875% | 6/1/2030 | 10 | 11,507 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 34 | 40,344 | ||||||||
Vulcan Materials Co. | 0.875% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 52 | 52,005 | |||||||
Total | 166,535 | |||||||||||
Business Services 0.89% | ||||||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 30 | 31,485 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 11 | 12,029 |
128 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Business Services (continued) | ||||||||||||
Global Payments, Inc. | 3.20% | 8/15/2029 | $ | 44 | $ | 48,863 | ||||||
Pepperdine University | 3.301% | 12/1/2059 | 4 | 4,365 | ||||||||
Total | 96,742 | |||||||||||
Chemicals 0.74% | ||||||||||||
Albemarle Corp. | 1.271% (3 Mo. LIBOR + 1.05% | )# | 11/15/2022 | 15 | 15,001 | |||||||
Nutrition & Biosciences, Inc.† | 1.832% | 10/15/2027 | 34 | 34,752 | ||||||||
Nutrition & Biosciences, Inc.† | 2.30% | 11/1/2030 | 30 | 30,869 | ||||||||
Total | 80,622 | |||||||||||
Computer Hardware 2.44% | ||||||||||||
Apple, Inc. | 4.45% | 5/6/2044 | 68 | 94,940 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 82 | 99,612 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 17 | 24,710 | ||||||||
Leidos Holdings, Inc. | 5.95% | 12/1/2040 | 30 | 35,813 | ||||||||
Leidos, Inc.† | 4.375% | 5/15/2030 | 10 | 11,913 | ||||||||
Total | 266,988 | |||||||||||
Computer Software 0.85% | ||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 60 | 92,683 | ||||||||
Construction/Homebuilding 0.54% | ||||||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 54 | 58,738 | ||||||||
Drugs 4.59% | ||||||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 65 | 82,444 | ||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 25 | 32,567 | ||||||||
AbbVie, Inc. | 4.875% | 11/14/2048 | 15 | 20,482 | ||||||||
AstraZeneca plc (United Kingdom)(a) | 6.45% | 9/15/2037 | 38 | 59,506 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 28 | 36,262 | ||||||||
Cigna Corp. | 4.80% | 7/15/2046 | 25 | 33,365 | ||||||||
Cigna Corp. | 6.125% | 11/15/2041 | 32 | 47,342 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 93 | 109,442 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 20 | 25,380 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 40 | 54,131 | ||||||||
Total | 500,921 | |||||||||||
Electric: Power 10.76% | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(a) | 4.35% | 8/1/2028 | 16 | 18,498 | ||||||||
Avista Corp. | 4.35% | 6/1/2048 | 21 | 26,925 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 23 | 26,720 |
See Notes to Financial Statements. | 129 |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | $ | 20 | $ | 26,987 | ||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 32 | 49,236 | ||||||||
DTE Electric Co. | 2.625% | 3/1/2031 | 17 | 18,842 | ||||||||
DTE Energy Co. | 6.375% | 4/15/2033 | 32 | 46,245 | ||||||||
Duquesne Light Holdings, Inc.† | 2.532% | 10/1/2030 | 40 | 40,939 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 10 | 11,705 | ||||||||
El Paso Electric Co. | 6.00% | 5/15/2035 | 15 | 20,696 | ||||||||
Emera US Finance LP | 4.75% | 6/15/2046 | 30 | 37,827 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 27 | 29,525 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 66 | 73,719 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 10 | 11,689 | ||||||||
Georgia Power Co. | 4.75% | 9/1/2040 | 20 | 26,319 | ||||||||
Interstate Power & Light Co. | 3.50% | 9/30/2049 | 20 | 22,716 | ||||||||
Interstate Power & Light Co. | 4.70% | 10/15/2043 | 10 | 12,889 | ||||||||
ITC Holdings Corp. | 3.35% | 11/15/2027 | 25 | 27,889 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 21 | 21,067 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 45 | 55,387 | ||||||||
Monongahela Power Co.† | 4.10% | 4/15/2024 | 25 | 27,098 | ||||||||
New York State Electric & Gas Corp.† | 3.30% | 9/15/2049 | 22 | 23,487 | ||||||||
NRG Energy, Inc.†(b) | 2.45% | 12/2/2027 | 10 | 10,263 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 44 | 50,347 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 40 | 52,688 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 33 | 50,650 | ||||||||
Oklahoma Gas & Electric Co. | 5.25% | 5/15/2041 | 18 | 23,836 | ||||||||
Progress Energy, Inc. | 7.75% | 3/1/2031 | 24 | 35,285 | ||||||||
Public Service Co. of Oklahoma | 6.625% | 11/15/2037 | 20 | 29,155 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 12 | 13,307 | ||||||||
Puget Energy, Inc.† | 4.10% | 6/15/2030 | 20 | 22,681 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 14 | 14,917 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 10 | 10,398 | ||||||||
Puget Sound Energy, Inc. | 5.764% | 7/15/2040 | 18 | 25,417 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 3 | 3,233 | ||||||||
Southwestern Public Service Co. | 3.15% | 5/1/2050 | 12 | 13,430 | ||||||||
Southwestern Public Service Co. | 4.50% | 8/15/2041 | 25 | 32,539 | ||||||||
Tampa Electric Co. | 6.15% | 5/15/2037 | 12 | 16,965 | ||||||||
TransAlta Corp. (Canada)(a) | 4.50% | 11/15/2022 | 41 | 42,451 | ||||||||
Tucson Electric Power Co. | 1.50% | 8/1/2030 | 18 | 17,912 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 50 | 53,830 | ||||||||
Total | 1,175,709 |
130 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical Equipment 1.49% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | $ | 110 | $ | 123,694 | ||||||
NXP BV/NXP Funding LLC (Netherlands)†(a) | 3.15% | 5/1/2027 | 36 | 39,325 | ||||||||
Total | 163,019 | |||||||||||
Electronics 0.65% | ||||||||||||
FLIR Systems, Inc. | 2.50% | 8/1/2030 | 30 | 31,451 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 24 | 27,566 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 10 | 11,865 | ||||||||
Total | 70,882 | |||||||||||
Financial Services 2.21% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 16 | 17,769 | ||||||||
Aircastle Ltd. | 4.25% | 6/15/2026 | 37 | 37,747 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 23 | 33,012 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 4.25% | 4/15/2026 | 5 | 5,185 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 5.125% | 10/1/2023 | 7 | 7,373 | ||||||||
Brightsphere Investment Group, Inc. | 4.80% | 7/27/2026 | 26 | 27,978 | ||||||||
Charles Schwab Corp. (The) | 5.375% (5 Yr Treasury CMT + 4.97% | )# | – | (c) | 16 | 17,880 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 30 | 33,440 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 11 | 12,546 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(a) | 5.50% | 2/15/2024 | 45 | 48,069 | ||||||||
Total | 240,999 | |||||||||||
Food 0.51% | ||||||||||||
Sysco Corp. | 2.40% | 2/15/2030 | 30 | 31,544 | ||||||||
Sysco Corp. | 6.60% | 4/1/2040 | 16 | 23,670 | ||||||||
Total | 55,214 | |||||||||||
Health Care Products 1.57% | ||||||||||||
Abbott Laboratories | 4.75% | 11/30/2036 | 30 | 41,649 | ||||||||
Boston Scientific Corp. | 2.65% | 6/1/2030 | 68 | 73,067 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 43 | 56,917 | ||||||||
Total | 171,633 | |||||||||||
Health Care Services 3.75% | ||||||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 77 | 80,712 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 85 | 92,345 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 19 | 21,097 |
See Notes to Financial Statements. | 131 |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
HCA, Inc. | 5.50% | 6/15/2047 | $ | 46 | $ | 61,403 | ||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 20 | 26,315 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 26 | 28,587 | ||||||||
New York and Presbyterian Hospital (The) | 3.954% | 8/1/2119 | 30 | 33,570 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 27 | 30,612 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 22 | 26,118 | ||||||||
NYU Langone Hospitals | 4.784% | 7/1/2044 | 7 | 8,703 | ||||||||
Total | 409,462 | |||||||||||
Insurance 4.47% | ||||||||||||
Alleghany Corp. | 3.625% | 5/15/2030 | 30 | 33,919 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 32 | 34,405 | ||||||||
Berkshire Hathaway Finance Corp. | 4.25% | 1/15/2049 | 26 | 35,305 | ||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 9 | 9,408 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 65 | 74,665 | ||||||||
Hanover Insurance Group, Inc. (The) | 2.50% | 9/1/2030 | 8 | 8,337 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 19 | 22,224 | ||||||||
Kemper Corp. | 2.40% | 9/30/2030 | 35 | 35,328 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 33 | 44,962 | ||||||||
New York Life Insurance Co.† | 4.45% | 5/15/2069 | 29 | 39,300 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 33 | 52,210 | ||||||||
Securian Financial Group, Inc.† | 4.80% | 4/15/2048 | 21 | 27,161 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 19 | 22,749 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 25 | 33,568 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 9 | 14,418 | ||||||||
Total | 487,959 | |||||||||||
Leasing 0.50% | ||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.125% | 8/1/2023 | 50 | 54,358 | ||||||||
Lodging 0.62% | ||||||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 10 | 10,519 | ||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 55 | 57,672 | ||||||||
Total | 68,191 | |||||||||||
Machinery: Agricultural 2.03% | ||||||||||||
Altria Group, Inc. | 5.95% | 2/14/2049 | 65 | 92,558 | ||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 20 | 21,650 | ||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 45 | 50,028 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 49 | 55,277 |
132 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural (continued) | ||||||||||||
BAT Capital Corp. | 4.70% | 4/2/2027 | $ | 2 | $ | 2,344 | ||||||
Total | 221,857 | |||||||||||
Machinery: Industrial/Specialty 2.00% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 43 | 45,095 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 5 | 5,065 | ||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 41 | 45,485 | ||||||||
nVent Finance Sarl (Luxembourg)(a) | 4.55% | 4/15/2028 | 25 | 27,072 | ||||||||
Snap-on, Inc. | 3.10% | 5/1/2050 | 30 | 33,918 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.95% | 9/15/2028 | 35 | 40,892 | ||||||||
Xylem, Inc. | 4.375% | 11/1/2046 | 17 | 20,840 | ||||||||
Total | 218,367 | |||||||||||
Manufacturing 0.28% | ||||||||||||
Pentair Finance Sarl (Luxembourg)(a) | 3.15% | 9/15/2022 | 30 | 30,633 | ||||||||
Media 3.60% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 98 | 140,030 | ||||||||
Comcast Corp. | 4.95% | 10/15/2058 | 65 | 99,845 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 30 | 51,193 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (c) | 100 | 102,125 | |||||||
Total | 393,193 | |||||||||||
Metal Fabricating 0.30% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 28 | 32,488 | ||||||||
Metals & Minerals: Miscellaneous 0.88% | ||||||||||||
Glencore Finance Canada Ltd. (Canada)†(a) | 5.55% | 10/25/2042 | 37 | 44,855 | ||||||||
Kinross Gold Corp.(Canada)(a) | 4.50% | 7/15/2027 | 25 | 28,817 | ||||||||
Southern Copper Corp. (Peru)(a) | 5.875% | 4/23/2045 | 16 | 22,744 | ||||||||
Total | 96,416 | |||||||||||
Natural Gas 1.54% | ||||||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 8 | 8,244 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 15 | 16,436 | ||||||||
NiSource, Inc. | 5.95% | 6/15/2041 | 26 | 37,299 | ||||||||
Piedmont Natural Gas Co., Inc. | 3.64% | 11/1/2046 | 25 | 29,236 | ||||||||
Piedmont Natural Gas Co., Inc. | 4.10% | 9/18/2034 | 19 | 23,350 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 12 | 12,008 | ||||||||
Southwest Gas Corp. | 4.15% | 6/1/2049 | 34 | 41,928 | ||||||||
Total | 168,501 |
See Notes to Financial Statements. | 133 |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil 6.26% | ||||||||||||
Apache Corp. | 5.10% | 9/1/2040 | $ | 15 | $ | 15,422 | ||||||
Canadian Natural Resources Ltd. (Canada)(a) | 7.20% | 1/15/2032 | 31 | 40,173 | ||||||||
Cimarex Energy Co. | 4.375% | 3/15/2029 | 40 | 45,110 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 40 | 37,325 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 56 | 56,196 | ||||||||
Diamondback Energy, Inc. | 2.875% | 12/1/2024 | 30 | 31,287 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 15 | 15,744 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 9 | 10,044 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 40 | 41,647 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 22 | 28,942 | ||||||||
Equinor ASA (Norway)(a) | 7.15% | 11/15/2025 | 26 | 33,260 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 40 | 44,159 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 40 | 47,143 | ||||||||
Hess Corp. | 5.80% | 4/1/2047 | 6 | 7,436 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.375% | 1/15/2025 | 35 | 36,116 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 31 | 26,379 | ||||||||
Shell International Finance BV (Netherlands)(a) | 6.375% | 12/15/2038 | 45 | 70,191 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(a) | 4.50% | 4/1/2022 | 10 | 10,407 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(a) | 9.40% | 9/1/2021 | 5 | 5,235 | ||||||||
Suncor Energy, Inc. (Canada)(a) | 7.875% | 6/15/2026 | 23 | 29,187 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 30 | 31,729 | ||||||||
WPX Energy, Inc. | 4.50% | 1/15/2030 | 20 | 20,750 | ||||||||
Total | 683,882 | |||||||||||
Oil: Crude Producers 3.01% | ||||||||||||
Enbridge Energy Partners LP | 7.50% | 4/15/2038 | 28 | 40,057 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 17 | 17,271 | ||||||||
MPLX LP | 1.342% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 25 | 25,004 | |||||||
MPLX LP | 5.25% | 1/15/2025 | 35 | 35,971 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 58 | 64,850 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 35 | 40,211 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 88 | 105,591 | ||||||||
Total | 328,955 | |||||||||||
Oil: Integrated Domestic 0.84% | ||||||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 31 | 43,414 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 50 | 48,255 | ||||||||
Total | 91,669 |
134 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts 5.24% | ||||||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | $ | 23 | $ | 26,446 | ||||||
American Homes 4 Rent LP | 4.90% | 2/15/2029 | 20 | 24,196 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 54 | 53,574 | ||||||||
Equinix, Inc. | 1.55% | 3/15/2028 | 21 | 21,204 | ||||||||
Equinix, Inc. | 5.375% | 5/15/2027 | 50 | 54,560 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 40 | 43,875 | ||||||||
Healthcare Realty Trust, Inc. | 2.40% | 3/15/2030 | 6 | 6,233 | ||||||||
Healthcare Realty Trust, Inc. | 3.625% | 1/15/2028 | 26 | 29,192 | ||||||||
Healthcare Realty Trust, Inc. | 3.875% | 5/1/2025 | 31 | 34,191 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 30 | 30,898 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 72 | 75,610 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 55 | 62,940 | ||||||||
WEA Finance LLC† | 2.875% | 1/15/2027 | 42 | 42,068 | ||||||||
Weyerhaeuser Co. | 4.00% | 4/15/2030 | 30 | 35,238 | ||||||||
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 25 | 32,196 | ||||||||
Total | 572,421 | |||||||||||
Retail 1.11% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(a) | 2.95% | 1/25/2030 | 27 | 29,336 | ||||||||
McDonald’s Corp. | 6.30% | 10/15/2037 | 60 | 91,593 | ||||||||
Total | 120,929 | |||||||||||
Steel 0.15% | ||||||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 15 | 16,013 | ||||||||
Technology 0.35% | ||||||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 24 | 27,512 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 9 | 10,857 | ||||||||
Total | 38,369 | |||||||||||
Telecommunications 5.23% | ||||||||||||
AT&T, Inc. | 3.65% | 6/1/2051 | 15 | 15,900 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 258 | 308,275 | ||||||||
Orange SA (France)(a) | 9.00% | 3/1/2031 | 50 | 82,531 | ||||||||
T-Mobile USA, Inc.† | 3.75% | 4/15/2027 | 145 | 164,299 | ||||||||
Total | 571,005 | |||||||||||
Transportation: Miscellaneous 1.91% | ||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 32 | 47,833 | ||||||||
Canadian National Railway Co. (Canada)(a) | 7.375% | 10/15/2031 | 7 | 10,171 |
See Notes to Financial Statements. | 135 |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous (continued) | ||||||||||||
Canadian Pacific Railway Co. (Canada)(a) | 7.125% | 10/15/2031 | $ | 28 | $ | 41,794 | ||||||
Canadian Pacific Railway Co. (Canada)(a) | 9.45% | 8/1/2021 | 10 | 10,591 | ||||||||
CSX Corp. | 6.00% | 10/1/2036 | 35 | 51,913 | ||||||||
CSX Transportation, Inc. | 7.875% | 5/15/2043 | 8 | 14,304 | ||||||||
Huntington Ingalls Industries, Inc.† | 3.844% | 5/1/2025 | 29 | 32,306 | ||||||||
Total | 208,912 | |||||||||||
Utilities 0.18% | ||||||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 18 | 19,876 | ||||||||
Total Corporate Bonds (cost $9,735,077) | 10,277,657 | |||||||||||
MUNICIPAL BONDS 1.38% | ||||||||||||
Miscellaneous | ||||||||||||
California State University | 3.899% | 11/1/2047 | 25 | 29,804 | ||||||||
City of Chicago IL | 6.314% | 1/1/2044 | 15 | 15,934 | ||||||||
Los Angeles Unif Sch Dist, CA | 5.75% | 7/1/2034 | 25 | 34,472 | ||||||||
Miami-Dade Cnty, FL | 4.28% | 10/1/2041 | 25 | 27,302 | ||||||||
State of California | 7.60% | 11/1/2040 | 10 | 18,096 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 4 | 3,614 | ||||||||
State of Illinois | 5.10% | 6/1/2033 | 5 | 5,020 | ||||||||
University of California Bond of Regents | 3.006% | 5/15/2050 | 15 | 16,099 | ||||||||
Total Municipal Bonds (cost $140,901) | 150,341 | |||||||||||
U.S. TREASURY OBLIGATIONS 1.54% | ||||||||||||
U.S. Treasury Bond | 1.625% | 11/15/2050 | 98 | 99,049 | ||||||||
U.S. Treasury Note | 0.25% | 10/31/2025 | 70 | 69,639 | ||||||||
Total U.S. Treasury Obligations (cost $169,235) | 168,688 | |||||||||||
Total Long-Term Investments (cost $10,069,713) | 10,622,861 |
136 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUND November 30, 2020
Investments | Principal Amount (000) | Fair Value | ||||||||||
SHORT-TERM INVESTMENT 2.22% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $247,800 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $247,664; proceeds: $242,755 (cost $242,755) | $243 | $ | 242,755 | |||||||||
Total Investments in Securities 99.47% (cost $10,312,468) | 10,865,616 | |||||||||||
Other Assets in Excess of Liabilities(d) 0.53% | 57,697 | |||||||||||
Net Assets 100.00% | $ | 10,923,313 |
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, 2020, the total value of Rule 144A securities was $1,834,845, which represents 16.80% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(c) | Security is perpetual in nature and has no stated maturity. | |
(d) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on futures contracts as follows: |
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
U.S. 2-Year Treasury Note | March 2021 | 3 | Long | $ | 662,333 | $ 662,555 | $ | 222 | ||||||||||||
U.S. 5-Year Treasury Note | March 2021 | 15 | Long | 1,888,886 | 1,890,469 | 1,583 | ||||||||||||||
U.S. Ultra Treasury Bond | March 2021 | 2 | Long | 429,112 | 432,062 | 2,950 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 4,755 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
U.S. 10-Year Treasury Note | March 2021 | 12 | Short | (1,655,792 | ) | (1,658,062 | ) | $ | (2,270 | ) | ||||||||||
U.S. Long Bond | March 2021 | 3 | Short | (523,026 | ) | $(524,719 | ) | $ | (1,693 | ) | ||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (3,963 | ) |
See Notes to Financial Statements. | 137 |
Schedule of Investments (concluded)
CORPORATE BOND FUND November 30, 2020
The following is a summary of the inputs used as of November 30, 2020 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 | $ | – | $ | 26,175 | $ | – | $ | 26,175 | ||||||||
Corporate Bonds | – | 10,277,657 | – | 10,277,657 | ||||||||||||
Municipal Bonds | – | 150,341 | – | 150,341 | ||||||||||||
U.S. Treasury Obligations | – | 168,688 | – | 168,688 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 242,755 | – | 242,755 | ||||||||||||
Total | $ | – | $ | 10,865,616 | $ | – | $ | 10,865,616 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 4,755 | $ | – | $ | – | $ | 4,755 | ||||||||
Liabilities | (3,963 | ) | – | – | (3,963 | ) | ||||||||||
Total | $ | 792 | $ | – | $ | – | $ | 792 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
138 | See Notes to Financial Statements. |
Schedule of Investments
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 95.53% | ||||||||||||
ASSET-BACKED SECURITIES 0.85% | ||||||||||||
Other | ||||||||||||
Battalion CLO VII Ltd. 2014-7A CRR† | 3.148% (3 Mo. LIBOR + 2.93% | )# | 7/17/2028 | $ | 2,169 | $ | 2,088,805 | |||||
Jamestown CLO VII Ltd. 2015-7A CR† | 2.815% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 5,000 | 4,818,600 | |||||||
Mariner CLO 5 Ltd. 2018-5A E† | 5.865% (3 Mo. LIBOR + 5.65% | )# | 4/25/2031 | 1,050 | 990,655 | |||||||
Mariner CLO Ltd. 2017-4A D† | 3.265% (3 Mo. LIBOR + 3.05% | )# | 10/26/2029 | 7,052 | 6,761,189 | |||||||
Northwoods Capital 20 Ltd. 2019-20A D† | 4.465% (3 Mo. LIBOR + 4.25% | )# | 1/25/2030 | 10,284 | 10,288,649 | |||||||
OCP CLO Ltd. 2016-12A CR† | 3.218% (3 Mo. LIBOR + 3.00% | )# | 10/18/2028 | 7,250 | 7,183,073 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A D† | 4.187% (3 Mo. LIBOR + 3.95% | )# | 4/15/2026 | 5,000 | 4,856,602 | |||||||
Regatta VI Funding Ltd. 2016-1A DR† | 2.918% (3 Mo. LIBOR + 2.70% | )# | 7/20/2028 | 2,534 | 2,411,969 | |||||||
Sound Point CLO XI Ltd. 2016-1A DR† | 3.168% (3 Mo. LIBOR + 2.95% | )# | 7/20/2028 | 8,160 | 7,790,465 | (a) | ||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 3.168% (3 Mo. LIBOR + 2.95% | )# | 1/20/2031 | 1,736 | 1,630,662 | |||||||
Total Asset-Backed Securities (cost $50,187,031) | 48,820,669 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.65% | ||||||||||||
Broadcasting 0.12% | ||||||||||||
iHeartMedia, Inc. Class A* | 580 | 6,929,931 | ||||||||||
Energy 0.00% | ||||||||||||
Templar Energy LLC Class A Units | 747 | 59,755 | (a) | |||||||||
Service 0.16% | ||||||||||||
TNT Crane & Rigging, Inc. | 529 | 9,121,472 | ||||||||||
Shipping 0.03% | ||||||||||||
ACBL Holdings Corp. | 95 | 1,904,200 | (a) |
See Notes to Financial Statements. | 139 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Shares (000) | Fair Value | ||||||||||
Specialty Retail 0.34% | ||||||||||||
Chinos Intermediate | 1,494 | $ | 19,137,749 | |||||||||
Chinos Intermediate | 147 | 515,690 | ||||||||||
Total | 19,653,439 | |||||||||||
Total Common Stocks (cost $48,458,404) | 37,668,797 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 1.71% | ||||||||||||
Gaming/Leisure 0.20% | ||||||||||||
Huazhu Group Ltd. (China)(b) | 0.375% | 11/1/2022 | $ | 5,456 | 6,652,404 | |||||||
Live Nation Entertainment, Inc.† | 2.00% | 2/15/2025 | 4,713 | 4,662,158 | ||||||||
Total | 11,314,562 | |||||||||||
Healthcare 0.35% | ||||||||||||
Canopy Growth Corp.†(c) | 4.25% | 7/15/2023 | CAD | 9,858 | 7,970,201 | |||||||
Guardant Health, Inc.† | Zero Coupon | 11/15/2027 | $ | 3,916 | 4,351,655 | |||||||
Insmed, Inc. | 1.75% | 1/15/2025 | 4,239 | 5,121,202 | ||||||||
Tandem Diabetes Care, Inc.† | 1.50% | 5/1/2025 | 2,573 | 2,977,742 | ||||||||
Total | 20,420,800 | |||||||||||
Information Technology 0.96% | ||||||||||||
Cerence, Inc.† | 3.00% | 6/1/2025 | 1,564 | 3,973,123 | ||||||||
Enphase Energy, Inc.† | 0.25% | 3/1/2025 | 2,117 | 3,864,822 | ||||||||
Five9, Inc.† | 0.50% | 6/1/2025 | 4,895 | 6,578,319 | ||||||||
Fiverr International Ltd. (Israel)†(b) | Zero Coupon | 11/1/2025 | 2,919 | 3,546,585 | ||||||||
Lyft, Inc.† | 1.50% | 5/15/2025 | 4,106 | 5,191,524 | ||||||||
Q2 Holdings, Inc. | 0.75% | 6/1/2026 | 2,729 | 3,876,886 | ||||||||
RingCentral, Inc.† | Zero Coupon | 3/1/2025 | 5,584 | 6,310,138 | ||||||||
Shopify, Inc. (Canada)(b) | 0.125% | 11/1/2025 | 3,909 | 4,480,691 | ||||||||
Square, Inc.† | Zero Coupon | 5/1/2026 | 3,175 | 3,404,196 | ||||||||
SunPower Corp. | 4.00% | 1/15/2023 | 6,482 | 7,856,129 | ||||||||
Wix.com Ltd. (Israel)†(b) | Zero Coupon | 8/15/2025 | 5,944 | 5,967,122 | ||||||||
Total | 55,049,535 | |||||||||||
Retail 0.06% | ||||||||||||
Burlington Stores, Inc.† | 2.25% | 4/15/2025 | 2,797 | 3,471,114 |
140 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Service 0.14% | ||||||||||||
Cardlytics, Inc.† | 1.00% | 9/15/2025 | $ | 1,824 | $ | 2,864,951 | ||||||
Chegg, Inc.† | Zero Coupon | 9/1/2026 | 5,109 | 5,316,118 | ||||||||
Total | 8,181,069 | |||||||||||
Total Convertible Bonds (cost $82,491,908) | 98,437,080 | |||||||||||
CORPORATE BONDS 12.47% | ||||||||||||
Automotive 1.09% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | 11,784 | 11,887,110 | ||||||||
American Axle & Manufacturing, Inc. | 6.875% | 7/1/2028 | 5,668 | 6,018,963 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 6.375% | 4/1/2024 | 5,953 | 6,082,924 | ||||||||
Carvana Co.† | 5.625% | 10/1/2025 | 3,280 | 3,300,500 | ||||||||
Carvana Co.† | 5.875% | 10/1/2028 | 3,323 | 3,376,999 | ||||||||
Ken Garff Automotive LLC† | 4.875% | 9/15/2028 | 5,952 | 6,052,440 | ||||||||
Mclaren Finance plc(c) | 5.00% | 8/1/2022 | GBP | 8,900 | 11,390,637 | |||||||
Meritor, Inc.†(d) | 4.50% | 12/15/2028 | $ | 3,118 | 3,172,565 | |||||||
Patrick Industries, Inc.† | 7.50% | 10/15/2027 | 6,565 | 7,139,438 | ||||||||
Tenneco, Inc.† | 7.875% | 1/15/2029 | 2,052 | 2,267,460 | ||||||||
Winnebago Industries, Inc.† | 6.25% | 7/15/2028 | 1,734 | 1,880,306 | ||||||||
Total | 62,569,342 | |||||||||||
Cable/Wireless Video 0.26% | ||||||||||||
Cablevision Lightpath LLC† | 5.625% | 9/15/2028 | 2,779 | 2,918,853 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.375% | 6/1/2029 | 10,982 | 12,010,355 | ||||||||
Total | 14,929,208 | |||||||||||
Chemicals 0.24% | ||||||||||||
Avient Corp.† | 5.75% | 5/15/2025 | 4,851 | 5,190,570 | ||||||||
Element Solutions, Inc.† | 3.875% | 9/1/2028 | 4,140 | 4,228,493 | ||||||||
Tronox Finance plc (United Kingdom)†(b) | 5.75% | 10/1/2025 | 4,158 | 4,308,727 | ||||||||
Total | 13,727,790 | |||||||||||
Consumer Durables 0.27% | ||||||||||||
CD&R Smokey Buyer, Inc.† | 6.75% | 7/15/2025 | 4,284 | 4,599,945 | ||||||||
Sotheby’s†(d) | 7.375% | 10/15/2027 | 10,300 | 10,832,407 | ||||||||
Total | 15,432,352 |
See Notes to Financial Statements. | 141 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Consumer Non-Durables 0.34% | ||||||||||||
Diamond BC BV(c) | 5.625% | 8/15/2025 | EUR | 3,283 | $ | 3,984,997 | ||||||
Herbalife Nutrition Ltd./HLF Financing, Inc.† | 7.875% | 9/1/2025 | $ | 4,150 | 4,559,813 | |||||||
Sally Holdings LLC/Sally Capital, Inc.† | 8.75% | 4/30/2025 | 10,008 | 11,121,390 | ||||||||
Total | 19,666,200 | |||||||||||
Diversified Media 0.68% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 7,474 | 7,705,657 | ||||||||
Banijay Group SAS†(c) | 6.50% | 3/1/2026 | EUR | 6,771 | 8,135,994 | |||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | $ | 30,403 | 23,619,330 | |||||||
Total | 39,460,981 | |||||||||||
Energy 0.86% | ||||||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 11,884 | 8,132,162 | |||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 5,767 | 3,188,603 | ||||||||
Cimarex Energy Co. | 4.375% | 3/15/2029 | 5,373 | 6,059,362 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 4,525 | 4,420,360 | ||||||||
Comstock Resources, Inc.† | 7.50% | 5/15/2025 | 5,604 | 5,604,000 | ||||||||
Laredo Petroleum, Inc. | 9.50% | 1/15/2025 | 9,713 | 6,619,992 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 8,738 | 7,530,845 | ||||||||
New Fortress Energy, Inc.† | 6.75% | 9/15/2025 | 7,819 | 8,322,348 | ||||||||
Total | 49,877,672 | |||||||||||
Financial 0.89% | ||||||||||||
FirstCash, Inc.† | 4.625% | 9/1/2028 | 5,920 | 6,093,900 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 13,620 | 11,970,728 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.75% | 9/15/2030 | 5,473 | 5,623,508 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 5,268 | 5,630,175 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 5,372 | 5,771,542 | ||||||||
PRA Group, Inc.† | 7.375% | 9/1/2025 | 5,455 | 5,865,898 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.625% | 3/1/2029 | 10,308 | 10,264,346 | ||||||||
Total | 51,220,097 | |||||||||||
Food & Drug 0.10% | ||||||||||||
Rite Aid Corp.† | 7.50% | 7/1/2025 | 5,550 | 5,656,699 | ||||||||
Food/Tobacco 0.19% | ||||||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(b) | 5.625% | 8/15/2026 | 11,006 | 11,210,271 |
142 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming/Leisure 0.92% | ||||||||||||
Caesars Entertainment, Inc.† | 8.125% | 7/1/2027 | $ | 5,980 | $ | 6,585,475 | ||||||
Carnival Corp.† | 7.625% | 3/1/2026 | 3,473 | 3,693,258 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 6,797 | 7,153,944 | ||||||||
ESH Hospitality, Inc.† | 5.25% | 5/1/2025 | 5,701 | 5,851,934 | ||||||||
NCL Corp. Ltd.† | 12.25% | 5/15/2024 | 5,821 | 6,910,691 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 4,581 | 4,835,818 | ||||||||
Pinnacle Bidco plc(c) | 6.375% | 2/15/2025 | GBP | 4,000 | 5,332,841 | |||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | $ | 6,860 | 8,069,075 | |||||||
Vail Resorts, Inc.† | 6.25% | 5/15/2025 | 4,366 | 4,677,078 | ||||||||
Total | 53,110,114 | |||||||||||
Healthcare 0.64% | ||||||||||||
Acadia Healthcare Co., Inc.† | 5.50% | 7/1/2028 | 4,954 | 5,279,106 | ||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 4,769 | 5,262,878 | ||||||||
Emergent BioSolutions, Inc.† | 3.875% | 8/15/2028 | 5,628 | 5,701,867 | ||||||||
Horizon Therapeutics USA, Inc.† | 5.50% | 8/1/2027 | 11,762 | 12,443,490 | ||||||||
LifePoint Health, Inc.† | 4.375% | 2/15/2027 | 5,159 | 5,197,693 | ||||||||
Providence Service Corp. (The)† | 5.875% | 11/15/2025 | 2,954 | 3,140,826 | ||||||||
Total | 37,025,860 | |||||||||||
Housing 1.66% | ||||||||||||
Boise Cascade Co.† | 4.875% | 7/1/2030 | 4,005 | 4,352,934 | ||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada)†(b) | 4.875% | 2/15/2030 | 9,314 | 9,212,105 | ||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada)†(b) | 6.25% | 9/15/2027 | 1,472 | 1,555,720 | ||||||||
Builders FirstSource, Inc.† | 5.00% | 3/1/2030 | 5,566 | 6,004,323 | ||||||||
Century Communities, Inc. | 6.75% | 6/1/2027 | 3,866 | 4,157,516 | ||||||||
Forestar Group, Inc.† | 5.00% | 3/1/2028 | 7,471 | 7,507,197 | ||||||||
Forterra Finance LLC/FRTA Finance Corp.† | 6.50% | 7/15/2025 | 9,322 | 9,971,743 | ||||||||
LGI Homes, Inc.† | 6.875% | 7/15/2026 | 6,068 | 6,386,570 | ||||||||
Masonite International Corp.† | 5.375% | 2/1/2028 | 6,548 | 6,978,924 | ||||||||
Shea Homes LP/Shea Homes Funding Corp.† | 4.75% | 2/15/2028 | 12,201 | 12,650,912 | ||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp.† | 6.375% | 9/30/2026 | 6,214 | 6,464,113 | ||||||||
Taylor Morrison Communities, Inc.† | 5.125% | 8/1/2030 | 6,227 | 6,939,213 | ||||||||
TRI Pointe Group, Inc. | 5.70% | 6/15/2028 | 7,197 | 8,197,455 | ||||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | 4,963 | 5,200,293 | ||||||||
Total | 95,579,018 |
See Notes to Financial Statements. | 143 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology 0.62% | ||||||||||||
Avaya, Inc.† | 6.125% | 9/15/2028 | $ | 6,617 | $ | 6,997,478 | ||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 5,911 | 6,214,500 | ||||||||
Match Group Holdings II LLC† | 4.125% | 8/1/2030 | 4,550 | 4,717,076 | ||||||||
Uber Technologies, Inc.† | 6.25% | 1/15/2028 | 7,329 | 7,777,901 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 10.50% | 2/1/2024 | 9,800 | 9,860,221 | ||||||||
Total | 35,567,176 | |||||||||||
Manufacturing 0.17% | ||||||||||||
Clark Equipment Co.† | 5.875% | 6/1/2025 | 2,913 | 3,078,677 | ||||||||
Park-Ohio Industries, Inc. | 6.625% | 4/15/2027 | 5,000 | 5,085,700 | ||||||||
Vertical Holdco GmbH (Germany)†(b) | 7.625% | 7/15/2028 | 1,314 | 1,410,086 | ||||||||
Total | 9,574,463 | |||||||||||
Metals/Minerals 1.23% | ||||||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(b) | 4.50% | 9/15/2027 | 16,190 | 17,776,620 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 9,240 | 10,055,615 | ||||||||
Freeport-McMoRan, Inc. | 4.375% | 8/1/2028 | 6,797 | 7,275,679 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 10,017 | 10,802,834 | ||||||||
Hudbay Minerals, Inc. (Canada)†(b) | 6.125% | 4/1/2029 | 6,204 | 6,686,671 | ||||||||
Mirabela Nickel Ltd. (Australia)(b) | 1.00% | 9/10/2044 | 51 | 5 | (e) | |||||||
New Gold, Inc. (Canada)†(b) | 7.50% | 7/15/2027 | 7,285 | 7,928,520 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 10,286 | 10,294,023 | ||||||||
Total | 70,819,967 | |||||||||||
Retail 0.65% | ||||||||||||
Asbury Automotive Group, Inc. | 4.50% | 3/1/2028 | 6,249 | 6,491,148 | ||||||||
Asbury Automotive Group, Inc. | 4.75% | 3/1/2030 | 3,945 | 4,157,044 | ||||||||
Gap, Inc. (The)† | 8.625% | 5/15/2025 | 6,468 | 7,197,267 | ||||||||
Group 1 Automotive, Inc.† | 4.00% | 8/15/2028 | 9,106 | 9,329,370 | ||||||||
Lithia Motors, Inc.† | 4.625% | 12/15/2027 | 3,989 | 4,245,792 | ||||||||
Maxeda DIY Holding BV†(c) | 5.875% | 10/1/2026 | EUR | 4,802 | 5,962,690 | |||||||
Total | 37,383,311 | |||||||||||
Service 0.94% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | $ | 10,203 | 7,097,462 | |||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 9.75% | 7/15/2027 | 5,731 | 6,365,766 | ||||||||
Garda World Security Corp. (Canada)†(b) | 4.625% | 2/15/2027 | 8,695 | 8,738,475 | ||||||||
Garda World Security Corp. (Canada)†(b) | 9.50% | 11/1/2027 | 3,026 | 3,379,104 | ||||||||
MasTec, Inc.† | 4.50% | 8/15/2028 | 8,497 | 8,886,417 |
144 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Service (continued) | ||||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 3.375% | 8/31/2027 | $ | 13,711 | $ | 13,556,751 | ||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.† | 4.625% | 11/1/2026 | 2,333 | 2,429,353 | ||||||||
Williams Scotsman International, Inc.† | 4.625% | 8/15/2028 | 3,498 | 3,644,479 | ||||||||
Total | 54,097,807 | |||||||||||
Shipping 0.10% | ||||||||||||
Golar LNG Partners LP (United Kingdom)†(b) | 8.321% (3 Mo. LIBOR + 8.10% | )# | 11/15/2022 | 7,104 | 5,682,933 | |||||||
Telecommunications 0.19% | ||||||||||||
Frontier Communications Corp.† | 6.75% | 5/1/2029 | 3,257 | 3,379,137 | ||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 7,054 | 7,471,738 | ||||||||
Total | 10,850,875 | |||||||||||
Utility 0.43% | ||||||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 5,859 | 6,288,816 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 5,500 | 5,895,313 | ||||||||
Pike Corp.† | 5.50% | 9/1/2028 | 6,289 | 6,603,450 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 5,796 | 6,301,469 | ||||||||
Total | 25,089,048 | |||||||||||
Total Corporate Bonds (cost $686,969,989) | 718,531,184 | |||||||||||
Shares (000) | ||||||||||||
EXCHANGE-TRADED FUND 1.29% | ||||||||||||
Financial | ||||||||||||
Invesco Senior Loan ETF (cost $73,496,581) | 3,373 | 74,242,811 |
See Notes to Financial Statements. | 145 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FLOATING RATE LOANS(f) 78.12% | ||||||||||||
Aerospace 3.72% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(b) | 8.50% (1 Mo. LIBOR + 6.50% | ) | 3/6/2024 | $ | 7,148 | $ | 6,522,389 | |||||
Alloy Finco Limited USD Holdco PIK Term Loan PIK 13.50% (Jersey)(b) | 0.50% | 3/6/2025 | 22,798 | 8,492,356 | ||||||||
Amentum Government Services Holdings LLC 2020 Term Loan B | 5.50% (3 Mo. LIBOR + 4.75% | ) | 1/29/2027 | 15,625 | 15,536,630 | |||||||
Amentum Government Services Holdings LLC Term Loan B | 3.646% (1 Mo. LIBOR + 3.50% | ) | 2/1/2027 | 14,453 | 14,218,303 | |||||||
American Airlines, Inc. 2017 1st Lien Term Loan | 1.896% (1 Mo. LIBOR + 1.75% | ) | 1/29/2027 | 29,550 | 25,117,676 | |||||||
American Airlines, Inc. 2018 Term Loan B | 1.893% (1 Mo. LIBOR + 1.75% | ) | 6/27/2025 | 23,384 | 17,421,418 | |||||||
Atlantic Aviation FBO Inc. 2018 Term Loan B | 3.90% (1 Mo. LIBOR + 3.75% | ) | 12/6/2025 | 10,105 | 10,003,934 | (g) | ||||||
Bleriot US Bidco Inc. Delayed Draw Term Loan | 4.97% (3 Mo. LIBOR + 4.75% | ) | 10/31/2026 | 1,285 | 1,279,807 | |||||||
Bleriot US Bidco Inc. Term Loan B | 4.97% (3 Mo. LIBOR + 4.75% | ) | 10/31/2026 | 8,224 | 8,190,776 | |||||||
Delta Air Lines, Inc. 2020 GSR Term Loan B | 5.75% (3 Mo. LIBOR + 4.75% | ) | 4/29/2023 | 10,784 | 10,916,071 | |||||||
Jazz Acquisition, Inc. 2019 1st Lien Term Loan | 4.40% (3 Mo. LIBOR + 4.25% | ) | 6/19/2026 | 13,348 | 12,346,613 | (g) | ||||||
Jazz Acquisition, Inc. 2019 2nd Lien Term Loan | 8.15% (3 Mo. LIBOR + 8.00% | ) | 6/18/2027 | 5,291 | 4,160,346 | |||||||
JetBlue Airways Corporation Term Loan | 6.25% (3 Mo. LIBOR + 5.25% | ) | 6/17/2024 | 21,340 | 21,745,065 | |||||||
Mileage Plus Holdings LLC 2020 Term Loan B | 6.25% (3 Mo. LIBOR + 5.25% | ) | 6/25/2027 | 10,398 | 10,745,483 | |||||||
SkyMiles IP Ltd. 2020 Skymiles Term Loan B | 4.75% (3 Mo. LIBOR + 3.75% | ) | 10/20/2027 | 15,536 | 15,916,246 | |||||||
TransDigm, Inc. 2020 Term Loan E | 2.396% (3 Mo. LIBOR + 2.25% | ) | 5/30/2025 | 18,473 | 17,949,910 | |||||||
TransDigm, Inc. 2020 Term Loan G | 2.396% (3 Mo. LIBOR + 2.25% | ) | 8/22/2024 | 3,969 | 3,861,794 | |||||||
United AirLines, Inc. 2018 Term Loan B | 1.896% (1 Mo. LIBOR + 1.75% | ) | 4/1/2024 | 5,831 | 5,612,512 |
146 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Aerospace (continued) | ||||||||||||
WP CPP Holdings, LLC 2018 2nd Lien Term Loan | 8.75% (3 Mo. LIBOR + 7.75% | ) | 4/30/2026 | $ | 4,806 | $ | 4,022,119 | |||||
Total | 214,059,448 | |||||||||||
Chemicals 1.99% | ||||||||||||
Aruba Investments, Inc. 2020 2nd Lien Term Loan | – | (h) | 10/27/2028 | 3,908 | 3,921,170 | |||||||
Aruba Investments, Inc. 2020 USD Term Loan | – | (h) | 11/24/2027 | 9,770 | 9,746,008 | |||||||
Axalta Coating Systems US Holdings Inc. USD Term Loan B3 | 1.97% (3 Mo. LIBOR + 1.75% | ) | 6/1/2024 | 10,111 | 9,953,212 | |||||||
H.B. Fuller Company 2017 Term Loan B | 2.147% (1 Mo. LIBOR + 2.00% | ) | 10/20/2024 | 3,874 | 3,829,410 | |||||||
Illuminate Buyer, LLC Term Loan | 4.146% (1 Mo. LIBOR + 4.00% | ) | 6/16/2027 | 8,094 | 8,089,655 | |||||||
Polar US Borrower, LLC 2018 1st Lien Term Loan | 4.878% - 4.90% (1 Mo. LIBOR + 4.75% | ) | 10/15/2025 | 17,541 | 17,256,220 | |||||||
Proampac PG Borrower LLC 2020 Term Loan | 5.00% (3 Mo. LIBOR + 4.00% | ) | 11/3/2025 | 20,633 | 20,432,994 | |||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(b) | 3.141% (1 Mo. LIBOR + 3.00% | ) | 10/1/2025 | 31,991 | 31,471,604 | |||||||
Tronox Finance LLC Term Loan B | 3.146% - 3.22% (1 Mo. LIBOR + 3.00% (3 Mo. LIBOR + 3.00% | ) ) | 9/23/2024 | 3,210 | 3,174,899 | |||||||
Univar Inc. 2019 USD Term Loan B5 | 2.146% (1 Mo. LIBOR + 2.00% | ) | 7/1/2026 | 6,943 | 6,824,905 | |||||||
Total | 114,700,077 | |||||||||||
Consumer Durables 0.38% | ||||||||||||
Hayward Industries, Inc. 1st Lien Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 8/5/2024 | 14,705 | 14,469,070 | |||||||
Huskies Parent, Inc. 2019 Term Loan | 4.146% - 4.18% (3 Mo. LIBOR + 4.00% | ) | 7/31/2026 | 7,506 | 7,404,605 | |||||||
Total | 21,873,675 |
See Notes to Financial Statements. | 147 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Consumer Non-Durables 1.07% | ||||||||||||
ABG Intermediate Holdings 2 LLC 2017 1st Lien Add-On Term Loan | 4.50% (3 Mo. LIBOR + 3.50% | ) | 9/27/2024 | $ | 15,399 | $ | 15,219,818 | |||||
AI Aqua Merger Sub, Inc. 2017 1st Lien Term Loan B | 4.25% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 10,324 | 10,136,407 | |||||||
AI Aqua Merger Sub, Inc. 2017 Incremental Term Loan | 4.25% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 14,784 | 14,543,534 | |||||||
Diamond (BC) B.V. USD Term Loan (Netherlands)(b) | 3.146% - 3.21% (1 Mo. LIBOR + 3.00% | ) | 9/6/2024 | 15,129 | 14,840,591 | |||||||
Isagenix International, LLC Term Loan | 6.75% (3 Mo. LIBOR + 5.75% | ) | 6/14/2025 | 12,004 | 6,732,093 | |||||||
Total | 61,472,443 | |||||||||||
Energy 2.26% | ||||||||||||
BCP Raptor II, LLC 1st Lien Term Loan | 4.896% (1 Mo. LIBOR + 4.75% | ) | 11/3/2025 | 24,471 | 21,381,253 | |||||||
Brazos Delaware II, LLC Term Loan B | 4.146% (1 Mo. LIBOR + 4.00% | ) | 5/21/2025 | 12,840 | 10,494,158 | |||||||
Buckeye Partners, L.P. 2019 Term Loan B | 2.899% (1 Mo. LIBOR + 2.75% | ) | 11/1/2026 | 1,763 | 1,751,504 | |||||||
CITGO Holding Inc. 2019 Term Loan B | 8.00% (1 Mo. LIBOR + 7.00% | ) | 8/1/2023 | 8,982 | 7,887,646 | |||||||
Citgo Petroleum Corporation 2019 Term Loan B | 7.25% (1 Mo. LIBOR + 6.25% | ) | 3/28/2024 | 4,182 | 4,020,673 | |||||||
Compass Power Generation LLC 2018 Term Loan B | 4.50% (1 Mo. LIBOR + 3.50% | ) | 12/20/2024 | 10,699 | 10,621,222 | |||||||
Lower Cadence Holdings LLC Term Loan B | 4.146% (1 Mo. LIBOR + 4.00% | ) | 5/22/2026 | 25,927 | 24,824,998 | |||||||
Medallion Midland Acquisition, LLC 1st Lien Term Loan | 4.25% (1 Mo. LIBOR + 3.25% | ) | 10/30/2024 | 15,869 | 15,266,129 | |||||||
Navitas Midstream Midland Basin, LLC Term Loan B | 5.50% (1 Mo. LIBOR + 4.50% | ) | 12/13/2024 | 13,707 | 13,186,882 | |||||||
Ulterra Drilling Technologies, LP Term Loan B | 5.396% (1 Mo. LIBOR + 5.25% | ) | 11/26/2025 | 25,298 | 20,871,174 | (g) | ||||||
Total | 130,305,639 |
148 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial 3.58% | ||||||||||||
Achilles Acquisition LLC 2020 Delayed Draw Term Loan(i) | – | (h) | 11/16/2027 | $ | 2,894 | $ | 2,885,321 | |||||
Achilles Acquisition LLC 2020 Term Loan | 5.25% (3 Mo. LIBOR + 4.50% | ) | 11/16/2027 | 15,629 | 15,580,735 | |||||||
Acrisure, LLC 2020 Term Loan B | 3.646% (1 Mo. LIBOR + 3.50% | ) | 2/15/2027 | 17,153 | 16,847,356 | |||||||
Advisor Group, Inc. 2019 Term Loan B | 5.146% (1 Mo. LIBOR + 5.00% | ) | 7/31/2026 | 24,927 | 24,117,124 | |||||||
Alliant Holdings Intermediate, LLC 2018 Term Loan B | 3.396% (1 Mo. LIBOR + 3.25% | ) | 5/9/2025 | 13,925 | 13,605,112 | |||||||
AmWINS Group, Inc. 2017 Term Loan B | 3.75% (1 Mo. LIBOR + 2.75% | ) | 1/25/2024 | 8,209 | 8,193,504 | |||||||
Asurion LLC 2018 Term Loan B6 | 3.146% (1 Mo. LIBOR + 3.00% | ) | 11/3/2023 | 46,683 | 46,279,396 | |||||||
Claros Mortgage Trust, Inc. Term Loan B | – | (h) | 8/9/2026 | 11,511 | 11,324,032 | |||||||
Hub International Limited 2018 Term Loan B | 2.936% - 2.97% (3 Mo. LIBOR + 2.75% | ) | 4/25/2025 | 5,110 | 4,995,945 | |||||||
Jefferies Finance LLC 2020 Incremental Term Loan B | 4.50% (1 Mo. LIBOR + 3.75% | ) | 9/30/2027 | 11,697 | 11,653,457 | (g) | ||||||
Minotaur Acquisition, Inc. Term Loan B | – | (h) | 3/27/2026 | 6,892 | 6,762,384 | |||||||
NFP Corp. 2020 Term Loan | – | (h) | 2/15/2027 | 8,994 | 8,769,426 | |||||||
Ryan Specialty Group, LLC Term Loan | 4.00% (1 Mo. LIBOR + 3.25% | ) | 9/1/2027 | 7,887 | 7,867,554 | |||||||
Sedgwick Claims Management Services, Inc. 2020 Term Loan B3 | 5.25% (1 Mo. LIBOR + 4.25% | ) | 9/3/2026 | 969 | 970,554 | |||||||
Trans Union, LLC 2019 Term Loan B5 | 1.896% (1 Mo. LIBOR + 1.75% | ) | 11/16/2026 | 8,304 | 8,198,638 | |||||||
USI, Inc. 2019 Incremental Term Loan B | 4.22% (3 Mo. LIBOR + 4.00% | ) | 12/2/2026 | 4,822 | 4,812,678 | |||||||
VFH Parent LLC 2019 Term Loan B | 3.141% (1 Mo. LIBOR + 3.00% | ) | 3/1/2026 | 7,560 | 7,531,391 | |||||||
Victory Capital Holdings, Inc. 2020 Term Loan B1 | 2.734% (3 Mo. LIBOR + 2.50% | ) | 7/1/2026 | 5,987 | 5,927,624 | |||||||
Total | 206,322,231 |
See Notes to Financial Statements. | 149 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food & Drug 0.46% | ||||||||||||
GOBP Holdings, Inc. 2020 Term Loan B | 2.893% (1 Mo. LIBOR + 2.75% | ) | 10/22/2025 | $ | 5,576 | $ | 5,520,532 | |||||
H Food Holdings LLC 2020 Incremental Term Loan B3 | 6.00% (1 Mo. LIBOR + 5.00% | ) | 5/23/2025 | 1,937 | 1,936,459 | |||||||
Sunshine Investments B.V. 2020 EUR Term Loan B(c) | – | (h) | 3/28/2025 | EUR | 4,860 | 5,840,134 | ||||||
United Natural Foods, Inc. Term Loan B | 4.396% (1 Mo. LIBOR + 4.25% | ) | 10/22/2025 | $ | 13,309 | 13,240,182 | ||||||
Total | 26,537,307 | |||||||||||
Food/Tobacco 3.14% | ||||||||||||
1011778 B.C. Unlimited Liability Company Term Loan B4 (Canada)(b) | 1.896% (1 Mo. LIBOR + 1.75% | ) | 11/19/2026 | 35,877 | 34,968,792 | |||||||
Aramark Services, Inc. 2018 Term Loan B3 | 1.896% (1 Mo. LIBOR + 1.75% | ) | 3/11/2025 | 10,714 | 10,425,308 | |||||||
Aramark Services, Inc. 2019 Term Loan B4 | 1.896% (1 Mo. LIBOR + 1.75% | ) | 1/15/2027 | 4,462 | 4,343,429 | |||||||
BellRing Brands, LLC 2019 Term Loan B | 6.00% (1 Mo. LIBOR + 5.00% | ) | 10/21/2024 | 2,627 | 2,642,240 | |||||||
Chobani, LLC 2020 Term Loan B | 4.50% (1 Mo. LIBOR + 3.50% | ) | 10/20/2027 | 5,862 | 5,839,232 | |||||||
Flynn Restaurant Group LP 1st Lien Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 6/27/2025 | 16,783 | 16,135,473 | |||||||
Flynn Restaurant Group LP 2nd Lien Term Loan | 7.146% (1 Mo. LIBOR + 7.00% | ) | 6/29/2026 | 6,148 | 5,348,476 | |||||||
Froneri International Ltd. 2020 USD 2nd Lien Term Loan (United Kingdom)(b) | 5.896% (1 Mo. LIBOR + 5.75% | ) | 1/31/2028 | 10,009 | 10,021,770 | |||||||
GPS Hospitality Holding Company LLC Term Loan B | 4.47% (3 Mo. LIBOR + 4.25% | ) | 12/6/2025 | 13,703 | 12,915,008 | |||||||
IRB Holding Corp 2020 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75% | ) | 2/5/2025 | 26,917 | 26,500,666 | |||||||
JBS USA Lux S.A. 2019 Term Loan B (Luxembourg)(b) | 2.146% (1 Mo. LIBOR + 2.00% | ) | 5/1/2026 | 6,441 | 6,358,617 | |||||||
NPC International, Inc. 2nd Lien Term Loan(j) | – | (h) | 4/18/2025 | 9,531 | 724,356 | |||||||
Red Lobster Management LLC Term Loan B | 6.25% (1 Mo. LIBOR + 5.25% | ) | 7/28/2021 | 26,512 | 25,557,603 |
150 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food/Tobacco (continued) | ||||||||||||
Sunshine Investments B.V. USD Term Loan B3 (Netherlands)(b) | 3.471% (3 Mo. LIBOR + 3.25% | ) | 3/28/2025 | $ | 1,941 | $ | 1,914,845 | |||||
US Foods, Inc. 2016 Term Loan B | 1.896% (1 Mo. LIBOR + 1.75% | ) | 6/27/2023 | 17,874 | 17,342,807 | |||||||
Total | 181,038,622 | |||||||||||
Forest Products 0.97% | ||||||||||||
Berry Global, Inc. Term Loan Y | 2.128% (1 Mo. LIBOR + 2.00% | ) | 7/1/2026 | 30,156 | 29,681,037 | |||||||
Spectrum Holdings III Corp. 1st Lien Term Loan | 4.25% (3 Mo. LIBOR + 3.25% | ) | 1/31/2025 | 15,982 | 14,947,386 | |||||||
Trident TPI Holdings, Inc. 2017 USD Term Loan B1 | 4.00% (3 Mo. LIBOR + 3.00% | ) | 10/17/2024 | 11,738 | 11,543,297 | |||||||
Total | 56,171,720 | |||||||||||
Gaming/Leisure 4.91% | ||||||||||||
Aimbridge Acquisition Co., Inc. 2019 Term Loan B | 3.896% (1 Mo. LIBOR + 3.75% | ) | 2/2/2026 | 9,528 | 8,992,315 | |||||||
Alterra Mountain Company 2020 Term Loan B | – | (h) | 8/1/2026 | 5,373 | 5,393,478 | |||||||
Alterra Mountain Company Term Loan B1 | 2.896% (1 Mo. LIBOR + 2.75% | ) | 7/31/2024 | 16,622 | 16,170,889 | |||||||
Boyd Gaming Corporation Term Loan B3 | 2.345% (1 Wk. LIBOR + 2.25% | ) | 9/15/2023 | 5,754 | 5,683,028 | |||||||
Caesars Resort Collection, LLC 2017 1st Lien Term Loan B | 2.896% (3 Mo. LIBOR + 2.75% | ) | 12/23/2024 | 42,796 | 41,488,443 | |||||||
Carnival Corporation USD Term Loan B (Panama)(b) | 8.50% (1 Mo. LIBOR + 7.50% | ) | 6/30/2025 | 14,586 | 15,136,313 | |||||||
Equinox Holdings, Inc. 2017 2nd Lien Term Loan | 8.00% (3 Mo. LIBOR + 7.00% | ) | 9/6/2024 | 7,044 | 4,189,987 | |||||||
Gateway Casinos & Entertainment Limited 2018 Term Loan B PIK 3.00% (Canada)(b) | 4.50% (3 Mo. LIBOR + 3.50% | ) | 12/1/2023 | 18,292 | 17,149,177 | |||||||
Golden Entertainment, Inc. 2017 1st Lien Term Loan | 3.75% (3 Mo. LIBOR + 3.00% | ) | 10/21/2024 | 14,032 | 13,739,928 | |||||||
Life Time Fitness Inc 2017 Term Loan B | 2.983% (3 Mo. LIBOR + 2.75% | ) | 6/10/2022 | 22,533 | 21,232,112 | |||||||
Live Nation Entertainment, Inc. Term Loan B4 | 1.938% (1 Mo. LIBOR + 1.75% | ) | 10/17/2026 | 7,243 | 6,971,355 |
See Notes to Financial Statements. | 151 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming/Leisure (continued) | ||||||||||||
Montreign Resort Casino Bridge Term Loan | 2.896% (1 Mo. LIBOR + 2.75% | ) | 3/22/2021 | $ | 4,222 | $ | 4,120,231 | |||||
Motion Finco Sarl Delayed | ||||||||||||
Draw Term Loan B2 (Luxembourg)(b) | 3.47% (6 Mo. LIBOR + 3.25% | ) | 11/12/2026 | 494 | 468,134 | |||||||
Motion Finco Sarl EUR Term Loan B(c) | 3.00% (3 Mo. EURIBOR + 3.00% | ) | 11/12/2026 | EUR | 7,878 | 8,968,683 | ||||||
Motion Finco Sarl USD Term Loan B1 (Luxembourg)(b) | 3.47% (3 Mo. LIBOR + 3.25% | ) | 11/12/2026 | $ | 4,030 | 3,821,032 | ||||||
PCI Gaming Authority Term Loan | 2.646% (1 Mo. LIBOR + 2.50% | ) | 5/29/2026 | 11,939 | 11,725,142 | |||||||
Penn National Gaming, Inc. 2017 Term Loan A | 3.75% (1 Mo. LIBOR + 3.00% | ) | 10/19/2023 | 636 | 630,010 | |||||||
Penn National Gaming, Inc. 2018 1st Lien Term Loan B | 3.00% (1 Mo. LIBOR + 2.25% | ) | 10/15/2025 | 3,147 | 3,101,752 | |||||||
Playa Resorts Holding B.V. 2017 Term Loan B (Netherlands)(b) | – | (h) | 4/29/2024 | 6,223 | 5,722,021 | |||||||
Playtika Holding Corp Term Loan B | 7.00% (1 Mo. LIBOR + 6.00% | ) | 12/10/2024 | 31,706 | 31,901,961 | |||||||
Scientific Games International, Inc. 2018 Term Loan B5 | 2.896% (1 Mo. LIBOR + 2.75% | ) | 8/14/2024 | 24,460 | 23,687,912 | |||||||
Spectacle Gary Holdings LLC Delayed Draw Term Loan(i) | 11.00% (1 Mo. LIBOR + 9.00% | ) | 12/23/2025 | 722 | 705,900 | |||||||
Spectacle Gary Holdings LLC Term Loan B | 11.00% (1 Mo. LIBOR + 9.00% | ) | 12/23/2025 | 9,969 | 9,741,414 | |||||||
Travel Leaders Group, LLC 2018 Term Loan B | – | (h) | 1/25/2024 | 7,813 | 7,100,133 | |||||||
United PF Holdings, LLC 2019 1st Lien Term Loan | 4.22% (1 Mo. LIBOR + 4.00% | ) | 12/30/2026 | 16,247 | 15,150,185 | |||||||
Total | 282,991,535 | |||||||||||
Healthcare 12.49% | ||||||||||||
Agiliti Health, Inc. 2020 Incremental Term Loan | 3.75% (1 Mo. LIBOR + 3.00% | ) | 1/4/2026 | 1,954 | 1,947,070 | (g) | ||||||
Agiliti Health, Inc. Term Loan | 3.188% (1 Mo. LIBOR + 3.00% | ) | 1/4/2026 | 5,793 | 5,727,443 | (g) |
152 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
Amneal Pharmaceuticals LLC 2018 Term Loan B | 3.688% (1 Mo. LIBOR + 3.50% | ) | 5/4/2025 | $ | 21,248 | $ | 20,647,428 | |||||
Athenahealth, Inc. 2019 Term Loan B | 4.75% (3 Mo. LIBOR + 4.50% | ) | 2/11/2026 | 31,417 | 31,325,030 | |||||||
Bausch Health Companies Inc. 2018 Term Loan B (Canada)(b) | 3.143% (1 Mo. LIBOR + 3.00% | ) | 6/2/2025 | 2,584 | 2,557,312 | |||||||
Bausch Health Companies Inc. Term Loan B (Canada)(b) | 2.893% (1 Mo. LIBOR + 2.75% | ) | 11/27/2025 | 36,408 | 35,930,024 | |||||||
Change Healthcare Holdings LLC 2017 Term Loan B | 3.50% (1 Mo. LIBOR + 2.50% (3 Mo. LIBOR + 2.50% | ) ) | 3/1/2024 | 26,808 | 26,598,344 | |||||||
CNT Holdings I Corp. 2020 2nd Lien Term Loan | 7.50% (3 Mo. LIBOR + 6.75% | ) | 10/16/2028 | 1,954 | 1,971,221 | |||||||
Oculus Aquisition 2020 Term Loan | 4.50% (6 Mo. LIBOR + 3.75% | ) | 11/8/2027 | 14,656 | 14,562,993 | |||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 5.00% (3 Mo. LIBOR + 4.00% | ) | 1/8/2027 | 18,368 | 18,383,151 | |||||||
Elanco Animal Health Incorporated Term Loan B | 1.899% (1 Mo. LIBOR + 1.75% | ) | 8/1/2027 | 25,781 | 25,429,192 | |||||||
Enterprise Merger Sub 2018 1st Lien Term Loan | – | (h) | 10/10/2025 | 977 | 802,109 | |||||||
eResearchTechnology, Inc. 2020 1st Lien Term Loan | 5.50% (1 Mo. LIBOR + 4.50% | ) | 2/4/2027 | 8,911 | 8,918,748 | |||||||
EyeCare Partners LLC 2020 Delayed Draw(i) Term Loan | 3.75% - 3.90% (1 Mo. LIBOR + 3.75% | ) | 2/18/2027 | 4,176 | 4,014,818 | |||||||
EyeCare Partners LLC 2020 Term Loan | 3.896% (1 Mo. LIBOR + 3.75% | ) | 2/18/2027 | 17,807 | 17,120,330 | |||||||
Gentiva Health Services, Inc. 2020 Term Loan | 3.438% (1 Mo. LIBOR + 3.25% | ) | 7/2/2025 | 22,247 | 22,172,766 | |||||||
Air Medical 2020 Term Loan B | 5.75% (3 Mo. LIBOR + 4.75% | ) | 10/2/2025 | 21,502 | 21,268,554 | |||||||
Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B | 2.095% (1 Wk. LIBOR + 2.00% | ) | 11/15/2027 | 4,823 | 4,756,626 |
See Notes to Financial Statements. | 153 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
Heartland Dental LLC 2018 1st Lien Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 4/30/2025 | $ | 21,671 | $ | 20,828,908 | |||||
IQVIA Inc. 2017 USD Term Loan B2 | 1.896% (1 Mo. LIBOR + 1.75% | ) | 1/17/2025 | 1,558 | 1,542,091 | |||||||
Kindred Healthcare LLC 2018 1st Lien Term Loan | 5.188% (1 Mo. LIBOR + 5.00% | ) | 7/2/2025 | 17,301 | 17,322,523 | (g) | ||||||
Maravai Intermediate Holdings, LLC 2020 Term Loan B | 5.25% (3 Mo. LIBOR + 4.25% | ) | 10/19/2027 | 6,717 | 6,738,088 | (g) | ||||||
MED ParentCo LP 1st Lien Delayed(i) Draw Term Loan | 4.25% - 4.40% (1 Mo. LIBOR + 4.25% | ) | 8/31/2026 | 5,844 | 5,633,957 | |||||||
MED ParentCo LP 1st Lien Term Loan | 4.396% (1 Mo. LIBOR + 4.25% | ) | 8/31/2026 | 23,304 | 22,466,985 | |||||||
Milano Acquisition Corp Term Loan B | 4.75% (3 Mo. LIBOR + 4.00% | ) | 10/1/2027 | 19,618 | 19,487,555 | |||||||
MPH Acquisition Holdings LLC 2016 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75% | ) | 6/7/2023 | 5,046 | 4,985,218 | |||||||
National Mentor Holdings, Inc. 2019 Term Loan B | 4.40% (1 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 21,926 | 21,777,472 | |||||||
National Mentor Holdings, Inc. 2019 Term Loan C | 4.40% (1 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 1,001 | 994,068 | |||||||
National Mentor Holdings, Inc. 2020 Incremental Term Loan B | – | (h) | 3/9/2026 | 4,703 | 4,671,284 | |||||||
National Mentor Holdings, Inc. 2020 Incremental Term Loan C | – | (h) | 3/9/2026 | 182 | 180,304 | |||||||
Navicure, Inc. 2019 Term Loan B | 4.146% (1 Mo. LIBOR + 4.00% | ) | 10/22/2026 | 17,924 | 17,654,863 | |||||||
Neuraxpharm Holdco S.a.r.l EUR Term Loan B4(c) | – | (h) | 8/30/2024 | EUR | 7,327 | 8,740,398 | ||||||
NVA Holdings, Inc. 2020 Term Loan A5 | 2.688% (1 Mo. LIBOR + 2.50% | ) | 2/19/2025 | $ | 6,712 | 6,628,063 | (g) | |||||
Packaging Coordinators Midco, Inc. 2020 Term Loan | – | (h) | 9/25/2027 | 24,434 | 24,266,172 | |||||||
Parexel International Corporation Term Loan B | 2.896% (1 Mo. LIBOR + 2.75% | ) | 9/27/2024 | 10,764 | 10,552,371 | |||||||
Pathway Vet Alliance LLC 2020 Delayed Draw Term Loan(i) | 4.00% - 4.15% (1 Mo. LIBOR + 4.00% | ) | 3/31/2027 | 1,593 | 1,575,402 |
154 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
Pathway Vet Alliance LLC 2020 Term Loan | 4.146% (1 Mo. LIBOR + 4.00% | ) | 3/31/2027 | $ | 19,498 | $ | 19,287,220 | |||||
Pearl Intermediate Parent LLC 2018 1st Lien Term Loan | 2.896% (1 Mo. LIBOR + 2.75% | ) | 2/14/2025 | 11,681 | 11,424,076 | |||||||
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B | 3.896% (1 Mo. LIBOR + 3.75% | ) | 11/16/2025 | 29,402 | 29,039,109 | |||||||
Revint Intermediate II, LLC 2020 Term Loan B | 5.75% (1 Mo. LIBOR + 5.00% | ) | 10/15/2027 | 11,726 | 11,623,002 | (g) | ||||||
Select Medical Corp. 2017 Term Loan B | 2.78% (3 Mo. LIBOR + 2.50% | ) | 3/6/2025 | 23,468 | 23,127,028 | |||||||
Southern Veterinary Partners LLC Delayed Draw Term Loan(i) | 0.50% (1 Mo. LIBOR + .50% | ) | 10/1/2027 | 1,642 | 1,633,451 | (g) | ||||||
Southern Veterinary Partners LLC Term Loan | 5.00% (1 Mo. LIBOR + 4.00% | ) | 10/2/2027 | 11,902 | 11,842,519 | (g) | ||||||
Sunshine Luxembourg VII SARL USD Term Loan B1 (Luxembourg)(b) | 5.25% (3 Mo. LIBOR + 4.25% | ) | 10/1/2026 | 20,360 | 20,376,667 | |||||||
Surgery Center Holdings, Inc. 2017 Term Loan B | 4.25% (1 Mo. LIBOR + 3.25% | ) | 9/3/2024 | 21,147 | 20,754,044 | |||||||
Team Health Holdings, Inc. 1st Lien Term Loan | – | (h) | 2/6/2024 | 2,460 | 2,157,506 | |||||||
U.S. Renal Care, Inc. 2019 Term Loan B | 5.146% (1 Mo. LIBOR + 5.00% | ) | 6/26/2026 | 21,733 | 21,596,782 | |||||||
Verscend Holding Corp. 2018 Term Loan B | 4.646% (1 Mo. LIBOR + 4.50% | ) | 8/27/2025 | 29,031 | 28,994,331 | |||||||
Wellpath Holdings, Inc. 2018 1st Lien Term Loan | 5.714% - 5.72% (3 Mo. LIBOR + 5.50% | ) | 10/1/2025 | 23,930 | 22,813,320 | |||||||
WP CityMD Bidco LLC 2019 Term Loan B | 5.50% (1 Mo. LIBOR + 4.50% (6 Mo. LIBOR + 4.50% | ) ) | 8/13/2026 | 18,989 | 18,967,665 | |||||||
Zelis Healthcare Corporation Term Loan B | 4.896% (1 Mo. LIBOR + 4.75% | ) | 9/30/2026 | 12,628 | 12,644,567 | |||||||
Zotec Partners, LLC 2020 Term Loan B | 4.75% (3 Mo. LIBOR + 3.75% | ) | 2/14/2024 | 2,970 | 2,955,158 | (g) | ||||||
Total | 719,415,326 |
See Notes to Financial Statements. | 155 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Housing 1.93% | ||||||||||||
ACProducts, Inc. 2020 Term Loan B | 7.50% (3 Mo. LIBOR + 6.50% | ) | 8/18/2025 | $ | 11,517 | $ | 11,798,181 | |||||
Beacon Roofing Supply, Inc. 2017 Term Loan B | 2.396% (1 Mo. LIBOR + 2.25% | ) | 1/2/2025 | 2,754 | 2,696,384 | |||||||
Core & Main LP 2017 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75% | ) | 8/1/2024 | 8,670 | 8,583,440 | |||||||
Cornerstone Building Brands, Inc. 2018 Term Loan | 3.88% (1 Mo. LIBOR + 3.75% | ) | 4/12/2025 | 25,791 | 25,649,639 | |||||||
CPG International Inc. 2017 Term Loan | 4.75% (3 Mo. LIBOR + 3.75% | ) | 5/5/2024 | 5,707 | 5,711,934 | |||||||
GYP Holdings III Corp. 2018 Term Loan B | 2.896% (3 Mo. LIBOR + 2.75% | ) | 6/1/2025 | 4,738 | 4,705,034 | |||||||
Hamilton Holdco, LLC 2018 Term Loan B | 2.23% (3 Mo. LIBOR + 2.00% | ) | 1/2/2027 | 7,486 | 7,410,996 | (g) | ||||||
Jeld-Wen Inc. 2017 1st Lien Term Loan | 2.146% (1 Mo. LIBOR + 2.00% | ) | 12/14/2024 | 6,222 | 6,125,202 | |||||||
MI Windows and Doors, LLC Term Loan B | 6.50% (1 Mo. LIBOR + 5.50% | ) | 11/6/2026 | 12,920 | 12,946,492 | |||||||
Quikrete Holdings, Inc. 2016 1st Lien Term Loan | 2.646% (1 Mo. LIBOR + 2.50% | ) | 2/1/2027 | 15,830 | 15,641,143 | |||||||
Summit Materials LLC 2017 Term Loan B | 2.146% (1 Mo. LIBOR + 2.00% | ) | 11/21/2024 | 10,177 | 10,032,528 | |||||||
Total | 111,300,973 | |||||||||||
Information Technology 12.60% | ||||||||||||
Adevinta ASA USD Term Loan B (Norway)(b) | – | (h) | 10/13/2027 | 11,727 | 11,748,899 | |||||||
Banff Merger Sub Inc 2018 USD Term Loan B | 4.396% (3 Mo. LIBOR + 4.25% | ) | 10/2/2025 | 16,816 | 16,657,235 | |||||||
Barracuda Networks, Inc. 2020 2nd Lien Term Loan | 7.50% (3 Mo. LIBOR + 6.75% | ) | 10/30/2028 | 9,772 | 9,870,101 | (g) | ||||||
Castle US Holding Corporation USD Term Loan B | – | (h) | 1/29/2027 | 6,058 | 5,863,261 | |||||||
Cornerstone OnDemand, Inc. Term Loan B | 4.396% (1 Mo. LIBOR + 4.25% | ) | 4/22/2027 | 11,949 | 11,961,799 | |||||||
Cvent, Inc. 1st Lien Term Loan | – | (h) | 11/29/2024 | 5,860 | 5,548,744 | |||||||
Dedalus Finance GmbH EUR Term Loan B(c) | 4.50% (6 Mo. EURIBOR + 4.50% | ) | 5/4/2027 | EUR | 7,769 | 9,316,835 |
156 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
ECI Macola Max Holdings LLC 2020 Term Loan | 4.50% (3 Mo. LIBOR + 3.75% | ) | 11/9/2027 | $ | 14,657 | $ | 14,556,308 | |||||
Epicor Software Corporation 2020 2nd Lien Term Loan | 8.75% (1 Mo. LIBOR + 7.75% | ) | 7/31/2028 | 3,888 | 4,016,761 | |||||||
Epicor Software Corporation 2020 Term Loan | 5.25% (1 Mo. LIBOR + 4.25% | ) | 7/30/2027 | 22,562 | 22,625,162 | |||||||
Eta Australia Holdings III Pty Ltd Term Loan (Australia)(b) | 4.146% (1 Mo. LIBOR + 4.00% | ) | 5/6/2026 | 11,464 | 11,234,710 | |||||||
MISYS 1st Lien Term Loan | 4.50% (3 Mo. LIBOR + 3.50% | ) | 6/13/2024 | 34,413 | 33,435,279 | |||||||
Go Daddy Operating Company, LLC 2020 Term Loan B3 | 2.646% (1 Mo. LIBOR + 2.50% | ) | 8/10/2027 | 12,434 | 12,411,168 | |||||||
Greeneden U.S. Holdings II, LLC 2018 USD Term Loan B | 3.398% (1 Mo. LIBOR + 3.25% | ) | 12/1/2023 | 8,001 | 8,001,714 | |||||||
Greeneden U.S. Holdings II, LLC 2020 USD Term Loan B | – | (h) | 12/1/2027 | 13,919 | 13,893,146 | |||||||
Hyland Software, Inc. 2018 1st Lien Term Loan | 4.25% (1 Mo. LIBOR + 3.50% | ) | 7/1/2024 | 2,897 | 2,888,490 | |||||||
Imperva, Inc. 1st Lien Term Loan | 5.00% (3 Mo. LIBOR + 4.00% | ) | 1/12/2026 | 20,108 | 19,982,161 | |||||||
Imprivata, Inc. Term Loan | – | (h) | 12/1/2027 | 12,697 | 12,665,330 | |||||||
Delta Top Co. 2020 2nd Lien Term Loan | – | (h) | 12/1/2028 | 5,429 | 5,471,624 | |||||||
Delta Top Co. 2020 Term Loan B | – | (h) | 12/1/2027 | 13,029 | 12,928,308 | |||||||
Informatica LLC 2020 USD 2nd Lien Term Loan | 7.125% (3 Mo. LIBOR + 7.13% | ) | 2/25/2025 | 7,339 | 7,483,062 | |||||||
Informatica LLC 2020 USD Term Loan B | 3.396% (1 Mo. LIBOR + 3.25% | ) | 2/25/2027 | 11,402 | 11,241,382 | |||||||
ION Trading Technologies S.a.r.l. USD Incremental Term Loan B (Luxembourg)(b) | 5.00% (3 Mo. LIBOR + 4.00% | ) | 11/21/2024 | 17,175 | 16,988,949 | |||||||
LogMeIn, Inc. Term Loan B | 4.888% (1 Mo. LIBOR + 4.75% | ) | 8/31/2027 | 29,666 | 29,365,499 | |||||||
MA FinanceCo., LLC USD Term Loan B3 | 2.646% (1 Mo. LIBOR + 2.50% | ) | 6/21/2024 | 1,463 | 1,427,983 | |||||||
Marcel LUX IV Sarl 2020 USD Term Loan B (Luxembourg)(b) | – | (h) | 9/22/2027 | 6,840 | 6,811,873 |
See Notes to Financial Statements. | 157 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
McAfee, LLC 2018 USD Term Loan B | 3.896% (1 Mo. LIBOR + 3.75% | ) | 9/30/2024 | $ | 16,558 | $ | 16,548,877 | |||||
NASCAR Holdings, Inc Term Loan B | 2.896% (1 Mo. LIBOR + 2.75% | ) | 10/19/2026 | 12,788 | 12,614,039 | |||||||
Omnitracs, Inc. 2018 Term Loan B | 2.975% (3 Mo. LIBOR + 2.75% | ) | 3/21/2025 | 2,924 | 2,839,471 | |||||||
Omnitracs, Inc. 2020 2nd Lien Term Loan | 8.149% (1 Mo. LIBOR + 8.00% | ) | 10/23/2028 | 4,976 | 4,927,284 | |||||||
Omnitracs, Inc. 2020 Incremental Term Loan | 4.399% (1 Mo. LIBOR + 4.25% | ) | 3/23/2025 | 2,226 | 2,210,766 | |||||||
ON Semiconductor Corporation 2019 Term Loan B | 2.146% (1 Mo. LIBOR + 2.00% | ) | 9/19/2026 | 10,939 | 10,881,690 | |||||||
Perforce Software, Inc. 2020 Term Loan B | 3.896% (1 Mo. LIBOR + 3.75% | ) | 7/1/2026 | 20,440 | 20,045,592 | |||||||
Project Alpha Intermediate Holding, Inc. 2017 Term Loan B | 4.50% (3 Mo. LIBOR + 3.50% | ) | 4/26/2024 | 12,398 | 12,185,967 | |||||||
Project Angel Holdings LLC 2018 1st Lien Term Loan | 4.75% (3 Mo. LIBOR + 3.75% | ) | 5/30/2025 | 15,685 | 15,293,307 | (g) | ||||||
Project Boost Purchaser LLC 2019 Term Loan B | 3.646% (3 Mo. LIBOR + 3.50% | ) | 6/1/2026 | 14,315 | 13,970,728 | |||||||
Rackspace Hosting, Inc. 2017 Incremental 1st Lien Term Loan | 4.00% (2 Mo. LIBOR + 3.00% (3 Mo. LIBOR + 3.00% | ) ) | 11/3/2023 | 16,497 | 16,414,636 | |||||||
Renaissance Holding Corp. 2018 1st Lien Term Loan | 3.396% (1 Mo. LIBOR + 3.25% | ) | 5/30/2025 | 21,562 | 21,094,740 | |||||||
Rocket Software, Inc. 2018 Term Loan | 4.396% (3 Mo. LIBOR + 4.25% | ) | 11/28/2025 | 8,743 | 8,620,379 | |||||||
Science Applications International Corporation 2018 Term Loan B | 2.021% (1 Mo. LIBOR + 1.88% | ) | 10/31/2025 | 14,692 | 14,523,351 | |||||||
Seattle SpinCo, Inc. USD Term Loan B3 | 2.646% (1 Mo. LIBOR + 2.50% | ) | 6/21/2024 | 9,966 | 9,726,623 | |||||||
Severin Acquisition, LLC 2018 Term Loan B | 3.39% (1 Mo. LIBOR + 3.25% | ) | 8/1/2025 | 17,756 | 17,401,293 |
158 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
Solera, LLC USD Term Loan B | 2.896% (1 Mo. LIBOR + 2.75% | ) | 3/3/2023 | $ | 8,207 | $ | 8,112,350 | |||||
Sophia, L.P. 2020 1st Lien Term Loan | 4.50% (3 Mo. LIBOR + 3.75% | ) | 10/7/2027 | 13,681 | 13,612,379 | |||||||
SS&C Technologies Holdings Europe Sarl 2018 Term Loan B4 (Luxembourg)(b) | 1.896% (1 Mo. LIBOR + 1.75% | ) | 4/16/2025 | 12,496 | 12,318,653 | |||||||
SS&C Technologies Inc. 2018 Term Loan B3 | 1.896% (1 Mo. LIBOR + 1.75% | ) | 4/16/2025 | 16,499 | 16,265,065 | |||||||
SS&C Technologies Inc. 2018 Term Loan B5 | 1.896% (1 Mo. LIBOR + 1.75% | ) | 4/16/2025 | 9,484 | 9,369,706 | |||||||
Surf Holdings, LLC USD Term Loan | 3.75% (3 Mo. LIBOR + 3.50% | ) | 3/5/2027 | 19,377 | 19,000,141 | |||||||
Tech Data Corporation ABL Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 6/30/2025 | 4,530 | 4,541,348 | |||||||
Tibco Software Inc. 2020 Term Loan B3 | 3.90% (1 Mo. LIBOR + 3.75% | ) | 6/30/2026 | 22,883 | 22,468,319 | |||||||
Uber Technologies, Inc. 2018 Incremental Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 17,418 | 17,366,731 | |||||||
Ultimate Software Group Inc(The) 2020 2nd Lien Incremental Term Loan | 7.50% (1 Mo. LIBOR + 6.75% | ) | 5/3/2027 | 4,453 | 4,553,464 | |||||||
Ultimate Software Group Inc(The) 2020 Incremental Term Loan B | 4.75% (1 Mo. LIBOR + 4.00% | ) | 5/4/2026 | 14,569 | 14,616,225 | |||||||
Ultimate Software Group Inc. (The) Term Loan B | 3.896% (1 Mo. LIBOR + 3.75% | ) | 5/4/2026 | 13,688 | 13,629,103 | |||||||
Veritas US Inc. 2020 USD Term Loan B | 6.50% (3 Mo. LIBOR + 5.50% | ) | 9/1/2025 | 17,344 | 17,164,737 | |||||||
Vertiv Group Corporation Term Loan B | 3.149% (1 Mo. LIBOR + 3.00% | ) | 3/2/2027 | 18,807 | 18,555,181 | |||||||
VS Buyer, LLC Term Loan B | 3.396% (1 Mo. LIBOR + 3.25% | ) | 2/28/2027 | 9,657 | 9,566,220 | |||||||
Web.com Group, Inc. 2018 Term Loan B | 3.893% (3 Mo. LIBOR + 3.75% | ) | 10/10/2025 | 7,130 | 6,991,636 | |||||||
Total | 725,825,784 |
See Notes to Financial Statements. | 159 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing 3.81% | ||||||||||||
AI Aqua Merger Sub, Inc. 2019 Incremental Term Loan B | 5.25% (1 Mo. LIBOR + 4.25% | ) | 12/13/2023 | $ | 4,715 | $ | 4,632,794 | (g) | ||||
Airxcel, Inc. 2018 1st Lien Term Loan | 4.646% (1 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 13,671 | 13,209,627 | |||||||
Apex Tool Group, LLC 2019 Term Loan B | 6.50% (1 Mo. LIBOR + 5.25% | ) | 8/1/2024 | 11,726 | 11,478,494 | |||||||
Array Technologies, Inc. Term Loan B | 5.00% (1 Mo. LIBOR + 4.00% | ) | 10/8/2027 | 14,067 | 14,032,133 | (g) | ||||||
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan | 5.25% (3 Mo. LIBOR + 4.25% | ) | 6/21/2024 | 14,970 | 14,414,016 | |||||||
CeramTec AcquiCo GmbH EUR 2017 Term Loan B1(c) | 2.50% (1 EURIBOR + 2.50% | ) | 3/7/2025 | EUR | 5,826 | 6,845,966 | ||||||
CPI Holdco, LLC 2019 Term Loan | 4.396% (1 Mo. LIBOR + 4.25% | ) | 11/4/2026 | $ | 4,401 | 4,379,255 | ||||||
Deliver Buyer, Inc. Term Loan B | 5.22% (3 Mo. LIBOR + 5.00% | ) | 5/1/2024 | 20,765 | 20,570,505 | |||||||
Electrical Components International, Inc. 2018 1st Lien Term Loan | 4.396% (1 Mo. LIBOR + 4.25% | ) | 6/26/2025 | 7,131 | 6,843,222 | |||||||
Engineered Machinery Holdings, Inc. USD 1st Lien Term Loan | 4.00% (3 Mo. LIBOR + 3.00% | ) | 7/19/2024 | 14,651 | 14,440,535 | |||||||
Hillman Group, Inc. (The) 2018 Term Loan B | 4.146% (1 Mo. LIBOR + 4.00% | ) | 5/31/2025 | 4,198 | 4,172,072 | |||||||
LTI Holdings, Inc. 2018 Add On 1st Lien Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 9/6/2025 | 12,439 | 11,815,276 | |||||||
Pro Mach Group, Inc. 2018 Term Loan B | 2.896% (1 Mo. LIBOR + 2.75% | ) | 3/7/2025 | 9,604 | 9,361,399 | |||||||
Sabre Industries, Inc. 2019 Term Loan B | 3.393% (1 Mo. LIBOR + 3.25% | ) | 4/15/2026 | 5,919 | 5,891,426 | |||||||
Tecomet Inc. 2017 Repriced Term Loan | 4.50% (3 Mo. LIBOR + 3.50% | ) | 5/1/2024 | 20,463 | 19,956,591 | |||||||
UTEX Industries Inc. 1st Lien Term loan 2014(j) | – | (h) | 5/22/2021 | 32,193 | 9,899,279 | |||||||
UTEX Industries Inc. 2020 DIP Term Loan | 10.50% (1 Mo. LIBOR + 9.00% | ) | 2/10/2021 | 2,019 | 2,037,584 | (g) |
160 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
UTEX Industries Inc. 2nd Lien Term Loan 2014(j) | – | (h) | 5/22/2022 | $ | 22,936 | $ | 573,400 | |||||
Vertical Midco GmbH USD Term Loan B (Germany)(b) | 4.57% (6 Mo. LIBOR + 4.25% | ) | 7/30/2027 | 24,279 | 24,251,708 | |||||||
Yak Access, LLC 2018 1st Lien Term Loan B | 5.223% (3 Mo. LIBOR + 5.00% | ) | 7/11/2025 | 23,519 | 20,647,261 | |||||||
Total | 219,452,543 | |||||||||||
Media/Telecommunications 11.54% | ||||||||||||
Altice Financing SA 2017 USD Term Loan B (Luxembourg)(b) | 2.891% (1 Mo. LIBOR + 2.75% | ) | 7/15/2025 | 15,872 | 15,329,828 | |||||||
Altice Financing SA USD 2017 1st Lien Term Loan (Luxembourg)(b) | 2.896% (1 Mo. LIBOR + 2.75% | ) | 1/31/2026 | 9,358 | 9,051,622 | |||||||
Altice France S.A. 2018 Term Loan B13 (France)(b) | 4.237% (3 Mo. LIBOR + 4.00% | ) | 8/14/2026 | 23,371 | 23,166,974 | |||||||
Altice France S.A. USD Term Loan B12 (France)(b) | 3.828% (1 Mo. LIBOR + 3.69% | ) | 1/31/2026 | 3,661 | 3,617,412 | |||||||
Ancestry.com Inc. 2020 Term Loan | – | (h) | 12/6/2027 | 19,534 | 19,504,655 | |||||||
AppLovin Corporation 2018 Term Loan B | 3.646% (1 Mo. LIBOR + 3.50% | ) | 8/15/2025 | 7,526 | 7,503,480 | |||||||
AppLovin Corporation 2020 Incremental Term Loan B | 4.146% (1 Mo. LIBOR + 4.00% | ) | 8/15/2025 | 7,240 | 7,233,180 | |||||||
Banijay Entertainment S.A.S USD Term Loan (France)(b) | 3.888% (1 Mo. LIBOR + 3.75% | ) | 3/1/2025 | 17,588 | 17,115,163 | |||||||
Buzz Merger Sub Ltd. 2020 Term Loan B | 3.75% (1 Mo. LIBOR + 3.25% | ) | 1/29/2027 | 11,725 | 11,710,546 | (g) | ||||||
Cablevision Lightpath LLC Term Loan B | – | (h) | 9/15/2027 | 7,035 | 7,006,113 | |||||||
CenturyLink, Inc. 2020 Term Loan A | 2.146% (1 Mo. LIBOR + 2.00% | ) | 1/31/2025 | 1,582 | 1,547,242 | |||||||
CenturyLink, Inc. 2020 Term Loan B | 2.396% (1 Mo. LIBOR + 2.25% | ) | 3/15/2027 | 47,228 | 46,264,166 | |||||||
Charter Communications Operating, LLC 2019 Term Loan B2 | 1.90% (1 Mo. LIBOR + 1.75% | ) | 2/1/2027 | 14,384 | 14,238,333 |
See Notes to Financial Statements. | 161 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
Cinemark USA, Inc. 2018 Term Loan B | 1.90% (1 Mo. LIBOR + 1.75% | ) | 3/31/2025 | $ | 3,275 | $ | 3,027,509 | |||||
Clear Channel Outdoor Holdings, Inc. Term Loan B | 3.666% - 3.71% (2 Mo. LIBOR + 3.50% (3 Mo. LIBOR + 3.50% | ) ) | 8/21/2026 | 20,267 | 19,127,169 | |||||||
Colorado Buyer Inc Term Loan B | 4.00% (3 Mo. LIBOR + 3.00% | ) | 5/1/2024 | 4,851 | 4,514,539 | |||||||
Consolidated Communications, Inc. 2020 Term Loan B | 5.75% (1 Mo. LIBOR + 4.75% | ) | 10/2/2027 | 20,374 | 20,416,460 | |||||||
CSC Holdings, LLC 2017 Term Loan B1 | 2.389% (1 Mo. LIBOR + 2.25% | ) | 7/17/2025 | 48,300 | 47,251,960 | |||||||
CSC Holdings, LLC 2018 Incremental Term Loan | 2.389% (1 Mo. LIBOR + 2.25% | ) | 1/15/2026 | 2,397 | 2,341,426 | |||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(b) | 3.50% (1 Mo. LIBOR + 2.50% | ) | 2/1/2024 | 14,516 | 14,183,969 | |||||||
E.W. Scripps Company (The) 2019 Term Loan B2 | 2.646% (1 Mo. LIBOR + 2.56% | ) | 5/1/2026 | 9,795 | 9,615,833 | |||||||
Frontier Communications Corp. 2020 DIP Exit Term Loan | 5.75% (3 Mo. LIBOR + 4.75% | ) | 10/8/2021 | 7,817 | 7,841,790 | |||||||
Gray Television, Inc. 2017 Term Loan B | 2.399% (3 Mo. LIBOR + 2.25% | ) | 2/7/2024 | 4,873 | 4,799,388 | |||||||
Gray Television, Inc. 2018 Term Loan C | 2.649% (3 Mo. LIBOR + 2.50% | ) | 1/2/2026 | 17,852 | 17,630,028 | |||||||
iHeartCommunications, Inc. 2020 Term Loan | 3.146% (1 Mo. LIBOR + 3.00% | ) | 5/1/2026 | 23,042 | 22,326,475 | |||||||
LCPR Loan Financing LLC, Initial Term Loan | 5.141% (1 Mo. LIBOR + 5.00% | ) | 10/15/2026 | 5,021 | 5,035,615 | |||||||
Lions Gate Capital Holdings LLC 2018 Term Loan B | 2.396% (1 Mo. LIBOR + 2.25% | ) | 3/24/2025 | 9,472 | 9,258,447 | |||||||
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan | 3.396% (1 Mo. LIBOR + 3.25% | ) | 10/20/2025 | 25,532 | 24,028,610 | |||||||
Nexstar Broadcasting, Inc. 2018 Term Loan B3 | 2.396% (1 Mo. LIBOR + 2.25% | ) | 1/17/2024 | 6,370 | 6,294,020 | |||||||
Nexstar Broadcasting, Inc. 2019 Term Loan B4 | 2.899% (1 Mo. LIBOR + 2.75% | ) | 9/18/2026 | 27,976 | 27,698,047 |
162 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
Northwest Fiber, LLC Term Loan B | 5.638% (1 Mo. LIBOR + 5.50% | ) | 4/30/2027 | $ | 12,107 | $ | 12,141,963 | |||||
PUG LLC USD Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 2/12/2027 | 12,464 | 11,701,022 | |||||||
Radiate Holdco, LLC 2020 Term Loan | 4.25% (1 Mo. LIBOR + 3.50% | ) | 9/25/2026 | 9,772 | 9,744,713 | |||||||
SBA Senior Finance II LLC 2018 Term Loan B | 1.90% (1 Mo. LIBOR + 1.75% | ) | 4/11/2025 | 18,303 | 18,082,331 | |||||||
Terrier Media Buyer, Inc. Term Loan B | 4.396% (1 Mo. LIBOR + 4.25% | ) | 12/17/2026 | 11,031 | 10,916,670 | |||||||
UFC Holdings, LLC 2019 Term Loan | 4.25% (6 Mo. LIBOR + 3.25% | ) | 4/29/2026 | 17,529 | 17,392,868 | |||||||
Univision Communications Inc. 2020 Replacement Term Loan | 4.75% (1 Mo. LIBOR + 3.75% | ) | 3/15/2026 | 13,570 | 13,461,501 | |||||||
Univision Communications Inc. Term Loan C5 | 3.75% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 16,258 | 16,001,066 | |||||||
UPC Broadband Holding B.V. 2020 USD Term Loan B1 (Netherlands)(b) | 3.673% (2 Mo. LIBOR + 3.50% | ) | 1/31/2029 | 6,132 | 6,082,368 | |||||||
UPC Broadband Holding B.V. 2020 USD Term Loan B2 (Netherlands)(b) | 3.677% (2 Mo. LIBOR + 3.50% | ) | 1/31/2029 | 6,132 | 6,082,370 | |||||||
Virgin Media Bristol LLC USD Term Loan N | 2.641% (1 Mo. LIBOR + 2.50% | ) | 1/31/2028 | 23,686 | 23,282,982 | |||||||
WideOpenWest Finance LLC 2017 Term Loan B | 4.25% (1 Mo. LIBOR + 3.25% | ) | 8/18/2023 | 25,527 | 25,273,494 | |||||||
William Morris Endeavor Entertainment, LLC 2018 1st Lien Term Loan | 2.90% (1 Mo. LIBOR + 2.75% | ) | 5/18/2025 | 25,097 | 22,913,322 | |||||||
Windstream Services, LLC 2020 Exit Term Loan B | 7.25% (1 Mo. LIBOR + 6.25% | ) | 9/21/2027 | 7,807 | 7,533,479 | |||||||
Xplornet Communications, Inc. 2020 Term Loan B (Canada)(b) | 4.896% (1 Mo. LIBOR + 4.75% | ) | 6/10/2027 | 14,794 | 14,671,737 | |||||||
Zayo Group Holdings, Inc. USD Term Loan | 3.146% (1 Mo. LIBOR + 3.00% | ) | 3/9/2027 | 21,500 | 21,165,558 | |||||||
Total | 665,127,443 |
See Notes to Financial Statements. | 163 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals/Minerals 0.13% | ||||||||||||
GrafTech Finance, Inc. 2018 Term Loan B | 4.50% (1 Mo. LIBOR + 3.50% | ) | 2/12/2025 | $ | 7,807 | $ | 7,771,498 | |||||
Retail 2.75% | ||||||||||||
Academy, Ltd. 2020 Term Loan | 5.75% (1 Mo. LIBOR + 5.00% | ) | 11/5/2027 | 14,655 | 14,489,728 | |||||||
Amer Sports Oyj EUR Term Loan B(c) | 4.50% (6 Mo. EURIBOR + 4.50% | ) | 3/30/2026 | EUR | 19,164 | 21,780,067 | ||||||
Anastasia Parent LLC 2018 Term Loan B | 3.97% (3 Mo. LIBOR + 3.75% | ) | 8/11/2025 | $ | 24,129 | 11,972,152 | ||||||
Bass Pro Group LLC Term Loan B | 5.75% (3 Mo. LIBOR + 5.00% | ) | 9/25/2024 | 13,763 | 13,781,724 | |||||||
BDF Acquisition Corp.1st Lien Term Loan | 6.25% (1 Mo. LIBOR + 5.25% | ) | 8/14/2023 | 23,617 | 22,731,610 | |||||||
Canada Goose Inc. Term Loan (Canada)(b) | 5.00% (1 Mo. LIBOR + 4.25% | ) | 10/7/2027 | 11,699 | 11,705,999 | |||||||
Chinos Intermediate Holdings A, Inc. Exit Term Loan | 10.25% (3 Mo. LIBOR + 10.00% | ) | 9/10/2027 | 3,340 | 3,501,124 | |||||||
Coty Inc. 2018 USD Term Loan B | 2.377% (1 Mo. LIBOR + 2.25% | ) | 4/7/2025 | 6,594 | 6,235,615 | |||||||
Harbor Freight Tools USA, Inc. 2020 Term Loan B | 4.00% (1 Mo. LIBOR + 3.25% | ) | 10/19/2027 | 27,596 | 27,442,830 | |||||||
Party City Holdings Inc. 2018 Term Loan B | – | (h) | 8/19/2022 | 2,931 | 2,668,011 | |||||||
Petco Animal Supplies, Inc. 2017 Term Loan B | 4.25% (3 Mo. LIBOR + 3.25% | ) | 1/26/2023 | 21,258 | 20,128,266 | |||||||
Sally Holdings LLC Term Loan B1 | 2.40% (1 Mo. LIBOR + 2.25% | ) | 7/5/2024 | 1,884 | 1,860,373 | |||||||
Total | 158,297,499 | |||||||||||
Service 4.32% | ||||||||||||
Allied Universal Holdco LLC 2019 Term Loan B | 4.396% (1 Mo. LIBOR + 4.25% | ) | 7/10/2026 | 17,237 | 17,154,977 | |||||||
APX Group, Inc. 2020 Term Loan | 5.146% - 7.25% (Prime Rate + 4.00% (1 Mo. LIBOR + 5.00% | ) ) | 12/31/2025 | 4,878 | 4,844,820 | |||||||
AVSC Holding Corp. 2018 2nd Lien Term Loan | 8.25% (3 Mo. LIBOR + 7.25% | ) | 9/1/2025 | 5,525 | 3,502,970 |
164 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Service (continued) | ||||||||||||
EagleView Technology Corporation 2018 Add On Term Loan B | 3.733% (3 Mo. LIBOR + 3.50%) | 8/14/2025 | $ | 22,156 | $ | 21,597,440 | ||||||
Emerald TopCo, Inc. Term Loan | 3.646% - 3.71% (1 Mo. LIBOR + 3.50% (3 Mo. LIBOR + 3.50% | ) ) | 7/24/2026 | 14,906 | 14,589,154 | |||||||
Zodiac Pool Tranche B1 USD Loan | 2.146% (1 Mo. LIBOR + 2.00% | ) | 7/2/2025 | 3,044 | 3,009,619 | (g) | ||||||
Guidehouse LLP 2018 Term Loan | 4.646% (1 Mo. LIBOR + 4.50% | ) | 5/1/2025 | 14,715 | 14,664,647 | |||||||
KUEHG Corp. 2018 Incremental Term Loan | 4.75% (3 Mo. LIBOR + 3.75% | ) | 2/21/2025 | 28,754 | 27,459,715 | |||||||
Learning Care Group, Inc. 2018 1st Lien Term Loan | 4.25% (3 Mo. LIBOR + 3.25% | ) | 3/13/2025 | 16,596 | 15,797,772 | |||||||
MHI Holdings LLC Term Loan B | 5.1455% | 9/21/2026 | 25,394 | 25,266,740 | ||||||||
Resideo Funding Inc. Term Loan B | 2.48% (3 Mo. LIBOR + 2.25% | ) | 10/24/2025 | 8,258 | 8,154,413 | |||||||
Sedgwick Claims Management Services, Inc. 2018 Term Loan B | 3.396% (1 Mo. LIBOR + 3.25% | ) | 12/31/2025 | 19,169 | 18,769,679 | |||||||
Service Logic Acquisition, Inc Delayed Draw Term Loan(i) | – | (h) | 10/29/2027 | 2,188 | 2,190,492 | |||||||
Service Logic Acquisition, Inc. Term Loan | – | (h) | 10/29/2027 | 7,584 | 7,593,703 | |||||||
SSH Group Holdings, Inc. 2018 1st Lien Term Loan | 4.47% (3 Mo. LIBOR + 4.25% | ) | 7/30/2025 | 16,331 | 15,616,110 | |||||||
TNT Crane & Rigging, Inc. Exit Takeback PIK Term Loan | 12% (1 Mo. LIBOR + 9.00% | ) | 4/16/2025 | 4,302 | 4,210,805 | |||||||
United PF Holdings LLC 2019 2nd Lien Term Loan | 8.72% (3 Mo. LIBOR + 8.50% | ) | 12/30/2027 | 4,000 | 3,480,000 | (g) | ||||||
USIC Holdings, Inc. 2017 Term Loan B | 4.00% (1 Mo. LIBOR + 3.00% | ) | 12/8/2023 | 17,521 | 17,323,914 | |||||||
Weight Watchers International, Inc. 2017 Term Loan B | 5.50% (1 Mo. LIBOR + 4.75% | ) | 11/29/2024 | 23,511 | 23,601,346 | |||||||
Total | 248,828,316 |
See Notes to Financial Statements. | 165 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation 4.19% | ||||||||||||
Belron Finance US LLC 2018 Term Loan B | 2.464% (3 Mo. LIBOR + 2.25% | ) | 11/13/2025 | $ | 11,840 | $ | 11,618,264 | (g) | ||||
Belron Finance US LLC 2019 USD Term Loan B3 | 2.464% (3 Mo. LIBOR + 2.25% | ) | 10/30/2026 | 7,129 | 6,977,414 | |||||||
Chassix Inc. 2017 1st Lien Term Loan | 6.50% - 7.75% (Prime Rate + 4.50% (6 Mo. LIBOR + 5.50% | ) ) | 11/15/2023 | 20,428 | 19,304,499 | (g) | ||||||
CWGS Group, LLC 2016 Term Loan | 3.50% (1 Mo. LIBOR + 2.75% (3 Mo. LIBOR + 2.75% | ) ) | 11/8/2023 | 17,043 | 16,794,956 | |||||||
DexKo Global Inc. 2018 USD Term Loan | 4.50% (3 Mo. LIBOR + 3.50% | ) | 7/24/2024 | 5,863 | 5,811,303 | (g) | ||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 8.474% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 21,677 | 21,433,049 | |||||||
Fastlane Parent Company, Inc. 2018 Add On 1st Lien Term Loan | 4.646% (1 Mo. LIBOR + 4.50% | ) | 2/4/2026 | 11,059 | 10,818,411 | |||||||
Genesee & Wyoming Inc. (New) Term Loan | 2.22% (1 Mo. LIBOR + 2.00% | ) | 12/30/2026 | 10,639 | 10,581,009 | |||||||
Gruden Acquisition, Inc. 2017 Term Loan | 6.50% (3 Mo. LIBOR + 5.50% | ) | 8/18/2022 | 12,209 | 12,055,931 | |||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 9.50% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 24,245 | 22,062,950 | |||||||
Kestrel Bidco Inc. Term Loan B (Canada)(b) | 4.00% (6 Mo. LIBOR + 3.00% | ) | 12/11/2026 | 15,628 | 14,751,930 | |||||||
Mavis Tire Express Services Corp. 2020 Add-On Term Loan B | – | (h) | 3/20/2025 | 14,655 | 14,553,851 | |||||||
Navistar International Corporation 2017 1st Lien Term Loan B | 3.65% (1 Mo. LIBOR + 3.50% | ) | 11/6/2024 | 11,261 | 11,232,484 | |||||||
Clarios Global LP | 3.646% (1 Mo. LIBOR + 3.50% | ) | 4/30/2026 | 19,683 | 19,524,796 | |||||||
Tenneco, Inc. 2018 Term Loan B | 3.146% (1 Mo. LIBOR + 3.00% | ) | 10/1/2025 | 24,349 | 23,517,929 | |||||||
Thor Industries, Inc. USD Term Loan B | 3.938% (1 Mo. LIBOR + 3.75% | ) | 2/1/2026 | 7,441 | 7,416,209 |
166 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation (continued) | ||||||||||||
Wand NewCo 3, Inc. 2020 Term Loan | 3.146% (1 Mo. LIBOR + 3.00% | ) | 2/5/2026 | $ | 13,208 | $ | 12,873,570 | |||||
Total | 241,328,555 | |||||||||||
Utility 1.88% | ||||||||||||
Brookfield WEC Holdings Inc. 2020 Term Loan | 3.75% (1 Mo. LIBOR + 3.00% | ) | 8/1/2025 | 26,696 | 26,489,330 | |||||||
Calpine Construction Finance Company, L.P. 2017 Term Loan B | 2.146% (1 Mo. LIBOR + 2.00% | ) | 1/15/2025 | 5,190 | 5,126,445 | |||||||
Calpine Corporation 2019 Term Loan B10 | 2.146% (1 Mo. LIBOR + 2.00% | ) | 8/12/2026 | 8,812 | 8,700,702 | |||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 4.50% (1 Mo. LIBOR + 3.50% | ) | 10/1/2027 | 16,883 | 16,866,249 | |||||||
Frontera Generation Holdings LLC 2018 Term Loan B | 5.25% (3 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 30,682 | 8,987,115 | |||||||
Helix Gen Funding, LLC Term Loan B | 4.75% (3 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 25,428 | 25,258,725 | |||||||
Pacific Gas & Electric Company 2020 Term Loan | 5.50% (3 Mo. LIBOR + 4.50% | ) | 6/23/2025 | 13,439 | 13,556,708 | |||||||
Pike Corporation 2020 Term Loan B | 3.15% - 5.25% (Prime Rate + 2.00% (1 Mo. LIBOR + 3.00% | ) ) | 7/24/2026 | 3,580 | 3,576,898 | |||||||
Total | 108,562,172 | |||||||||||
Total Floating Rate Loans (cost $4,611,024,347) | 4,501,382,806 | |||||||||||
Dividend | Shares | |||||||||||
Rate | (000) | |||||||||||
PREFERRED STOCKS 0.44% | ||||||||||||
Shipping | ||||||||||||
ACBL Holdings Corp. Series A | Zero Coupon | 354 | 9,742,425 | (a) | ||||||||
ACBL Holdings Corp. Series B | Zero Coupon | 445 | 15,343,979 | (a) | ||||||||
Total Preferred Stocks (cost $19,975,575) | 25,086,404 |
See Notes to Financial Statements. | 167 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Investments | Exercise Price | Expiration Date | Shares (000) | Fair Value | |||||||||
WARRANT 0.00% | |||||||||||||
Service | |||||||||||||
TNT Crane & Rigging, Inc.* (cost $50,604) | $4.00 | 10/16/2025 | 13 | $ | 31,628 | (e) | |||||||
Total Long-Term Investments (cost $5,572,654,439) | 5,504,201,379 | ||||||||||||
Principal Amount (000) | |||||||||||||
SHORT-TERM INVESTMENT 4.77% | |||||||||||||
REPURCHASE AGREEMENT | |||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $280,518,600 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $280,365,156; proceeds: $274,867,772 (cost $274,867,772) | $ | 274,868 | 274,867,772 | ||||||||||
Total Investments in Securities 100.30% (cost $5,847,522,211) | 5,779,069,151 | ||||||||||||
Less Unfunded Loan Commitments (0.30%) (cost $17,332,195)(k) See Footnote (2(o)). | (17,195,278 | ) | |||||||||||
Net Investments 100.00% (cost $5,830,190,016) | 5,761,873,873 | ||||||||||||
Liabilities in Excess of Foreign Cash and Other Assets(i) (0.00%) | (29,601 | ) | |||||||||||
Net Assets 100.00% | $ | 5,761,844,272 |
CAD | Canadian dollar. | |
EUR | Euro. | |
GBP | British pound. | |
EURIBOR | Euro Interbank Offered Rate. | |
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, 2020, the total value of Rule 144A securities was $713,031,627, which represents 12.38% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
* | 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) | Foreign security traded in U.S. dollars. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(e) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security fair valued by the Pricing Committee. |
168 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
(f) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at November 30, 2020. | |
(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) | Interest rate to be determined. | |
(i) | Security partially/fully unfunded. See Note (2(o)). | |
(j) | Defaulted (non-income producing security). | |
(k) | See Note (2(o)). | |
(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 Interest Rate Swap Contracts at November 30, 2020:
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(1) | .6108% | 3-Month USD LIBOR Index | 2/15/2028 | $ 8,594,000 | $ 8,610,180 | $ | 16,180 | ||||||||
Credit Suisse(1) | .6764% | 3-Month USD LIBOR Index | 9/15/2029 | 11,566,000 | 11,657,016 | 91,016 | |||||||||
Credit Suisse(1) | .619% | 3-Month USD LIBOR Index | 2/15/2028 | 10,017,000 | 10,030,005 | 13,005 | |||||||||
Credit Suisse(1) | .6513% | 3-Month USD LIBOR Index | 6/1/2029 | 16,982,000 | 17,114,550 | 132,550 | |||||||||
Credit Suisse(1) | .1835% | 3-Month USD MFEDL Index | 10/21/2025 | 32,990 | 33,086 | 96 | |||||||||
Credit Suisse(2) | .0511% | 3-Month USD MFEDL Index | 10/21/2022 | 345,082 | 345,264 | 182 | |||||||||
Total | $ | 253,029 |
See Notes to Financial Statements. | 169 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
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(1) | .451% | 3-Month USD LIBOR Index | 5/15/2023 | $20,744,000 | $20,634,559 | $ | (109,441 | ) | |||||||
Credit Suisse(1) | .4578% | 3-Month USD LIBOR Index | 8/1/2022 | 8,900,000 | 8,865,540 | (34,460 | ) | ||||||||
Credit Suisse(1) | .5631% | 3-Month USD LIBOR Index | 8/15/2026 | 8,800,000 | 8,765,450 | (34,550 | ) | ||||||||
Credit Suisse(1) | .4781% | 3-Month USD LIBOR Index | 2/1/2024 | 9,800,000 | 9,732,465 | (67,535 | ) | ||||||||
Credit Suisse(1) | .4925% | 3-Month USD LIBOR Index | 9/15/2024 | 21,286,000 | 21,142,437 | (143,563 | ) | ||||||||
Credit Suisse(1) | .5008% | 3-Month USD LIBOR Index | 11/1/2024 | 9,208,000 | 9,144,361 | (63,639 | ) | ||||||||
Credit Suisse(1) | 3-Month USD SOFR Index | .0493% | 10/21/2022 | 345,082 | 344,907 | (175 | ) | ||||||||
Credit Suisse(1) | 3-Month USD SOFR Index | .1731% | 10/21/2025 | 32,990 | 32,900 | (90 | ) | ||||||||
Total | $ | (453,453 | ) |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). |
(2) | Central clearinghouse: London Clearing House (LCH). |
Open Total Return Swaps Contracts at November 30, 2020:
Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 284,414 | Long | 12/20/2020 | $ | 50,000,000 | $ | 50,440,842 | $ | 440,842 | |||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 237,758 | Long | 06/20/2021 | 42,000,000 | 42,265,101 | 265,101 | ||||||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 238,467 | Long | 12/21/2020 | 42,000,000 | 42,292,122 | 292,122 | ||||||||||||||
Morgan Stanley | IBXXLL | 3 Mo. LIBOR + .00% | 141,563 | Long | 03/22/2021 | 25,000,000 | 25,145,455 | 145,455 | ||||||||||||||
J P Morgan | IBXXLL | 3 Mo. LIBOR + .00% | 164,362 | Long | 12/21/2020 | 29,000,000 | 29,149,569 | 149,569 | ||||||||||||||
Total | $ | 188,000,000 | $ | 189,293,089 | $ | 1,293,089 |
* | iBoxx Leverage Loan Index. |
170 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Buy | Bank of America | 1/20/2021 | 3,472,000 | $ | 2,608,283 | $ | 2,674,334 | $ | 66,051 | |||||||||||
Euro | Buy | Bank of America | 12/4/2020 | 995,000 | 1,180,701 | 1,186,940 | 6,239 | ||||||||||||||
Euro | Buy | State Street Bank and Trust | 12/4/2020 | 5,656,000 | 6,687,667 | 6,747,070 | 59,403 | ||||||||||||||
Euro | Buy | Bank of America | 12/4/2020 | 3,506,000 | 4,122,989 | 4,182,324 | 59,335 | ||||||||||||||
British pound | Sell | State Street Bank and Trust | 12/8/2020 | 7,602,000 | 10,154,296 | 10,134,999 | 19,297 | ||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 210,325 |
Forward | |||||||||||||||||||||
Foreign | U.S. $ | ||||||||||||||||||||
Currency | Cost on | U.S. $ | |||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | |||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Depreciation | ||||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 1/20/2021 | 12,250,000 | $ | 9,312,697 | $ | 9,435,654 | $ | (122,957 | ) | ||||||||||
Euro | Sell | Credit Agricole | 12/4/2020 | 43,222,000 | 51,267,127 | 51,559,732 | (292,605 | ) | |||||||||||||
Euro | Sell | Morgan Stanley | 12/4/2020 | 4,810,000 | 5,707,130 | 5,737,872 | (30,742 | ) | |||||||||||||
Euro | Sell | Toronto Dominion Bank | 12/4/2020 | 5,553,000 | 6,529,817 | 6,624,200 | (94,383 | ) | |||||||||||||
Euro | Sell | Bank of America | 12/4/2020 | 6,846,000 | 8,104,664 | 8,166,626 | (61,962 | ) | |||||||||||||
Euro | Sell | Bank of America | 12/4/2020 | 7,234,000 | 8,559,305 | 8,629,473 | (70,168 | ) | |||||||||||||
British pound | Sell | Bank of America | 12/8/2020 | 4,448,000 | 5,793,600 | 5,930,081 | (136,481 | ) | |||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (809,298 | ) |
Open Futures Contracts at November 30, 2020:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
U.S. 2-Year Treasury Note | March 2021 | 388 | Short | $ | (85,656,385 | ) | $ | (85,690,406 | ) | $ | (34,021 | ) | ||||||
U.S. 5-Year Treasury Note | March 2021 | 1,348 | Short | (169,771,946 | ) | (169,890,125 | ) | (118,179 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (152,200 | ) |
See Notes to Financial Statements. | 171 |
Schedule of Investments (continued)
FLOATING RATE FUND November 30, 2020
The following is a summary of the inputs used as of November 30, 2020 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 | $ | – | $ | 41,030,204 | $ | 7,790,465 | $ | 48,820,669 | ||||||||
Common Stocks | ||||||||||||||||
Energy | – | – | 59,755 | 59,755 | ||||||||||||
Service | – | 9,121,472 | – | 9,121,472 | ||||||||||||
Shipping | – | – | 1,904,200 | 1,904,200 | ||||||||||||
Specialty Retail | – | 19,653,439 | – | 19,653,439 | ||||||||||||
Other | 6,929,931 | – | – | 6,929,931 | ||||||||||||
Convertible Bonds | – | 98,437,080 | – | 98,437,080 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Metals/Minerals | – | 10,294,023 | 5 | 10,294,028 | ||||||||||||
Remaining industries | – | 708,237,156 | – | 708,237,156 | ||||||||||||
Exchange-Traded Fund | 74,242,811 | – | – | 74,242,811 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace | – | 191,708,901 | 22,350,547 | 214,059,448 | ||||||||||||
Chemicals | – | 114,700,077 | – | 114,700,077 | ||||||||||||
Consumer Durables | – | 21,873,675 | – | 21,873,675 | ||||||||||||
Consumer Non-Durables | – | 61,472,443 | – | 61,472,443 | ||||||||||||
Energy | – | 109,434,465 | 20,871,174 | 130,305,639 | ||||||||||||
Financial | – | 194,668,774 | 11,653,457 | 206,322,231 | ||||||||||||
Food & Drug | – | 26,537,307 | – | 26,537,307 | ||||||||||||
Food/Tobacco | – | 181,038,622 | – | 181,038,622 | ||||||||||||
Forest Products | – | 56,171,720 | – | 56,171,720 | ||||||||||||
Gaming/Leisure | – | 282,991,535 | – | 282,991,535 | ||||||||||||
Healthcare | – | 652,998,009 | 66,417,317 | 719,415,326 | ||||||||||||
Housing | – | 103,889,977 | 7,410,996 | 111,300,973 | ||||||||||||
Information Technology | – | 700,662,376 | 25,163,408 | 725,825,784 | ||||||||||||
Manufacturing | – | 198,750,032 | 20,702,511 | 219,452,543 | ||||||||||||
Media/Telecommunications | – | 653,416,897 | 11,710,546 | 665,127,443 | ||||||||||||
Metals/Minerals | – | 7,771,498 | – | 7,771,498 | ||||||||||||
Retail | – | 158,297,499 | – | 158,297,499 | ||||||||||||
Service | – | 242,338,697 | 6,489,619 | 248,828,316 | ||||||||||||
Transportation | – | 204,594,489 | 36,734,066 | 241,328,555 | ||||||||||||
Utility | – | 108,562,172 | – | 108,562,172 | ||||||||||||
Less Unfunded Commitments | – | (15,561,827 | ) | (1,633,451 | ) | (17,195,278 | ) | |||||||||
Preferred Stocks | – | – | 25,086,404 | 25,086,404 | ||||||||||||
Warrant | – | – | 31,628 | 31,628 | ||||||||||||
Short–Term Investment | ||||||||||||||||
Repurchase Agreement | – | 274,867,772 | – | 274,867,772 | ||||||||||||
Total | $ | 81,172,742 | $ | 5,417,958,484 | $ | 262,742,647 | $ | 5,761,873,873 |
172 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
FLOATING RATE FUND November 30, 2020
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swaps Contracts | ||||||||||||||||
Assets | $ | – | $ | 253,029 | $ | – | $ | 253,029 | ||||||||
Liabilities | – | (453,453 | ) | – | (453,453 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | �� | |||||||||||||||
Assets | – | 210,325 | – | 210,325 | ||||||||||||
Liabilities | – | (809,298 | ) | – | (809,298 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | (152,200 | ) | – | – | (152,200 | ) | ||||||||||
Total Return Swaps Contracts | ||||||||||||||||
Assets | – | 1,293,089 | – | 1,293,089 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | (152,200 | ) | $ | 493,692 | $ | – | $ | 341,492 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset- Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loans | Preferred Stock | Warrants | ||||||||||||||||||
Balance as of December 1, 2019 | $ | 4,662,015 | $ | – | $ | 5 | $ | 674,941,989 | $ | – | $ | – | ||||||||||||
Accrued Discounts (Premiums) | – | – | – | 946,716 | – | – | ||||||||||||||||||
Realized Gain (Loss) | – | – | – | (42,106,006 | ) | – | – | |||||||||||||||||
Change in Unrealized Appreciation (Depreciation) | (307,816 | ) | (1,023,796 | ) | – | 5,463,723 | 5,110,829 | (18,976 | ) | |||||||||||||||
Purchases | – | 2,894,384 | – | 198,167,493 | 19,975,575 | 50,604 | ||||||||||||||||||
Sales | – | – | – | (298,881,294 | ) | – | – | |||||||||||||||||
Transfers into Level 3 | 8,098,281 | 93,367 | – | 76,664,478 | – | – | ||||||||||||||||||
Transfers out of Level 3 | (4,662,015 | ) | – | – | (387,326,909 | ) | – | – | ||||||||||||||||
Balance as of November 30, 2020 | $ | 7,790,465 | $ | 1,963,955 | $ | 5 | $ | 227,870,190 | $ | 25,086,404 | $ | 31,628 | ||||||||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2020, related to Level 3 investments held at November 30, 2020 | $ | (307,816 | ) | (1,023,796 | ) | $ | – | $ | (1,772,461 | ) | $ | 5,110,829 | $ | (18,976 | ) |
See Notes to Financial Statements. | 173 |
Schedule of Investments
HIGH YIELD FUND November 30, 2020
Investments | Shares (000) | Fair Value | ||||||||||
LONG-TERM INVESTMENTS 98.93% | ||||||||||||
COMMON STOCKS 3.78% | ||||||||||||
Air Transportation 0.19% | ||||||||||||
Hawaiian Holdings, Inc. | 396 | $ | 8,028,633 | |||||||||
JetBlue Airways Corp.* | 529 | 7,989,657 | ||||||||||
Total | 16,018,290 | |||||||||||
Automakers 0.10% | ||||||||||||
Ferrari NV (Italy)(a) | 39 | 8,306,334 | ||||||||||
Banking 0.19% | ||||||||||||
South State Corp. | 118 | 7,845,786 | ||||||||||
SVB Financial Group* | 24 | 8,148,697 | ||||||||||
Total | 15,994,483 | |||||||||||
Diversified Capital Goods 0.10% | ||||||||||||
Badger Meter, Inc. | 103 | 8,501,213 | ||||||||||
Electronics 0.28% | ||||||||||||
Cognex Corp. | 115 | 8,660,561 | ||||||||||
Roku, Inc.* | 48 | 14,236,677 | ||||||||||
Total | 22,897,238 | |||||||||||
Energy: Exploration & Production 0.21% | ||||||||||||
Diamondback Energy, Inc. | 183 | 7,301,651 | ||||||||||
Oasis Petroleum, Inc.* | 291 | 9,958,665 | ||||||||||
Templar Energy LLC Class A Units | 191 | 15,246 | (b) | |||||||||
Total | 17,275,562 | |||||||||||
Food: Wholesale 0.10% | ||||||||||||
Freshpet, Inc.* | 60 | 8,250,716 | ||||||||||
Gaming 0.10% | ||||||||||||
Wynn Resorts Ltd. | 85 | 8,541,495 | ||||||||||
Health Services 0.11% | ||||||||||||
10X Genomics, Inc. Class A* | 59 | 9,049,720 | ||||||||||
Investments & Miscellaneous Financial Services 0.00% | ||||||||||||
Penson Technologies Class A Units | 4,881 | 48,812 | (c) | |||||||||
Machinery 0.20% | ||||||||||||
Generac Holdings, Inc.* | 39 | 8,304,265 |
174 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Shares (000) | Fair Value | ||||||||||
Machinery (continued) | ||||||||||||
Kornit Digital Ltd. (Israel)*(a) | 99 | $ | 8,373,470 | |||||||||
TNT Crane & Rigging, Inc. | 15 | 256,059 | ||||||||||
Total | 16,933,794 | |||||||||||
Medical Products 0.20% | ||||||||||||
IDEXX Laboratories, Inc.* | 18 | 8,320,228 | ||||||||||
Shockwave Medical, Inc.* | 87 | 8,475,404 | ||||||||||
Total | 16,795,632 | |||||||||||
Metals/Mining (Excluding Steel) 0.10% | ||||||||||||
Freeport-McMoRan, Inc. | 354 | 8,271,944 | ||||||||||
Multi-Line Insurance 0.11% | ||||||||||||
Goosehead Insurance, Inc. Class A | 71 | 8,752,506 | ||||||||||
Non-Electric Utilities 0.10% | ||||||||||||
Evoqua Water Technologies Corp.* | 309 | 8,052,052 | ||||||||||
Personal & Household Products 0.29% | �� | |||||||||||
Britax Child Safety, Inc.* | 2 | – | (c) | |||||||||
Garmin Ltd. (Switzerland)(a) | 72 | 8,399,131 | ||||||||||
Gibson Brands, Inc. | 57 | 6,669,418 | (b) | |||||||||
Remington Outdoor Co., Inc. | 128 | 35,289 | ||||||||||
Revlon, Inc. Class A | 702 | 133,840 | ||||||||||
Snap-on, Inc. | 48 | 8,366,415 | ||||||||||
Total | 23,604,093 | |||||||||||
Pharmaceuticals 0.21% | ||||||||||||
Acceleron Pharma, Inc.* | 75 | 8,812,745 | ||||||||||
Mirati Therapeutics, Inc.* | 37 | 8,693,655 | ||||||||||
Total | 17,506,400 | |||||||||||
Real Estate Investment Trusts 0.11% | ||||||||||||
Park Hotels & Resorts, Inc. | 578 | 9,436,322 | ||||||||||
Recreation & Travel 0.10% | ||||||||||||
Royal Caribbean Cruises Ltd. | 102 | 8,045,319 | ||||||||||
Restaurants 0.10% | ||||||||||||
Shake Shack, Inc. Class A* | 104 | 8,502,848 | ||||||||||
Software/Services 0.22% | ||||||||||||
Pinterest, Inc. Class A* | 131 | 9,200,908 |
See Notes to Financial Statements. | 175 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Shares (000) | Fair Value | ||||||||||
Software/Services (continued) | ||||||||||||
Trade Desk, Inc. (The) Class A* | 10 | $ | 9,321,569 | |||||||||
Total | 18,522,477 | |||||||||||
Specialty Retail 0.23% | ||||||||||||
Canada Goose Holdings, Inc. (Canada)*(a)(d) | 254 | 8,432,722 | ||||||||||
Chinos Intermediate | 56 | 196,861 | ||||||||||
Chinos Intermediate | 48 | 612,553 | ||||||||||
Claires Holdings LLC | 7 | 1,776,882 | ||||||||||
Rush Enterprises, Inc. Class A | 211 | 8,071,953 | ||||||||||
Total | 19,090,971 | |||||||||||
Support: Services 0.20% | ||||||||||||
Bright Horizons Family Solutions, Inc.* | 48 | 8,220,566 | ||||||||||
Uber Technologies, Inc.* | 167 | 8,301,116 | ||||||||||
Total | 16,521,682 | |||||||||||
Telecommunications: Wireless 0.11% | ||||||||||||
QUALCOMM, Inc. | 62 | 9,141,317 | ||||||||||
Theaters & Entertainment 0.10% | ||||||||||||
Live Nation Entertainment, Inc.* | 120 | 7,904,391 | ||||||||||
Transportation: Infrastructure/Services 0.02% | ||||||||||||
ACBL Holdings Corp. | 22 | 444,540 | (b) | |||||||||
Chassix Holdings, Inc. | 160 | 1,436,364 | ||||||||||
Total | 1,880,904 | |||||||||||
Total Common Stocks (cost $323,330,299) | 313,846,515 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 2.22% | ||||||||||||
Advertising 0.21% | ||||||||||||
Snap, Inc.† | 0.25% | 5/1/2025 | $ | 4,283 | 9,099,705 | |||||||
Zillow Group, Inc. | 0.75% | 9/1/2024 | 3,310 | 8,314,306 | ||||||||
Total | 17,414,011 |
176 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation 0.10% | ||||||||||||
Spirit Airlines, Inc. | 4.75% | 5/15/2025 | $ | 4,062 | $ | 8,153,472 | ||||||
Automakers 0.11% | ||||||||||||
Tesla, Inc. | 2.00% | 5/15/2024 | 1,049 | 9,600,972 | ||||||||
Diversified Capital Goods 0.11% | ||||||||||||
Enphase Energy, Inc.† | 1.00% | 6/1/2024 | 1,400 | 9,314,649 | ||||||||
Electronics 0.12% | ||||||||||||
Advanced Micro Devices, Inc. | 2.125% | 9/1/2026 | 832 | 9,626,489 | ||||||||
Food: Wholesale 0.10% | ||||||||||||
Chefs’ Warehouse, Inc. (The)† | 1.875% | 12/1/2024 | 8,976 | 8,464,407 | ||||||||
Hotels 0.10% | ||||||||||||
Huazhu Group Ltd. (China)(a) | 0.375% | 11/1/2022 | 6,663 | 8,124,078 | ||||||||
Media: Diversified 0.11% | ||||||||||||
Match Group Financeco 2, Inc.† | 0.875% | 6/15/2026 | 5,185 | 8,865,660 | ||||||||
Medical Products 0.30% | ||||||||||||
Insulet Corp. | 0.375% | 9/1/2026 | 6,082 | 8,195,098 | ||||||||
Nevro Corp. | 1.75% | 6/1/2021 | 4,758 | 8,076,705 | ||||||||
Repligen Corp. | 0.375% | 7/15/2024 | 4,838 | 8,428,375 | ||||||||
Total | 24,700,178 | |||||||||||
Pharmaceuticals 0.08% | ||||||||||||
Canopy Growth Corp.†(e) | 4.25% | 7/15/2023 | CAD | 8,150 | 6,589,281 | |||||||
Real Estate Investment Trusts 0.10% | ||||||||||||
IIP Operating Partnership LP† | 3.75% | 2/21/2024 | 3,441 | 8,253,927 | ||||||||
Software/Services 0.68% | ||||||||||||
Cardlytics, Inc.† | 1.00% | 9/15/2025 | 5,620 | 8,827,317 | ||||||||
Coupa Software, Inc.† | 0.375% | 6/15/2026 | 6,379 | 8,470,319 | ||||||||
Five9, Inc.† | 0.50% | 6/1/2025 | 6,248 | 8,396,595 | ||||||||
MercadoLibre, Inc. (Argentina)(a) | 2.00% | 8/15/2028 | 2,724 | 9,620,390 | ||||||||
Pinduoduo, Inc. (China)(a) | Zero Coupon | 10/1/2024 | 2,535 | �� | 8,298,511 | |||||||
RingCentral, Inc.† | Zero Coupon | 3/1/2025 | 11,191 | 12,646,267 | ||||||||
Total | 56,259,399 | |||||||||||
Technology Hardware & Equipment 0.10% | ||||||||||||
SunPower Corp. | 4.00% | 1/15/2023 | 7,129 | 8,640,288 | ||||||||
Total Convertible Bonds (cost $164,786,377) | 184,006,811 |
See Notes to Financial Statements. | 177 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FLOATING RATE LOANS(f) 3.88% | ||||||||||||
Aerospace/Defense 0.06% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(a) | 8.50% (1 Mo. LIBOR + 6.50% | ) | 3/6/2024 | $ | 3,857 | $ | 3,519,380 | |||||
Alloy Finco Limited USD Holdco PIK Term Loan PIK 13.50% (Jersey)(a) | 0.50% | 3/6/2025 | 4,249 | 1,582,696 | ||||||||
Total | 5,102,076 | |||||||||||
Air Transportation 0.10% | ||||||||||||
JetBlue Airways Corporation Term Loan | 6.25% (3 Mo. LIBOR + 5.25% | ) | 6/17/2024 | 8,132 | 8,286,172 | |||||||
Building Materials 0.11% | ||||||||||||
Airxcel, Inc. 2018 1st Lien Term Loan | 4.646% (1 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 9,180 | 8,870,321 | |||||||
Diversified Capital Goods 0.13% | ||||||||||||
Robertshaw US Holding Corp 2018 1st Lien Term Loan | 4.50% (1 Mo. LIBOR + 3.50% | ) | 2/28/2025 | 9,559 | 9,021,480 | |||||||
UTEX Industries Inc. 1st Lien Term loan 2014 | – | (g) | 5/22/2021 | 5,770 | 1,774,329 | |||||||
UTEX Industries Inc. 2020 DIP Term Loan | 10.50% (1 Mo. LIBOR + 9.00% | ) | 2/10/2021 | 362 | 365,213 | (h) | ||||||
Total | 11,161,022 | |||||||||||
Electric: Generation 0.05% | ||||||||||||
Frontera Generation Holdings LLC 2018 Term Loan B | 5.25% (3 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 12,821 | 3,755,599 | |||||||
Electronics 0.10% | ||||||||||||
Electrical Components International, Inc. 2018 1st Lien Term Loan | 4.396% (1 Mo. LIBOR + 4.25% | ) | 6/26/2025 | 8,497 | 8,153,247 | |||||||
Gaming 0.29% | ||||||||||||
Montreign Resort Casino Bridge Term Loan(i) | 2.896% (1 Mo. LIBOR + 2.75% | ) | 3/22/2021 | 2,421 | 2,362,882 | |||||||
Playtika Holding Corp Term Loan B | 7.00% (1 Mo. LIBOR + 6.00% | ) | 12/10/2024 | 8,021 | 8,071,021 | |||||||
TopGolf International, Inc. Term Loan B | 7.00% (3 Mo. LIBOR + 6.25% | ) | 2/8/2026 | 13,667 | 13,653,922 | |||||||
Total | 24,087,825 |
178 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gas Distribution 0.22% | ||||||||||||
BCP Raptor II, LLC 1st Lien Term Loan | 4.896% (1 Mo. LIBOR + 4.75% | ) | 11/3/2025 | $ | 11,191 | $ | 9,778,192 | |||||
Brazos Delaware II, LLC Term Loan B | 4.146% (1 Mo. LIBOR + 4.00% | ) | 5/21/2025 | 10,629 | 8,687,024 | |||||||
Total | 18,465,216 | |||||||||||
Health Facilities 0.25% | ||||||||||||
Pearl Intermediate Parent LLC 2018 1st Lien Term Loan | 2.896% (1 Mo. LIBOR + 2.75% | ) | 2/14/2025 | 11,123 | 10,878,293 | |||||||
Pearl Intermediate Parent LLC 2018 Incremental Term Loan | 3.396% (1 Mo. LIBOR + 3.25% | ) | 2/14/2025 | 1,852 | 1,818,009 | |||||||
WP CityMD Bidco LLC 2019 Term Loan B | 5.50% (1 Mo. LIBOR + 4.50% (6 Mo. LIBOR + 4.50% | ) ) | 8/13/2026 | 8,435 | 8,425,233 | |||||||
Total | 21,121,535 | |||||||||||
Health Services 0.22% | ||||||||||||
Pathway Vet Alliance LLC 2020 Delayed(i) Draw Term Loan | 4.00% - 4.15% (1 Mo. LIBOR + 4.00% | ) | 3/31/2027 | 917 | 907,329 | |||||||
Wellpath Holdings, Inc. 2018 1st Lien Term Loan | 5.714% - 5.72% (3 Mo. LIBOR + 5.50%) | 10/1/2025 | 18,016 | 17,175,030 | ||||||||
Total | 18,082,359 | |||||||||||
Integrated Energy 0.15% | ||||||||||||
Array Technologies, Inc. Term Loan B | 5.00% (1 Mo. LIBOR + 4.00% | ) | 10/8/2027 | 12,152 | 12,121,742 | (h) | ||||||
Machinery 0.10% | ||||||||||||
LTI Holdings, Inc. 2018 Add On 1st Lien Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 9/6/2025 | 8,681 | 8,245,704 | |||||||
Media: Content 0.09% | ||||||||||||
Univision Communications Inc. 2020 Replacement Term Loan | 4.75% (1 Mo. LIBOR + 3.75% | ) | 3/15/2026 | 3,850 | 3,819,741 | |||||||
Univision Communications Inc. Term Loan C5 | 3.75% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 4,033 | 3,968,976 | |||||||
Total | 7,788,717 |
See Notes to Financial Statements. | 179 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil Field Equipment & Services 0.12% | ||||||||||||
Ulterra Drilling Technologies, LP Term Loan B | 5.396% (1 Mo. LIBOR + 5.25% | ) | 11/26/2025 | $ | 11,835 | $ | 9,763,985 | (h) | ||||
Personal & Household Products 0.16% | ||||||||||||
Britax Child Safety, Inc. Junior PIK Term Loan PIK 12.00% | – | (g) | 3/31/2025 | 1,203 | 1,082,792 | (h) | ||||||
FGI Operating Company, LLC Exit Term Loan | 12.00% (3 Mo. LIBOR + 10.00% | ) | 5/16/2022 | 837 | 184,065 | (h) | ||||||
Revlon Consumer Products Corporation 2020 Term Loan B2 | 4.25% (3 Mo. LIBOR + 3.50% | ) | 6/30/2025 | 9,968 | 5,021,581 | |||||||
TGP Holdings III, LLC 2nd Lien Term Loan | 9.50% (1 Mo. LIBOR + 8.50% | ) | 9/25/2025 | 7,626 | 7,282,830 | |||||||
Total | 13,571,268 | |||||||||||
Real Estate Investment Trusts 0.12% | ||||||||||||
Claros Mortgage Trust, Inc. Term Loan B | – | (g) | 8/9/2026 | 10,179 | 10,013,574 | |||||||
Recreation & Travel 0.11% | ||||||||||||
Equinox Holdings, Inc. 2017 1st Lien Term Loan | – | (g) | 3/8/2024 | 10,999 | 9,319,123 | |||||||
Restaurants 0.15% | ||||||||||||
Golden Nugget, Inc. 2017 Incremental Term Loan B | 3.25% (2 Mo. LIBOR + 2.50% | ) | 10/4/2023 | 13,393 | 12,814,478 | |||||||
Software/Services 0.10% | ||||||||||||
Omnitracs, Inc. 2020 2nd Lien Term Loan | 8.153% (1 Mo. LIBOR + 8.00% | ) | 10/23/2028 | 8,409 | 8,326,008 | |||||||
Specialty Retail 0.26% | ||||||||||||
Canada Goose Inc. Term Loan (Canada)(a) | 5.00% (3 Mo. LIBOR + 4.25% | ) | 10/7/2027 | 8,024 | 8,029,235 | |||||||
Chinos Intermediate Holdings A, Inc. Exit Term Loan | 11.00% (3 Mo. LIBOR + 10.00% | ) | 9/10/2027 | 1,275 | 1,336,536 | |||||||
Claire’s Stores, Inc. 2019 Term Loan B | 6.646% (1 Mo. LIBOR + 6.50% | ) | 12/18/2026 | 4,413 | 3,596,839 | |||||||
MND Holdings III Corp 2018 1st Lien Term Loan | 4.50% (3 Mo. LIBOR + 3.50% | ) | 6/19/2024 | 9,231 | 8,400,443 | |||||||
Total | 21,363,053 | |||||||||||
Support: Services 0.72% | ||||||||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 8.474% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 18,411 | 18,204,252 |
180 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
KUEHG Corp. 2017 2nd Lien Term Loan | 9.25% (3 Mo. LIBOR + 8.25% | ) | 8/22/2025 | $ | 8,912 | $ | 8,288,354 | |||||
KUEHG Corp. 2018 Incremental Term Loan | 4.75% (3 Mo. LIBOR + 3.75% | ) | 2/21/2025 | 9,679 | 9,243,511 | |||||||
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan | 3.396% (1 Mo. LIBOR + 3.25% | ) | 10/20/2025 | 13,562 | 12,763,455 | |||||||
Pathway Vet Alliance LLC 2020 Term Loan | 4.146% (1 Mo. LIBOR + 4.00% | ) | 3/31/2027 | 11,230 | 11,108,229 | |||||||
Total | 59,607,801 | |||||||||||
Technology Hardware & Equipment 0.10% | ||||||||||||
Delta Top Co. 2020 2nd Lien Term Loan | – | (g) | 10/6/2028 | 8,146 | 8,210,450 | |||||||
Telecommunications: Wireless 0.07% | ||||||||||||
Xplornet Communications, Inc. 2020 Term Loan B (Canada)(a) | 4.896% (1 Mo. LIBOR + 4.75% | ) | 6/10/2027 | 5,899 | 5,850,162 | |||||||
Transportation: Infrastructure/Services 0.06% | ||||||||||||
Fastlane Parent Company, Inc. 2018 Add On 1st Lien Term Loan | 4.646% (1 Mo. LIBOR + 4.50% | ) | 2/4/2026 | 4,889 | 4,782,884 | |||||||
Trucking & Delivery 0.04% | ||||||||||||
Daseke, Inc. 2017 Term Loan B | 6.00% (1 Mo. LIBOR + 5.00% | ) | 2/27/2024 | 3,732 | 3,710,981 | |||||||
Total Floating Rate Loans (cost $331,319,651) | 322,575,302 | |||||||||||
FOREIGN GOVERNMENT OBLIGATION 0.11% | ||||||||||||
Bahamas | ||||||||||||
Bahamas Government International Bond†(a) (cost $8,504,260) | 8.95% | 10/15/2032 | 8,293 | 9,016,564 | ||||||||
HIGH YIELD CORPORATE BONDS 88.87% | ||||||||||||
Advertising 0.35% | ||||||||||||
Clear Channel Worldwide Holdings, Inc. | 9.25% | 2/15/2024 | 21,584 | 21,613,246 | ||||||||
Lamar Media Corp. | 4.875% | 1/15/2029 | 7,042 | 7,452,549 | ||||||||
Total | 29,065,795 | |||||||||||
Aerospace/Defense 1.31% | ||||||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 6,255 | 6,576,163 | ||||||||
Science Applications International Corp.† | 4.875% | 4/1/2028 | 11,027 | 11,652,451 | ||||||||
See Notes to Financial Statements. | 181 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Aerospace/Defense (continued) | ||||||||||||
Signature Aviation US Holdings, Inc.† | 4.00% | 3/1/2028 | $ | 21,018 | $ | 21,087,570 | ||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 48,653 | 50,282,876 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 18,138 | 19,249,043 | ||||||||
Total | 108,848,103 | |||||||||||
�� | ||||||||||||
Air Transportation 1.72% | ||||||||||||
American Airlines Group, Inc.† | 5.00% | 6/1/2022 | 13,341 | 11,073,030 | ||||||||
American Airlines, Inc.† | 11.75% | 7/15/2025 | 22,489 | 24,906,567 | ||||||||
British Airways 2020-1 Class A Pass Through Trust (United Kingdom)†(a) | 4.25% | 5/15/2034 | 8,757 | 9,229,046 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 14,728 | 16,839,111 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.50% | 10/20/2025 | 9,552 | 10,091,966 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 12,752 | 13,746,563 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 19,246 | 20,906,058 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.† | 8.00% | 9/20/2025 | 12,680 | 14,115,453 | ||||||||
Transportes Aereos Portugueses SA†(e) | 5.625% | 12/2/2024 | EUR | 2,800 | 2,338,929 | |||||||
Transportes Aereos Portugueses SA(e) | 5.625% | 12/2/2024 | EUR | 2,800 | 2,338,929 | |||||||
United Airlines 2020-1 Class A Pass Through Trust | 5.875% | 4/15/2029 | $ | 8,480 | 9,051,773 | |||||||
VistaJet Malta Finance plc/XO Management Holding, Inc. (Malta)†(a) | 10.50% | 6/1/2024 | 8,493 | 8,556,698 | ||||||||
Total | 143,194,123 | |||||||||||
Auto Loans 0.64% | ||||||||||||
Ford Motor Co. | 4.75% | 1/15/2043 | 23,491 | 23,148,619 | ||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 6,602 | 6,684,525 | ||||||||
Mclaren Finance plc(e) | 5.00% | 8/1/2022 | GBP | 18,309 | 23,432,717 | |||||||
Total | 53,265,861 | |||||||||||
Auto Parts & Equipment 1.66% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | 9,041 | 9,120,109 | ||||||||
Adient US LLC† | 7.00% | 5/15/2026 | 14,263 | 15,498,675 | ||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 8,173 | 8,254,730 | ||||||||
American Axle & Manufacturing, Inc. | 6.875% | 7/1/2028 | 13,323 | 14,147,960 | ||||||||
Clarios Global LP† | 8.50% | 5/15/2027 | 15,065 | 16,238,564 | ||||||||
Clarios Global LP/Clarios US Finance Co.(e) | 4.375% | 5/15/2026 | EUR | 9,588 | 11,857,019 | |||||||
Dana, Inc. | 5.625% | 6/15/2028 | $ | 7,745 | 8,371,299 | |||||||
Garrett LX I Sarl/Garrett Borrowing LLC(e)(j) | 5.125% | 10/15/2026 | EUR | 8,057 | 9,655,006 | |||||||
IHO Verwaltungs GmbH PIK 5.50% (Germany)†(a) | 4.75% | 9/15/2026 | $ | 12,126 | 12,489,780 | |||||||
Meritor, Inc.†(k) | 4.50% | 12/15/2028 | 8,162 | 8,304,835 |
182 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Auto Parts & Equipment (continued) | ||||||||||||
Tenneco, Inc. | 5.00% | 7/15/2026 | $ | 17,345 | $ | 15,643,456 | ||||||
Wabash National Corp.† | 5.50% | 10/1/2025 | 7,816 | 8,000,809 | ||||||||
Total | 137,582,242 | |||||||||||
Automakers 1.82% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 13,472 | 16,932,620 | ||||||||
Ford Motor Co. | 9.00% | 4/22/2025 | 84,999 | 103,402,558 | ||||||||
Ford Motor Co. | 9.625% | 4/22/2030 | 6,158 | 8,582,374 | ||||||||
Motors Liquidation Co. | 7.20% | 1/15/2049 | 8,500 | 850 | (c) | |||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 13,530 | 14,100,966 | ||||||||
Winnebago Industries, Inc.† | 6.25% | 7/15/2028 | 7,627 | 8,270,528 | ||||||||
Total | 151,289,896 | |||||||||||
Banking 1.70% | ||||||||||||
Alliance Data Systems Corp.† | 4.75% | 12/15/2024 | 3,629 | 3,486,108 | ||||||||
BNP Paribas SA (France)†(a) | 4.50% (5 Yr Treasury CMT + 2.94% | )# | – | (l) | 11,043 | 10,995,239 | ||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 24,654 | 30,350,553 | ||||||||
Credit Suisse Group AG (Switzerland)†(a) | 7.25% (5 Yr Treasury CMT + 4.33% | )# | – | (l) | 10,437 | 11,756,706 | ||||||
Intesa Sanpaolo SpA (Italy)†(a) | 5.71% | 1/15/2026 | 23,681 | 26,862,816 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(a) | 6.125% (5 Yr. Swap rate + 3.70% | )# | – | (l) | 9,021 | 9,524,688 | ||||||
Popular, Inc. | 6.125% | 9/14/2023 | 12,457 | 13,467,823 | ||||||||
Synovus Financial Corp. | 5.90% (5 Yr. Swap rate + 3.38% | )# | 2/7/2029 | 21,205 | 22,757,177 | |||||||
Texas Capital Bank NA | 5.25% | 1/31/2026 | 10,952 | 11,593,402 | ||||||||
Washington Mutual Bank(j) | 6.875% | 6/15/2011 | 10,000 | 1,000 | (c) | |||||||
Total | 140,795,512 | |||||||||||
Beverages 0.17% | ||||||||||||
Bacardi Ltd.† | 5.30% | 5/15/2048 | 10,691 | 14,448,250 | ||||||||
Building & Construction 2.38% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 7,614 | 7,965,348 | ||||||||
Beazer Homes USA, Inc. | 7.25% | 10/15/2029 | 9,525 | 10,698,051 | ||||||||
Century Communities, Inc. | 6.75% | 6/1/2027 | 13,472 | 14,487,856 | ||||||||
KB Home | 4.80% | 11/15/2029 | 8,944 | 9,855,170 | ||||||||
LGI Homes, Inc.† | 6.875% | 7/15/2026 | 22,781 | 23,977,002 | ||||||||
Mattamy Group Corp. (Canada)†(a) | 4.625% | 3/1/2030 | 7,966 | 8,412,335 | ||||||||
New Home Co., Inc. (The)† | 7.25% | 10/15/2025 | 8,056 | 8,337,960 |
See Notes to Financial Statements. | 183 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building & Construction (continued) | ||||||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | $ | 8,068 | $ | 11,105,804 | ||||||
Shea Homes LP† | 4.75% | 4/1/2029 | 7,561 | 7,882,343 | ||||||||
Shea Homes LP/Shea Homes Funding Corp.† | 4.75% | 2/15/2028 | 11,228 | 11,642,032 | ||||||||
Taylor Morrison Communities, Inc.† | 5.125% | 8/1/2030 | 7,573 | 8,439,162 | ||||||||
Taylor Morrison Communities, Inc.† | 6.625% | 7/15/2027 | 9,595 | 10,422,569 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 19,098 | 21,266,769 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 5,422 | 6,234,616 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 17,687 | 19,386,013 | ||||||||
TRI Pointe Group, Inc. | 5.70% | 6/15/2028 | 7,602 | 8,658,754 | ||||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | 8,150 | 8,539,672 | ||||||||
Total | 197,311,456 | |||||||||||
Building Materials 2.44% | ||||||||||||
Beacon Roofing Supply, Inc.† | 4.875% | 11/1/2025 | 8,577 | 8,708,357 | ||||||||
Builders FirstSource, Inc.† | 5.00% | 3/1/2030 | 9,880 | 10,658,050 | ||||||||
Core & Main Holdings LP PIK 9.375%† | 8.625% | 9/15/2024 | 14,711 | 15,107,903 | ||||||||
Forterra Finance LLC/FRTA Finance Corp.† | 6.50% | 7/15/2025 | 16,615 | 17,773,065 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 7,332 | 7,302,415 | ||||||||
Installed Building Products, Inc.† | 5.75% | 2/1/2028 | 8,443 | 8,979,637 | ||||||||
Masonite International Corp.† | 5.375% | 2/1/2028 | 7,863 | 8,380,464 | ||||||||
Masonite International Corp.† | 5.75% | 9/15/2026 | 10,191 | 10,711,352 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 10,610 | 12,589,804 | ||||||||
Patrick Industries, Inc.† | 7.50% | 10/15/2027 | 11,272 | 12,258,300 | ||||||||
PGT Innovations, Inc.† | 6.75% | 8/1/2026 | 18,738 | 20,046,100 | ||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp.† | 6.375% | 9/30/2026 | 9,958 | 10,358,809 | ||||||||
SRM Escrow Issuer LLC† | 6.00% | 11/1/2028 | 10,833 | 11,218,926 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 6.50% | 3/15/2027 | 8,778 | 9,335,930 | ||||||||
Vertical Holdco GmbH (Germany)†(a) | 7.625% | 7/15/2028 | 7,509 | 8,058,096 | ||||||||
Vertical Midco GmbH†(e) | 4.375% | 7/15/2027 | EUR | 7,233 | 9,076,814 | |||||||
Vertical US Newco, Inc.† | 5.25% | 7/15/2027 | $ | 12,453 | 13,098,999 | |||||||
White Cap Buyer LLC† | 6.875% | 10/15/2028 | 8,143 | 8,678,891 | ||||||||
Total | 202,341,912 | |||||||||||
Cable & Satellite Television 4.88% | ||||||||||||
Block Communications, Inc.† | 4.875% | 3/1/2028 | 17,926 | 18,640,261 | ||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 8,152 | 8,508,650 | ||||||||
Cablevision Lightpath LLC† | 3.875% | 9/15/2027 | 8,156 | 8,256,727 | ||||||||
Cablevision Lightpath LLC† | 5.625% | 9/15/2028 | 5,345 | 5,613,987 |
184 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Cable & Satellite Television (continued) | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | $ | 58,449 | $ | 61,970,552 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 47,613 | 50,157,915 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 29,380 | 31,039,970 | ||||||||
CSC Holdings LLC† | 5.75% | 1/15/2030 | 16,813 | 18,162,159 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 87,468 | 99,624,740 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(a) | 6.75% | 10/15/2027 | 7,502 | 8,164,802 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 4.50% | 9/15/2026 | 7,833 | 8,165,903 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 6.50% | 9/15/2028 | 10,055 | 10,707,569 | ||||||||
United Group (e) | 3.625% | 2/15/2028 | EUR | 8,703 | 10,205,414 | |||||||
Virgin Media Secured Finance plc (United Kingdom)†(a) | 5.50% | 5/15/2029 | $ | 32,704 | 35,494,959 | |||||||
VTR Finance NV (Chile)†(a) | 6.375% | 7/15/2028 | 7,370 | 8,079,363 | ||||||||
Ziggo BV (Netherlands)†(a) | 5.50% | 1/15/2027 | 21,116 | 22,130,518 | ||||||||
Total | 404,923,489 | |||||||||||
Chemicals 2.28% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | 10,374 | 13,686,366 | ||||||||
Avient Corp.† | 5.75% | 5/15/2025 | 6,799 | 7,274,930 | ||||||||
CF Industries, Inc. | 5.15% | 3/15/2034 | 29,328 | 35,504,477 | ||||||||
Chemours Co. (The) | 5.375% | 5/15/2027 | 12,004 | 12,506,667 | ||||||||
Chemours Co. (The)† | 5.75% | 11/15/2028 | 8,550 | 8,715,656 | ||||||||
Compass Minerals International, Inc.† | 4.875% | 7/15/2024 | 9,384 | 9,699,725 | ||||||||
Element Solutions, Inc.† | 3.875% | 9/1/2028 | 9,236 | 9,433,419 | ||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc.† | 9.00% | 7/1/2028 | 15,265 | 17,001,394 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 8,123 | 8,239,768 | ||||||||
Ingevity Corp.† | 4.50% | 2/1/2026 | 13,389 | 13,670,972 | ||||||||
Minerals Technologies, Inc.† | 5.00% | 7/1/2028 | 7,655 | 7,961,200 | ||||||||
Nouryon Holding BV (Netherlands)†(a) | 8.00% | 10/1/2026 | 15,478 | 16,609,829 | ||||||||
Tianqi Finco Co. Ltd. | 3.75% | 11/28/2022 | 12,000 | 4,761,029 | �� | |||||||
Tronox, Inc.† | 6.50% | 5/1/2025 | 6,514 | 6,947,507 | ||||||||
Tronox, Inc.† | 6.50% | 4/15/2026 | 7,871 | 8,185,683 | ||||||||
Univar Solutions USA, Inc.† | 5.125% | 12/1/2027 | 8,456 | 8,937,062 | ||||||||
Total | 189,135,684 | |||||||||||
Consumer/Commercial/Lease Financing 2.46% | ||||||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 4.25% | 4/15/2026 | 4,025 | 4,173,628 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 5.50% | 1/15/2026 | 5,490 | 5,984,725 | ||||||||
FirstCash, Inc.† | 4.625% | 9/1/2028 | 8,811 | 9,069,823 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 5.50% | 8/15/2028 | 13,453 | 14,033,161 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 24,659 | 26,149,020 |
See Notes to Financial Statements. | 185 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Consumer/Commercial/Lease Financing (continued) | ||||||||||||
Navient Corp. | 6.75% | 6/25/2025 | $ | 25,699 | $ | 27,707,377 | ||||||
Navient Corp. | 6.75% | 6/15/2026 | 10,548 | 11,332,507 | ||||||||
OneMain Finance Corp. | 5.375% | 11/15/2029 | 14,410 | 15,742,925 | ||||||||
OneMain Finance Corp. | 6.125% | 3/15/2024 | 26,888 | 29,165,414 | ||||||||
OneMain Finance Corp. | 8.875% | 6/1/2025 | 11,680 | 13,074,008 | ||||||||
PennyMac Financial Services, Inc.† | 5.375% | 10/15/2025 | 7,271 | 7,607,284 | ||||||||
PRA Group, Inc.† | 7.375% | 9/1/2025 | 9,868 | 10,611,307 | ||||||||
Quicken Loans LLC† | 5.25% | 1/15/2028 | 15,518 | 16,478,176 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.625% | 3/1/2029 | 6,142 | 6,115,989 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.875% | 3/1/2031 | 6,638 | 6,737,570 | ||||||||
Total | 203,982,914 | |||||||||||
Department Stores 0.09% | ||||||||||||
Nordstrom, Inc.† | 8.75% | 5/15/2025 | 7,087 | 7,910,864 | ||||||||
Diversified Capital Goods 1.08% | ||||||||||||
Amsted Industries, Inc.† | 4.625% | 5/15/2030 | 11,566 | 12,294,716 | ||||||||
Amsted Industries, Inc.† | 5.625% | 7/1/2027 | 8,381 | 8,924,173 | ||||||||
Apex Tool Group LLC/BC Mountain Finance, Inc.† | 9.00% | 2/15/2023 | 12,899 | 12,447,535 | ||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 8,034 | 8,234,850 | ||||||||
EnerSys† | 4.375% | 12/15/2027 | 8,862 | 9,413,106 | ||||||||
General Electric Co. | 5.00%(3 Mo. LIBOR + 3.33% | )# | – | (l) | 12,121 | 10,809,071 | ||||||
Griffon Corp. | 5.75% | 3/1/2028 | 11,678 | 12,387,438 | ||||||||
Stevens Holding Co., Inc.† | 6.125% | 10/1/2026 | 14,298 | 15,546,358 | ||||||||
Total | 90,057,247 | |||||||||||
Electric: Generation 2.81% | ||||||||||||
AES Panama Generation Holdings SRL (Panama)†(a) | 4.375% | 5/31/2030 | 8,201 | 8,867,331 | ||||||||
Calpine Corp.† | 4.50% | 2/15/2028 | 9,692 | 10,021,528 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 8,037 | 8,310,258 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 7,812 | 8,243,613 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 8,671 | 9,307,105 | ||||||||
Clearway Energy Operating LLC | 5.00% | 9/15/2026 | 6,200 | 6,408,072 | ||||||||
DPL, Inc.† | 4.125% | 7/1/2025 | 15,322 | 16,298,778 | ||||||||
Elwood Energy LLC | 8.159% | 7/5/2026 | 5,688 | 6,086,222 | ||||||||
Mong Duong Finance Holdings BV (Vietnam)†(a) | 5.125% | 5/7/2029 | 14,566 | 15,401,985 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 18,992 | 20,843,720 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 6,053 | 6,623,405 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 30,566 | 33,415,515 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 7,911 | 8,414,789 |
186 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Generation (continued) | ||||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | $ | 18,919 | $ | 20,278,803 | ||||||
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak (Indonesia)†(a) | 4.85% | 10/14/2038 | 7,978 | 8,674,602 | ||||||||
Terraform Global Operating LLC† | 6.125% | 3/1/2026 | 6,836 | 7,056,871 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 20,087 | 21,838,787 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 6,161 | 6,896,469 | ||||||||
YPF Energia Electrica SA (Argentina)†(a) | 10.00% | 7/25/2026 | 12,946 | 10,243,523 | ||||||||
Total | 233,231,376 | |||||||||||
Electric: Integrated 0.28% | ||||||||||||
AES Corp. (The) | 5.125% | 9/1/2027 | 11,058 | 12,210,410 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 10,343 | 11,054,081 | ||||||||
Total | 23,264,491 | |||||||||||
Electronics 0.75% | ||||||||||||
Amkor Technology, Inc.† | 6.625% | 9/15/2027 | 7,220 | 7,842,725 | ||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | 10,899 | 11,239,594 | ||||||||
Qorvo, Inc. | 4.375% | 10/15/2029 | 22,061 | 23,843,087 | ||||||||
Sensata Technologies BV† | 5.625% | 11/1/2024 | 16,949 | 19,035,846 | ||||||||
Total | 61,961,252 | |||||||||||
Energy: Exploration & Production 6.92% | ||||||||||||
Afren plc (United Kingdom)†(a)(j) | 6.625% | 12/9/2020 | 4,806 | 23,549 | ||||||||
Afren plc (United Kingdom)†(a)(j) | 10.25% | 4/8/2019 | 3,367 | 85,849 | ||||||||
Afren plc (United Kingdom)†(a)(j) | 11.50% | 2/1/2016 | 4,294 | 109,489 | ||||||||
American Energy- Permian Basin LLC†(j) | 12.00% | 10/1/2024 | 3,744 | 93,600 | ||||||||
Apache Corp. | 4.375% | 10/15/2028 | 25,449 | 25,948,370 | ||||||||
Apache Corp. | 4.625% | 11/15/2025 | 12,920 | 13,449,074 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 24,459 | 24,397,852 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 14,777 | 15,192,603 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 17,375 | 9,599,688 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 13,516 | 7,473,064 | ||||||||
CNX Resources Corp.† | 6.00% | 1/15/2029 | 8,198 | 8,300,475 | ||||||||
Comstock Resources, Inc.† | 7.50% | 5/15/2025 | 12,524 | 12,524,000 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 2,556 | 2,624,577 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 21,827 | 23,464,025 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.625% | 10/15/2025 | 14,241 | 14,520,480 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 15,990 | 16,782,912 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 13,223 | 14,082,495 | ||||||||
EQT Corp. | 5.00% | 1/15/2029 | 8,097 | 8,562,578 | ||||||||
See Notes to Financial Statements. | 187 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
EQT Corp. | 7.875% | 2/1/2025 | $ | 24,287 | $ | 27,842,495 | ||||||
EQT Corp. | 8.75% | 2/1/2030 | 9,609 | 12,143,374 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | 20,379 | 19,994,754 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 10,031 | 9,965,397 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 16,563 | 16,852,852 | ||||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 19,947 | 13,392,416 | ||||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.† | 6.00% | 8/1/2026 | 30,429 | 30,276,855 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 30,905 | 26,635,474 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.00% | 3/31/2024 | 32,768 | 33,013,760 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.125% | 2/1/2027 | 33,383 | 32,798,797 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 14,441 | 13,091,633 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 12,782 | 12,670,158 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 13,818 | 13,774,819 | ||||||||
PDC Energy, Inc. | 6.125% | 9/15/2024 | 9,402 | 9,581,437 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 9,008 | 8,381,268 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 8,708 | 8,528,398 | ||||||||
Rattler Midstream LP† | 5.625% | 7/15/2025 | 7,857 | 8,308,778 | ||||||||
Seven Generations Energy Ltd. (Canada)†(a) | 5.375% | 9/30/2025 | 17,368 | 17,464,827 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 5,389 | 4,815,152 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 4,687 | 2,648,155 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 14,035 | 7,909,565 | ||||||||
Southwestern Energy Co. | 6.45% | 1/23/2025 | 10,561 | 10,818,424 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 14,408 | 15,893,825 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 19,033 | 20,130,062 | ||||||||
Total | 574,167,355 | |||||||||||
Environmental 0.19% | ||||||||||||
Stericycle, Inc.† | 3.875% | 1/15/2029 | 6,517 | 6,785,826 | ||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 8,986 | 9,304,150 | ||||||||
Total | 16,089,976 | |||||||||||
Food & Drug Retailers 0.85% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New | ||||||||||||
Albertsons LP/Albertsons LLC† | 4.875% | 2/15/2030 | 20,236 | 22,152,349 | ||||||||
Fresh Market, Inc. (The)† | 9.75% | 5/1/2023 | 14,559 | 14,295,118 | ||||||||
Murphy Oil USA, Inc. | 5.625% | 5/1/2027 | 8,668 | 9,218,938 | ||||||||
Rite Aid Corp.† | 7.50% | 7/1/2025 | 12,836 | 13,082,772 | ||||||||
Rite Aid Corp.† | 8.00% | 11/15/2026 | 11,757 | 11,948,052 | ||||||||
Total | 70,697,229 |
188 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food: Wholesale 3.86% | ||||||||||||
Arcor SAIC (Argentina)†(a) | 6.00% | 7/6/2023 | $ | 12,122 | $ | 12,040,176 | ||||||
Central Garden & Pet Co. | 4.125% | 10/15/2030 | 7,554 | 7,969,848 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 4.625% | 11/15/2028 | 10,105 | 10,483,937 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 18,678 | 19,576,692 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(a) | 5.625% | 8/15/2026 | 24,709 | 25,167,599 | ||||||||
Herbalife Nutrition Ltd./HLF Financing, Inc.† | 7.875% | 9/1/2025 | 8,247 | 9,061,391 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 14,662 | 16,330,096 | ||||||||
Kraft Heinz Foods Co.† | 3.75% | 4/1/2030 | 16,650 | 17,916,190 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 43,764 | 46,750,150 | ||||||||
Kraft Heinz Foods Co. | 4.625% | 1/30/2029 | 16,768 | 19,243,868 | ||||||||
Kraft Heinz Foods Co.† | 4.875% | 10/1/2049 | 40,462 | 45,646,041 | ||||||||
Kraft Heinz Foods Co. | 5.00% | 6/4/2042 | 27,350 | 31,348,293 | ||||||||
Kraft Heinz Foods Co. | 5.20% | 7/15/2045 | 5,171 | 6,104,634 | ||||||||
MHP Lux SA (Luxembourg)†(a) | 6.95% | 4/3/2026 | 8,433 | 8,951,377 | ||||||||
Minerva Luxembourg SA (Luxembourg)†(a) | 5.875% | 1/19/2028 | 15,123 | 16,264,786 | ||||||||
SEG Holding LLC/SEG Finance Corp.† | 5.625% | 10/15/2028 | 8,121 | 8,527,050 | ||||||||
Tonon Luxembourg SA PIK 6.50% (Luxembourg)†(a) | 6.50% | 10/31/2024 | 1,854 | 46,348 | ||||||||
Ulker Biskuvi Sanayi AS (Turkey)†(a) | 6.95% | 10/30/2025 | 17,879 | 19,036,665 | ||||||||
Total | 320,465,141 | |||||||||||
Forestry/Paper 0.46% | ||||||||||||
Boise Cascade Co.† | 4.875% | 7/1/2030 | 7,599 | 8,259,163 | ||||||||
Enviva Partners LP/Enviva Partners Finance Corp.† | 6.50% | 1/15/2026 | 19,540 | 20,913,467 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 10,444 | 8,889,358 | ||||||||
Total | 38,061,988 | |||||||||||
Gaming 4.08% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 19,273 | 19,624,925 | ||||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 5,618 | 5,863,788 | ||||||||
Buena Vista Gaming Authority† | 13.00% | 4/1/2023 | 14,710 | 15,932,769 | ||||||||
Caesars Entertainment, Inc.† | 8.125% | 7/1/2027 | 22,982 | 25,308,927 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.25% | 10/15/2025 | 8,835 | 8,846,618 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.75% | 7/1/2025 | 7,681 | 8,141,860 | ||||||||
CCM Merger, Inc.† | 6.375% | 5/1/2026 | 8,488 | 8,892,029 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 18,786 | 19,772,547 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 13,087 | 14,690,158 | ||||||||
International Game Technology PLC† | 5.25% | 1/15/2029 | 7,862 | 8,329,632 | ||||||||
Marriott Ownership Resorts, Inc. | 4.75% | 1/15/2028 | 9,197 | 9,298,719 | ||||||||
Melco Resorts Finance Ltd. (Hong Kong)†(a) | 5.75% | 7/21/2028 | 12,247 | 12,880,782 |
See Notes to Financial Statements. | 189 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming (continued) | ||||||||||||
MGM Growth Properties Operating | ||||||||||||
Partnership LP/MGP Finance Co-Issuer, Inc. | 5.625% | 5/1/2024 | $ | 6,675 | $ | 7,171,453 | ||||||
MGM Resorts International | 4.625% | 9/1/2026 | 17,981 | 18,464,239 | ||||||||
MGM Resorts International | 5.50% | 4/15/2027 | 9,882 | 10,596,913 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 13,554 | 13,452,345 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 24,436 | 25,446,429 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 13,193 | 14,025,808 | ||||||||
Scientific Games International, Inc.† | 8.625% | 7/1/2025 | 7,694 | 8,319,061 | ||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.† | 5.875% | 5/15/2025 | 16,508 | 16,155,472 | ||||||||
Twin River Worldwide Holdings, Inc.† | 6.75% | 6/1/2027 | 15,493 | 16,219,234 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 13,733 | 13,896,079 | ||||||||
Wynn Macau Ltd. (Macau)†(a) | 5.125% | 12/15/2029 | 21,179 | 21,269,540 | ||||||||
Wynn Macau Ltd. (Macau)†(a) | 5.50% | 10/1/2027 | 16,165 | 16,528,712 | ||||||||
Total | 339,128,039 | |||||||||||
Gas Distribution 1.39% | ||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.† | 7.875% | 5/15/2026 | 13,439 | 13,511,302 | ||||||||
Buckeye Partners LP | 3.95% | 12/1/2026 | 14,641 | 14,403,084 | ||||||||
Buckeye Partners LP | 4.125% | 12/1/2027 | 8,559 | 8,500,157 | ||||||||
Buckeye Partners LP | 6.375%(3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 17,697 | 12,109,968 | |||||||
EQM Midstream Partners LP† | 6.50% | 7/1/2027 | 8,233 | 9,088,532 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 7,465 | 8,346,658 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.† | 4.875% | 2/1/2031 | 6,899 | 7,349,160 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 5.00% | 1/15/2028 | 2,919 | 3,048,531 | ||||||||
Western Midstream Operating LP | 5.05% | 2/1/2030 | 36,447 | 38,975,693 | ||||||||
Total | 115,333,085 | |||||||||||
Health Facilities 4.16% | ||||||||||||
Acadia Healthcare Co., Inc.† | 5.00% | 4/15/2029 | 8,960 | 9,464,000 | ||||||||
Acadia Healthcare Co., Inc.† | 5.50% | 7/1/2028 | 6,640 | 7,075,750 | ||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 8,449 | 9,323,978 | ||||||||
Encompass Health Corp. | 4.50% | 2/1/2028 | 18,101 | 18,972,201 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 15,857 | 21,166,845 | ||||||||
HCA, Inc. | 5.875% | 2/1/2029 | 33,179 | 39,716,756 | ||||||||
HCA, Inc. | 7.50% | 12/15/2023 | 10,647 | 12,244,050 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 3,765 | 4,559,961 |
190 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Facilities (continued) | ||||||||||||
HCA, Inc. | 8.36% | 4/15/2024 | $ | 12,701 | $ | 14,923,675 | ||||||
LifePoint Health, Inc.† | 4.375% | 2/15/2027 | 15,977 | 16,096,827 | ||||||||
MEDNAX, Inc.† | 6.25% | 1/15/2027 | 15,581 | 16,710,311 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 9,013 | 9,559,053 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(a) | 4.95% | 1/17/2028 | 12,824 | 13,655,316 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 10,757 | 11,842,973 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 27,976 | 29,907,463 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 8,700 | 9,542,813 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 10,029 | 10,342,306 | ||||||||
Tenet Healthcare Corp. | 5.125% | 5/1/2025 | 6,179 | 6,248,205 | ||||||||
Tenet Healthcare Corp.† | 6.125% | 10/1/2028 | 21,037 | 21,365,703 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 46,868 | 49,159,611 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 12,711 | 13,683,391 | ||||||||
Total | 345,561,188 | |||||||||||
Health Services 1.76% | ||||||||||||
Akumin, Inc.† | 7.00% | 11/1/2025 | 13,524 | 13,946,625 | ||||||||
Catalent Pharma Solutions, Inc.† | 5.00% | 7/15/2027 | 12,351 | 13,020,301 | ||||||||
Charles River Laboratories International, Inc.† | 4.25% | 5/1/2028 | 8,503 | 8,974,406 | ||||||||
DaVita, Inc.† | 3.75% | 2/15/2031 | 21,581 | 21,540,536 | ||||||||
Global Medical Response, Inc.† | 6.50% | 10/1/2025 | 18,380 | 18,954,375 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 19,519 | 19,978,868 | ||||||||
Providence Service Corp. (The)† | 5.875% | 11/15/2025 | 8,365 | 8,894,044 | ||||||||
Radiology Partners, Inc.† | 9.25% | 2/1/2028 | 18,320 | 20,014,600 | ||||||||
Service Corp. International | 3.375% | 8/15/2030 | 8,543 | 8,772,593 | ||||||||
US Renal Care, Inc.† | 10.625% | 7/15/2027 | 10,650 | 11,794,875 | ||||||||
Total | 145,891,223 | |||||||||||
Hotels 1.45% | ||||||||||||
ESH Hospitality, Inc.† | 4.625% | 10/1/2027 | 23,242 | 23,625,493 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 19,094 | 20,621,425 | ||||||||
Hilton Domestic Operating Co., Inc. | 5.125% | 5/1/2026 | 20,202 | 20,944,221 | ||||||||
Marriott Ownership Resorts, Inc./ILG LLC | 6.50% | 9/15/2026 | 7,328 | 7,707,004 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 16,365 | 17,275,303 | ||||||||
Wyndham Destinations, Inc. | 6.00% | 4/1/2027 | 5,855 | 6,414,884 | ||||||||
Wyndham Destinations, Inc.† | 6.625% | 7/31/2026 | 15,168 | 17,045,040 | ||||||||
Wyndham Hotels & Resorts, Inc.† | 5.375% | 4/15/2026 | 6,687 | 6,916,866 | ||||||||
Total | 120,550,236 |
See Notes to Financial Statements. | 191 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance Brokerage 0.38% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 7.00% | 11/15/2025 | $ | 11,946 | $ | 12,267,049 | ||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 10/15/2027 | 7,618 | 8,183,179 | ||||||||
Ardonagh Midco 2 plc (United Kingdom)†(a) | 11.50% | 1/15/2027 | 10,542 | 10,831,905 | ||||||||
Total | 31,282,133 | |||||||||||
Integrated Energy 0.84% | ||||||||||||
Cenovus Energy, Inc. (Canada)(a) | 5.375% | 7/15/2025 | 15,889 | 17,539,059 | ||||||||
Cenovus Energy, Inc. (Canada)(a) | 5.40% | 6/15/2047 | 16,004 | 17,104,853 | ||||||||
New Fortress Energy, Inc.† | 6.75% | 9/15/2025 | 16,916 | 18,004,968 | ||||||||
Northriver Midstream Finance LP (Canada)†(a) | 5.625% | 2/15/2026 | 17,223 | 17,513,638 | ||||||||
Total | 70,162,518 | |||||||||||
Investments & Miscellaneous Financial Services 0.96% | ||||||||||||
Advisor Group Holdings, Inc.† | 10.75% | 8/1/2027 | 8,113 | 8,775,710 | ||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 11,113 | 11,196,348 | ||||||||
Fairstone Financial, Inc. (Canada)†(a) | 7.875% | 7/15/2024 | 11,285 | 12,024,393 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 14,315 | 12,580,966 | ||||||||
Intrum AB (Sweden)†(e) | 4.875% | 8/15/2025 | EUR | 12,000 | 14,722,161 | |||||||
LHC3 plc PIK 4.88%(e) | 4.125% | 8/15/2024 | EUR | 7,790 | 9,480,264 | |||||||
MSCI, Inc.† | 3.875% | 2/15/2031 | $ | 10,015 | 10,590,863 | |||||||
Total | 79,370,705 | |||||||||||
Machinery 0.35% | ||||||||||||
Clark Equipment Co.† | 5.875% | 6/1/2025 | 11,383 | 12,030,408 | ||||||||
Hillenbrand, Inc. | 5.75% | 6/15/2025 | 7,476 | 8,013,337 | ||||||||
Park-Ohio Industries, Inc. | 6.625% | 4/15/2027 | 8,854 | 9,005,758 | ||||||||
Total | 29,049,503 | |||||||||||
Managed Care 1.05% | ||||||||||||
Centene Corp. | 3.00% | 10/15/2030 | 3,740 | 3,941,586 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 23,584 | 24,755,771 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 28,784 | 31,596,053 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 16,178 | 17,184,757 | ||||||||
MPH Acquisition Holdings LLC† | 5.75% | 11/1/2028 | 10,205 | 10,013,656 | ||||||||
Total | 87,491,823 | |||||||||||
Media: Content 4.27% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 27,621 | 28,477,113 | ||||||||
Banijay Entertainment SASU (France)†(a) | 5.375% | 3/1/2025 | 7,750 | 7,890,469 | ||||||||
Belo Corp. | 7.25% | 9/15/2027 | 11,082 | 12,672,932 |
192 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media: Content (continued) | ||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | $ | 25,030 | $ | 19,445,181 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 6.625% | 8/15/2027 | 14,231 | 8,178,556 | ||||||||
EW Scripps Co. (The)† | 5.125% | 5/15/2025 | 12,511 | 12,565,735 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 17,046 | 18,814,522 | ||||||||
iHeartCommunications, Inc.† | 4.75% | 1/15/2028 | 8,225 | 8,326,250 | ||||||||
Netflix, Inc.(e) | 3.625% | 5/15/2027 | EUR | 25,266 | 33,773,634 | |||||||
Netflix, Inc.†(e) | 3.625% | 6/15/2030 | EUR | 11,539 | 15,711,029 | |||||||
Netflix, Inc.(e) | 3.875% | 11/15/2029 | EUR | 3,771 | 5,220,769 | |||||||
Netflix, Inc.†(e) | 3.875% | 11/15/2029 | EUR | 8,134 | 11,261,134 | |||||||
Netflix, Inc.(e) | 4.625% | 5/15/2029 | EUR | 31,656 | 45,843,592 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 25,360 | 29,078,537 | |||||||
Netflix, Inc.† | 4.875% | 6/15/2030 | 26,288 | 30,444,790 | ||||||||
Nexstar Broadcasting, Inc.† | 5.625% | 7/15/2027 | 30,255 | 32,306,743 | ||||||||
Sirius XM Radio, Inc.† | 4.125% | 7/1/2030 | 4,222 | 4,428,878 | ||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 14,236 | 15,000,260 | ||||||||
Sirius XM Radio, Inc.† | 5.50% | 7/1/2029 | 6,408 | 7,028,775 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 8,236 | 8,302,917 | ||||||||
Total | 354,771,816 | |||||||||||
Medical Products 0.10% | ||||||||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA† | 7.25% | 2/1/2028 | 7,639 | 8,149,973 | ||||||||
Metals/Mining (Excluding Steel) 4.18% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(a) | 5.50% | 12/15/2027 | 8,837 | 9,584,168 | ||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(a) | 8.75% | 7/15/2026 | 14,018 | 14,751,352 | ||||||||
Cleveland-Cliffs, Inc. | 5.875% | 6/1/2027 | 13,610 | 13,592,987 | ||||||||
Coeur Mining, Inc. | 5.875% | 6/1/2024 | 16,649 | 16,751,308 | ||||||||
Compass Minerals International, Inc.† | 6.75% | 12/1/2027 | 11,682 | 12,892,138 | ||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 6.875% | 10/15/2027 | 11,685 | 12,240,038 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(a) | 4.50% | 9/15/2027 | 38,802 | 42,604,596 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 27,491 | 28,985,823 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 27,788 | 30,240,847 | ||||||||
Freeport-McMoRan, Inc. | 4.375% | 8/1/2028 | 6,504 | 6,962,044 | ||||||||
Freeport-McMoRan, Inc. | 4.625% | 8/1/2030 | 9,029 | 10,038,216 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 22,564 | 25,205,342 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 25,239 | 27,219,000 |
See Notes to Financial Statements. | 193 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals/Mining (Excluding Steel) (continued) | ||||||||||||
Hudbay Minerals, Inc. (Canada)†(a) | 6.125% | 4/1/2029 | $ | 9,655 | $ | 10,406,159 | ||||||
IAMGOLD Corp. (Canada)†(a) | 5.75% | 10/15/2028 | 12,207 | 12,252,776 | ||||||||
Kaiser Aluminum Corp.† | 4.625% | 3/1/2028 | 8,379 | 8,655,172 | ||||||||
Kaiser Aluminum Corp.† | 6.50% | 5/1/2025 | 7,586 | 8,135,985 | ||||||||
Mirabela Nickel Ltd. (Australia)(a) | 1.00% | 9/10/2044 | 51 | 5 | (c) | |||||||
New Gold, Inc. (Canada)†(a) | 7.50% | 7/15/2027 | 14,607 | 15,897,309 | ||||||||
Nexa Resources SA (Brazil)†(a) | 5.375% | 5/4/2027 | 10,415 | 11,573,773 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 12,588 | 12,532,802 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 16,387 | 16,399,782 | ||||||||
Total | 346,921,622 | |||||||||||
Oil Field Equipment & Services 0.63% | ||||||||||||
ChampionX Corp | 6.375% | 5/1/2026 | 13,196 | 13,229,782 | ||||||||
Nabors Industries Ltd.† | 7.25% | 1/15/2026 | 1,104 | 620,310 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 16,714 | 15,164,612 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 16,681 | 14,053,743 | ||||||||
Precision Drilling Corp. (Canada)†(a) | 7.125% | 1/15/2026 | 79 | 52,421 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.875% | 9/1/2027 | 8,383 | 8,850,855 | ||||||||
Total | 51,971,723 | |||||||||||
Oil Refining & Marketing 0.22% | ||||||||||||
Citgo Holding, Inc.† | 9.25% | 8/1/2024 | 5,087 | 4,552,865 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 5,841 | 5,705,927 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp.† | 9.25% | 5/15/2025 | 7,775 | 7,747,204 | ||||||||
Total | 18,005,996 | |||||||||||
Packaging 1.50% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 20,903 | 20,824,614 | ||||||||
Ball Corp. | 4.875% | 3/15/2026 | 7,595 | 8,560,172 | ||||||||
CANPACK SA/Eastern PA Land Investment Holding LLC†(e) | 2.375% | 11/1/2027 | EUR | 5,410 | 6,638,506 | |||||||
CANPACK SA/Eastern PA Land Investment Holding LLC (Luxembourg)†(a) | 3.125% | 11/1/2025 | $ | 8,000 | 8,150,000 | |||||||
FXI Holdings, Inc.† | 7.875% | 11/1/2024 | 8,269 | 8,310,345 | ||||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC (Canada)†(a) | 6.00% | 9/15/2028 | 8,726 | 9,291,881 | ||||||||
Intertape Polymer Group, Inc. (Canada)†(a) | 7.00% | 10/15/2026 | 13,553 | 14,414,429 | ||||||||
Pactiv LLC | 7.95% | 12/15/2025 | 9,754 | 10,918,432 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 14,508 | 19,251,826 | ||||||||
Trident TPI Holdings, Inc.† | 9.25% | 8/1/2024 | 8,090 | 8,636,075 |
194 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Packaging (continued) | ||||||||||||
Trivium Packaging Finance BV (Netherlands)†(a) | 5.50% | 8/15/2026 | $ | 9,151 | $ | 9,602,831 | ||||||
Total | 124,599,111 | |||||||||||
Personal & Household Products 1.17% | ||||||||||||
Central Garden & Pet Co. | 5.125% | 2/1/2028 | 5,024 | 5,357,794 | ||||||||
Coty, Inc.† | 6.50% | 4/15/2026 | 8,970 | 8,759,205 | ||||||||
Diamond BC BV(e) | 5.625% | 8/15/2025 | EUR | 14,035 | 17,036,076 | |||||||
Dometic Group AB(e) | 3.00% | 5/8/2026 | EUR | 10,408 | 12,770,648 | |||||||
Mattel, Inc. | 5.45% | 11/1/2041 | $ | 9,276 | 9,872,400 | |||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 7,955 | 8,785,303 | ||||||||
Newell Brands, Inc. | 5.875% | 4/1/2036 | 22,651 | 27,294,455 | ||||||||
Scotts Miracle-Gro Co. (The) | 4.50% | 10/15/2029 | 6,714 | 7,188,378 | ||||||||
Total | 97,064,259 | |||||||||||
Pharmaceuticals 0.43% | ||||||||||||
Emergent BioSolutions, Inc.† | 3.875% | 8/15/2028 | 8,513 | 8,624,733 | ||||||||
Horizon Therapeutics USA, Inc.† | 5.50% | 8/1/2027 | 25,544 | 27,024,019 | ||||||||
Total | 35,648,752 | |||||||||||
Rail 0.14% | ||||||||||||
Watco Cos LLC/Watco Finance Corp.† | 6.50% | 6/15/2027 | 11,131 | 11,819,731 | ||||||||
Real Estate Development & Management 0.27% | ||||||||||||
Forestar Group, Inc.† | 5.00% | 3/1/2028 | 13,638 | 13,704,076 | ||||||||
Howard Hughes Corp. (The)† | 5.375% | 8/1/2028 | 8,370 | 8,931,502 | ||||||||
Total | 22,635,578 | |||||||||||
Real Estate Investment Trusts 0.51% | ||||||||||||
EPR Properties | 4.50% | 4/1/2025 | 8,741 | 8,766,685 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.75% | 9/15/2030 | 12,765 | 13,116,038 | ||||||||
Tanger Properties LP | 3.875% | 7/15/2027 | 8,457 | 8,480,541 | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 12,027 | 12,064,584 | ||||||||
Total | 42,427,848 | |||||||||||
Recreation & Travel 2.05% | ||||||||||||
Boyne USA, Inc.† | 7.25% | 5/1/2025 | 8,360 | 8,843,041 | ||||||||
Carnival Corp.† | 7.625% | 3/1/2026 | 5,389 | 5,730,770 | ||||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 12,515 | 14,697,303 | ||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 21,336 | 24,327,414 | ||||||||
Cedar Fair LP | 5.25% | 7/15/2029 | 10,928 | 11,219,668 |
See Notes to Financial Statements. | 195 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Recreation & Travel (continued) | ||||||||||||
eDreams ODIGEO SA(e) | 5.50% | 9/1/2023 | EUR | 7,289 | $ | 8,346,917 | ||||||
Inter Media & Communication SpA†(e) | 4.875% | 12/31/2022 | EUR | 7,503 | 8,904,758 | |||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | $ | 5,544 | 5,294,520 | |||||||
Merlin Entertainments Ltd. (United Kingdom)†(a) | 5.75% | 6/15/2026 | 8,191 | 8,588,755 | ||||||||
Motion Finco Sarl†(e) | 7.00% | 5/15/2025 | EUR | 7,300 | 9,271,204 | |||||||
NCL Corp. Ltd.† | 12.25% | 5/15/2024 | $ | 11,571 | 13,737,091 | |||||||
Pinnacle Bidco plc(e) | 6.375% | 2/15/2025 | GBP | 7,809 | 10,411,039 | |||||||
Royal Caribbean Cruises Ltd.† | 9.125% | 6/15/2023 | $ | 7,692 | 8,336,205 | |||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 10,655 | 12,532,944 | ||||||||
Vail Resorts, Inc.† | 6.25% | 5/15/2025 | 10,278 | 11,010,308 | ||||||||
Viking Cruises Ltd.† | 13.00% | 5/15/2025 | 7,818 | 9,200,809 | ||||||||
Total | 170,452,746 | |||||||||||
Restaurants 0.91% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada)†(a) | 4.375% | 1/15/2028 | 7,449 | 7,703,681 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 12,027 | 12,462,979 | ||||||||
IRB Holding Corp.† | 7.00% | 6/15/2025 | 5,834 | 6,384,467 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 11,882 | 12,480,912 | ||||||||
Stonegate Pub Co. Financing plc(e) | 8.00% | 7/13/2025 | GBP | 2,959 | 4,003,964 | |||||||
Stonegate Pub Co. Financing plc(e) | 8.25% | 7/31/2025 | GBP | 3,536 | 4,846,455 | |||||||
Wendy’s International LLC | 7.00% | 12/15/2025 | $ | 8,091 | 8,852,080 | |||||||
Yum! Brands, Inc. | 5.35% | 11/1/2043 | 16,487 | 18,465,440 | ||||||||
Total | 75,199,978 | |||||||||||
Software/Services 2.94% | ||||||||||||
Avaya, Inc.† | 6.125% | 9/15/2028 | 11,712 | 12,385,440 | ||||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 14,681 | 15,747,575 | ||||||||
BY Crown Parent LLC/BY Bond Finance, Inc.† | 4.25% | 1/31/2026 | 16,100 | 16,562,875 | ||||||||
Castle US Holding Corp.† | 9.50% | 2/15/2028 | 8,793 | 8,373,970 | ||||||||
Fair Isaac Corp.† | 4.00% | 6/15/2028 | 18,635 | 19,502,925 | ||||||||
Fair Isaac Corp.† | 5.25% | 5/15/2026 | 9,983 | 11,216,499 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 11,212 | 11,821,652 | ||||||||
GrubHub Holdings, Inc.† | 5.50% | 7/1/2027 | 30,132 | 31,600,935 | ||||||||
Logan Merger Sub, Inc.† | 5.50% | 9/1/2027 | 19,205 | 19,949,194 | ||||||||
Match Group Holdings II LLC† | 4.125% | 8/1/2030 | 19,065 | 19,765,067 | ||||||||
Match Group Holdings II LLC† | 5.00% | 12/15/2027 | 11,829 | 12,551,279 | ||||||||
PTC, Inc.† | 3.625% | 2/15/2025 | 8,476 | 8,674,550 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 9,121 | 9,514,343 |
196 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Software/Services (continued) | ||||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.† | 4.625% | 11/1/2026 | $ | 16,362 | $ | 17,037,751 | ||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 6,991 | 7,947,893 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 7.50% | 9/1/2025 | 7,730 | 7,814,566 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 10.50% | 2/1/2024 | 13,316 | 13,397,827 | ||||||||
Total | 243,864,341 | |||||||||||
Specialty Retail 3.36% | ||||||||||||
Asbury Automotive Group, Inc. | 4.50% | 3/1/2028 | 7,210 | 7,489,388 | ||||||||
B2W Digital Lux Sarl (Luxembourg)†(a) | 4.375% | 12/20/2030 | 8,208 | 8,511,614 | ||||||||
Carvana Co.† | 5.625% | 10/1/2025 | 8,922 | 8,977,762 | ||||||||
Carvana Co.† | 5.875% | 10/1/2028 | 4,519 | 4,592,434 | ||||||||
CD&R Smokey Buyer, Inc.† | 6.75% | 7/15/2025 | 7,880 | 8,461,150 | ||||||||
Dutch Lion BV PIK 12.00%(e) | 11.25% | 6/15/2020 | EUR | 9,153 | 1,092 | (c) | ||||||
eG Global Finance plc (United Kingdom)†(a) | 8.50% | 10/30/2025 | $ | 7,364 | 7,945,388 | |||||||
Gap, Inc. (The)† | 8.625% | 5/15/2025 | 8,689 | 9,668,685 | ||||||||
Gap, Inc. (The)† | 8.875% | 5/15/2027 | 7,145 | 8,297,131 | ||||||||
Group 1 Automotive, Inc.† | 4.00% | 8/15/2028 | 8,136 | 8,335,576 | ||||||||
Ken Garff Automotive LLC† | 4.875% | 9/15/2028 | 8,212 | 8,350,577 | ||||||||
L Brands, Inc.† | 6.625% | 10/1/2030 | 24,486 | 26,949,904 | ||||||||
L Brands, Inc.† | 6.875% | 7/1/2025 | 7,538 | 8,161,845 | ||||||||
L Brands, Inc. | 6.875% | 11/1/2035 | 7,960 | 8,681,375 | ||||||||
Lithia Motors, Inc.† | 4.375% | 1/15/2031 | 11,149 | 11,852,781 | ||||||||
Lithia Motors, Inc.† | 4.625% | 12/15/2027 | 11,709 | 12,462,767 | ||||||||
Maxeda DIY Holding BV†(e) | 5.875% | 10/1/2026 | EUR | 4,917 | 6,105,487 | |||||||
Maxeda DIY Holding BV(e) | 5.875% | 10/1/2026 | EUR | 7,000 | 8,691,968 | |||||||
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.† | 7.875% | 10/1/2022 | $ | 15,773 | 13,446,482 | |||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 18,673 | 19,883,290 | ||||||||
Penske Automotive Group, Inc. | 3.50% | 9/1/2025 | 9,206 | 9,309,567 | ||||||||
PetSmart, Inc.† | 7.125% | 3/15/2023 | 3,477 | 3,437,710 | ||||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.625% | 12/1/2025 | 9,126 | 9,365,557 | ||||||||
Sally Holdings LLC/Sally Capital, Inc.† | 8.75% | 4/30/2025 | 12,410 | 13,790,612 | ||||||||
Sonic Automotive, Inc. | 6.125% | 3/15/2027 | 8,561 | 8,959,729 | ||||||||
Tapestry, Inc. | 4.125% | 7/15/2027 | 10,819 | 11,484,036 | ||||||||
William Carter Co. (The)† | 5.50% | 5/15/2025 | 12,051 | 12,796,656 | ||||||||
William Carter Co. (The)† | 5.625% | 3/15/2027 | 12,004 | 12,671,722 | ||||||||
Total | 278,682,285 |
See Notes to Financial Statements. | 197 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Steel Producers/Products 0.11% | ||||||||||||
CSN Resources SA (Brazil)†(a) | 7.625% | 4/17/2026 | $ | 8,693 | $ | 9,377,574 | ||||||
Support: Services 3.63% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 9,694 | 6,743,389 | ||||||||
Algeco Global Finance plc (United Kingdom)†(a) | 8.00% | 2/15/2023 | 6,975 | 7,092,633 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 9.75% | 7/15/2027 | 10,311 | 11,453,046 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 5.25% | 3/15/2025 | 3,093 | 3,075,602 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 6.375% | 4/1/2024 | 13,595 | 13,891,711 | ||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 7,769 | 8,297,447 | ||||||||
Garda World Security Corp. (Canada)†(a) | 4.625% | 2/15/2027 | 17,955 | 18,044,775 | ||||||||
Garda World Security Corp. (Canada)†(a) | 9.50% | 11/1/2027 | 7,676 | 8,571,712 | ||||||||
H&E Equipment Services, Inc.(k)† | 3.875% | 12/15/2028 | 12,963 | 12,963,000 | ||||||||
Hertz Corp. (The)†(j) | 5.50% | 10/15/2024 | 7,933 | 3,525,227 | ||||||||
Hertz Corp. (The)†(j) | 6.00% | 1/15/2028 | 7,842 | 3,504,394 | ||||||||
Hertz Corp. (The)(j) | 6.25% | 10/15/2022 | 2,582 | 1,136,080 | ||||||||
IPD 3 BV†(e) | 5.50% | 12/1/2025 | EUR | 3,425 | 4,204,606 | |||||||
IPD 3 BV(e) | 5.50% | 12/1/2025 | EUR | 3,500 | 4,296,678 | |||||||
MasTec, Inc.† | 4.50% | 8/15/2028 | $ | 10,806 | 11,301,239 | |||||||
Picasso Finance Sub, Inc.† | 6.125% | 6/15/2025 | 5,908 | 6,331,958 | ||||||||
Pike Corp.† | 5.50% | 9/1/2028 | 13,738 | 14,424,900 | ||||||||
Presidio Holdings, Inc.† | 4.875% | 2/1/2027 | 8,019 | 8,463,814 | ||||||||
Presidio Holdings, Inc.† | 8.25% | 2/1/2028 | 8,613 | 9,372,021 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 3.375% | 8/31/2027 | 18,479 | 18,271,111 | ||||||||
Promontoria Holding 264 BV(e) | 6.75% | 8/15/2023 | EUR | 4,936 | 5,315,741 | |||||||
Sabre GLBL, Inc.† | 7.375% | 9/1/2025 | $ | 11,804 | 12,736,516 | |||||||
Sabre GLBL, Inc.† | 9.25% | 4/15/2025 | 10,290 | 12,047,017 | ||||||||
Sotheby’s†(k) | 7.375% | 10/15/2027 | 11,219 | 11,798,910 | ||||||||
Tms International Holding Corp.† | 7.25% | 8/15/2025 | 4,531 | 4,497,018 | ||||||||
Uber Technologies, Inc.† | 6.25% | 1/15/2028 | 9,610 | 10,198,613 | ||||||||
Uber Technologies, Inc.† | 7.50% | 9/15/2027 | 8,199 | 8,957,408 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 15,758 | 17,008,791 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 35,628 | 38,077,425 | ||||||||
Williams Scotsman International, Inc.† | 4.625% | 8/15/2028 | 5,800 | 6,042,875 | ||||||||
Total | 301,645,657 |
198 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology Hardware & Equipment 0.68% | ||||||||||||
CDW LLC/CDW Finance Corp. | 4.125% | 5/1/2025 | $ | 9,845 | $ | 10,232,647 | ||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | 8,825 | 9,768,172 | ||||||||
Switch Ltd.† | 3.75% | 9/15/2028 | 16,300 | 16,568,298 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 18,591 | 20,328,096 | ||||||||
Total | 56,897,213 | |||||||||||
Telecommunications: Satellite 0.38% | ||||||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(a) | 6.75% | 10/1/2026 | 23,028 | 23,899,610 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 7,287 | 8,066,782 | ||||||||
Total | 31,966,392 | |||||||||||
Telecommunications: Wireless 1.90% | ||||||||||||
Millicom International Cellular SA (Luxembourg)†(a) | 6.25% | 3/25/2029 | 7,307 | 8,365,309 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 94,380 | 122,748,269 | ||||||||
VF Ukraine PAT via VFU Funding PLC (Ukraine)†(a) | 6.20% | 2/11/2025 | 7,716 | 8,043,930 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(a) | 4.25% | 1/31/2031 | 17,909 | 18,428,361 | ||||||||
Total | 157,585,869 | |||||||||||
Telecommunications: Wireline Integrated & Services 1.35% | ||||||||||||
Altice France Holding SA (Luxembourg)†(a) | 6.00% | 2/15/2028 | 7,398 | 7,522,323 | ||||||||
Altice France Holding SA (Luxembourg)†(a) | 10.50% | 5/15/2027 | 10,467 | 11,818,028 | ||||||||
Altice France SA (France)†(a) | 8.125% | 2/1/2027 | 23,994 | 26,450,866 | ||||||||
Frontier Communications Corp.† | 5.00% | 5/1/2028 | 11,164 | 11,359,370 | ||||||||
Frontier Communications Corp.† | 5.875% | 10/15/2027 | 10,251 | 10,795,584 | ||||||||
Frontier Communications Corp.† | 6.75% | 5/1/2029 | 3,769 | 3,910,337 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 10.75% | 6/1/2028 | 10,969 | 12,449,815 | ||||||||
Telefonica Celular del Paraguay SA (Paraguay)†(a) | 5.875% | 4/15/2027 | 6,699 | 7,156,207 | ||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.† | 7.75% | 8/15/2028 | 8,181 | 8,264,528 | ||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 11,539 | 12,222,340 | ||||||||
Total | 111,949,398 | |||||||||||
Theaters & Entertainment 0.10% | ||||||||||||
Live Nation Entertainment, Inc.† | 4.75% | 10/15/2027 | 8,549 | 8,444,830 | ||||||||
Transportation: Infrastructure/Services 0.52% | ||||||||||||
Golar LNG Partners LP (United Kingdom)†(a) | 8.321%(3 Mo. LIBOR + 8.10% | )# | 11/15/2022 | 4,219 | 3,375,537 |
See Notes to Financial Statements. | 199 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Infrastructure/Services (continued) | ||||||||||||
TransJamaican Highway Ltd. (Jamaica)†(a) | 5.75% | 10/10/2036 | $ | 12,775 | $ | 12,719,109 | ||||||
XPO CNW, Inc. | 6.70% | 5/1/2034 | 16,239 | 18,617,608 | ||||||||
XPO Logistics, Inc.† | 6.25% | 5/1/2025 | 7,556 | 8,108,532 | ||||||||
Total | 42,820,786 | |||||||||||
Total High Yield Corporate Bonds (cost $6,932,116,416) | 7,378,816,087 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCKS 0.07% | ||||||||||||
Energy: Exploration & Production 0.00% | ||||||||||||
Templar Energy LLC | Zero Coupon | 220 | – | (b) | ||||||||
Transportation: Infrastructure/Services 0.07% | ||||||||||||
ACBL Holdings Corp. Series A | Zero Coupon | 83 | 2,274,360 | (b) | ||||||||
ACBL Holdings Corp. Series B | Zero Coupon | 102 | 3,519,483 | (b) | ||||||||
Total Preferred Stocks (cost $6,531,418) | 5,793,843 | |||||||||||
Exercise Price | Expiration Date | |||||||||||
WARRANTS 0.00% | ||||||||||||
Machinery 0.00% | ||||||||||||
TNT Crane & Rigging, Inc.* | $ 4.00 | 10/16/2025 | 26 | 65,798 | (c) | |||||||
Personal & Household Products 0.00% | ||||||||||||
Remington Outdoor Co., Inc.* | 35.05 | 5/15/2022 | 129 | 1,294 | (b) | |||||||
Total Warrants (cost $860,127) | 67,092 | |||||||||||
Total Long-Term Investments (cost $7,767,448,548) | 8,214,122,214 | |||||||||||
Principal Amount (000) | ||||||||||||
SHORT-TERM INVESTMENTS 0.44% | ||||||||||||
REPURCHASE AGREEMENT 0.38% | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $32,030,200 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $32,012,679; proceeds: $31,384,933 (cost $31,384,933) | $ | 31,385 | 31,384,933 |
200 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Investments | Shares | Fair Value | ||||||
Money Market Fund 0.05% | ||||||||
Fidelity Government Portfolio(m) (cost $4,503,185) | 4,503,185 | $ | 4,503,185 | |||||
Time Deposit 0.01% | ||||||||
CitiBank N.A.(m) (cost $500,354) | 500,354 | 500,354 | ||||||
Total Short-Term Investments (cost $36,388,472) | 36,388,472 | |||||||
Total Investments in Securities 99.37% (cost $7,803,837,020) | 8,250,510,686 | |||||||
Less Unfunded Loan Commitments (0.03%) (cost $2,859,281)(n) | (2,881,235 | ) | ||||||
Net Investments 99.34% (cost $7,800,977,739) | 8,247,629,451 | |||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(o) 0.66% | 54,876,308 | |||||||
Net Assets 100.00% | $ | 8,302,505,759 |
CAD | Canadian dollar. |
EUR | Euro. |
GBP | British pound. |
CMT | Constant Maturity Rate. |
LIBOR | London Interbank Offered Rate. |
PIK | Payment-in-kind. |
Units | More than one class of securities traded together. |
* | Non-income producing security. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At November 30, 2020, the total value of Rule 144A securities was $4,745,298,270, which represents 57.16% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
(a) | Foreign security traded in U.S. dollars. | |
(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) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(d) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. | |
(e) | Investment in non-U.S. dollar denominated securities. | |
(f) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at November 30, 2020. | |
(g) | Interest rate to be determined. | |
(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) | Security partially/fully unfunded. See Note (2(o)). | |
(j) | Defaulted (non-income producing security). | |
(k) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(l) | Security is perpetual in nature and has no stated maturity. |
See Notes to Financial Statements. | 201 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
(m) | Security was purchased with the cash collateral from loaned securities. | |
(n) | See Note (2(o)). | |
(m) | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at November 30, 2020(1):
Referenced Index | Central Clearing party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | |||||||||||||||
Markit.CDX. EM.34(4)(5) | Credit Suisse | 1.00% | 12/20/2025 | $ | 125,000,000 | $ | 121,088,281 | $ | 4,224,811 | $(313,092 | ) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(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 $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $313,092. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of emerging market securities. |
202 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Credit Default Swaps on Indexes - Sell Protection at November 30, 2020(1):
Referenced Index* | Swap Counterparty | Fund Receives (Quarterly | ) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2 | ) | Unrealized Appreciation(3 | ) | Credit Default Swap Agreements Payable at Fair Value(4 | ) | ||||||||||||||||
Markit CMBX. NA.BBB-.9 | Citibank | 3.00% | 9/17/2058 | $ | 9,545,000 | $ | 7,801,701 | $ | (2,189,524 | ) | $ | 446,225 | $ | (1,743,299 | ) | |||||||||||||
Markit CMBX. NA.BBB-.9 | Citibank | 3.00% | 9/17/2058 | 4,430,000 | 3,620,905 | (993,139 | ) | 184,044 | (809,095 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.9 | Goldman | 3.00% | 9/17/2058 | 5,125,000 | 4,188,970 | (1,166,752 | ) | 230,722 | (936,030 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.9 | Morgan Stanley | 3.00% | 9/17/2058 | 8,981,000 | 7,340,710 | (1,950,549 | ) | 310,259 | (1,640,290 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.9 | Morgan Stanley | 3.00% | 9/17/2058 | 7,300,000 | 5,966,728 | (1,404,486 | ) | 71,214 | (1,333,272 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.10 | Merrill Lynch | 3.00% | 11/17/2059 | 10,000,000 | 8,382,342 | (1,718,416 | ) | 100,758 | (1,617,658 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.10 | Morgan Stanley | 3.00% | 11/17/2059 | 7,413,000 | 6,213,830 | (1,373,873 | ) | 174,703 | (1,199,170 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.10 | Morgan Stanley | 3.00% | 11/17/2059 | 3,426,000 | 2,871,791 | (572,836 | ) | 18,627 | (554,209 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.10 | Morgan Stanley | 3.00% | 11/17/2059 | 7,278,000 | 6,100,669 | (1,232,449 | ) | 55,118 | (1,177,331 | ) | ||||||||||||||||||
Markit CMBX. NA.BBB-.10 | Morgan Stanley | 3.00% | 11/17/2059 | 12,055,000 | 10,104,914 | (2,067,365 | ) | 117,279 | (1,950,086 | ) | ||||||||||||||||||
$ | (14,669,389 | ) | $ | 1,708,949 | $ | (12,960,440 | ) |
* | 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 $1,708,949. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
See Notes to Financial Statements. | 203 |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||||
British pound | Buy | Morgan Stanley | 12/8/2020 | 1,587,000 | $ | 2,051,873 | $ | 2,115,791 | $ | 63,918 | ||||||||||||
British pound | Buy | State Street Bank and Trust | 12/8/2020 | 1,198,000 | 1,565,416 | 1,597,175 | 31,759 | |||||||||||||||
British pound | Buy | Toronto Dominion Bank | 12/8/2020 | 2,056,000 | 2,653,047 | 2,741,063 | 88,016 | |||||||||||||||
Euro | Buy | Bank of America | 12/4/2020 | 2,283,000 | 2,665,524 | 2,723,402 | 57,878 | |||||||||||||||
Euro | Buy | State Street Bank and Trust | 12/4/2020 | 1,300,000 | 1,528,227 | 1,550,776 | 22,549 | |||||||||||||||
British pound | Sell | State Street Bank and Trust | 12/8/2020 | 21,620,000 | 28,878,701 | 28,823,820 | 54,881 | |||||||||||||||
Canadian dollar | Sell | Toronto Dominion Bank | 1/20/2021 | 7,805,468 | 6,015,455 | 6,012,220 | 3,235 | |||||||||||||||
Canadian dollar | Sell | Toronto Dominion Bank | 1/20/2021 | 1,900,157 | 1,465,792 | 1,463,610 | 2,182 | |||||||||||||||
Euro | Sell | Bank of America | 12/4/2020 | 6,260,000 | 7,484,318 | 7,467,584 | 16,734 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 341,152 |
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
British pound | Sell | Morgan Stanley | 12/8/2020 | 3,142,000 | $ | 4,077,467 | $ | 4,188,920 | $ | (111,453 | ) | |||||||||||
British pound | Sell | Morgan Stanley | 12/8/2020 | 1,319,000 | 1,687,889 | 1,758,493 | (70,604 | ) | ||||||||||||||
British pound | Sell | Morgan Stanley | 12/8/2020 | 1,615,000 | 2,058,426 | 2,153,121 | (94,695 | ) | ||||||||||||||
British pound | Sell | State Street Bank and Trust | 12/8/2020 | 1,375,000 | 1,752,848 | 1,833,152 | (80,304 | ) | ||||||||||||||
British pound | Sell | Toronto Dominion Bank | 12/8/2020 | 1,644,000 | 2,124,382 | 2,191,783 | (67,401 | ) | ||||||||||||||
British pound | Sell | Toronto Dominion Bank | 12/8/2020 | 4,711,000 | 6,192,558 | 6,280,713 | (88,155 | ) | ||||||||||||||
Euro | Sell | Bank of America | 12/4/2020 | 1,109,000 | 1,315,977 | 1,322,931 | (6,954 | ) | ||||||||||||||
Euro | Sell | Bank of America | 12/4/2020 | 2,045,000 | 2,404,312 | 2,439,490 | (35,178 | ) | ||||||||||||||
Euro | Sell | Bank of America | 12/4/2020 | 4,869,000 | 5,782,561 | 5,808,254 | (25,693 | ) | ||||||||||||||
Euro | Sell | BNP Paribas S.A. | 12/4/2020 | 5,586,000 | 6,603,492 | 6,663,566 | (60,074 | ) | ||||||||||||||
Euro | Sell | Credit Agricole | 12/4/2020 | 189,000,000 | 224,179,515 | 225,459,009 | (1,279,494 | ) | ||||||||||||||
Euro | Sell | J.P. Morgan | 12/4/2020 | 4,200,000 | 4,925,971 | 5,010,200 | (84,229 | ) | ||||||||||||||
Euro | Sell | Morgan Stanley | 12/4/2020 | 928,000 | 1,097,475 | 1,107,016 | (9,541 | ) | ||||||||||||||
Euro | Sell | Morgan Stanley | 12/4/2020 | 451,000 | 535,960 | 538,000 | (2,040 | ) | ||||||||||||||
Euro | Sell | Morgan Stanley | 12/4/2020 | 4,756,000 | 5,643,058 | 5,673,455 | (30,397 | ) | ||||||||||||||
Euro | Sell | Morgan Stanley | 12/4/2020 | 687,000 | 814,959 | 819,526 | (4,567 | ) | ||||||||||||||
Euro | Sell | Morgan Stanley | 12/4/2020 | 8,986,000 | 10,653,482 | 10,719,443 | (65,961 | ) | ||||||||||||||
Euro | Sell | State Street Bank and Trust | 12/4/2020 | 1,022,000 | 1,201,097 | 1,219,149 | (18,052 | ) | ||||||||||||||
Euro | Sell | Toronto Dominion Bank | 12/4/2020 | 3,592,000 | 4,259,784 | 4,284,914 | (25,130 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (2,159,922 | ) |
204 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUND November 30, 2020
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Note | March 2021 | 391 | Long | $ | 53,977,010 | $ | 54,025,203 | $ | 48,193 | |||||||||
U.S. 2-Year Treasury Note | March 2021 | 8,929 | Long | 1,971,231,400 | 1,971,983,597 | 752,197 | ||||||||||||
U.S. Long Bond | March 2021 | 1,694 | Long | 295,294,895 | 296,291,187 | 996,292 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 1,796,682 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Bobl | December 2020 | 30 | Short | EUR | (4,053,847) | EUR | (4,062,000) | $ | (9,725 | ) | ||||||||
Euro-Bund | December 2020 | 304 | Short | (52,910,662 | ) | (53,276,000 | ) | (435,794 | ) | |||||||||
U.S. 10-Year Ultra Treasury Note | March 2021 | 2,164 | Short | $ | (339,505,156 | ) | $ | (340,018,500 | ) | (513,344 | ) | |||||||
U.S. 5-Year Treasury Note | March 2021 | 1,065 | Short | (134,129,912 | ) | (134,223,281 | ) | (93,369 | ) | |||||||||
U.S. Ultra Treasury Bond | March 2021 | 367 | Short | (78,767,001 | ) | (79,283,469 | ) | (516,468 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (1,568,700 | ) |
The following is a summary of the inputs used as of November 30, 2020 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 | ||||||||||||||||
Energy: Exploration & Production | $ | 17,260,316 | $ | – | $ | 15,246 | $ | 17,275,562 | ||||||||
Investments & Miscellaneous Financial Services | – | – | 48,812 | 48,812 | ||||||||||||
Machinery | 16,677,735 | 256,059 | – | 16,933,794 | ||||||||||||
Personal & Household Products | 16,765,546 | 169,129 | 6,669,418 | 23,604,093 | ||||||||||||
Specialty Retail | 16,504,675 | 2,586,296 | – | 19,090,971 | ||||||||||||
Transportation: Infrastructure/Services | – | 1,436,364 | 444,540 | 1,880,904 | ||||||||||||
Remaining Industries | 235,012,379 | – | – | 235,012,379 | ||||||||||||
Convertible Bonds | – | 184,006,811 | – | 184,006,811 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Diversified Capital Goods | – | 10,795,809 | 365,213 | 11,161,022 | ||||||||||||
Integrated Energy | – | – | 12,121,742 | 12,121,742 | ||||||||||||
Oil Field Equipment & Services | – | – | 9,763,985 | 9,763,985 | ||||||||||||
Personal & Household Products | – | 12,304,411 | 1,266,857 | 13,571,268 | ||||||||||||
Remaining Industries | – | 275,957,285 | – | 275,957,285 | ||||||||||||
Less Unfunded Commitments | – | (2,881,235 | ) | – | (2,881,235 | ) | ||||||||||
Foreign Government Obligation | – | 9,016,564 | – | 9,016,564 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | – | 151,289,046 | 850 | 151,289,896 | ||||||||||||
Banking | – | 140,794,512 | 1,000 | 140,795,512 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 346,921,617 | 5 | 346,921,622 | ||||||||||||
Specialty Retail | – | 278,681,193 | 1,092 | 278,682,285 | ||||||||||||
Remaining Industries | – | 6,461,126,772 | – | 6,461,126,772 | ||||||||||||
Preferred Stocks | – | – | 5,793,843 | 5,793,843 | ||||||||||||
Warrants | – | – | 67,092 | 67,092 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Fund | 4,503,185 | – | – | 4,503,185 | ||||||||||||
Repurchase Agreement | – | 31,384,933 | – | 31,384,933 | ||||||||||||
Time Deposit | – | 500,354 | – | 500,354 | ||||||||||||
Total | $ | 306,723,836 | $ | 7,904,345,920 | $ | 36,559,695 | $ | 8,247,629,451 |
See Notes to Financial Statements. | 205 |
Schedule of Investments (concluded)
HIGH YIELD FUND November 30, 2020
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (313,092 | ) | – | (313,092 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (12,960,440 | ) | – | (12,960,440 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 341,152 | – | 341,152 | ||||||||||||
Liabilities | – | (2,159,922 | ) | – | (2,159,922 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,796,682 | – | – | 1,796,682 | ||||||||||||
Liabilities | (1,568,700 | ) | – | – | (1,568,700 | ) | ||||||||||
Total | $ | 227,982 | $ | (15,092,302 | ) | $ | – | $ | (14,864,320 | ) |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
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, 2019 | $ | 49,009 | $ | 77,069,847 | $ | 2,619,355 | $ | – | $ | 1,294 | ||||||||||
Accrued Discounts (Premiums) | – | 238,262 | 86 | – | – | |||||||||||||||
Realized Gain (Loss) | (905,234 | ) | (6,346,993 | ) | 1,235,889 | – | – | |||||||||||||
Change in Unrealized Appreciation (Depreciation) | 878,154 | 1,062,072 | (10,548,284 | ) | 1,175,893 | (39,478 | ) | |||||||||||||
Purchases | 675,701 | 17,115,675 | 606,792 | 4,617,950 | 105,276 | |||||||||||||||
Sales | – | (43,356,651 | ) | (2,437,644 | ) | – | – | |||||||||||||
Transfers into Level 3 | 6,480,386 | – | 8,526,753 | – | – | |||||||||||||||
Transfers out of Level 3 | – | (22,264,415 | ) | – | – | – | ||||||||||||||
Balance as of November 30, 2020 | $ | 7,178,016 | $ | 23,517,797 | $ | 2,947 | $ | 5,793,843 | $ | 67,092 | ||||||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2020, related to Level 3 investments held at November 30, 2020 | $ | (26,883 | ) | $ | (1,693,805 | ) | $ | (9,074,370 | ) | $ | 1,175,893 | $ | (39,478 | ) |
206 | See Notes to Financial Statements. |
Schedule of Investments
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 95.60% | ||||||||||||
ASSET-BACKED SECURITIES 5.97% | ||||||||||||
Automobiles 0.60% | ||||||||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | $ | 525 | $ | 528,371 | ||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 118 | 118,449 | ||||||||
CPS Auto Trust 2017-A D† | 4.61% | 12/15/2022 | 2,306 | 2,339,751 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 362 | 367,132 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 227 | 227,857 | ||||||||
Flagship Credit Auto Trust 2019-1 D† | 4.08% | 2/18/2025 | 4,000 | 4,194,906 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 D† | 4.19% | 11/15/2023 | 3,500 | 3,612,161 | ||||||||
Westlake Automobile Receivables Trust 2020-1A C† | 2.52% | 4/15/2025 | 5,846 | 6,006,493 | ||||||||
Total | 17,395,120 | |||||||||||
Credit Cards 0.32% | ||||||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 2,831 | 2,884,823 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 1,844 | 1,910,160 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 4,424 | 4,463,901 | ||||||||
Total | 9,258,884 | |||||||||||
Other 5.05% | ||||||||||||
ALM VII Ltd. 2012-7A A2R2† | 2.087% (3 Mo. LIBOR +1.85% | )# | 7/15/2029 | 5,883 | 5,882,679 | |||||||
AMMC CLO XIV Ltd. 2014-14A A2LR† | 1.915% (3 Mo. LIBOR +1.70%) | # | 7/25/2029 | 2,350 | 2,338,597 | |||||||
Apex Credit CLO Ltd. 2016-1A B1R† | 2.067% (3 Mo. LIBOR + 1.85%) | # | 10/27/2028 | 796 | 790,620 | |||||||
Apex Credit CLO Ltd. 2017-1A B† | 2.165% (3 Mo. LIBOR + 1.95%) | # | 4/24/2029 | 876 | 875,977 | |||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 1.815% (3 Mo. LIBOR + 1.60%) | # | 4/25/2026 | 1,294 | 1,292,573 | |||||||
Avery Point V CLO Ltd. 2014-5A AR† | 1.198% (3 Mo. LIBOR + .98%) | # | 7/17/2026 | 264 | 263,182 | |||||||
Benefit Street Partners CLO X Ltd. 2016-10A A1R† | 1.377% (3 Mo. LIBOR + 1.14%) | # | 1/15/2029 | 4,000 | 3,990,278 | |||||||
Benefit Street Partners CLO XII Ltd. 2017-12A C† | 3.287% (3 Mo. LIBOR + 3.05%) | # | 10/15/2030 | 1,950 | 1,840,240 |
See Notes to Financial Statements. | 207 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
BlueMountain CLO Ltd. 2013-1A A2R2† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | $ | 1,308 | $ | 1,303,506 | |||||
BlueMountain CLO Ltd. 2016-1A BR† | 1.568% (3 Mo. LIBOR + 1.35% | )# | 4/20/2027 | 4,939 | 4,852,033 | |||||||
Bowman Park CLO Ltd. 2014-1A AR† | 1.393% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | 218 | 218,222 | |||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 3,888 | 3,859,704 | |||||||
Cedar Funding II CLO Ltd. 2013-1A DR† | 3.842% (3 Mo. LIBOR + 3.60% | )# | 6/9/2030 | 2,500 | 2,465,925 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 2,500 | 2,483,629 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 1.543% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 615 | 614,719 | |||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 119 | 118,817 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 559 | 564,881 | ||||||||
Elevation CLO Ltd. 2014-2A DR† | 3.437% (3 Mo. LIBOR + 3.20% | )# | 10/15/2029 | 1,000 | 955,820 | |||||||
Fairstone Financial Issuance Trust I 2020-1A C†(a) | 5.162% | 10/20/2039 | CAD | 7,816 | 6,014,990 | (b) | ||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 1.238% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | $ | 1,012 | 1,001,374 | ||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 2.365% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 895 | 882,047 | |||||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 1,984 | 2,170,170 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 4,012 | 4,286,159 | ||||||||
HPS Loan Management 10-2016 Ltd. A2R† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/20/2028 | 1,979 | 1,979,613 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 1.515% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 2,039 | 2,007,839 | |||||||
JFIN CLO Ltd. 2013-1A A1NR† | 1.608% (3 Mo. LIBOR + 1.39% | )# | 1/20/2030 | 2,000 | 1,994,181 | |||||||
Kayne CLO 7 Ltd. 2020-7A A1† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/17/2033 | 7,851 | 7,831,063 | |||||||
KKR CLO Ltd-30A B1† | 2.236% (3 Mo. LIBOR + 2.00% | )# | 10/17/2031 | 5,000 | 4,999,964 | |||||||
KKR CLO Ltd.18 B† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 7/18/2030 | 3,722 | 3,708,936 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.518% (3 Mo. LIBOR + 1.30% | )# | 4/20/2033 | 4,860 | 4,856,950 | |||||||
MidOcean Credit CLO VI 2016-6A BR† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 1/20/2029 | 1,493 | 1,491,066 |
208 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | $ | 443 | $ | 443,074 | |||||
Mountain View CLO LLC 2017-1A AR† | 1.32% (3 Mo. LIBOR + 1.09% | )# | 10/16/2029 | 4,505 | 4,468,522 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 1.574% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 2,400 | 2,360,782 | |||||||
Northwoods Capital 20 Ltd. 2019-20A C† | 3.015% (3 Mo. LIBOR + 2.80% | )# | 1/25/2030 | 2,539 | 2,539,317 | |||||||
Northwoods Capital 20 Ltd. 2019-20A D† | 4.465% (3 Mo. LIBOR + 4.25% | )# | 1/25/2030 | 2,939 | 2,940,283 | |||||||
Oaktree EIF III Series I Ltd. 2016-IIIA B† | 2.218% (3 Mo. LIBOR + 2.00% | )# | 10/20/2027 | 5,917 | 5,914,906 | |||||||
OCP CLO Ltd. 2013-4A CRR† | 3.215% (3 Mo. LIBOR + 3.00% | )# | 4/24/2029 | 2,250 | 2,140,826 | |||||||
Octagon Investment Partners 29 Ltd. 2016-1A AR† | 1.395% (3 Mo. LIBOR + 1.18% | )# | 1/24/2033 | 4,419 | 4,388,949 | |||||||
Octagon Investment Partners 30 Ltd. 2017-1A A2† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 3/17/2030 | 4,300 | 4,284,070 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 0.837% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 1,800 | 1,794,415 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 1.287% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 1,633 | 1,614,279 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 1.637% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 1,237 | 1,212,001 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 1.618% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 957 | 943,896 | |||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | 2,163 | 2,051,291 | ||||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 1.915% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 2,008 | 2,004,894 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 262 | 263,202 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 1.338% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 22 | 22,332 | |||||||
Shackleton CLO Ltd. 2019-14A A2† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 7/20/2030 | 6,782 | 6,784,070 | |||||||
Signal Peak CLO LLC 2015-1A DR2† | 3.068% (3 Mo. LIBOR + 2.85% | )# | 4/20/2029 | 2,000 | 1,887,307 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 2.709% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 2,180 | 2,185,423 | |||||||
Sound Point CLO XVII 2017-3A A2† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/20/2030 | 6,523 | 6,403,293 | |||||||
TCW CLO Ltd. 2019-1A D† | 3.211% (3 Mo. LIBOR + 2.99% | )# | 2/15/2029 | 3,750 | 3,569,929 |
See Notes to Financial Statements. | 209 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Thacher Park CLO Ltd. 2014-1A AR† | 1.378% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | $ | 499 | $ | 499,310 | |||||
Venture XXIV CLO Ltd. 2016-24A B† | 2.268% (3 Mo. LIBOR + 2.05% | )# | 10/20/2028 | 5,000 | 5,006,753 | |||||||
Wind River CLO Ltd. 2015-2A DR† | 2.837% (3 Mo. LIBOR + 2.60% | )# | 10/15/2027 | 3,750 | 3,558,347 | |||||||
Total | 147,217,225 | |||||||||||
Total Asset-Backed Securities (cost $173,296,864) | 173,871,229 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.07% | ||||||||||||
Oil | ||||||||||||
Oasis Petroleum, Inc.* | 58 | 1,995,138 | ||||||||||
Templar Energy LLC Class A Units | 97 | 7,764 | (b) | |||||||||
Total Common Stocks (cost $6,160,052) | 2,002,902 | |||||||||||
Principal Amount (000) | ||||||||||||
CORPORATE BONDS 77.08% | ||||||||||||
Aerospace/Defense 1.62% | ||||||||||||
BAE Systems Finance, Inc.† | 7.50% | 7/1/2027 | $ | 930 | 1,255,549 | |||||||
BAE Systems plc (United Kingdom)†(c) | 3.40% | 4/15/2030 | 5,052 | 5,712,759 | ||||||||
Boeing Co. (The) | 3.60% | 5/1/2034 | 4,125 | 4,176,675 | ||||||||
Boeing Co. (The) | 4.875% | 5/1/2025 | 6,748 | 7,540,341 | ||||||||
Boeing Co. (The) | 5.15% | 5/1/2030 | 3,525 | 4,145,775 | ||||||||
Boeing Co. (The) | 5.705% | 5/1/2040 | 4,490 | 5,685,440 | ||||||||
Boeing Co. (The) | 5.805% | 5/1/2050 | 8,644 | 11,446,689 | ||||||||
Boeing Co. (The) | 5.93% | 5/1/2060 | 2,139 | 2,916,305 | ||||||||
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 900 | 1,188,853 | ||||||||
Lockheed Martin Tactical Systems, Inc. | 7.625% | 6/15/2025 | 590 | 748,363 | ||||||||
Northrop Grumman Systems Corp. | 7.75% | 2/15/2031 | 1,512 | 2,312,496 | ||||||||
Total | 47,129,245 | |||||||||||
Air Transportation 0.47% | ||||||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(c) | 5.00% | 12/15/2023 | 1,825 | 1,548,285 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 1/15/2021 | 2,649 | 2,603,599 |
210 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 10/1/2022 | $ | 5,395 | $ | 3,957,818 | ||||||
American Airlines Group, Inc.† | 3.75% | 3/1/2025 | 1,924 | 1,268,339 | ||||||||
British Airways 2020-1 Class A Pass Through Trust (United Kingdom)†(c) | 4.25% | 11/15/2032 | 1,266 | 1,334,244 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.† | 8.00% | 9/20/2025 | 2,620 | 2,916,715 | ||||||||
Total | 13,629,000 | |||||||||||
Apparel 0.24% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 5,967 | 6,909,736 | ||||||||
Auto Parts: Original Equipment 0.53% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.875% | 7/1/2028 | 6,044 | 6,418,244 | ||||||||
Clarios Global LP† | 8.50% | 5/15/2027 | 2,700 | 2,910,330 | ||||||||
IHO Verwaltungs GmbH PIK 5.50% (Germany)†(c) | 4.75% | 9/15/2026 | 5,000 | 5,150,000 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 1,000 | 1,035,000 | ||||||||
Total | 15,513,574 | |||||||||||
Automotive 2.18% | ||||||||||||
Daimler Finance North America LLC† | 0.77% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 264 | 264,401 | |||||||
Daimler Finance North America LLC† | 1.121% (3 Mo. LIBOR + .90% | )# | 2/15/2022 | 3,520 | 3,543,892 | |||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 15,614 | 19,624,846 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 2,196 | 2,647,514 | ||||||||
General Motors Co. | 6.75% | 4/1/2046 | 17,843 | 25,463,709 | ||||||||
Nissan Motor Acceptance Corp.† | 0.77% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 1,750 | 1,746,669 | |||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 7,500 | 7,816,500 | ||||||||
Wabash National Corp.† | 5.50% | 10/1/2025 | 2,500 | 2,559,113 | ||||||||
Total | 63,666,644 | |||||||||||
Banks: Regional 6.10% | ||||||||||||
Bank Leumi Le-Israel BM (Israel)†(c) | 3.275% (5 Yr Treasury CMT + 1.63% | )# | 1/29/2031 | 1,570 | 1,611,212 | |||||||
Bank of Ireland Group plc (Ireland)(c) | 4.125% (5 Yr Treasury CMT + 2.50% | )# | 9/19/2027 | 12,794 | 12,971,606 | |||||||
Bank of Montreal (Canada)(c) | 3.803% (5 Yr. Swap rate + 1.43% | )# | 12/15/2032 | 6,558 | 7,425,499 | |||||||
Barclays Bank plc (United Kingdom)†(c) | 10.179% | 6/12/2021 | 2,840 | 2,975,967 |
See Notes to Financial Statements. | 211 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
BBVA Bancomer SA† | 5.125% (5 Yr Treasury CMT + 2.65% | )# | 1/18/2033 | $ | 4,300 | $ | 4,510,700 | |||||
BBVA USA | 3.875% | 4/10/2025 | 1,035 | 1,150,670 | ||||||||
BNP Paribas SA (France)†(c) | 4.50% (5 Yr Treasury CMT + 2.94% | )# | – | (d) | 4,153 | 4,135,038 | ||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15% | )# | 1/29/2031 | 6,232 | 6,702,710 | |||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 3,413 | 3,889,019 | |||||||
Citigroup, Inc. | 4.60% | 3/9/2026 | 2,161 | 2,530,532 | ||||||||
Danske Bank A/S (Denmark)†(c) | 4.375% | 6/12/2028 | 875 | 998,512 | ||||||||
Danske Bank A/S (Denmark)†(c) | 5.00% | 1/12/2022 | 1,095 | 1,146,608 | ||||||||
Danske Bank A/S (Denmark)†(c) | 5.375% | 1/12/2024 | 12,000 | 13,535,073 | ||||||||
Discover Bank | 4.682% (5 Yr. Swap rate + 1.73% | )# | 8/9/2028 | 7,750 | 8,226,354 | |||||||
Goldman Sachs Group, Inc. (The) | 4.25% | 10/21/2025 | 1,965 | 2,257,641 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 5,747 | 8,805,385 | ||||||||
Macquarie Bank Ltd. (Australia)†(c) | 4.875% | 6/10/2025 | 1,850 | 2,089,173 | ||||||||
Macquarie Bank Ltd. (Australia)†(c) | 6.625% | 4/7/2021 | 4,261 | 4,349,956 | ||||||||
Morgan Stanley | 5.00% | 11/24/2025 | 4,496 | 5,364,360 | ||||||||
Morgan Stanley | 5.875% (3 Mo. LIBOR + 4.44% | )# | – | (d) | 6,542 | 7,286,152 | ||||||
National Australia Bank Ltd. (Australia)†(c) | 3.933% (5 Yr Treasury CMT + 1.88% | )# | 8/2/2034 | 11,000 | 12,336,533 | |||||||
SVB Financial Group | 3.125% | 6/5/2030 | 3,333 | 3,747,110 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.625% | 5/30/2022 | 1,109 | 1,112,050 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.75% | 1/30/2023 | 1,832 | 1,835,069 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 8,750 | 9,744,469 | ||||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 13,800 | 15,231,750 | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 4,986 | 5,432,019 | ||||||||
Wells Fargo & Co. | 5.95% | 12/15/2036 | 8,224 | 10,982,316 | ||||||||
Westpac Banking Corp. (Australia)(c) | 2.668% (5 Yr Treasury CMT + 1.75% | )# | 11/15/2035 | 8,000 | 8,277,040 | |||||||
Westpac Banking Corp. (Australia)(c) | 4.11% (5 Yr Treasury CMT + 2.00% | )# | 7/24/2034 | 3,061 | 3,481,735 | |||||||
Westpac Banking Corp. (Australia)(c) | 4.322% (5 Yr. Swap rate + 2.24% | )# | 11/23/2031 | 3,197 | 3,618,491 | |||||||
Total | 177,760,749 |
212 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages 2.14% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | $ | 30,835 | $ | 39,434,214 | ||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 10,673 | 12,361,847 | ||||||||
Becle SAB de CV (Mexico)†(c) | 3.75% | 5/13/2025 | 5,050 | 5,477,834 | ||||||||
Central American Bottling Corp. (Guatemala)†(c) | 5.75% | 1/31/2027 | 4,800 | 5,116,896 | ||||||||
Total | 62,390,791 | |||||||||||
Biotechnology Research & Production 1.30% | ||||||||||||
Biogen, Inc. | 2.25% | 5/1/2030 | 10,708 | 11,081,185 | ||||||||
Emergent BioSolutions, Inc.† | 3.875% | 8/15/2028 | 754 | 763,896 | ||||||||
Regeneron Pharmaceuticals, Inc. | 1.75% | 9/15/2030 | 11,869 | 11,695,170 | ||||||||
Royalty Pharma plc† | 2.20% | 9/2/2030 | 14,181 | 14,366,406 | ||||||||
Total | 37,906,657 | |||||||||||
Building Materials 0.69% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(c) | 3.00% | 11/1/2022 | 987 | 1,010,656 | ||||||||
Builders FirstSource, Inc.† | 5.00% | 3/1/2030 | 1,000 | 1,078,750 | ||||||||
Owens Corning, Inc. | 3.875% | 6/1/2030 | 2,705 | 3,112,729 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 4,770 | 5,660,072 | ||||||||
Owens Corning, Inc. | 7.00% | 12/1/2036 | 3,747 | 5,243,280 | ||||||||
Vulcan Materials Co. | 0.875% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 4,020 | 4,020,365 | |||||||
Total | 20,125,852 | |||||||||||
Business Services 1.02% | ||||||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 2,300 | 2,456,446 | ||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 5,328 | 5,591,707 | ||||||||
Garda World Security Corp. (Canada)†(c) | 4.625% | 2/15/2027 | 4,500 | 4,522,500 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 3,580 | 3,914,811 | ||||||||
Global Payments, Inc. | 3.20% | 8/15/2029 | 9,385 | 10,422,325 | ||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.† | 4.625% | 11/1/2026 | 2,837 | 2,954,168 | ||||||||
Total | 29,861,957 | |||||||||||
Chemicals 1.13% | ||||||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 7,787 | 9,249,751 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 4.125% | 7/19/2027 | 7,250 | 7,477,650 | ||||||||
Nouryon Holding BV (Netherlands)†(c) | 8.00% | 10/1/2026 | 2,500 | 2,682,812 | ||||||||
Nutrition & Biosciences, Inc.† | 1.832% | 10/15/2027 | 2,099 | 2,145,435 | ||||||||
Nutrition & Biosciences, Inc.† | 2.30% | 11/1/2030 | 4,979 | 5,123,199 |
See Notes to Financial Statements. | 213 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
Phosagro OAO Via Phosagro Bond | ||||||||||||
Funding DAC (Ireland)†(c) | 3.949% | 4/24/2023 | $ | 4,600 | $ | 4,820,112 | ||||||
Syngenta Finance NV (Netherlands)†(c) | 4.441% | 4/24/2023 | 1,332 | 1,406,254 | ||||||||
Total | 32,905,213 | |||||||||||
Computer Hardware 1.38% | ||||||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 8,953 | 10,875,876 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 9,562 | 13,898,749 | ||||||||
Leidos Holdings, Inc. | 5.95% | 12/1/2040 | 1,325 | 1,581,746 | ||||||||
Leidos, Inc.† | 4.375% | 5/15/2030 | 3,552 | 4,231,569 | ||||||||
Leidos, Inc. | 5.50% | 7/1/2033 | 353 | 428,551 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 6,806 | 9,280,389 | ||||||||
Total | 40,296,880 | |||||||||||
Construction/Homebuilding 0.83% | ||||||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 2,953 | 3,091,200 | ||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 995 | 1,071,845 | ||||||||
Forestar Group, Inc.† | 5.00% | 3/1/2028 | 3,667 | 3,684,767 | ||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 12,844 | 13,970,895 | ||||||||
Shea Homes LP/Shea Homes Funding Corp.† | 4.75% | 2/15/2028 | 2,400 | 2,488,500 | ||||||||
Total | 24,307,207 | |||||||||||
Drugs 3.97% | ||||||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 25,548 | 32,404,271 | ||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 1,890 | 2,462,080 | ||||||||
AbbVie, Inc. | 4.875% | 11/14/2048 | 2,018 | 2,755,526 | ||||||||
AstraZeneca plc (United Kingdom)(c) | 6.45% | 9/15/2037 | 3,600 | 5,637,372 | ||||||||
Bausch Health Cos., Inc.† | 6.125% | 4/15/2025 | 2,980 | 3,069,072 | ||||||||
Bausch Health Cos., Inc.† | 7.00% | 3/15/2024 | 1,064 | 1,098,314 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 5,520 | 7,148,728 | ||||||||
Bayer US Finance II LLC† | 4.375% | 12/15/2028 | 5,000 | 5,875,363 | ||||||||
Cigna Corp. | 2.40% | 3/15/2030 | 8,500 | 9,045,532 | ||||||||
Cigna Corp. | 4.80% | 7/15/2046 | 228 | 304,290 | ||||||||
Cigna Corp. | 6.125% | 11/15/2041 | 3,380 | 5,000,525 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 20,442 | 24,056,156 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 9,790 | 12,423,387 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 3,215 | 4,350,788 | ||||||||
Total | 115,631,404 |
214 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power 6.78% | ||||||||||||
Acwa Power Management & Investments One Ltd. (Saudi Arabia)†(c) | 5.95% | 12/15/2039 | $ | 2,200 | $ | 2,625,700 | ||||||
Adani Transmission Ltd. (India)†(c) | 4.00% | 8/3/2026 | 2,200 | 2,361,304 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 7,542 | 8,719,353 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 6,803 | 7,903,303 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 4,904 | 6,617,082 | ||||||||
DTE Energy Co. | 2.95% | 3/1/2030 | 2,515 | 2,760,108 | ||||||||
DTE Energy Co. | 6.375% | 4/15/2033 | 2,551 | 3,686,609 | ||||||||
Duquesne Light Holdings, Inc.† | 2.532% | 10/1/2030 | 9,351 | 9,570,494 | ||||||||
Duquesne Light Holdings, Inc. | 6.25% | 8/15/2035 | 2,650 | 3,430,064 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 4,995 | 5,846,779 | ||||||||
El Paso Electric Co. | 6.00% | 5/15/2035 | 425 | 586,378 | ||||||||
Emera US Finance LP | 4.75% | 6/15/2046 | 5,840 | 7,363,662 | ||||||||
Emera, Inc. (Canada)(c) | 6.75% (3 Mo. LIBOR + 5.44% | )# | 6/15/2076 | 6,000 | 6,893,910 | |||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 3,190 | 3,563,107 | ||||||||
Exelon Generation Co. LLC | 5.75% | 10/1/2041 | 3,736 | 4,314,507 | ||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | 3,483 | 4,128,448 | ||||||||
FirstEnergy Corp. | 3.90% | 7/15/2027 | 8,803 | 9,741,408 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 7,480 | 8,743,499 | ||||||||
Interstate Power & Light Co. | 3.50% | 9/30/2049 | 2,754 | 3,127,936 | ||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 2,181 | 2,527,575 | ||||||||
Interstate Power & Light Co. | 4.70% | 10/15/2043 | 200 | 257,778 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 4,861 | 4,876,416 | ||||||||
Metropolitan Edison Co.† | 4.00% | 4/15/2025 | 700 | 762,719 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 5.625% | 8/10/2037 | 1,800 | 1,911,231 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 3,605 | 4,437,104 | ||||||||
NRG Energy, Inc.†(e) | 2.45% | 12/2/2027 | 1,323 | 1,357,839 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 13,505 | 15,453,010 | ||||||||
Oglethorpe Power Corp. | 4.20% | 12/1/2042 | 1,070 | 1,129,763 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 7,546 | 9,939,620 | ||||||||
Origin Energy Finance Ltd. (Australia)†(c) | 5.45% | 10/14/2021 | 4,289 | 4,454,533 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 1,679 | 1,799,678 | ||||||||
Pike Corp.† | 5.50% | 9/1/2028 | 3,929 | 4,125,450 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 12,430 | 18,333,915 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 4,587 | 5,086,409 | ||||||||
Puget Energy, Inc.† | 4.10% | 6/15/2030 | 8,864 | 10,052,282 | ||||||||
TransAlta Corp. (Canada)(c) | 4.50% | 11/15/2022 | 8,736 | 9,045,080 | ||||||||
Total | 197,534,053 |
See Notes to Financial Statements. | 215 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical Equipment 1.29% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | $ | 24,782 | $ | 27,867,054 | ||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 3.15% | 5/1/2027 | 8,844 | 9,660,989 | ||||||||
Total | 37,528,043 | |||||||||||
Electronics 0.60% | ||||||||||||
FLIR Systems, Inc. | 2.50% | 8/1/2030 | 7,978 | 8,363,993 | ||||||||
Jabil, Inc. | 3.00% | 1/15/2031 | 4,615 | 4,832,535 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 3,726 | 4,420,725 | ||||||||
Total | 17,617,253 | |||||||||||
Energy Equipment & Services 0.14% | ||||||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 3,575 | 4,102,386 | ||||||||
Entertainment 0.60% | ||||||||||||
Caesars Entertainment, Inc.† | 6.25% | 7/1/2025 | 3,333 | 3,558,794 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.75% | 7/1/2025 | 1,269 | 1,345,140 | ||||||||
CCM Merger, Inc.† | 6.375% | 5/1/2026 | 3,030 | 3,174,228 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 1,024 | 1,149,440 | ||||||||
Live Nation Entertainment, Inc.† | 4.75% | 10/15/2027 | 2,915 | 2,879,481 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 2,045 | 2,029,662 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 1,500 | 1,594,688 | ||||||||
Scientific Games International, Inc.† | 8.625% | 7/1/2025 | 1,603 | 1,733,228 | ||||||||
Total | 17,464,661 | |||||||||||
Financial Services 3.03% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 1/15/2025 | 7,107 | 7,372,448 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.875% | 1/23/2028 | 5,000 | 5,104,586 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 4.875% | 1/16/2024 | 2,674 | 2,881,628 | ||||||||
Aircastle Ltd. | 4.25% | 6/15/2026 | 9,806 | 10,003,968 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 7,990 | 11,468,155 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 1,134 | 1,175,874 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.125% | 10/1/2023 | 3,587 | 3,778,079 | ||||||||
Brightsphere Investment Group, Inc. | 4.80% | 7/27/2026 | 3,933 | 4,232,276 | ||||||||
Charles Schwab Corp. (The) | 5.375% (5 Yr Treasury CMT + 4.97% | )# | – | (d) | 3,517 | 3,930,248 | ||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 4,091 | 3,595,296 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 5.50% | 8/15/2028 | 3,750 | 3,911,719 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 7,825 | 8,436,524 |
216 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | $ | 4,123 | $ | 4,595,751 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 5,679 | 6,477,051 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 5.50% | 2/15/2024 | 8,146 | 8,701,625 | ||||||||
SURA Asset Management SA (Colombia)†(c) | 4.375% | 4/11/2027 | 2,285 | 2,573,047 | ||||||||
Total | 88,238,275 | |||||||||||
Food 0.92% | ||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.75% | 6/15/2025 | 486 | 502,403 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 6,500 | 7,450,690 | ||||||||
SEG Holding LLC/SEG Finance Corp.† | 5.625% | 10/15/2028 | 2,582 | 2,711,100 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 8,694 | 10,357,181 | ||||||||
Sysco Corp. | 6.60% | 4/1/2040 | 559 | 826,976 | ||||||||
Sysco Corp. | 6.60% | 4/1/2050 | 3,136 | 4,878,591 | ||||||||
Total | 26,726,941 | |||||||||||
Health Care Products 1.46% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 9,020 | 9,584,179 | ||||||||
Boston Scientific Corp. | 2.65% | 6/1/2030 | 17,958 | 19,296,094 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 10,217 | 13,523,752 | ||||||||
Total | 42,404,025 | |||||||||||
Health Care Services 4.01% | ||||||||||||
Acadia Healthcare Co., Inc.† | 5.00% | 4/15/2029 | 3,237 | 3,419,081 | ||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 2,500 | 2,521,875 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 7,143 | 7,840,836 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 3,240 | 3,410,100 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 14,459 | 15,708,427 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 7,590 | 8,427,488 | ||||||||
Fresenius Medical Care US Finance III, Inc.† | 2.375% | 2/16/2031 | 8,000 | 8,101,506 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 2,600 | 2,661,256 | ||||||||
HCA, Inc. | 5.125% | 6/15/2039 | 4,837 | 6,228,404 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 10,715 | 14,303,004 | ||||||||
LifePoint Health, Inc.† | 6.75% | 4/15/2025 | 2,500 | 2,675,000 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 2,899 | 3,079,405 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 5,130 | 5,640,418 | ||||||||
New York and Presbyterian Hospital (The) | 3.954% | 8/1/2119 | 6,960 | 7,788,239 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 4,781 | 5,420,560 |
See Notes to Financial Statements. | 217 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
Rede D’or Finance Sarl (Luxembourg)†(c) | 4.95% | 1/17/2028 | $ | 1,096 | $ | 1,167,048 | ||||||
Universal Health Services, Inc.† | 2.65% | 10/15/2030 | 6,836 | 7,055,094 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 6,807 | 7,086,496 | ||||||||
US Renal Care, Inc.† | 10.625% | 7/15/2027 | 4,000 | 4,430,000 | ||||||||
Total | 116,964,237 | |||||||||||
Household Equipment/Products 0.09% | ||||||||||||
CD&R Smokey Buyer, Inc.† | 6.75% | 7/15/2025 | 2,560 | 2,748,800 | ||||||||
Insurance 2.94% | ||||||||||||
Alleghany Corp. | 3.625% | 5/15/2030 | 7,980 | 9,022,470 | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 10/15/2027 | 1,401 | 1,504,940 | ||||||||
Aon Corp. | 8.205% | 1/1/2027 | 5,545 | 7,504,469 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 5,916 | 6,360,575 | ||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 1,991 | 2,081,310 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 10,855 | 12,469,081 | ||||||||
Hanover Insurance Group, Inc. (The) | 2.50% | 9/1/2030 | 1,992 | 2,075,992 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 4,460 | 5,216,824 | ||||||||
Kemper Corp. | 2.40% | 9/30/2030 | 7,965 | 8,039,536 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 2,578 | 3,512,468 | ||||||||
Lincoln National Corp. | 7.00% | 6/15/2040 | 2,518 | 3,800,906 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 5,103 | 8,073,619 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 5,081 | 6,083,616 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 7,365 | 9,889,177 | ||||||||
Total | 85,634,983 | |||||||||||
Leisure 0.22% | ||||||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 5,714 | 6,515,131 | ||||||||
Lodging 0.51% | ||||||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 990 | 1,041,385 | ||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 13,254 | 13,897,871 | ||||||||
Total | 14,939,256 | |||||||||||
Machinery: Agricultural 1.93% | ||||||||||||
Altria Group, Inc. | 5.95% | 2/14/2049 | 15,559 | 22,155,438 | ||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 774 | 860,484 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 16,065 | 18,122,909 | ||||||||
BAT Capital Corp. | 4.70% | 4/2/2027 | 767 | 899,098 |
218 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural (continued) | ||||||||||||
Imperial Brands Finance plc (United Kingdom)†(c) | 3.125% | 7/26/2024 | $ | 3,000 | $ | 3,204,442 | ||||||
Imperial Brands Finance plc (United Kingdom)†(c) | 3.875% | 7/26/2029 | 6,841 | 7,727,214 | ||||||||
MHP Lux SA (Luxembourg)†(c) | 6.25% | 9/19/2029 | 1,000 | 1,010,000 | ||||||||
MHP Lux SA (Luxembourg)†(c) | 6.95% | 4/3/2026 | 2,000 | 2,122,940 | ||||||||
Total | 56,102,525 | |||||||||||
Machinery: Industrial/Specialty 1.73% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 9,059 | 9,500,448 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 2,925 | 2,963,246 | ||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 8,565 | 9,501,897 | ||||||||
nVent Finance Sarl (Luxembourg)(c) | 4.55% | 4/15/2028 | 10,340 | 11,197,001 | ||||||||
Stanley Black & Decker, Inc. | 4.00% (5 Yr Treasury CMT + 2.66% | )# | 3/15/2060 | 4,548 | 4,820,820 | |||||||
Vertical Holdco GmbH (Germany)†(c) | 7.625% | 7/15/2028 | 715 | 767,284 | ||||||||
Vertical US Newco, Inc.† | 5.25% | 7/15/2027 | 3,042 | 3,199,804 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.20% | 6/15/2025 | 238 | 255,278 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.95% | 9/15/2028 | 7,000 | 8,178,416 | ||||||||
Total | 50,384,194 | |||||||||||
Manufacturing 0.05% | ||||||||||||
Bombardier, Inc. (Canada)†(c) | 8.75% | 12/1/2021 | 171 | 175,551 | ||||||||
Hillenbrand, Inc. | 5.75% | 6/15/2025 | 1,274 | 1,365,569 | ||||||||
Total | 1,541,120 | |||||||||||
Media 2.59% | ||||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital | 6.484% | 10/23/2045 | 9,039 | 12,915,637 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 8,687 | 14,823,684 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (d) | 16,688 | 17,042,620 | |||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 15,865 | 23,326,526 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 4,675 | 7,292,637 | ||||||||
Total | 75,401,104 | |||||||||||
Metal Fabricating 0.08% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 1,983 | 2,300,846 | ||||||||
Metals & Minerals: Miscellaneous 2.14% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(c) | 2.625% | 9/10/2030 | 7,000 | 7,189,374 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.50% | 3/15/2028 | 3,500 | 4,049,826 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.75% | 4/10/2027 | 6,235 | 7,298,354 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 3,071 | 3,342,077 |
See Notes to Financial Statements. | 219 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous 2.14% | ||||||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | $ | 2,250 | $ | 2,513,385 | ||||||
Freeport-McMoRan, Inc. | 5.45% | 3/15/2043 | 8,650 | 10,828,589 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 4.25% | 10/25/2022 | 660 | 700,695 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 5.55% | 10/25/2042 | 5,774 | 6,999,820 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 836 | 868,114 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 1,599 | 1,721,357 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 2,813 | 3,033,680 | ||||||||
Kinross Gold Corp.(Canada)(c) | 4.50% | 7/15/2027 | 7,543 | 8,694,592 | ||||||||
Southern Copper Corp. (Peru)(c) | 5.25% | 11/8/2042 | 3,885 | 5,137,621 | ||||||||
Total | 62,377,484 | |||||||||||
Natural Gas 0.47% | ||||||||||||
ENN Energy Holdings Ltd. (China)†(c) | 2.625% | 9/17/2030 | 3,660 | 3,687,388 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 2,687 | 2,768,837 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 2,573 | 2,889,721 | ||||||||
NiSource, Inc. | 5.95% | 6/15/2041 | 2,373 | 3,404,241 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 840 | 840,525 | ||||||||
Total | 13,590,712 | |||||||||||
Oil 6.78% | ||||||||||||
Afren plc (United Kingdom)†(c)(f) | 6.625% | 12/9/2020 | 976 | 4,782 | ||||||||
Afren plc (United Kingdom)†(c)(f) | 10.25% | 4/8/2019 | 2,049 | 52,256 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 9,215 | 9,474,172 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 5,441 | 4,442,250 | ||||||||
Callon Petroleum Co. | 6.25% | 4/15/2023 | 2,500 | 1,198,437 | ||||||||
Canadian Natural Resources Ltd. (Canada)(c) | 7.20% | 1/15/2032 | 6,558 | 8,498,536 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 5,000 | 2,764,525 | ||||||||
Cimarex Energy Co. | 4.375% | 3/15/2029 | 5,221 | 5,887,945 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 6,306 | 5,884,286 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 10,136 | 10,171,476 | ||||||||
Diamondback Energy, Inc. | 2.875% | 12/1/2024 | 5,260 | 5,485,708 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 1,220 | 1,361,467 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 10,400 | 10,828,345 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 2,812 | 2,994,780 | ||||||||
Eni SpA (Italy)†(c) | 5.70% | 10/1/2040 | 11,398 | 13,951,172 | ||||||||
EQT Corp. | 5.00% | 1/15/2029 | 2,882 | 3,047,715 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 12,536 | 13,839,282 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 4,353 | 5,130,342 | ||||||||
Hess Corp. | 5.80% | 4/1/2047 | 7,346 | 9,104,261 |
220 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | $ | 8,899 | $ | 8,840,800 | ||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 4,750 | 3,189,150 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 6,000 | 5,171,100 | ||||||||
MEG Energy Corp. (Canada)†(c) | 6.50% | 1/15/2025 | 2,401 | 2,450,893 | ||||||||
MEG Energy Corp. (Canada)†(c) | 7.00% | 3/31/2024 | 3,300 | 3,324,750 | ||||||||
MEG Energy Corp. (Canada)†(c) | 7.125% | 2/1/2027 | 1,943 | 1,908,997 | ||||||||
Occidental Petroleum Corp. | 1.671% (3 Mo. LIBOR + 1.45% | )# | 8/15/2022 | 188 | 179,680 | |||||||
Occidental Petroleum Corp. | 2.60% | 4/15/2022 | 45 | 44,384 | ||||||||
Occidental Petroleum Corp. | 2.70% | 8/15/2022 | 787 | 776,612 | ||||||||
Occidental Petroleum Corp. | 7.875% | 9/15/2031 | 4,000 | 4,296,340 | ||||||||
OGX Austria GmbH (Brazil)†(c)(f) | 8.50% | 6/1/2018 | 1,800 | 36 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.375% | 1/15/2025 | 5,287 | 5,455,523 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 11,622 | 9,889,683 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 3,000 | 2,990,625 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 6.875% | 6/30/2023 | 2,545 | 2,567,001 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 1,000 | 893,515 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 4,750 | 2,683,750 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(c) | 4.50% | 4/1/2022 | 8,775 | 9,132,338 | ||||||||
Suncor Energy, Inc. (Canada)(c) | 7.875% | 6/15/2026 | 8,027 | 10,186,232 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 4,095 | 4,331,036 | ||||||||
WPX Energy, Inc. | 4.50% | 1/15/2030 | 5,020 | 5,208,250 | ||||||||
Total | 197,642,432 | |||||||||||
Oil: Crude Producers 3.43% | ||||||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 6,000 | 4,105,770 | |||||||
Cheniere Corpus Christi Holdings LLC | 3.70% | 11/15/2029 | 2,500 | 2,746,179 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 7,707 | 8,950,019 | ||||||||
Enbridge Energy Partners LP | 7.50% | 4/15/2038 | 6,422 | 9,187,334 | ||||||||
Enbridge, Inc. (Canada)(c) | 6.00% (3 Mo. LIBOR + 3.89% | )# | 1/15/2077 | 4,462 | 4,712,228 | |||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 2,975 | 3,304,310 | ||||||||
Energy Transfer Operating LP | 9.00% | 11/1/2024 | 2,110 | 2,533,080 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 3,933 | 3,995,739 | ||||||||
MPLX LP | 1.342% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 8,000 | 8,001,283 | |||||||
MPLX LP | 5.25% | 1/15/2025 | 8,379 | 8,611,471 | ||||||||
MPLX LP | 6.875% (3 Mo. LIBOR + 4.65% | )# | – | (d) | 3,600 | 3,285,000 |
See Notes to Financial Statements. | 221 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | $ | 11,617 | $ | 12,989,032 | ||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 5,382 | 6,183,323 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 11,128 | 13,352,460 | ||||||||
Williams Cos., Inc. (The) | 8.75% | 3/15/2032 | 5,458 | 7,863,800 | ||||||||
Total | 99,821,028 | |||||||||||
Oil: Integrated Domestic 0.52% | ||||||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 4,379 | 6,132,517 | ||||||||
National Oilwell Varco, Inc. | 3.60% | 12/1/2029 | 4,632 | 4,749,355 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 4,494 | 4,337,167 | ||||||||
Total | 15,219,039 | |||||||||||
Paper & Forest Products 0.06% | ||||||||||||
Suzano Austria GmbH (Brazil)(c) | 3.75% | 1/15/2031 | 1,531 | 1,615,588 | ||||||||
Real Estate Investment Trusts 3.54% | ||||||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 5,564 | 6,397,626 | ||||||||
American Homes 4 Rent LP | 4.90% | 2/15/2029 | 840 | 1,016,217 | ||||||||
Brixmor Operating Partnership LP | 3.85% | 2/1/2025 | 5,662 | 6,133,068 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 1/17/2023 | 875 | 898,650 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 9/28/2023 | 3,325 | 3,401,566 | ||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.15% | 11/1/2030 | 5,000 | 4,918,250 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 7,687 | 7,626,331 | ||||||||
Equinix, Inc. | 5.375% | 5/15/2027 | 15,609 | 17,032,617 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 2,941 | 3,185,029 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 7,250 | 7,952,279 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.75% | 9/15/2030 | 5,372 | 5,519,730 | ||||||||
Healthcare Realty Trust, Inc. | 2.40% | 3/15/2030 | 1,924 | 1,998,831 | ||||||||
Hunt Cos., Inc.† | 6.25% | 2/15/2026 | 2,647 | 2,684,468 | ||||||||
Kaisa Group Holdings Ltd. (China)(c) | 9.375% | 6/30/2024 | 5,000 | 4,825,137 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 2,780 | 2,934,638 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 5,304 | 5,462,732 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 1,590 | 1,669,726 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 7,888 | 9,026,737 | ||||||||
Weyerhaeuser Co. | 4.00% | 4/15/2030 | 3,070 | 3,606,041 | ||||||||
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 5,223 | 6,726,310 | ||||||||
Total | 103,015,983 |
222 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail 1.23% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(c) | 2.95% | 1/25/2030 | $ | 9,980 | $ | 10,843,460 | ||||||
Carvana Co.† | 5.625% | 10/1/2025 | 1,592 | 1,601,950 | ||||||||
Carvana Co.† | 5.875% | 10/1/2028 | 1,613 | 1,639,211 | ||||||||
Group 1 Automotive, Inc.† | 4.00% | 8/15/2028 | 4,198 | 4,300,977 | ||||||||
Ken Garff Automotive LLC† | 4.875% | 9/15/2028 | 1,715 | 1,743,941 | ||||||||
Lithia Motors, Inc.† | 4.375% | 1/15/2031 | 4,025 | 4,279,078 | ||||||||
McDonald’s Corp. | 4.70% | 12/9/2035 | 2,000 | 2,617,495 | ||||||||
PetSmart, Inc.† | 7.125% | 3/15/2023 | 1,067 | 1,054,943 | ||||||||
PetSmart, Inc.† | 8.875% | 6/1/2025 | 1,554 | 1,567,597 | ||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp.† | 6.375% | 9/30/2026 | 3,515 | 3,656,479 | ||||||||
Yum! Brands, Inc. | 6.875% | 11/15/2037 | 1,949 | 2,464,111 | ||||||||
Total | 35,769,242 | |||||||||||
Steel 0.18% | ||||||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 4,985 | 5,321,710 | ||||||||
Technology 1.36% | ||||||||||||
Baidu, Inc. (China)(c) | 3.625% | 7/6/2027 | 4,500 | 4,975,088 | ||||||||
Baidu, Inc. (China)(c) | 3.875% | 9/29/2023 | 8,000 | 8,611,378 | ||||||||
Cablevision Lightpath LLC† | 3.875% | 9/15/2027 | 1,441 | 1,458,796 | ||||||||
Cablevision Lightpath LLC† | 5.625% | 9/15/2028 | 475 | 498,904 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 1,448 | 1,659,910 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 2,713 | 3,272,687 | ||||||||
Meituan (China)†(c) | 3.05% | 10/28/2030 | 3,230 | 3,349,768 | ||||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 1,104 | 1,172,310 | ||||||||
Netflix, Inc.(a) | 3.625% | 5/15/2027 | EUR | 5,900 | 7,886,664 | |||||||
Prosus NV (Netherlands)†(c) | 3.68% | 1/21/2030 | $ | 1,400 | 1,529,113 | |||||||
Uber Technologies, Inc.† | 6.25% | 1/15/2028 | 2,715 | 2,881,294 | ||||||||
Weibo Corp. (China)(c) | 3.50% | 7/5/2024 | 2,290 | 2,389,878 | ||||||||
Total | 39,685,790 | |||||||||||
Telecommunications 4.13% | ||||||||||||
AT&T, Inc.(a) | 2.875% (5yr EUR CMT + 3.14% | )# | – | (d) | EUR | 6,000 | 7,122,499 | |||||
AT&T, Inc.† | 3.50% | 9/15/2053 | $ | 15,698 | 16,155,258 | |||||||
AT&T, Inc. | 3.65% | 6/1/2051 | 10,985 | 11,643,856 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 30,988 | 37,026,418 | ||||||||
Frontier Communications Corp.† | 5.875% | 10/15/2027 | 2,250 | 2,369,531 |
See Notes to Financial Statements. | 223 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
Orange SA (France)(c) | 9.00% | 3/1/2031 | $ | 5,581 | $ | 9,212,148 | ||||||
Switch Ltd.† | 3.75% | 9/15/2028 | 2,247 | 2,283,986 | ||||||||
T-Mobile USA, Inc.† | 3.75% | 4/15/2027 | 22,260 | 25,222,806 | ||||||||
U.S. Cellular Corp. | 6.70% | 12/15/2033 | 2,459 | 3,228,433 | ||||||||
Zayo Group Holdings, Inc.† | 4.00% | 3/1/2027 | 4,286 | 4,269,692 | ||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 1,592 | 1,686,278 | ||||||||
Total | 120,220,905 | |||||||||||
Transportation: Miscellaneous 0.67% | ||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 4,739 | 7,083,748 | ||||||||
Canadian Pacific Railway Co. (Canada)(c) | 9.45% | 8/1/2021 | 500 | 529,534 | ||||||||
CSX Transportation, Inc. | 7.875% | 5/15/2043 | 511 | 913,652 | ||||||||
Huntington Ingalls Industries, Inc.† | 3.844% | 5/1/2025 | 9,750 | 10,861,628 | ||||||||
Total | 19,388,562 | |||||||||||
Total Corporate Bonds (cost $2,086,170,600) | 2,245,851,217 | |||||||||||
FLOATING RATE LOANS(g) 2.75% | ||||||||||||
Aerospace/Defense 0.34% | ||||||||||||
Boeing Company The Term Loan | 1.47% - 1.50% (3 Mo. LIBOR + 1.25% | ) | 2/7/2022 | 10,000 | 9,862,550 | |||||||
Automotive 0.06% | ||||||||||||
Ford Motor Company Unsecured Term Loan | 1.90% (1 Mo. LIBOR + 1.75% | ) | 12/31/2022 | 1,915 | 1,828,745 | (h) | ||||||
Beverages 0.05% | ||||||||||||
Keurig Dr Pepper Inc. Term Loan | 1.138% (1 Mo. LIBOR + .95% | ) | 2/8/2023 | 1,415 | 1,410,162 | |||||||
Building Materials 0.04% | ||||||||||||
Forterra Finance, LLC 2017 Term Loan B | 4.00% (3 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 1,249 | 1,245,506 | |||||||
Business Services 0.09% | ||||||||||||
Refinitiv US Holdings Inc. 2018 USD Term Loan | 3.396% (1 Mo. LIBOR + 3.25% | ) | 10/1/2025 | 2,657 | 2,643,345 | |||||||
Computer Hardware 0.03% | ||||||||||||
Science Applications International Corporation 2020 Incremental Term Loan B | 2.396% (1 Mo. LIBOR + 2.25% | ) | 3/12/2027 | 816 | 811,667 |
224 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Software 0.05% | ||||||||||||
EagleView Technology Corporation 2018 Add On Term Loan B | 3.733% (3 Mo. LIBOR + 3.50% | ) | 8/14/2025 | $ | 1,443 | $ | 1,407,084 | |||||
Veritas Bermuda Ltd. USD Repriced Term Loan B | – | (i) | 1/27/2023 | – | (j) | 1 | ||||||
Total | 1,407,085 | |||||||||||
Entertainment 0.30% | ||||||||||||
Playtika Holding Corp Term Loan B | 7.00% (3 Mo. LIBOR + 6.00% | ) | 12/10/2024 | 6,497 | 6,537,091 | |||||||
Scientific Games International, Inc. 2018 Term Loan B5 | 2.896% (1 Mo. LIBOR + 2.75% | ) | 8/14/2024 | 2,182 | 2,112,811 | |||||||
Total | 8,649,902 | |||||||||||
Environmental Services 0.04% | ||||||||||||
Stericycle Inc 2017 Term Loan | 1.845% - 1.89% (1 Wk. LIBOR + 1.75% (3 Mo. LIBOR + 1.75% | ) ) | 11/17/2022 | 1,049 | 1,038,764 | (h) | ||||||
Healthcare 0.04% | ||||||||||||
MPH Acquisition Holdings LLC 2016 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75% | ) | 6/7/2023 | 1,076 | 1,063,080 | |||||||
Leisure 0.13% | ||||||||||||
Hayward Industries, Inc. 1st Lien Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 8/5/2024 | 3,972 | 3,908,493 | |||||||
Lodging 0.49% | ||||||||||||
Caesars Resort Collection, LLC 2020 Term Loan B1 | 4.646% (1 Mo. LIBOR + 4.50% | ) | 7/21/2025 | 5,000 | 4,964,050 | |||||||
Resorts World Las Vegas LLC Term Loan A | 1.65% (1 Mo. LIBOR + 1.50% | ) | 4/16/2024 | 3,000 | 2,895,000 | (h) | ||||||
Wyndham Hotels & Resorts, Inc. Term Loan B | 1.896% (1 Mo. LIBOR + 1.75% | ) | 5/30/2025 | 6,401 | 6,264,979 | |||||||
Total | 14,124,029 | |||||||||||
Machinery: Industrial/Specialty 0.00% | ||||||||||||
NN, Inc. 2016 Term Loan B | 6.50% (1 Mo. LIBOR + 5.75% | ) | 10/19/2022 | 91 | 90,774 | |||||||
Media 0.19% | ||||||||||||
Banijay Entertainment S.A.S USD Term Loan (France)(c) | 3.888% (1 Mo. LIBOR + 3.75% | ) | 3/1/2025 | 5,800 | 5,644,125 |
See Notes to Financial Statements. | 225 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metal Fabricating 0.02% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(c) | 8.50% (1 Mo. LIBOR + 6.50% | ) | 3/6/2024 | $ | 622 | $ | 567,416 | |||||
Miscellaneous 0.24% | ||||||||||||
UTEX Industries Inc. 1st Lien Term loan 2014(f) | – | (i) | 5/22/2021 | 712 | 218,941 | |||||||
UTEX Industries Inc. 2020 DIP Term Loan | 10.50% (1 Mo. LIBOR + 9.00% | ) | 2/10/2021 | 45 | 45,065 | (h) | ||||||
UTEX Industries Inc. 2nd Lien Term Loan 2014(f) | – | (i) | 5/22/2022 | 1,275 | 31,875 | |||||||
WideOpenWest Finance LLC 2017 Term Loan B | 4.25% (1 Mo. LIBOR + 3.25% | ) | 8/18/2023 | 6,731 | 6,663,777 | |||||||
Total | 6,959,658 | |||||||||||
Real Estate Investment Trusts 0.10% | ||||||||||||
Invitation Homes Operating Partnership LP Term Loan A | 1.846% (1 Mo. LIBOR + 1.70% | ) | 2/6/2022 | 3,000 | 2,973,750 | |||||||
Retail 0.17% | ||||||||||||
AI Aqua Merger Sub, Inc. 2017 1st Lien Term Loan B | 4.25% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 4,955 | 4,865,207 | |||||||
Technology 0.17% | ||||||||||||
Comcast Hulu Holdings, LLC Term Loan A | 1.021% (1 Mo. LIBOR + .88% | ) | 3/15/2024 | 5,000 | 4,975,000 | (h) | ||||||
Telecommunications 0.20% | ||||||||||||
LogMeIn, Inc. Term Loan B | 4.888% (1 Mo. LIBOR + 4.75% | ) | 8/31/2027 | 6,015 | 5,954,135 | |||||||
Total Floating Rate Loans (cost $82,129,922) | 80,023,393 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.01% | ||||||||||||
Federal Home Loan Mortgage Corp. 1058 I IO(k) | 1008.50% | 4/15/2021 | – | (j) | 1 | |||||||
Federal Home Loan Mortgage Corp. 1059 U IO(k) | 409.00% | 4/15/2021 | – | (j) | 1 | |||||||
Federal Home Loan Mortgage Corp. 1066 S IO(k) | 1195.607% | 4/15/2021 | – | (j) | 5 | |||||||
Federal Home Loan Mortgage Corp. 1095 A PO | Zero Coupon | 6/15/2021 | – | (j) | 1 | |||||||
Federal Home Loan Mortgage Corp. 1137 M IO(k) | 1185.497% | 9/15/2021 | – | (j) | 11 | |||||||
Federal Home Loan Mortgage Corp. 1180 G IO(k) | 1008.40% | 11/15/2021 | – | (j) | 23 | |||||||
Federal Home Loan Mortgage Corp. 1200 IB IO(k) | 1007.00% | 2/15/2022 | – | (j) | 8 | |||||||
Federal Home Loan Mortgage Corp. 1241 X IO(k) | 982.654% | 4/15/2022 | – | (j) | 6 | |||||||
Federal Home Loan Mortgage Corp. 1363 B PO | Zero Coupon | 8/15/2022 | 5 | 5,020 | ||||||||
Federal Home Loan Mortgage Corp. 1372 C PO | Zero Coupon | 9/15/2022 | – | (j) | 297 |
226 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. 141 A PO | Zero Coupon | 7/1/2022 | $ | – | (j) | $ | 7 | |||||
Federal National Mortgage Assoc. 133 1 PO | Zero Coupon | 4/25/2022 | – | (j) | 35 | |||||||
Federal National Mortgage Assoc. 1991-158 E IO(k) | 1008.00% | #(l) | 12/25/2021 | – | (j) | 18 | ||||||
Federal National Mortgage Assoc. 94 2 IO(k) | 9.50% | 8/25/2021 | – | (j) | 2 | |||||||
Government National Mortgage Assoc. 2013-48 IO(k) | 0.599% | #(l) | 7/16/2054 | $ | 11,783 | 355,335 | ||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $489,119) | 360,770 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGH 0.22% | ||||||||||||
Federal Home Loan Mortgage Corp. (cost $6,141,310) | 4.00% | 10/1/2049 | 5,671 | 6,408,102 | ||||||||
MUNICIPAL BONDS 0.21% | ||||||||||||
Miscellaneous | ||||||||||||
Illinois | 5.52% | 4/1/2038 | 660 | 663,432 | ||||||||
North Texas Tollway Auth | 8.41% | 2/1/2030 | 1,950 | 2,629,673 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 918 | 936,124 | ||||||||
State of Illinois | 5.10% | 6/1/2033 | 1,935 | 1,942,643 | ||||||||
Total Municipal Bonds (cost $5,568,009) | 6,171,872 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.19% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(l) | 12/25/2059 | 1,307 | 1,322,263 | |||||||
BBCMS Mortgage Trust 2019-BWAY C† | 1.751% (1 Mo. LIBOR + 1.61% | )# | 11/15/2034 | 3,950 | 3,732,837 | |||||||
BX Commercial Mortgage Trust 2019-XL D† | 1.591% (1 Mo. LIBOR + 1.45% | )# | 10/15/2036 | 6,674 | 6,662,189 | |||||||
BX Commercial Mortgage Trust 2019-XL E† | 1.941% (1 Mo. LIBOR + 1.80% | )# | 10/15/2036 | 5,648 | 5,633,244 | |||||||
BX Commercial Mortgage Trust 2019-XL F† | 2.141% (1 Mo. LIBOR + 2.00% | )# | 10/15/2036 | 6,280 | 6,221,751 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.576%#(l) | 7/10/2050 | 1,776 | 1,718,823 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | 1,254 | 1,371,479 | ||||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(l) | 2/25/2050 | 2,942 | 3,000,926 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(l) | 1/25/2060 | 1,798 | 1,822,545 | |||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 1,373 | 1,407,160 |
See Notes to Financial Statements. | 227 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Great Wolf Trust 2019-WOLF A† | 1.175% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | $ | 8,100 | $ | 7,870,855 | |||||
Great Wolf Trust 2019-WOLF E† | 2.873% (1 Mo. LIBOR + 2.73% | )# | 12/15/2036 | 1,902 | 1,716,326 | |||||||
GS Mortgage Securities Trust 2013-G1 A2 IO(k) | 0.329% | #(l) | 11/10/2048 | 30,000 | 315,000 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO(k) | 1.545% | #(l) | 6/10/2046 | 21,104 | 579,663 | |||||||
GS Mortgage Securities Trust 2013-GC12 XB IO(k) | 0.655% | #(l) | 6/10/2046 | 47,400 | 562,368 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.569% | #(l) | 7/10/2048 | 1,022 | 1,028,104 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO†(k) | 0.723% | #(l) | 8/5/2034 | 16,028 | 408,554 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO†(k) | 0.665% | #(l) | 8/5/2034 | 18,308 | 150,675 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.41% | #(l) | 7/15/2048 | 1,674 | 1,668,920 | |||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 558 | 376,091 | ||||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(l) | 1/26/2060 | 1,203 | 1,231,213 | |||||||
PFP Ltd. 2019-6 C† | 2.236% (1 Mo. LIBOR + 2.10% | )# | 4/14/2037 | 4,576 | 4,415,358 | |||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(l) | 2/25/2024 | 867 | 885,095 | |||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(l) | 9/25/2042 | 163 | 164,951 | |||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(l) | 2/25/2050 | 1,750 | 1,789,070 | |||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 2,092 | 2,133,380 | ||||||||
VMC Finance LLC 2019-FL3 A† | 1.244% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | 2,644 | 2,607,290 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.41% | #(l) | 7/15/2046 | 2,256 | 834,683 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(l) | 11/15/2050 | 2,089 | 2,224,668 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $64,974,615) | 63,855,481 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Oil | ||||||||||||
Templar Energy LLC (cost $867,377) | Zero Coupon | 100 | – | (b) |
228 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 7.10% | ||||||||||||
U.S. Treasury Bond | 1.375% | 8/15/2050 | $ | 15,553 | $ | 14,781,425 | ||||||
U.S. Treasury Bond | 1.625% | 11/15/2050 | 26,525 | 26,808,900 | ||||||||
U.S. Treasury Note | 0.125% | 9/30/2022 | 11,309 | 11,306,350 | ||||||||
U.S. Treasury Note | 0.125% | 10/31/2022 | 15,229 | 15,224,241 | ||||||||
U.S. Treasury Note | 0.25% | 10/31/2025 | 129,510 | 128,842,214 | ||||||||
U.S. Treasury Note | 0.875% | 11/15/2030 | 10,003 | 10,027,226 | ||||||||
Total U.S. Treasury Obligations (cost $206,872,369) | 206,990,356 | |||||||||||
Total Long-Term Investments (cost $2,632,670,237) | 2,785,535,322 | |||||||||||
SHORT-TERM INVESTMENTS 3.10% | ||||||||||||
COMMERCIAL PAPER 0.12% | ||||||||||||
Automotive 0.09% | ||||||||||||
General Motors Financial Co., Inc. | 0.406% | 12/1/2020 | 1,802 | 1,802,000 | ||||||||
Nissan Motor Acceptance Corp. | 5.747% | 12/14/2020 | 1,006 | 1,004,002 | ||||||||
Total | 2,806,002 | |||||||||||
Machinery: Agricultural 0.03% | ||||||||||||
BAT International Finance plc | 0.253% | 12/1/2020 | 777 | 777,000 | ||||||||
Total Commercial Paper (cost $3,583,002) | 3,583,002 | |||||||||||
REPURCHASE AGREEMENT 2.98% | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $88,669,000 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $88,620,498; proceeds: $86,882,840 (cost $86,882,840) | 86,883 | 86,882,840 | ||||||||||
Total Short-Term Investments (cost $90,465,842) | 90,465,842 | |||||||||||
Total Investments in Securities 98.70% (cost $2,723,136,079) | 2,876,001,164 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(m) 1.30% | 37,763,864 | |||||||||||
Net Assets 100.00% | $ | 2,913,765,028 |
CAD | Canadian dollar. | |
EUR | Euro. | |
CMT | Constant Maturity Rate. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
PO | Principal Only. | |
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, 2020, the total value of Rule 144A securities was $985,105,876, which represents 33.81% of net assets. |
See Notes to Financial Statements. | 229 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
* | Non-income producing security. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(f) | Defaulted (non-income producing security). | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at November 30, 2020. | |
(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) | Amount is less than $1,000. | |
(k) | 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. | |
(l) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(m) | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at November 30, 2020 (1):
Referenced Index | Central Clearing party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | |||||||||||||||
Markit CDX. NA.HY.34(4)(5) | Credit Suisse | 5.00% | 06/20/2025 | $ | 34,074,256 | $ | 37,050,543 | $ (1,806,851 | ) | $ 4,783,138 |
(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 $4,783,138. 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. |
230 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | 12/4/2020 | 247,000 | $ | 287,814 | $ | 294,647 | $ | 6,833 | ||||||||||||||
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 | Sell | Barclays Bank plc | 1/20/2021 | 7,816,000 | $ | 5,955,977 | $ | 6,020,333 | $ | (64,356 | ) | |||||||||||
Euro | Sell | Credit Agricole | 12/4/2020 | 12,550,000 | 14,885,994 | 14,970,955 | (84,961 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (149,317 | ) |
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
U.S. 2-Year Treasury Note | March 2021 | 1,346 | Long | $ | 297,152,812 | $ | 297,266,202 | $ | 113,390 | |||||||||||
U.S. 5-Year Treasury Note | March 2021 | 993 | Long | 125,044,240 | 125,149,031 | 104,791 | ||||||||||||||
Ultra Long U.S. Treasury Bond | March 2021 | 251 | Long | 53,853,586 | 54,223,844 | 370,258 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 588,439 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
Euro-Bobl | December 2020 | 90 | Short | EUR | (12,163,341) | EUR | (12,186,000) | $ | (27,029 | ) | ||||||||||
U.S. 10-Year Ultra Treasury Note | March 2021 | 608 | Short | $ | (95,387,770) | $ | (95,532,000) | (144,230 | ) | |||||||||||
U.S. Long Bond | March 2021 | 3 | Short | (523,026) | (524,719) | (1,693 | ) | |||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (172,952 | ) |
See Notes to Financial Statements. | 231 |
Schedule of Investments (continued)
INCOME FUND November 30, 2020
The following is a summary of the inputs used as of November 30, 2020 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 | ||||||||||||||||
Other | $ | – | $ | 141,202,235 | $ | 6,014,990 | $ | 147,217,225 | ||||||||
Remaining Industries | – | 26,654,004 | – | 26,654,004 | ||||||||||||
Common Stocks | ||||||||||||||||
Oil | 1,995,138 | – | 7,764 | 2,002,902 | ||||||||||||
Corporate Bonds | – | 2,245,851,217 | – | 2,245,851,217 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Automotive | – | – | 1,828,745 | 1,828,745 | ||||||||||||
Environmental Services | – | – | 1,038,764 | 1,038,764 | ||||||||||||
Lodging | – | 11,229,029 | 2,895,000 | 14,124,029 | ||||||||||||
Miscellaneous | – | 6,914,593 | 45,065 | 6,959,658 | ||||||||||||
Technology | – | – | 4,975,000 | 4,975,000 | ||||||||||||
Remaining Industries | – | 51,097,197 | – | 51,097,197 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 360,770 | – | 360,770 | ||||||||||||
Government Sponsored Enterprises Pass-Through | – | 6,408,102 | – | 6,408,102 | ||||||||||||
Municipal Bonds | – | 6,171,872 | – | 6,171,872 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 63,855,481 | – | 63,855,481 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
U.S. Treasury Obligations | – | 206,990,356 | – | 206,990,356 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 3,583,002 | – | 3,583,002 | ||||||||||||
Repurchase Agreement | – | 86,882,840 | – | 86,882,840 | ||||||||||||
Total | $ | 1,995,138 | $ | 2,857,200,698 | $ | 16,805,328 | $ | 2,876,001,164 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 4,783,138 | $ | – | $ | 4,783,138 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 6,833 | – | 6,833 | ||||||||||||
Liabilities | – | (149,317 | ) | – | (149,317 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 588,439 | – | – | 588,439 | ||||||||||||
Liabilities | (172,952 | ) | – | – | (172,952 | ) | ||||||||||
Total | $ | 415,487 | $ | 4,640,654 | $ | – | $ | 5,056,141 |
(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. |
232 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
INCOME FUND November 30, 2020
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the year.
See Notes to Financial Statements. | 233 |
Schedule of Investments
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 90.46% | ||||||||||||
ASSET-BACKED SECURITIES 16.85% | ||||||||||||
Automobiles 5.80% | ||||||||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | $ | 155 | $ | 156,001 | ||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 294 | 294,522 | ||||||||
AmeriCredit Automobile Receivables Trust 2020-1 B | 1.48% | 1/21/2025 | 583 | 593,754 | ||||||||
ARI Fleet Lease Trust 2020-A A2† | 1.77% | 8/15/2028 | 534 | 539,448 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust 2019-1 A† | 2.99% | 7/15/2024 | 470 | 475,807 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 10 | 9,641 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 47 | 47,213 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 506 | 514,214 | ||||||||
California Republic Auto Receivables Trust 2018-1 A3 | 3.14% | 8/15/2022 | 255 | 255,602 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 94 | 93,709 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 163 | 163,253 | ||||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 373 | 378,396 | ||||||||
CarMax Auto Owner Trust 2020-2 A3 | 1.70% | 11/15/2024 | 200 | 203,968 | ||||||||
Carvana Auto Receivables Trust 2019-2A C† | 3.00% | 6/17/2024 | 591 | 607,148 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 101 | 100,794 | ||||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 229 | 232,713 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 330 | 332,169 | ||||||||
CPS Auto Receivables Trust 2019-C† | 2.84% | 6/16/2025 | 181 | 184,985 | ||||||||
CPS Auto Receivables Trust 2019-C D† | 3.17% | 6/16/2025 | 281 | 287,782 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 551 | 557,162 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 667 | 680,281 | ||||||||
CPS Auto Receivables Trust 2020-B E† | 5.75% | 12/15/2023 | 500 | 516,566 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 142 | 143,841 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 1,844 | 1,864,026 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 72 | 71,952 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 701 | 729,871 | ||||||||
Drive Auto Receivables Trust 2019-2 B | 3.17% | 11/15/2023 | 625 | 629,560 | ||||||||
Drive Auto Receivables Trust 2019-2 C | 3.42% | 6/16/2025 | 1,238 | 1,273,943 | ||||||||
Drive Auto Receivables Trust 2019-2 D | 3.69% | 8/17/2026 | 717 | 753,607 | ||||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 1,289 | 1,316,244 | ||||||||
Drive Auto Receivables Trust 2019-4 D | 2.70% | 2/16/2027 | 1,030 | 1,063,540 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 127 | 127,648 | ||||||||
Exeter Automobile Receivables Trust 2019-4A B† | 2.30% | 12/15/2023 | 885 | 894,955 |
234 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | $ | 153 | $ | 154,012 | ||||||
Ford Credit Auto Owner Trust 2016-2 A† | 2.03% | 12/15/2027 | 1,082 | 1,092,179 | ||||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 1,417 | 1,465,240 | ||||||||
Ford Credit Auto Owner Trust 2019-REV1 A† | 3.52% | 7/15/2030 | 932 | 1,017,756 | ||||||||
Ford Credit Auto Owner Trust 2020-C A3 | 0.41% | 7/15/2025 | 921 | 922,607 | ||||||||
Foursight Capital Automobile Receivables Trust 2020-1 A3† | 2.05% | 10/15/2024 | 193 | 197,532 | ||||||||
GM Financial Automobile Leasing Trust 2020-2 A3 | 0.80% | 7/20/2023 | 480 | 483,061 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | 416 | 436,523 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2020-4 A3 | 0.38% | 8/18/2025 | 1,187 | 1,188,597 | ||||||||
Honda Auto Receivables Owner Trust 2020-2 A3 | 0.82% | 7/15/2024 | 510 | 514,741 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 72 | 72,306 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 977 | 991,846 | ||||||||
Santander Drive Auto Receivables Trust 2019-3 C | 2.49% | 10/15/2025 | 1,483 | 1,513,297 | ||||||||
Santander Retail Auto Lease Trust 2019-B D† | 3.31% | 6/20/2024 | 989 | 1,025,061 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A B† | 2.32% | 6/15/2022 | 175 | 175,405 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 172 | 172,141 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 7 | 7,074 | ||||||||
Toyota Auto Receivables Owner Trust 2020-D A2 | 0.23% | 5/15/2023 | 1,097 | 1,097,221 | ||||||||
Toyota Auto Receivables Owner Trust 2020-D A3 | 0.35% | 1/15/2025 | 978 | 979,535 | ||||||||
Volkswagen Auto Loan Enhanced Trust 2020-1 A3 | 0.98% | 11/20/2024 | 988 | 998,747 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 1,216 | 1,253,620 | ||||||||
Westlake Automobile Receivables Trust 2019-3A B† | 2.41% | 10/15/2024 | 1,145 | 1,164,803 | ||||||||
Westlake Automobile Receivables Trust 2019-3A C† | 2.49% | 10/15/2024 | 1,114 | 1,139,481 | ||||||||
World Omni Automobile Lease Securitization Trust 2020-B A3 | 0.45% | 2/15/2024 | 554 | 555,152 | ||||||||
World Omni Select Auto Trust 2018-1A B† | 3.68% | 7/15/2023 | 340 | 344,506 | ||||||||
World Omni Select Auto Trust 2018-1A D† | 4.13% | 1/15/2025 | 1,190 | 1,233,345 | ||||||||
World Omni Select Auto Trust 2019-A C | 2.38% | 12/15/2025 | 226 | 233,419 | ||||||||
World Omni Select Auto Trust 2019-A D | 2.59% | 12/15/2025 | 572 | 585,542 | ||||||||
Total | 37,109,064 | |||||||||||
Credit Cards 1.48% | ||||||||||||
Capital One Multi-Asset Execution Trust 2019-A2 | 1.72% | 8/15/2024 | 289 | 295,541 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 231 | 231,248 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 0.636% (1 Mo. LIBOR + .49% | )# | 7/21/2024 | 1,254 | 1,257,672 |
See Notes to Financial Statements. | 235 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | $ | 2,543 | $ | 2,549,409 | ||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 500 | 510,377 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 693 | 696,542 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 999 | 1,034,843 | ||||||||
World Financial Network Credit Card Master Trust 2018-C M | 3.95% | 8/15/2025 | 743 | $ | 759,348 | |||||||
World Financial Network Credit Card Master Trust 2019-A A | 3.14% | 12/15/2025 | 939 | 970,265 | ||||||||
World Financial Network Credit Card Master Trust 2019-B A | 2.49% | 4/15/2026 | 76 | 78,456 | ||||||||
World Financial Network Credit Card Master Trust 2019-C A | 2.21% | 7/15/2026 | 1,051 | 1,084,365 | ||||||||
Total | 9,468,066 | |||||||||||
Home Equity 0.00% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.72% | 8/25/2035 | 29 | 28,865 | ||||||||
Other 9.57% | ||||||||||||
AMMC CLO Ltd. 2016-19A CR† | 2.787% (3 Mo. LIBOR + 2.55% | )# | 10/16/2028 | 750 | 741,685 | |||||||
Amur Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 837 | 851,002 | ||||||||
Amur Equipment Finance Receivables VII LLC 2019-1A A2† | 2.63% | 6/20/2024 | 1,043 | 1,063,569 | ||||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 1.272% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 970 | 966,500 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 1.272% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 1,212 | 1,207,624 | |||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 1.517% (3 Mo. LIBOR + 1.30% | )# | 10/27/2028 | 1,504 | 1,504,632 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A† | 1.291% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | 1,020 | 1,016,853 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 29 | 29,535 | ||||||||
Avery Point V CLO Ltd. 2014-5A AR† | 1.198% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 154 | 153,668 | |||||||
Bain Capital Credit CLO Ltd. 2017-2A AR† | 1.465% (3 Mo. LIBOR + 1.25% | )# | 7/25/2030 | 390 | 390,117 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2RR† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 1,000 | 997,570 |
236 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Colombia Cent CLO Ltd. 2018-27A A2A† | 1.815% (3 Mo. LIBOR + 1.60% | )# | 10/25/2028 | $ | 281 | $ | 277,987 | |||||
Conn’s Receivables Funding LLC 2019-B A† | 2.66% | 6/17/2024 | 201 | 201,467 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 44 | 43,712 | ||||||||
Diamond Resorts Owner Trust 2018-1 A† | 3.70% | 1/21/2031 | 1,045 | 1,087,893 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 626 | 648,562 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 46 | 46,454 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 18 | 18,127 | ||||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 1.587% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 1,865 | 1,854,555 | |||||||
Elm CLO Ltd. 2014-1A BRR† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/17/2029 | 2,500 | 2,506,183 | |||||||
ENVA LLC 2019-A A† | 3.96% | 6/22/2026 | 45 | 44,656 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A B†(a) | 5.084% | 3/21/2033 | CAD | 226 | 175,012 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(a) | 6.299% | 3/21/2033 | CAD | 426 | 332,219 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(a) | 7.257% | 3/21/2033 | CAD | 252 | 195,036 | (b) | ||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | $ | 202 | 202,934 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 A† | 1.691% (1 Mo. LIBOR + 1.55% | )# | 9/15/2028 | 2,199 | 2,172,026 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 AS† | 2.291% (1 Mo. LIBOR + 2.15% | )# | 9/15/2028 | 824 | 809,061 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A AR† | 1.295% (3 Mo. LIBOR + 1.08% | )# | 7/25/2027 | 501 | 498,312 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A BR† | 1.865% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | 667 | 660,396 | |||||||
HPEFS Equipment Trust 2020-1A A2† | 1.73% | 2/20/2030 | 613 | 617,950 | ||||||||
HPEFS Equipment Trust 2020-1A A3† | 1.76% | 2/20/2030 | 522 | 530,346 | ||||||||
HPEFS Equipment Trust 2020-1A B† | 1.89% | 2/20/2030 | 157 | 160,106 | ||||||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 2,664 | 2,744,747 | ||||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 1.045% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 920 | 912,958 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 1.515% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 944 | 929,573 | |||||||
JFIN CLO Ltd. 2013-1A A1NR† | 1.608% (3 Mo. LIBOR + 1.39% | )# | 1/20/2030 | 1,380 | 1,376,123 | |||||||
JFIN CLO Ltd. 2013-1A A2R† | 2.418% (3 Mo. LIBOR + 2.20% | )# | 1/20/2030 | 690 | 697,454 |
See Notes to Financial Statements. | 237 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Madison Park Funding XVI Ltd. 2015-16A A2R† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 4/20/2026 | $ | 340 | $ | 340,085 | |||||
Mercedes-Benz Master Owner Trust 2019-BA A† | 2.61% | 5/15/2024 | 2,181 | 2,256,823 | ||||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 278 | 278,503 | |||||||
Mountain View CLO X Ltd. 2015-10A AR† | 1.044% (3 Mo. LIBOR + .82% | )# | 10/13/2027 | 480 | 476,572 | |||||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 116 | 119,210 | ||||||||
N-Star REL CDO VIII Ltd. 2006-8A B† | 0.593% (1 Mo. LIBOR + .42% | )# | 2/1/2041 | 1,104 | 1,095,391 | (b) | ||||||
Navient Private Education Refi Loan Trust 2020-FA A† | 1.22% | 7/15/2069 | 331 | 333,281 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 1,846 | 1,899,064 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 736 | 756,044 | ||||||||
Northwoods Capital 20 Ltd. 2019-20A B† | 2.215% (3 Mo. LIBOR + 2.00% | )# | 1/25/2030 | 676 | 676,172 | |||||||
Northwoods Capital Ltd. 2019-20A A1† | 1.535% (3 Mo. LIBOR + 1.32% | )# | 1/25/2030 | 417 | 417,114 | |||||||
Oaktree CLO 2014-1A A1R† | 1.511% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 704 | 701,005 | |||||||
Oaktree CLO Ltd. 2015-1A A1R† | 1.088% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 593 | 591,611 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 1.515% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 645 | 642,242 | |||||||
OCP CLO Ltd. 2016-12A A2R† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/18/2028 | 1,103 | 1,106,499 | |||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 210 | 222,476 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 295 | 307,155 | ||||||||
Orec Ltd. 2018-CRE1 A† | 1.321% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 1,675 | 1,649,875 | |||||||
OZLM VIII Ltd. 2014-8A A1RR† | 1.388% (3 Mo. LIBOR + 1.17% | )# | 10/17/2029 | 712 | 710,061 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 0.837% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 949 | 945,791 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 1.618% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 667 | 657,867 | |||||||
PFS Financing Corp. 2020-A† | 1.27% | 6/15/2025 | 896 | 908,818 | ||||||||
PFS Financing Corp. 2020-E A† | 1.00% | 10/15/2025 | 904 | 909,126 | ||||||||
PFS Financing Corp. 2020-G A† | 0.97% | 2/15/2026 | 647 | 650,388 |
238 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | $ | 642 | $ | 641,757 | ||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 1,585 | 1,573,594 | ||||||||
Prima Capital CRE Securitization Ltd. 2013-3A A† | 2.214% | 10/24/2035 | 68 | 67,944 | (b) | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 1.915% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 1,227 | 1,225,102 | |||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 651 | 653,275 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 71 | 70,871 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 1,907 | 1,915,017 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 836 | 842,324 | ||||||||
SCF Equipment Leasing LLC 2019-2A A2† | 2.47% | 4/20/2026 | 2,107 | 2,181,287 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 1.338% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 11 | 11,166 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 0.749% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 1,264 | 1,249,734 | |||||||
Verizon Owner Trust 2020-B A | 0.47% | 2/20/2025 | 827 | 829,683 | ||||||||
Verizon Owner Trust 2020-C A | 0.41% | 4/21/2025 | 1,220 | 1,221,902 | ||||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 1.664% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 1,501 | 1,499,994 | |||||||
Total | 61,301,427 | |||||||||||
Total Asset-Backed Securities (cost $106,600,479) | 107,907,422 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.15% | ||||||||||||
Oil | ||||||||||||
Oasis Petroleum, Inc.* | 28 | 956,350 | ||||||||||
Templar Energy LLC Class A Units | 10 | 825 | (b) | |||||||||
Total Common Stocks (cost $2,632,114) | 957,175 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.14% | ||||||||||||
Energy Equipment & Services 0.02% | ||||||||||||
SunPower Corp. | 0.875% | 6/1/2021 | $ | 108 | 108,540 |
See Notes to Financial Statements. | 239 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology 0.12% | ||||||||||||
Weibo Corp. (China)(c) | 1.25% | 11/15/2022 | $ | 798 | $ | 766,110 | ||||||
Total Convertible Bonds (cost $879,918) | 874,650 | |||||||||||
CORPORATE BONDS 51.33% | ||||||||||||
Aerospace/Defense 1.35% | ||||||||||||
Boeing Co. (The) | 2.30% | 8/1/2021 | 360 | 363,677 | ||||||||
Boeing Co. (The) | 4.508% | 5/1/2023 | 4,417 | 4,739,439 | ||||||||
Boeing Co. (The) | 4.875% | 5/1/2025 | 2,440 | 2,726,502 | ||||||||
Howmet Aerospace, Inc. | 5.125% | 10/1/2024 | 728 | 792,537 | ||||||||
Total | 8,622,155 | |||||||||||
Air Transportation 0.39% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(c) | 3.875% | 9/15/2024 | 245 | 217,959 | ||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(c) | 5.00% | 6/15/2025 | 140 | 118,527 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 133 | 130,994 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 889 | 651,940 | ||||||||
American Airlines Group, Inc.† | 3.75% | 3/1/2025 | 738 | 486,504 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.† | 8.00% | 9/20/2025 | 243 | 270,691 | ||||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 10/11/2023 | 139 | 136,637 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 12/3/2022 | 23 | 22,515 | ||||||||
US Airways 2013-1 Class B Pass-Through Trust | 5.375% | 5/15/2023 | 538 | 471,154 | ||||||||
Total | 2,506,921 | |||||||||||
Apparel 0.04% | ||||||||||||
William Carter Co. (The)† | 5.50% | 5/15/2025 | 265 | 281,397 | ||||||||
Auto Parts: Original Equipment 0.60% | ||||||||||||
BorgWarner, Inc.† | 5.00% | 10/1/2025 | 512 | 600,811 | ||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 1,200 | 1,201,584 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 300 | 310,500 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 1,598 | 1,691,883 | ||||||||
Total | 3,804,778 | |||||||||||
Automotive 3.86% | ||||||||||||
BMW US Capital LLC† | 3.90% | 4/9/2025 | 1,150 | 1,290,792 | ||||||||
Daimler Finance North America LLC† | 0.77% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 500 | 500,759 |
240 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Daimler Finance North America LLC† | 0.895% (3 Mo. LIBOR + .67% | )# | 11/5/2021 | $ | 1,000 | $ | 1,004,034 | |||||
Daimler Finance North America LLC† | 3.65% | 2/22/2024 | 2,775 | 3,019,406 | ||||||||
Ford Motor Credit Co. LLC | 1.296% (3 Mo. LIBOR + 1.08% | )# | 8/3/2022 | 200 | 194,532 | |||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 300 | 301,500 | ||||||||
Ford Motor Credit Co. LLC | 3.087% | 1/9/2023 | 468 | 470,633 | ||||||||
Ford Motor Credit Co. LLC | 3.219% | 1/9/2022 | 475 | 477,375 | ||||||||
Ford Motor Credit Co. LLC | 3.813% | 10/12/2021 | 707 | 716,898 | ||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 1,445 | 1,553,520 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 3,072 | 3,146,496 | ||||||||
General Motors Co. | 5.40% | 10/2/2023 | 174 | 195,092 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 167 | 201,336 | ||||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | 878 | 930,183 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 166 | 171,613 | ||||||||
General Motors Financial Co., Inc. | 3.70% | 5/9/2023 | 557 | 590,483 | ||||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 1,117 | 1,213,497 | ||||||||
General Motors Financial Co., Inc. | 4.25% | 5/15/2023 | 280 | 301,823 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 1,801 | 2,014,098 | ||||||||
General Motors Financial Co., Inc. | 5.20% | 3/20/2023 | 346 | 379,700 | ||||||||
Hyundai Capital America† | 1.25% | 9/18/2023 | 677 | 682,223 | ||||||||
Hyundai Capital America† | 3.00% | 6/20/2022 | 213 | 219,869 | ||||||||
Hyundai Capital America | 3.40% | 6/20/2024 | 1,181 | 1,261,926 | ||||||||
Navistar International Corp.† | 6.625% | 11/1/2025 | 111 | 116,322 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 920 | 958,824 | ||||||||
Toyota Motor Credit Corp. | 1.35% | 8/25/2023 | 893 | 915,883 | ||||||||
Volkswagen Group of America Finance LLC† | 2.90% | 5/13/2022 | 861 | 889,404 | ||||||||
Volkswagen Group of America Finance LLC† | 3.125% | 5/12/2023 | 745 | 787,509 | ||||||||
Volkswagen Group of America Finance LLC† | 3.35% | 5/13/2025 | 212 | 232,725 | ||||||||
Total | 24,738,455 | |||||||||||
Banks: Regional 10.89% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 4.75% | 7/28/2025 | 200 | 229,781 | ||||||||
ABN AMRO Bank NV (Netherlands)(c) | 6.25% | 4/27/2022 | 2,533 | 2,723,287 | ||||||||
AIB Group plc (Ireland)†(c) | 4.263% (3 Mo. LIBOR + 1.87% | )# | 4/10/2025 | 712 | 776,942 | |||||||
AIB Group plc (Ireland)†(c) | 4.75% | 10/12/2023 | 965 | 1,062,066 | ||||||||
Akbank T.A.S. (Turkey)†(c) | 5.00% | 10/24/2022 | 600 | 604,258 | ||||||||
ASB Bank Ltd. (New Zealand)†(c) | 3.75% | 6/14/2023 | 1,018 | 1,101,137 |
See Notes to Financial Statements. | 241 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Associated Bank NA | 3.50% | 8/13/2021 | $ | 995 | $ | 1,013,808 | ||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(c) | 4.50% | 3/19/2024 | 216 | 238,234 | ||||||||
Bancolombia SA (Colombia)(c) | 3.00% | 1/29/2025 | 407 | 420,203 | ||||||||
Bank of America Corp. | 0.81% (SOFR + .74% | )# | 10/24/2024 | 766 | 769,319 | |||||||
Bank of America Corp. | 1.197% (SOFR + 1.01% | )# | 10/24/2026 | 724 | 729,210 | |||||||
Bank of America Corp. | 1.319% (SOFR + 1.15% | )# | 6/19/2026 | 605 | 612,873 | |||||||
Bank of America Corp. | 2.015% (3 Mo. LIBOR + .64% | )# | 2/13/2026 | 1,708 | 1,783,091 | |||||||
Bank of America Corp. | 2.456% (3 Mo. LIBOR + .87% | )# | 10/22/2025 | 909 | 965,260 | |||||||
Bank of America Corp. | 3.366% (3 Mo. LIBOR + .81% | )# | 1/23/2026 | 980 | 1,075,250 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 1,157 | 1,298,305 | ||||||||
Bank of Ireland Group plc (Ireland)†(c) | 4.50% | 11/25/2023 | 912 | 993,821 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 1,804 | 2,069,618 | ||||||||
Barclays Bank plc (United Kingdom)†(c) | 10.179% | 6/12/2021 | 2,148 | 2,250,837 | ||||||||
BBVA Bancomer SA† | 6.50% | 3/10/2021 | 205 | 208,399 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(c) | 0.95% | 6/23/2023 | 793 | 803,224 | ||||||||
CIT Group, Inc. | 3.929% (SOFR + 3.83% | )# | 6/19/2024 | 266 | 280,989 | |||||||
CIT Group, Inc. | 4.75% | 2/16/2024 | 96 | 104,550 | ||||||||
CIT Group, Inc. | 5.00% | 8/15/2022 | 54 | 57,520 | ||||||||
CIT Group, Inc. | 5.00% | 8/1/2023 | 1,415 | 1,539,697 | ||||||||
Citigroup, Inc. | 1.678% (SOFR + 1.67% | )# | 5/15/2024 | 668 | 686,912 | |||||||
Citigroup, Inc. | 3.106% (SOFR + 2.75% | )# | 4/8/2026 | 2,551 | 2,777,506 | |||||||
Credit Suisse Group AG (Switzerland)†(c) | 2.193% (SOFR + 2.04% | )# | 6/5/2026 | 529 | 552,185 | |||||||
Danske Bank A/S (Denmark)†(c) | 1.171% (1 Yr Treasury CMT + 1.03% | )# | 12/8/2023 | 829 | 832,552 | |||||||
Danske Bank A/S (Denmark)†(c) | 1.226% | 6/22/2024 | 593 | 601,421 | ||||||||
Danske Bank A/S (Denmark)†(c) | 1.621% (1 Yr Treasury CMT + 1.35% | )# | 9/11/2026 | 608 | 610,274 | |||||||
Danske Bank A/S (Denmark)†(c) | 3.001% (3 Mo. LIBOR + 1.25% | )# | 9/20/2022 | 718 | 730,445 |
242 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Danske Bank A/S (Denmark)†(c) | 3.244% (3 Mo. LIBOR + 1.59% | )# | 12/20/2025 | $ | 200 | $ | 213,931 | |||||
Danske Bank A/S (Denmark)†(c) | 5.00% | 1/12/2022 | 909 | 951,842 | ||||||||
Danske Bank A/S (Denmark)†(c) | 5.00% (1 Yr Treasury CMT + 1.73% | )# | 1/12/2023 | 200 | 208,423 | |||||||
Danske Bank A/S (Denmark)†(c) | 5.375% | 1/12/2024 | 364 | 410,564 | ||||||||
FNB Corp. | 2.20% | 2/24/2023 | 510 | 517,082 | ||||||||
Goldman Sachs Group, Inc. (The) | 0.963% (3 Mo. LIBOR + .75% | )# | 2/23/2023 | 235 | 236,959 | |||||||
Goldman Sachs Group, Inc. (The) | 0.994% (3 Mo. LIBOR + .78% | )# | 10/31/2022 | 691 | 693,902 | |||||||
Goldman Sachs Group, Inc. (The) | 1.215% (3 Mo. LIBOR + 1.00% | )# | 7/24/2023 | 424 | 427,864 | |||||||
Goldman Sachs Group, Inc. (The) | 3.272% (3 Mo. LIBOR + 1.20% | )# | 9/29/2025 | 563 | 614,065 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 4/1/2025 | 695 | 770,723 | ||||||||
HBOS Capital Funding No. 1 LP (Jersey)(c) | 6.85% | – | (d) | 500 | 502,345 | |||||||
Intesa Sanpaolo SpA (Italy)†(c) | 6.50% | 2/24/2021 | 2,138 | 2,164,636 | ||||||||
JPMorgan Chase & Co. | 3.875% | 9/10/2024 | 1,400 | 1,560,665 | ||||||||
Lloyds Banking Group plc (United Kingdom)(c) | 1.326% (1 Yr Treasury CMT + 1.10% | )# | 6/15/2023 | 200 | 202,144 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 6.625% | 4/7/2021 | 294 | 300,138 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 3.189% (3 Mo. LIBOR + 1.02% | )# | 11/28/2023 | 871 | 911,022 | |||||||
Manufacturers & Traders Trust Co. | 1.362% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 346 | 346,192 | |||||||
Morgan Stanley | 4.10% | 5/22/2023 | 769 | 833,187 | ||||||||
Morgan Stanley | 5.00% | 11/24/2025 | 500 | 596,570 | ||||||||
Natwest Group plc (United Kingdom)(c) | 6.125% | 12/15/2022 | 610 | 670,542 | ||||||||
Nordea Bank Abp (Finland)†(c) | 4.25% | 9/21/2022 | 505 | 537,085 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 504 | 544,897 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(c) | 3.373% (3 Mo. LIBOR + 1.08% | )# | 1/5/2024 | 698 | 734,550 | |||||||
Standard Chartered plc (United Kingdom)†(c) | 1.319% (1 Yr Treasury CMT + 1.17% | )# | 10/14/2023 | 284 | 287,062 | |||||||
Standard Chartered plc (United Kingdom)†(c) | 4.247% (3 Mo. LIBOR + 1.15% | )# | 1/20/2023 | 1,578 | 1,640,638 | |||||||
Swedbank AB (Sweden)†(c) | 1.30% | 6/2/2023 | 793 | 808,782 |
See Notes to Financial Statements. | 243 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Swedbank AB (Sweden)†(c) | 2.80% | 3/14/2022 | $ | 837 | $ | 863,405 | ||||||
Synovus Bank/Columbus G | 2.289% (SOFR + .95% | )# | 2/10/2023 | 250 | 253,208 | |||||||
Synovus Financial Corp. | 3.125% | 11/1/2022 | 1,470 | 1,519,677 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.625% | 5/30/2022 | 1,267 | 1,270,484 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.75% | 1/30/2023 | 364 | 364,610 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 4,406 | 4,906,758 | ||||||||
UBS Group AG (Switzerland)†(c) | 1.008% (1 Yr Treasury CMT + .83% | )# | 7/30/2024 | 521 | 525,079 | |||||||
UBS Group AG (Switzerland)†(c) | 1.433% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 1,085 | 1,098,333 | |||||||
Wells Fargo & Co. | 2.164% (3 Mo. LIBOR + .75% | )# | 2/11/2026 | 7,239 | 7,583,443 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | 2,593 | 2,717,067 | |||||||
Wells Fargo & Co. | 2.625% | 7/22/2022 | 445 | 461,163 | ||||||||
Total | 69,752,011 | |||||||||||
Biotechnology Research & Production 0.31% | ||||||||||||
Gilead Sciences, Inc. | 0.75% | 9/29/2023 | 490 | 491,571 | ||||||||
Royalty Pharma plc† | 1.20% | 9/2/2025 | 1,467 | 1,481,008 | ||||||||
Total | 1,972,579 | |||||||||||
Building Materials 0.55% | ||||||||||||
American Woodmark Corp.† | 4.875% | 3/15/2026 | 174 | 178,534 | ||||||||
Boral Finance Pty Ltd. (Australia)†(c) | 3.00% | 11/1/2022 | 412 | 421,875 | ||||||||
Carrier Global Corp.† | 2.242% | 2/15/2025 | 1,275 | 1,340,006 | ||||||||
Owens Corning | 4.20% | 12/1/2024 | 1,204 | 1,338,803 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.125% | 6/1/2025 | 214 | 217,990 | ||||||||
Total | 3,497,208 | |||||||||||
Business Services 0.36% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(c) | 3.375% | 7/24/2024 | 500 | 517,296 | ||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 194 | 207,196 | ||||||||
Equifax, Inc. | 1.091% (3 Mo. LIBOR + .87% | )# | 8/15/2021 | 672 | 674,301 | |||||||
IHS Markit Ltd. (United Kingdom)(c) | 4.125% | 8/1/2023 | 135 | 147,244 | ||||||||
Laureate Education, Inc.† | 8.25% | 5/1/2025 | 213 | 226,179 | ||||||||
Nielsen Co. Luxembourg SARL (The) (Luxembourg)†(c) | 5.00% | 2/1/2025 | 500 | 515,313 | ||||||||
Total | 2,287,529 |
244 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.60% | ||||||||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | $ | 29 | $ | 29,870 | ||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 3.50% | 7/19/2022 | 600 | 605,052 | ||||||||
Equate Petrochemical BV (Netherlands)†(c) | 3.00% | 3/3/2022 | 200 | 203,960 | ||||||||
Nutrition & Biosciences, Inc.† | 1.23% | 10/1/2025 | 1,700 | 1,722,258 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 3.933% | 4/23/2021 | 1,026 | 1,036,523 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 4.441% | 4/24/2023 | 250 | 263,937 | ||||||||
Total | 3,861,600 | |||||||||||
Computer Hardware 0.98% | ||||||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 4,506 | 4,987,158 | ||||||||
Dell International LLC/EMC Corp.† | 5.85% | 7/15/2025 | 184 | 219,215 | ||||||||
Dell International LLC/EMC Corp.† | 5.875% | 6/15/2021 | 21 | 21,068 | ||||||||
Hewlett Packard Enterprise Co. | 4.45% | 10/2/2023 | 500 | 551,365 | ||||||||
Leidos, Inc.† | 2.95% | 5/15/2023 | 496 | 520,284 | ||||||||
Total | 6,299,090 | |||||||||||
Computer Software 0.28% | ||||||||||||
BY Crown Parent LLC† | 7.375% | 10/15/2024 | 477 | 487,539 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 1,251 | 1,302,604 | ||||||||
Total | 1,790,143 | |||||||||||
Construction/Homebuilding 0.73% | ||||||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 84 | 87,931 | ||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 1,135 | 1,222,657 | ||||||||
D.R. Horton, Inc. | 4.375% | 9/15/2022 | 330 | 349,612 | ||||||||
D.R. Horton, Inc. | 4.75% | 2/15/2023 | 152 | 164,084 | ||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 1,592 | 1,787,198 | ||||||||
Forestar Group, Inc.† | 8.00% | 4/15/2024 | 143 | 151,208 | ||||||||
Lennar Corp. | 4.50% | 4/30/2024 | 385 | 426,097 | ||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 187 | 214,760 | ||||||||
Lennar Corp. | 4.875% | 12/15/2023 | 69 | 76,297 | ||||||||
M/I Homes, Inc. | 5.625% | 8/1/2025 | 185 | 193,074 | ||||||||
Total | 4,672,918 | |||||||||||
Containers 0.00% | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer† | 5.125% | 7/15/2023 | 12 | 12,152 | ||||||||
Diversified 0.03% | ||||||||||||
KOC Holding AS (Turkey)†(c) | 5.25% | 3/15/2023 | 212 | 217,723 |
See Notes to Financial Statements. | 245 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs 1.47% | ||||||||||||
AbbVie, Inc. | 2.60% | 11/21/2024 | $ | 1,357 | $ | 1,451,155 | ||||||
Bausch Health Cos., Inc.† | 5.50% | 3/1/2023 | 226 | 226,226 | ||||||||
Bausch Health Cos., Inc.† | 5.50% | 11/1/2025 | 269 | 277,366 | ||||||||
Bausch Health Cos., Inc.† | 6.125% | 4/15/2025 | 663 | 682,817 | ||||||||
Bausch Health Cos., Inc.† | 7.00% | 3/15/2024 | 1,081 | 1,115,862 | ||||||||
Bayer US Finance II LLC† | 0.855% (3 Mo. LIBOR + .63% | )# | 6/25/2021 | 200 | 200,469 | |||||||
Bayer US Finance II LLC† | 1.26% (3 Mo. LIBOR + 1.01% | )# | 12/15/2023 | 1,325 | 1,336,761 | |||||||
Bayer US Finance II LLC† | 4.25% | 12/15/2025 | 500 | 572,883 | ||||||||
Cardinal Health, Inc. | 3.079% | 6/15/2024 | 1,550 | 1,667,551 | ||||||||
Cardinal Health, Inc. | 3.50% | 11/15/2024 | 1,505 | 1,652,213 | ||||||||
Cigna Corp. | 4.125% | 11/15/2025 | 222 | 255,548 | ||||||||
Total | 9,438,851 | |||||||||||
Electric: Power 3.45% | ||||||||||||
AES Corp. (The) | 5.50% | 4/15/2025 | 500 | 516,288 | ||||||||
Alexander Funding Trust†(e) | 1.841% | 11/15/2023 | 965 | 972,493 | ||||||||
American Electric Power Co., Inc. | 0.75% | 11/1/2023 | 144 | 144,233 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 3.85% | 5/1/2023 | 2,235 | 2,361,313 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 652 | 676,483 | ||||||||
Comision Federal de Electricidad (Mexico)†(c) | 4.875% | 5/26/2021 | 396 | 404,366 | ||||||||
Comision Federal de Electricidad (Mexico)†(c) | 4.875% | 1/15/2024 | 1,397 | 1,541,806 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 353 | 369,089 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 2.65% | 9/10/2024 | 1,077 | 1,145,343 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 2.75% | 4/6/2023 | 585 | 612,782 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 4.25% | 9/14/2023 | 1,197 | 1,314,299 | ||||||||
Evergy, Inc. | 2.45% | 9/15/2024 | 166 | 176,061 | ||||||||
Exelon Generation Co. LLC | 3.25% | 6/1/2025 | 315 | 339,735 | ||||||||
FirstEnergy Corp. | 2.85% | 7/15/2022 | 1,642 | 1,681,379 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 865 | 945,942 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 1,197 | 1,287,101 | ||||||||
Origin Energy Finance Ltd. (Australia)†(c) | 5.45% | 10/14/2021 | 2,207 | 2,292,179 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 116 | 117,023 | ||||||||
Sempra Energy | 4.05% | 12/1/2023 | 465 | 509,074 | ||||||||
TransAlta Corp. (Canada)(c) | 4.50% | 11/15/2022 | 1,861 | 1,926,842 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 2,542 | 2,736,694 | ||||||||
Total | 22,070,525 |
246 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical Equipment 1.36% | ||||||||||||
Broadcom, Inc. | 3.15% | 11/15/2025 | $ | 1,955 | $ | 2,132,071 | ||||||
Broadcom, Inc. | 4.70% | 4/15/2025 | 520 | 595,487 | ||||||||
Microchip Technology, Inc.† | 2.67% | 9/1/2023 | 1,525 | 1,599,617 | ||||||||
Microchip Technology, Inc. | 3.922% | 6/1/2021 | 408 | 414,719 | ||||||||
Micron Technology, Inc. | 2.497% | 4/24/2023 | 531 | 554,967 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 2.70% | 5/1/2025 | 598 | 642,882 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 3.875% | 9/1/2022 | 1,952 | 2,061,880 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 4.625% | 6/1/2023 | 661 | 724,458 | ||||||||
Total | 8,726,081 | |||||||||||
Electronics 0.32% | ||||||||||||
Flex Ltd. | 3.75% | 2/1/2026 | 637 | 706,109 | ||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 50 | 51,125 | ||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 944 | 1,024,483 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 247 | 283,701 | ||||||||
Total | 2,065,418 | |||||||||||
Energy Equipment & Services 0.11% | ||||||||||||
Greenko Mauritius Ltd. (India)†(c) | 6.25% | 2/21/2023 | 695 | 724,252 | ||||||||
Engineering & Contracting Services 0.03% | ||||||||||||
TopBuild Corp.† | 5.625% | 5/1/2026 | 157 | 162,789 | ||||||||
Entertainment 0.18% | ||||||||||||
Caesars Entertainment, Inc.† | 6.25% | 7/1/2025 | 492 | 525,331 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.75% | 7/1/2025 | 135 | 143,100 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 443 | 497,267 | ||||||||
Total | 1,165,698 | |||||||||||
Financial Services 3.21% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 4.875% | 1/16/2024 | 272 | 293,120 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 527 | 567,261 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 1,323 | 1,360,025 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 1,535 | 1,600,411 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 1,186 | 1,294,035 | ||||||||
Ally Financial, Inc. | 4.25% | 4/15/2021 | 191 | 193,544 | ||||||||
Ally Financial, Inc. | 5.125% | 9/30/2024 | 1,504 | 1,726,442 | ||||||||
Aviation Capital Group LLC† | 2.875% | 1/20/2022 | 199 | 202,405 | ||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 706 | 722,060 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 247 | 256,121 |
See Notes to Financial Statements. | 247 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.125% | 10/1/2023 | $ | 1,021 | $ | 1,075,389 | ||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.25% | 5/15/2024 | 740 | 791,038 | ||||||||
Capital One Financial Corp. | 2.60% | 5/11/2023 | 712 | 746,843 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 555 | 488,155 | ||||||||
Intercontinental Exchange, Inc. | 0.70% | 6/15/2023 | 323 | 326,937 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 1,837 | 2,026,588 | ||||||||
Jefferies Group LLC | 5.125% | 1/20/2023 | 417 | 455,434 | ||||||||
Muthoot Finance Ltd. (India)†(c) | 4.40% | 9/2/2023 | 416 | 422,024 | ||||||||
Muthoot Finance Ltd. (India)†(c) | 6.125% | 10/31/2022 | 500 | 522,925 | ||||||||
Navient Corp. | 5.50% | 1/25/2023 | 128 | 133,200 | ||||||||
Navient Corp. | 5.875% | 10/25/2024 | 807 | 848,964 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 499 | 529,152 | ||||||||
OneMain Finance Corp. | 6.125% | 5/15/2022 | 31 | 32,783 | ||||||||
OneMain Finance Corp. | 7.75% | 10/1/2021 | 342 | 359,023 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 3.625% | 3/15/2021 | 348 | 348,690 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 4.50% | 3/15/2023 | 1,721 | 1,793,817 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 5.50% | 2/15/2024 | 1,342 | 1,433,536 | ||||||||
Total | 20,549,922 | |||||||||||
Food 0.51% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./Albertsons LP/Albertsons LLC | 5.75% | 3/15/2025 | 485 | 501,985 | ||||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 262 | 264,786 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.75% | 6/15/2025 | 633 | 654,364 | ||||||||
MARB BondCo plc (United Kingdom)†(c) | 6.875% | 1/19/2025 | 200 | 208,300 | ||||||||
MARB BondCo plc (United Kingdom)†(c) | 7.00% | 3/15/2024 | 275 | 283,321 | ||||||||
Simmons Foods, Inc.† | 7.75% | 1/15/2024 | 358 | 375,415 | ||||||||
Sysco Corp. | 5.65% | 4/1/2025 | 802 | 956,710 | ||||||||
Total | 3,244,881 | |||||||||||
Health Care Products 0.03% | ||||||||||||
Zimmer Biomet Holdings, Inc. | 3.55% | 4/1/2025 | 178 | 196,175 | ||||||||
Health Care Services 1.83% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 329 | 331,879 | ||||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 372 | 382,656 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 222 | 233,655 | ||||||||
CommonSpirit Health | 1.547% | 10/1/2025 | 192 | 195,071 | ||||||||
CommonSpirit Health | 2.76% | 10/1/2024 | 627 | 664,669 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 3,051 | 3,224,072 |
248 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | $ | 690 | $ | 696,957 | ||||||
HCA, Inc. | 5.00% | 3/15/2024 | 724 | 814,543 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 1,644 | 1,919,020 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 553 | 653,262 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 275 | 323,125 | ||||||||
Health Care Service Corp. A Mutual Legal Reserve Co.† | 1.50% | 6/1/2025 | 324 | 332,551 | ||||||||
MEDNAX, Inc.† | 5.25% | 12/1/2023 | 1,495 | 1,512,723 | ||||||||
Molina Healthcare, Inc. | 5.375% | 11/15/2022 | 24 | 25,245 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 405 | 432,961 | ||||||||
Total | 11,742,389 | |||||||||||
Household Equipment/Products 0.15% | ||||||||||||
Newell Brands, Inc. | 4.35% | 4/1/2023 | 926 | 975,726 | ||||||||
Insurance 1.06% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 8.125% | 2/15/2024 | 147 | 154,680 | ||||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 988 | 1,073,226 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 1,820 | 2,090,624 | ||||||||
Equitable Financial Life Global Funding† | 1.40% | 7/7/2025 | 157 | 160,968 | ||||||||
Equitable Holdings, Inc. | 3.90% | 4/20/2023 | 1,084 | 1,170,261 | ||||||||
Kemper Corp. | 4.35% | 2/15/2025 | 460 | 501,739 | ||||||||
Metropolitan Life Global Funding I† | 0.90% | 6/8/2023 | 369 | 373,983 | ||||||||
Pacific Life Global Funding II† | 1.20% | 6/24/2025 | 212 | 215,342 | ||||||||
Peachtree Corners Funding Trust† | 3.976% | 2/15/2025 | 442 | 489,997 | ||||||||
Protective Life Global Funding† | 1.082% | 6/9/2023 | 183 | 186,120 | ||||||||
Protective Life Global Funding† | 1.17% | 7/15/2025 | 372 | 376,889 | ||||||||
Total | 6,793,829 | |||||||||||
Leasing 0.33% | ||||||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 2.70% | 11/1/2024 | 680 | 724,779 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 1,119 | 1,219,511 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 144 | 157,427 | ||||||||
Total | 2,101,717 | |||||||||||
Leisure 0.42% | ||||||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 1,383 | 1,576,904 | ||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 864 | 825,120 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 242 | 284,652 | ||||||||
Total | 2,686,676 |
See Notes to Financial Statements. | 249 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Lodging 0.79% | ||||||||||||
Las Vegas Sands Corp. | 2.90% | 6/25/2025 | $ | 1,307 | $ | 1,343,344 | ||||||
Las Vegas Sands Corp. | 3.20% | 8/8/2024 | 2,203 | 2,303,710 | ||||||||
MGM Resorts International | 6.00% | 3/15/2023 | 74 | 79,256 | ||||||||
MGM Resorts International | 6.75% | 5/1/2025 | 73 | 78,544 | ||||||||
Wyndham Destinations, Inc. | 5.625% | 3/1/2021 | 398 | 403,423 | ||||||||
Wyndham Destinations, Inc. | 6.60% | 10/1/2025 | 59 | 66,443 | ||||||||
Wyndham Hotels & Resorts, Inc.† | 5.375% | 4/15/2026 | 612 | 633,037 | ||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.† | 4.25% | 5/30/2023 | 68 | 68,468 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 97 | 99,122 | ||||||||
Total | 5,075,347 | |||||||||||
Machinery: Agricultural 0.86% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 1,579 | 1,709,258 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(c) | 3.125% | 7/26/2024 | 1,590 | 1,698,354 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 1,850 | 2,112,871 | ||||||||
Total | 5,520,483 | |||||||||||
Machinery: Industrial/Specialty 0.91% | ||||||||||||
CNH Industrial Capital LLC | 4.20% | 1/15/2024 | 1,267 | 1,381,476 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 125 | 126,634 | ||||||||
CNH Industrial NV (United Kingdom)(c) | 4.50% | 8/15/2023 | 1,303 | 1,419,771 | ||||||||
Flowserve Corp. | 4.00% | 11/15/2023 | 313 | 327,971 | ||||||||
Nvent Finance S.a.r.l. (Luxembourg)(c) | 3.95% | 4/15/2023 | 1,308 | 1,374,633 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.20% | 6/15/2025 | 113 | 121,204 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 973 | 1,063,524 | ||||||||
Total | 5,815,213 | |||||||||||
Manufacturing 0.01% | ||||||||||||
Bombardier, Inc. (Canada)†(c) | 8.75% | 12/1/2021 | 41 | 42,091 | ||||||||
Media 1.11% | ||||||||||||
Altice Financing SA (Luxembourg)†(c) | 7.50% | 5/15/2026 | 200 | 211,250 | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp.† | 5.50% | 5/1/2026 | 94 | 98,033 | ||||||||
Cox Communications, Inc.† | 3.15% | 8/15/2024 | 360 | 389,481 | ||||||||
DISH DBS Corp. | 5.875% | 7/15/2022 | 208 | 218,666 | ||||||||
iHeartCommunications, Inc. | 6.375% | 5/1/2026 | 440 | 466,662 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (d) | 4,280 | 4,370,950 | |||||||
Sirius XM Radio, Inc.† | 3.875% | 8/1/2022 | 1,343 | 1,364,824 | ||||||||
Total | 7,119,866 |
250 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous 1.10% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(c) | 6.75% | 9/30/2024 | $ | 950 | $ | 983,844 | ||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.125% | 4/15/2021 | 200 | 202,400 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 117 | 122,207 | ||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | 544 | 595,612 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 4.25% | 10/25/2022 | 450 | 477,747 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 1,890 | 2,034,624 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 484 | 539,539 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.125% | 9/1/2021 | 900 | 919,821 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.95% | 3/15/2024 | 1,044 | 1,191,790 | ||||||||
Total | 7,067,584 | |||||||||||
Natural Gas 0.50% | ||||||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 515 | 539,216 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 682 | 703,052 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 1,183 | 1,328,620 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 596 | 596,372 | ||||||||
Total | 3,167,260 | |||||||||||
Oil 4.35% | ||||||||||||
Afren plc (United Kingdom)†(c)(f) | 6.625% | 12/9/2020 | 195 | 956 | ||||||||
Afren plc (United Kingdom)†(c)(f) | 10.25% | 4/8/2019 | 195 | 4,977 | ||||||||
Afren plc (United Kingdom)†(c)(f) | 11.50% | 2/1/2016 | 390 | 9,954 | ||||||||
American Energy- Permian Basin LLC†(f) | 12.00% | 10/1/2024 | 266 | 6,650 | ||||||||
Callon Petroleum Co. | 6.25% | 4/15/2023 | 2,360 | 1,131,325 | ||||||||
Cenovus Energy, Inc. (Canada)(c) | 5.375% | 7/15/2025 | 178 | 196,485 | ||||||||
Cimarex Energy Co. | 4.375% | 6/1/2024 | 704 | 760,643 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(c) | 4.50% | 10/3/2023 | 342 | 374,359 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 226 | 229,025 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 476 | 488,771 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 3,870 | 3,883,545 | ||||||||
Diamondback Energy, Inc. | 2.875% | 12/1/2024 | 678 | 707,093 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 321 | 358,222 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 3,203 | 3,334,922 | ||||||||
Eni SpA (Italy)†(c) | 4.00% | 9/12/2023 | 660 | 718,858 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 98 | 108,188 | ||||||||
Hess Corp. | 3.50% | 7/15/2024 | 1,046 | 1,088,759 | ||||||||
Husky Energy, Inc. (Canada)(c) | 4.00% | 4/15/2024 | 1,002 | 1,066,708 | ||||||||
Laredo Petroleum, Inc. | 9.50% | 1/15/2025 | 729 | 496,857 | ||||||||
MEG Energy Corp. (Canada)†(c) | 6.50% | 1/15/2025 | 427 | 435,873 |
See Notes to Financial Statements. | 251 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | $ | 485 | $ | 480,756 | ||||||
Occidental Petroleum Corp. | 2.70% | 8/15/2022 | 278 | 274,330 | ||||||||
Occidental Petroleum Corp. | 2.90% | 8/15/2024 | 1,052 | 982,568 | ||||||||
Occidental Petroleum Corp. | 6.95% | 7/1/2024 | 913 | 965,498 | ||||||||
OGX Austria GmbH (Brazil)†(c)(f) | 8.50% | 6/1/2018 | 225 | 5 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.25% | 8/15/2025 | 507 | 527,280 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.375% | 1/15/2025 | 125 | 128,984 | ||||||||
Petrobras Global Finance BV (Netherlands)(c) | 8.375% | 5/23/2021 | 591 | 612,424 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 4.25% | 1/15/2025 | 809 | 786,247 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 5.375% | 3/13/2022 | 252 | 258,556 | ||||||||
Reliance Industries Ltd. (India)†(c) | 5.40% | 2/14/2022 | 1,350 | 1,419,108 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 6.75% | 5/1/2023 | 1,766 | 1,775,934 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 428 | 382,424 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(c) | 9.40% | 9/1/2021 | 125 | 130,876 | ||||||||
Suncor Energy, Inc. (Canada)(c) | 9.25% | 10/15/2021 | 524 | 562,051 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(c) | 2.625% | 8/15/2025 | 330 | 341,732 | ||||||||
Valero Energy Corp. | 1.20% | 3/15/2024 | 545 | 545,336 | ||||||||
Valero Energy Corp. | 2.70% | 4/15/2023 | 399 | 415,002 | ||||||||
Valero Energy Corp. | 2.85% | 4/15/2025 | 355 | 373,224 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 719 | 760,443 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 144 | 154,440 | ||||||||
WPX Energy, Inc. | 5.25% | 10/15/2027 | 227 | 239,869 | ||||||||
WPX Energy, Inc. | 5.75% | 6/1/2026 | 299 | 315,520 | ||||||||
Total | 27,834,777 | |||||||||||
Oil: Crude Producers 2.69% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 1,649 | 1,890,993 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 3,102 | 3,579,462 | ||||||||
Energy Transfer Operating LP | 4.25% | 3/15/2023 | 506 | 533,094 | ||||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 1,193 | 1,325,056 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 440 | 458,380 | ||||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 875 | 886,128 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 618 | 627,858 | ||||||||
MPLX LP | 5.25% | 1/15/2025 | 500 | 513,872 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 1,773 | 1,845,778 | ||||||||
NOVA Gas Transmission Ltd. (Canada)(c) | 7.875% | 4/1/2023 | 500 | 578,539 | ||||||||
ONEOK, Inc. | 7.50% | 9/1/2023 | 672 | 772,017 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 2,500 | 2,739,994 |
252 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | $ | 694 | $ | 789,079 | ||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | 223 | 228,508 | ||||||||
Western Midstream Operating LP | 2.074% (3 Mo. LIBOR + 1.85% | )# | 1/13/2023 | 493 | 476,929 | |||||||
Total | 17,245,687 | |||||||||||
Oil: Integrated Domestic 0.17% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 576 | 522,605 | ||||||||
TechnipFMC plc (United Kingdom)(c) | 3.45% | 10/1/2022 | 513 | 530,171 | ||||||||
Total | 1,052,776 | |||||||||||
Real Estate Investment Trusts 1.12% | ||||||||||||
Brixmor Operating Partnership LP | 3.65% | 6/15/2024 | 424 | 452,650 | ||||||||
China Overseas Finance Cayman V Ltd. | 3.95% | 11/15/2022 | 400 | 418,758 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 7.125% | 1/27/2022 | 365 | 378,689 | ||||||||
Equinix, Inc. | 1.00% | 9/15/2025 | 204 | 204,545 | ||||||||
Equinix, Inc. | 5.375% | 5/15/2027 | 1,044 | 1,139,218 | ||||||||
ESH Hospitality, Inc.† | 5.25% | 5/1/2025 | 619 | 635,388 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 5.25% | 7/15/2024 | 423 | 440,758 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 159 | 169,931 | ||||||||
Kennedy-Wilson, Inc. | 5.875% | 4/1/2024 | 65 | 65,975 | ||||||||
SITE Centers Corp. | 3.625% | 2/1/2025 | 60 | 62,058 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 1,530 | 1,606,717 | ||||||||
VEREIT Operating Partnership LP | 4.625% | 11/1/2025 | 1,394 | 1,563,988 | ||||||||
Total | 7,138,675 | |||||||||||
Retail 0.29% | ||||||||||||
PetSmart, Inc.† | 7.125% | 3/15/2023 | 251 | 248,164 | ||||||||
PetSmart, Inc.† | 8.875% | 6/1/2025 | 251 | 253,196 | ||||||||
Walgreens Boots Alliance, Inc. | 3.80% | 11/18/2024 | 1,190 | 1,321,261 | ||||||||
Total | 1,822,621 | |||||||||||
Savings & Loan 0.06% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 370 | 389,398 | ||||||||
Steel 0.15% | ||||||||||||
CSN Resources SA (Brazil)†(c) | 7.625% | 2/13/2023 | 475 | 497,087 | ||||||||
POSCO (South Korea)†(c) | 2.375% | 11/12/2022 | 450 | 462,818 | ||||||||
Total | 959,905 |
See Notes to Financial Statements. | 253 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology 0.83% | ||||||||||||
Baidu, Inc. (China)(c) | 3.075% | 4/7/2025 | $ | 200 | $ | 213,706 | ||||||
Baidu, Inc. (China)(c) | 3.875% | 9/29/2023 | 2,248 | 2,419,797 | ||||||||
Meituan (China)†(c) | 2.125% | 10/28/2025 | 242 | 245,977 | ||||||||
Tencent Holdings Ltd. (China)†(c) | 1.81% | 1/26/2026 | 200 | 204,361 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 412 | 444,703 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 646 | 734,421 | ||||||||
Weibo Corp. (China)(c) | 3.50% | 7/5/2024 | 1,000 | 1,043,615 | ||||||||
Total | 5,306,580 | |||||||||||
Telecommunications 0.37% | ||||||||||||
Altice France SA (France)†(c) | 7.375% | 5/1/2026 | 1,200 | 1,261,260 | ||||||||
CommScope, Inc.† | 5.50% | 3/1/2024 | 344 | 353,930 | ||||||||
T-Mobile USA, Inc.† | 1.50% | 2/15/2026 | 716 | 728,018 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 40 | 41,618 | ||||||||
Total | 2,384,826 | |||||||||||
Toys 0.30% | ||||||||||||
Hasbro, Inc. | 3.00% | 11/19/2024 | 589 | 635,023 | ||||||||
Mattel, Inc. | 3.15% | 3/15/2023 | 1,250 | 1,268,487 | ||||||||
Total | 1,903,510 | |||||||||||
Transportation: Miscellaneous 0.06% | ||||||||||||
Ryder System, Inc. | 3.35% | 9/1/2025 | 356 | 393,958 | ||||||||
Utilities 0.09% | ||||||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 495 | 546,585 | ||||||||
Wholesale 0.14% | ||||||||||||
Core & Main LP† | 6.125% | 8/15/2025 | 448 | 460,040 | ||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | 442 | 462,575 | ||||||||
Total | 922,615 | |||||||||||
Total Corporate Bonds (cost $321,565,228) | 328,671,345 | |||||||||||
FLOATING RATE LOANS(g) 3.43% | ||||||||||||
Aerospace/Defense 0.12% | ||||||||||||
Boeing Company The Term Loan | 1.471% - 1.50% (3 Mo. LIBOR + 1.25% | ) | 2/7/2022 | 784 | 773,346 | |||||||
Air Transportation 0.24% | ||||||||||||
American Airlines, Inc. 2017 Incremental Term Loan | 2.141% (1 Mo. LIBOR + 2.00% | ) | 12/15/2023 | 285 | 253,462 |
254 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
American Airlines, Inc. 2018 Term Loan B | 1.893% (1 Mo. LIBOR + 1.75% | ) | 6/27/2025 | $ | 383 | $ | 285,204 | |||||
American Airlines, Inc. Repriced TL B due 2023 | 2.146% (1 Mo. LIBOR + 2.00% | ) | 4/28/2023 | 1,141 | 1,016,483 | |||||||
Total | 1,555,149 | |||||||||||
Automotive 0.05% | ||||||||||||
Ford Motor Company Unsecured Term Loan | 1.90% (1 Mo. LIBOR + 1.75% | ) | 12/31/2022 | 319 | 304,792 | (h) | ||||||
Business Services 0.11% | ||||||||||||
Refinitiv US Holdings Inc. 2018 USD Term Loan | 3.396% (1 Mo. LIBOR + 3.25% | ) | 10/1/2025 | 703 | 699,480 | |||||||
Computer Hardware 0.00% | ||||||||||||
Dell International LLC 2019 Term Loan B | 2.75% (1 Mo. LIBOR + 2.00% | ) | 9/19/2025 | 9 | 8,560 | |||||||
Containers 0.01% | ||||||||||||
BWAY Holding Company 2017 Term Loan B | 3.48% (2 Mo. LIBOR +3.25 (3 Mo. LIBOR +3.25% | ) ) | 4/3/2024 | 76 | 72,934 | |||||||
Drugs 0.16% | ||||||||||||
NVA Holdings, Inc. 2019 Term Loan A3 | 2.438% (1 Mo. LIBOR + 2.25% | ) | 2/20/2023 | 1,050 | 1,042,125 | (h) | ||||||
Electrical Equipment 0.15% | ||||||||||||
Marvell Technology Group Ltd. 2018 Term Loan A | 1.52% (1 Mo. LIBOR + 1.38% | ) | 6/4/2021 | 944 | 946,583 | (h) | ||||||
Entertainment 0.14% | ||||||||||||
Scientific Games International, Inc. 2018 Term Loan B5 | 2.896% (1 Mo. LIBOR + 2.75% | ) | 8/14/2024 | 402 | 389,102 | |||||||
Seminole Tribe of Florida 2018 Term Loan B | 1.896% (1 Mo. LIBOR + 1.75% | ) | 7/8/2024 | 480 | 473,266 | |||||||
Total | 862,368 |
See Notes to Financial Statements. | 255 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services 0.08% | ||||||||||||
Delos Finance Sarl 2018 Term Loan B (Luxembourg)(c) | 1.97% (3 Mo. LIBOR + 1.75% | ) | 10/6/2023 | $ | 500 | $ | 492,508 | |||||
Food 0.06% | ||||||||||||
US Foods, Inc. 2016 Term Loan B | 1.896% (1 Mo. LIBOR + 1.75% | ) | 6/27/2023 | 382 | 370,435 | |||||||
Health Care 0.06% | ||||||||||||
MPH Acquisition Holdings LLC 2016 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75% | ) | 6/7/2023 | 359 | 354,944 | |||||||
Health Care Services 0.33% | ||||||||||||
Jaguar Holding Company II 2018 Term Loan | 3.50% (1 Mo. LIBOR + 2.50% | ) | 8/18/2022 | 923 | 922,907 | |||||||
Universal Health Services, Inc. 2018 Term Loan A | – | (i) | 10/23/2023 | 377 | 375,529 | |||||||
Wink Holdco, Inc 1st Lien Term Loan B | 4.00% (1 Mo. LIBOR + 3.00% | ) | 12/2/2024 | 798 | 797,564 | |||||||
Total | 2,096,000 | |||||||||||
Insurance 0.04% | ||||||||||||
Asurion LLC 2018 Term Loan B6 | 3.146% (1 Mo. LIBOR + 3.00% | ) | 11/3/2023 | 229 | 227,290 | |||||||
Investment Management Companies 0.11% | ||||||||||||
Broadcom Inc. 2019 1st Lien Term Loan A3 | 1.271% (1 Mo. LIBOR + 1.13% | ) | 11/4/2022 | 734 | 733,758 | |||||||
Media 0.68% | ||||||||||||
Charter Communications Operating, LLC 2017 Term Loan A2 | 1.65% (1 Mo. LIBOR + 1.50% | ) | 3/31/2023 | 2,289 | 2,277,490 | (h) | ||||||
ION Media Networks, Inc. 2019 Term Loan B | 3.188% (1 Mo. LIBOR + 3.00% | ) | 12/18/2024 | 499 | 496,873 | |||||||
Nielsen Finance LLC USD Term Loan B4 | 2.127% (1 Mo. LIBOR + 2.00% | ) | 10/4/2023 | 1,611 | 1,598,688 | |||||||
Total | 4,373,051 | |||||||||||
Miscellaneous 0.00% | ||||||||||||
UTEX Industries Inc. 2nd Lien Term Loan 2014(f) | – | (i) | 5/22/2022 | 111 | 2,775 |
256 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts 0.33% | ||||||||||||
Invitation Homes Operating Partnership LP Term Loan A | 1.846% (1 Mo. LIBOR + 1.70%) | 2/6/2022 | $ | 2,149 | $ | 2,130,196 | ||||||
Retail 0.23% | ||||||||||||
Panera Bread Company Term Loan A | 2.438% (1 Mo. LIBOR + 2.25%) | 7/18/2022 | 1,587 | 1,494,515 | ||||||||
Technology 0.08% | ||||||||||||
EIG Investors Corp. 2018 1st Lien Term Loan | 4.75% (3 Mo. LIBOR + 3.75%) | 2/9/2023 | 540 | 539,933 | ||||||||
Telecommunications 0.35% | ||||||||||||
CenturyLink, Inc. 2020 Term Loan A | 2.146% (1 Mo. LIBOR + 2.00%) | 1/31/2025 | 2,304 | 2,253,500 | ||||||||
Wholesale 0.10% | ||||||||||||
Core & Main LP 2017 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75%) | 8/1/2024 | 595 | 588,720 | ||||||||
HD Supply, Inc. Term Loan B5 | – | (i) | 10/17/2023 | 23 | 23,158 | |||||||
Total | 611,878 | |||||||||||
Total Floating Rate Loans (cost $22,456,065) | 21,946,120 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.57% | ||||||||||||
Egypt 0.13% | ||||||||||||
Republic of Egypt(c) | 6.125% | 1/31/2022 | 375 | 390,560 | ||||||||
Republic of Egypt†(c) | 6.125% | 1/31/2022 | 400 | 416,597 | ||||||||
Total | 807,157 | |||||||||||
Indonesia 0.18% | ||||||||||||
Perusahaan Penerbit SBSN†(c) | 3.75% | 3/1/2023 | 405 | 431,691 | ||||||||
Perusahaan Penerbit SBSN†(c) | 4.325% | 5/28/2025 | 607 | 688,848 | ||||||||
Total | 1,120,539 | |||||||||||
Kenya 0.12% | ||||||||||||
Republic of Kenya†(c) | 6.875% | 6/24/2024 | 720 | 780,666 | ||||||||
Romania 0.08% | ||||||||||||
Republic of Romania†(c) | 4.875% | 1/22/2024 | 484 | 540,289 | ||||||||
Senegal 0.06% | ||||||||||||
Republic of Senegal†(c) | 8.75% | 5/13/2021 | 401 | 415,389 | ||||||||
Total Foreign Government Obligations (cost $3,575,529) | 3,664,040 |
See Notes to Financial Statements. | 257 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.31% | ||||||||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.302% | #(j) | 11/25/2026 | $ | 15,238 | $ | 157,740 | |||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.187% | #(j) | 2/25/2032 | 1,345 | 159,333 | |||||||
Government National Mortgage Assoc. 2013-171 IO | 0.843% | #(j) | 6/16/2054 | 3,128 | 121,076 | |||||||
Government National Mortgage Assoc. 2013-193 IO | 0.78% | #(j) | 1/16/2055 | 428 | 29,482 | |||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(j) | 1/16/2048 | 210 | 222,701 | |||||||
Government National Mortgage Assoc. 2014-15 IO | 0.501% | #(j) | 8/16/2054 | 1,959 | 60,994 | |||||||
Government National Mortgage Assoc. 2014-64 IO | 1.02% | #(j) | 12/16/2054 | 15,846 | 612,659 | |||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 121 | 125,123 | ||||||||
Government National Mortgage Assoc. 2015-41 AD | 2.90% | #(j) | 8/16/2055 | 99 | 101,481 | |||||||
Government National Mortgage Assoc. 2017-74 AS | 2.60% | 10/16/2057 | 352 | 366,773 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $2,857,137) | 1,957,362 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.54% | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.14% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | 446 | 462,295 | |||||||
Federal Home Loan Mortgage Corp. | 2.623% (12 Mo. LIBOR + 1.78% | )# | 12/1/2036 | 114 | 119,821 | |||||||
Federal Home Loan Mortgage Corp. | 3.043% (12 Mo. LIBOR + 1.72% | )# | 4/1/2037 | 39 | 41,239 | |||||||
Federal Home Loan Mortgage Corp. | 3.07% (12 Mo. LIBOR + 1.96% | )# | 2/1/2037 | 93 | 99,027 | |||||||
Federal Home Loan Mortgage Corp. | 3.113% (12 Mo. LIBOR + 1.93% | )# | 9/1/2036 | 111 | 117,418 | |||||||
Federal Home Loan Mortgage Corp. | 3.224% (12 Mo. LIBOR + 1.77% | )# | 10/1/2038 | 27 | 29,002 | |||||||
Federal Home Loan Mortgage Corp. | 3.446% (12 Mo. LIBOR + 1.79% | )# | 5/1/2036 | 35 | 36,938 | |||||||
Federal Home Loan Mortgage Corp. | 3.664% (12 Mo. LIBOR + 1.66% | )# | 2/1/2038 | 136 | 142,961 | |||||||
Federal National Mortgage Assoc. | 2.407% (12 Mo. LIBOR + 1.52% | )# | 10/1/2035 | 119 | 124,504 | |||||||
Federal National Mortgage Assoc. | 2.442% (12 Mo. LIBOR + 1.80% | )# | 10/1/2040 | 28 | 29,121 | |||||||
Federal National Mortgage Assoc. | 2.666% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 189 | 195,879 | |||||||
Federal National Mortgage Assoc. | 2.70% (12 Mo. LIBOR + 1.64% | )# | 9/1/2038 | 79 | 82,699 | |||||||
Federal National Mortgage Assoc. | 2.704% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 568 | 589,161 | |||||||
Federal National Mortgage Assoc. | 2.77% (12 Mo. LIBOR + 1.80% | )# | 12/1/2040 | 102 | 106,289 |
258 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 2.776% (12 Mo. LIBOR + 1.15% | )# | 6/1/2038 | $ | 124 | $ | 127,511 | |||||
Federal National Mortgage Assoc. | 2.794% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 182 | 190,412 | |||||||
Federal National Mortgage Assoc. | 2.869% (12 Mo. LIBOR + 1.79% | )# | 3/1/2042 | 556 | 581,322 | |||||||
Federal National Mortgage Assoc. | 3.012% (12 Mo. LIBOR + 1.61% | )# | 8/1/2037 | 9 | 9,624 | |||||||
Federal National Mortgage Assoc. | 3.042% (12 Mo. LIBOR + 1.52% | )# | 3/1/2039 | 68 | 71,198 | |||||||
Federal National Mortgage Assoc. | 3.197% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 56 | 58,482 | |||||||
Federal National Mortgage Assoc. | 3.236% (12 Mo. LIBOR + 1.65% | )# | 8/1/2038 | 22 | 22,632 | |||||||
Federal National Mortgage Assoc. | 3.382% (1 Yr Treasury CMT + 2.22% | )# | 3/1/2038 | 22 | 22,893 | |||||||
Federal National Mortgage Assoc. | 3.467% (1 Yr Treasury CMT + 2.20% | )# | 1/1/2038 | 83 | 87,295 | |||||||
Federal National Mortgage Assoc. | 3.565% (12 Mo. LIBOR + 1.81% | )# | 4/1/2040 | 47 | 49,713 | |||||||
Federal National Mortgage Assoc. | 3.641% (12 Mo. LIBOR + 1.89% | )# | 12/1/2038 | 40 | 41,935 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $3,425,930) | 3,439,371 | |||||||||||
MUNICIPAL BONDS 0.24% | ||||||||||||
Miscellaneous | ||||||||||||
IL State GO | 6.20% | 7/1/2021 | 100 | 101,937 | ||||||||
New York Transportation Development Corp., Revenue Bond | 1.36% | 12/1/2021 | 110 | 110,049 | ||||||||
New York Transportation Development Corp., Revenue Bond | 1.61% | 12/1/2022 | 110 | 110,163 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 815 | 830,584 | ||||||||
State of Illinois | 6.125% | 7/1/2021 | 385 | 392,292 | ||||||||
Total Municipal Bonds (cost $1,544,731) | 1,545,025 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 15.24% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(j) | 12/25/2059 | 464 | 469,424 | |||||||
Angel Oak Mortgage Trust 2020-6 A1† | 1.261% | #(j) | 5/25/2065 | 480 | 481,690 | |||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 310 | 313,076 | ||||||||
AREIT Trust 2018-CRE2 A† | 1.116% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 592 | 587,079 |
See Notes to Financial Statements. | 259 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | $ | 842 | $ | 780,545 | |||||
Atrium Hotel Portfolio Trust 2018-ATRM B† | 1.571% (1 Mo. LIBOR + 1.43% | )# | 6/15/2035 | 907 | 858,264 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM C† | 1.791% (1 Mo. LIBOR + 1.65% | )# | 6/15/2035 | 288 | 267,674 | |||||||
BB-UBS Trust 2012-TFT B† | 3.584% | #(j) | 6/5/2030 | 2,149 | 1,432,046 | |||||||
BB-UBS Trust 2012-TFT C† | 3.584% | #(j) | 6/5/2030 | 3,000 | 1,746,106 | |||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 260 | 256,445 | ||||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 297 | 293,343 | ||||||||
BBCMS Trust 2015-VFM X IO† | 0.50% | #(j) | 3/12/2036 | 89,083 | 1,192,816 | |||||||
BBCMS Trust 2018-BXH A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 10/15/2037 | 1,492 | 1,424,646 | |||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.534% | #(j) | 3/10/2033 | 47,800 | 787,108 | |||||||
BX Trust 2017-SLCT D† | 2.191% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 939 | 930,072 | |||||||
BX Trust 2018-BILT A† | 0.941% (1 Mo. LIBOR + .80% | )# | 5/15/2030 | 857 | 832,310 | |||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.931% | #(j) | 12/15/2047 | 204 | 208,558 | |||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.846% | #(j) | 5/10/2058 | 979 | 69,118 | |||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.265% | #(j) | 11/10/2049 | 2,731 | 146,859 | |||||||
CFCRE Commercial Mortgage Trust 2016-C7 XA IO | 0.864% | #(j) | 12/10/2054 | 3,640 | 134,268 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 3,500 | 3,640,656 | ||||||||
CGRBS Commercial Mortgage Trust 2013-VN05 A† | 3.369% | 3/13/2035 | 1,000 | 1,052,366 | ||||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | 3/25/2049 | 14 | 14,027 | ||||||||
CHT Mortgage Trust 2017-CSMO B† | 1.541% (1 Mo. LIBOR + 1.40% | )# | 11/15/2036 | 288 | 282,392 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P A IO | 0.487% | #(j) | 6/10/2048 | 5,804 | 87,034 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.305% | #(j) | 7/10/2047 | 3,452 | 27,115 | |||||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 0.289% | #(j) | 7/25/2036 | 31 | 30,762 | |||||||
COMM Mortgage Trust 2015-LC21 A4 | 3.708% | 7/10/2048 | 207 | 229,893 | ||||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 5.85% | #(j) | 7/10/2046 | 28 | 28,181 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 B† | 3.922% | 10/15/2045 | 617 | 606,752 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.841% | #(j) | 10/15/2045 | 4,287 | 110,453 |
260 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | $ | 324 | $ | 315,559 | ||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2† | 3.40% | 10/5/2030 | 1,080 | 939,476 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.362% | #(j) | 3/10/2046 | 4,632 | 105,907 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.51% | #(j) | 6/10/2046 | 13,441 | 110,654 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 100 | 95,418 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | 270 | 268,230 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.133% | #(j) | 8/10/2047 | 2,398 | 68,171 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 1.535% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | 23 | 22,377 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT C IO | 1.523% | #(j) | 8/10/2049 | 932 | 54,786 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT XA IO† | 0.784% | 8/10/2029 | 101,318 | 295,342 | ||||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A IO† | 0.687% | #(j) | 9/15/2037 | 39,135 | 846,496 | |||||||
Credit Suisse Mortgage Capital Certificates 2016-NXSR XB IO | 0.252% | #(j) | 12/15/2049 | 20,135 | 277,285 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | 350 | 347,750 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 250 | 246,928 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.303% | #(j) | 7/10/2034 | 200 | 202,046 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(j) | 2/25/2050 | 1,012 | 1,032,432 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-SPT1 A1† | 1.70% | 4/25/2065 | 737 | 741,327 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 1.091% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 502 | 492,934 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 XB IO† | 0.122% | #(j) | 6/15/2057 | 82,732 | 178,701 | |||||||
CSAIL Commercial Mortgage Trust 2015-C4 A2 IO | 1.612% | #(j) | 8/10/2049 | 9,615 | 653,132 |
See Notes to Financial Statements. | 261 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CSAIL Commercial Mortgage Trust 2016-C7 XA IO | 1.097% | #(j) | 11/15/2049 | $ | 4,340 | $ | 188,718 | |||||
DBGS Mortgage Trust 2018-BIOD A† | 0.944% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 1,259 | 1,261,557 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 18 | 18,149 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(j) | 7/10/2044 | 175 | 176,096 | |||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 324 | 319,668 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.537% | #(j) | 6/10/2034 | 648 | 8,263 | |||||||
DBWF Mortgage Trust 2016-85T XA IO† | 0.116% | #(j) | 12/10/2036 | 61,529 | 180,895 | |||||||
DBWF Mortgage Trust 2018-AMXP B† | 4.122% | #(j) | 5/5/2035 | 1,500 | 1,470,674 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.956% | #(j) | 5/5/2035 | 1,000 | 1,005,195 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(j) | 1/25/2060 | 620 | 628,029 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A† | 3.144% | 12/10/2036 | 761 | 795,210 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B† | 3.447% | 12/10/2036 | 335 | 342,020 | ||||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 468 | 479,748 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 1,300 | 1,307,198 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 1,159 | 1,149,976 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 1,060 | 1,021,520 | ||||||||
GS Mortgage Securities Corp. Trust 2017-SLP A† | 3.419% | 10/10/2032 | 1,300 | 1,330,448 | ||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 1.241% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | 888 | 881,258 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 1.491% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 313 | 309,121 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 7/15/2032 | 225 | 221,138 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P B† | 1.461% (1 Mo. LIBOR + 1.32% | )# | 10/15/2036 | 657 | 624,410 | |||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 259 | 266,145 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 XA IO | 2.091% | #(j) | 11/10/2045 | 1,363 | 38,770 | |||||||
GS Mortgage Securities Trust 2013-G1 A2† | 3.557% | #(j) | 4/10/2031 | 2,584 | 2,566,818 | |||||||
GS Mortgage Securities Trust 2013-GC12 B | 3.777% | #(j) | 6/10/2046 | 1,000 | 1,045,226 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.545% | #(j) | 6/10/2046 | 18,230 | 500,706 | |||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.911% | #(j) | 11/10/2048 | 1,049 | 34,412 | |||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 974 | 928,572 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 629 | 594,218 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 469 | 444,682 | ||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | 618 | 591,745 | (b) | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 1,200 | 993,553 |
262 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(j) | 8/5/2034 | $ | 559 | $ | 373,110 | |||||
Hudsons Bay Simon JV Trust 2015-HBFL CFL† | 2.94% (1 Mo. LIBOR + 2.80% | )# | 8/5/2034 | 1,961 | 1,203,432 | |||||||
Irvine Core Office Trust 2013-IRV A2† | 3.279% | #(j) | 5/15/2048 | 732 | 763,255 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018 AON XA IO† | 0.639% | #(j) | 7/5/2031 | 129,394 | 1,633,069 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018 AON XB IO† | 0.308% | #(j) | 7/5/2031 | 50,413 | 247,256 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B | 4.819% | #(j) | 5/15/2045 | 253 | 260,498 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C8 A3 | 2.829% | 10/15/2045 | 878 | 903,971 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | 3.905% | 5/5/2030 | 5,787 | 4,681,040 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN B† | 4.488% | #(j) | 5/5/2030 | 1,254 | 841,314 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO | 1.102% | #(j) | 12/15/2047 | 8,121 | 136,784 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO | 0.583% | #(j) | 7/15/2045 | 4,597 | 41,648 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.387% | #(j) | 4/15/2046 | 1,302 | 31,152 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 4 | 4,374 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 1.064% | #(j) | 11/15/2047 | 2,577 | 59,664 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 5,000 | 3,010,444 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.503% | #(j) | 6/10/2027 | 2,906 | 116 | |||||||
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 | 0.817% | #(j) | 12/15/2049 | 3,755 | 100,808 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | 0.795% | #(j) | 5/15/2048 | 1,872 | 46,501 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C IO† | 0.791% | #(j) | 10/5/2031 | 1,432 | 3,394 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D IO | 1.203% | #(j) | 9/15/2050 | 8,250 | 415,100 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.345% | #(j) | 10/5/2031 | 2,367 | 9,918 |
See Notes to Financial Statements. | 263 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | $ | 608 | $ | 606,608 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.171% | #(j) | 6/5/2032 | 452 | 444,171 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK X IO† | 0.661% | #(j) | 6/5/2032 | 32,692 | 228,517 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018 WPT XBFX IO† | 0.555% | #(j) | 7/5/2033 | 95,152 | 967,696 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 553 | 537,905 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 1.441% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 998 | 959,766 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 804 | 768,275 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 1.341% (1 Mo. LIBOR + 1.20% | )# | 4/15/2031 | 658 | 643,473 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 2.041% (1 Mo. LIBOR + 1.90% | )# | 4/15/2031 | 449 | 440,177 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 2.441% (1 Mo. LIBOR + 2.30% | )# | 4/15/2031 | 332 | 325,889 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 1.088% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 901 | 887,073 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 1.788% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 323 | 314,404 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XA IO† | 1.924% | #(j) | 3/10/2049 | 1,225 | 62,925 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XB IO† | 0.787% | #(j) | 3/10/2049 | 19,753 | 616,096 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 765 | 775,650 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 2,100 | 2,243,105 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 2,090 | 1,948,117 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2 IO | 0.704% | #(j) | 7/15/2050 | 5,702 | 128,176 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 IO | 1.528% | #(j) | 11/15/2049 | 4,669 | 272,588 |
264 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
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 2013-C8 B | 3.694% | #(j) | 12/15/2048 | $ | 1,000 | $ | 1,029,710 | |||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | 2.817% | 9/13/2031 | 500 | 493,773 | ||||||||
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† | 2.241% | #(j) | 3/15/2045 | 12,500 | 208,223 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 327 | 325,014 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.188% | #(j) | 7/13/2029 | 60,000 | 40,800 | |||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.686% | #(j) | 8/15/2049 | 4,112 | 253,119 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 330 | 324,626 | ||||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(j) | 1/26/2060 | 458 | 469,210 | |||||||
PFP Ltd. 2019-6 A† | 1.186% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 1,316 | 1,299,056 | |||||||
RBS Commercial Funding, Inc. Trust 2013-GSP A† | 3.961% | #(j) | 1/15/2032 | 592 | 616,730 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 929 | 965,842 | ||||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.833% | 10/25/2052 | 945 | 962,860 | ||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(j) | 2/25/2024 | 301 | 306,730 | |||||||
RETL 2019-RVP C† | 2.241% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 550 | 500,169 | |||||||
SLIDE 2018-FUN A† | 1.041% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 1,429 | 1,388,574 | |||||||
SLIDE 2018-FUN B† | 1.391% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 316 | 301,921 | |||||||
SLIDE 2018-FUN C† | 1.691% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 257 | 242,057 | |||||||
SLIDE 2018-FUN XCP IO† | 0.976% | #(j) | 12/15/2020 | 33,978 | 13,778 | (b) | ||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(j) | 2/25/2050 | 602 | 615,515 | |||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 42 | 44,067 | (b) | |||||||
UBS-BAMLL Trust 2012-WRM A† | 3.663% | 6/10/2030 | 1,250 | 1,228,676 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 305 | 314,409 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 IO† | 1.075% | #(j) | 3/10/2046 | 8,916 | 139,574 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 B† | 3.649% | #(j) | 3/10/2046 | 635 | 630,968 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.25% | #(j) | 4/10/2046 | 16,746 | 332,367 | |||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 734 | 748,288 | ||||||||
Verus Securitization Trust 2020-4 A1† | 1.502% | 5/25/2065 | 555 | 559,828 |
See Notes to Financial Statements. | 265 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Verus Securitization Trust 2020-5 A1† | 1.218% | 5/25/2065 | $ | 429 | $ | 430,363 | |||||||
Wells Fargo Commercial Mortgage Trust 2010-C1 C IO | 0.094% | #(j) | 6/15/2048 | 58,000 | 114,283 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.755% | #(j) | 6/15/2048 | 3,567 | 86,027 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A IO | 1.885% | #(j) | 8/15/2049 | 1,689 | 134,007 | ||||||||
Wells Fargo Commercial Mortgage Trust 2016-LC24 XB IO | 1.16% | #(j) | 10/15/2049 | 7,057 | 365,416 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 675 | 723,205 | |||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 679 | 680,658 | |||||||||
West Town Mall Trust 2017-KNOX B IO† | 0.518% | #(j) | 7/5/2030 | 34,436 | 158,072 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.491% | #(j) | 7/5/2030 | 500 | 491,545 | ||||||||
West Town Mall Trust 2017-KNOX D† | 4.491% | #(j) | 7/5/2030 | 625 | 607,774 | ||||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4 IO† | 1.463% | #(j) | 6/15/2045 | 10,116 | 125,495 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 790 | 807,336 | |||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.90% | #(j) | 6/15/2045 | 300 | 275,336 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 176 | 180,800 | |||||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 1,166 | 1,211,737 | |||||||||
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO† | 1.325% | #(j) | 5/15/2045 | 9,304 | 216,551 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | 0.794% | #(j) | 8/15/2047 | 15,000 | 337,761 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $105,877,346) | 97,581,770 | ||||||||||||
Dividend Rate | Shares (000) | ||||||||||||
PREFERRED STOCK 0.00% | |||||||||||||
Oil | |||||||||||||
Templar Energy LLC (cost $140,791) | Zero Coupon | 16 | – | (b) | |||||||||
Interest Rate | Principal Amount (000) | ||||||||||||
U.S. TREASURY OBLIGATION 1.66% | |||||||||||||
U.S. Treasury Note (cost $10,652,543) | 0.25% | 10/31/2025 | $10,692 | 10,636,869 | |||||||||
Total Long-Term Investments (cost $582,207,811) | 579,181,149 |
266 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 6.74% | ||||||||||||
COMMERCIAL PAPER 0.06% | ||||||||||||
Automotive | ||||||||||||
General Motors Financial Co., Inc. (cost $395,000) | 0.406% | 12/1/2020 | $ | 395 | $ | 395,000 | ||||||
REPURCHASE AGREEMENT 6.68% | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $43,687,100 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $43,663,203; proceeds: $42,807,004 (cost $42,807,004) | 42,807 | 42,807,004 | ||||||||||
Total Short-Term Investments (cost $43,202,004) | 43,202,004 | |||||||||||
Total Investments in Securities 97.20% (cost $625,409,815) | 622,383,153 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(k) 2.80% | 17,916,401 | |||||||||||
Net Assets 100.00% | $ | 640,299,554 |
CAD | Canadian dollar. | |
CMT | Constant Maturity Rate. | |
CPI | Consumer Price Index: Rate fluctuate based on CPI. | |
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, 2020, the total value of Rule 144A securities was $306,261,801, which represents 47.83% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
* | Non-income producing security. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(f) | Defaulted (non-income producing security). | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at November 30, 2020. | |
(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) | 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: |
See Notes to Financial Statements. | 267 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at November 30, 2020(1):
Referenced Index | Central Clearing party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | |||||||||||||||
Markit CDX. NA.HY.34(4)(5) | Credit Suisse | 5.00% | 6/20/2025 | $1,389,580 | $1,510,956 | $(74,475 | ) | $195,851 |
(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 $195,851. 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. |
Centrally Cleared Interest Rate Swap Contracts at November 30, 2020:
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 | Payments Upfront(3) | Unrealized Appreciation | |||||||||||||||
Credit Suisse(1) | .04929% | 3-Month USD SOFR Index | 10/21/2022 | $ | 593,263 | $ | 593,563 | $ | – | $ | 300 | |||||||||||
Credit Suisse(1) | .17314% | 3-Month USD SOFR Index | 10/21/2025 | 165,637 | 165,188 | – | 449 | |||||||||||||||
Credit Suisse(1) | 3-Month USD LIBOR Index | .6459% | 3/12/2025 | 14,000,000 | 14,172,996 | – | 172,996 | |||||||||||||||
Credit Suisse(1) | 3-Month USD LIBOR Index | .6459% | 3/12/2025 | 50,000,000 | 50,617,843 | 29,428 | 588,415 | |||||||||||||||
Credit Suisse(2) | .0555% | 12-Month USD SOFR Index | 10/20/2022 | 5,000,000 | 4,998,105 | – | 1,895 | |||||||||||||||
Credit Suisse(2) | .1815% | 12-Month USD FedFunds Index | 10/20/2025 | 7,500,000 | 7,477,552 | – | 22,448 | |||||||||||||||
Credit Suisse(2) | .5545% | 12-Month USD FedFunds Index | 10/20/2030 | 17,500,000 | 17,319,214 | – | 180,786 | |||||||||||||||
Credit Suisse(2) | .7810% | 12-Month USD FedFunds Index | 10/20/2035 | 8,500,000 | 8,365,958 | – | 134,042 |
268 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
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 | Payments Upfront(3) | Unrealized Appreciation | |||||||||||||||
Credit Suisse(2) | .9025% | 12-Month USD FedFunds Index | 10/20/2040 | $8,000,000 | $7,839,559 | $ | – | $ | 160,441 | |||||||||||||
Unrealized Appreciation on Centrally Cleared Interest Rate Swap Contracts | $ | 1,261,772 |
Centrally Cleared Interest Rate Swap Contracts at November 30, 2020:
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(1) | 3-Month USD FedFunds Index | .05112% | 10/21/2022 | $ | 593,263 | $ | 592,950 | $ | (313 | ) | ||||||||
Credit Suisse(1) | 3-Month USD FedFunds Index | .1835% | 10/21/2025 | 165,637 | 165,157 | (480 | ) | |||||||||||
Credit Suisse(2) | 12-Month USD FedFunds Index | .0510% | 10/20/2022 | 5,000,000 | 4,997,348 | (2,652 | ) | |||||||||||
Credit Suisse(2) | 12-Month USD SOFR Index | .17562% | 10/20/2025 | 7,500,000 | 7,480,669 | (19,331 | ) | |||||||||||
Credit Suisse(2) | 12-Month USD SOFR Index | .537125% | 10/20/2030 | 17,500,000 | 17,341,761 | (158,239 | ) | |||||||||||
Credit Suisse(2) | 12-Month USD SOFR Index | .74005% | 10/20/2035 | 8,500,000 | 8,364,116 | (135,884 | ) | |||||||||||
Credit Suisse(2) | 12-Month USD SOFR Index | .842775% | 10/20/2040 | 8,000,000 | 7,828,649 | (171,351 | ) | |||||||||||
Unrealized Depreciation on Centrally Cleared Interest Rate Swap Contracts | $ | (488,250 | ) |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). | |
(2) | Central clearinghouse: London Clearing House (LCH). | |
(3) | Upfront payments received are presented net of amortization. |
See Notes to Financial Statements. | 269 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at November 30, 2020:
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | ||||||||||||
Credit Suisse | 0.400% | CPI Urban Consumer NSA | 3/25/2025 | $20,000,000 | $21,278,514 | $1,278,514 | ||||||||||||
Credit Suisse | 0.430% | CPI Urban Consumer NSA | 3/25/2025 | 30,000,000 | 31,872,385 | 1,872,385 | ||||||||||||
Credit Suisse | 0.690% | CPI Urban Consumer NSA | 4/1/2025 | 20,000,000 | 20,982,032 | 982,032 | ||||||||||||
Credit Suisse | 0.760% | CPI Urban Consumer NSA | 3/31/2025 | 15,000,000 | 15,683,187 | 683,187 | ||||||||||||
Credit Suisse | 0.9025% | CPI Urban Consumer NSA | 4/7/2025 | 15,000,000 | 15,575,968 | 575,968 | ||||||||||||
Credit Suisse | 1.7315% | CPI Urban Consumer NSA | 8/24/2026 | 10,000,000 | 10,174,368 | 174,368 | ||||||||||||
Credit Suisse | 1.770% | CPI Urban Consumer NSA | 9/23/2027 | 25,000,000 | 25,174,501 | 174,501 | ||||||||||||
Credit Suisse | 1.8875% | CPI Urban Consumer NSA | 10/2/2029 | 5,000,000 | 5,067,953 | 67,953 | ||||||||||||
Credit Suisse | 1.935% | CPI Urban Consumer NSA | 9/1/2029 | 5,000,000 | 5,067,800 | 67,800 | ||||||||||||
Credit Suisse | 1.9525% | CPI Urban Consumer NSA | 10/15/2029 | 7,000,000 | 7,044,021 | 44,021 | ||||||||||||
Credit Suisse | 1.964% | CPI Urban Consumer NSA | 11/27/2029 | 5,000,000 | 5,021,085 | 21,085 | ||||||||||||
Credit Suisse | 1.976% | CPI Urban Consumer NSA | 12/2/2028 | 10,000,000 | 10,000,000 | – | ||||||||||||
Credit Suisse | 1.9795% | CPI Urban Consumer NSA | 10/14/2029 | 5,000,000 | 5,018,229 | 18,229 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.054% | 12/5/2022 | 10,000,000 | 10,172,992 | 172,992 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.405% | 10/9/2021 | 25,000,000 | 25,000,962 | 962 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.817% | 1/4/2026 | 25,000,000 | 25,143,745 | 143,745 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8425% | 1/4/2026 | 10,000,000 | 10,077,146 | 77,146 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.847% | 1/3/2026 | 25,000,000 | 25,204,550 | 204,550 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8475% | 1/7/2026 | 10,000,000 | 10,078,129 | 78,129 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8755% | 12/28/2025 | 15,000,000 | 15,156,133 | 156,133 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8913% | 12/27/2025 | 15,000,000 | 15,173,445 | 173,445 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8975% | 4/3/2021 | 20,000,000 | 20,114,192 | 114,192 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.918% | 12/19/2024 | 20,000,000 | 20,306,295 | 306,295 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.924% | 4/10/2022 | 10,000,000 | 10,081,092 | 81,092 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9351% | 6/9/2022 | 10,000,000 | 10,076,837 | 76,837 |
270 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.936% | 12/19/2024 | $ | 20,000,000 | $ | 20,329,899 | $ | 329,899 | |||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9525% | 12/21/2025 | 15,000,000 | 15,239,527 | 239,527 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9975% | 12/13/2024 | 20,000,000 | 20,403,574 | 403,574 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.020% | 1/10/2029 | 20,000,000 | 20,310,658 | 310,658 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.032% | 11/30/2023 | 30,000,000 | 30,634,682 | 634,682 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.033% | 1/11/2029 | 20,000,000 | 20,338,670 | 338,670 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.0363% | 11/21/2022 | 10,000,000 | 10,150,394 | 150,394 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.050% | 12/11/2024 | 30,000,000 | 30,705,566 | 705,566 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.092% | 12/6/2024 | 15,000,000 | 15,389,932 | 389,932 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.275% | 4/18/2024 | 50,000,000 | 51,941,523 | 1,941,523 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.2775% | 2/16/2028 | 15,000,000 | 15,663,139 | 663,139 | ||||||||||||
Unrealized Appreciation on CPI Centrally Cleared Swaps | $ | 13,653,125 |
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at November 30, 2020:
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | 1.570% | CPI Urban Consumer NSA | 1/10/2021 | $ | 100,000,000 | $ | 99,817,887 | $ | (182,113 | ) | ||||||||
Credit Suisse | 1.615% | CPI Urban Consumer NSA | 1/11/2021 | 140,000,000 | 139,632,639 | (367,361 | ) | |||||||||||
Credit Suisse | 1.675% | CPI Urban Consumer NSA | 1/13/2022 | 20,000,000 | 19,867,428 | (132,572 | ) | |||||||||||
Credit Suisse | 1.700% | CPI Urban Consumer NSA | 2/4/2021 | 40,000,000 | 39,840,714 | (159,286 | ) | |||||||||||
Credit Suisse | 1.756% | CPI Urban Consumer NSA | 11/15/2024 | 10,000,000 | 9,964,486 | (35,514 | ) | |||||||||||
Credit Suisse | 1.844% | CPI Urban Consumer NSA | 3/4/2021 | 30,000,000 | 29,841,980 | (158,020 | ) | |||||||||||
Credit Suisse | 1.9175% | CPI Urban Consumer NSA | 6/14/2029 | 10,000,000 | 9,998,583 | (1,417 | ) | |||||||||||
Credit Suisse | 2.030% | CPI Urban Consumer NSA | 5/3/2022 | 15,000,000 | 14,761,187 | (238,813 | ) | |||||||||||
Credit Suisse | 2.035% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 9,864,265 | (135,735 | ) | |||||||||||
Credit Suisse | 2.075% | CPI Urban Consumer NSA | 1/8/2021 | 20,000,000 | 19,830,484 | (169,516 | ) | |||||||||||
Credit Suisse | 2.107% | CPI Urban Consumer NSA | 2/21/2031 | 5,000,000 | 4,909,105 | (90,895 | ) |
See Notes to Financial Statements. | 271 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | 2.119% | CPI Urban Consumer NSA | 4/12/2022 | $25,000,000 | $24,471,167 | $ | (528,833 | ) | ||||||||||
Credit Suisse | 2.119% | CPI Urban Consumer NSA | 2/11/2031 | 15,000,000 | 14,684,382 | (315,618 | ) | |||||||||||
Credit Suisse | 2.140% | CPI Urban Consumer NSA | 7/20/2029 | 5,000,000 | 4,877,554 | (122,446 | ) | |||||||||||
Credit Suisse | 2.1438% | CPI Urban Consumer NSA | 12/14/2026 | 10,000,000 | 9,718,223 | (281,777 | ) | |||||||||||
Credit Suisse | 2.207% | CPI Urban Consumer NSA | 1/8/2027 | 10,000,000 | 9,655,931 | (344,069 | ) | |||||||||||
Credit Suisse | 2.269% | CPI Urban Consumer NSA | 10/30/2030 | 10,000,000 | 9,547,034 | (452,966 | ) | |||||||||||
Credit Suisse | 2.285% | CPI Urban Consumer NSA | 5/31/2028 | 10,000,000 | 9,536,590 | (463,410 | ) | |||||||||||
Credit Suisse | 2.310% | CPI Urban Consumer NSA | 6/1/2028 | 10,000,000 | 9,507,648 | (492,352 | ) | |||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/17/2036 | 8,000,000 | 7,407,102 | (592,898 | ) | |||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/21/2036 | 10,000,000 | 9,257,228 | (742,772 | ) | |||||||||||
Credit Suisse | 2.339% | CPI Urban Consumer NSA | 3/14/2029 | 10,000,000 | 9,408,299 | (591,701 | ) | |||||||||||
Credit Suisse | 2.340% | CPI Urban Consumer NSA | 3/23/2032 | 5,000,000 | 4,672,987 | (327,013 | ) | |||||||||||
Credit Suisse | 2.341% | CPI Urban Consumer NSA | 8/27/2028 | 10,000,000 | 9,450,592 | (549,408 | ) | |||||||||||
Credit Suisse | 2.3425% | CPI Urban Consumer NSA | 9/11/2028 | 10,000,000 | 9,453,176 | (546,824 | ) | |||||||||||
Credit Suisse | 2.344% | CPI Urban Consumer NSA | 3/15/2029 | 5,000,000 | 4,700,046 | (299,954 | ) | |||||||||||
Credit Suisse | 2.345% | CPI Urban Consumer NSA | 8/14/2028 | 10,000,000 | 9,445,010 | (554,990 | ) | |||||||||||
Credit Suisse | 2.3525% | CPI Urban Consumer NSA | 6/6/2028 | 10,000,000 | 9,456,971 | (543,029 | ) | |||||||||||
Credit Suisse | 2.354% | CPI Urban Consumer NSA | 3/6/2032 | 5,000,000 | 4,669,465 | (330,535 | ) | |||||||||||
Credit Suisse | 2.355% | CPI Urban Consumer NSA | 3/8/2032 | 10,000,000 | 9,332,364 | (667,636 | ) | |||||||||||
Credit Suisse | 2.358% | CPI Urban Consumer NSA | 7/25/2028 | 10,000,000 | 9,433,263 | (566,737 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 3/21/2032 | 5,000,000 | 4,653,147 | (346,853 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/23/2033 | 5,000,000 | 4,674,320 | (325,680 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/25/2033 | 5,000,000 | 4,674,125 | (325,875 | ) | |||||||||||
Credit Suisse | 2.365% | CPI Urban Consumer NSA | 1/30/2038 | 10,000,000 | 9,173,329 | (826,671 | ) | |||||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 4/18/2030 | 25,000,000 | 23,432,805 | (1,567,195 | ) | |||||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 2/28/2038 | 5,000,000 | 4,580,358 | (419,642 | ) |
272 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | 2.3745% | CPI Urban Consumer NSA | 8/9/2028 | $10,000,000 | $ | 9,409,866 | $ | (590,134 | ) | |||||||||
Credit Suisse | 2.379% | CPI Urban Consumer NSA | 9/21/2028 | 15,000,000 | 14,121,198 | (878,802 | ) | |||||||||||
Credit Suisse | 2.380% | CPI Urban Consumer NSA | 7/6/2028 | 10,000,000 | 9,419,323 | (580,677 | ) | |||||||||||
Credit Suisse | 2.380% | CPI Urban Consumer NSA | 7/17/2028 | 15,000,000 | 14,118,337 | (881,663 | ) | |||||||||||
Credit Suisse | 2.383% | CPI Urban Consumer NSA | 6/13/2028 | 40,000,000 | 37,679,478 | (2,320,522 | ) | |||||||||||
Credit Suisse | 2.384% | CPI Urban Consumer NSA | 10/1/2028 | 10,000,000 | 9,412,939 | (587,061 | ) | |||||||||||
Credit Suisse | 2.3845% | CPI Urban Consumer NSA | 8/6/2028 | 25,000,000 | 23,496,299 | (1,503,701 | ) | |||||||||||
Credit Suisse | 2.390% | CPI Urban Consumer NSA | 6/14/2028 | 45,000,000 | 42,351,335 | (2,648,665 | ) | |||||||||||
Credit Suisse | 2.390% | CPI Urban Consumer NSA | 8/3/2028 | 10,000,000 | 9,391,299 | (608,701 | ) | |||||||||||
Credit Suisse | 2.393% | CPI Urban Consumer NSA | 5/11/2028 | 10,000,000 | 9,394,553 | (605,447 | ) | |||||||||||
Credit Suisse | 2.3938% | CPI Urban Consumer NSA | 9/26/2028 | 10,000,000 | 9,398,734 | (601,266 | ) | |||||||||||
Credit Suisse | 2.3963% | CPI Urban Consumer NSA | 10/9/2028 | 10,000,000 | 9,401,255 | (598,745 | ) | |||||||||||
Credit Suisse | 2.400% | CPI Urban Consumer NSA | 4/26/2030 | 10,000,000 | 9,327,413 | (672,587 | ) | |||||||||||
Credit Suisse | 2.4075% | CPI Urban Consumer NSA | 5/21/2028 | 5,000,000 | 4,692,779 | (307,221 | ) | |||||||||||
Credit Suisse | 2.5475% | CPI Urban Consumer NSA | 4/20/2021 | 8,000,000 | 7,132,504 | (867,496 | ) | |||||||||||
Credit Suisse | 2.6725% | CPI Urban Consumer NSA | 1/28/2021 | 15,000,000 | 13,390,178 | (1,609,822 | ) | |||||||||||
Credit Suisse | 2.7875% | CPI Urban Consumer NSA | 6/8/2026 | 5,000,000 | 3,907,658 | (1,092,342 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 0.865% | 3/20/2030 | 20,000,000 | 17,742,249 | (2,257,751 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 0.785% | 3/24/2030 | 20,000,000 | 17,577,919 | (2,422,081 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.057% | 3/19/2035 | 25,000,000 | 21,081,955 | (3,918,045 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.080% | 3/23/2040 | 5,000,000 | 3,928,344 | (1,071,656 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.221% | 4/3/2040 | 5,000,000 | 4,073,723 | (926,277 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.326% | 3/27/2035 | 10,000,000 | 8,854,853 | (1,145,147 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.360% | 3/13/2040 | 10,000,000 | 8,438,054 | (1,561,946 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.370% | 4/2/2040 | 5,000,000 | 4,231,097 | (768,903 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.400% | 3/12/2040 | 30,000,000 | 25,571,205 | (4,428,795 | ) |
See Notes to Financial Statements. | 273 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.445% | 2/3/2021 | $ | 15,000,000 | $ | 14,704,671 | $ | (295,329 | ) | ||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.485% | 1/14/2021 | 20,000,000 | 19,638,476 | (361,524 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.6675% | 6/30/2026 | 7,000,000 | 6,805,360 | (194,640 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.790% | 4/27/2024 | 30,000,000 | 29,766,569 | (233,431 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8175% | 8/28/2022 | 60,000,000 | 59,763,544 | (236,456 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.941% | 11/27/2034 | 10,000,000 | 9,845,045 | (154,955 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9575% | 12/13/2031 | 20,000,000 | 19,913,786 | (86,214 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.970% | 12/10/2034 | 10,000,000 | 9,900,895 | (99,105 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.996% | 1/21/2040 | 10,000,000 | 9,877,685 | (122,315 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.010% | 1/16/2040 | 15,000,000 | 14,865,206 | (134,794 | ) | |||||||||||
Unrealized Depreciation on CPI Centrally Cleared Swaps | $ | (52,172,342 | ) |
Open Consumer Price Index (“CPI”) OTC Swaps at November 30, 2020:
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | ||||||||||||
Bank of America | 1.676% | CPI Urban Consumer NSA | 8/4/2026 | $ | 15,000,000 | $ | 15,375,627 | $ | 375,627 | |||||||||
Bank of America | 1.7395% | CPI Urban Consumer NSA | 8/23/2026 | 40,000,000 | 40,665,890 | 665,890 | ||||||||||||
Bank of America | 1.7465% | CPI Urban Consumer NSA | 8/22/2026 | 20,000,000 | 20,319,436 | 319,436 | ||||||||||||
Bank of America | 1.769% | CPI Urban Consumer NSA | 7/22/2026 | 35,000,000 | 35,527,175 | 527,175 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 1.936% | 5/22/2022 | 10,000,000 | 10,086,876 | 86,876 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.0688% | 11/10/2022 | 15,000,000 | 15,226,493 | 226,493 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.140% | 2/10/2022 | 30,000,000 | 30,541,286 | 541,286 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.194% | 1/19/2022 | 30,000,000 | 30,618,560 | 618,560 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.195% | 2/24/2022 | 25,000,000 | 25,543,125 | 543,125 | ||||||||||||
Barclays Bank plc | 1.874% | CPI Urban Consumer NSA | 4/11/2026 | 10,000,000 | 10,033,867 | 33,867 | ||||||||||||
Barclays Bank plc | 1.944% | CPI Urban Consumer NSA | 3/22/2041 | 5,000,000 | 5,192,026 | 192,026 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.150% | 2/10/2023 | 30,000,000 | 30,713,833 | 713,833 |
274 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | |||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.193% | 1/19/2022 | $ | 40,000,000 | $ | 40,822,567 | $ | 822,567 | ||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 2.105% | 7/10/2025 | 10,000,000 | 10,361,111 | 361,111 | |||||||||||||
Goldman Sachs | 1.5675% | CPI Urban Consumer NSA | 3/2/2024 | 8,000,000 | 8,183,827 | 183,827 | |||||||||||||
Goldman Sachs | 1.649% | CPI Urban Consumer NSA | 3/4/2024 | 5,000,000 | 5,077,974 | 77,974 | |||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 1.988% | 5/25/2023 | 10,000,000 | 10,141,911 | 141,911 | |||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.0625% | 12/8/2024 | 15,000,000 | 15,780,801 | 780,801 | |||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.3125% | 9/30/2024 | 30,000,000 | 32,617,318 | 2,617,318 | |||||||||||||
Unrealized Appreciation on CPI OTC Swaps | $ | 9,829,703 |
Open Consumer Price Index (“CPI”) OTC Swaps at November 30, 2020:
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | |||||||||||||
Bank of America | 2.080% | CPI Urban Consumer NSA | 4/22/2025 | $ | 10,000,000 | $ | 9,682,192 | $ | (317,808 | ) | |||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 4/26/2025 | 10,000,000 | 9,722,344 | (277,656 | ) | ||||||||||||
Bank of America | 2.1438% | CPI Urban Consumer NSA | 7/24/2029 | 10,000,000 | 9,752,696 | (247,304 | ) | ||||||||||||
Bank of America | 2.1475% | CPI Urban Consumer NSA | 7/31/2029 | 10,000,000 | 9,751,546 | (248,454 | ) | ||||||||||||
Bank of America | 2.213% | CPI Urban Consumer NSA | 10/25/2032 | 5,000,000 | 4,839,171 | (160,829 | ) | ||||||||||||
Bank of America | 2.275% | CPI Urban Consumer NSA | 1/6/2026 | 20,000,000 | 19,133,176 | (866,824 | ) | ||||||||||||
Bank of America | 2.2975% | CPI Urban Consumer NSA | 4/5/2029 | 5,000,000 | 4,728,693 | (271,307 | ) | ||||||||||||
Bank of America | 2.3013% | CPI Urban Consumer NSA | 3/28/2029 | 5,000,000 | 4,727,022 | (272,978 | ) | ||||||||||||
Bank of America | 2.345% | CPI Urban Consumer NSA | 2/13/2029 | 30,000,000 | 28,267,772 | (1,732,228 | ) | ||||||||||||
Bank of America | 2.3475% | CPI Urban Consumer NSA | 3/10/2032 | 5,000,000 | 4,673,538 | (326,462 | ) | ||||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/8/2029 | 10,000,000 | 9,401,927 | (598,073 | ) | ||||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/15/2029 | 10,000,000 | 9,399,752 | (600,248 | ) | ||||||||||||
Bank of America | 2.3625% | CPI Urban Consumer NSA | 2/1/2038 | 5,000,000 | 4,592,626 | (407,374 | ) | ||||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 1/26/2029 | 5,000,000 | 4,694,095 | (305,905 | ) | ||||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 2/27/2029 | 10,000,000 | 9,381,203 | (618,797 | ) |
See Notes to Financial Statements. | 275 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Bank of America | 2.3763% | CPI Urban Consumer NSA | 2/26/2038 | $ | 5,000,000 | $ | 4,575,215 | $ | (424,785 | ) | ||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/13/2029 | 10,000,000 | 9,368,693 | (631,307 | ) | |||||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/18/2029 | 10,000,000 | 9,371,074 | (628,926 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 1/24/2029 | 10,000,000 | 9,346,729 | (653,271 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 2/12/2033 | 5,000,000 | 4,641,134 | (358,866 | ) | |||||||||||
Bank of America | 2.445% | CPI Urban Consumer NSA | 4/24/2023 | 40,000,000 | 36,304,370 | (3,695,630 | ) | |||||||||||
Bank of America | 2.590% | CPI Urban Consumer NSA | 6/26/2023 | 40,000,000 | 35,550,404 | (4,449,596 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.385% | 2/9/2021 | 10,000,000 | 9,766,463 | (233,537 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4025% | 1/21/2021 | 10,000,000 | 9,775,602 | (224,398 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4625% | 1/19/2021 | 20,000,000 | 19,617,697 | (382,303 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.523% | 12/16/2020 | 20,000,000 | 19,683,632 | (316,368 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.540% | 8/20/2021 | 20,000,000 | 19,841,291 | (158,709 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.645% | 10/1/2025 | 15,000,000 | 14,784,389 | (215,611 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.813% | 3/31/2026 | 5,000,000 | 4,955,076 | (44,924 | ) | |||||||||||
Barclays Bank plc | 1.960% | CPI Urban Consumer NSA | 2/5/2025 | 10,000,000 | 9,685,289 | (314,711 | ) | |||||||||||
Barclays Bank plc | 2.0325% | CPI Urban Consumer NSA | 11/14/2021 | 35,000,000 | 34,656,000 | (344,000 | ) | |||||||||||
Barclays Bank plc | 2.1275% | CPI Urban Consumer NSA | 6/22/2025 | 10,000,000 | 9,617,311 | (382,689 | ) | |||||||||||
Barclays Bank plc | 2.1575% | CPI Urban Consumer NSA | 12/2/2024 | 10,000,000 | 9,707,644 | (292,356 | ) | |||||||||||
Barclays Bank plc | 2.159% | CPI Urban Consumer NSA | 11/25/2024 | 15,000,000 | 14,562,836 | (437,164 | ) | |||||||||||
Barclays Bank plc | 2.205% | CPI Urban Consumer NSA | 12/9/2024 | 15,000,000 | 14,491,871 | (508,129 | ) | |||||||||||
Barclays Bank plc | 2.207% | CPI Urban Consumer NSA | 1/11/2025 | 20,000,000 | 19,303,256 | (696,744 | ) | |||||||||||
Barclays Bank plc | 2.2225% | CPI Urban Consumer NSA | 12/30/2023 | 30,000,000 | 28,998,476 | (1,001,524 | ) | |||||||||||
Barclays Bank plc | 2.2275% | CPI Urban Consumer NSA | 12/5/2024 | 15,000,000 | 14,463,175 | (536,825 | ) | |||||||||||
Barclays Bank plc | 2.354% | CPI Urban Consumer NSA | 12/23/2031 | 10,000,000 | 9,350,579 | (649,421 | ) | |||||||||||
Barclays Bank plc | 2.3925% | CPI Urban Consumer NSA | 12/13/2031 | 5,000,000 | 4,640,537 | (359,463 | ) | |||||||||||
Barclays Bank plc | 2.4095% | CPI Urban Consumer NSA | 2/1/2032 | 10,000,000 | 9,249,402 | (750,598 | ) |
276 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Barclays Bank plc | 2.529% | CPI Urban Consumer NSA | 7/8/2022 | $ | 30,000,000 | $ | 27,175,769 | $ | (2,824,231 | ) | ||||||||
Barclays Bank plc | 2.945% | CPI Urban Consumer NSA | 3/5/2038 | 15,000,000 | 9,221,528 | (5,778,472 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.210% | 2/11/2021 | 20,000,000 | 19,345,412 | (654,588 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.2625% | 2/17/2021 | 10,000,000 | 9,695,345 | (304,655 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.363% | 1/26/2021 | 15,000,000 | 14,637,582 | (362,418 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.500% | 7/29/2021 | 15,000,000 | 14,749,565 | (250,435 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.562% | 10/22/2022 | 10,000,000 | 9,883,031 | (116,969 | ) | |||||||||||
Credit Suisse | 2.6713% | CPI Urban Consumer NSA | 4/11/2022 | 30,000,000 | 26,375,570 | (3,624,430 | ) | |||||||||||
Credit Suisse | 2.864% | CPI Urban Consumer NSA | 3/22/2032 | 8,000,000 | 5,653,101 | (2,346,899 | ) | |||||||||||
Deutsche Bank AG | 1.6975% | CPI Urban Consumer NSA | 9/2/2022 | 10,000,000 | 9,984,972 | (15,028 | ) | |||||||||||
Deutsche Bank AG | 2.059% | CPI Urban Consumer NSA | 5/21/2025 | 20,000,000 | 19,384,763 | (615,237 | ) | |||||||||||
Deutsche Bank AG | 2.385% | CPI Urban Consumer NSA | 1/24/2021 | 7,000,000 | 6,383,622 | (616,378 | ) | |||||||||||
Deutsche Bank AG | 2.4375% | CPI Urban Consumer NSA | 6/7/2021 | 20,000,000 | 18,239,076 | (1,760,924 | ) | |||||||||||
Deutsche Bank AG | 2.465% | CPI Urban Consumer NSA | 11/30/2031 | 5,000,000 | 4,110,421 | (889,579 | ) | |||||||||||
Deutsche Bank AG | 2.500% | CPI Urban Consumer NSA | 9/4/2021 | 10,000,000 | 8,990,453 | (1,009,547 | ) | |||||||||||
Deutsche Bank AG | 2.505% | CPI Urban Consumer NSA | 12/7/2031 | 5,000,000 | 4,056,093 | (943,907 | ) | |||||||||||
Deutsche Bank AG | 2.5175% | CPI Urban Consumer NSA | 4/17/2026 | 15,000,000 | 13,138,091 | (1,861,909 | ) | |||||||||||
Deutsche Bank AG | 2.640% | CPI Urban Consumer NSA | 12/17/2020 | 15,000,000 | 13,401,717 | (1,598,283 | ) | |||||||||||
Deutsche Bank AG | 2.695% | CPI Urban Consumer NSA | 10/29/2021 | 9,000,000 | 7,887,607 | (1,112,393 | ) | |||||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 2/4/2021 | 15,000,000 | 13,269,466 | (1,730,534 | ) | |||||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 10/25/2021 | 15,000,000 | 13,096,435 | (1,903,565 | ) | |||||||||||
Deutsche Bank AG | 2.745% | CPI Urban Consumer NSA | 3/20/2022 | 30,000,000 | 26,188,572 | (3,811,428 | ) | |||||||||||
Deutsche Bank AG | 2.7475% | CPI Urban Consumer NSA | 2/26/2022 | 30,000,000 | 26,176,549 | (3,823,451 | ) | |||||||||||
Deutsche Bank AG | 2.750% | CPI Urban Consumer NSA | 3/30/2032 | 6,000,000 | 4,450,172 | (1,549,828 | ) | |||||||||||
Deutsche Bank AG | 2.7525% | CPI Urban Consumer NSA | 8/2/2021 | 8,000,000 | 6,809,447 | (1,190,553 | ) | |||||||||||
Deutsche Bank AG | 2.779% | CPI Urban Consumer NSA | 3/12/2022 | 25,000,000 | 21,731,379 | (3,268,621 | ) |
See Notes to Financial Statements. | 277 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Deutsche Bank AG | 3.010% | CPI Urban Consumer NSA | 2/15/2033 | $ | 15,000,000 | $ | 10,053,237 | $ | (4,946,763 | ) | ||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.386% | 1/20/2021 | 10,000,000 | 9,768,684 | (231,316 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.618% | 8/25/2023 | 15,000,000 | 14,891,505 | (108,495 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.650% | 1/20/2026 | 10,000,000 | 9,776,470 | (223,530 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.667% | 4/20/2023 | 20,000,000 | 19,698,712 | (301,288 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.6725% | 4/20/2023 | 20,000,000 | 19,707,198 | (292,802 | ) | |||||||||||
Goldman Sachs | 2.183% | CPI Urban Consumer NSA | 3/20/2022 | 20,000,000 | 19,532,087 | (467,913 | ) | |||||||||||
Goldman Sachs | 2.230% | CPI Urban Consumer NSA | 12/14/2024 | 10,000,000 | 9,636,026 | (363,974 | ) | |||||||||||
Goldman Sachs | 2.317% | CPI Urban Consumer NSA | 3/16/2029 | 5,000,000 | 4,720,213 | (279,787 | ) | |||||||||||
Goldman Sachs | 2.350% | CPI Urban Consumer NSA | 12/16/2036 | 10,000,000 | 9,212,746 | (787,254 | ) | |||||||||||
Goldman Sachs | 2.363% | CPI Urban Consumer NSA | 6/21/2027 | 20,000,000 | 18,937,116 | (1,062,884 | ) | |||||||||||
Goldman Sachs | 2.370% | CPI Urban Consumer NSA | 5/16/2028 | 10,000,000 | 9,426,519 | (573,481 | ) | |||||||||||
Goldman Sachs | 2.372% | CPI Urban Consumer NSA | 5/3/2030 | 5,000,000 | 4,685,310 | (314,690 | ) | |||||||||||
Goldman Sachs | 2.3775% | CPI Urban Consumer NSA | 4/17/2030 | 5,000,000 | 4,682,035 | (317,965 | ) | |||||||||||
Goldman Sachs | 2.380% | CPI Urban Consumer NSA | 12/8/2031 | 10,000,000 | 9,306,956 | (693,044 | ) | |||||||||||
Goldman Sachs | 2.387% | CPI Urban Consumer NSA | 5/24/2028 | 5,000,000 | 4,705,851 | (294,149 | ) | |||||||||||
Goldman Sachs | 2.390% | CPI Urban Consumer NSA | 2/7/2032 | 5,000,000 | 4,642,295 | (357,705 | ) | |||||||||||
Goldman Sachs | 2.4475% | CPI Urban Consumer NSA | 4/24/2023 | 30,000,000 | 27,220,105 | (2,779,895 | ) | |||||||||||
Goldman Sachs | 2.497% | CPI Urban Consumer NSA | 5/2/2021 | 30,000,000 | 27,192,997 | (2,807,003 | ) | |||||||||||
Goldman Sachs | 2.5375% | CPI Urban Consumer NSA | 4/17/2021 | 8,000,000 | 7,144,410 | (855,590 | ) | |||||||||||
Goldman Sachs | 2.675% | CPI Urban Consumer NSA | 12/13/2020 | 15,000,000 | 13,349,938 | (1,650,062 | ) | |||||||||||
Goldman Sachs | 2.7725% | CPI Urban Consumer NSA | 4/3/2023 | 20,000,000 | 17,079,628 | (2,920,372 | ) | |||||||||||
Goldman Sachs | 2.945% | CPI Urban Consumer NSA | 1/16/2038 | 15,000,000 | 9,130,573 | (5,869,427 | ) | |||||||||||
Goldman Sachs | 2.980% | CPI Urban Consumer NSA | 2/7/2033 | 10,000,000 | 6,788,093 | (3,211,907 | ) | |||||||||||
J.P. Morgan | 1.950% | CPI Urban Consumer NSA | 10/14/2026 | 10,000,000 | 9,951,164 | (48,836 | ) | |||||||||||
J.P. Morgan | 2.074% | CPI Urban Consumer NSA | 11/21/2023 | 35,000,000 | 33,156,886 | (1,843,114 | ) |
278 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
J.P. Morgan | 2.1525% | CPI Urban Consumer NSA | 11/21/2024 | $ | 25,000,000 | $ | 24,290,323 | $ | (709,677 | ) | ||||||||
J.P. Morgan | 2.5275% | CPI Urban Consumer NSA | 5/9/2021 | 10,000,000 | 8,920,731 | (1,079,269 | ) | |||||||||||
J.P. Morgan | 2.680% | CPI Urban Consumer NSA | 2/28/2021 | 20,000,000 | 17,876,537 | (2,123,463 | ) | |||||||||||
J.P. Morgan | 2.730% | CPI Urban Consumer NSA | 9/20/2021 | 15,000,000 | 13,130,414 | (1,869,586 | ) | |||||||||||
J.P. Morgan | 2.7563% | CPI Urban Consumer NSA | 3/25/2022 | 30,000,000 | 26,147,677 | (3,852,323 | ) | |||||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 4/5/2032 | 5,000,000 | 3,606,841 | (1,393,159 | ) | |||||||||||
J.P. Morgan | 2.955% | CPI Urban Consumer NSA | 7/15/2026 | 5,000,000 | 3,709,340 | (1,290,660 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.5625% | 1/11/2021 | 10,000,000 | 9,859,479 | (140,521 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.645% | 8/27/2023 | 5,000,000 | 4,978,377 | (21,623 | ) | |||||||||||
Merrill Lynch International Bank Ltd. | 2.825% | CPI Urban Consumer NSA | 7/22/2023 | �� | 5,000,000 | 4,054,569 | (945,431 | ) | ||||||||||
Wells Fargo | 2.410% | CPI Urban Consumer NSA | 6/20/2021 | 10,000,000 | 9,006,176 | (993,824 | ) | |||||||||||
Wells Fargo | 2.560% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 8,896,011 | (1,103,989 | ) | |||||||||||
Wells Fargo | 2.645% | CPI Urban Consumer NSA | 12/27/2020 | 15,000,000 | 13,399,389 | (1,600,611 | ) | |||||||||||
Wells Fargo | 2.7325% | CPI Urban Consumer NSA | 2/19/2021 | 20,000,000 | 17,762,457 | (2,237,543 | ) | |||||||||||
Wells Fargo | 2.745% | CPI Urban Consumer NSA | 2/21/2022 | 25,000,000 | 21,812,653 | (3,187,347 | ) | |||||||||||
Unrealized Depreciation on CPI OTC Swaps | $ | (126,060,636 | ) |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Buy | Barclays Bank plc | 12/15/2020 | 505,000 | $ | 376,810 | $ | 388,883 | $ | 12,073 | ||||||||||||
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 | Sell | Morgan Stanley | 12/15/2020 | 1,387,000 | $ | 1,052,734 | $ | 1,068,082 | $ | (15,348 | ) |
See Notes to Financial Statements. | 279 |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 2-Year Treasury Note | March 2021 | 989 | Long | $ | 218,346,275 | $ | 218,422,194 | $ | 75,919 | ||||||||||
U.S. Long Bond | March 2021 | 212 | Long | 36,955,441 | 37,080,124 | 124,683 | |||||||||||||
U.S. Ultra Treasury Bond | March 2021 | 59 | Long | 12,658,811 | 12,745,844 | 87,033 | |||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 287,635 | |||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 5-Year Treasury Note | March 2021 | 123 | Short | $ | (15,491,060 | ) | $ | (15,501,843 | ) | $ | (10,783 | ) |
The following is a summary of the inputs used as of November 30, 2020 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 | ||||||||||||||||
Other | $ | – | $ | 59,435,825 | $ | 1,865,602 | $ | 61,301,427 | ||||||||
Remaining Industries | – | 46,605,995 | – | 46,605,995 | ||||||||||||
Common Stocks | ||||||||||||||||
Oil | 956,350 | – | 825 | 957,175 | ||||||||||||
Convertible Bonds | – | 874,650 | – | 874,650 | ||||||||||||
Corporate Bonds | – | 328,671,345 | – | 328,671,345 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Automotive | – | – | 304,792 | 304,792 | ||||||||||||
Drugs | – | – | 1,042,125 | 1,042,125 | ||||||||||||
Electrical Equipment | – | – | 946,583 | 946,583 | ||||||||||||
Media | – | 2,095,561 | 2,277,490 | 4,373,051 | ||||||||||||
Remaining Industries | – | 15,279,569 | – | 15,279,569 | ||||||||||||
Foreign Government Obligations | – | 3,664,040 | – | 3,664,040 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 1,957,362 | – | 1,957,362 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 3,439,371 | – | 3,439,371 | ||||||||||||
Municipal Bonds | – | 1,545,025 | – | 1,545,025 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 96,932,180 | 649,590 | 97,581,770 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
U.S. Treasury Obligation | – | 10,636,869 | – | 10,636,869 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 395,000 | – | 395,000 | ||||||||||||
Repurchase Agreement | – | 42,807,004 | – | 42,807,004 | ||||||||||||
Total | $ | 956,350 | $ | 614,339,796 | $ | 7,087,007 | $ | 622,383,153 |
280 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUND November 30, 2020
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 195,851 | $ | – | $ | 195,851 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | – | 1,261,772 | – | 1,261,772 | ||||||||||||
Liabilities | – | (488,250 | ) | – | (488,250 | ) | ||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 13,653,125 | – | 13,653,125 | ||||||||||||
Liabilities | – | (52,172,342 | ) | – | (52,172,342 | ) | ||||||||||
OTC CPI Swap Contracts | ||||||||||||||||
Assets | – | 9,829,703 | – | 9,829,703 | ||||||||||||
Liabilities | – | (126,060,636 | ) | – | (126,060,636 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 12,073 | – | 12,073 | ||||||||||||
Liabilities | – | (15,348 | ) | – | (15,348 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 287,635 | – | – | 287,635 | ||||||||||||
Liabilities | (10,783 | ) | – | – | (10,783 | ) | ||||||||||
Total | $ | 276,852 | $ | (153,784,052 | ) | $ | – | $ | (153,507,200 | ) |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
See Notes to Financial Statements. | 281 |
Schedule of Investments (concluded)
INFLATION FOCUSED FUND November 30, 2020
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset- Backed Securities | Common Stocks | Floating Rate Loans | Non-Agency Commercial Mortgage- Backed Securities | ||||||||||||
Balance as of December 1, 2019 | $ | 3,880,806 | $ | – | $ | 8,308,145 | $ | 7,325,377 | ||||||||
Accrued Discounts (Premiums) | 10,257 | – | 9,675 | (299,571 | ) | |||||||||||
Realized Gain (Loss) | 66,651 | – | (1,473 | ) | (197,536 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) | (24,574 | ) | (464 | ) | (22,367 | ) | (148,057 | ) | ||||||||
Purchases | – | – | 1,743,222 | – | ||||||||||||
Sales | (622,412 | ) | – | (4,641,289 | ) | (6,648,633 | ) | |||||||||
Security type transferred in | 67,944 | – | – | – | ||||||||||||
Security type transferred out | – | – | – | (67,944 | ) | |||||||||||
Transfers into Level 3 | 1,551,987 | 1,289 | 2,425,162 | 685,954 | ||||||||||||
Transfers out of Level 3 | (3,065,057 | ) | – | (3,250,085 | ) | – | ||||||||||
Balance as of November 30, 2020 | $ | 1,865,602 | $ | 825 | $ | 4,570,990 | $ | 649,590 | ||||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2020, related to Level 3 investments held at November 30, 2020 | $ | (27,077 | ) | $ | (464 | ) | $ | (18,768 | ) | $ | (75,121 | ) |
282 | See Notes to Financial Statements. |
Schedule of Investments
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 102.88% | ||||||||||||
ASSET-BACKED SECURITIES 19.48% | ||||||||||||
Automobiles 10.38% | ||||||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | $ | 23 | $ | 23,120 | ||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 139 | 140,662 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 115 | 115,721 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust 2019-1 A† | 2.99% | 7/15/2024 | 47 | 47,581 | ||||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 46 | 46,426 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 500 | 512,699 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2017-2A A† | 2.97% | 3/20/2024 | 500 | 517,573 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 26 | 26,502 | ||||||||
BMW Vehicle Owner Trust 2019-A A2 | 2.05% | 5/25/2022 | 53 | 53,538 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 39 | 39,403 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 50 | 50,553 | ||||||||
Capital One Prime Auto Receivables Trust 2019-1 A2 | 2.58% | 4/15/2022 | 14 | 13,745 | ||||||||
CarMax Auto Owner Trust 2019-3 A2A | 2.21% | 12/15/2022 | 24 | 23,704 | ||||||||
CarMax Auto Owner Trust 2019-4 B | 2.32% | 7/15/2025 | 750 | 784,398 | ||||||||
CarMax Auto Owner Trust 2020-1 C | 2.34% | 11/17/2025 | 195 | 201,619 | ||||||||
CarMax Auto Owner Trust 2020-1 D | 2.64% | 7/15/2026 | 125 | 128,653 | ||||||||
Carvana Auto Receivables Trust 2019-2A C† | 3.00% | 6/17/2024 | 103 | 105,814 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 29 | 29,068 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 10 | 10,161 | ||||||||
CPS Auto Receivables Trust 2017-C D† | 3.79% | 6/15/2023 | 176 | 178,819 | ||||||||
CPS Auto Receivables Trust 2018-A C† | 3.05% | 12/15/2023 | 69 | 69,791 | ||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 185 | 191,313 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 267 | 269,986 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 267 | 272,316 | ||||||||
CPS Auto Trust 2017-A D† | 4.61% | 12/15/2022 | 231 | 233,975 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 46 | 46,810 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 6 | 5,602 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 228 | 237,390 | ||||||||
Drive Auto Receivables Trust 2018-5 D | 4.30% | 4/15/2026 | 234 | 246,971 | ||||||||
Drive Auto Receivables Trust 2019-1 D | 4.09% | 6/15/2026 | 237 | 248,372 | ||||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 75 | 76,585 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 4 | 4,150 | ||||||||
Exeter Automobile Receivables Trust 2019-4A B† | 2.30% | 12/15/2023 | 265 | 267,981 |
See Notes to Financial Statements. | 283 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | $ | 18 | $ | 17,937 | ||||||
First Investors Auto Owner Trust 2019-1A A† | 2.89% | 3/15/2024 | 64 | 64,318 | ||||||||
First Investors Auto Owner Trust 2019-2A A† | 2.21% | 9/16/2024 | 54 | 54,613 | ||||||||
First Investors Auto Owner Trust 2019-2A C† | 2.71% | 12/15/2025 | 104 | 107,107 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 1 | 929 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 35 | 35,666 | ||||||||
Ford Credit Auto Owner Trust 2019-C A2A | 1.88% | 7/15/2022 | 127 | 128,021 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 89 | 89,697 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 500 | 512,141 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 E† | 5.56% | 1/16/2024 | 100 | 104,512 | ||||||||
GLS Auto Receivables Issuer Trust 2020-3A C† | 1.92% | 5/15/2025 | 131 | 133,104 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 15 | 14,657 | ||||||||
Honda Auto Receivables Owner Trust 2020-2 A4 | 1.09% | 10/15/2026 | 453 | 461,725 | ||||||||
Hyundai Auto Lease Securitization Trust 2020-B A3† | 0.51% | 9/15/2023 | 489 | 490,629 | ||||||||
Hyundai Auto Receivables Trust 2019-B | 2.40% | 6/15/2026 | 388 | 404,576 | ||||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 25 | 25,187 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 6 | 5,915 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 23 | 23,411 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-B A3 | 2.00% | 10/17/2022 | 100 | 101,347 | ||||||||
Prestige Auto Receivables Trust 2017-1A D† | 3.61% | 10/16/2023 | 290 | 295,538 | ||||||||
Santander Consumer Auto Receivables Trust 2020-B† | 1.29% | 4/15/2026 | 681 | 685,119 | ||||||||
Santander Drive Auto Receivables Trust 2017-1 D | 3.17% | 4/17/2023 | 172 | 173,732 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 D | 3.32% | 3/15/2024 | 310 | 317,683 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 247 | 250,822 | ||||||||
Santander Drive Auto Receivables Trust 2019-3 C | 2.49% | 10/15/2025 | 450 | 459,193 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A D† | 3.50% | 7/17/2023 | 52 | 52,049 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 23 | 23,059 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A D† | 4.20% | 4/15/2024 | 52 | 52,191 | ||||||||
Toyota Auto Loan Extended Note Trust 2020-1† | 1.35% | 5/25/2033 | 732 | 752,820 | ||||||||
Volkswagen Auto Loan Enhanced Trust 2020-1 A4 | 1.26% | 8/20/2026 | 351 | 359,245 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 64 | 64,277 | ||||||||
Westlake Automobile Receivables Trust 2019-1A B† | 3.26% | 10/17/2022 | 125 | 125,899 | ||||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 200 | 204,182 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 14 | 14,373 | ||||||||
Westlake Automobile Receivables Trust 2019-3A A2† | 2.15% | 2/15/2023 | 124 | 125,183 | ||||||||
Westlake Automobile Receivables Trust 2019-3A B† | 2.41% | 10/15/2024 | 254 | 258,393 |
284 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Westlake Automobile Receivables Trust 2019-3A C† | 2.49% | 10/15/2024 | $ | 454 | $ | 464,385 | ||||||
Westlake Automobile Receivables Trust 2020-1A C† | 2.52% | 4/15/2025 | 272 | 279,467 | ||||||||
Total | 12,954,103 | |||||||||||
Credit Cards 1.15% | ||||||||||||
American Express Credit Account Master Trust 2019-1 B | 3.07% | 10/15/2024 | 142 | 146,651 | ||||||||
Chase Issuance Trust 2014-A2 | 2.77% | 3/15/2023 | 10 | 10,074 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 100 | 100,107 | ||||||||
Master Credit Card Trust II 2020-1A A† | 1.99% | 9/21/2024 | 369 | 382,662 | ||||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 100 | 100,252 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 48 | 48,433 | ||||||||
World Financial Network Credit Card Master Trust 2019-A A | 3.14% | 12/15/2025 | 217 | 224,225 | ||||||||
World Financial Network Credit Card Master Trust 2019-C A | 2.21% | 7/15/2026 | 406 | 418,889 | ||||||||
Total | 1,431,293 | |||||||||||
Other 7.95% | ||||||||||||
Ammc Clo 19 Ltd. 2016-19A AR† | 1.377% (3 Mo. LIBOR + 1.14% | )# | 10/16/2028 | 250 | 248,261 | |||||||
Amur Equipment Finance Receivables VII LLC 2019-1A C† | 3.09% | 3/20/2025 | 100 | 101,148 | ||||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 1.517% (3 Mo. LIBOR + 1.30% | )# | 10/27/2028 | 98 | 97,970 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | – | (a) | 129 | |||||||
Avery Point VI CLO Ltd. 2015-6A AR† | 1.275% (3 Mo. LIBOR + 1.05% | )# | 8/5/2027 | 240 | 240,068 | |||||||
Bain Capital Credit CLO Ltd. 2017-1A A1† | 1.468% (3 Mo. LIBOR + 1.25% | )# | 7/20/2030 | 300 | 300,226 | |||||||
Bain Capital Credit CLO Ltd. 2017-2A AR† | 1.465% (3 Mo. LIBOR + 1.25% | )# | 7/25/2030 | 250 | 249,807 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 1.468% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 250 | 249,415 | |||||||
Benefit Street Partners CLO X Ltd. 2016-10A A1R† | 1.377% (3 Mo. LIBOR + 1.14% | )# | 1/15/2029 | 350 | 349,149 | |||||||
BlueMountain CLO Ltd. 2015-2A A1R† | 1.148% (3 Mo. LIBOR + .93% | )# | 7/18/2027 | 232 | 231,107 | |||||||
BMW Floorplan Master Owner Trust 2018-1 A1† | 3.15% | 5/15/2023 | 187 | 189,433 | ||||||||
Dell Equipment Finance Trust 2020-2 D† | 1.92% | 3/23/2026 | 243 | 244,781 |
See Notes to Financial Statements. | 285 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | $ | 13 | $ | 13,246 | ||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 122 | 126,816 | ||||||||
Dryden XXVI Senior Loan Fund 2013-26A AR† | 1.137% (3 Mo. LIBOR + .90% | )# | 4/15/2029 | 270 | 267,743 | |||||||
Elm CLO Ltd. 2014-1A ARR† | 1.388% (3 Mo. LIBOR + 1.17% | )# | 1/17/2029 | 250 | 249,537 | |||||||
Elm CLO Ltd. 2014-1A BRR† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/17/2029 | 450 | 451,113 | |||||||
Elmwood CLO VI Ltd. 2020-3A A† | 1.557% (3 Mo. LIBOR + 1.32% | )# | 10/15/2031 | 250 | 249,969 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(b) | 5.084% | 3/21/2033 | CAD | 150 | 116,159 | (c) | ||||||
LCM XXII Ltd. 22A A1R† | 1.378% (3 Mo. LIBOR + 1.16% | )# | 10/20/2028 | $ | 250 | 249,510 | ||||||
Lendmark Funding Trust 2018-1A A† | 3.81% | 12/21/2026 | 586 | 594,420 | ||||||||
LoanCore Issuer Ltd. 2019-CRE2 A† | 1.271% (1 Mo. LIBOR + 1.13% | )# | 5/15/2036 | 250 | 247,825 | |||||||
Madison Park Funding XI Ltd. 2013-11A AR† | 1.369% (3 Mo. LIBOR + 1.16% | )# | 7/23/2029 | 250 | 250,353 | |||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 1.165% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 90 | 89,445 | |||||||
ME Funding LLC 2019-1 A2† | 6.448% | 7/30/2049 | 312 | 290,358 | ||||||||
Mercedes-Benz Master Owner Trust 2018-BA A† | 0.481% (1 Mo. LIBOR + .34% | )# | 5/15/2023 | 100 | 100,135 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 32 | 31,648 | |||||||
Mountain View CLO LLC 2017-1A AR† | 1.32% (3 Mo. LIBOR + 1.09% | )# | 10/16/2029 | 250 | 247,996 | |||||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 353 | 362,115 | ||||||||
Newark BSL CLO 1 Ltd. 2016-1A A1R† | 1.317% (3 Mo. LIBOR + 1.10% | )# | 12/21/2029 | 500 | 498,874 | |||||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 100 | 102,875 | ||||||||
Oaktree EIF III Series I Ltd. 2016-IIIA B† | 2.218% (3 Mo. LIBOR + 2.00% | )# | 10/20/2027 | 250 | 249,909 | |||||||
Octagon Investment Partners 25 Ltd. 2015-1A AR† | 1.018% (3 Mo. LIBOR + .80% | )# | 10/20/2026 | 159 | 158,719 | |||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 301 | 318,882 | ||||||||
OneMain Financial Issuance Trust 2019-1A B† | 3.79% | 2/14/2031 | 100 | 102,857 | ||||||||
Orange Lake Timeshare Trust 2015-AA A† | 2.88% | 9/8/2027 | 8 | 7,976 | ||||||||
OZLM VIII Ltd. 2014-8A A1RR† | 1.388% (3 Mo. LIBOR + 1.17% | )# | 10/17/2029 | 397 | 395,577 |
286 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 1.068% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | $ | 196 | $ | 194,860 | |||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 100,310 | ||||||||
PFS Financing Corp. 2020-F A† | 0.93% | 8/15/2024 | 100 | 100,631 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 15 | 14,590 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 22 | 21,834 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 100 | 100,428 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 57 | 57,497 | ||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | 100 | 104,241 | ||||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 100 | 104,183 | ||||||||
SCF Equipment Leasing LLC 2020-1A B† | 2.02% | 3/20/2028 | 547 | 554,655 | ||||||||
Sound Point CLO III-R Ltd. 2013-2RA B† | 1.725% (3 Mo. LIBOR + 1.45% | )# | 4/15/2029 | 250 | 243,281 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 0.749% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 47 | 46,424 | |||||||
Total | 9,918,485 | |||||||||||
Total Asset-Backed Securities (cost $24,069,476) | 24,303,881 | |||||||||||
CORPORATE BONDS 39.62% | ||||||||||||
Aerospace/Defense 0.68% | ||||||||||||
Boeing Co. (The) | 2.80% | 3/1/2023 | 200 | 205,422 | ||||||||
Boeing Co. (The) | 4.508% | 5/1/2023 | 600 | 643,800 | ||||||||
Total | 849,222 | |||||||||||
Automotive 3.07% | ||||||||||||
BMW US Capital LLC† | 3.90% | 4/9/2025 | 84 | 94,284 | ||||||||
Daimler Finance North America LLC† | 3.40% | 2/22/2022 | 175 | 181,102 | ||||||||
Daimler Finance North America LLC† | 3.65% | 2/22/2024 | 250 | 272,019 | ||||||||
Daimler Finance North America LLC† | 3.875% | 9/15/2021 | 600 | 615,930 | ||||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | 94 | 99,587 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 88 | 90,975 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | 418 | 423,234 | ||||||||
General Motors Financial Co., Inc. | 3.45% | 1/14/2022 | 4 | 4,110 | ||||||||
General Motors Financial Co., Inc. | 3.70% | 5/9/2023 | 584 | 619,106 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 603 | 674,348 | ||||||||
Hyundai Capital America | 1.069% (3 Mo. LIBOR + .82% | )# | 3/12/2021 | 90 | 90,013 | |||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 25 | 25,194 | ||||||||
Nissan Motor Acceptance Corp.† | 2.55% | 3/8/2021 | 75 | 75,266 | ||||||||
Toyota Motor Credit Corp. | 1.35% | 8/25/2023 | 84 | 86,153 |
See Notes to Financial Statements. | 287 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Volkswagen Group of America Finance LLC† | 2.90% | 5/13/2022 | $ | 200 | $ | 206,598 | ||||||
Volkswagen Group of America Finance LLC† | 3.125% | 5/12/2023 | 253 | 267,436 | ||||||||
Total | 3,825,355 | |||||||||||
Banks: Regional 11.92% | ||||||||||||
ABN AMRO Bank NV (Netherlands)(d) | 6.25% | 4/27/2022 | 600 | 645,074 | ||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 7 | 7,132 | ||||||||
Bank of America Corp. | 0.81% (SOFR + 0.74% | )# | 10/24/2024 | 139 | 139,602 | |||||||
Bank of America Corp. | 2.456% (3 Mo. LIBOR + .87% | )# | 10/22/2025 | 400 | 424,757 | |||||||
Bank of America Corp. | 3.004% (3 Mo. LIBOR + .79% | )# | 12/20/2023 | 1,000 | 1,050,963 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 162 | 181,785 | ||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 250 | 279,870 | ||||||||
Barclays Bank plc (United Kingdom)†(d) | 10.179% | 6/12/2021 | 80 | 83,830 | ||||||||
BBVA Bancomer SA† | 4.375% | 4/10/2024 | 200 | 218,100 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(d) | 0.95% | 6/23/2023 | 86 | 87,109 | ||||||||
Citibank NA | 0.824% (3 Mo. LIBOR + .60% | )# | 5/20/2022 | 250 | 250,501 | |||||||
Citigroup, Inc. | 1.678% (SOFR + 1.67% | )# | 5/15/2024 | 1,505 | 1,547,608 | |||||||
Citigroup, Inc. | 4.40% | 6/10/2025 | 875 | 1,002,699 | ||||||||
Danske Bank A/S (Denmark)†(d) | 3.001% (3 Mo. LIBOR + 1.25% | )# | 9/20/2022 | 200 | 203,467 | |||||||
Danske Bank A/S (Denmark)†(d) | 5.00% | 1/12/2022 | 983 | 1,029,329 | ||||||||
Goldman Sachs Group, Inc. (The) | 1.325% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 675 | 677,306 | |||||||
Goldman Sachs Group, Inc. (The) | 2.876% (3 Mo. LIBOR +.82% | )# | 10/31/2022 | 700 | 715,485 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 4/1/2025 | 345 | 382,589 | ||||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 27 | 28,085 | ||||||||
JPMorgan Chase & Co. | 3.875% | 9/10/2024 | 200 | 222,952 | ||||||||
Lloyds Banking Group plc (United Kingdom)(d) | 1.326% (1 Yr Treasury CMT + 1.10% | )# | 6/15/2023 | 200 | 202,144 | |||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.625% | 4/7/2021 | 40 | 40,835 | ||||||||
Morgan Stanley | 0.782% (SOFR + .70% | )# | 1/20/2023 | 175 | 175,630 | |||||||
Morgan Stanley | 1.146% (3 Mo. LIBOR + .93% | )# | 7/22/2022 | 150 | 150,726 | |||||||
Morgan Stanley | 2.72% (SOFR + 1.15% | )# | 7/22/2025 | 511 | 546,800 | |||||||
Swedbank AB (Sweden)†(d) | 1.30% | 6/2/2023 | 200 | 203,980 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 1,286 | 1,432,159 |
288 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | $ | 299 | $ | 330,021 | ||||||
UBS AG (United Kingdom)†(d) | 1.75% | 4/21/2022 | 555 | 565,313 | ||||||||
Wells Fargo & Co. | 2.164% (3 Mo. LIBOR + .75% | )# | 2/11/2026 | 1,250 | 1,309,477 | |||||||
Wells Fargo & Co. | 2.406% (3 Mo. LIBOR + .83% | )# | 10/30/2025 | 700 | 737,521 | |||||||
Total | 14,872,849 | |||||||||||
Biotechnology Research & Production 0.28% | ||||||||||||
Royalty Pharma plc† | 1.20% | 9/2/2025 | 350 | 353,342 | ||||||||
Building Materials 0.16% | ||||||||||||
Carrier Global Corp.† | 2.242% | 2/15/2025 | 75 | 78,824 | ||||||||
Vulcan Materials Co. | 0.875% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 126 | 126,011 | |||||||
Total | 204,835 | |||||||||||
Business Services 0.44% | ||||||||||||
Equifax, Inc. | 1.091% (3 Mo. LIBOR + .87% | )# | 8/15/2021 | 10 | 10,034 | |||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 250 | 267,839 | ||||||||
IHS Markit Ltd. (United Kingdom)†(d) | 5.00% | 11/1/2022 | 250 | 268,580 | ||||||||
Total | 546,453 | |||||||||||
Chemicals 0.86% | ||||||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 4 | 4,107 | ||||||||
LYB International Finance III LLC | 1.23% (3 Mo. LIBOR + 1.00% | )# | 10/1/2023 | 500 | 500,598 | |||||||
Nutrition & Biosciences, Inc.† | 0.697% | 9/15/2022 | 311 | 312,228 | ||||||||
Nutrition & Biosciences, Inc.† | 1.23% | 10/1/2025 | 250 | 253,273 | ||||||||
Total | 1,070,206 | |||||||||||
Computer Hardware 1.04% | ||||||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 877 | 970,648 | ||||||||
Hewlett Packard Enterprise Co. | 0.929% (3 Mo. LIBOR + .68% | )# | 3/12/2021 | 183 | 183,241 | |||||||
Hewlett Packard Enterprise Co. | 0.954% (3 Mo. LIBOR + .72% | )# | 10/5/2021 | 150 | 150,032 | |||||||
Total | 1,303,921 | |||||||||||
Construction/Homebuilding 0.44% | ||||||||||||
Lennar Corp. | 4.875% | 12/15/2023 | 500 | 552,875 |
See Notes to Financial Statements. | 289 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Containers 0.17% | ||||||||||||
WRKCo, Inc. | 3.00% | 9/15/2024 | $ | 200 | $ | 215,547 | ||||||
Drugs 2.96% | ||||||||||||
AbbVie, Inc. | 2.60% | 11/21/2024 | 290 | 310,121 | ||||||||
AbbVie, Inc. | 3.45% | 3/15/2022 | 500 | 517,022 | ||||||||
AstraZeneca plc (United Kingdom)(d) | 2.375% | 6/12/2022 | 500 | 514,508 | ||||||||
Bayer US Finance II LLC† | 3.50% | 6/25/2021 | 325 | 329,827 | ||||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 700 | 765,433 | ||||||||
Becton Dickinson & Co. | 1.28% (3 Mo. LIBOR + 1.03% | )# | 6/6/2022 | 500 | 504,378 | |||||||
Cardinal Health, Inc. | 1.02% (3 Mo. LIBOR + .77% | )# | 6/15/2022 | 115 | 115,792 | |||||||
Cardinal Health, Inc. | 3.50% | 11/15/2024 | 33 | 36,228 | ||||||||
Cigna Corp. | 0.896% (3 Mo. LIBOR + .65% | )# | 9/17/2021 | 597 | 597,153 | |||||||
Total | 3,690,462 | |||||||||||
Electric: Power 2.50% | ||||||||||||
American Electric Power Co., Inc. | 0.75% | 11/1/2023 | 28 | 28,045 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 3.85% | 5/1/2023 | 56 | 59,165 | ||||||||
Comision Federal de Electricidad (Mexico)†(d) | 4.875% | 1/15/2024 | 200 | 220,731 | ||||||||
Dominion Energy, Inc.† | 0.646% (3 Mo. LIBOR + .40% | )# | 12/1/2020 | 51 | 51,000 | |||||||
Dominion Energy, Inc. | 3.071% | 8/15/2024 | 88 | 95,253 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 111 | 112,345 | ||||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 350 | 353,440 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.65% | 9/10/2024 | 350 | 372,210 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.75% | 4/6/2023 | 200 | 209,498 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.875% | 5/25/2022 | 400 | 413,405 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 4.25% | 9/14/2023 | 400 | 439,198 | ||||||||
Evergy, Inc. | 2.45% | 9/15/2024 | 6 | 6,364 | ||||||||
FirstEnergy Corp. | 2.85% | 7/15/2022 | 170 | 174,077 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 200 | 218,715 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(d) | 5.375% | 5/1/2021 | 55 | 55,427 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 70 | 74,584 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 8 | 7,543 | ||||||||
TransAlta Corp. (Canada)(d) | 4.50% | 11/15/2022 | 2 | 2,071 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 215 | 231,467 | ||||||||
Total | 3,124,538 |
290 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical Equipment 1.73% | ||||||||||||
Broadcom, Inc. | 3.625% | 10/15/2024 | $ | 874 | $ | 957,195 | ||||||
Microchip Technology, Inc.† | 2.67% | 9/1/2023 | 400 | 419,572 | ||||||||
Micron Technology, Inc. | 2.497% | 4/24/2023 | 148 | 154,680 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 2.70% | 5/1/2025 | 50 | 53,752 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 3.875% | 9/1/2022 | 295 | 311,606 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.625% | 6/1/2023 | 236 | 258,657 | ||||||||
Total | 2,155,462 | |||||||||||
Electronics 0.00% | ||||||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 5 | 5,426 | ||||||||
Financial Services 1.83% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.875% | 1/16/2024 | 150 | 161,647 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 232 | 238,493 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 40 | 41,705 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 5 | 5,158 | ||||||||
Ally Financial, Inc. | 4.25% | 4/15/2021 | 12 | 12,160 | ||||||||
Ally Financial, Inc. | 5.125% | 9/30/2024 | 400 | 459,160 | ||||||||
Ameriprise Financial, Inc. | 3.00% | 4/2/2025 | 64 | 69,833 | ||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 100 | 102,275 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.125% | 10/1/2023 | 260 | 273,850 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.25% | 5/15/2024 | 500 | 534,485 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 214 | 236,086 | ||||||||
Jefferies Group LLC | 5.125% | 1/20/2023 | 40 | 43,687 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 4.50% | 3/15/2023 | 96 | 100,062 | ||||||||
Total | 2,278,601 | |||||||||||
Health Care Products 0.45% | ||||||||||||
Boston Scientific Corp. | 3.45% | 3/1/2024 | 145 | 157,438 | ||||||||
Zimmer Biomet Holdings, Inc. | 0.977% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 408 | 408,083 | |||||||
Total | 565,521 | |||||||||||
Health Care Services 0.59% | ||||||||||||
CommonSpirit Health | 1.547% | 10/1/2025 | 35 | 35,560 | ||||||||
CommonSpirit Health | 2.76% | 10/1/2024 | 11 | 11,661 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 5 | 5,552 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 280 | 326,840 |
See Notes to Financial Statements. | 291 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
HCA, Inc. | 5.25% | 6/15/2026 | $ | 300 | $ | 354,391 | ||||||
Total | 734,004 | |||||||||||
Household Equipment/Products 0.02% | ||||||||||||
Newell Brands, Inc. | 4.35% | 4/1/2023 | 20 | 21,074 | ||||||||
Insurance 0.75% | ||||||||||||
Jackson National Life Global Funding† | 0.73% (3 Mo. LIBOR + .48% | )# | 6/11/2021 | 120 | 120,291 | |||||||
Lincoln National Corp. | 4.20% | 3/15/2022 | 75 | 78,652 | ||||||||
Metropolitan Life Global Funding I† | 0.90% | 6/8/2023 | 150 | 152,026 | ||||||||
Pacific Life Global Funding II† | 1.20% | 6/24/2025 | 23 | 23,363 | ||||||||
Protective Life Global Funding† | 1.082% | 6/9/2023 | 150 | 152,557 | ||||||||
Trinity Acquisition plc (United Kingdom)(d) | 3.50% | 9/15/2021 | 396 | 404,564 | ||||||||
Total | 931,453 | |||||||||||
Leasing 0.20% | ||||||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 226 | 247,072 | ||||||||
Lodging 0.21% | ||||||||||||
Las Vegas Sands Corp. | 3.20% | 8/8/2024 | 250 | 261,429 | ||||||||
Machinery: Agricultural 1.00% | ||||||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 322 | 344,199 | ||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 409 | 442,740 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 410 | 468,258 | ||||||||
Total | 1,255,197 | |||||||||||
Machinery: Industrial/Specialty 0.49% | ||||||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 12 | 12,157 | ||||||||
CNH Industrial NV (United Kingdom)(d) | 4.50% | 8/15/2023 | 150 | 163,443 | ||||||||
Otis Worldwide Corp. | 0.684% (3 Mo. LIBOR + 0.45% | )# | 4/5/2023 | 425 | 425,129 | |||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 10 | 10,930 | ||||||||
Total | 611,659 | |||||||||||
Manufacturing 0.04% | ||||||||||||
Pentair Finance Sarl (Luxembourg)(d) | 3.15% | 9/15/2022 | 45 | 45,950 | ||||||||
Media 0.45% | ||||||||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 195 | 205,520 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (e) | 100 | 102,125 | |||||||
Time Warner Cable LLC | 4.125% | 2/15/2021 | 250 | 250,428 | ||||||||
Total | 558,073 |
292 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous 1.74% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(d) | 3.625% | 9/11/2024 | $ | 900 | $ | 979,470 | ||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.95% | 11/15/2021 | 361 | 375,679 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 357 | 384,318 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 385 | 429,179 | ||||||||
Total | 2,168,646 | |||||||||||
Natural Gas 0.33% | ||||||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 242 | 253,379 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 150 | 154,630 | ||||||||
Total | 408,009 | |||||||||||
Oil 1.35% | ||||||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 4 | 4,107 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 390 | 391,365 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 29 | 32,363 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 244 | 254,050 | ||||||||
Gazprom PJSC Via Gaz Capital SA (Luxembourg)†(d) | 4.95% | 7/19/2022 | 200 | 211,354 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.25% | 8/15/2025 | 70 | 72,800 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.375% | 1/15/2025 | 130 | 134,144 | ||||||||
Phillips 66 | 0.833% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 120 | 120,011 | |||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.75% | 4/16/2022 | 200 | 205,960 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(d) | 9.40% | 9/1/2021 | 25 | 26,175 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(d) | 2.625% | 8/15/2025 | 200 | 207,111 | ||||||||
Woodside Finance Ltd. (Australia)†(d) | 4.60% | 5/10/2021 | 20 | 20,147 | ||||||||
Total | 1,679,587 | |||||||||||
Oil: Crude Producers 2.21% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 39 | 44,723 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 275 | 317,328 | ||||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 230 | 255,459 | ||||||||
Energy Transfer Operating LP | 7.60% | 2/1/2024 | 25 | 28,831 | ||||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 28 | 28,356 | ||||||||
MPLX LP | 1.342% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 343 | 343,055 | |||||||
MPLX LP | 3.50% | 12/1/2022 | 50 | 52,439 | ||||||||
MPLX LP | 5.25% | 1/15/2025 | 425 | 436,792 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 225 | 234,236 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 875 | 958,998 | ||||||||
Sunoco Logistics Partners Operations LP | 4.40% | 4/1/2021 | 5 | 5,046 |
See Notes to Financial Statements. | 293 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | $ | 50 | $ | 51,235 | ||||||
Total | 2,756,498 | |||||||||||
Real Estate Investment Trusts 0.36% | ||||||||||||
Boston Properties LP | 4.125% | 5/15/2021 | 91 | 91,684 | ||||||||
Brixmor Operating Partnership LP | 1.264% (3 Mo. LIBOR + 1.05% | )# | 2/1/2022 | 25 | 24,926 | |||||||
Equinix, Inc. | 1.00% | 9/15/2025 | 95 | 95,254 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 19 | 19,569 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 206 | 223,810 | ||||||||
Total | 455,243 | |||||||||||
Technology 0.87% | ||||||||||||
Baidu, Inc. (China)(d) | 3.075% | 4/7/2025 | 200 | 213,706 | ||||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 5 | 5,215 | ||||||||
JD.com, Inc. (China)(d) | 3.125% | 4/29/2021 | 200 | 202,082 | ||||||||
Tencent Holdings Ltd. (China)†(d) | 2.985% | 1/19/2023 | 200 | 208,261 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 450 | 455,344 | ||||||||
Total | 1,084,608 | |||||||||||
Telecommunications 0.12% | ||||||||||||
Telefonica Emisiones SA (Spain)(d) | 5.462% | 2/16/2021 | 150 | 151,547 | ||||||||
Toys 0.13% | ||||||||||||
Hasbro, Inc. | 3.00% | 11/19/2024 | 150 | 161,721 | ||||||||
Transportation: Miscellaneous 0.23% | ||||||||||||
Canadian Pacific Railway Co. (Canada)(d) | 9.45% | 8/1/2021 | 35 | 37,067 | ||||||||
Huntington Ingalls Industries, Inc.† | 3.844% | 5/1/2025 | 223 | 248,425 | ||||||||
Total | 285,492 | |||||||||||
Total Corporate Bonds (cost $48,700,883) | 49,431,877 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.02% | ||||||||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(f) | 1/16/2048 | 13 | 13,362 | |||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 5 | 4,884 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $17,375) | 18,246 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGH 7.60% | ||||||||||||
Federal National Mortgage Assoc.(g) (cost $9,494,854) | 3.00% | TBA | 9,060 | 9,481,497 |
294 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
MUNICIPAL BOND 0.01% | ||||||||||||
Miscellaneous | ||||||||||||
State of Illinois (cost $7,908) | 4.95% | 6/1/2023 | $ | 8 | $ | 7,952 | ||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 11.21% | ||||||||||||
Angel Oak Mortgage Trust 2020-6 A1† | 1.261% | #(f) | 5/25/2065 | 255 | 255,647 | |||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 100 | 100,992 | ||||||||
Atrium Hotel Portfolio Trust 2017-ATRM A† | 1.071% (1 Mo. LIBOR + .93% | )# | 12/15/2036 | 350 | 335,357 | |||||||
BAMLL Commercial Mortgage Securities Trust 2013-WBRK A† | 3.652% | #(f) | 3/10/2037 | 230 | 233,479 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE6 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 9/15/2036 | 311 | 309,892 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 300 | 307,273 | ||||||||
BBCMS Mortgage Trust 2018-TALL A† | 0.863% (1 Mo. LIBOR + .72% | )# | 3/15/2037 | 250 | 242,914 | |||||||
BBCMS Mortgage Trust 2020-C7 | 2.044% | 4/15/2053 | 250 | 259,502 | ||||||||
BDS 2018-FL2 A† | 1.094% (1 Mo. LIBOR + .95% | )# | 8/15/2035 | 86 | 85,793 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 0.812% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 45 | 45,062 | |||||||
BX Commercial Mortgage Trust 2019-XL A† | 1.061% (1 Mo. LIBOR + .92% | )# | 10/15/2036 | 190 | 190,295 | |||||||
BX Commercial Mortgage Trust 2019-XL B† | 1.221% (1 Mo. LIBOR + 1.08% | )# | 10/15/2036 | 95 | 94,977 | |||||||
BX Commercial Mortgage Trust 2019-XL C† | 1.391% (1 Mo. LIBOR + 1.25% | )# | 10/15/2036 | 95 | 94,930 | |||||||
BX Commercial Mortgage Trust 2019-XL D† | 1.591% (1 Mo. LIBOR + 1.45% | )# | 10/15/2036 | 95 | 94,768 | |||||||
BX Commercial Mortgage Trust 2019-XL E† | 1.941% (1 Mo. LIBOR + 1.80% | )# | 10/15/2036 | 95 | 94,676 | |||||||
BX Trust 2017-SLCT D† | 2.191% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 9 | 8,736 | |||||||
BX Trust 2018-GW A† | 0.941% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 24 | 23,383 | |||||||
Cantor Commercial Real Estate Lending 2019-CF1 65A† | 4.411% | #(f) | 5/15/2052 | 50 | 51,666 | (c) | ||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 78 | 81,135 | ||||||||
CHT Mortgage Trust 2017-CSMO C† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 11/15/2036 | 300 | 293,108 |
See Notes to Financial Statements. | 295 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 | 3.024% | 9/10/2045 | $ | 135 | $ | 138,531 | ||||||
Citigroup Commercial Mortgage Trust 2013-375P C† | 3.635% | #(f) | 5/10/2035 | 275 | 278,273 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 8 | 8,651 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 | 3.616% | 2/10/2049 | 100 | 111,584 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC37 | 3.314% | 4/10/2049 | 225 | 248,463 | ||||||||
Citigroup Commercial Mortgage Trust 2018-B2 A2 3.788% | 3/10/2051 | 6 | 6,300 | |||||||||
Commercial Mortgage Pass-Through Certificates 2014-277P A† | 3.732% | #(f) | 8/10/2049 | 100 | 108,064 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A4 | 3.819% | 6/10/2047 | 107 | 117,287 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS5 A4 | 3.838% | 9/10/2047 | 178 | 195,955 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS6 A5 | 3.644% | 12/10/2047 | 17 | 19,094 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-DC1 A4 | 3.078% | 2/10/2048 | 280 | 293,362 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-LC21 A4 | 3.708% | 7/10/2048 | 219 | 243,371 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.576% | #(f) | 7/10/2050 | 10 | 10,695 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT B† | 3.086% | 8/10/2029 | 214 | 214,652 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 241 | 240,446 | ||||||||
Credit Suisse Mortgage Capital Certificates 2020-SPT1 A1† | 1.70% | 4/25/2065 | 166 | 167,167 | ||||||||
CSMC Trust 2020-NQM1 A1† | 1.208% | 5/25/2065 | 337 | 338,475 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 1.179% (1 Mo. LIBOR + 1.03% | )# | 12/19/2030 | 235 | 231,126 | |||||||
Deephaven Residential Mortgage Trust 2020-2 A1† | 1.692% | 5/25/2065 | 144 | 144,469 | ||||||||
Ellington Financial Mortgage Trust 2020-1 A1† | 2.006% | #(f) | 5/25/2065 | 127 | 128,846 | |||||||
GCAT Trust 2020-NQM2 A1† | 1.555% | 4/25/2065 | 161 | 161,962 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 100 | 100,554 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH A† | 3.551% | 4/10/2034 | 160 | 161,663 | ||||||||
GS Mortgage Securities Corp. Trust 2019-70P XCP IO† | 0.50% | #(f) | 10/15/2036 | 21,863 | 39,353 | |||||||
GS Mortgage Securities Corp. Trust 2019-BOCA B† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 6/15/2038 | 100 | 96,361 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP A† | 1.291% (1 Mo. LIBOR + 1.15% | )# | 8/15/2032 | 385 | 377,366 |
296 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust 2019-SMP B† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 8/15/2032 | $ | 185 | $ | 178,678 | |||||
GS Mortgage Securities Corp. Trust 2019-SMP XCP IO† | 0.606% | #(f) | 8/15/2032 | 10,131 | 2,520 | |||||||
GS Mortgage Securities Trust 2013-GC14 A5 | 4.243% | 8/10/2046 | 339 | 367,899 | ||||||||
GS Mortgage Securities Trust 2015-GC34 A4 | 3.506% | 10/10/2048 | 225 | 248,740 | ||||||||
GS Mortgage Securities Trust 2016-GS2 | 3.05% | 5/10/2049 | 225 | 243,889 | ||||||||
Hilton Orlando Trust 2018-ORL A† | 0.911% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 28 | 27,238 | |||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 28 | 26,548 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 100 | 89,963 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON A† | 4.128% | 7/5/2031 | 225 | 239,382 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 66 | 65,726 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 239 | 232,599 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-FL11 D† | 2.281% (1 Mo. LIBOR + 2.14% | )# | 10/15/2032 | 34 | 31,170 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 18 | 17,930 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 1.441% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 8 | 7,690 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 146 | 139,895 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.02% (1 Mo. LIBOR + 1.02% | )# | 11/15/2035 | 12 | 11,603 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 2.35% (1 Mo. LIBOR + 1.35% | )# | 11/15/2035 | 12 | 11,331 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN C† | 2.70% (1 Mo. LIBOR + 1.70% | )# | 11/15/2035 | 12 | 11,136 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 1.088% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 10 | 9,528 |
See Notes to Financial Statements. | 297 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
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 AFX† | 4.248% | 7/5/2033 | $ | 19 | $ | 20,064 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 10 | 10,432 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 1.788% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 12 | 11,681 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 14 | 14,498 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON A† | 3.884% | 1/5/2034 | 138 | 144,688 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON C† | 4.536% | 1/5/2034 | 33 | 32,837 | (c) | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 100 | 93,211 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 A5 | 4.064% | 2/15/2047 | 40 | 43,577 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | 206 | 205,658 | ||||||||
Morgan Stanley Capital I Trust 2011-C2 A4† | 4.661% | 6/15/2044 | 89 | 91,322 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 25 | 25,697 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR A2† | 3.201% | 8/5/2034 | 500 | 500,317 | ||||||||
Motel 6 Trust 2017-MTL6 C† | 1.541% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 8 | 7,986 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 36 | 35,575 | ||||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.917% | #(f) | 11/15/2032 | 33 | 34,236 | |||||||
New Residential Mortgage Loan Trust 2019-NQM3 A1† | 2.802% | #(f) | 7/25/2049 | 333 | 337,135 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 16 | 16,843 | ||||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.833% | 10/25/2052 | 17 | 17,685 | ||||||||
RETL 2019-RVP C† | 2.241% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 50 | 45,470 | |||||||
SLIDE 2018-FUN A† | 1.041% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 9 | 9,172 | |||||||
SLIDE 2018-FUN B† | 1.391% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 9 | 9,013 | |||||||
SLIDE 2018-FUN C† | 1.691% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 9 | 8,899 | |||||||
SLIDE 2018-FUN XCP IO† | 0.976% | #(f) | 12/15/2020 | 5,609 | 2,275 | (c) | ||||||
Starwood Mortgage Residential Trust 2020-3 A1† | 1.486% | #(f) | 4/25/2065 | 213 | 214,878 |
298 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
UBS-BAMLL Trust 2012-WRM A† | 3.663% | 6/10/2030 | $ | 100 | $ | 98,294 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 45 | 46,771 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013 C6 A4 | 3.244% | 4/10/2046 | 82 | 85,840 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 20 | 20,878 | ||||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 A3 | 3.595% | 1/10/2045 | 9 | 9,115 | ||||||||
Verus Securitization Trust 2020-4 A1† | 1.502% | 5/25/2065 | 160 | 161,007 | ||||||||
Verus Securitization Trust 2020-5 A1† | 1.218% | 5/25/2065 | 278 | 278,611 | ||||||||
Verus Securitization Trust 2020-INV1 A1† | 1.977% | #(f) | 3/25/2060 | 120 | 122,281 | |||||||
Vista Point Securitization Trust 2020-1 A1† | 1.763% | #(f) | 3/25/2065 | 223 | 224,986 | |||||||
Vista Point Securitization Trust 2020-2 A1† | 1.475% | #(f) | 4/25/2065 | 119 | 119,669 | |||||||
VMC Finance LLC 2019-FL3 A† | 1.244% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | 371 | 365,888 | |||||||
VNDO Mortgage Trust 2012-6AVE C† | 3.448% | #(f) | 11/15/2030 | 309 | 316,990 | |||||||
Wells Fargo Commercial Mortgage Trust 2014 LC16 A4 | 3.548% | 8/15/2050 | 21 | 22,486 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 AS | 3.58% | 2/15/2048 | 40 | 43,030 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS3 A3 | 3.354% | 9/15/2057 | 24 | 26,483 | ||||||||
Wells Fargo Commercial Mortgage Trust 2017-RC1 A2 | 3.118% | 1/15/2060 | 112 | 114,477 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C48 A2 | 4.224% | 1/15/2052 | 25 | 27,021 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.491% | #(f) | 7/5/2030 | 15 | 14,746 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.491% | #(f) | 7/5/2030 | 15 | 14,587 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.90% | #(f) | 6/15/2045 | 25 | 22,945 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 22 | 22,376 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C18 A4 | 3.896% | 12/15/2046 | 23 | 24,018 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A5 | 4.101% | 3/15/2047 | 87 | 94,910 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.995% | 5/15/2047 | 140 | 153,369 | ||||||||
WFLD Mortgage Trust 2014-MONT A† | 3.88% | #(f) | 8/10/2031 | 275 | 276,597 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $14,029,429) | 13,989,644 |
See Notes to Financial Statements. | 299 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 24.94% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 2/4/2021 | $ | 1,962 | $ | 1,961,751 | ||||||
U.S. Treasury Note | 0.125% | 9/30/2022 | 7,906 | 7,904,147 | ||||||||
U.S. Treasury Note | 0.125% | 10/31/2022 | 12,084 | 12,080,224 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 9,136 | 9,171,867 | ||||||||
Total U.S. Treasury Obligations (cost $31,111,787) | 31,117,989 | |||||||||||
Total Long-Term Investments (cost $127,431,712) | 128,351,086 | |||||||||||
SHORT-TERM INVESTMENT 6.62% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $8,216,000 of U.S. Treasury Note at 1.375% due 10/15/2022; value: $8,417,059; proceeds: $8,251,997 (cost $8,251,997) | 8,252 | 8,251,997 | ||||||||||
Total Investments in Securities 109.50% (cost $135,683,709) | 136,603,083 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(h) (9.50%) | (11,848,077 | ) | ||||||||||
Net Assets 100.00% | $ | 124,755,006 |
CAD | Canadian dollar. | |
CMT | Constant Maturity Rate. | |
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, 2020, the total value of Rule 144A securities was $45,518,137, which represents 36.49% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
(a) | Amount is less than $1,000. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(g) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(h) | 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: |
300 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUND November 30, 2020
Credit Default Swaps on Indexes - Sell Protection at November 30, 2020(1):
Referenced Index* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | $ | 1,143,000 | $ | 1,035,894 | $ | 5,318 | $ | (112,424 | ) | $ | (107,106) |
* | 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 $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $112,424. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Sell | Morgan Stanley | 12/15/2020 | 148,000 | $112,332 | $ | 113,970 | $(1,638) |
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 2-Year Treasury Note | March 2021 | 10 | Long | $ | 2,207,673 | $ | 2,208,516 | $843 | |||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 5-Year Treasury Note | March 2021 | 55 | Short | $ | (6,926,897 | ) | $ | (6,931,719 | ) | $(4,822) |
See Notes to Financial Statements. | 301 |
Schedule of Investments (concluded)
SHORT DURATION CORE BOND FUND November 30, 2020
The following is a summary of the inputs used as of November 30, 2020 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 | ||||||||||||||||
Other | $ | – | $ | 9,802,326 | $ | 116,159 | $ | 9,918,485 | ||||||||
Remaining Industries | – | 14,385,396 | – | 14,385,396 | ||||||||||||
Corporate Bonds | – | 49,431,877 | – | 49,431,877 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 18,246 | – | 18,246 | ||||||||||||
Government Sponsored Enterprises Pass-Through | – | 9,481,497 | – | 9,481,497 | ||||||||||||
Municipal Bond | – | 7,952 | – | 7,952 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 13,902,866 | 86,778 | 13,989,644 | ||||||||||||
U.S. Treasury Obligations | – | 31,117,989 | – | 31,117,989 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 8,251,997 | – | 8,251,997 | ||||||||||||
Total | $ | – | $ | 136,400,146 | $ | 202,937 | $ | 136,603,083 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (107,106 | ) | – | (107,106 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (1,638 | ) | – | (1,638 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 843 | – | – | 843 | ||||||||||||
Liabilities | (4,822 | ) | – | – | (4,822 | ) | ||||||||||
Total | $ | (3,979 | ) | $ | (108,744 | ) | $ | – | $ | (112,723 | ) |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the year.
302 | See Notes to Financial Statements. |
Schedule of Investments
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.01% | ||||||||||||
ASSET-BACKED SECURITIES 19.39% | ||||||||||||
Automobiles 6.09% | ||||||||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | $ | 5,283 | $ | 5,309,937 | ||||||
AmeriCredit Automobile Receivables Trust 2017-2 B | 2.40% | 5/18/2022 | 1,199 | 1,200,538 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 49,146 | 49,733,511 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 10,237 | 10,263,330 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 B | 2.36% | 12/19/2022 | 26,036 | 26,150,236 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 B | 3.13% | 2/18/2025 | 28,000 | 29,042,107 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 C | 3.36% | 2/18/2025 | 37,000 | 39,038,767 | ||||||||
AmeriCredit Automobile Receivables Trust 2020-1 B | 1.48% | 1/21/2025 | 36,007 | 36,671,181 | ||||||||
ARI Fleet Lease Trust 2020-A A2† | 1.77% | 8/15/2028 | 31,556 | 31,877,922 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust 2019-1 A† | 2.99% | 7/15/2024 | 20,870 | 21,125,849 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 115 | 114,869 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 1,955 | 1,956,753 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 18,834 | 18,925,472 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 18,282 | 18,578,768 | ||||||||
California Republic Auto Receivables Trust 2018-1 A3 | 3.14% | 8/15/2022 | 7,324 | 7,342,435 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 3,670 | 3,678,218 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 11,116 | 11,155,303 | ||||||||
Capital One Prime Auto Receivables Trust 2019-2 A2 | 2.06% | 9/15/2022 | 14,214 | 14,272,153 | ||||||||
Capital One Prime Auto Receivables Trust 2020-1 A2 | 1.64% | 6/15/2023 | 99,057 | 99,634,508 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 9,131 | 9,138,724 | ||||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 12,944 | 13,131,254 | ||||||||
CarMax Auto Owner Trust 2017-4 A3 | 2.11% | 10/17/2022 | 22,938 | 23,044,177 | ||||||||
CarMax Auto Owner Trust 2019-3 A2A | 2.21% | 12/15/2022 | 49,773 | 50,044,185 | ||||||||
CarMax Auto Owner Trust 2020-2 A3 | 1.70% | 11/15/2024 | 15,037 | 15,335,364 | ||||||||
CarMax Auto Owner Trust 2020-2 A4 | 2.05% | 5/15/2025 | 35,931 | 37,401,185 | ||||||||
Carvana Auto Receivables Trust 2019-2A C† | 3.00% | 6/17/2024 | 23,649 | 24,295,181 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 3,150 | 3,154,941 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 12,073 | 12,098,264 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 22,160 | 22,307,822 | ||||||||
Chesapeake Funding II LLC 2019-1A A1† | 2.94% | 4/15/2031 | 12,277 | 12,522,073 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 7,500 | 7,602,156 | ||||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 8,345 | 8,480,317 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 10,497 | 10,577,296 | ||||||||
CPS Auto Receivables Trust 2019-B E† | 5.00% | 3/17/2025 | 3,500 | 3,611,273 |
See Notes to Financial Statements. | 303 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
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 | $ | 7,582,326 | ||||||
CPS Auto Receivables Trust 2019-C D† | 3.17% | 6/16/2025 | 7,919 | 8,110,116 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 26,690 | 26,988,490 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 32,337 | 32,980,878 | ||||||||
CPS Auto Receivables Trust 2020-A E† | 4.09% | 12/15/2025 | 11,448 | 11,606,620 | ||||||||
CPS Auto Receivables Trust 2020-B E† | 5.75% | 12/15/2023 | 16,011 | 16,541,473 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 10,352 | 10,491,044 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 1,432 | 1,451,112 | ||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 16,422 | 16,821,314 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 64,574 | 65,271,402 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 8,608 | 8,743,039 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 3,253 | 3,263,070 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 21,325 | 21,455,126 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 32,430 | 32,728,067 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 45,962 | 47,854,954 | ||||||||
Drive Auto Receivables Trust 2018-5 C | 3.99% | 1/15/2025 | 46,539 | 47,762,045 | ||||||||
Drive Auto Receivables Trust 2019-2 B | 3.17% | 11/15/2023 | 21,911 | 22,083,942 | ||||||||
Drive Auto Receivables Trust 2019-2 C | 3.42% | 6/16/2025 | 43,447 | 44,708,388 | ||||||||
Drive Auto Receivables Trust 2019-2 D | 3.69% | 8/17/2026 | 27,276 | 28,668,612 | ||||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 60,721 | 62,004,363 | ||||||||
Drive Auto Receivables Trust 2019-4 D | 2.70% | 2/16/2027 | 46,783 | 48,306,376 | ||||||||
Drive Auto Receivables Trust 2020-2 A3 | 0.83% | 5/15/2024 | 13,000 | 13,068,900 | ||||||||
Drive Auto Receivables Trust 2020-2 B | 1.42% | 3/17/2025 | 9,000 | 9,124,783 | ||||||||
Enterprise Fleet Financing LLC 2017-3 A3† | 2.36% | 5/20/2023 | 29,590 | 29,872,384 | ||||||||
Enterprise Fleet Financing LLC 2020-2 A2† | 0.61% | 7/20/2026 | 91,648 | 91,749,839 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 4,669 | 4,676,703 | ||||||||
Exeter Automobile Receivables Trust 2019-4A B† | 2.30% | 12/15/2023 | 43,025 | 43,508,980 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 7,586 | 7,594,440 | ||||||||
Fifth Third Auto Trust 2019-1 A4 | 2.69% | 11/16/2026 | 28,213 | 29,473,447 | ||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | 4,945 | 4,963,238 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 2,315 | 2,316,759 | ||||||||
Flagship Credit Auto Trust 2019-1 A† | 3.11% | 8/15/2023 | 16,226 | 16,440,400 | ||||||||
Ford Credit Auto Owner Trust 2016-2 A† | 2.03% | 12/15/2027 | 39,189 | 39,557,674 | ||||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 38,244 | 39,545,979 | ||||||||
Ford Credit Auto Owner Trust 2018-2 A† | 3.47% | 1/15/2030 | 97,520 | 104,815,140 | ||||||||
Ford Credit Auto Owner Trust 2019-REV1 A† | 3.52% | 7/15/2030 | 49,734 | 54,310,184 | ||||||||
Ford Credit Auto Owner Trust 2020-C A3 | 0.41% | 7/15/2025 | 80,663 | 80,803,741 | ||||||||
Ford Credit Auto Owner Trust REV1 2016-1 A† | 2.31% | 8/15/2027 | 58,297 | 58,542,209 |
304 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Foursight Capital Automobile Receivables Trust 2020-1 A3† | 2.05% | 10/15/2024 | $ | 11,175 | $ | 11,437,420 | ||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 37,501 | 37,739,947 | ||||||||
GM Financial Automobile Leasing Trust 2020-2 A3 | 0.80% | 7/20/2023 | 38,356 | 38,600,619 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | 13,645 | 14,318,171 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2020-4 A3 | 0.38% | 8/18/2025 | 103,164 | 103,302,756 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A4 | 2.90% | 6/18/2024 | 11,000 | 11,450,171 | ||||||||
Honda Auto Receivables Owner Trust 2020-2 A3 | 0.82% | 7/15/2024 | 38,483 | 38,840,761 | ||||||||
Honda Auto Receivables Owner Trust 2020-3 A3 | 0.37% | 10/18/2024 | 81,872 | 82,045,503 | ||||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 22,161 | 22,249,729 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 4,870 | 4,884,604 | ||||||||
Nissan Auto Lease Trust 2020-B A3 | 0.43% | 10/16/2023 | 93,172 | 93,373,494 | ||||||||
Santander Drive Auto Receivables Trust 2017-1 D | 3.17% | 4/17/2023 | 6,561 | 6,626,845 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 54,487 | 55,238,570 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 2,606 | 2,612,731 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 C | 2.96% | 3/15/2024 | 16,091 | 16,184,844 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 29,463 | 29,897,958 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 C | 3.81% | 12/16/2024 | 37,624 | 38,061,071 | ||||||||
Santander Drive Auto Receivables Trust 2019-3 C | 2.49% | 10/15/2025 | 66,714 | 68,076,934 | ||||||||
Santander Retail Auto Lease Trust 2019-B D† | 3.31% | 6/20/2024 | 39,672 | 41,118,536 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 5,943 | 5,947,886 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 291 | 291,638 | ||||||||
Toyota Auto Loan Extended Note Trust 2020-1† | 1.35% | 5/25/2033 | 183,629 | 188,851,813 | ||||||||
Toyota Auto Receivables Owner Trust 2020-D A2 | 0.23% | 5/15/2023 | 95,278 | 95,297,227 | ||||||||
Toyota Auto Receivables Owner Trust 2020-D A3 | 0.35% | 1/15/2025 | 84,958 | 85,091,299 | ||||||||
Volkswagen Auto Loan Enhanced Trust 2020-1 A3 | 0.98% | 11/20/2024 | 73,843 | 74,646,249 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 2,488 | 2,499,980 | ||||||||
Westlake Automobile Receivables Trust 2019-1A B† | 3.26% | 10/17/2022 | 21,268 | 21,421,038 | ||||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 11,100 | 11,332,088 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 35,791 | 35,981,143 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 47,426 | 48,893,228 | ||||||||
Westlake Automobile Receivables Trust 2019-3A B† | 2.41% | 10/15/2024 | 54,950 | 55,900,355 | ||||||||
Westlake Automobile Receivables Trust 2019-3A C† | 2.49% | 10/15/2024 | 62,191 | 63,613,544 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 3,961 | 3,976,370 | ||||||||
World Omni Automobile Lease Securitization Trust 2020-B A3 | 0.45% | 2/15/2024 | 48,093 | 48,193,029 | ||||||||
World Omni Select Auto Trust 2018-1A B† | 3.68% | 7/15/2023 | 10,171 | 10,305,804 |
See Notes to Financial Statements. | 305 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
World Omni Select Auto Trust 2018-1A D† | 4.13% | 1/15/2025 | $ | 29,174 | $ | 30,236,651 | ||||||
World Omni Select Auto Trust 2019-A C | 2.38% | 12/15/2025 | 8,886 | 9,177,690 | ||||||||
World Omni Select Auto Trust 2019-A D | 2.59% | 12/15/2025 | 25,464 | 26,066,870 | ||||||||
Total | 3,408,388,192 | |||||||||||
Credit Cards 2.59% | ||||||||||||
American Express Credit Account Master Trust 2019-1 B | 3.07% | 10/15/2024 | 32,359 | 33,418,803 | ||||||||
American Express Credit Account Master Trust 2019-3 B | 2.20% | 4/15/2025 | 12,714 | 13,104,861 | ||||||||
Barclays Dryrock Issuance Trust 2018-1 A | 0.471% (1 Mo. LIBOR + .33% | )# | 7/15/2024 | 25,054 | 25,099,012 | |||||||
Capital One Multi-Asset Execution Trust 2019-A2 | 1.72% | 8/15/2024 | 21,487 | 21,973,324 | ||||||||
Discover Card Execution Note Trust 2018-A2 | 0.471% (1 Mo. LIBOR + .33% | )# | 8/15/2025 | 5,100 | 5,110,797 | |||||||
Golden Credit Card Trust 2018-1A A† | 2.62% | 1/15/2023 | 147,428 | 147,844,130 | ||||||||
Golden Credit Card Trust 2018-4A A† | 3.44% | 8/15/2025 | 53,391 | 57,772,351 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 7,742 | 7,750,320 | ||||||||
Master Credit Card Trust II 2020-1A A† | 1.99% | 9/21/2024 | 12,223 | 12,675,540 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 0.636% (1 Mo. LIBOR + .49% | )# | 7/21/2024 | 149,590 | 150,028,029 | |||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 99,892 | 100,143,734 | ||||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 14,959 | 15,269,473 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 133,732 | 134,916,277 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 42,808 | 43,027,073 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 36,807 | 38,127,587 | ||||||||
Trillium Credit Card Trust II 2019-2A A† | 3.038% | 1/26/2024 | 69,423 | 69,705,913 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 193,189 | 194,931,410 | ||||||||
World Financial Network Credit Card Master Trust 2018-C A | 3.55% | 8/15/2025 | 95,554 | 98,163,389 | ||||||||
World Financial Network Credit Card Master Trust 2018-C M | 3.95% | 8/15/2025 | 19,966 | 20,405,296 | ||||||||
World Financial Network Credit Card Master Trust 2019-A A | 3.14% | 12/15/2025 | 132,685 | 137,102,906 | ||||||||
World Financial Network Credit Card Master Trust 2019-A M | 3.61% | 12/15/2025 | 29,519 | 30,317,341 | ||||||||
World Financial Network Credit Card Master Trust 2019-B A | 2.49% | 4/15/2026 | 4,451 | 4,594,827 | ||||||||
World Financial Network Credit Card Master Trust 2019-C A | 2.21% | 7/15/2026 | 81,918 | 84,518,552 | ||||||||
Total | 1,446,000,945 |
306 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Home Equity 0.00% | ||||||||||||
Meritage Mortgage Loan Trust 2004-2 M3 | 1.125% (1 Mo. LIBOR + .98% | )# | 1/25/2035 | $ | 36 | $ | 37,090 | |||||
Other 10.71% | ||||||||||||
A10 Bridge Asset Financing LLC 2019-B A1† | 3.085% | 8/15/2040 | 70,717 | 72,060,556 | ||||||||
ACAM Ltd. 2019-FL1 A† | 1.536% (1 Mo. LIBOR + 1.40% | )# | 11/17/2034 | 95,022 | 94,857,707 | |||||||
ACAM Ltd. 2019-FL1 AS† | 1.886% (1 Mo. LIBOR + 1.75% | )# | 11/17/2034 | 25,000 | 24,909,343 | (a) | ||||||
Ally Master Owner Trust 2018-2 A | 3.29% | 5/15/2023 | 1,893 | 1,919,513 | ||||||||
AMMC CLO 16 Ltd. 2015-16A AR† | 1.489% (3 Mo. LIBOR + 1.26% | )# | 4/14/2029 | 32,000 | 31,889,728 | |||||||
AMMC CLO 19 Ltd. 2016-19A AR† | 1.377% (3 Mo. LIBOR + 1.14% | )# | 10/16/2028 | 83,322 | 82,742,515 | |||||||
AMMC CLO Ltd. 2016-19A BR† | 2.037% (3 Mo. LIBOR + 1.80% | )# | 10/16/2028 | 29,854 | 29,709,418 | |||||||
AMMC CLO Ltd. 2016-19A CR† | 2.787% (3 Mo. LIBOR + 2.55% | )# | 10/16/2028 | 13,000 | 12,855,865 | |||||||
Amur Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 21,911 | 22,289,217 | ||||||||
Amur Equipment Finance Receivables VII LLC 2019-1A A2† | 2.63% | 6/20/2024 | 43,713 | 44,559,188 | ||||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 1.272% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 31,258 | 31,145,212 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 1.272% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 40,886 | 40,738,373 | |||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 1.517% (3 Mo. LIBOR + 1.30% | )# | 10/27/2028 | 79,615 | 79,667,578 | |||||||
Apex Credit CLO Ltd. 2016-1A B1R† | 2.067% (3 Mo. LIBOR + 1.85% | )# | 10/27/2028 | 16,704 | 16,591,094 | |||||||
Apex Credit CLO Ltd. 2017-1A B† | 2.165% (3 Mo. LIBOR + 1.95% | )# | 4/24/2029 | 18,374 | 18,373,515 | |||||||
Apidos CLO XXII 2015-22A A1R† | 1.278% (3 Mo. LIBOR + 1.06% | )# | 4/20/2031 | 80,936 | 80,468,238 | |||||||
Apidos CLO XXVIII 2017 27A A1† | 1.428% (3 Mo. LIBOR + 1.21% | )# | 7/17/2030 | 5,400 | 5,403,369 | |||||||
Aqua Finance Trust 2019-A 2019-A A† | 3.14% | 7/16/2040 | 53,282 | 54,636,880 | ||||||||
Arbor Realty Collateralized Loan Obligation Ltd. 2017-FL3 A† | 1.131% (1 Mo. LIBOR + .99% | )# | 12/15/2027 | 47,836 | 47,607,425 |
See Notes to Financial Statements. | 307 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A† | 1.291% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | $ | 35,293 | $ | 35,184,100 | |||||
Arbor Realty Commercial Real Estate Notes Ltd. 2019-FL1 A† | 1.291% (1 Mo. LIBOR + 1.15% | )# | 5/15/2037 | 55,615 | 55,231,256 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 996 | 997,602 | ||||||||
Atrium IX-9A AR† | 1.496% (3 Mo. LIBOR + 1.24% | )# | 5/28/2030 | 22,050 | 22,034,479 | |||||||
Avery Point V CLO Ltd. 2014-5A AR† | 1.198% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 14,988 | 14,966,522 | |||||||
Bain Capital Credit CLO Ltd. 2017-1A A1† | 1.468% (3 Mo. LIBOR + 1.25% | )# | 7/20/2030 | 24,421 | 24,439,172 | |||||||
Bain Capital Credit CLO Ltd. 2017-2A AR† | 1.465% (3 Mo. LIBOR + 1.25% | )# | 7/25/2030 | 29,812 | 29,801,802 | |||||||
BDS Ltd. 2019-FL3 A† | 1.544% (1 Mo. LIBOR + 1.40% | )# | 12/15/2035 | 44,031 | 43,923,124 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 1.468% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 8,896 | 8,875,179 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2RR† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 24,750 | 24,689,848 | |||||||
BlueMountain CLO Ltd. 2012-2A AR2† | 1.274% (3 Mo. LIBOR + 1.05% | )# | 11/20/2028 | 10,340 | 10,309,653 | |||||||
BlueMountain CLO Ltd. 2013-1A A1R2† | 1.448% (3 Mo. LIBOR + 1.23% | )# | 1/20/2029 | 72,429 | 72,310,790 | |||||||
BlueMountain CLO Ltd. 2013-1A A2R2† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 27,442 | 27,347,720 | |||||||
BlueMountain CLO Ltd. 2015-2A A1R† | 1.148% (3 Mo. LIBOR + .93% | )# | 7/18/2027 | 13,203 | 13,151,617 | |||||||
BlueMountain CLO Ltd. 2016-2A A1R† | 1.534% (3 Mo. LIBOR + 1.31% | )# | 8/20/2032 | 26,500 | 26,278,367 | |||||||
Bowman Park CLO Ltd. 2014-1A AR† | 1.393% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | 4,401 | 4,404,121 | |||||||
BSPRT Issuer, Ltd. 2019 FL5 A† | 1.291% (1 Mo. LIBOR + 1.15% | )# | 5/15/2029 | 48,248 | 47,765,520 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 1.543% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 4,717 | 4,716,787 | |||||||
CIFC Funding III Ltd. 2020-3A A1† | 1.555% (3 Mo. LIBOR + 1.35% | )# | 10/20/2031 | 64,891 | 64,952,263 | |||||||
Colombia Cent CLO Ltd. 2018-27A A2A† | 1.815% (3 Mo. LIBOR + 1.60% | )# | 10/25/2028 | 5,608 | 5,547,861 | |||||||
Conn’s Receivables Funding LLC 2019-B A† | 2.66% | 6/17/2024 | 10,587 | 10,592,246 |
308 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | $ | 2,369 | $ | 2,369,051 | ||||||
Diamond Resorts Owner Trust 2018-1 A† | 3.70% | 1/21/2031 | 28,262 | 29,424,598 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 16,887 | 17,509,619 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 17,441 | 17,500,185 | ||||||||
DLL LLC 2018-1 A4† | 3.27% | 4/17/2026 | 64,285 | 65,651,931 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 1,587 | 1,588,360 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 32,826 | 33,132,785 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 940 | 949,796 | ||||||||
Dryden 49 Senior Loan Fund 2017-49A A† | 1.428% (3 Mo. LIBOR + 1.21% | )# | 7/18/2030 | 15,700 | 15,696,144 | |||||||
Dryden 55 CLO Ltd. 2018-55A A1† | 1.257% (3 Mo. LIBOR + 1.02% | )# | 4/15/2031 | 20,170 | 19,952,294 | |||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 1.587% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 26,320 | 26,172,597 | |||||||
Elm CLO Ltd. 2014-1A ARR† | 1.388% (3 Mo. LIBOR + 1.17% | )# | 1/17/2029 | 23,117 | 23,074,220 | |||||||
Elm CLO Ltd. 2014-1A BRR† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/17/2029 | 13,468 | 13,500,809 | |||||||
Elmwood CLO VI Ltd. 2020-3A A† | 1.557% (3 Mo. LIBOR + 1.32% | )# | 10/15/2031 | 69,849 | 69,840,006 | |||||||
ENVA LLC 2019-A A† | 3.96% | 6/22/2026 | 1,738 | 1,741,597 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A A†(b) | 3.948% | 3/21/2033 | CAD | 17,751 | 13,810,297 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(b) | 5.084% | 3/21/2033 | CAD | 7,974 | 6,174,984 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(b) | 6.299% | 3/21/2033 | CAD | 15,035 | 11,725,147 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(b) | 7.257% | 3/21/2033 | CAD | 8,879 | 6,871,910 | (a) | ||||||
Fairstone Financial Issuance Trust I 2020-1A A†(b) | 2.509% | 10/20/2039 | CAD | 25,300 | 19,687,090 | (a) | ||||||
Ford Credit Floorplan Master Owner Trust 2019-1 A | 2.84% | 3/15/2024 | $ | 137,580 | 142,032,364 | |||||||
Ford Credit Floorplan Master Owner Trust 2019-2 A | 3.06% | 4/15/2026 | 87,348 | 94,555,485 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 5,297 | 5,314,508 | ||||||||
GPMT Ltd. 2019-FL2 A† | 1.447% (1 Mo. LIBOR + 1.30% | )# | 2/22/2036 | 37,750 | 37,514,062 | |||||||
Gracie Point International Funding 2020-B A† | 1.527% (1 Mo. LIBOR + 1.40% | )# | 5/2/2023 | 75,000 | 75,175,781 | (a) | ||||||
Grand Avenue CRE 2019-FL1 A† | 1.261% (1 Mo. LIBOR + 1.12% | )# | 6/15/2037 | 115,644 | 115,025,305 | |||||||
Grand Avenue CRE 2019-FL1 AS† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 6/15/2037 | 43,369 | 43,149,987 | |||||||
GreatAmerica Leasing Receivables Funding LLC Series 2019-1† | 3.21% | 2/18/2025 | 17,040 | 17,868,747 | ||||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 A† | 1.691% (1 Mo. LIBOR + 1.55% | )# | 9/15/2028 | 52,464 | 51,820,440 |
See Notes to Financial Statements. | 309 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 AS† | 2.291% (1 Mo. LIBOR + 2.15% | )# | 9/15/2028 | $ | 22,123 | $ | 21,721,923 | |||||
Greywolf CLO IV Ltd. 2019-1A A2† | 2.168% (3 Mo. LIBOR + 1.95% | )# | 4/17/2030 | 33,591 | 33,616,217 | |||||||
Greywolf CLO VII Ltd. 2018-2A A1† | 1.398% (3 Mo. LIBOR + 1.18% | )# | 10/20/2031 | 37,250 | 37,235,432 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A AR† | 1.295% (3 Mo. LIBOR + 1.08% | )# | 7/25/2027 | 12,323 | 12,262,634 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A BR† | 1.865% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | 15,727 | 15,571,293 | |||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 1.918% (3 Mo. LIBOR + 1.70% | )# | 1/17/2030 | 23,027 | 22,958,969 | |||||||
HPEFS Equipment Trust 2020-1A A2† | 1.73% | 2/20/2030 | 36,079 | 36,371,294 | ||||||||
HPEFS Equipment Trust 2020-1A A3† | 1.76% | 2/20/2030 | 30,701 | 31,191,872 | ||||||||
HPEFS Equipment Trust 2020-1A B† | 1.89% | 2/20/2030 | 9,253 | 9,436,073 | ||||||||
HPS Loan Management Ltd. 10-2016 A1R† | 1.358% (3 Mo. LIBOR + 1.14% | )# | 1/20/2028 | 13,178 | 13,162,262 | |||||||
HPS Loan Management Ltd. 10-2016 A2R† | 1.968% (3 Mo. LIBOR + 1.75% | )# | 1/20/2028 | 38,834 | 38,846,027 | |||||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 104,777 | 107,952,854 | ||||||||
Jackson Mill CLO Ltd. 2015-1A AR† | 1.067% (3 Mo. LIBOR + .83% | )# | 4/15/2027 | 44,986 | 44,850,060 | |||||||
Jamestown CLO IX Ltd. 2016-9A A1AR† | 1.388% (3 Mo. LIBOR + 1.17% | )# | 10/20/2028 | 20,150 | 20,129,850 | |||||||
Jamestown CLO IX Ltd. 2016-9A A2R† | 2.068% (3 Mo. LIBOR + 1.85% | )# | 10/20/2028 | 24,250 | 24,310,458 | |||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 1.045% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 7,464 | 7,411,347 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 1.515% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 35,299 | 34,759,543 | |||||||
JFIN CLO Ltd. 2013-1A A1NR† | 1.608% (3 Mo. LIBOR + 1.39% | )# | 1/20/2030 | 72,557 | 72,345,513 | |||||||
JFIN CLO Ltd. 2013-1A A2R† | 2.418% (3 Mo. LIBOR + 2.20% | )# | 1/20/2030 | 37,291 | 37,677,267 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 1.668% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 9,750 | 9,741,493 | |||||||
Kayne CLO 5 Ltd. 2019-5A A† | 1.565% (3 Mo. LIBOR + 1.35% | )# | 7/24/2032 | 55,397 | 55,473,552 | |||||||
KKR CLO Ltd. 16 A2R† | 2.018% (3 Mo. LIBOR + 1.80% | )# | 1/20/2029 | 22,750 | 22,790,438 |
310 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
KKR CLO Ltd. 30A A1† | 1.736% (3 Mo. LIBOR + 1.50% | )# | 10/17/2031 | $ | 28,750 | $ | 28,715,764 | |||||
KVK CLO Ltd. 2016-1A B† | 2.487% (3 Mo. LIBOR + 2.25% | )# | 1/15/2029 | 7,875 | 7,877,565 | |||||||
LCM XXII Ltd. 22A A1R† | 1.378% (3 Mo. LIBOR + 1.16% | )# | 10/20/2028 | 11,750 | 11,726,966 | |||||||
LMREC, Inc. 2019-CRE3 A† | 1.551% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 85,093 | 84,377,921 | |||||||
LoanCore Issuer Ltd. 2019-CRE2 A† | 1.271% (1 Mo. LIBOR + 1.13% | )# | 5/15/2036 | 92,720 | 91,913,336 | |||||||
M360 LLC 2018-CRE1 A† | 4.395% | 7/24/2028 | 19,022 | 19,031,639 | ||||||||
M360 LLC 2019-CRE2 A† | 1.541% (1 Mo. LIBOR + 1.40% | )# | 9/15/2034 | 85,455 | 84,254,793 | |||||||
M360 LLC 2019-CRE2 B† | 2.391% (1 Mo. LIBOR + 2.25% | )# | 9/15/2034 | 10,311 | 9,905,374 | |||||||
Madison Park Funding XI Ltd. 2013-11A AR† | 1.369% (3 Mo. LIBOR + 1.16% | )# | 7/23/2029 | 7,639 | 7,649,797 | |||||||
Madison Park Funding XVI Ltd. 2015-16A A2R† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 4/20/2026 | 13,623 | 13,626,406 | |||||||
Marble Point CLO XV Ltd. 2019-1A A1† | 1.629% (3 Mo. LIBOR + 1.42% | )# | 7/23/2032 | 16,000 | 15,927,731 | |||||||
Mariner CLO 8 Ltd. 2020-8A A† | 1.488% (3 Mo. LIBOR + 1.27% | )# | 4/20/2033 | 38,000 | 37,754,911 | |||||||
Mercedes-Benz Master Owner Trust 2019-BA A† | 2.61% | 5/15/2024 | 83,702 | 86,611,908 | ||||||||
Mercer Field II CLO Ltd. 2017-1A A1† | 1.567% (3 Mo. LIBOR + 1.33% | )# | 4/15/2029 | 13,148 | 13,165,138 | |||||||
MidOcean Credit CLO VI 2016-6A BR† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 1/20/2029 | 31,307 | 31,266,445 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 9,673 | 9,677,990 | |||||||
Mountain View CLO 2017-1A BR† | 1.98% (3 Mo. LIBOR + 1.75% | )# | 10/16/2029 | 37,002 | 36,709,025 | |||||||
Mountain View CLO LLC 2017-1A AR† | 1.32% (3 Mo. LIBOR + 1.09% | )# | 10/16/2029 | 90,527 | 89,801,641 | |||||||
Mountain View CLO XIV Ltd. 2019-1A A1† | 1.727% (3 Mo. LIBOR + 1.49% | )# | 4/15/2029 | 40,965 | 40,948,008 | |||||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 6,548 | 6,715,149 | ||||||||
Navient Private Education Refi Loan Trust 2020-FA A† | 1.22% | 7/15/2069 | 26,530 | 26,715,443 | ||||||||
Neuberger Berman CLO XIX Ltd. 2015-19A A1R2† | 1.037% (3 Mo. LIBOR + .80% | )# | 7/15/2027 | 12,966 | 12,910,856 |
See Notes to Financial Statements. | 311 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Newark BSL CLO 1 Ltd. 2016-1A A1R† | 1.317% (3 Mo. LIBOR + 1.10% | )# | 12/21/2029 | $ | 67,907 | $ | 67,754,296 | |||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 48,361 | 49,751,166 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 19,277 | 19,801,986 | ||||||||
Nissan Master Owner Trust Receivables 2019-A A | 0.701% (1 Mo. LIBOR + .56% | )# | 2/15/2024 | 85,000 | 85,409,819 | |||||||
Northwoods Capital 20 Ltd. 2019-20A B† | 2.215% (3 Mo. LIBOR + 2.00% | )# | 1/25/2030 | 31,824 | 31,832,112 | |||||||
Northwoods Capital Ltd. 2019-20A A1† | 1.535% (3 Mo. LIBOR + 1.32% | )# | 1/25/2030 | 23,833 | 23,839,525 | |||||||
Oaktree CLO 2014-1A A1R† | 1.511% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 26,179 | 26,063,914 | |||||||
Oaktree CLO 2014-1A A2R† | 2.071% (3 Mo. LIBOR + 1.85% | )# | 5/13/2029 | 17,750 | 17,484,998 | |||||||
Oaktree CLO Ltd. 2015-1A A1R† | 1.088% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 26,935 | 26,867,135 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 1.515% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 24,351 | 24,246,865 | |||||||
OCP CLO Ltd. 2015-9A A2R† | 1.587% (3 Mo. LIBOR + 1.35% | )# | 7/15/2027 | 25,719 | 25,675,424 | |||||||
OCP CLO Ltd. 2016-12A A1R† | 1.338% (3 Mo. LIBOR + 1.12% | )# | 10/18/2028 | 37,594 | 37,633,120 | |||||||
OCP CLO Ltd. 2016-12A A2R† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/18/2028 | 26,701 | 26,785,701 | |||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 7,689 | 8,145,799 | ||||||||
OneMain Financial Issuance Trust 2019-1A A† | 3.48% | 2/14/2031 | 83,586 | 84,322,551 | ||||||||
OneMain Financial Issuance Trust 2019-1A B† | 3.79% | 2/14/2031 | 18,443 | 18,969,976 | ||||||||
OneMain Financial Issuance Trust 2019-2A A† | 3.14% | 10/14/2036 | 34,057 | 36,965,424 | ||||||||
OneMain Financial Issuance Trust 2020-2A A† | 1.75% | 9/14/2035 | 16,450 | 16,754,611 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 11,407 | 11,862,186 | ||||||||
Orec Ltd. 2018-CRE1 A† | 1.321% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 70,853 | 69,790,205 | |||||||
OZLM Funding III Ltd. 2013-3A A1RR† | 1.396% (3 Mo. LIBOR + 1.18% | )# | 1/22/2029 | 67,020 | 67,083,239 | |||||||
OZLM Funding III Ltd. 2013-3A A2AR† | 2.166% (3 Mo. LIBOR + 1.95% | )# | 1/22/2029 | 23,550 | 23,575,926 | |||||||
OZLM VIII Ltd. 2014-8A A1RR† | 1.388% (3 Mo. LIBOR + 1.17% | )# | 10/17/2029 | 32,900 | 32,792,339 | |||||||
OZLM XVII Ltd. 2017 17A A1† | 1.468% (3 Mo. LIBOR + 1.25% | )# | 7/20/2030 | 14,087 | 14,081,185 |
312 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 0.837% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | $ | 42,352 | $ | 42,227,253 | |||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 1.287% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 27,439 | 27,124,437 | |||||||
Palmer Square Loan Funding Ltd. 2018-4A A1† | 1.121% (3 Mo. LIBOR + .90% | )# | 11/15/2026 | 8,640 | 8,627,998 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 1.068% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 36,318 | 36,181,274 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 1.618% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 18,310 | 18,059,279 | |||||||
Parallel Ltd. 2015-1A AR† | 1.068% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 20,326 | 20,229,268 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 80,262 | 80,510,836 | ||||||||
PFS Financing Corp. 2020-E A† | 1.00% | 10/15/2025 | 71,520 | 71,925,504 | ||||||||
PFS Financing Corp. 2020-G A† | 0.97% | 2/15/2026 | 56,141 | 56,435,016 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 26,270 | 26,264,030 | ||||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 53,811 | 53,408,329 | ||||||||
Prima Capital CRE Securitization Ltd. 2013-3A A† | 2.214% | 10/24/2035 | 2,050 | 2,055,293 | (a) | |||||||
Prima Capital CRE Securitization Ltd. 2013-3A C† | 5.00% | 10/24/2035 | 35,011 | 34,442,054 | ||||||||
Prima Capital CRE Securitization Ltd. 2015-4A MR-A† | 2.55% | 8/24/2049 | 29,939 | 29,954,991 | ||||||||
Recette CLO Ltd. 2015-1A AR† | 1.138% (3 Mo. LIBOR + .92% | )# | 10/20/2027 | 5,287 | 5,278,343 | |||||||
Salem Fields CLO Ltd. 2016-2A A1R† | 1.365% (3 Mo. LIBOR + 1.15% | )# | 10/25/2028 | 3,700 | 3,694,947 | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 1.915% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 30,313 | 30,266,112 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 5,060 | 5,081,674 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 20,548 | 20,613,966 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 2,603 | 2,605,517 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 70,120 | 70,414,798 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 40,150 | 40,456,296 | ||||||||
SCF Equipment Leasing LLC 2019-2A A2† | 2.47% | 4/20/2026 | 101,195 | 104,762,873 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 1.338% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 348 | 347,922 | |||||||
Shackleton CLO Ltd. 2016-9A B† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 13,250 | 13,250,863 | |||||||
SLC Student Loan Trust 2008-1 A4A | 1.85% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 21,890 | 22,249,651 | |||||||
Sound Point CLO III-R Ltd. 2013-2RA B† | 1.725% (3 Mo. LIBOR + 1.45% | )# | 4/15/2029 | 10,000 | 9,731,245 |
See Notes to Financial Statements. | 313 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Sound Point CLO XI Ltd. 2016-1A AR† | 1.318% (3 Mo. LIBOR + 1.10% | )# | 7/20/2028 | $ | 43,040 | $ | 42,839,154 | |||||
Sound Point CLO XII Ltd. 2016-2A BR† | 2.018% (3 Mo. LIBOR + 1.80% | )# | 10/20/2028 | 11,349 | 11,290,222 | |||||||
Sound Point Clo XV Ltd. 2017-1A AR† | 1.359% (3 Mo. LIBOR + 1.15% | )# | 1/23/2029 | 67,816 | 67,615,190 | |||||||
Sound Point Clo XV Ltd. 2017-1A B† | 1.959% (3 Mo. LIBOR + 1.75% | )# | 1/23/2029 | 18,414 | 18,394,100 | |||||||
Thacher Park CLO Ltd. 2014-1A AR† | 1.378% 3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 10,470 | 10,477,179 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 0.749% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 49,415 | 48,873,321 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 1.274% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 54,087 | 53,748,956 | |||||||
TRTX Issuer Ltd. 2019-FL3 A† | 1.294% (1 Mo. LIBOR + 1.15% | )# | 10/15/2034 | 14,475 | 14,339,659 | |||||||
Verizon Owner Trust 2020-B A | 0.47% | 2/20/2025 | 77,688 | 77,939,989 | ||||||||
Verizon Owner Trust 2020-C A | 0.41% | 4/21/2025 | 106,862 | 107,028,598 | ||||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 1.664% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 55,578 | 55,540,763 | |||||||
Total | 5,987,651,441 | |||||||||||
Total Asset-Backed Securities (cost $10,742,951,914) | 10,842,077,668 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.06% | ||||||||||||
Oil | ||||||||||||
Oasis Petroleum, Inc.* | 1,054 | 36,035,382 | ||||||||||
Templar Energy LLC Class A Units | 178 | 14,212 | (a) | |||||||||
Total Common Stocks (cost $96,986,438) | 36,049,594 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.13% | ||||||||||||
Energy Equipment & Services 0.02% | ||||||||||||
SunPower Corp. | 0.875% | 6/1/2021 | $ | 8,170 | 8,210,850 | |||||||
Technology 0.11% | ||||||||||||
Weibo Corp. (China)(c) | 1.25% | 11/15/2022 | 66,436 | 63,781,086 | ||||||||
Total Convertible Bonds (cost $71,949,504) | 71,991,936 |
314 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
CORPORATE BONDS 47.45% | ||||||||||||
Aerospace/Defense 0.68% | ||||||||||||
Boeing Co. (The) | 2.30% | 8/1/2021 | $ | 25,471 | $ | 25,731,162 | ||||||
Boeing Co. (The) | 4.508% | 5/1/2023 | 138,170 | 148,256,352 | ||||||||
Boeing Co. (The) | 4.875% | 5/1/2025 | 147,561 | 164,887,406 | ||||||||
Howmet Aerospace, Inc. | 5.125% | 10/1/2024 | 35,383 | 38,519,703 | ||||||||
Total | 377,394,623 | |||||||||||
Air Transportation 0.18% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(c) | 3.875% | 3/15/2023 | 8,107 | 7,203,749 | ||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(c) | 5.00% | 12/15/2023 | 4,726 | 4,008,107 | ||||||||
American Airlines 2011-1 Class A Pass-Through Trust | 5.25% | 1/31/2021 | 3,538 | 3,515,489 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 1/15/2021 | 4,588 | 4,509,650 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 10/1/2022 | 12,375 | 9,077,584 | ||||||||
American Airlines Group, Inc.† | 3.75% | 3/1/2025 | 52,084 | 34,334,814 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.† | 8.00% | 9/20/2025 | 21,192 | 23,591,545 | ||||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 4/11/2022 | 4,680 | 4,612,610 | ||||||||
United Airlines, Inc. | 6.636% | 7/2/2022 | 4,515 | 4,519,207 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 6/3/2021 | 7,024 | 6,758,286 | ||||||||
Total | 102,131,041 | |||||||||||
Apparel 0.04% | ||||||||||||
William Carter Co. (The)† | 5.50% | 5/15/2025 | 21,235 | 22,548,916 | ||||||||
Auto Parts: Original Equipment 0.32% | ||||||||||||
Aptiv Corp. | 4.15% | 3/15/2024 | �� | 6,200 | 6,848,111 | |||||||
IHO Verwaltungs GmbH PIK 5.50% (Germany)†(c) | 4.75% | 9/15/2026 | 20,870 | 21,495,640 | ||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 19,774 | 19,800,097 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 33,091 | 34,249,185 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 90,619 | 95,942,866 | ||||||||
Total | 178,335,899 | |||||||||||
Automotive 3.86% | ||||||||||||
BMW Finance NV (Netherlands)†(c) | 1.004% (3 Mo. LIBOR + .79% | )# | 8/12/2022 | 30,457 | 30,676,150 | |||||||
BMW US Capital LLC† | 3.90% | 4/9/2025 | 106,703 | 119,766,425 | ||||||||
Daimler Finance North America LLC† | 0.644% (3 Mo. LIBOR + .43% | )# | 2/12/2021 | 15,461 | 15,468,482 | |||||||
Daimler Finance North America LLC† | 0.663% (3 Mo. LIBOR + .45% | )# | 2/22/2021 | 11,401 | 11,408,378 |
See Notes to Financial Statements. | 315 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Daimler Finance North America LLC† | 0.77% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | $ | 28,723 | $ | 28,766,595 | |||||
Daimler Finance North America LLC† | 0.895% (3 Mo. LIBOR + .67% | )# | 11/5/2021 | 17,975 | 18,047,512 | |||||||
Daimler Finance North America LLC† | 1.06% (3 Mo. LIBOR + .84% | )# | 5/4/2023 | 7,070 | 7,083,051 | |||||||
Daimler Finance North America LLC† | 1.093% (3 Mo. LIBOR + .88% | )# | 2/22/2022 | 12,862 | 12,947,952 | |||||||
Daimler Finance North America LLC† | 1.121% (3 Mo. LIBOR + .90% | )# | 2/15/2022 | SP64,649 | 65,087,811 | |||||||
Daimler Finance North America LLC† | 1.75% | 3/10/2023 | 83,123 | 85,171,594 | ||||||||
Daimler Finance North America LLC† | 2.20% | 10/30/2021 | 13,773 | 13,987,787 | ||||||||
Daimler Finance North America LLC† | 2.70% | 6/14/2024 | 28,125 | 30,018,356 | ||||||||
Daimler Finance North America LLC† | 3.35% | 2/22/2023 | P3,850 | 4,077,598 | ||||||||
Daimler Finance North America LLC† | 3.65% | 2/22/2024 | 22,690 | 24,688,403 | ||||||||
Daimler Finance North America LLC† | 3.70% | 5/4/2023 | 21,450 | 23,009,530 | ||||||||
Daimler Finance North America LLC† | 3.75% | 11/5/2021 | 3,400 | 3,503,436 | ||||||||
Ford Motor Co. | 8.50% | 4/21/2023 | 13,807 | 15,511,819 | ||||||||
Ford Motor Credit Co. LLC | 1.296% (3 Mo. LIBOR + 1.08% | )# | 8/3/2022 | 43,730 | 42,534,430 | |||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 21,161 | 21,266,805 | ||||||||
Ford Motor Credit Co. LLC | 3.087% | 1/9/2023 | 25,234 | 25,375,941 | ||||||||
Ford Motor Credit Co. LLC | 3.096% | 5/4/2023 | 6,483 | 6,532,854 | ||||||||
Ford Motor Credit Co. LLC | 3.219% | 1/9/2022 | 15,768 | 15,846,840 | ||||||||
Ford Motor Credit Co. LLC | 3.336% | 3/18/2021 | 10,000 | 10,047,000 | ||||||||
Ford Motor Credit Co. LLC | 3.339% | 3/28/2022 | 44,221 | 44,552,658 | ||||||||
Ford Motor Credit Co. LLC | 3.37% | 11/17/2023 | 41,316 | 41,884,095 | ||||||||
Ford Motor Credit Co. LLC | 3.47% | 4/5/2021 | 21,035 | 21,153,322 | ||||||||
Ford Motor Credit Co. LLC | 3.81% | 1/9/2024 | 20,000 | 20,494,000 | ||||||||
Ford Motor Credit Co. LLC | 3.813% | 10/12/2021 | 67,437 | 68,381,118 | ||||||||
Ford Motor Credit Co. LLC | 4.25% | 9/20/2022 | 8,835 | 9,068,686 | ||||||||
Ford Motor Credit Co. LLC | 5.125% | 6/16/2025 | 41,304 | 44,647,559 | ||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 153,525 | 165,054,727 | ||||||||
Ford Motor Credit Co. LLC | 5.596% | 1/7/2022 | 17,541 | 18,089,156 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 54,690 | 56,016,232 | ||||||||
General Motors Co. | 5.40% | 10/2/2023 | 18,803 | 21,082,265 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 13,052 | 15,735,589 | ||||||||
General Motors Financial Co., Inc. | 1.224% (3 Mo. LIBOR + .99% | )# | 1/5/2023 | 5,000 | 4,980,965 | |||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | 74,590 | 79,023,184 |
316 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
General Motors Financial Co., Inc. | 2.90% | 2/26/2025 | $ | 30,124 | $ | 31,944,354 | ||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 55,893 | 57,782,837 | ||||||||
General Motors Financial Co., Inc. | 3.45% | 1/14/2022 | 4,963 | 5,100,018 | ||||||||
General Motors Financial Co., Inc. | 3.70% | 5/9/2023 | 27,703 | 29,368,308 | ||||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 31,758 | 34,501,554 | ||||||||
General Motors Financial Co., Inc. | 4.25% | 5/15/2023 | 13,110 | 14,131,779 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 96,489 | 107,905,799 | ||||||||
General Motors Financial Co., Inc. | 5.20% | 3/20/2023 | 25,902 | 28,424,859 | ||||||||
Hyundai Capital America | 1.069% (3 Mo. LIBOR + .82% | )# | 3/12/2021 | 2,732 | 2,732,380 | |||||||
Hyundai Capital America† | 1.25% | 9/18/2023 | 73,164 | 73,728,408 | ||||||||
Hyundai Capital America† | 3.00% | 6/20/2022 | 8,450 | 8,722,503 | ||||||||
Hyundai Capital America† | 3.25% | 9/20/2022 | 32,832 | 34,172,058 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 20,366 | 20,524,277 | ||||||||
Hyundai Capital Services, Inc. (South Korea)†(c) | 3.00% | 8/29/2022 | 38,997 | 40,385,625 | ||||||||
Navistar International Corp.† | 6.625% | 11/1/2025 | 9,681 | 10,145,204 | ||||||||
Nissan Motor Acceptance Corp.† | 0.77% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 11,260 | 11,238,569 | |||||||
Nissan Motor Acceptance Corp.† | 0.874% (3 Mo. LIBOR + .65% | )# | 7/13/2022 | 36,810 | 36,435,010 | |||||||
Nissan Motor Acceptance Corp.† | 2.55% | 3/8/2021 | 1,165 | 1,169,127 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 104,116 | 108,509,695 | ||||||||
Toyota Motor Credit Corp. | 1.35% | 8/25/2023 | 70,245 | 72,045,051 | ||||||||
Volkswagen Group of America Finance LLC† | 1.083% (3 Mo. LIBOR + .86% | )# | 9/24/2021 | 1,000 | 1,004,941 | |||||||
Volkswagen Group of America Finance LLC† | 1.154% (3 Mo. LIBOR + .94% | )# | 11/12/2021 | 8,200 | 8,257,005 | |||||||
Volkswagen Group of America Finance LLC† | 2.90% | 5/13/2022 | 64,608 | 66,739,408 | ||||||||
Volkswagen Group of America Finance LLC† | 3.125% | 5/12/2023 | 54,941 | 58,075,869 | ||||||||
Volkswagen Group of America Finance LLC† | 3.35% | 5/13/2025 | 17,003 | 18,665,165 | ||||||||
Volkswagen Group of America Finance LLC† | 4.00% | 11/12/2021 | 20,000 | 20,672,412 | ||||||||
Volkswagen Group of America Finance LLC† | 4.25% | 11/13/2023 | 14,585 | 16,049,186 | ||||||||
Total | 2,159,419,706 | |||||||||||
Banks: Regional 11.12% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 4.75% | 7/28/2025 | 27,850 | 31,997,001 | ||||||||
ABN AMRO Bank NV (Netherlands)(c) | 6.25% | 4/27/2022 | 64,981 | 69,862,568 | ||||||||
AIB Group plc (Ireland)†(c) | 4.263% (3 Mo. LIBOR + 1.87% | )# | 4/10/2025 | 58,212 | 63,521,521 | |||||||
AIB Group plc (Ireland)†(c) | 4.75% | 10/12/2023 | 63,188 | 69,543,878 | ||||||||
See Notes to Financial Statements. | 317 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Akbank T.A.S. (Turkey)†(c) | 5.00% | 10/24/2022 | $ | 20,150 | $ | 20,292,984 | ||||||
ASB Bank Ltd. (New Zealand)†(c) | 3.75% | 6/14/2023 | 31,956 | 34,565,757 | ||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 27,007 | 27,517,498 | ||||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(c) | 4.40% | 5/19/2026 | 3,700 | 4,255,961 | ||||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(c) | 4.50% | 3/19/2024 | 11,744 | 12,952,863 | ||||||||
Banco de Credito del Peru (Peru)†(c) | 2.70% | 1/11/2025 | 17,047 | 17,664,954 | ||||||||
Bancolombia SA (Colombia)(c) | 3.00% | 1/29/2025 | 24,254 | 25,040,800 | ||||||||
Bank of America Corp. | 0.81% (SOFR + .74% | )# | 10/24/2024 | 67,344 | 67,635,825 | |||||||
Bank of America Corp. | 0.981% (SOFR + .91% | )# | 9/25/2025 | 60,020 | 60,406,430 | |||||||
Bank of America Corp. | 1.197% (SOFR + 1.01% | )# | 10/24/2026 | 91,419 | 92,076,891 | |||||||
Bank of America Corp. | 1.319% (SOFR + 1.15% | )# | 6/19/2026 | 81,429 | 82,488,699 | |||||||
Bank of America Corp. | 1.389% (3 Mo. LIBOR + 1.18% | )# | 10/21/2022 | 9,363 | 9,448,890 | |||||||
Bank of America Corp. | 2.015% (3 Mo. LIBOR + .64% | )# | 2/13/2026 | 17,788 | 18,570,041 | |||||||
Bank of America Corp. | 2.456% (3 Mo. LIBOR + .87% | )# | 10/22/2025 | 86,319 | 91,661,442 | |||||||
Bank of America Corp. | 3.093% (3 Mo. LIBOR + 1.09% | )# | 10/1/2025 | 45,566 | 49,289,721 | |||||||
Bank of America Corp. | 3.366% (3 Mo. LIBOR + .81% | )# | 1/23/2026 | 86,607 | 95,024,645 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 85,252 | 95,663,879 | ||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 27,998 | 31,343,237 | ||||||||
Bank of America Corp. | 4.20% | 8/26/2024 | 72,450 | 81,100,205 | ||||||||
Bank of Ireland Group plc (Ireland)†(c) | 4.50% | 11/25/2023 | 35,213 | 38,372,170 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 44,600 | 51,166,821 | ||||||||
Barclays Bank plc (United Kingdom)(c) | 0.684% (3 Mo. LIBOR + .46% | )# | 1/11/2021 | 5,000 | 5,000,595 | |||||||
Barclays Bank plc (United Kingdom)(c) | 1.70% | 5/12/2022 | 32,243 | 32,821,308 | ||||||||
Barclays Bank plc (United Kingdom)†(c) | 10.179% | 6/12/2021 | 86,748 | 90,901,123 | ||||||||
BBVA Bancomer SA† | 4.375% | 4/10/2024 | 48,630 | 53,031,015 | ||||||||
BBVA Bancomer SA† | 6.50% | 3/10/2021 | 33,096 | 33,644,732 | ||||||||
BBVA Bancomer SA† | 6.75% | 9/30/2022 | 47,751 | 51,726,271 | ||||||||
BBVA USA | 0.98% (3 Mo. LIBOR + .73% | )# | 6/11/2021 | 4,225 | 4,237,270 | |||||||
BBVA USA | 2.50% | 8/27/2024 | 22,500 | 23,928,114 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(c) | 0.95% | 6/23/2023 | 63,828 | 64,650,940 |
318 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Capital One NA | 1.364% (3 Mo. LIBOR + 1.15% | )# | 1/30/2023 | $ | 4,797 | $ | 4,833,553 | |||||
CIT Group, Inc. | 3.929% (SOFR + 3.83% | )# | 6/19/2024 | 21,437 | 22,644,975 | |||||||
CIT Group, Inc. | 4.125% | 3/9/2021 | 18,974 | 19,115,831 | ||||||||
CIT Group, Inc. | 4.75% | 2/16/2024 | 27,174 | 29,594,252 | ||||||||
CIT Group, Inc. | 5.00% | 8/15/2022 | 10,010 | 10,662,552 | ||||||||
CIT Group, Inc. | 5.00% | 8/1/2023 | 24,755 | 26,936,534 | ||||||||
Citigroup, Inc. | 0.907% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 66,031 | 66,523,015 | |||||||
Citigroup, Inc. | 1.165% (3 Mo. LIBOR + .95% | )# | 7/24/2023 | 6,500 | 6,557,118 | |||||||
Citigroup, Inc. | 1.175% (3 Mo. LIBOR + .96% | )# | 4/25/2022 | 37,124 | 37,483,715 | |||||||
Citigroup, Inc. | 1.678% (SOFR + 1.67% | )# | 5/15/2024 | 49,816 | 51,226,329 | |||||||
Citigroup, Inc. | 2.876% (3 Mo. LIBOR + .95% | )# | 7/24/2023 | 70,824 | 73,565,175 | |||||||
Citigroup, Inc. | 3.106% (SOFR + 2.75% | )# | 4/8/2026 | 241,339 | 262,767,794 | |||||||
Citigroup, Inc. | 3.142% (3 Mo. LIBOR + .72% | )# | 1/24/2023 | 51,336 | 52,885,344 | |||||||
Citigroup, Inc. | 3.352% (3 Mo. LIBOR + .90% | )# | 4/24/2025 | 67,406 | 73,094,270 | |||||||
Citigroup, Inc. | 3.70% | 1/12/2026 | 17,150 | 19,436,752 | ||||||||
Citigroup, Inc. | 4.05% | 7/30/2022 | 30,682 | 32,495,513 | ||||||||
Citigroup, Inc. | 4.40% | 6/10/2025 | 135,786 | 155,602,799 | ||||||||
Citigroup, Inc. | 5.50% | 9/13/2025 | 30,185 | 36,371,495 | ||||||||
Citizens Bank NA/Providence RI | 0.941% (3 Mo. LIBOR + .72% | )# | 2/14/2022 | 14,985 | 15,056,437 | |||||||
Citizens Bank NA/Providence RI | 1.043% (3 Mo. LIBOR + .81% | )# | 5/26/2022 | 16,325 | 16,451,179 | |||||||
Citizens Bank NA/Providence RI | 1.168% (3 Mo. LIBOR + .95% | )# | 3/29/2023 | 22,245 | 22,534,563 | |||||||
Commonwealth Bank of Australia (Australia)†(c) | 4.50% | 12/9/2025 | 25,152 | 28,818,110 | ||||||||
Credit Suisse Group AG (Switzerland)†(c) | 2.193% (SOFR + 2.04% | )# | 6/5/2026 | 42,530 | 44,394,023 | |||||||
Credit Suisse Group Funding Guernsey Ltd. (Guernsey)(c) | 3.80% | 9/15/2022 | 21,574 | 22,831,781 | ||||||||
Danske Bank A/S (Denmark)†(c) | 1.171% (1 Yr Treasury CMT + 1.03% | )# | 12/8/2023 | 63,445 | 63,716,808 | |||||||
Danske Bank A/S (Denmark)†(c) | 1.226% | 6/22/2024 | 51,642 | 52,375,366 | ||||||||
Danske Bank A/S (Denmark)†(c) | 1.621% (1 Yr Treasury CMT + 1.35% | )# | 9/11/2026 | 46,515 | 46,688,937 |
See Notes to Financial Statements. | 319 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Danske Bank A/S (Denmark)†(c) | 3.001% (3 Mo. LIBOR + 1.25% | )# | 9/20/2022 | $ | 33,730 | $ | 34,314,637 | |||||
Danske Bank A/S (Denmark)†(c) | 3.244% (3 Mo. LIBOR + 1.59% | )# | 12/20/2025 | 59,582 | 63,732,293 | |||||||
Danske Bank A/S (Denmark)†(c) | 5.00% | 1/12/2022 | 58,835 | 61,607,933 | ||||||||
Danske Bank A/S (Denmark)†(c) | 5.00% (1 Yr Treasury CMT + 1.73% | )# | 1/12/2023 | 11,928 | 12,430,356 | |||||||
Danske Bank A/S (Denmark)†(c) | 5.375% | 1/12/2024 | 61,601 | 69,481,171 | ||||||||
Discover Bank | 2.45% | 9/12/2024 | 7,940 | 8,395,737 | ||||||||
Discover Bank | 3.35% | 2/6/2023 | 26,689 | 28,240,310 | ||||||||
FNB Corp. | 2.20% | 2/24/2023 | 30,163 | 30,581,842 | ||||||||
Goldman Sachs Group, Inc. (The) | 0.963% (3 Mo. LIBOR + .75% | )# | 2/23/2023 | 47,482 | 47,877,743 | |||||||
Goldman Sachs Group, Inc. (The) | 0.994% (3 Mo. LIBOR + .78% | )# | 10/31/2022 | 121,099 | 121,607,570 | |||||||
Goldman Sachs Group, Inc. (The) | 1.215% (3 Mo. LIBOR + 1.00% | )# | 7/24/2023 | 45,407 | 45,820,756 | |||||||
Goldman Sachs Group, Inc. (The) | 1.325% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 63,979 | 64,197,547 | |||||||
Goldman Sachs Group, Inc. (The) | 1.824% (3 Mo. LIBOR + 1.60% | )# | 11/29/2023 | 16,108 | 16,655,635 | |||||||
Goldman Sachs Group, Inc. (The) | 3.272% (3 Mo. LIBOR + 1.20% | )# | 9/29/2025 | 61,704 | 67,300,616 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 1/23/2025 | 19,528 | 21,473,852 | ||||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 4/1/2025 | 122,436 | 135,775,958 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.25% | 10/21/2025 | 31,229 | 35,879,837 | ||||||||
HBOS Capital Funding No. 1 LP (Jersey)(c) | 6.85% | – | (d) | 43,576 | 43,780,371 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 4.25% | 3/14/2024 | 29,000 | 31,813,878 | ||||||||
ING Bank NV (Netherlands)†(c) | 5.80% | 9/25/2023 | 17,570 | 19,898,280 | ||||||||
ING Groep NV (Netherlands)(c) | 1.368% (3 Mo. LIBOR + 1.15% | )# | 3/29/2022 | 4,050 | 4,094,728 | |||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.017% | 6/26/2024 | 18,140 | 19,807,535 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 6.50% | 2/24/2021 | 77,183 | 78,144,577 | ||||||||
Itau Unibanco Holding SA† | 2.90% | 1/24/2023 | 41,840 | 42,634,960 | ||||||||
JPMorgan Chase & Co. | 2.005% (SOFR + 1.59% | )# | 3/13/2026 | 14,700 | 15,397,030 | |||||||
JPMorgan Chase & Co. | 3.875% | 9/10/2024 | 62,409 | 69,571,115 | ||||||||
Lloyds Banking Group plc (United Kingdom)(c) | 1.326% (1 Yr Treasury CMT + 1.10% | )# | 6/15/2023 | 15,825 | 15,994,607 | |||||||
M&T Bank Corp. | 0.895% (3 Mo. LIBOR + .68% | )# | 7/26/2023 | 9,150 | 9,221,794 |
320 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Macquarie Bank Ltd. (Australia)†(c) | 4.875% | 6/10/2025 | $ | 14,334 | $ | 16,187,138 | ||||||
Macquarie Bank Ltd. (Australia)†(c) | 6.625% | 4/7/2021 | 24,042 | 24,543,922 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 3.189% (3 Mo. LIBOR + 1.02% | )# | 11/28/2023 | 39,442 | 41,254,360 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 4.15% (3 Mo. LIBOR + 1.33% | )# | 3/27/2024 | 45,822 | 49,194,369 | |||||||
Manufacturers & Traders Trust Co. | 0.865% (3 Mo. LIBOR + .64% | )# | 12/1/2021 | 15,000 | 15,021,665 | |||||||
Manufacturers & Traders Trust Co. | 1.362% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 12,384 | 12,390,879 | |||||||
Morgan Stanley | 1.398% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 47,070 | 47,139,408 | |||||||
Morgan Stanley | 1.615% (3 Mo. LIBOR + 1.40% | )# | 10/24/2023 | 56,564 | 57,681,705 | |||||||
Morgan Stanley | 2.72% (SOFR + 1.15% | )# | 7/22/2025 | 26,393 | 28,242,062 | |||||||
Morgan Stanley | 4.10% | 5/22/2023 | 47,205 | 51,145,138 | ||||||||
Morgan Stanley | 5.00% | 11/24/2025 | 26,968 | 32,176,614 | ||||||||
Natwest Group plc (United Kingdom)(c) | 6.125% | 12/15/2022 | 62,119 | 68,284,300 | ||||||||
Nordea Bank Abp (Finland)†(c) | 3.75% | 8/30/2023 | 42,252 | 45,731,819 | ||||||||
Nordea Bank Abp (Finland)†(c) | 4.25% | 9/21/2022 | 18,035 | 19,180,852 | ||||||||
Nordea Bank Abp (Finland)†(c) | 4.875% | 5/13/2021 | 62,259 | 63,498,692 | ||||||||
People’s United Bank NA | 4.00% | 7/15/2024 | 5,725 | 6,175,998 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 13,517 | 14,613,837 | ||||||||
Santander Holdings USA, Inc. | 3.50% | 6/7/2024 | 9,000 | 9,721,566 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(c) | 3.373% (3 Mo. LIBOR + 1.08% | )# | 1/5/2024 | 19,792 | 20,828,386 | |||||||
Standard Chartered plc (United Kingdom)†(c) | 1.319% (1 Yr Treasury CMT + 1.17% | )# | 10/14/2023 | 24,696 | 24,962,223 | |||||||
Standard Chartered plc (United Kingdom)†(c) | 4.247% (3 Mo. LIBOR + 1.15% | )# | 1/20/2023 | 41,630 | 43,282,482 | |||||||
SunTrust Bank/Atlanta GA | 0.804% (3 Mo. LIBOR + .59% | )# | 8/2/2022 | 4,925 | 4,940,300 | |||||||
SVB Financial Group | 3.50% | 1/29/2025 | 6,020 | 6,508,194 | ||||||||
Swedbank AB (Sweden)†(c) | 0.949% (3 Mo. LIBOR + .70% | )# | 3/14/2022 | 1,300 | 1,309,253 | |||||||
Swedbank AB (Sweden)†(c) | 1.30% | 6/2/2023 | 63,916 | 65,188,056 | ||||||||
Swedbank AB (Sweden)†(c) | 2.80% | 3/14/2022 | 30,591 | 31,556,050 | ||||||||
Synovus Bank/Columbus G | 2.289% (SOFR + .95% | )# | 2/10/2023 | 24,638 | 24,954,175 | |||||||
Synovus Financial Corp. | 3.125% | 11/1/2022 | 1,985 | 2,052,081 |
See Notes to Financial Statements. | 321 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Truist Bank | 0.812% (3 Mo. LIBOR + .59% | )# | 5/17/2022 | $ | 263 | $ | 264,666 | |||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.25% | 2/5/2025 | 37,703 | 36,524,216 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.625% | 5/30/2022 | 34,279 | 34,373,267 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.75% | 1/30/2023 | 17,943 | 17,973,055 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 140,626 | 156,608,648 | ||||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 48,752 | 53,810,020 | ||||||||
UBS AG (United Kingdom)†(c) | 1.75% | 4/21/2022 | 28,736 | 29,269,950 | ||||||||
UBS Group AG (Switzerland)†(c) | 1.008% (1 Yr Treasury CMT + .83% | )# | 7/30/2024 | 41,646 | 41,972,027 | |||||||
UBS Group AG (Switzerland)†(c) | 1.433% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 83,348 | 84,372,257 | |||||||
UBS Group Funding Switzerland AG (Switzerland)†(c) | 2.859% (3 Mo. LIBOR + .95% | )# | 8/15/2023 | 10,282 | 10,673,769 | |||||||
Wells Fargo & Co. | 1.144% (3 Mo. LIBOR + .93% | )# | 2/11/2022 | 8,742 | 8,755,235 | |||||||
Wells Fargo & Co. | 1.325% (3 Mo. LIBOR + 1.11% | )# | 1/24/2023 | 37,449 | 37,777,784 | |||||||
Wells Fargo & Co. | 1.444% (3 Mo. LIBOR + 1.23% | )# | 10/31/2023 | 38,483 | 39,098,078 | |||||||
Wells Fargo & Co. | 2.164% (3 Mo. LIBOR + .75% | )# | 2/11/2026 | 308,045 | 322,702,283 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | 141,197 | 147,952,816 | |||||||
Wells Fargo & Co. | 2.406% (3 Mo. LIBOR + .83% | )# | 10/30/2025 | 100,029 | 105,390,702 | |||||||
Wells Fargo & Co. | 2.625% | 7/22/2022 | 58,003 | 60,109,739 | ||||||||
Wells Fargo & Co. | 3.00% | 2/19/2025 | 24,662 | 26,745,233 | ||||||||
Wells Fargo & Co. | 3.55% | 9/29/2025 | 12,947 | 14,465,540 | ||||||||
Wells Fargo & Co. | 3.75% | 1/24/2024 | 8,720 | 9,477,310 | ||||||||
Zions Bancorp N.A. | 3.35% | 3/4/2022 | 36,198 | 37,335,420 | ||||||||
Total | 6,215,220,476 | |||||||||||
Beverages 0.04% | ||||||||||||
Bacardi Ltd.† | 4.45% | 5/15/2025 | 2,400 | 2,677,675 | ||||||||
Keurig Dr Pepper, Inc. | 2.70% | 11/15/2022 | 775 | 804,055 | ||||||||
Pernod Ricard SA (France)†(c) | 4.25% | 7/15/2022 | 4,722 | 4,996,437 | ||||||||
Suntory Holdings Ltd. (Japan)†(c) | 2.25% | 10/16/2024 | 13,900 | 14,527,686 | ||||||||
Total | 23,005,853 |
322 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Biotechnology Research & Production 0.33% | ||||||||||||
Gilead Sciences, Inc. | 0.75% | 9/29/2023 | $ | 42,450 | $ | 42,586,087 | ||||||
Royalty Pharma plc† | 1.20% | 9/2/2025 | 141,787 | 143,140,863 | ||||||||
Total | 185,726,950 | |||||||||||
Building Materials 0.51% | ||||||||||||
American Woodmark Corp.† | 4.875% | 3/15/2026 | 18,613 | 19,098,055 | ||||||||
BMC East LLC† | 5.50% | 10/1/2024 | 10,505 | 10,829,342 | ||||||||
Boral Finance Pty Ltd. (Australia)†(c) | 3.00% | 11/1/2022 | 15,785 | 16,163,334 | ||||||||
Carrier Global Corp.† | 2.242% | 2/15/2025 | 118,288 | 124,318,905 | ||||||||
Owens Corning | 4.20% | 12/1/2024 | 57,739 | 64,203,624 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.125% | 6/1/2025 | 16,666 | 16,976,738 | ||||||||
Vulcan Materials Co. | 0.875% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 31,712 | 31,714,881 | |||||||
Total | 283,304,879 | |||||||||||
Business Services 0.40% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(c) | 3.375% | 7/24/2024 | 30,800 | 31,865,447 | ||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(c) | 3.95% | 1/19/2022 | 4,495 | 4,602,540 | ||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 8,118 | 8,670,186 | ||||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 48,307 | 51,753,914 | ||||||||
IHS Markit Ltd. (United Kingdom)†(c) | 4.00% | 3/1/2026 | 4,166 | 4,774,174 | ||||||||
IHS Markit Ltd. (United Kingdom)(c) | 4.125% | 8/1/2023 | 30,011 | 32,732,848 | ||||||||
IHS Markit Ltd. (United Kingdom)†(c) | 4.75% | 2/15/2025 | 12,320 | 14,165,166 | ||||||||
IHS Markit Ltd. (United Kingdom)†(c) | 5.00% | 11/1/2022 | 18,588 | 19,969,440 | ||||||||
Laureate Education, Inc.† | 8.25% | 5/1/2025 | 8,414 | 8,934,616 | ||||||||
Nielsen Co. Luxembourg SARL (The) (Luxembourg)†(c) | 5.00% | 2/1/2025 | 3,930 | 4,050,356 | ||||||||
Nielsen Finance LLC/Nielsen Finance Co.† | 5.00% | 4/15/2022 | 41,418 | 41,459,418 | ||||||||
Total | 222,978,105 | |||||||||||
Chemicals 0.78% | ||||||||||||
Albemarle Corp. | 1.271% (3 Mo. LIBOR + 1.05% | )# | 11/15/2022 | 8,284 | 8,284,607 | |||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | 3,391 | 3,492,730 | ||||||||
Blue Cube Spinco LLC | 10.00% | 10/15/2025 | 30,906 | 32,683,095 | ||||||||
Celanese US Holdings LLC | 4.625% | 11/15/2022 | 13,901 | 14,966,237 | ||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 48,400 | 49,698,853 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 3.50% | 7/19/2022 | 20,000 | 20,168,410 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 4.125% | 3/14/2021 | 19,975 | 20,068,183 | ||||||||
Dow Chemical Co. (The) | 4.55% | 11/30/2025 | 3,920 | 4,583,829 |
See Notes to Financial Statements. | 323 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
DuPont de Nemours, Inc. | 4.205% | 11/15/2023 | $ | 30,792 | $ | 33,922,669 | ||||||
Equate Petrochemical BV (Netherlands)†(c) | 3.00% | 3/3/2022 | 11,400 | 11,625,720 | ||||||||
Mosaic Co. (The) | 3.25% | 11/15/2022 | 7,556 | 7,901,882 | ||||||||
Mosaic Co. (The) | 3.75% | 11/15/2021 | 9,000 | 9,193,476 | ||||||||
Mosaic Co. (The) | 4.25% | 11/15/2023 | 6,400 | 6,978,519 | ||||||||
Nutrien Ltd. (Canada)(c) | 3.00% | 4/1/2025 | 11,625 | 12,574,560 | ||||||||
Nutrition & Biosciences, Inc.† | 1.23% | 10/1/2025 | 160,165 | 162,262,013 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 3.933% | 4/23/2021 | 29,437 | 29,738,912 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 4.441% | 4/24/2023 | 9,425 | 9,950,406 | ||||||||
Total | 438,094,101 | |||||||||||
Computer Hardware 0.91% | ||||||||||||
Dell International LLC/EMC Corp.† | 4.00% | 7/15/2024 | 6,100 | 6,713,815 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 228,593 | 253,002,533 | ||||||||
Dell International LLC/EMC Corp.† | 5.85% | 7/15/2025 | 34,862 | 41,534,069 | ||||||||
Dell International LLC/EMC Corp.† | 5.875% | 6/15/2021 | 16,287 | 16,339,933 | ||||||||
Hewlett Packard Enterprise Co. | 0.929% (3 Mo. LIBOR + .68% | )# | 3/12/2021 | 43,058 | 43,114,678 | |||||||
Hewlett Packard Enterprise Co. | 0.954% (3 Mo. LIBOR + .72% | )# | 10/5/2021 | 80,295 | 80,312,238 | |||||||
Hewlett Packard Enterprise Co. | 4.45% | 10/2/2023 | 12,800 | 14,114,926 | ||||||||
Leidos, Inc.† | 2.95% | 5/15/2023 | 50,892 | 53,383,672 | ||||||||
Total | 508,515,864 | |||||||||||
Computer Software 0.18% | ||||||||||||
BY Crown Parent LLC† | 7.375% | 10/15/2024 | 16,607 | 16,973,932 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 81,960 | 85,340,850 | ||||||||
Total | 102,314,782 | |||||||||||
Construction/Homebuilding 0.35% | ||||||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 8,835 | 9,248,478 | ||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 53,439 | 57,566,126 | ||||||||
D.R. Horton, Inc. | 4.375% | 9/15/2022 | 9,273 | 9,824,087 | ||||||||
D.R. Horton, Inc. | 4.75% | 2/15/2023 | 4,048 | 4,369,821 | ||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 26,036 | 29,228,325 | ||||||||
Forestar Group, Inc.† | 8.00% | 4/15/2024 | 5,847 | 6,182,589 | ||||||||
Lennar Corp. | 4.50% | 4/30/2024 | 33,765 | 37,369,245 | ||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 17,175 | 19,724,629 | ||||||||
Lennar Corp. | 4.875% | 12/15/2023 | 6,062 | 6,703,056 | ||||||||
M/I Homes, Inc. | 5.625% | 8/1/2025 | 13,625 | 14,219,663 | ||||||||
Total | 194,436,019 |
324 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Containers 0.00% | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer† | 5.125% | 7/15/2023 | $ | 1,584 | $ | 1,604,085 | ||||||
Diversified 0.05% | ||||||||||||
Hutchison Whampoa International 14 Ltd. (Hong Kong)†(c) | 3.625% | 10/31/2024 | 14,312 | 15,705,900 | ||||||||
KOC Holding AS (Turkey)†(c) | 5.25% | 3/15/2023 | 14,301 | 14,687,055 | ||||||||
Total | 30,392,955 | |||||||||||
Drugs 2.24% | ||||||||||||
AbbVie, Inc. | 0.691% (3 Mo. LIBOR + .46% | )# | 11/19/2021 | 13,605 | 13,636,755 | |||||||
AbbVie, Inc. | 2.30% | 11/21/2022 | 11,924 | 12,348,677 | ||||||||
AbbVie, Inc. | 2.60% | 11/21/2024 | 86,996 | 93,032,167 | ||||||||
AbbVie, Inc. | 3.60% | 5/14/2025 | 33,539 | 37,347,193 | ||||||||
AbbVie, Inc. | 3.80% | 3/15/2025 | 22,426 | 25,078,170 | ||||||||
Bausch Health Cos., Inc.† | 5.50% | 3/1/2023 | 12,716 | 12,728,716 | ||||||||
Bausch Health Cos., Inc.† | 5.50% | 11/1/2025 | 34,978 | 36,065,816 | ||||||||
Bausch Health Cos., Inc.† | 6.125% | 4/15/2025 | 48,563 | 50,014,548 | ||||||||
Bausch Health Cos., Inc.† | 7.00% | 3/15/2024 | 94,212 | 97,250,337 | ||||||||
Bayer US Finance II LLC† | 0.855% (3 Mo. LIBOR + .63% | )# | 6/25/2021 | 90,598 | 90,810,370 | |||||||
Bayer US Finance II LLC† | 1.26% (3 Mo. LIBOR + 1.01% | )# | 12/15/2023 | 126,102 | 127,221,299 | |||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 152,340 | 166,580,058 | ||||||||
Bayer US Finance II LLC† | 4.25% | 12/15/2025 | 92,958 | 106,508,144 | ||||||||
Bayer US Finance LLC† | 3.375% | 10/8/2024 | 23,425 | 25,539,365 | ||||||||
Becton Dickinson & Co. | 1.28% (3 Mo. LIBOR + 1.03% | )# | 6/6/2022 | 51,259 | 51,707,833 | |||||||
Cardinal Health, Inc. | 1.02% (3 Mo. LIBOR + .77% | )# | 6/15/2022 | 53,093 | 53,458,592 | |||||||
Cardinal Health, Inc. | 3.079% | 6/15/2024 | 55,888 | 60,126,523 | ||||||||
Cardinal Health, Inc. | 3.20% | 6/15/2022 | 6,000 | 6,241,120 | ||||||||
Cardinal Health, Inc. | 3.50% | 11/15/2024 | 37,187 | 40,824,467 | ||||||||
Cigna Corp. | 0.896% (3 Mo. LIBOR + .65% | )# | 9/17/2021 | 40,701 | 40,711,435 | |||||||
Cigna Corp. | 1.127% (3 Mo. LIBOR + .89% | )# | 7/15/2023 | 43,246 | 43,764,506 | |||||||
Cigna Corp. | 3.25% | 4/15/2025 | 15,012 | 16,493,899 | ||||||||
Cigna Corp. | 4.125% | 11/15/2025 | 36,670 | 42,211,456 | ||||||||
Zoetis, Inc. | 0.664% (3 Mo. LIBOR + .44% | )# | 8/20/2021 | 1,425 | 1,428,341 | |||||||
Total | 1,251,129,787 |
See Notes to Financial Statements. | 325 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power 3.46% | ||||||||||||
AES Corp. (The) | 5.50% | 4/15/2025 | $ | 5,000 | $ | 5,162,875 | ||||||
Alexander Funding Trust†(e) | 1.841% | 11/15/2023 | 84,498 | 85,154,107 | ||||||||
American Electric Power Co., Inc. | 0.75% | 11/1/2023 | 12,604 | 12,624,360 | ||||||||
American Transmission Systems, Inc.† | 5.25% | 1/15/2022 | 9,000 | 9,412,546 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 3.85% | 5/1/2023 | 74,602 | 78,818,204 | ||||||||
Avangrid, Inc. | 3.15% | 12/1/2024 | 16,229 | 17,688,003 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 62,398 | 64,741,045 | ||||||||
CenterPoint Energy, Inc. | 3.85% | 2/1/2024 | 14,501 | 15,894,758 | ||||||||
Comision Federal de Electricidad (Mexico)†(c) | 4.875% | 5/26/2021 | 86,622 | 88,451,890 | ||||||||
Comision Federal de Electricidad (Mexico)†(c) | 4.875% | 1/15/2024 | 24,208 | 26,717,280 | ||||||||
Dominion Energy, Inc.† | 0.646% (3 Mo. LIBOR + .40% | )# | 12/1/2020 | 43,220 | 43,220,000 | |||||||
Dominion Energy, Inc. | 3.071% | 8/15/2024 | 63,713 | 68,964,486 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 57,101 | 57,792,908 | ||||||||
DTE Energy Co. | 2.529% | 10/1/2024 | 82,264 | 87,693,830 | ||||||||
DTE Energy Co. | 3.30% | 6/15/2022 | 1,010 | 1,053,194 | ||||||||
DTE Energy Co. | 3.50% | 6/1/2024 | 4,445 | 4,833,711 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 45,672 | 47,753,677 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 2.65% | 9/10/2024 | 49,598 | 52,745,340 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 2.75% | 4/6/2023 | 123,474 | 129,337,912 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 2.875% | 5/25/2022 | 90,277 | 93,302,468 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 4.25% | 9/14/2023 | 89,895 | 98,704,218 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 4.625% | 9/14/2025 | 36,880 | 43,059,103 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(c) | 5.75% | 1/26/2021 | 25,724 | 25,637,053 | ||||||||
Evergy, Inc. | 2.45% | 9/15/2024 | 18,403 | 19,518,406 | ||||||||
Exelon Generation Co. LLC | 3.25% | 6/1/2025 | 25,015 | 26,979,250 | ||||||||
FirstEnergy Corp. | 1.60% | 1/15/2026 | 18,065 | 17,593,554 | ||||||||
FirstEnergy Corp. | 2.05% | 3/1/2025 | 62,689 | 62,869,043 | ||||||||
FirstEnergy Corp. | 4.25% | 3/15/2023 | 73,224 | 77,310,279 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 44,168 | 48,218,267 | ||||||||
IPALCO Enterprises, Inc. | 3.70% | 9/1/2024 | 1,089 | 1,185,962 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 50,526 | 55,253,945 | ||||||||
NextEra Energy Capital Holdings, Inc. | 0.70% (3 Mo. LIBOR + .48% | )# | 5/4/2021 | 3,000 | 3,004,698 | |||||||
NextEra Energy Capital Holdings, Inc. | 0.927% (3 Mo. LIBOR + .72% | )# | 2/25/2022 | 8,025 | 8,080,493 | |||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 88,172 | 94,808,931 | ||||||||
Origin Energy Finance Ltd. (Australia)†(c) | 5.45% | 10/14/2021 | 18,162 | 18,862,959 | ||||||||
PPL Capital Funding, Inc. | 3.40% | 6/1/2023 | 13,785 | 14,680,829 |
326 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
PPL Capital Funding, Inc. | 3.95% | 3/15/2024 | $ | 21,203 | $ | 23,224,720 | ||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(c) | 5.375% | 5/1/2021 | 79,538 | 80,155,909 | ||||||||
PSEG Power LLC | 4.15% | 9/15/2021 | 1,165 | 1,187,919 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 19,449 | 20,722,678 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 40,885 | 42,511,669 | ||||||||
TransAlta Corp. (Canada)(c) | 4.50% | 11/15/2022 | 20,321 | 21,039,957 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 129,781 | 139,721,038 | ||||||||
Total | 1,935,693,474 | |||||||||||
Electrical Equipment 1.05% | ||||||||||||
Broadcom, Inc. | 3.15% | 11/15/2025 | 120,501 | 131,415,137 | ||||||||
Broadcom, Inc. | 3.625% | 10/15/2024 | 43,922 | 48,102,901 | ||||||||
Broadcom, Inc. | 4.70% | 4/15/2025 | 20,500 | 23,475,937 | ||||||||
Microchip Technology, Inc.† | 2.67% | 9/1/2023 | 126,492 | 132,681,164 | ||||||||
Microchip Technology, Inc. | 3.922% | 6/1/2021 | 33,729 | 34,284,459 | ||||||||
Micron Technology, Inc. | 2.497% | 4/24/2023 | 48,528 | 50,718,354 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 2.70% | 5/1/2025 | 43,930 | 47,227,106 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 3.875% | 9/1/2022 | 71,733 | 75,770,910 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 4.625% | 6/1/2023 | 33,515 | 36,732,551 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 4.875% | 3/1/2024 | 7,284 | 8,217,372 | ||||||||
Total | 588,625,891 | |||||||||||
Electronics 0.23% | ||||||||||||
Flex Ltd. | 3.75% | 2/1/2026 | 66,086 | 73,255,715 | ||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 12,901 | 13,191,272 | ||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 30,689 | 33,305,478 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 9,077 | 10,425,717 | ||||||||
Total | 130,178,182 | |||||||||||
Energy Equipment & Services 0.06% | ||||||||||||
Greenko Mauritius Ltd. (India)†(c) | 6.25% | 2/21/2023 | 30,255 | 31,528,427 | ||||||||
Engineering & Contracting Services 0.03% | ||||||||||||
TopBuild Corp.† | 5.625% | 5/1/2026 | 13,533 | 14,032,029 | ||||||||
Entertainment 0.15% | ||||||||||||
Boyne USA, Inc.† | 7.25% | 5/1/2025 | 3,205 | 3,390,185 | ||||||||
Caesars Entertainment, Inc.† | 6.25% | 7/1/2025 | 39,645 | 42,330,751 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.75% | 7/1/2025 | 10,883 | 11,535,980 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 22,566 | 25,330,335 | ||||||||
Total | 82,587,251 |
See Notes to Financial Statements. | 327 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services 2.50% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 1/15/2025 | $ | 22,804 | $ | 23,655,735 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.95% | 2/1/2022 | 43,329 | 44,480,247 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 4.875% | 1/16/2024 | 18,092 | 19,496,791 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 24,240 | 26,091,848 | ||||||||
Aircastle Ltd. | 4.125% | 5/1/2024 | 3,467 | 3,573,720 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 51,446 | 52,885,764 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 24,203 | 25,234,358 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 38,028 | 39,230,234 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 79,257 | 86,476,700 | ||||||||
Ally Financial, Inc. | 4.125% | 2/13/2022 | 10,000 | 10,421,308 | ||||||||
Ally Financial, Inc. | 4.25% | 4/15/2021 | 11,491 | 11,644,065 | ||||||||
Ally Financial, Inc. | 5.125% | 9/30/2024 | 91,164 | 104,647,206 | ||||||||
Ally Financial, Inc. | 5.75% | 11/20/2025 | 24,079 | 28,149,215 | ||||||||
American Express Co. | 0.883% (3 Mo. LIBOR + .65% | )# | 2/27/2023 | 8,000 | 8,066,928 | |||||||
Aviation Capital Group LLC† | 2.875% | 1/20/2022 | 9,372 | 9,532,364 | ||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 42,592 | 43,560,887 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 21,655 | 22,454,639 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.125% | 10/1/2023 | 61,037 | 64,288,433 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.25% | 5/15/2024 | 45,647 | 48,795,299 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.50% | 1/15/2023 | 7,782 | 8,121,897 | ||||||||
Capital One Financial Corp. | 0.934% (3 Mo. LIBOR + .72% | )# | 1/30/2023 | 23,896 | 24,016,973 | |||||||
Capital One Financial Corp. | 1.192% (3 Mo. LIBOR + .95% | )# | 3/9/2022 | 22,035 | 22,213,455 | |||||||
Capital One Financial Corp. | 2.60% | 5/11/2023 | 52,849 | 55,435,257 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 35,645 | 37,841,385 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 41,415 | 36,398,518 | ||||||||
Intercontinental Exchange, Inc. | 0.70% | 6/15/2023 | 25,258 | 25,565,882 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 52,897 | 58,356,234 | ||||||||
Jefferies Group LLC | 5.125% | 1/20/2023 | 30,550 | 33,365,720 | ||||||||
Muthoot Finance Ltd. (India)†(c) | 4.40% | 9/2/2023 | 24,876 | 25,236,204 | ||||||||
Muthoot Finance Ltd. (India)†(c) | 6.125% | 10/31/2022 | 25,282 | 26,441,180 | ||||||||
Navient Corp. | 5.50% | 1/25/2023 | 25,421 | 26,453,728 | ||||||||
Navient Corp. | 5.875% | 10/25/2024 | 56,448 | 59,383,296 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 30,051 | 31,866,832 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 1,425 | 1,463,297 | ||||||||
328 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Navient Corp. | 7.25% | 9/25/2023 | $ | 3,000 | $ | 3,275,625 | ||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 625 | 705,534 | ||||||||
OneMain Finance Corp. | 6.125% | 5/15/2022 | 3,521 | 3,723,457 | ||||||||
OneMain Finance Corp. | 7.75% | 10/1/2021 | 29,913 | 31,401,920 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 3.625% | 3/15/2021 | 11,530 | 11,552,877 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 4.50% | 3/15/2023 | 54,138 | 56,428,623 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 5.25% | 8/15/2022 | 23,251 | 24,324,443 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 5.50% | 2/15/2024 | 113,275 | 121,001,292 | ||||||||
Total | 1,397,259,370 | |||||||||||
Food 0.27% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./Albertsons LP/Albertsons LLC | 5.75% | 3/15/2025 | 15,966 | 16,525,129 | ||||||||
Campbell Soup Co. | 0.88% (3 Mo. LIBOR + .63% | )# | 3/15/2021 | 15,924 | 15,945,194 | |||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 14,653 | 14,808,835 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.75% | 6/15/2025 | 22,076 | 22,821,065 | ||||||||
MARB BondCo plc (United Kingdom)†(c) | 6.875% | 1/19/2025 | 9,060 | 9,435,990 | ||||||||
MARB BondCo plc (United Kingdom)†(c) | 7.00% | 3/15/2024 | 6,241 | 6,429,853 | ||||||||
MARB BondCo plc (United Kingdom)(c) | 7.00% | 3/15/2024 | 2,500 | 2,575,650 | ||||||||
Simmons Foods, Inc.† | 7.75% | 1/15/2024 | 6,709 | 7,035,359 | ||||||||
Sysco Corp. | 5.65% | 4/1/2025 | 47,985 | 57,241,559 | ||||||||
Total | 152,818,634 | |||||||||||
Health Care Products 0.22% | ||||||||||||
Fresenius US Finance II, Inc.† | 4.25% | 2/1/2021 | 30,922 | 31,099,438 | ||||||||
Zimmer Biomet Holdings, Inc. | 0.977% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 10,820 | 10,822,193 | |||||||
Zimmer Biomet Holdings, Inc. | 3.55% | 4/1/2025 | 74,787 | 82,423,123 | ||||||||
Total | 124,344,754 | |||||||||||
Health Care Services 1.37% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 61,300 | 61,836,375 | ||||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 4,643 | 4,775,999 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 12,959 | 13,639,347 | ||||||||
CommonSpirit Health | 1.547% | 10/1/2025 | 16,781 | 17,049,433 | ||||||||
CommonSpirit Health | 2.76% | 10/1/2024 | 32,146 | 34,077,276 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 14,746 | 16,373,088 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 35,710 | 37,735,695 | ||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 21,743 | 21,962,213 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 36,659 | 41,243,536 | ||||||||
See Notes to Financial Statements. | 329 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
HCA, Inc. | 5.25% | 4/15/2025 | $ | 194,034 | $ | 226,493,447 | ||||||
HCA, Inc. | 5.25% | 6/15/2026 | 80,446 | 95,031,260 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 24,106 | 28,324,550 | ||||||||
Health Care Service Corp. A Mutual Legal Reserve Co.† | 1.50% | 6/1/2025 | 46,570 | 47,799,150 | ||||||||
Humana, Inc. | 4.50% | 4/1/2025 | 66,580 | 76,649,703 | ||||||||
MEDNAX, Inc.† | 5.25% | 12/1/2023 | 19,775 | 20,009,433 | ||||||||
Molina Healthcare, Inc. | 5.375% | 11/15/2022 | 2,100 | 2,208,937 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 20,665 | 22,091,711 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 1,000 | 1,041,060 | ||||||||
Total | 768,342,213 | |||||||||||
Household Equipment/Products 0.36% | ||||||||||||
Newell Brands, Inc. | 4.35% | 4/1/2023 | 56,736 | 59,782,723 | ||||||||
Newell Brands, Inc. | 4.875% | 6/1/2025 | 10,464 | 11,575,800 | ||||||||
Reckitt Benckiser Treasury Services plc (United Kingdom)†(c) | 0.783% (3 Mo. LIBOR + .56% | )# | 6/24/2022 | 130,359 | 130,941,536 | |||||||
Total | 202,300,059 | |||||||||||
Household Furnishings 0.00% | ||||||||||||
Leggett & Platt, Inc. | 3.40% | 8/15/2022 | 1,397 | 1,445,035 | ||||||||
Insurance 0.73% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 8.125% | 2/15/2024 | 12,733 | 13,398,236 | ||||||||
Allstate Corp. (The) | 0.848% (3 Mo. LIBOR + .63% | )# | 3/29/2023 | 7,788 | 7,855,142 | |||||||
Assurant, Inc. | 1.483% (3 Mo. LIBOR + 1.25% | )# | 3/26/2021 | 133 | 133,000 | |||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 27,456 | 29,824,385 | ||||||||
Brown & Brown, Inc. | 4.20% | 9/15/2024 | 1,967 | 2,196,198 | ||||||||
CNA Financial Corp. | 7.25% | 11/15/2023 | 3,990 | 4,726,484 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 91,007 | 104,539,261 | ||||||||
Equitable Financial Life Global Funding† | 1.40% | 7/7/2025 | 12,739 | 13,060,999 | ||||||||
Equitable Holdings, Inc. | 3.90% | 4/20/2023 | 13,685 | 14,774,007 | ||||||||
Fidelity & Guaranty Life Holdings, Inc.† | 5.50% | 5/1/2025 | 50,068 | 57,996,768 | ||||||||
Fidelity National Financial, Inc. | 5.50% | 9/1/2022 | 1,135 | 1,226,569 | ||||||||
Jackson National Life Global Funding† | 0.963% (3 Mo. LIBOR + .73% | )# | 6/27/2022 | 10,000 | 10,085,045 | |||||||
Kemper Corp. | 4.35% | 2/15/2025 | 25,244 | 27,534,547 | ||||||||
Metropolitan Life Global Funding I† | 0.90% | 6/8/2023 | 29,697 | 30,098,052 | ||||||||
330 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Old Republic International Corp. | 4.875% | 10/1/2024 | $ | 2,545 | $ | 2,920,736 | ||||||
Pacific Life Global Funding II† | 1.20% | 6/24/2025 | 17,020 | 17,288,294 | ||||||||
Peachtree Corners Funding Trust† | 3.976% | 2/15/2025 | 21,990 | 24,377,919 | ||||||||
Protective Life Global Funding† | 1.082% | 6/9/2023 | 14,668 | 14,918,036 | ||||||||
Protective Life Global Funding† | 1.17% | 7/15/2025 | 30,069 | 30,464,155 | ||||||||
Unum Group | 4.00% | 3/15/2024 | 1,161 | 1,260,497 | ||||||||
Total | 408,678,330 | |||||||||||
Leasing 0.25% | ||||||||||||
GATX Corp. | 0.945% (3 Mo. LIBOR + .72% | )# | 11/5/2021 | 1,100 | 1,101,933 | |||||||
GATX Corp. | 4.35% | 2/15/2024 | 17,558 | 19,344,884 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 2.70% | 11/1/2024 | 47,611 | 50,746,279 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.375% | 2/1/2022 | 5,000 | 5,146,679 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 52,219 | 56,909,423 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 8,113 | 8,869,462 | ||||||||
Total | 142,118,660 | |||||||||||
Leisure 0.39% | ||||||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 126,132 | 143,816,337 | ||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 53,346 | 50,945,430 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 21,186 | 24,920,033 | ||||||||
Total | 219,681,800 | |||||||||||
Lodging 0.54% | ||||||||||||
Las Vegas Sands Corp. | 2.90% | 6/25/2025 | 81,598 | 83,867,004 | ||||||||
Las Vegas Sands Corp. | 3.20% | 8/8/2024 | 158,640 | 165,892,245 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 3,334 | 3,507,048 | ||||||||
MGM Resorts International | 6.00% | 3/15/2023 | 6,413 | 6,868,515 | ||||||||
MGM Resorts International | 6.75% | 5/1/2025 | 6,359 | 6,841,966 | ||||||||
Wyndham Destinations, Inc. | 5.625% | 3/1/2021 | 11,538 | 11,695,205 | ||||||||
Wyndham Destinations, Inc. | 6.60% | 10/1/2025 | 5,086 | 5,727,574 | ||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.† | 4.25% | 5/30/2023 | 5,964 | 6,005,003 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 8,477 | 8,662,434 | ||||||||
Total | 299,066,994 | |||||||||||
Machinery: Agricultural 0.99% | ||||||||||||
BAT Capital Corp. | 1.101% (3 Mo. LIBOR + .88% | )# | 8/15/2022 | 14,572 | 14,688,051 | |||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 27,303 | 29,185,334 | ||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 190,118 | 205,801,541 | ||||||||
See Notes to Financial Statements. | 331 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural (continued) | ||||||||||||
BAT International Finance plc (United Kingdom)(c) | 1.668% | 3/25/2026 | $ | 42,871 | $ | 43,690,906 | ||||||
BAT International Finance plc (United Kingdom)†(c) | 3.95% | 6/15/2025 | 19,595 | 22,058,647 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(c) | 3.125% | 7/26/2024 | 150,198 | 160,433,606 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(c) | 3.75% | 7/21/2022 | 12,867 | 13,396,496 | ||||||||
Imperial Tobacco Finance plc (United Kingdom)†(c) | 3.50% | 2/11/2023 | 16,877 | 17,701,688 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 42,048 | 48,022,708 | ||||||||
Total | 554,978,977 | |||||||||||
Machinery: Industrial/Specialty 0.76% | ||||||||||||
CNH Industrial Capital LLC | 4.20% | 1/15/2024 | 64,967 | 70,836,928 | ||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 49,678 | 52,098,826 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 46,027 | 46,628,831 | ||||||||
CNH Industrial NV (United Kingdom)(c) | 4.50% | 8/15/2023 | 82,664 | 90,072,102 | ||||||||
Flowserve Corp. | 4.00% | 11/15/2023 | 6,810 | 7,135,722 | ||||||||
Nvent Finance S.a.r.l. (Luxembourg)(c) | 3.95% | 4/15/2023 | 42,334 | 44,490,603 | ||||||||
Otis Worldwide Corp. | 0.684% (3 Mo. LIBOR + .45% | )# | 4/5/2023 | 4,845 | 4,846,466 | |||||||
Wabtec Corp. | 4.375% | 8/15/2023 | 22,563 | 23,835,954 | ||||||||
Welbilt, Inc. | 9.50% | 2/15/2024 | 1,050 | 1,080,844 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.20% | 6/15/2025 | 9,828 | 10,541,492 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 66,741 | 72,950,320 | ||||||||
Total | 424,518,088 | |||||||||||
Manufacturing 0.05% | ||||||||||||
Bombardier, Inc. (Canada)†(c) | 8.75% | 12/1/2021 | 20,193 | 20,730,437 | ||||||||
Ingersoll-Rand Finance SA (Luxembourg)(c) | 3.55% | 11/1/2024 | 4,896 | 5,412,988 | ||||||||
Total | 26,143,425 | |||||||||||
Media 0.56% | ||||||||||||
Altice Financing SA (Luxembourg)†(c) | 7.50% | 5/15/2026 | 4,512 | 4,765,800 | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp.† | 5.50% | 5/1/2026 | 8,264 | 8,618,567 | ||||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 73,063 | 77,004,573 | ||||||||
Cox Communications, Inc.† | 3.85% | 2/1/2025 | 2,399 | 2,663,765 | ||||||||
DISH DBS Corp. | 5.875% | 7/15/2022 | 18,294 | 19,232,116 | ||||||||
DISH DBS Corp. | 6.75% | 6/1/2021 | 43,803 | 44,799,518 | ||||||||
iHeartCommunications, Inc. | 6.375% | 5/1/2026 | 25,891 | 27,460,136 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (d) | 116,719 | 119,199,279 | |||||||
Virgin Media Secured Finance plc (United Kingdom)†(c) | 5.50% | 8/15/2026 | 7,000 | 7,336,035 | ||||||||
Total | 311,079,789 | |||||||||||
332 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous 0.93% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(c) | 3.625% | 9/11/2024 | $ | 109,028 | $ | 118,655,199 | ||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.125% | 4/15/2021 | 14,046 | 14,214,518 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.875% | 5/14/2025 | 30,313 | 34,981,730 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 5.375% | 4/1/2025 | 46,161 | 53,880,753 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 9,109 | 9,514,351 | ||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | 38,134 | 41,751,963 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 4.25% | 10/25/2022 | 76,201 | 80,899,544 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 54,608 | 58,786,653 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 29,026 | 31,709,189 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 14,182 | 15,809,390 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.125% | 9/1/2021 | 8,280 | 8,462,356 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.95% | 3/15/2024 | 42,404 | 48,406,785 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(c) | 4.10% | 4/11/2023 | 4,300 | 4,526,094 | ||||||||
Total | 521,598,525 | |||||||||||
Natural Gas 0.31% | ||||||||||||
Dominion Energy Gas Holdings LLC | 3.60% | 12/15/2024 | 500 | 551,264 | ||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 19,522 | 20,439,934 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 23,011 | 23,721,298 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 90,715 | 101,881,489 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 4,000 | 4,383,006 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 23,178 | 23,192,473 | ||||||||
Total | 174,169,464 | |||||||||||
Oil 3.80% | ||||||||||||
Afren plc (United Kingdom)†(c)(f) | 6.625% | 12/9/2020 | 8,099 | 39,687 | ||||||||
Afren plc (United Kingdom)†(c)(f) | 10.25% | 4/8/2019 | 11,027 | 281,187 | ||||||||
Afren plc (United Kingdom)†(c)(f) | 11.50% | 2/1/2016 | 16,833 | 429,246 | ||||||||
American Energy- Permian Basin LLC†(f) | 12.00% | 10/1/2024 | 12,494 | 312,350 | ||||||||
Callon Petroleum Co. | 6.25% | 4/15/2023 | 57,095 | 27,369,916 | ||||||||
Cenovus Energy, Inc. (Canada)(c) | 5.375% | 7/15/2025 | 14,155 | 15,624,985 | ||||||||
Cimarex Energy Co. | 4.375% | 6/1/2024 | 72,966 | 78,836,794 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(c) | 4.50% | 10/3/2023 | 21,767 | 23,826,539 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 55,036 | 55,772,657 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 14,959 | 15,360,350 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 205,738 | 206,458,083 | ||||||||
Diamondback Energy, Inc. | 2.875% | 12/1/2024 | 77,130 | 80,439,672 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 33,169 | 37,015,170 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 210,605 | 219,279,199 | ||||||||
See Notes to Financial Statements. | 333 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Eni SpA (Italy)†(c) | 4.00% | 9/12/2023 | $ | 29,551 | $ | 32,186,327 | ||||||
Equinor ASA (Norway)†(c) | 7.875% | 12/9/2022 | 7,000 | 8,002,698 | ||||||||
Harvest Operations Corp. (Canada)†(c) | 4.20% | 6/1/2023 | 8,450 | 9,191,530 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 24,941 | 27,533,944 | ||||||||
Hess Corp. | 3.50% | 7/15/2024 | 9,430 | 9,815,484 | ||||||||
Husky Energy, Inc. (Canada)(c) | 4.00% | 4/15/2024 | 44,672 | 47,556,868 | ||||||||
Jagged Peak Energy LLC | 5.875% | 5/1/2026 | 30,481 | 31,705,269 | ||||||||
Laredo Petroleum, Inc. | 9.50% | 1/15/2025 | 38,821 | 26,458,841 | ||||||||
Marathon Petroleum Corp. | 5.125% | 4/1/2024 | 8,430 | 8,621,954 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 69,651 | 60,028,714 | ||||||||
MEG Energy Corp. (Canada)†(c) | 6.50% | 1/15/2025 | 45,310 | 46,251,542 | ||||||||
MEG Energy Corp. (Canada)†(c) | 7.00% | 3/31/2024 | 11,094 | 11,177,205 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 45,630 | 45,230,737 | ||||||||
Occidental Petroleum Corp. | 1.671% (3 Mo. LIBOR + 1.45% | )# | 8/15/2022 | 91,248 | 87,209,856 | |||||||
Occidental Petroleum Corp. | 2.60% | 4/15/2022 | 2,923 | 2,882,984 | ||||||||
Occidental Petroleum Corp. | 2.70% | 8/15/2022 | 52,452 | 51,759,634 | ||||||||
Occidental Petroleum Corp. | 2.90% | 8/15/2024 | 65,681 | 61,346,054 | ||||||||
Occidental Petroleum Corp. | 3.125% | 2/15/2022 | 22,650 | 22,648,867 | ||||||||
Occidental Petroleum Corp. | 3.45% | 7/15/2024 | 4,092 | 3,754,410 | ||||||||
Occidental Petroleum Corp. | 4.85% | 3/15/2021 | 3,500 | 3,515,313 | ||||||||
Occidental Petroleum Corp. | 6.95% | 7/1/2024 | 48,261 | 51,036,007 | ||||||||
OGX Austria GmbH (Brazil)†(f)(c) | 8.50% | 6/1/2018 | 31,150 | 623 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.25% | 8/15/2025 | 32,770 | 34,080,800 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.375% | 1/15/2025 | 26,703 | 27,554,158 | ||||||||
Petrobras International Finance Co.(Netherlands)(c) | 5.375% | 1/27/2021 | 6,580 | 6,617,013 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 4.25% | 1/15/2025 | 43,247 | 42,030,678 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 5.375% | 3/13/2022 | 25,179 | 25,834,032 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 5.50% | 1/21/2021 | 28,834 | 28,972,403 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.375% | 2/4/2021 | 14,590 | 14,701,249 | ||||||||
Reliance Industries Ltd. (India)†(c) | 5.40% | 2/14/2022 | 78,805 | 82,839,091 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 5.375% | 9/30/2025 | 10,106 | 10,162,341 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 6.75% | 5/1/2023 | 24,669 | 24,807,763 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 6.875% | 6/30/2023 | 57,019 | 57,511,929 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 49,258 | 44,012,762 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(c) | 4.50% | 4/1/2022 | 17,525 | 18,238,657 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(c) | 9.40% | 9/1/2021 | 3,351 | 3,508,517 | ||||||||
Suncor Energy, Inc. (Canada)(c) | 3.10% | 5/15/2025 | 11,000 | 11,962,504 | ||||||||
Suncor Energy, Inc. (Canada)(c) | 9.25% | 10/15/2021 | 12,836 | 13,768,102 | ||||||||
334 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(c) | 2.625% | 8/15/2025 | $ | 41,276 | $ | 42,743,486 | ||||||
Valero Energy Corp. | 1.20% | 3/15/2024 | 38,569 | 38,592,776 | ||||||||
Valero Energy Corp. | 2.70% | 4/15/2023 | 41,634 | 43,303,704 | ||||||||
Valero Energy Corp. | 2.85% | 4/15/2025 | 44,338 | 46,614,149 | ||||||||
Valero Energy Corp. | 3.65% | 3/15/2025 | 14,028 | 15,240,486 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 21,769 | 23,023,765 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 19,589 | 21,009,203 | ||||||||
WPX Energy, Inc. | 5.25% | 10/15/2027 | 7,559 | 7,987,520 | ||||||||
WPX Energy, Inc. | 5.75% | 6/1/2026 | 28,285 | 29,847,746 | ||||||||
Total | 2,123,925,530 | |||||||||||
Oil: Crude Producers 2.71% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 152,906 | 175,345,176 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 140,607 | 162,249,314 | ||||||||
Energy Transfer Operating LP | 4.25% | 3/15/2023 | 44,754 | 47,150,386 | ||||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 104,977 | 116,597,175 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 3,629 | 3,780,588 | ||||||||
Kinder Morgan Inc | 1.517% (3 Mo. LIBOR + 1.28% | )# | 1/15/2023 | 11,796 | 11,902,566 | |||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 43,484 | 44,037,005 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 62,307 | 63,300,913 | ||||||||
MPLX LP | 1.342% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 184,520 | 184,549,584 | |||||||
MPLX LP | 3.50% | 12/1/2022 | 2,009 | 2,106,995 | ||||||||
MPLX LP | 4.00% | 2/15/2025 | 7,000 | 7,704,492 | ||||||||
MPLX LP | 5.25% | 1/15/2025 | 101,157 | 103,963,553 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 97,788 | 101,801,983 | ||||||||
NOVA Gas Transmission Ltd. (Canada)(c) | 7.875% | 4/1/2023 | 9,293 | 10,752,726 | ||||||||
ONEOK Partners LP | 4.90% | 3/15/2025 | 19,385 | 21,451,089 | ||||||||
ONEOK Partners LP | 5.00% | 9/15/2023 | 5,115 | 5,571,439 | ||||||||
ONEOK, Inc. | 7.50% | 9/1/2023 | 28,827 | 33,117,465 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 122,108 | 133,830,081 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 155,012 | 176,248,782 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 4.25% | 11/15/2023 | 9,090 | 9,159,129 | ||||||||
TC PipeLines LP | 4.65% | 6/15/2021 | 8,636 | 8,739,496 | ||||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | 15,626 | 16,011,972 | ||||||||
Western Midstream Operating LP | 2.074% (3 Mo. LIBOR + 1.85% | )# | 1/13/2023 | 38,199 | 36,953,793 |
See Notes to Financial Statements. | 335 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Western Midstream Operating LP | 5.375% | 6/1/2021 | $ | 20,708 | $ | 20,966,850 | ||||||
Williams Cos, Inc. (The) | 4.55% | 6/24/2024 | 16,308 | 18,328,145 | ||||||||
Total | 1,515,620,697 | |||||||||||
Oil: Integrated Domestic 0.04% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 23,125 | 20,981,312 | ||||||||
TechnipFMC plc (United Kingdom)(c) | 3.45% | 10/1/2022 | 2,514 | 2,598,151 | ||||||||
Total | 23,579,463 | |||||||||||
Real Estate Investment Trusts 1.25% | ||||||||||||
Brixmor Operating Partnership LP | 1.264% (3 Mo. LIBOR + 1.05% | )# | 2/1/2022 | 1,115 | 1,111,714 | |||||||
Brixmor Operating Partnership LP | 3.65% | 6/15/2024 | 39,329 | 41,986,516 | ||||||||
Brixmor Operating Partnership LP | 3.85% | 2/1/2025 | 6,000 | 6,499,189 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 7.125% | 1/27/2022 | 21,656 | 22,468,183 | ||||||||
Digital Realty Trust LP | 4.75% | 10/1/2025 | 12,200 | 14,319,732 | ||||||||
Equinix, Inc. | 1.00% | 9/15/2025 | 18,220 | 18,268,665 | ||||||||
Equinix, Inc. | 5.375% | 5/15/2027 | 195,221 | 213,026,106 | ||||||||
ESH Hospitality, Inc.† | 5.25% | 5/1/2025 | 18,836 | 19,334,683 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 5.25% | 7/15/2024 | 18,393 | 19,165,138 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 12,397 | 13,249,294 | ||||||||
Kennedy-Wilson, Inc. | 5.875% | 4/1/2024 | 3,983 | 4,042,745 | ||||||||
Kilroy Realty LP | 3.45% | 12/15/2024 | 25,738 | 27,807,348 | ||||||||
Kilroy Realty LP | 4.375% | 10/1/2025 | 11,900 | 13,324,283 | ||||||||
SITE Centers Corp. | 3.625% | 2/1/2025 | 3,460 | 3,578,699 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 40,098 | 41,298,007 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 45,957 | 48,261,381 | ||||||||
VEREIT Operating Partnership LP | 4.60% | 2/6/2024 | 75,094 | 81,586,536 | ||||||||
VEREIT Operating Partnership LP | 4.625% | 11/1/2025 | 46,547 | 52,223,062 | ||||||||
WEA Finance LLC/Westfield UK & Europe Finance plc† | 3.75% | 9/17/2024 | 48,489 | 50,836,570 | ||||||||
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 4,386 | 5,648,401 | ||||||||
Total | 698,036,252 | |||||||||||
Retail 0.36% | ||||||||||||
Dollar Tree, Inc. | 4.00% | 5/15/2025 | 6,982 | 7,882,552 | ||||||||
PetSmart, Inc.† | 7.125% | 3/15/2023 | 27,948 | 27,632,188 | ||||||||
PetSmart, Inc.† | 8.875% | 6/1/2025 | 36,939 | 37,262,216 | ||||||||
Walgreen Co. | 3.10% | 9/15/2022 | 19,077 | 19,966,820 | ||||||||
Walgreens Boots Alliance, Inc. | 3.80% | 11/18/2024 | 95,489 | 106,021,766 | ||||||||
Total | 198,765,542 |
336 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Savings & Loan 0.07% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | $ | 34,249 | $ | 36,044,602 | ||||||
Steel 0.23% | ||||||||||||
CSN Resources SA (Brazil)†(c) | 7.625% | 2/13/2023 | 17,471 | 18,283,402 | ||||||||
CSN Resources SA (Brazil)(c) | 7.625% | 2/13/2023 | 29,225 | 30,583,962 | ||||||||
POSCO (South Korea)†(c) | 2.375% | 11/12/2022 | 22,050 | 22,678,058 | ||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 52,197 | 55,722,627 | ||||||||
Total | 127,268,049 | |||||||||||
Technology 0.78% | ||||||||||||
Baidu, Inc. (China)(c) | 3.075% | 4/7/2025 | 7,000 | 7,479,710 | ||||||||
Baidu, Inc. (China)(c) | 3.875% | 9/29/2023 | 104,889 | 112,904,847 | ||||||||
Baidu, Inc. (China)(c) | 4.375% | 5/14/2024 | 118,484 | 130,364,243 | ||||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 24,782 | 25,847,258 | ||||||||
eBay, Inc. | 1.084% (3 Mo. LIBOR + .87% | )# | 1/30/2023 | 9,147 | 9,248,191 | |||||||
eBay, Inc. | 1.90% | 3/11/2025 | 13,586 | 14,199,199 | ||||||||
Meituan (China)†(c) | 2.125% | 10/28/2025 | 21,199 | 21,547,383 | ||||||||
Tencent Holdings Ltd. (China)†(c) | 1.81% | 1/26/2026 | 17,200 | 17,575,058 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 39,595 | 42,737,853 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 12,193 | 12,337,792 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 10,170 | 11,562,019 | ||||||||
Weibo Corp. (China)(c) | 3.50% | 7/5/2024 | 30,417 | 31,743,637 | ||||||||
Total | 437,547,190 | |||||||||||
Telecommunications 0.44% | ||||||||||||
Altice France SA (France)†(c) | 7.375% | 5/1/2026 | 76,860 | 80,783,703 | ||||||||
CommScope, Inc.† | 5.50% | 3/1/2024 | 11,644 | 11,980,104 | ||||||||
Level 3 Financing, Inc. | 5.375% | 1/15/2024 | 6,034 | 6,098,232 | ||||||||
T-Mobile USA, Inc.† | 1.50% | 2/15/2026 | 39,961 | 40,631,745 | ||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 7,598 | 7,741,526 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 47,251 | 49,162,303 | ||||||||
Vodafone Group plc (United Kingdom)(c) | 1.22% (3 Mo. LIBOR + .99% | )# | 1/16/2024 | 50,700 | 51,318,123 | |||||||
Total | 247,715,736 | |||||||||||
Toys 0.14% | ||||||||||||
Hasbro, Inc. | 3.00% | 11/19/2024 | 61,051 | 65,821,361 | ||||||||
Mattel, Inc. | 3.15% | 3/15/2023 | 12,540 | 12,725,467 | ||||||||
Total | 78,546,828 |
See Notes to Financial Statements. | 337 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous 0.38% | ||||||||||||
Huntington Ingalls Industries, Inc.† | 3.844% | 5/1/2025 | $ | 26,790 | $ | 29,844,413 | ||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(c) | 4.50% | 5/2/2023 | 20,485 | 21,797,371 | ||||||||
Ryder System, Inc. | 2.50% | 9/1/2024 | 6,536 | 6,930,330 | ||||||||
Ryder System, Inc. | 3.35% | 9/1/2025 | 26,709 | 29,556,789 | ||||||||
Ryder System, Inc. | 3.65% | 3/18/2024 | 22,085 | 24,186,781 | ||||||||
Ryder System, Inc. | 3.75% | 6/9/2023 | 8,900 | 9,593,355 | ||||||||
Ryder System, Inc. | 4.625% | 6/1/2025 | 50,558 | 58,288,441 | ||||||||
XPO Logistics, Inc.† | 6.50% | 6/15/2022 | 29,438 | 29,521,162 | ||||||||
Total | 209,718,642 | |||||||||||
Wholesale 0.05% | ||||||||||||
Core & Main LP† | 6.125% | 8/15/2025 | 1,000 | 1,026,875 | ||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | 27,568 | 28,851,290 | ||||||||
Total | 29,878,165 | |||||||||||
Total Corporate Bonds (cost $25,891,098,466) | 26,534,390,108 | |||||||||||
FLOATING RATE LOANS(g) 6.42% | ||||||||||||
Aerospace/Defense 0.89% | ||||||||||||
Boeing Company The Term Loan | 1.47% - 1.50% (3 Mo. LIBOR + 1.25% | ) | 2/7/2022 | 504,115 | 497,185,485 | |||||||
Air Transportation 0.33% | ||||||||||||
Air Canada 2019 Term Loan (Canada)(c) | 1.90% (1 Mo. LIBOR + 1.75% | ) | 10/6/2023 | 3,919 | 3,766,976 | |||||||
American Airlines, Inc. 2017 Incremental Term Loan | 2.141% (1 Mo. LIBOR + 2.00% | ) | 12/15/2023 | 64,508 | 57,445,247 | |||||||
American Airlines, Inc. 2018 Term Loan B | 1.893% (1 Mo. LIBOR + 1.75% | ) | 6/27/2025 | 22,726 | 16,930,715 | |||||||
American Airlines, Inc. Repriced TL B due 2023 | 2.146% (1 Mo. LIBOR + 2.00% | ) | 4/28/2023 | 70,793 | 63,072,339 | |||||||
United AirLines, Inc. 2018 Term Loan B | 1.896% - 1.90% (1 Mo. LIBOR + 1.75% | ) | 4/1/2024 | 42,594 | 40,997,151 | |||||||
Total | 182,212,428 | |||||||||||
Auto Parts: Original Equipment 0.12% | ||||||||||||
Tenneco, Inc. 2018 Term Loan B | 3.146% (1 Mo. LIBOR + 3.00% | ) | 10/1/2025 | 72,049 | 69,589,987 | |||||||
Automotive 0.08% | ||||||||||||
Ford Motor Company Unsecured Term Loan | 1.90% (1 Mo. LIBOR + 1.75% | ) | 12/31/2022 | 45,319 | 43,279,399 | (h) |
338 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages 0.07% | ||||||||||||
Keurig Dr Pepper Inc. Term Loan | 1.138% (1 Mo. LIBOR + .95% | ) | 2/8/2023 | $ | 37,169 | $ | 37,029,879 | |||||
Building Materials 0.03% | ||||||||||||
Forterra Finance, LLC 2017 Term Loan B | 4.00% (1 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 17,358 | 17,310,076 | |||||||
Business Services 0.13% | ||||||||||||
Refinitiv US Holdings Inc. 2018 USD Term Loan | 3.396% (1 Mo. LIBOR + 3.25% | ) | 10/1/2025 | 70,989 | 70,633,946 | |||||||
Chemicals 0.16% | ||||||||||||
LyondellBasell Industries N.V. Delayed Draw Term Loan A (Netherlands)(c) | 1.39% - 1.40% (1 Mo. LIBOR + 1.25% | ) | 3/29/2022 | 89,647 | 89,591,247 | (h) | ||||||
Computer Hardware 0.17% | ||||||||||||
Dell International LLC 2018 Term Loan A4 | 1.90% (1 Mo. LIBOR + 1.75% | ) | 12/20/2023 | 35,660 | 35,623,313 | |||||||
Dell International LLC 2019 Term Loan B | 2.75% (1 Mo. LIBOR + 2.00% | ) | 9/19/2025 | 31,327 | 31,310,224 | |||||||
Dell International LLC Term Loan A6 | 1.90% (1 Mo. LIBOR + 1.75% | ) | 3/13/2024 | 22,837 | 22,826,677 | |||||||
Science Applications International Corporation 2020 Incremental Term Loan B | 2.396% - 2.40% (1 Mo. LIBOR + 2.25% | ) | 3/12/2027 | 5,984 | 5,952,225 | |||||||
Total | 95,712,439 | |||||||||||
Computer Software 0.15% | ||||||||||||
IQVIA Inc. 2020 Term Loan A2 | 1.98% (3 Mo. LIBOR + 1.75% | ) | 6/13/2023 | 82,626 | 82,179,041 | |||||||
Containers 0.20% | ||||||||||||
Berry Global, Inc. Term Loan W | 2.128% (1 Mo. LIBOR + 2.00% | ) | 10/1/2022 | 74,415 | 74,217,462 | |||||||
BWAY Holding Company 2017 Term Loan B | 3.48% (2 Mo. LIBOR + 3.25% (3 Mo. LIBOR + 3.25% | ) ) | 4/3/2024 | 40,399 | 38,585,349 | |||||||
Total | 112,802,811 |
See Notes to Financial Statements. | 339 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs 0.13% | ||||||||||||
NVA Holdings, Inc. 2019 Term Loan A3 | 2.438% (1 Mo. LIBOR + 2.25% | ) | 2/20/2023 | $ | 60,749 | $ | 60,293,510 | (h) | ||||
NVA Holdings, Inc. 2020 Term Loan A5 | 2.688% (1 Mo. LIBOR + 2.50% | ) | 2/19/2025 | 15,345 | 15,153,239 | (h) | ||||||
Total | 75,446,749 | |||||||||||
Electrical Equipment 0.09% | ||||||||||||
Analog Devices, Inc. 2019 Term Loan | 1.143% (3 Mo. LIBOR + 1.00% | ) | 3/10/2022 | 2,780 | 2,766,100 | (h) | ||||||
Broadcom, Inc. 2019 Term Loan A5 | 1.396% (1 Mo. LIBOR + 1.25% | ) | 11/4/2024 | 21,976 | 21,619,098 | |||||||
Marvell Technology Group Ltd. 2018 Term Loan A | 1.515% (1 Mo. LIBOR + 1.38% | ) | 6/4/2021 | 26,624 | 26,690,670 | (h) | ||||||
Total | 51,075,868 | |||||||||||
Entertainment 0.26% | ||||||||||||
Scientific Games International, Inc. 2018 Term Loan B5 | 2.896% (1 Mo. LIBOR + 2.75% | ) | 8/14/2024 | 99,921 | 96,767,867 | |||||||
Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan (Netherlands)(c) | 3.72% (3 Mo. LIBOR + 3.50% | ) | 7/10/2025 | 48,742 | 48,924,819 | |||||||
Total | 145,692,686 | |||||||||||
Environmental Services 0.01% | ||||||||||||
Stericycle, Inc. 2017 Term Loan | 1.845% - 1.89% (1 Wk. LIBOR + 1.75% (3 Mo. LIBOR + 1.75% | ) ) | 11/17/2022 | 4,770 | 4,722,162 | (h) | ||||||
Financial Services 0.04% | ||||||||||||
Delos Finance Sarl 2018 Term Loan B (Luxembourg)(c) | 1.97% (3 Mo. LIBOR + 1.75% | ) | 10/6/2023 | 25,647 | 25,283,855 | |||||||
Food 0.06% | ||||||||||||
US Foods, Inc. 2016 Term Loan B | 1.896% (1 Mo. LIBOR + 1.75% | ) | 6/27/2023 | 35,487 | 34,432,147 | |||||||
Government 0.05% | ||||||||||||
Seminole Tribe of Florida 2018 Term Loan B | 1.896% (1 Mo. LIBOR + 1.75% | ) | 7/8/2024 | 29,827 | 29,385,581 | |||||||
340 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services 0.39% | ||||||||||||
Jaguar Holding Company II 2018 Term Loan | 3.50% (1 Mo. LIBOR + 2.50% | ) | 8/18/2022 | $ | 124,143 | $ | 124,084,598 | |||||
Universal Health Services, Inc. 2018 Term Loan A | – | (i) | 10/23/2023 | 29,640 | 29,492,235 | |||||||
Wink Holdco, Inc 1st Lien Term Loan B | 4.00% (1 Mo. LIBOR + 3.00% | ) | 12/2/2024 | 63,609 | 63,585,564 | |||||||
Total | 217,162,397 | |||||||||||
Healthcare 0.22% | ||||||||||||
Acadia Healthcare Company, Inc. 2018 Term Loan B4 | 2.646% (1 Mo. LIBOR + 2.50% | ) | 2/16/2023 | 50,006 | 49,702,331 | |||||||
MPH Acquisition Holdings LLC 2016 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75% | ) | 6/7/2023 | 73,621 | 72,727,981 | |||||||
Total | 122,430,312 | |||||||||||
Insurance 0.21% | ||||||||||||
AmWINS Group, Inc. 2017 Term Loan B | 3.75% (1 Mo. LIBOR + 2.75% | ) | 1/25/2024 | 27,266 | 27,213,500 | |||||||
Asurion LLC 2017 Term Loan B4 | 3.146% (1 Mo. LIBOR + 3.00% | ) | 8/4/2022 | 75,117 | 74,915,701 | |||||||
Asurion LLC 2018 Term Loan B6 | 3.146% (1 Mo. LIBOR + 3.00% | ) | 11/3/2023 | 17,671 | 17,518,229 | |||||||
Total | 119,647,430 | |||||||||||
Investment Management Companies 0.09% | ||||||||||||
Broadcom Inc. 2019 1st Lien Term Loan A3 | 1.271% (1 Mo. LIBOR + 1.13% | ) | 11/4/2022 | 51,565 | 51,564,789 | |||||||
Lodging 0.18% | ||||||||||||
Caesars Resort Collection, LLC 2017 1st Lien Term Loan B | 2.896% (1 Mo. LIBOR + 2.75% | ) | 12/23/2024 | 23,192 | 22,483,550 | |||||||
Hilton Grand Vacations Borrower LLC Term Loan | 2.25% (1 Mo. LIBOR + 2.00% | ) | 11/28/2023 | 9,900 | 9,621,612 | (h) | ||||||
Resorts World Las Vegas LLC Term Loan A | 1.65% (1 Mo. LIBOR + 1.50% | ) | 4/16/2024 | 70,000 | 67,550,000 | (h) | ||||||
Total | 99,655,162 | |||||||||||
Media 0.54% | ||||||||||||
Ancestry.com Operations Inc. 2019 Extended Term Loan B | 4.15% (1 Mo. LIBOR + 4.00% | ) | 8/27/2026 | 20,407 | 20,410,704 | |||||||
Charter Communications Operating, LLC 2017 Term Loan A2 | 1.65% (1 Mo. LIBOR + 1.50% | ) | 3/31/2023 | 86,739 | 86,305,743 | (h) | ||||||
See Notes to Financial Statements. | 341 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media (continued) | ||||||||||||
ION Media Networks, Inc. 2019 Term Loan B | 3.188% (1 Mo. LIBOR + 3.00% | ) | 12/18/2024 | $ | 53,560 | $ | 53,359,167 | |||||
Nielsen Finance LLC USD Term Loan B4 | 2.127% (1 Mo. LIBOR + 2.00% | ) | 10/4/2023 | 122,726 | 121,805,906 | |||||||
Univision Communications Inc. 2020 Replacement Term Loan | 4.75% (1 Mo. LIBOR + 3.75% | ) | 3/15/2026 | 8,606 | 8,537,155 | |||||||
Univision Communications Inc. Term Loan C5 | 3.75% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 9,013 | 8,870,695 | |||||||
Total | 299,289,370 | |||||||||||
Miscellaneous 0.06% | ||||||||||||
Reynolds Group Holdings Inc. USD 2017 Term Loan | 2.896% - 5.00% (Prime Rate + 1.75% (1 Mo. LIBOR + 2.75% | ) ) | 2/5/2023 | 27,766 | 27,464,076 | |||||||
UTEX Industries Inc. 1st Lien Term loan 2014(f) | – | (i) | 5/22/2021 | 9,404 | 2,891,883 | |||||||
UTEX Industries Inc. 2020 DIP Term Loan | 10.50% (1 Mo. LIBOR + 9.00% | ) | 2/10/2021 | 590 | 595,241 | (h) | ||||||
UTEX Industries Inc. 2nd Lien Term Loan 2014(f) | – | (i) | 5/22/2022 | 3,938 | 98,450 | |||||||
Total | 31,049,650 | |||||||||||
Oil: Crude Producers 0.18% | ||||||||||||
Energy Transfer Operating, L.P. Term Loan | 1.147% (1 Mo. LIBOR + 1.00% | ) | 10/17/2022 | 103,000 | 102,421,140 | (h) | ||||||
Real Estate Investment Trusts 0.34% | ||||||||||||
Crown Castle International Corporation 2016 Term Loan A | 1.275% (1 Mo. LIBOR + 1.13% | ) | 6/21/2024 | 74,689 | 74,408,643 | |||||||
Invitation Homes Operating Partnership LP Term Loan A | 1.846% (1 Mo. LIBOR + 1.70% | ) | 2/6/2022 | 101,942 | 101,049,530 | |||||||
SL Green Realty Corp. Term Loan A | 1.2455% | 3/31/2023 | 12,677 | 12,549,929 | ||||||||
Total | 188,008,102 | |||||||||||
Retail 0.32% | ||||||||||||
Bloomin’ Brands, Inc. 2017 Term Loan A | 2.847% - 2.90% (1 Wk. LIBOR + 2.75% (1 Mo. LIBOR + 2.75% | ) ) | 11/30/2022 | 9,344 | 9,063,437 | |||||||
CWGS Group, LLC 2016 Term Loan | 3.50% (1 Mo. LIBOR + 2.75% (3 Mo. LIBOR + 2.75% | ) ) | 11/8/2023 | 47,135 | 46,447,340 | |||||||
342 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail (continued) | ||||||||||||
Hillman Group, Inc. (The) 2018 Term Loan B | – | (i) | 5/31/2025 | $ | 3,165 | $ | 3,145,655 | |||||
Panera Bread Company Term Loan A | 2.438% (1 Mo. LIBOR + 2.25% | ) | 7/18/2022 | 126,057 | 118,703,021 | |||||||
Total | 177,359,453 | |||||||||||
Retail: Specialty 0.16% | ||||||||||||
PetSmart, Inc. Consenting Term Loan | – | (i) | 3/11/2022 | 90,784 | 90,453,401 | |||||||
Technology 0.52% | ||||||||||||
Comcast Hulu Holdings, LLC Term Loan A | 1.021% (1 Mo. LIBOR + .88% | ) | 3/15/2024 | 210,573 | 209,519,886 | (h) | ||||||
EIG Investors Corp. 2018 1st Lien Term Loan | 4.75% (3 Mo. LIBOR + 3.75% | ) | 2/9/2023 | 57,435 | 57,440,473 | |||||||
Uber Technologies, Inc. 2018 Incremental Term Loan | 3.646% (1 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 23,613 | 23,543,090 | |||||||
Total | 290,503,449 | |||||||||||
Telecommunications 0.19% | ||||||||||||
CenturyLink, Inc. 2020 Term Loan A | 2.146% (1 Mo. LIBOR + 2.00% | ) | 1/31/2025 | 106,565 | 104,233,850 | |||||||
Wholesale 0.05% | ||||||||||||
Core & Main LP 2017 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75% | ) | 8/1/2024 | 28,456 | 28,171,417 | |||||||
HD Supply, Inc. Term Loan B5 | – | (i) | 10/17/2023 | 2,029 | 2,028,682 | |||||||
Total | 30,200,099 | |||||||||||
Total Floating Rate Loans (cost $3,639,364,332) | 3,587,544,390 | |||||||||||
�� | ||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 1.13% | ||||||||||||
Egypt 0.09% | ||||||||||||
Republic of Egypt(c) | 6.125% | 1/31/2022 | 12,921 | 13,457,131 | ||||||||
Republic of Egypt†(c) | 6.125% | 1/31/2022 | 36,168 | 37,668,719 | ||||||||
Total | 51,125,850 | |||||||||||
Indonesia 0.14% | ||||||||||||
Perusahaan Penerbit SBSN†(c) | 3.75% | 3/1/2023 | 13,995 | 14,917,340 | ||||||||
Perusahaan Penerbit SBSN†(c) | 4.325% | 5/28/2025 | 17,807 | 20,208,096 | ||||||||
Republic of Indonesia†(c) | 3.75% | 4/25/2022 | 12,100 | 12,605,054 | ||||||||
Republic of Indonesia(c) | 4.45% | 2/11/2024 | 25,000 | 27,772,428 | ||||||||
Total | 75,502,918 |
See Notes to Financial Statements. | 343 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Japan 0.41% | ||||||||||||
Japan Treasury Discount Bill(b) | Zero Coupon | 2/22/2021 | JPY | 24,154,400 | $ | 231,414,579 | ||||||
Kenya 0.17% | ||||||||||||
Republic of Kenya†(c) | 6.875% | 6/24/2024 | $ | 88,429 | 95,879,851 | |||||||
Malaysia 0.10% | ||||||||||||
Morocco Government International Bond†(c) | 4.25% | 12/11/2022 | 54,208 | 56,939,107 | ||||||||
Nigeria 0.07% | ||||||||||||
Republic of Nigeria†(c) | 6.75% | 1/28/2021 | 36,031 | 36,323,500 | ||||||||
Romania 0.06% | ||||||||||||
Republic of Romania†(c) | 4.875% | 1/22/2024 | 30,504 | 34,051,615 | ||||||||
Senegal 0.02% | ||||||||||||
Republic of Senegal†(c) | 8.75% | 5/13/2021 | 11,726 | 12,146,752 | ||||||||
South Korea 0.07% | ||||||||||||
Export-Import Bank of Korea(c) | 0.75% (3 Mo. LIBOR + .53% | )# | 6/25/2022 | 12,500 | 12,555,426 | |||||||
Korea National Oil Corp.†(c) | 2.875% | 3/27/2022 | 25,000 | 25,764,689 | ||||||||
Total | 38,320,115 | |||||||||||
Total Foreign Government Obligations (cost $623,077,663) | 631,704,287 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.16% | ||||||||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.302% | #(j) | 11/25/2026 | 565,768 | 5,856,552 | |||||||
Federal Home Loan Mortgage Corp. K722 X1 IO | 1.438% | #(j) | 3/25/2023 | 188,722 | 4,212,713 | |||||||
Government National Mortgage Assoc. 2013-171 IO | 0.843% | #(j) | 6/16/2054 | 18,766 | 726,453 | |||||||
Government National Mortgage Assoc. 2013-193 IO | 0.78% | #(j) | 1/16/2055 | 15,719 | 1,082,700 | |||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(j) | 1/16/2048 | 11,950 | 12,680,607 | |||||||
Government National Mortgage Assoc. 2014-15 IO | 0.501% | #(j) | 8/16/2054 | 14,689 | 457,458 | |||||||
Government National Mortgage Assoc. 2014-186 AP | 2.80% | 4/16/2050 | 19,103 | 20,002,507 | ||||||||
Government National Mortgage Assoc. 2014-64 IO | 1.02% | #(j) | 12/16/2054 | 20,204 | 781,140 | |||||||
Government National Mortgage Assoc. 2014-78 IO | 0.178% | #(j) | 3/16/2056 | 24,683 | 330,676 | |||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 11,981 | 12,387,187 | ||||||||
Government National Mortgage Assoc. 2015-41 AD | 2.90% | #(j) | 8/16/2055 | 7,846 | 8,078,063 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(j) | 2/16/2049 | 11,497 | 12,068,446 | |||||||
Government National Mortgage Assoc. 2017-74 AS | 2.60% | 10/16/2057 | 11,854 | 12,366,709 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $93,440,268) | 91,031,211 |
344 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.42% | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.14% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | $ | 1,214 | $ | 1,258,520 | |||||
Federal Home Loan Mortgage Corp. | 2.623% (12 Mo. LIBOR + 1.78% | )# | 12/1/2036 | 8,597 | 9,058,301 | |||||||
Federal Home Loan Mortgage Corp. | 2.82% (12 Mo. LIBOR + 1.80% | )# | 6/1/2041 | 2,308 | 2,436,894 | |||||||
Federal Home Loan Mortgage Corp. | 2.97% (12 Mo. LIBOR + 1.77% | )# | 5/1/2037 | 2,542 | 2,685,169 | |||||||
Federal Home Loan Mortgage Corp. | 2.991% (12 Mo. LIBOR + 1.88% | )# | 9/1/2035 | 2,496 | 2,637,106 | |||||||
Federal Home Loan Mortgage Corp. | 2.999% (12 Mo. LIBOR + 1.90% | )# | 12/1/2040 | 838 | 880,744 | |||||||
Federal Home Loan Mortgage Corp. | 3.043% (12 Mo. LIBOR + 1.72% | )# | 4/1/2037 | 5,309 | 5,597,092 | |||||||
Federal Home Loan Mortgage Corp. | 3.07% (12 Mo. LIBOR + 1.96% | )# | 2/1/2037 | 3,795 | 4,027,312 | |||||||
Federal Home Loan Mortgage Corp. | 3.087% (12 Mo. LIBOR + 1.89% | )# | 12/1/2040 | 3,655 | 3,823,665 | |||||||
Federal Home Loan Mortgage Corp. | 3.113% (12 Mo. LIBOR + 1.93% | )# | 9/1/2036 | 8,345 | 8,834,006 | |||||||
Federal Home Loan Mortgage Corp. | 3.169% (1 Yr Treasury CMT + 2.51% | )# | 12/1/2035 | 4,104 | 4,374,101 | |||||||
Federal Home Loan Mortgage Corp. | 3.224% (12 Mo. LIBOR + 1.77% | )# | 10/1/2038 | 3,237 | 3,416,294 | |||||||
Federal Home Loan Mortgage Corp. | 3.412% (12 Mo. LIBOR + 1.84% | )# | 6/1/2042 | 5,933 | 6,229,795 | |||||||
Federal Home Loan Mortgage Corp. | 3.446% (12 Mo. LIBOR + 1.79% | )# | 5/1/2036 | 2,900 | 3,055,354 | |||||||
Federal Home Loan Mortgage Corp. | 3.664% (12 Mo. LIBOR + 1.66% | )# | 2/1/2038 | 2,911 | 3,054,940 | |||||||
Federal National Mortgage Assoc. | 2.289% (12 Mo. LIBOR + 1.54% | )# | 11/1/2036 | 1,385 | 1,442,827 | |||||||
Federal National Mortgage Assoc. | 2.407% (12 Mo. LIBOR + 1.52% | )# | 10/1/2035 | 6,011 | 6,272,122 | |||||||
Federal National Mortgage Assoc. | 2.442% (12 Mo. LIBOR + 1.80% | )# | 10/1/2040 | 1,177 | 1,231,993 | |||||||
Federal National Mortgage Assoc. | 2.459% (12 Mo. LIBOR + 1.80% | )# | 11/1/2040 | 7,731 | 8,093,312 | |||||||
Federal National Mortgage Assoc. | 2.61% (12 Mo. LIBOR + 1.59% | )# | 8/1/2034 | 7,361 | 7,684,479 | |||||||
Federal National Mortgage Assoc. | 2.666% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 8,919 | 9,252,065 | |||||||
See Notes to Financial Statements. | 345 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 2.70% (12 Mo. LIBOR + 1.64% | )# | 9/1/2038 | $ | 3,251 | $ | 3,405,791 | |||||
Federal National Mortgage Assoc. | 2.704% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 6,914 | 7,173,738 | |||||||
Federal National Mortgage Assoc. | 2.752% (12 Mo. LIBOR + 1.48% | )# | 12/1/2035 | 8,736 | 9,074,020 | |||||||
Federal National Mortgage Assoc. | 2.755% (12 Mo. LIBOR + 1.52% | )# | 2/1/2036 | 3,517 | 3,668,137 | |||||||
Federal National Mortgage Assoc. | 2.77% (12 Mo. LIBOR + 1.80% | )# | 12/1/2040 | 4,610 | 4,815,262 | |||||||
Federal National Mortgage Assoc. | 2.776% (12 Mo. LIBOR + 1.15% | )# | 6/1/2038 | 1,545 | 1,591,355 | |||||||
Federal National Mortgage Assoc. | 2.794% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 8,484 | 8,854,299 | |||||||
Federal National Mortgage Assoc. | 2.869% (12 Mo. LIBOR + 1.79% | )# | 3/1/2042 | 4,751 | 4,971,495 | |||||||
Federal National Mortgage Assoc. | 2.938% (12 Mo. LIBOR + 1.65% | )# | 9/1/2036 | 2,694 | 2,818,020 | |||||||
Federal National Mortgage Assoc. | 2.941% (12 Mo. LIBOR + 1.75% | )# | 5/1/2042 | 12,467 | 13,090,316 | |||||||
Federal National Mortgage Assoc. | 2.943% | # | 1/1/2041 - 6/1/2042 | 8,013 | 8,382,888 | |||||||
Federal National Mortgage Assoc. | 2.989% (12 Mo. LIBOR + 1.61% | )# | 4/1/2038 | 4,572 | 4,789,386 | |||||||
Federal National Mortgage Assoc. | 3.012% (12 Mo. LIBOR + 1.61% | )# | 8/1/2037 | 4,962 | 5,181,218 | |||||||
Federal National Mortgage Assoc. | 3.013% (12 Mo. LIBOR + 1.58% | )# | 3/1/2038 | 4,354 | 4,561,031 | |||||||
Federal National Mortgage Assoc. | 3.033% (12 Mo. LIBOR + 1.62% | )# | 1/1/2038 | 2,313 | 2,424,516 | |||||||
Federal National Mortgage Assoc. | 3.042% (12 Mo. LIBOR + 1.52% | )# | 3/1/2039 | 3,468 | 3,621,698 | |||||||
Federal National Mortgage Assoc. | 3.072% (12 Mo. LIBOR + 1.73% | )# | 10/1/2036 | 3,957 | 4,165,120 | |||||||
Federal National Mortgage Assoc. | 3.163% (12 Mo. LIBOR + 1.81% | )# | 8/1/2041 | 2,951 | 3,093,872 | |||||||
Federal National Mortgage Assoc. | 3.197% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 2,453 | 2,561,506 | |||||||
Federal National Mortgage Assoc. | 3.236% (12 Mo. LIBOR + 1.65% | )# | 8/1/2038 | 1,597 | 1,676,094 | |||||||
Federal National Mortgage Assoc. | 3.249% (12 Mo. LIBOR + 1.66% | )# | 12/1/2036 | 3,025 | 3,172,129 | |||||||
346 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 3.257% (12 Mo. LIBOR + 1.79% | )# | 1/1/2041 | $ | 7,724 | $ | 8,092,311 | |||||
Federal National Mortgage Assoc. | 3.312% (12 Mo. LIBOR + 1.76% | )# | 11/1/2038 | 4,776 | 5,031,464 | |||||||
Federal National Mortgage Assoc. | 3.382% (1 Yr Treasury CMT + 2.22% | )# | 3/1/2038 | 1,602 | 1,688,892 | |||||||
Federal National Mortgage Assoc. | 3.467% (1 Yr Treasury CMT + 2.20% | )# | 1/1/2038 | 2,235 | 2,360,990 | |||||||
Federal National Mortgage Assoc. | 3.47% (12 Mo. LIBOR + 1.78% | )# | 10/1/2036 | 3,135 | 3,308,057 | |||||||
Federal National Mortgage Assoc. | 3.565% (12 Mo. LIBOR + 1.81% | )# | 4/1/2040 | 1,705 | 1,788,720 | |||||||
Federal National Mortgage Assoc. | 3.641% (12 Mo. LIBOR + 1.89% | )# | 12/1/2038 | 2,369 | 2,513,945 | |||||||
Federal National Mortgage Assoc. | 3.695% (12 Mo. LIBOR + 1.82% | )# | 1/1/2042 | 7,338 | 7,645,382 | |||||||
Federal National Mortgage Assoc. | 3.749% (12 Mo. LIBOR + 1.85% | )# | 7/1/2040 | 1,292 | 1,350,215 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $231,368,591) | 232,217,958 | |||||||||||
MUNICIPAL BONDS 0.10% | ||||||||||||
Miscellaneous | ||||||||||||
IL State GO | 6.20% | 7/1/2021 | 58 | 59,124 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 52,011 | 53,022,205 | ||||||||
State of Illinois | 6.125% | 7/1/2021 | 4,518 | 4,603,061 | ||||||||
Total Municipal Bonds (cost $57,899,795) | 57,684,390 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 13.98% | ||||||||||||
1211 Avenue of the Americas Trust 2015-1211 XA IO† | 0.38% | #(j) | 8/10/2035 | 214,200 | 2,543,968 | |||||||
AD Mortgage Trust 2017-330M A† | 3.294% | #(j) | 8/15/2034 | 3,560 | 3,695,867 | |||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(j) | 12/25/2059 | 26,514 | 26,828,410 | |||||||
Angel Oak Mortgage Trust 2020-6 A1† | 1.261% | #(j) | 5/25/2065 | 36,695 | 36,797,224 | |||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 24,596 | 24,840,051 | ||||||||
AREIT Trust 2018-CRE2 A† | 1.116% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 28,962 | 28,744,471 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM A† | 1.071% (1 Mo. LIBOR + .93% | )# | 12/15/2036 | 19,170 | 18,367,971 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | 31,196 | 28,919,101 | |||||||
See Notes to Financial Statements. | 347 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Atrium Hotel Portfolio Trust 2018-ATRM B† | 1.571% (1 Mo. LIBOR + 1.43% | )# | 6/15/2035 | $ | 28,355 | $ | 26,831,392 | |||||
Atrium Hotel Portfolio Trust 2018-ATRM C† | 1.791% (1 Mo. LIBOR + 1.65% | )# | 6/15/2035 | 9,012 | 8,375,968 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-AHT B† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 3/15/2034 | 10,221 | 9,661,254 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 34,912 | 34,998,931 | ||||||||
Banc of America Commercial Mortgage Trust 2016-UB10 XA IO | 2.104% | #(j) | 7/15/2049 | 82,907 | 5,534,183 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE5 A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 3/15/2036 | 22,533 | 22,269,059 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE6 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 9/15/2036 | 28,635 | 28,508,932 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 39,264 | 40,215,885 | ||||||||
BB-UBS Trust 2012-TFT A† | 2.892% | 6/5/2030 | 71,213 | 71,131,974 | ||||||||
BB-UBS Trust 2012-TFT B† | 3.584% | #(j) | 6/5/2030 | 7,850 | 5,231,067 | |||||||
BB-UBS Trust 2012-TFT C† | 3.584% | #(j) | 6/5/2030 | 14,354 | 8,354,536 | |||||||
BBCMS Mortgage Trust 2018-TALL A† | 0.863% (1 Mo. LIBOR + .72% | )# | 3/15/2037 | 31,684 | 30,785,980 | |||||||
BBCMS Mortgage Trust 2018-TALL E† | 2.578% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 36,419 | 32,479,247 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.097% (1 Mo. LIBOR + .96% | )# | 11/15/2034 | 58,210 | 56,803,227 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 1.451% (1 Mo. LIBOR + 1.31% | )# | 11/15/2034 | 26,273 | 25,416,558 | |||||||
BBCMS Mortgage Trust 2019-BWAY C† | 1.751% (1 Mo. LIBOR + 1.61% | )# | 11/15/2034 | 10,000 | 9,450,220 | |||||||
BBCMS Mortgage Trust 2020-C7 | 2.044% | 4/15/2053 | 13,250 | 13,753,590 | ||||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 5,475 | 5,400,138 | ||||||||
BBCMS Trust 2015-MSQ A† | 3.593% | 9/15/2032 | 19,174 | 19,786,721 | ||||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 22,641 | 22,334,557 | ||||||||
BBCMS Trust 2018-BXH A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 10/15/2037 | 12,519 | 11,951,731 | |||||||
BDS 2018-FL2 A† | 1.094% (1 Mo. LIBOR + .95% | )# | 8/15/2035 | 2,385 | 2,385,035 | |||||||
BENCHMARK 2018-B3 Mortgage Trust 2018-B3 A3 | 3.746% | 4/10/2051 | 5,000 | 5,489,446 | ||||||||
BHP Trust 2019-BXHP A† | 1.116% (1 Mo. LIBOR + .98% | )# | 8/15/2036 | 75,429 | 73,515,087 | |||||||
BHP Trust 2019-BXHP B† | 1.464% (1 Mo. LIBOR + 1.32% | )# | 8/15/2036 | 8,168 | 7,922,014 | |||||||
348 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BWAY Mortgage Trust 2013-1515 A1† | 2.809% | 3/10/2033 | $ | 6,982 | $ | 7,225,244 | ||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.534% | #(j) | 3/10/2033 | 103,040 | 1,696,729 | |||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 9,488 | 9,673,102 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 0.812% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 72,248 | 72,346,864 | |||||||
BX Commercial Mortgage Trust 2019-XL A† | 1.061% (1 Mo. LIBOR + .92% | )# | 10/15/2036 | 232,913 | 233,447,602 | |||||||
BX Commercial Mortgage Trust 2019-XL B† | 1.221% (1 Mo. LIBOR + 1.08% | )# | 10/15/2036 | 12,151 | 12,157,083 | |||||||
BX Trust 2017-SLCT D† | 2.191% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 51,674 | 51,195,285 | |||||||
BX Trust 2018-BILT A† | 0.941% (1 Mo. LIBOR + .80% | )# | 5/15/2030 | 31,628 | 30,716,791 | |||||||
BX Trust 2019-OC11 XA IO† | 0.874% | #(j) | 12/9/2041 | 561,200 | 33,077,801 | |||||||
BX Trust 2019-RP 2019-RP B† | 1.636% (1 Mo. LIBOR + 1.50% | )# | 6/15/2034 | 21,850 | 20,588,263 | |||||||
BXP Trust 2017-CQHP A† | 0.991% (1 Mo. LIBOR + .85% | )# | 11/15/2034 | 41,359 | 40,691,764 | |||||||
Cantor Commercial Real Estate Lending 2019-CF1 65A† | 4.411% | #(j) | 5/15/2052 | 5,498 | 5,681,164 | (a) | ||||||
CF Trust 2019-BOSS A1† | 3.391% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 63,488 | 58,639,923 | (a) | ||||||
CF Trust 2019-MF1 A† | 2.05% (1 Mo. LIBOR + 1.05% | )# | 8/21/2032 | 32,351 | 32,358,847 | |||||||
CF Trust 2019-MF1 B† | 2.35% (1 Mo. LIBOR + 1.35% | )# | 8/21/2032 | 9,204 | 9,226,182 | |||||||
CF Trust 2019-MF1 C† | 2.65% (1 Mo. LIBOR + 1.65% | )# | 8/21/2032 | 12,746 | 12,708,399 | |||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.931% | #(j) | 12/15/2047 | 8,307 | 8,492,599 | |||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.846% | #(j) | 5/10/2058 | 67,232 | 4,747,004 | |||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.265% | #(j) | 11/10/2049 | 153,630 | 8,260,693 | |||||||
CFCRE Commercial Mortgage Trust 2016-C7 XA IO | 0.864% | #(j) | 12/10/2054 | 144,534 | 5,331,906 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 9,907 | 10,305,137 | ||||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | 3/25/2049 | 999 | 995,887 | ||||||||
CHT Mortgage Trust 2017-CSMO A† | 1.071% (1 Mo. LIBOR + .93% | )# | 11/15/2036 | 24,230 | 23,780,706 | |||||||
Citigroup Commercial Mortgage Trust 2012-GC8 XB IO† | 0.226% | #(j) | 9/10/2045 | 218,445 | 605,463 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P A IO | 0.487% | #(j) | 6/10/2048 | 239,318 | 3,588,980 |
See Notes to Financial Statements. | 349 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Citigroup Commercial Mortgage Trust 2013-GC11 XA IO | 1.514% | #(j) | 4/10/2046 | $ | 349,008 | $ | 8,935,312 | |||||
Citigroup Commercial Mortgage Trust 2014-GC19 A3 | 3.753% | 3/10/2047 | 4,573 | 4,913,800 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.335% | #(j) | 5/10/2047 | 180,301 | 6,003,601 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.305% | #(j) | 7/10/2047 | 120,131 | 943,617 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 7,623 | 7,946,379 | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 XA IO | 1.489% | #(j) | 2/10/2048 | 114,318 | 5,181,702 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC35 XA IO | 0.958% | #(j) | 11/10/2048 | 162,553 | 4,729,883 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 | 3.616% | 2/10/2049 | 16,900 | 18,857,770 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 XA IO | 1.41% | #(j) | 2/10/2049 | 98,040 | 4,967,119 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC37 | 3.314% | 4/10/2049 | 46,275 | 51,100,622 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC37 XA IO | 1.867% | #(j) | 4/10/2049 | 63,166 | 4,471,184 | |||||||
Citigroup Commercial Mortgage Trust 2018-B2 A2 | 3.788% | 3/10/2051 | 5,605 | 5,885,008 | ||||||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 0.289% | #(j) | 7/25/2036 | 629 | 628,473 | |||||||
COMM Mortgage Trust 2015-LC21 A4 | 3.708% | 7/10/2048 | 18,173 | 20,182,854 | ||||||||
COMM Mortgage Trust 2014-CCRE21 A3 | 3.528% | 12/10/2047 | 4,589 | 4,964,679 | ||||||||
COMM Mortgage Trust 2014-UBS3 A3 | 3.546% | 6/10/2047 | 5,798 | 6,231,876 | ||||||||
COMM Mortgage Trust 2015-DC1 A5 | 3.35% | 2/10/2048 | 33,734 | 36,620,564 | ||||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 5.85% | #(j) | 7/10/2046 | 5,027 | 5,061,495 | |||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 D† | 5.985% | #(j) | 7/10/2046 | 12,446 | 10,107,186 | (a) | ||||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 AM† | 3.416% | 10/15/2045 | 7,449 | 7,545,322 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.841% | #(j) | 10/15/2045 | 203,626 | 5,246,110 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-CR5 AM† | 3.223% | 12/10/2045 | 22,028 | 22,794,443 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-LC4 XA IO† | 2.282% | #(j) | 12/10/2044 | 59,884 | 852,137 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | 10,261 | 9,999,219 |
350 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR12 A3 | 3.765% | 10/10/2046 | $ | 16,558 | $ | 17,592,758 | ||||||
Commercial Mortgage Pass-Through Certificates 2013-CR6 A4 | 3.101% | 3/10/2046 | 4,850 | 5,028,686 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.362% | #(j) | 3/10/2046 | 137,225 | 3,137,288 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.51% | #(j) | 6/10/2046 | 419,272 | 3,451,618 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 15,413 | 14,706,712 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | 10,761 | 10,674,944 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-WWP XB IO† | 0.389% | #(j) | 3/10/2031 | 265,903 | 1,603,448 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR17 A5 | 3.977% | 5/10/2047 | 7,751 | 8,530,430 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A4 | 3.532% | 8/10/2047 | 14,690 | 15,869,155 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A5 | 3.796% | 8/10/2047 | 10,150 | 11,183,610 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.133% | #(j) | 8/10/2047 | 77,826 | 2,212,871 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR21 XA IO | 1.01% | #(j) | 12/10/2047 | 104,460 | 2,998,675 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 1.535% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | 419 | 410,203 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3 IO† | 0.792% | #(j) | 7/10/2050 | 172,173 | 3,564,819 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC17 XA IO | 0.876% | #(j) | 10/10/2047 | 107,167 | 2,382,666 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A4 | 3.819% | 6/10/2047 | 13,342 | 14,624,649 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS5 XA IO | 1.025% | #(j) | 9/10/2047 | 199,812 | 5,144,292 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS6 A5 | 3.644% | 12/10/2047 | 16,942 | 18,587,399 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-DC2 ASB | 3.55% | 2/10/2049 | 5,260 | 5,620,245 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT C IO | 1.523% | #(j) | 8/10/2049 | 116,499 | 6,845,985 |
See Notes to Financial Statements. | 351 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
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† | 1.391% (1 Mo. LIBOR + 1.25% | )# | 1/15/2034 | $ | 8,300 | $ | 8,067,983 | |||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A IO† | 0.687% | #(j) | 9/15/2037 | 113,022 | 2,444,658 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ B† | 2.041% (1 Mo. LIBOR + 1.90% | )# | 1/15/2034 | 33,700 | 32,476,481 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ C† | 2.891% (1 Mo. LIBOR + 2.75% | )# | 1/15/2034 | 21,900 | 20,933,814 | |||||||
Credit Suisse Mortgage Capital Certificates 2011-2R 4A1† | 0.258% (1 Mo. LIBOR + .11% | )# | 2/27/2037 | 327 | 326,296 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 59,601 | 59,435,230 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | 13,175 | 13,090,295 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 8,450 | 8,346,151 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON A† | 3.197% | 7/10/2034 | 22,524 | 23,007,980 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.303% | #(j) | 7/10/2034 | 8,250 | 8,334,386 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 A† | 1.121% (1 Mo. LIBOR + .98% | )# | 5/15/2036 | 47,265 | 47,376,640 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C IO | 2.06% | #(j) | 1/15/2049 | 148,697 | 11,326,245 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(j) | 2/25/2050 | 59,730 | 60,916,123 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-SPT1 A1† | 1.70% | 4/25/2065 | 63,095 | 63,504,392 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 1.091% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 18,561 | 18,225,801 | |||||||
CSAIL Commercial Mortgage Trust 2015-C4 A2 IO | 1.612% | #(j) | 8/10/2049 | 192,161 | 13,053,095 | |||||||
CSAIL Commercial Mortgage Trust 2016-C7 XA IO | 1.097% | #(j) | 11/15/2049 | 213,990 | 9,305,937 | |||||||
CSAIL Commercial Mortgage Trust 2018-C14 A2 | 4.261% | 11/15/2051 | 46,551 | 50,390,028 | ||||||||
CSMC OA LLC 2014-USA A1† | 3.304% | 9/15/2037 | 10,717 | 10,763,554 | ||||||||
CSMC Trust 2020-NQM1 A1† | 1.208% | 5/25/2065 | 55,455 | 55,684,828 |
352 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
DBGS Mortgage Trust 2018 5BP A† | 0.786% (1 Mo. LIBOR + .65% | )# | 6/15/2033 | $ | 38,755 | $ | 38,593,845 | |||||
DBGS Mortgage Trust 2018-BIOD A† | 0.944% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 24,942 | 25,001,344 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 797 | 797,708 | ||||||||
DBUBS Mortgage Trust 2011-LC2A A4† | 4.537% | 7/10/2044 | 16,173 | 16,279,589 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(j) | 7/10/2044 | 6,825 | 6,867,724 | |||||||
DBUBS Mortgage Trust 2011-LC3A PM4† | 5.268% | #(j) | 5/10/2044 | 9,200 | 9,145,582 | (a) | ||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 13,444 | 13,273,085 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.537% | #(j) | 6/10/2034 | 26,566 | 338,983 | |||||||
DBWF Mortgage Trust 2018-AMXP A† | 3.873% | #(j) | 5/5/2035 | 268,450 | 272,610,062 | |||||||
DBWF Mortgage Trust 2018-AMXP B† | 4.122% | #(j) | 5/5/2035 | 53,868 | 52,814,854 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.956% | #(j) | 5/5/2035 | 49,438 | 49,694,830 | |||||||
DBWF Mortgage Trust 2018-AMXP D† | 3.917% | #(j) | 5/5/2035 | 6,780 | 6,447,822 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(j) | 1/25/2060 | 36,474 | 36,963,748 | |||||||
Ellington Financial Mortgage Trust 2020-2 A1† | 1.178% | #(j) | 10/25/2065 | 37,076 | 37,151,013 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 A† | 1.144% (1 Mo. LIBOR + 1.00% | )# | 4/15/2036 | 16,317 | 16,149,272 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 AS† | 1.644% (1 Mo. LIBOR + 1.50% | )# | 4/15/2036 | 38,900 | 38,511,000 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A† | 3.144% | 12/10/2036 | 37,609 | 39,278,509 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B† | 3.447% | 12/10/2036 | 16,564 | 16,893,705 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU XA IO† | 0.774% | #(j) | 12/10/2036 | 367,400 | 9,056,630 | |||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 27,788 | 28,479,489 | ||||||||
GRACE Mortgage Trust 2014-GRCE A† | 3.369% | 6/10/2028 | 37,238 | 37,317,897 | ||||||||
Great Wolf Trust 2019-WOLF A† | 1.175% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | 14,054 | 13,656,419 | |||||||
Great Wolf Trust 2019-WOLF C† | 1.774% (1 Mo. LIBOR + 1.63% | )# | 12/15/2036 | 31,665 | 29,396,032 | |||||||
Great Wolf Trust 2019-WOLF D† | 2.074% (1 Mo. LIBOR + 1.93% | )# | 12/15/2036 | 11,348 | 10,468,360 | |||||||
Great Wolf Trust 2019-WOLF E† | 2.873% (1 Mo. LIBOR + 2.73% | )# | 12/15/2036 | 13,667 | 12,332,822 | |||||||
GS Mortgage Securities Corp. II 2012-BWTR A† | 2.954% | 11/5/2034 | 9,225 | 9,221,998 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 43,122 | 43,360,766 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ C† | 3.573% | #(j) | 12/10/2030 | 14,494 | 14,080,702 | |||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 42,391 | 42,060,643 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 31,294 | 30,157,971 | ||||||||
GS Mortgage Securities Corp. Trust 2017-SLP A† | 3.419% | 10/10/2032 | 12,601 | 12,896,137 |
See Notes to Financial Statements. | 353 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 1.241% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | $ | 35,859 | $ | 35,587,082 | |||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 1.491% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 16,811 | 16,602,686 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 7/15/2032 | 15,428 | 15,163,215 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 1.091% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 47,601 | 45,691,034 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 10/15/2036 | 78,294 | 76,070,236 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P B† | 1.461% (1 Mo. LIBOR + 1.32% | )# | 10/15/2036 | 31,548 | 30,005,110 | |||||||
GS Mortgage Securities Corp. Trust 2019-BOCA B† | 1.641% (1 Mo. LIBOR + 1.50% | )# | 6/15/2038 | 18,875 | 18,188,129 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP A† | 1.291% (1 Mo. LIBOR + 1.15% | )# | 8/15/2032 | 22,000 | 21,563,775 | |||||||
GS Mortgage Securities Trust 2011-GC5 B† | 5.555% | #(j) | 8/10/2044 | 39,535 | 39,352,619 | |||||||
GS Mortgage Securities Trust 2012-GC6 B† | 5.839% | #(j) | 1/10/2045 | 14,812 | 15,145,182 | |||||||
GS Mortgage Securities Trust 2012-GC6 XA IO† | 2.11% | #(j) | 1/10/2045 | 167,845 | 1,752,970 | |||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 11,331 | 11,643,603 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 XA IO | 2.091% | #(j) | 11/10/2045 | 84,831 | 2,413,253 | |||||||
GS Mortgage Securities Trust 2012-GCJ9 XB IO† | 0.443% | #(j) | 11/10/2045 | 89,303 | 547,275 | |||||||
GS Mortgage Securities Trust 2013-G1 A1† | 2.059% | 4/10/2031 | 5,863 | 5,910,574 | ||||||||
GS Mortgage Securities Trust 2013-GC12 B | 3.777% | #(j) | 6/10/2046 | 5,809 | 6,071,993 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.545% | #(j) | 6/10/2046 | 424,258 | 11,652,893 | |||||||
GS Mortgage Securities Trust 2013-GC14 A5 | 4.243% | 8/10/2046 | 10,000 | 10,852,486 | ||||||||
GS Mortgage Securities Trust 2014-GC18 A4 | 4.074% | 1/10/2047 | 13,702 | 14,798,737 | ||||||||
GS Mortgage Securities Trust 2014-GC26 XA IO | 1.112% | #(j) | 11/10/2047 | 87,599 | 2,713,642 | |||||||
GS Mortgage Securities Trust 2015-GC34 A4 | 3.506% | 10/10/2048 | 36,577 | 40,436,327 | ||||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.911% | #(j) | 11/10/2048 | 92,420 | 3,032,552 | |||||||
GS Mortgage Securities Trust 2016-GS2 | 3.05% | 5/10/2049 | 28,917 | 31,344,571 | ||||||||
GS Mortgage Securities Trust 2016-GS2 XA IO | 1.793% | #(j) | 5/10/2049 | 168,672 | 13,029,418 | |||||||
GS Mortgage Securities Trust 2020-GC45 2020-GC45 A2 | 2.898% | 2/13/2053 | 15,000 | 16,067,448 | ||||||||
Hawaii Hotel Trust 2019-MAUI B† | 1.591% (1 Mo. LIBOR + 1.45% | )# | 5/15/2038 | 35,079 | 33,539,165 | |||||||
Hilton USA Trust 2016-SFP B† | 3.323% | 11/5/2035 | 4,745 | 4,761,105 | ||||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 33,687 | 32,115,832 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 21,685 | 20,485,869 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 16,116 | 15,280,373 |
354 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | $ | 21,309 | $ | 20,403,715 | (a) | |||||
Hudsons Bay Simon JV Trust 2015-HB10 XA10 IO† | 1.474% | #(j) | 8/5/2034 | 150,785 | 8,594,745 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 65,851 | 59,241,535 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 5,000 | 4,139,804 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(j) | 8/5/2034 | 5,000 | 3,337,299 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XA7 IO† | 1.417% | #(j) | 8/5/2034 | 171,661 | 3,301,041 | |||||||
IMT Trust 2017-APTS AFX† | 3.478% | 6/15/2034 | 1,380 | 1,471,614 | ||||||||
Irvine Core Office Trust 2013-IRV A1† | 2.068% | 5/15/2048 | 19,537 | 19,741,804 | ||||||||
Irvine Core Office Trust 2013-IRV A2† | 3.279% | #(j) | 5/15/2048 | 40,462 | 42,189,946 | |||||||
Irvine Core Office Trust 2013-IRV XA IO† | 1.211% | #(j) | 5/15/2048 | 39,812 | 533,525 | |||||||
JPMDB Commercial Mortgage Securities Trust 2020-COR7 A2 | 2.215% | 5/13/2053 | 14,750 | 15,381,191 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG A† | 1.241% (1 Mo. LIBOR + 1.10% | )# | 5/15/2034 | 23,269 | 22,519,794 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG B† | 1.541% (1 Mo. LIBOR + 1.40% | )# | 5/15/2034 | 11,000 | 9,924,200 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG C† | 1.851% (1 Mo. LIBOR + 1.71% | )# | 5/15/2034 | 7,900 | 7,007,853 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 1.912% | 9/15/2029 | 69,956 | 66,260,868 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 2.812% | 9/15/2029 | 15,299 | 14,320,072 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 3.512% | 9/15/2029 | 11,384 | 10,526,348 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 4.512% | 9/15/2029 | 14,048 | 12,768,054 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 5.709% | 9/15/2029 | 8,338 | 7,496,039 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 B† | 5.075% | #(j) | 11/15/2043 | 1,710 | 1,700,354 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B | 4.819% | #(j) | 5/15/2045 | 9,466 | 9,746,539 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | 3.905% | 5/5/2030 | 71,777 | 58,056,461 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO | 1.102% | #(j) | 12/15/2047 | 251,742 | 4,240,294 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO | 0.583% | #(j) | 7/15/2045 | 135,570 | 1,228,360 |
See Notes to Financial Statements. | 355 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
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 | 1.107% | #(j) | 1/15/2048 | $ | 150,313 | $ | 4,813,759 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.387% | #(j) | 4/15/2046 | 94,496 | 2,261,343 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 362 | 361,891 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 1.064% | #(j) | 11/15/2047 | 98,047 | 2,270,269 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C25 XA IO | 0.994% | #(j) | 11/15/2047 | 166,704 | 4,641,616 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 163,798 | 98,621,018 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY B† | 3.771% | 6/10/2027 | 20,772 | 6,828,222 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY C† | 3.931% | #(j) | 6/10/2027 | 14,352 | 2,721,454 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | 3.931% | #(j) | 6/10/2027 | 25,795 | 2,815,019 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.503% | #(j) | 6/10/2027 | 102,274 | 4,091 | |||||||
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 IO | 0.817% | #(j) | 12/15/2049 | 158,389 | 4,251,687 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | 0.795% | #(j) | 5/15/2048 | 67,533 | 1,677,835 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 XA IO | 0.649% | #(j) | 7/15/2048 | 126,924 | 2,577,534 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 60,038 | 59,788,524 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C IO† | 0.791% | #(j) | 10/5/2031 | 77,997 | 184,853 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D IO | 1.203% | #(j) | 9/15/2050 | 290,284 | 14,605,215 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.345% | #(j) | 10/5/2031 | 131,129 | 549,431 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-C5 A2 | 3.33% | 3/15/2050 | 8,020 | 8,129,019 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-JP7 A3 | 3.379% | 9/15/2050 | 10,000 | 10,643,160 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 25,240 | 25,278,668 |
356 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | $ | 21,137 | $ | 21,088,603 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.171% | #(j) | 6/5/2032 | 15,721 | 15,448,693 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-BCON A† | 3.735% | 1/5/2031 | 27,681 | 28,831,425 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 93,471 | 90,857,862 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 1.441% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 29,388 | 28,250,817 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 1.741% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 22,978 | 21,956,620 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.02% (1 Mo. LIBOR + 1.02% | )# | 11/15/2035 | 13,730 | 13,275,280 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 2.35% (1 Mo. LIBOR + 1.35% | )# | 11/15/2035 | 10,053 | 9,492,797 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN C† | 2.70% (1 Mo. LIBOR + 1.70% | )# | 11/15/2035 | 8,746 | 8,116,332 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 1.341% (1 Mo. LIBOR + 1.20% | )# | 4/15/2031 | 25,048 | 24,494,995 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 2.041% (1 Mo. LIBOR + 1.90% | )# | 4/15/2031 | 14,359 | 14,076,827 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 2.441% (1 Mo. LIBOR + 2.30% | )# | 4/15/2031 | 10,608 | 10,412,730 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 1.088% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 31,273 | 30,785,513 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFX† | 4.248% | 7/5/2033 | 102,017 | 107,728,993 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 1.788% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 9,118 | 8,875,332 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 31,569 | 32,692,326 |
See Notes to Financial Statements. | 357 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
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 XAFX IO† | 1.295% | #(j) | 7/5/2033 | $ | 155,900 | $ | 4,184,356 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON A† | 3.884% | 1/5/2034 | 23,915 | 25,073,935 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON B† | 4.235% | 1/5/2034 | 13,737 | 13,764,062 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON C† | 4.536% | 1/5/2034 | 13,000 | 12,935,780 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-UES A† | 3.81% | 5/5/2032 | 6,710 | 6,886,339 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE A† | 3.287% | 1/10/2037 | 136,320 | 137,443,604 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE B† | 3.64% | 1/10/2037 | 29,970 | 28,331,528 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE C† | 3.817% | #(j) | 1/10/2037 | 10,000 | 8,751,986 | |||||||
Key Commercial Mortgage Securities Trust 2019-S2 A1† | 2.656% | 6/15/2052 | 15,410 | 16,073,514 | ||||||||
Key Commercial Mortgage Securities Trust 2019-S2 X IO† | 1.715% | #(j) | 6/15/2052 | 130,934 | 11,727,109 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-909 A† | 3.388% | 5/15/2031 | 7,200 | 7,215,911 | ||||||||
Ladder Capital Commercial Mortgage Trust 2013-GCP A1† | 3.575% | 2/15/2036 | 7,382 | 7,949,500 | ||||||||
LoanCore Issuer Ltd. 2019-CRE3 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 4/15/2034 | 102,218 | 100,623,442 | |||||||
LoanCore Issuer Ltd. 2019-CRE3 AS† | 1.511% (1 Mo. LIBOR + 1.37% | )# | 4/15/2034 | 24,294 | 23,656,253 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XA IO† | 1.924% | #(j) | 3/10/2049 | 85,324 | 4,384,174 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 26,780 | 27,147,742 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 72,650 | 77,600,734 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1† | 2.117% | 10/15/2030 | 6,558 | 6,520,167 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 15,315 | 14,275,318 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 | 2.918% | 2/15/2046 | 5,280 | 5,491,249 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 IO | 1.528% | #(j) | 11/15/2049 | 261,913 | 15,292,675 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 A4 | 3.134% | 12/15/2048 | 9,470 | 9,891,372 |
358 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
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 2013-C9 XA IO | 1.177% | #(j) | 5/15/2046 | $ | 199,162 | $ | 3,915,837 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XB IO† | 0.401% | #(j) | 5/15/2046 | 107,177 | 890,643 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 A4 | 3.443% | 8/15/2047 | 11,485 | 12,079,248 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 XA IO | 1.15% | #(j) | 12/15/2047 | 112,594 | 3,458,235 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 XA IO | 1.732% | #(j) | 5/15/2049 | 126,884 | 7,796,235 | |||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | 9,621 | 9,605,048 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART B† | 2.48% | 9/13/2031 | 11,590 | 11,526,255 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | 2.817% | 9/13/2031 | 25,000 | 24,688,657 | ||||||||
Morgan Stanley Capital I Trust 2011-C2 A4† | 4.661% | 6/15/2044 | 6,727 | 6,882,932 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 11,384 | 11,700,968 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 XA IO† | 2.241% | #(j) | 3/15/2045 | 170,878 | 2,846,433 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 9,509 | 9,445,722 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR A2† | 3.201% | 8/5/2034 | 11,276 | 11,283,149 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR B† | 3.451% | 8/5/2034 | 1,267 | 1,260,697 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A IO | 1.096% | #(j) | 8/15/2049 | 121,223 | 5,718,115 | |||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.188% | #(j) | 7/13/2029 | 260,000 | 176,800 | |||||||
Morgan Stanley Capital I Trust 2015-420 A† | 3.727% | 10/12/2050 | 24,262 | 26,123,772 | ||||||||
Morgan Stanley Capital I Trust 2015-UBS8 ASB | 3.626% | 12/15/2048 | 9,541 | 10,149,170 | ||||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.686% | #(j) | 8/15/2049 | 80,239 | 4,938,621 | |||||||
Motel 6 Trust 2017-MTL6 C† | 1.541% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 27,713 | 27,578,176 | |||||||
Motel 6 Trust 2017-MTL6 D† | 2.291% (1 Mo. LIBOR + 2.15% | )# | 8/15/2034 | 97,729 | 97,196,483 | |||||||
Motel 6 Trust 2017-MTL6 E† | 3.391% (1 Mo. LIBOR + 3.25% | )# | 8/15/2034 | 102,611 | 101,784,114 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 16,287 | 16,039,601 | ||||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.917% | #(j) | 11/15/2032 | 47,581 | 49,065,641 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.917% | #(j) | 11/15/2032 | 17,029 | 17,426,961 | |||||||
New Orleans Hotel Trust 2019-HNLA A† | 1.13% (1 Mo. LIBOR + .99% | )# | 4/15/2032 | 41,812 | 40,454,628 |
See Notes to Financial Statements. | 359 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(j) | 1/26/2060 | $ | 24,483 | $ | 25,059,523 | |||||
Palisades Center Trust 2016-PLSD A† | 2.713% | 4/13/2033 | 6,735 | 5,691,075 | ||||||||
Palisades Center Trust 2016-PLSD C† | 3.998% | 4/13/2033 | 40,040 | 13,613,600 | ||||||||
Palisades Center Trust 2016-PLSD D† | 4.737% | 4/13/2033 | 34,072 | 7,984,739 | ||||||||
PFP 2019-6 Ltd. 2019-6 AS† | 1.586% (1 Mo. LIBOR + 1.45% | )# | 4/14/2037 | 35,400 | 34,812,360 | |||||||
PFP Ltd. 2019-5 A† | 1.106% (1 Mo. LIBOR + .97% | )# | 4/14/2036 | 18,065 | 17,861,772 | |||||||
PFP Ltd. 2019-6 A† | 1.186% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 36,665 | 36,206,687 | |||||||
PFP Ltd. 2019-6 B† | 1.836% (1 Mo. LIBOR + 1.70% | )# | 4/14/2037 | 36,005 | 35,374,912 | |||||||
Prima Capital CRE Securitization Ltd. 2019-7A A† | 2.25% | 12/25/2050 | 79,959 | 79,884,850 | (a) | |||||||
RBS Commercial Funding, Inc. Trust 2013-SMV A† | 3.26% | 3/11/2031 | 57,896 | 57,739,380 | ||||||||
Ready Capital Mortgage Financing LLC 2019-FL3 A† | 1.15% (1 Mo. LIBOR + 1.00% | )# | 3/25/2034 | 58,064 | 57,468,106 | |||||||
Ready Capital Mortgage Trust 2019-5 A† | 3.777% | 2/25/2052 | 8,304 | 8,651,998 | ||||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 14,419 | 14,992,441 | ||||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.833% | 10/25/2052 | 45,712 | 46,597,584 | ||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(j) | 2/25/2024 | 17,608 | 17,967,302 | |||||||
RETL 2019-RVP C† | 2.241% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 19,830 | 18,033,372 | |||||||
Shelter Growth CRE Issuer Ltd. 2019-FL2 A† | 1.241% (1 Mo. LIBOR + 1.10% | )# | 5/15/2036 | 71,763 | 71,660,778 | |||||||
Shelter Growth CRE Issuer Ltd. 2019-FL2 AS† | 1.591% (1 Mo. LIBOR + 1.45% | )# | 5/15/2036 | 22,577 | 22,120,098 | |||||||
Shops at Crystals Trust 2016-CSTL XA IO† | 0.73% | #(j) | 7/5/2036 | 112,000 | 3,473,120 | |||||||
SLIDE 2018-FUN A† | 1.041% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 44,386 | 43,143,915 | |||||||
SLIDE 2018-FUN B† | 1.391% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 8,493 | 8,112,221 | |||||||
SLIDE 2018-FUN C† | 1.691% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 6,896 | 6,504,403 | |||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(j) | 2/25/2050 | 35,567 | 36,369,898 | |||||||
Structured Asset Securities Corp. 2006-3H 1A2 | 5.75% | 12/25/2035 | 4,586 | 4,800,195 | (a) | |||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 2,779 | 2,914,158 | (a) | |||||||
UBS Commercial Mortgage Trust 2017-C6 XA IO | 1.164% | #(j) | 12/15/2050 | 373,086 | 21,350,789 |
360 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
UBS-BAMLL Trust 2012-WRM D† | 4.379% | #(j) | 6/10/2030 | $ | 6,900 | $ | 4,937,403 | (a) | ||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 26,327 | 27,139,039 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 BEC† | 4.973% | #(j) | 5/10/2063 | 8,100 | 8,418,499 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 XA IO† | 1.448% | #(j) | 5/10/2063 | 80,622 | 1,314,885 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 IO† | 1.075% | #(j) | 3/10/2046 | 301,260 | 4,715,864 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A4 | 2.792% | 12/10/2045 | 34,991 | 35,862,293 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 15,487 | 16,044,496 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 35,624 | 37,186,747 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 AS† | 3.347% | 3/10/2046 | 23,805 | 24,594,052 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 B† | 3.649% | #(j) | 3/10/2046 | 12,000 | 11,921,159 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.25% | #(j) | 4/10/2046 | 396,455 | 7,868,795 | |||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 AS† | 5.154% | 1/10/2045 | 4,900 | 5,051,012 | ||||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 42,230 | 43,067,598 | ||||||||
Verus Securitization Trust 2020-4 A1† | 1.502% | 5/25/2065 | 44,253 | 44,617,105 | ||||||||
Verus Securitization Trust 2020-5 A1† | 1.218% | 5/25/2065 | 38,256 | 38,357,617 | ||||||||
VMC Finance LLC 2019-FL3 A† | 1.244% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | 130,339 | 128,553,105 | |||||||
VNDO Mortgage Trust 2012-6AVE A† | 2.996% | 11/15/2030 | 14,400 | 14,838,002 | ||||||||
Waikiki Beach Hotel Trust 2019-WBM A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 12/15/2033 | 49,800 | 48,487,123 | |||||||
Waikiki Beach Hotel Trust 2019-WBM B† | 1.371% (1 Mo. LIBOR + 1.23% | )# | 12/15/2033 | 31,700 | 29,709,833 | |||||||
Waikiki Beach Hotel Trust 2019-WBM C† | 1.621% (1 Mo. LIBOR + 1.48% | )# | 12/15/2033 | 22,200 | 20,597,056 | |||||||
Waikiki Beach Hotel Trust 2019-WBM D† | 2.171% (1 Mo. LIBOR + 2.03% | )# | 12/15/2033 | 15,000 | 13,670,902 | |||||||
WaMu Mortgage Pass-Through Certificates Trust 2005-AR18 1A1 | 3.633% | #(j) | 1/25/2036 | 2,304 | 2,296,630 | |||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 A5 | 3.817% | 8/15/2050 | 13,277 | 14,393,843 |
See Notes to Financial Statements. | 361 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.755% | #(j) | 6/15/2048 | $ | 139,526 | $ | 3,365,456 | |||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A IO | 1.885% | #(j) | 8/15/2049 | 192,066 | 15,237,037 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 XA IO | 0.826% | #(j) | 9/15/2048 | 154,368 | 4,116,799 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C34 XA IO | 2.269% | #(j) | 6/15/2049 | 147,622 | 10,853,033 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-SMP B† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 12/15/2034 | 16,322 | 15,135,542 | |||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 25,197 | 26,996,434 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C47 A2 | 4.361% | 9/15/2061 | 22,988 | 24,788,827 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C48 A2 | 4.224% | 1/15/2052 | 15,302 | 16,539,304 | ||||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 27,120 | 27,354,439 | ||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 23,788 | 23,846,090 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.491% | #(j) | 7/5/2030 | 17,640 | 17,341,690 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.491% | #(j) | 7/5/2030 | 21,720 | 21,121,351 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4 IO† | 1.463% | #(j) | 6/15/2045 | 313,503 | 3,889,228 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C10 XA IO† | 1.672% | #(j) | 12/15/2045 | 51,010 | 1,340,852 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C6 AS | 3.835% | 4/15/2045 | 5,000 | 5,115,318 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 5,393 | 5,511,347 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 IO† | 1.953% | #(j) | 8/15/2045 | 46,445 | 924,610 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.90% | #(j) | 6/15/2045 | 17,378 | 15,949,280 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 17,064 | 17,500,017 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C9 C | 4.543% | #(j) | 11/15/2045 | 9,180 | 9,013,724 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 5,000 | 5,196,126 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C12 AS | 3.56% | 3/15/2048 | 26,441 | 27,631,929 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO† | 1.325% | #(j) | 5/15/2045 | 232,422 | 5,409,607 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C15 A3 | 3.881% | 8/15/2046 | 3,208 | 3,419,812 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A4 | 3.829% | 3/15/2047 | 18,050 | 19,357,672 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A5 | 4.101% | 3/15/2047 | 25,388 | 27,696,475 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | 0.794% | #(j) | 8/15/2047 | 77,369 | 1,742,137 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.995% | 5/15/2047 | 9,610 | 10,527,714 |
362 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 XA IO | 0.955% | #(j) | 9/15/2057 | $ | 86,004 | $ | 2,054,497 | |||||
WF-RBS Commercial Mortgage Trust 2014-C22 XB IO | 0.495% | #(j) | 9/15/2057 | 37,769 | 573,879 | |||||||
WFLD Mortgage Trust 2014-MONT A† | 3.88% | #(j) | 8/10/2031 | 8,000 | 8,046,456 | |||||||
WFRBS Commercial Mortgage Trust 2014-C21 A4 | 3.41% | 8/15/2047 | 17,427 | 18,503,148 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $8,105,114,670) | 7,814,258,351 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Oil | ||||||||||||
Templar Energy LLC (cost $4,795,109) | Zero Coupon | 551 | 1 | (k) | ||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
U.S. TREASURY OBLIGATIONS 8.77% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 2/4/2021 | $ | 809,297 | 809,194,470 | |||||||
U.S. Treasury Note | 0.125% | 9/30/2022 | 1,317,695 | 1,317,386,159 | ||||||||
U.S. Treasury Note | 0.125% | 10/31/2022 | 1,774,104 | 1,773,549,592 | ||||||||
U.S. Treasury Note | 0.25% | 11/15/2023 | 1,003,721 | 1,005,563,772 | ||||||||
Total U.S. Treasury Obligations (cost $4,902,871,412) | 4,905,693,993 | |||||||||||
Total Long-Term Investments (cost $54,460,918,162) | 54,804,643,887 | |||||||||||
SHORT-TERM INVESTMENTS 1.74% | ||||||||||||
COMMERCIAL PAPER 0.14% | ||||||||||||
Automotive | ||||||||||||
General Motors Financial Co., Inc. | 0.406% | 12/1/2020 | 18,126 | 18,126,000 | ||||||||
General Motors Financial Co., Inc. | 0.406% | 12/1/2020 | 15,221 | 15,221,000 | ||||||||
General Motors Financial Co., Inc. | 0.762% | 12/1/2020 | 9,298 | 9,298,000 | ||||||||
General Motors Financial Co., Inc. | 0.762% | 12/1/2020 | 9,298 | 9,298,000 | ||||||||
Nissan Motor Acceptance Corp. | 5.747% | 12/14/2020 | 19,760 | 19,720,754 | ||||||||
Nissan Motor Acceptance Corp. | 5.781% | 1/29/2021 | 5,134 | 5,087,723 | ||||||||
Total Commercial Paper (cost $76,751,477) | 76,751,477 |
See Notes to Financial Statements. | 363 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENT 1.60% | ||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $200,000,000 of U.S. Treasury Note at 0.140% due 10/31/2022; $28,769,500 of U.S. Treasury Note at 0.125% due 11/30/2022; $500,000,000 of U.S. Treasury Note at 1.625% due 11/15/2022; $166,528,700 of U.S. Treasury Note at 1.375% due 10/15/2022; value: $914,014,797; proceeds: $896,092,934 (cost $896,092,934) | $ | 896,093 | $ | 896,092,934 | ||||
Total Short-Term Investments (cost $972,844,411) | 972,844,411 | |||||||
Total Investments in Securities 99.75% (cost $55,433,762,573) | 55,777,488,298 | |||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(l) 0.25% | 138,119,764 | |||||||
Net Assets 100.00% | $ | 55,915,608,062 |
CAD | Canadian dollar. | |
JPY | Japanese yen. | |
CMT | Constant Maturity Rate. | |
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, 2020, the total value of Rule 144A securities was $24,571,736,078, which represents 43.94% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
* | 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) | Foreign security traded in U.S. dollars. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(f) | Defaulted (non-income producing security). | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at November 30, 2020. | |
(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) | 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(t) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(l) | 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: |
364 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Centrally Cleared Default Swaps on Indexes - Sell Protection at November 30, 2020(1):
Referenced Index | Central Clearing party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | |||||||
Markit CDX. NA.HY.34(4)(5) | Credit Suisse | 5.00% | 6/20/2025 | $153,771,922 | $167,203,450 | $(8,252,987) | $21,684,515 |
(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 $21,684,515. 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, 2020(1):
Referenced Index* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||||||||
Markit CMBX. NA.A.6 | Citibank | 2.00% | 5/11/2063 | $ 10,000,000 | $ 9,062,937 | $ | (292,134 | ) | $ | (644,929 | ) | $ | (937,063 | ) | ||||||||
Markit CMBX. NA.A.6 | Credit Suisse | 2.00% | 5/11/2063 | 30,000,000 | 27,188,812 | (876,400 | ) | (1,934,788 | ) | (2,811,188 | ) | |||||||||||
Markit CMBX. NA.A.6 | Deutsche Bank | 2.00% | 5/11/2063 | 45,000,000 | 40,783,217 | (1,314,601 | ) | (2,902,182 | ) | (4,216,783 | ) | |||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | 110,000,000 | 99,692,313 | (3,213,468 | ) | (7,094,219 | ) | (10,307,687 | ) | |||||||||||
$ | (5,696,603 | ) | $ | (12,576,118 | ) | $ | (18,272,721 | ) |
* | 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 in Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $12,576,118. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
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 | Sell | Morgan Stanley | 12/15/2020 | 48,932,000 | $ | 37,139,418 | $ | 37,680,891 | $ | (541,473 | ) | |||||||||
Canadian dollar | Sell | Barclays Bank plc | 1/20/2021 | 25,300,000 | 19,279,197 | 19,487,514 | (208,317 | ) | ||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 2/22/2021 | 24,154,400,000 | 231,206,746 | 231,693,231 | (486,485 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (1,236,275 | ) |
See Notes to Financial Statements. | 365 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUND November 30, 2020
Open Futures Contracts at November 30, 2020:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||
U.S. 2-Year Treasury Note | March 2021 | 60,381 | Long | $13,330,805,235 | $13,335,238,165 | $4,432,930 | ||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||
U.S. 5-Year Treasury Note | March 2021 | 19,382 | Short | $(2,441,038,468) | $(2,442,737,688) | $(1,699,220) |
The following is a summary of the inputs used as of November 30, 2020 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 | ||||||||||||||||
Other | $ | – | $ | 5,841,051,893 | $ | 146,599,548 | $ | 5,987,651,441 | ||||||||
Remaining Industries | – | 4,854,426,227 | – | 4,854,426,227 | ||||||||||||
Common Stocks | ||||||||||||||||
Oil | 36,035,382 | – | 14,212 | 36,049,594 | ||||||||||||
Convertible Bonds | – | 71,991,936 | – | 71,991,936 | ||||||||||||
Corporate Bonds | – | 26,534,390,108 | – | 26,534,390,108 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Automotive | – | – | 43,279,399 | 43,279,399 | ||||||||||||
Chemicals | – | – | 89,591,247 | 89,591,247 | ||||||||||||
Drugs | – | – | 75,446,749 | 75,446,749 | ||||||||||||
Electrical Equipment | – | 21,619,098 | 29,456,770 | 51,075,868 | ||||||||||||
Environmental Services | – | – | 4,722,162 | 4,722,162 | ||||||||||||
Lodging | – | 22,483,550 | 77,171,612 | 99,655,162 | ||||||||||||
Media | – | 212,983,627 | 86,305,743 | 299,289,370 | ||||||||||||
Miscellaneous | – | 30,454,409 | 595,241 | 31,049,650 | ||||||||||||
Oil: Crude Producers | – | – | 102,421,140 | 102,421,140 | ||||||||||||
Technology | – | 80,983,563 | 209,519,886 | 290,503,449 | ||||||||||||
Remaining Industries | – | 2,500,510,194 | – | 2,500,510,194 | ||||||||||||
Foreign Government Obligations | – | 631,704,287 | – | 631,704,287 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 91,031,211 | – | 91,031,211 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 232,217,958 | – | 232,217,958 | ||||||||||||
Municipal Bonds | – | 57,684,390 | – | 57,684,390 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 7,479,672,952 | 334,585,399 | 7,814,258,351 | ||||||||||||
Preferred Stock | – | – | 1 | 1 | ||||||||||||
U.S. Treasury Obligations | – | 4,905,693,993 | – | 4,905,693,993 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 76,751,477 | – | 76,751,477 | ||||||||||||
Repurchase Agreement | – | 896,092,934 | – | 896,092,934 | ||||||||||||
Total | $ | 36,035,382 | $ | 54,541,743,807 | $ | 1,199,709,109 | $ | 55,777,488,298 |
366 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
SHORT DURATION INCOME FUND November 30, 2020
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 21,684,515 | $ | – | $ | 21,684,515 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (18,272,721 | ) | – | (18,272,721 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (1,236,275 | ) | – | (1,236,275 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 4,432,930 | – | – | 4,432,930 | ||||||||||||
Liabilities | (1,699,220 | ) | – | – | (1,699,220 | ) | ||||||||||
Total | $ | 2,733,710 | $ | 2,175,519 | $ | – | $ | 4,909,229 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset- Backed Securities | Commercial Paper | Common Stocks | Floating Rate Loans | Government Sponsored Enterprises Pass- Throughs | Non-Agency Commercial Mortgage- Backed Securities | Preferred Stock | |||||||||||||||||||||
Balance as of December 1, 2019 | $ | 144,319,296 | $ | 53,958,858 | $ | – | $ | 714,589,841 | $ | 4,255,349 | $ | 358,248,186 | $ | 1 | ||||||||||||||
Accrued Discounts (Premiums) | (18,715 | ) | 291,142 | – | 987,419 | – | (21,931 | ) | – | |||||||||||||||||||
Realized Gain (Loss) | (207,368 | ) | – | – | (747,243 | ) | – | 1,267,689 | – | |||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) | 1,278,161 | – | (7,994 | ) | 126,399,886 | – | (22,318,785 | ) | – | |||||||||||||||||||
Purchases | 119,165,215 | – | – | 626,740,843 | – | – | – | |||||||||||||||||||||
Sales | (4,347,000 | ) | (54,250,000 | ) | – | (562,547,096 | ) | – | (86,391,443 | ) | – | |||||||||||||||||
Security type transferred in | 2,055,293 | – | – | – | – | – | – | |||||||||||||||||||||
Security type transferred out | – | – | – | – | – | (2,055,293 | ) | – | ||||||||||||||||||||
Transfers into Level 3 | – | – | 22,206 | 82,839,937 | – | 99,404,783 | – | |||||||||||||||||||||
Transfers out of Level 3 | (115,645,334 | ) | – | – | (269,753,638 | ) | (4,255,349 | ) | (13,547,807 | ) | – | |||||||||||||||||
Balance as of November 30, 2020 | $ | 146,599,548 | $ | – | $ | 14,212 | $ | 718,509,949 | $ | – | $ | 334,585,399 | $ | 1 | ||||||||||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2020, related to Level 3 investments held at November 30, 2020 | $ | 1,193,599 | $ | – | $ | (7,994 | ) | $ | 126,154,082 | $ | – | $ | (20,325,031 | ) | $ | – |
See Notes to Financial Statements. | 367 |
Schedule of Investments
TOTAL RETURN FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 116.27% | ||||||||||||
ASSET-BACKED SECURITIES 14.25% | ||||||||||||
Automobiles 4.66% | ||||||||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | $ | 900 | $ | 904,911 | ||||||
ACC Trust 2019-1 B† | 4.47% | 10/20/2022 | 3,041 | 3,053,950 | ||||||||
Ally Auto Receivables Trust 2019-4 A2 | 1.93% | 10/17/2022 | 4,762 | 4,777,021 | ||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 4,676 | 4,698,726 | ||||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 2,853 | 2,882,130 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 1,747 | 1,791,372 | ||||||||
Avid Automobile Receivables Trust 2019-1 C† | 3.14% | 7/15/2026 | 760 | 772,577 | ||||||||
BMW Vehicle Owner Trust 2019-A A2 | 2.05% | 5/25/2022 | 3,467 | 3,476,751 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 1,716 | 1,733,726 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 C† | 3.69% | 12/20/2023 | 4,810 | 4,895,513 | ||||||||
CarMax Auto Owner Trust 2019-3 A2A | 2.21% | 12/15/2022 | 1,540 | 1,548,815 | ||||||||
CarMax Auto Owner Trust 2019-4 A2A | 2.01% | 3/15/2023 | 6,736 | 6,782,258 | ||||||||
CarMax Auto Owner Trust 2020-4 C | 1.30% | 8/17/2026 | 6,400 | 6,420,227 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 299 | 299,218 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 1,132 | 1,133,974 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 535 | 542,277 | ||||||||
CPS Auto Receivables Trust 2018-A C† | 3.05% | 12/15/2023 | 590 | 594,155 | ||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 2,879 | 2,977,240 | ||||||||
CPS Auto Receivables Trust 2019-B E† | 5.00% | 3/17/2025 | 1,585 | 1,635,391 | ||||||||
CPS Auto Receivables Trust 2020-A E† | 4.09% | 12/15/2025 | 812 | 823,251 | ||||||||
CPS Auto Receivables Trust 2020-C† | 1.71% | 8/17/2026 | 5,096 | 5,128,190 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 828 | 839,159 | ||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 5,859 | 6,001,466 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 1,712 | 1,738,753 | ||||||||
Drive Auto Receivables Trust 2017-BA E† | 5.30% | 7/15/2024 | 25,156 | 25,767,472 | ||||||||
Drive Auto Receivables Trust 2018-2 C | 3.63% | 8/15/2024 | 180 | 180,696 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 387 | 388,920 | ||||||||
Exeter Automobile Receivables Trust 2020-2A A† | 1.13% | 8/15/2023 | 3,179 | 3,187,358 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 205 | 204,748 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 1,882 | 1,892,466 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 4,766 | 4,856,734 | ||||||||
Flagship Credit Auto Trust 2020-2 A† | 1.49% | 7/15/2024 | 2,079 | 2,095,130 | ||||||||
Ford Credit Auto Owner Trust 2019-C A2A | 1.88% | 7/15/2022 | 8,276 | 8,312,931 | ||||||||
Ford Credit Auto Owner Trust 2020-A A2 | 1.03% | 10/15/2022 | 1,575 | 1,580,035 |
368 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000 | ) | Value | |||||||
Automobiles (continued) | ||||||||||||
Ford Credit Auto Owner Trust 2020-B A2 | 0.50% | 2/15/2023 | $ | 17,854 | $ | 17,872,822 | ||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 1,563 | 1,576,870 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 3,277 | 3,356,571 | ||||||||
GLS Auto Receivables Issuer Trust 2020-3A C† | 1.92% | 5/15/2025 | 7,252 | 7,368,476 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 169 | 169,303 | ||||||||
Honda Auto Receivables Owner Trust 2020-2 A2 | 0.74% | 11/15/2022 | 6,004 | 6,018,312 | ||||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 1,640 | 1,646,388 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 384 | 385,597 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 1,516 | 1,524,304 | ||||||||
Nissan Auto Lease Trust 2019-B A2A | 2.27% | 10/15/2021 | 2,747 | 2,755,220 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 233 | 233,911 | ||||||||
Santander Retail Auto Lease Trust 2019-B A2A† | 2.29% | 4/20/2022 | 1,267 | 1,275,681 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 4,025 | 4,035,310 | ||||||||
Toyota Auto Receivables Owner Trust 2017-A A4 | 2.10% | 9/15/2022 | 2,565 | 2,570,096 | ||||||||
Westlake Automobile Receivables Trust 2020-1A C† | 2.52% | 4/15/2025 | 8,825 | 9,067,276 | ||||||||
Westlake Automobile Receivables Trust 2020-2A A2A† | 0.93% | 2/15/2024 | 23,927 | 24,013,780 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 408 | 409,404 | ||||||||
Total | 198,196,862 | |||||||||||
Credit Cards 1.15% | ||||||||||||
Citibank Credit Card Issuance Trust 2018-A1 | 2.49% | 1/20/2023 | 6,702 | 6,722,873 | ||||||||
Genesis Sales Finance Master Trust 2019-AA A† | 4.68% | 8/20/2023 | 4,127 | 4,158,060 | ||||||||
Genesis Sales Finance Master Trust 2020-AA A† | 1.65% | 9/22/2025 | 15,000 | 15,018,105 | ||||||||
Genesis Sales Finance Master Trust 2020-AA D† | 4.71% | 9/22/2025 | 2,300 | 2,312,641 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA B† | 5.42% | 8/20/2023 | 1,150 | 1,158,658 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA C† | 6.88% | 8/20/2023 | 1,700 | 1,711,760 | ||||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 8,007 | 8,027,178 | ||||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 1,199 | 1,223,885 | ||||||||
Perimeter Master Note Business Trust 2019-1A C† | 8.06% | 12/15/2022 | 2,250 | 2,309,119 | ||||||||
World Financial Network Credit Card Master Trust 2018-B A | 3.46% | 7/15/2025 | 6,072 | 6,219,707 | ||||||||
Total | 48,861,986 | |||||||||||
Home Equity 0.00% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.72% | 8/25/2035 | 162 | 162,085 |
See Notes to Financial Statements. | 369 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other 8.44% | ||||||||||||
ALM VII Ltd. 2012-7A A2R2† | 2.087% (3 Mo. LIBOR +1.85% | )# | 7/15/2029 | $ | 9,692 | $ | 9,691,472 | |||||
ALM VII Ltd. 2012-7A CR2† | 3.787% (3 Mo. LIBOR + 3.55% | )# | 7/15/2029 | 2,325 | 2,324,548 | |||||||
AMMC CLO XIII Ltd. 2013-13A A2LR† | 1.915% (3 Mo. LIBOR + 1.70% | )# | 7/24/2029 | 810 | 806,147 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 79 | 79,234 | ||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 1.815% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 2,019 | 2,016,773 | |||||||
Avery Point VII CLO Ltd. 2015-7A BR† | 1.987% (3 Mo. LIBOR + 1.75% | )# | 1/15/2028 | 4,900 | 4,899,175 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 1.468% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 11,000 | 10,974,255 | |||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 1.191% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 5,961 | 5,917,882 | |||||||
Cedar Funding II CLO Ltd. 2013-1A DR† | 3.842% (3 Mo. LIBOR + 3.60% | )# | 6/9/2030 | 1,730 | 1,706,420 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 1.818% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 3,950 | 3,924,134 | |||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 199 | 199,353 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 1,418 | 1,428,994 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 1,850 | 1,869,217 | ||||||||
Elm CLO Ltd. 2014-1A ARR† | 1.388% (3 Mo. LIBOR + 1.17% | )# | 1/17/2029 | 2,283 | 2,278,775 | |||||||
Fairstone Financial Issuance Trust I 2019-1A A†(a) | 3.948% | 3/21/2033 | CAD | 1,446 | 1,124,990 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(a) | 5.084% | 3/21/2033 | CAD | 650 | 503,353 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(a) | 6.299% | 3/21/2033 | CAD | 1,218 | 949,866 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(a) | 7.257% | 3/21/2033 | CAD | 719 | 556,471 | (b) | ||||||
Fairstone Financial Issuance Trust I 2020-1A C†(a) | 5.162% | 10/20/2039 | CAD | 11,479 | 8,833,939 | (b) | ||||||
Fairstone Financial Issuance Trust I 2020-1A D†(a) | 6.873% | 10/20/2039 | CAD | 2,649 | 2,039,099 | (b) | ||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 1.238% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | $ | 1,970 | 1,949,315 | ||||||
Gracie Point International Funding 2020 B† | 2.527% (1 Mo. LIBOR + 2.40% | )# | 5/2/2023 | 7,161 | 7,177,431 | (b) | ||||||
Greywolf CLO VII Ltd. 2018-2A A1† | 1.398% (3 Mo. LIBOR + 1.18% | )# | 10/20/2031 | 3,800 | 3,798,514 |
370 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 2.365% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | $ | 1,496 | $ | 1,474,349 | |||||
Halcyon Loan Advisors Funding Ltd. 2015-3A A1R† | 1.118% (3 Mo. LIBOR + .90% | )# | 10/18/2027 | 4,103 | 4,077,485 | |||||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 3,443 | 3,765,908 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 6,942 | 7,416,852 | ||||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 2.815% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 4,459 | 4,297,227 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 1.668% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 4,500 | 4,496,074 | |||||||
Kayne CLO 5 Ltd. 2019-5A A† | 1.565% (3 Mo. LIBOR + 1.35% | )# | 7/24/2032 | 8,700 | 8,711,976 | |||||||
Kayne CLO 7 Ltd. 2020-7A A1† | 1.418% (3 Mo. LIBOR + 1.20% | )# | 4/17/2033 | 11,511 | 11,481,945 | |||||||
KKR CLO Ltd. 18 A† | 1.488% (3 Mo. LIBOR + 1.27% | )# | 7/18/2030 | 5,697 | 5,699,052 | |||||||
KKR CLO Ltd. 18 D† | 3.818% (3 Mo. LIBOR + 3.60% | )# | 7/18/2030 | 918 | 911,408 | |||||||
KVK CLO Ltd. 2016-1A C† | 3.387% (3 Mo. LIBOR + 3.15% | )# | 1/15/2029 | 4,936 | 4,942,078 | |||||||
Lending Funding Trust 2020-2A A† | 2.32% | 4/21/2031 | 11,751 | 11,778,754 | ||||||||
Longtrain Leasing III LLC 2015-1A A2† | 4.06% | 1/15/2045 | 4,876 | 5,000,107 | ||||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.518% (3 Mo. LIBOR + 1.30% | )# | 4/20/2033 | 7,154 | 7,150,088 | |||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 1.165% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 2,307 | 2,300,960 | |||||||
ME Funding LLC 2019-1 A2† | 6.448% | 7/30/2049 | 13,428 | 12,502,911 | ||||||||
Mountain View CLO LLC 2017-1A AR† | 1.32% (3 Mo. LIBOR + 1.09% | )# | 10/16/2029 | 6,610 | 6,556,924 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 1.574% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 4,300 | 4,229,735 | |||||||
Navient Private Education Refi Loan Trust 2018-DA A2A† | 4.00% | 12/15/2059 | 3,544 | 3,750,670 | ||||||||
Newark BSL CLO 1 Ltd. 2016-1A CR† | 3.217% (3 Mo. LIBOR + 3.00% | )# | 12/21/2029 | 4,440 | 4,316,443 | |||||||
Northwoods Capital 20 Ltd. 2019-20A C† | 3.015% (3 Mo. LIBOR + 2.80% | )# | 1/25/2030 | 3,838 | 3,839,211 | |||||||
Northwoods Capital 20 Ltd. 2019-20A D† | 4.465% (3 Mo. LIBOR + 4.25% | )# | 1/25/2030 | 4,443 | 4,445,435 |
See Notes to Financial Statements. | 371 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
Octagon Investment Partners 29 Ltd. 2016-1A AR† | 1.395% (3 Mo. LIBOR + 1.18% | )# | 1/24/2033 | $ | 6,493 | $ | 6,449,101 | |||||
Octagon Investment Partners 48 Ltd. 2020-3A A† | 1.732% (3 Mo. LIBOR + 1.50% | )# | 10/20/2031 | 7,650 | 7,665,402 | |||||||
Octagon Investment Partners XI 2012 1A A2R† | 2.137% (3 Mo. LIBOR + 1.90% | )# | 7/15/2029 | 1,060 | 1,063,060 | |||||||
OneMain Financial Issuance Trust 2020-2A A† | 1.75% | 9/14/2035 | 13,933 | 14,191,003 | ||||||||
Orec Ltd. 2018-CRE1 A† | 1.321% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 6,539 | 6,440,915 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 0.837% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 3,014 | 3,005,112 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 1.287% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 2,878 | 2,845,006 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 1.637% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 2,179 | 2,134,964 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 1.618% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 1,618 | 1,595,845 | |||||||
Parallel Ltd. 2017-1A A1R† | 1.248% (3 Mo. LIBOR + 1.03% | )# | 7/20/2029 | 2,570 | 2,552,843 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 0.485% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 1,276 | 1,209,973 | |||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 3,180 | 3,190,550 | ||||||||
PFS Financing Corp. 2020-A† | 1.27% | 6/15/2025 | 7,730 | 7,840,581 | ||||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | 3,294 | 3,124,477 | ||||||||
Race Point IX CLO Ltd. 2015-9A A1AR† | 1.447% (3 Mo. LIBOR + 1.21% | )# | 10/15/2030 | 3,012 | 3,006,022 | |||||||
Salem Fields CLO Ltd. 2016-2A A1R† | 1.365% (3 Mo. LIBOR + 1.15% | )# | 10/25/2028 | 7,445 | 7,434,603 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 464 | 466,148 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 1,938 | 1,944,541 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 3,300 | 3,313,874 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 13,901 | 13,960,471 | ||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | 9,263 | 9,655,831 | ||||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 6,718 | 6,999,023 |
372 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
Shackleton CLO Ltd. 2016-9A B† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | $ | 3,333 | $ | 3,333,217 | |||||
Shackleton CLO Ltd. 2019-14A A2† | 2.118% (3 Mo. LIBOR + 1.90% | )# | 7/20/2030 | 11,147 | 11,150,402 | |||||||
SLC Student Loan Trust 2008-1 A4A | 1.85% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 6,948 | 7,062,205 | |||||||
Sound Point CLO XI Ltd. 2016-1A AR† | 1.318% (3 Mo. LIBOR + 1.10% | )# | 7/20/2028 | 3,749 | 3,731,505 | |||||||
Sound Point CLO XII Ltd. 2016-2A CR† | 2.818% (3 Mo. LIBOR + 2.60% | )# | 10/20/2028 | 5,210 | 5,158,266 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 2.709% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 3,701 | 3,710,207 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 0.749% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 3,756 | 3,714,384 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 1.274% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 6,669 | 6,627,319 | |||||||
Tralee CLO III Ltd. 2014-3A AR† | 1.248% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 5,160 | 5,151,025 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 1,440 | 1,458,649 | ||||||||
Total | 359,381,473 | |||||||||||
Total Asset-Backed Securities (cost $604,595,210) | 606,602,406 | |||||||||||
CORPORATE BONDS 42.56% | ||||||||||||
Aerospace/Defense 1.29% | ||||||||||||
BAE Systems plc (United Kingdom)†(c) | 3.40% | 4/15/2030 | 8,181 | 9,251,006 | ||||||||
Boeing Co. (The) | 4.875% | 5/1/2025 | 19,562 | 21,858,943 | ||||||||
Boeing Co. (The) | 5.04% | 5/1/2027 | 12,863 | 14,753,348 | ||||||||
Signature Aviation US Holdings, Inc.† | 4.00% | 3/1/2028 | 4,289 | 4,303,196 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 4,529 | 4,708,462 | ||||||||
Total | 54,874,955 | |||||||||||
Air Transportation 0.65% | ||||||||||||
American Airlines, Inc.† | 11.75% | 7/15/2025 | 3,839 | 4,251,692 | ||||||||
British Airways 2020-1 Class A Pass Through Trust (United Kingdom)†(c) | 4.25% | 5/15/2034 | 1,831 | 1,929,700 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 8,298 | 9,487,435 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.50% | 10/20/2025 | 3,691 | 3,899,649 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 3,739 | 4,030,615 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.† | 8.00% | 9/20/2025 | 3,871 | 4,309,391 | ||||||||
Total | 27,908,482 |
See Notes to Financial Statements. | 373 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Apparel 0.06% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | $ | 2,290 | $ | 2,651,801 | ||||||
Auto Parts: Original Equipment 0.34% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | 4,724 | 4,765,335 | ||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 4,147 | 4,338,799 | ||||||||
BorgWarner, Inc. | 2.65% | 7/1/2027 | 2,828 | 3,027,051 | ||||||||
Clarios Global LP† | 8.50% | 5/15/2027 | 2,228 | 2,401,561 | ||||||||
Total | 14,532,746 | |||||||||||
Automotive 0.70% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 7,269 | 9,136,224 | ||||||||
General Motors Financial Co., Inc. | 3.60% | 6/21/2030 | 14,538 | 16,242,387 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 4,112 | 4,285,527 | ||||||||
Total | 29,664,138 | |||||||||||
Banks: Regional 4.88% | ||||||||||||
Akbank T.A.S. (Turkey)†(c) | 5.00% | 10/24/2022 | 2,455 | 2,472,421 | ||||||||
Banco de Credito e Inversiones SA (Chile)†(c) | 3.50% | 10/12/2027 | 3,725 | 4,082,098 | ||||||||
Banco do Brasil SA† | 4.625% | 1/15/2025 | 4,000 | 4,334,000 | ||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 10,476 | 11,872,125 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 2,775 | 3,113,912 | ||||||||
Bank of America Corp. | 3.97% (3 Mo. LIBOR + 1.07% | )# | 3/5/2029 | 5,597 | 6,515,385 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 4,554 | 5,098,118 | ||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 2,000 | 2,335,775 | ||||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15% | )# | 1/29/2031 | 4,013 | 4,316,106 | |||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 9,149 | 10,425,031 | |||||||
Citigroup, Inc. | 3.98% (3 Mo. LIBOR + 1.34% | )# | 3/20/2030 | 8,361 | 9,795,453 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 4,060 | 4,764,108 | ||||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38% | )# | 5/1/2028 | 3,733 | 4,231,978 | |||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 20,097 | 23,051,504 | |||||||
JPMorgan Chase & Co. | 4.60% (SOFR + 3.13% | )# | – | (d) | 5,345 | 5,465,263 | ||||||
Kookmin Bank (South Korea)†(c) | 1.75% | 5/4/2025 | 5,000 | 5,195,575 |
374 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | $ | 9,640 | $ | 11,208,519 | |||||
Morgan Stanley | 3.625% | 1/20/2027 | 14,811 | 16,938,896 | ||||||||
Morgan Stanley | 4.431% (3 Mo. LIBOR + 1.63% | )# | 1/23/2030 | 5,693 | 6,938,879 | |||||||
Morgan Stanley | 7.25% | 4/1/2032 | 523 | 812,861 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 683 | 738,422 | ||||||||
Toronto-Dominion Bank (The) (Canada)(c) | 3.625% (5 Yr. Swap rate + 2.21% | )# | 9/15/2031 | 8,906 | 10,044,682 | |||||||
Truist Bank | 2.25% | 3/11/2030 | 4,023 | 4,224,389 | ||||||||
Turkiye Garanti Bankasi AS (Turkey)†(c) | 5.875% | 3/16/2023 | 1,100 | 1,125,579 | ||||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 9,363 | 10,334,411 | ||||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 36,155 | 38,268,977 | |||||||
Total | 207,704,467 | |||||||||||
Beverages 0.05% | ||||||||||||
Becle SAB de CV (Mexico)†(c) | 3.75% | 5/13/2025 | 1,900 | 2,060,967 | ||||||||
Biotechnology Research & Production 0.86% | ||||||||||||
Biogen, Inc. | 2.25% | 5/1/2030 | 20,039 | 20,737,380 | ||||||||
Regeneron Pharmaceuticals, Inc. | 1.75% | 9/15/2030 | 10,452 | 10,298,923 | ||||||||
Royalty Pharma plc† | 1.75% | 9/2/2027 | 5,275 | 5,389,786 | ||||||||
Total | 36,426,089 | |||||||||||
Building Materials 0.49% | ||||||||||||
Cemex SAB de CV (Mexico)†(c) | 5.45% | 11/19/2029 | 3,880 | 4,253,450 | ||||||||
Forterra Finance LLC/FRTA Finance Corp.† | 6.50% | 7/15/2025 | 4,013 | 4,292,706 | ||||||||
Griffon Corp. | 5.75% | 3/1/2028 | 3,679 | 3,902,499 | ||||||||
Owens Corning, Inc. | 3.95% | 8/15/2029 | 7,348 | 8,410,485 | ||||||||
Total | 20,859,140 | |||||||||||
Business Services 0.75% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(c) | 4.00% | 7/30/2027 | 2,055 | 2,198,570 | ||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 2,525 | 2,649,974 | ||||||||
Garda World Security Corp. (Canada)†(c) | 4.625% | 2/15/2027 | 4,192 | 4,212,960 | ||||||||
Global Payments, Inc. | 3.20% | 8/15/2029 | 3,217 | 3,572,575 | ||||||||
PayPal Holdings, Inc. | 2.85% | 10/1/2029 | 11,565 | 12,882,560 | ||||||||
Pepperdine University | 3.301% | 12/1/2059 | 1,856 | 2,025,179 | ||||||||
United Rentals North America, Inc. | 4.00% | 7/15/2030 | 4,045 | 4,277,587 | ||||||||
Total | 31,819,405 |
See Notes to Financial Statements. | 375 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Chemicals 0.77% | ||||||||||||
CF Industries, Inc. | 4.95% | 6/1/2043 | $ | 3,388 | $ | 4,228,648 | ||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 3.50% | 7/19/2022 | 4,000 | 4,033,682 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 4.125% | 7/19/2027 | 8,550 | 8,818,470 | ||||||||
Nouryon Holding BV (Netherlands)†(c) | 8.00% | 10/1/2026 | 3,865 | 4,147,628 | ||||||||
Nutrition & Biosciences, Inc.† | 1.832% | 10/15/2027 | 3,048 | 3,115,429 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(c) | 3.949% | 4/24/2023 | 6,720 | 7,041,555 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 4.441% | 4/24/2023 | 1,200 | 1,266,895 | ||||||||
Total | 32,652,307 | |||||||||||
Coal 0.09% | ||||||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 3,800 | 3,802,964 | ||||||||
Computer Hardware 0.65% | ||||||||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 3,928 | 4,213,369 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 1,752 | 1,939,082 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 863 | 1,048,350 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 7,347 | 10,679,158 | ||||||||
Hewlett Packard Enterprise Co. | 0.929% (3 Mo. LIBOR + .68% | )# | 3/12/2021 | 4,027 | 4,032,301 | |||||||
Leidos, Inc. | 5.50% | 7/1/2033 | 524 | 636,149 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 3,725 | 5,079,261 | ||||||||
Total | 27,627,670 | |||||||||||
Computer Software 0.30% | ||||||||||||
Oracle Corp. | 2.95% | 4/1/2030 | 11,336 | 12,739,343 | ||||||||
Construction/Homebuilding 0.59% | ||||||||||||
Century Communities, Inc. | 6.75% | 6/1/2027 | 3,686 | 3,963,943 | ||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 11,256 | 12,243,569 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 3,884 | 4,325,067 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 4,097 | 4,490,558 | ||||||||
Total | 25,023,137 | |||||||||||
Containers 0.14% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 5,836 | 5,814,115 | ||||||||
Diversified 0.01% | ||||||||||||
KOC Holding AS (Turkey)†(c) | 5.25% | 3/15/2023 | 625 | 641,872 | ||||||||
Drugs 1.42% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 5,872 | 6,683,462 |
376 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Drugs (continued) | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | $ | 2,173 | $ | 2,814,164 | ||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 5,573 | 6,093,939 | ||||||||
Cigna Corp. | 4.125% | 11/15/2025 | 9,871 | 11,362,675 | ||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 9,315 | 10,593,157 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 19,348 | 22,768,736 | ||||||||
Total | 60,316,133 | |||||||||||
Electric: Power 3.13% | ||||||||||||
Ameren Corp. | 3.50% | 1/15/2031 | 3,355 | 3,888,817 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 7,038 | 8,136,676 | ||||||||
Cikarang Listrindo Tbk PT (Indonesia)†(c) | 4.95% | 9/14/2026 | 6,150 | 6,365,250 | ||||||||
Cleco Corporate Holdings LLC | 3.375% | 9/15/2029 | 3,100 | 3,184,507 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 1,709 | 2,468,538 | ||||||||
DTE Electric Co. | 2.625% | 3/1/2031 | 13,836 | 15,335,148 | ||||||||
Emera US Finance LP | 3.55% | 6/15/2026 | 24,938 | 27,878,544 | ||||||||
Emirates Semb Corp., Water & Power Co. PJSC (United Arab Emirates)†(c) | 4.45% | 8/1/2035 | 1,845 | 2,207,173 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(c) | 6.35% | 8/10/2028 | 6,000 | 6,557,700 | ||||||||
Exelon Generation Co. LLC | 3.25% | 6/1/2025 | 4,403 | 4,748,736 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 564 | 629,966 | ||||||||
FirstEnergy Corp. | 3.90% | 7/15/2027 | 8,370 | 9,262,250 | ||||||||
ITC Holdings Corp. | 3.35% | 11/15/2027 | 3,411 | 3,805,236 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 7,170 | 7,192,739 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 4.625% | 8/10/2030 | 1,800 | 1,923,408 | ||||||||
NRG Energy, Inc.†(e) | 2.45% | 12/2/2027 | 4,183 | 4,293,152 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 3,821 | 4,177,213 | ||||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 3,906 | 4,300,861 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 3,362 | 4,958,859 | ||||||||
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak (Indonesia)†(c) | 4.85% | 10/14/2038 | 1,130 | 1,228,666 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 9,911 | 10,670,092 | ||||||||
Total | 133,213,531 | |||||||||||
Electrical Equipment 0.61% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 16,134 | 18,142,485 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 3.15% | 5/1/2027 | 7,323 | 7,999,482 | ||||||||
Total | 26,141,967 | |||||||||||
Electronics 0.29% | ||||||||||||
Roper Technologies, Inc. | 1.40% | 9/15/2027 | 12,163 | 12,324,286 |
See Notes to Financial Statements. | 377 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Energy Equipment & Services 0.10% | ||||||||||||
Greenko Solar Mauritius Ltd. (Mauritius)†(c) | 5.95% | 7/29/2026 | $ | 3,880 | $ | 4,195,614 | ||||||
Engineering & Contracting Services 0.07% | ||||||||||||
China Railway Resources Huitung Ltd. (Hong Kong)(c) | 3.85% | 2/5/2023 | 2,849 | 3,003,653 | ||||||||
Entertainment 0.59% | ||||||||||||
Caesars Entertainment, Inc.† | 8.125% | 7/1/2027 | 4,009 | 4,414,911 | ||||||||
Cedar Fair LP | 5.25% | 7/15/2029 | 4,190 | 4,301,831 | ||||||||
Live Nation Entertainment, Inc.† | 4.75% | 10/15/2027 | 4,211 | 4,159,689 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 3,891 | 4,051,893 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 3,853 | 4,096,221 | ||||||||
Vail Resorts, Inc.† | 6.25% | 5/15/2025 | 3,870 | 4,145,737 | ||||||||
Total | 25,170,282 | |||||||||||
Environmental Services 0.08% | ||||||||||||
Stericycle, Inc.† | 3.875% | 1/15/2029 | 3,371 | 3,510,054 | ||||||||
Financial Services 1.82% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 1/15/2025 | 10,075 | 10,451,304 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.875% | 1/23/2028 | 6,006 | 6,131,629 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 4.875% | 1/16/2024 | 2,348 | 2,530,315 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 3,039 | 3,374,895 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 2,911 | 4,178,198 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 2,020 | 2,094,591 | ||||||||
Brightsphere Investment Group, Inc. | 4.80% | 7/27/2026 | 3,066 | 3,299,303 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 5,924 | 5,206,535 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 1,071 | 1,153,588 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 5.50% | 8/15/2028 | 4,065 | 4,240,303 | ||||||||
Navient Corp. | 5.00% | 3/15/2027 | 6,793 | 6,768,409 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 3,612 | 4,026,159 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 4,780 | 5,451,718 | ||||||||
OneMain Finance Corp. | 5.375% | 11/15/2029 | 8,701 | 9,505,843 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.625% | 3/1/2029 | 4,198 | 4,180,221 | ||||||||
SURA Asset Management SA (Colombia)†(c) | 4.375% | 4/11/2027 | 4,400 | 4,954,664 | ||||||||
Total | 77,547,675 |
378 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Food 0.73% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.875% | 2/15/2030 | $ | 3,763 | $ | 4,119,356 | ||||||
Arcor SAIC (Argentina)†(c) | 6.00% | 7/6/2023 | 2,538 | 2,520,869 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 7,041 | 8,070,817 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 8,331 | 8,899,449 | ||||||||
Minerva Luxembourg SA (Luxembourg)†(c) | 5.875% | 1/19/2028 | 3,261 | 3,507,205 | ||||||||
Sysco Corp. | 2.40% | 2/15/2030 | 3,869 | 4,068,166 | ||||||||
Total | 31,185,862 | |||||||||||
Health Care Products 1.07% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 16,235 | 17,250,460 | ||||||||
Boston Scientific Corp. | 2.65% | 6/1/2030 | 10,987 | 11,805,668 | ||||||||
Stryker Corp. | 1.95% | 6/15/2030 | 15,556 | 16,111,331 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 149 | 197,224 | ||||||||
Total | 45,364,683 | |||||||||||
Health Care Services 2.55% | ||||||||||||
Adventist Health System | 2.952% | 3/1/2029 | 2,279 | 2,402,262 | ||||||||
Advocate Health & Hospitals Corp. | 2.211% | 6/15/2030 | 7,733 | 8,059,831 | ||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 12,163 | 12,749,360 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 3,950 | 4,146,256 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 13,200 | 14,340,635 | ||||||||
DaVita, Inc.† | 3.75% | 2/15/2031 | 6,001 | 5,989,748 | ||||||||
HCA, Inc. | 4.125% | 6/15/2029 | 12,892 | 14,905,102 | ||||||||
HCA, Inc. | 4.50% | 2/15/2027 | 5,323 | 6,124,255 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 6,002 | 7,090,192 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 41 | 54,729 | ||||||||
Legacy LifePoint Health LLC† | 4.375% | 2/15/2027 | 5,710 | 5,752,825 | ||||||||
LifePoint Health, Inc.† | 6.75% | 4/15/2025 | 2,337 | 2,500,590 | ||||||||
MEDNAX, Inc.† | 6.25% | 1/15/2027 | 3,865 | 4,145,135 | ||||||||
New York and Presbyterian Hospital (The) | 3.954% | 8/1/2119 | 1,297 | 1,451,343 | ||||||||
Radiology Partners, Inc.† | 9.25% | 2/1/2028 | 4,152 | 4,536,060 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 3,851 | 4,116,873 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 3,684 | 4,040,888 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 4,000 | 4,124,960 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 1,883 | 1,975,069 | ||||||||
Total | 108,506,113 |
See Notes to Financial Statements. | 379 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Household Equipment/Products 0.05% | ||||||||||||
Newell Brands, Inc. | 5.875% | 4/1/2036 | $ | 1,886 | $ | 2,272,630 | ||||||
Insurance 0.26% | ||||||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 8,180 | 10,983,499 | ||||||||
Investment Management Companies 0.06% | ||||||||||||
Temasek Financial I Ltd. (Singapore)†(c) | 2.50% | 10/6/2070 | 2,460 | 2,500,379 | ||||||||
Leisure 0.41% | ||||||||||||
Carnival Corp.† | 7.625% | 3/1/2026 | 2,521 | 2,680,882 | ||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 5,591 | 6,374,886 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 3,566 | 4,194,507 | ||||||||
Viking Cruises Ltd.† | 13.00% | 5/15/2025 | 3,540 | 4,166,138 | ||||||||
Total | 17,416,413 | |||||||||||
Lodging 0.26% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 2,038 | 2,075,214 | ||||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 2,445 | 2,551,969 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 5,811 | 6,275,851 | ||||||||
Total | 10,903,034 | |||||||||||
Machinery: Agricultural 0.84% | ||||||||||||
BAT Capital Corp. | 4.70% | 4/2/2027 | 3,153 | 3,696,032 | ||||||||
BAT Capital Corp. | 4.906% | 4/2/2030 | 17,877 | 21,514,613 | ||||||||
MHP Lux SA (Luxembourg)†(c) | 6.25% | 9/19/2029 | 7,870 | 7,948,700 | ||||||||
MHP Lux SA (Luxembourg)†(c) | 6.95% | 4/3/2026 | 2,460 | 2,611,216 | ||||||||
Total | 35,770,561 | |||||||||||
Machinery: Industrial/Specialty 0.65% | ||||||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 4,944 | 5,484,808 | ||||||||
nVent Finance Sarl (Luxembourg)(c) | 4.55% | 4/15/2028 | 13,974 | 15,132,194 | ||||||||
Vertical Midco GmbH†(a) | 4.375% | 7/15/2027 | EUR | 1,744 | 2,188,575 | |||||||
Vertical US Newco, Inc.† | 5.25% | 7/15/2027 | $ | 4,654 | 4,895,426 | |||||||
Total | 27,701,003 | |||||||||||
Media 1.48% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 4,043 | 4,168,313 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 1,900 | 2,014,475 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 1,951 | 2,052,940 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 11,333 | 19,338,876 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 3,800 | 4,014,700 |
380 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Media (continued) | ||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | $ | 5,154 | $ | 4,004,014 | ||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 5,810 | 6,617,503 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(c) | 4.875% | 1/22/2030 | 6,120 | 6,383,221 | ||||||||
Scripps Escrow, Inc.† | 5.875% | 7/15/2027 | 3,962 | 3,996,667 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 2,682 | 3,943,381 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 4,078 | 6,361,364 | ||||||||
Total | 62,895,454 | |||||||||||
Metals & Minerals: Miscellaneous 1.67% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.00% | 9/11/2027 | 10,010 | 11,312,175 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.75% | 4/10/2027 | 10,543 | 12,341,066 | ||||||||
Antofagasta plc (Chile)†(c) | 2.375% | 10/14/2030 | 4,210 | 4,195,265 | ||||||||
Chinalco Capital Holdings Ltd. (British Virgin Islands)(c) | 4.00% | 8/25/2021 | 3,925 | 3,962,287 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(c) | 4.50% | 9/15/2027 | 3,962 | 4,350,276 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 4,247 | 4,477,931 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 3,995 | 4,347,639 | ||||||||
Glencore Funding LLC† | 4.875% | 3/12/2029 | 14,833 | 17,586,222 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 2,712 | 2,924,756 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.95% | 3/15/2024 | 1,969 | 2,247,735 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(c) | 4.10% | 4/11/2023 | 3,200 | 3,368,256 | ||||||||
Total | 71,113,608 | |||||||||||
Natural Gas 0.94% | ||||||||||||
CenterPoint Energy Resources Corp. | 1.75% | 10/1/2030 | 9,951 | 10,142,429 | ||||||||
ENN Energy Holdings Ltd. (China)†(c) | 2.625% | 9/17/2030 | 2,550 | 2,569,082 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 7,186 | 8,070,555 | ||||||||
NiSource, Inc. | 3.49% | 5/15/2027 | 16,964 | 19,100,711 | ||||||||
Total | 39,882,777 | |||||||||||
Oil 2.70% | ||||||||||||
Afren plc (United Kingdom)†(c)(f) | 10.25% | 4/8/2019 | 2,537 | 64,698 | ||||||||
Apache Corp. | 4.375% | 10/15/2028 | 2,230 | 2,273,775 | ||||||||
Apache Corp. | 4.625% | 11/15/2025 | 2,966 | 3,087,458 | ||||||||
Citgo Holding, Inc.† | 9.25% | 8/1/2024 | 4,072 | 3,644,440 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 4,298 | 4,355,529 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 4,785 | 5,022,278 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 1,914 | 2,135,941 |
See Notes to Financial Statements. | 381 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil (continued) | ||||||||||||
Empresa Nacional del Petroleo (Chile)†(c) | 3.75% | 8/5/2026 | $ | 4,700 | $ | 5,100,322 | ||||||
EQT Corp. | 7.875% | 2/1/2025 | 3,849 | 4,412,474 | ||||||||
Equinor ASA (Norway)(c) | 7.15% | 11/15/2025 | 4,060 | 5,193,679 | ||||||||
Gazprom PJSC Via Gaz Capital SA (Luxembourg)†(c) | 4.95% | 2/6/2028 | 1,300 | 1,482,507 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 4,412 | 4,383,146 | ||||||||
Laredo Petroleum, Inc. | 9.50% | 1/15/2025 | 7,227 | 4,925,634 | ||||||||
MEG Energy Corp. (Canada)†(c) | 7.00% | 3/31/2024 | 3,798 | 3,826,485 | ||||||||
MEG Energy Corp. (Canada)†(c) | 7.125% | 2/1/2027 | 3,488 | 3,426,960 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 4,249 | 3,851,973 | ||||||||
OGX Austria GmbH (Brazil)†(c)(f) | 8.50% | 6/1/2018 | 1,730 | 35 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 4,947 | 4,931,541 | ||||||||
Pertamina Persero PT (Indonesia)†(c) | 4.15% | 2/25/2060 | 1,300 | 1,383,965 | ||||||||
Pertamina Persero PT (Indonesia)†(c) | 4.70% | 7/30/2049 | 800 | 912,075 | ||||||||
Pertamina Persero PT (Indonesia)†(c) | 5.625% | 5/20/2043 | 1,500 | 1,861,875 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 4.50% | 1/23/2026 | 6,372 | 6,017,271 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 5.35% | 2/12/2028 | 18,010 | 16,892,479 | ||||||||
Range Resources Corp.† | 9.25% | 2/1/2026 | 4,236 | 4,399,086 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(c) | 2.875% | 4/16/2024 | 6,400 | 6,768,700 | ||||||||
Sinopec Group Overseas Development Ltd. (British Virgin Islands)†(c) | 4.375% | 10/17/2023 | 1,548 | 1,691,738 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 3,462 | 1,951,045 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 4,119 | 4,353,268 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(c) | 3.25% | 8/15/2030 | 2,900 | 3,031,996 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 2,028 | 2,144,894 | ||||||||
YPF SA (Argentina)†(c) | 8.50% | 7/28/2025 | 1,787 | 1,303,617 | ||||||||
Total | 114,830,884 | |||||||||||
Oil: Crude Producers 1.38% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(c) | 4.60% | 11/2/2047 | 2,240 | 2,782,214 | ||||||||
AI Candelaria Spain SLU (Spain)†(c) | 7.50% | 12/15/2028 | 250 | 280,440 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 5,349 | 3,660,294 | |||||||
Cheniere Corpus Christi Holdings LLC | 3.70% | 11/15/2029 | 2,461 | 2,703,339 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(c) | 3.25% | 9/30/2040 | 9,000 | 9,350,429 | ||||||||
MPLX LP | 3.375% | 3/15/2023 | 6,897 | 7,288,310 | ||||||||
MPLX LP | 5.25% | 1/15/2025 | 7,226 | 7,426,482 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 17,298 | 20,755,827 |
382 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Western Midstream Operating LP | 5.05% | 2/1/2030 | $ | 4,254 | $ | 4,549,143 | ||||||
Total | 58,796,478 | |||||||||||
Oil: Integrated Domestic 0.25% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | 9,547 | 10,524,645 | ||||||||
Paper & Forest Products 0.13% | ||||||||||||
Suzano Austria GmbH (Brazil)(c) | 3.75% | 1/15/2031 | 5,329 | 5,623,427 | ||||||||
Real Estate Investment Trusts 2.31% | ||||||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 1/17/2023 | 1,483 | 1,523,083 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 9/28/2023 | 6,712 | 6,866,560 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 6,790 | 6,736,410 | ||||||||
Equinix, Inc. | 1.55% | 3/15/2028 | 12,072 | 12,189,356 | ||||||||
Equinix, Inc. | 2.625% | 11/18/2024 | 5,956 | 6,350,261 | ||||||||
ESH Hospitality, Inc.† | 4.625% | 10/1/2027 | 4,276 | 4,346,554 | ||||||||
Healthcare Trust of America Holdings LP | 3.10% | 2/15/2030 | 5,785 | 6,295,041 | ||||||||
Kaisa Group Holdings Ltd. (China)(c) | 9.375% | 6/30/2024 | 2,200 | 2,123,060 | ||||||||
Kaisa Group Holdings Ltd. (China)†(c) | 11.95% | 10/22/2022 | 2,460 | 2,595,300 | ||||||||
Longfor Group Holdings Ltd. (China)(c) | 4.50% | 1/16/2028 | 6,895 | 7,631,731 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 4,105 | 4,333,341 | ||||||||
Sunac China Holdings Ltd. (China)(c) | 7.875% | 2/15/2022 | 5,800 | 5,945,000 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 15,872 | 18,163,334 | ||||||||
WEA Finance LLC† | 2.875% | 1/15/2027 | 8,254 | 8,267,467 | ||||||||
Yuzhou Group Holdings Co. Ltd. (China)(c) | 6.00% | 10/25/2023 | 1,700 | 1,726,563 | ||||||||
Zhenro Properties Group Ltd. (China)(c) | 8.65% | 1/21/2023 | 3,200 | 3,311,976 | ||||||||
Total | 98,405,037 | |||||||||||
Retail 0.70% | ||||||||||||
AutoNation, Inc. | 4.75% | 6/1/2030 | 740 | 890,982 | ||||||||
Gap, Inc. (The)† | 8.625% | 5/15/2025 | 3,600 | 4,005,900 | ||||||||
IRB Holding Corp.† | 7.00% | 6/15/2025 | 3,974 | 4,348,967 | ||||||||
Penske Automotive Group, Inc. | 3.50% | 9/1/2025 | 4,227 | 4,274,554 | ||||||||
PetSmart, Inc.† | 5.875% | 6/1/2025 | 4,036 | 4,089,981 | ||||||||
Rite Aid Corp.† | 8.00% | 11/15/2026 | 3,368 | 3,422,730 | ||||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.625% | 12/1/2025 | 4,120 | 4,228,150 | ||||||||
Walgreens Boots Alliance, Inc. | 3.20% | 4/15/2030 | 4,388 | 4,758,448 | ||||||||
Total | 30,019,712 |
See Notes to Financial Statements. | 383 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Steel 0.10% | ||||||||||||
GUSAP III LP† | 4.25% | 1/21/2030 | $ | 4,000 | $ | 4,385,000 | ||||||
Technology 1.73% | ||||||||||||
Alibaba Group Holding Ltd.(China)(c) | 3.40% | 12/6/2027 | 5,524 | 6,208,664 | ||||||||
Baidu, Inc. (China)(c) | 2.375% | 10/9/2030 | 3,220 | 3,314,079 | ||||||||
GrubHub Holdings, Inc.† | 5.50% | 7/1/2027 | 6,085 | 6,381,644 | ||||||||
JD.com, Inc. (China)(c) | 3.375% | 1/14/2030 | 10,030 | 10,953,218 | ||||||||
Match Group Holdings II LLC† | 5.00% | 12/15/2027 | 1,980 | 2,100,899 | ||||||||
Match Group Holdings II LLC† | 5.625% | 2/15/2029 | 1,858 | 2,029,865 | ||||||||
Meituan (China)†(c) | 3.05% | 10/28/2030 | 4,700 | 4,874,276 | ||||||||
Netflix, Inc.† | 4.875% | 6/15/2030 | 3,591 | 4,158,827 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 5,169 | 6,492,471 | ||||||||
Prosus NV (Netherlands)†(c) | 3.68% | 1/21/2030 | 1,490 | 1,627,413 | ||||||||
Prosus NV (Netherlands)†(c) | 5.50% | 7/21/2025 | 5,300 | 6,119,497 | ||||||||
Tencent Holdings Ltd. (China)†(c) | 3.595% | 1/19/2028 | 13,960 | 15,375,529 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 3,839 | 4,143,721 | ||||||||
Total | 73,780,103 | |||||||||||
Telecommunications 0.98% | ||||||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 11,631 | 13,897,453 | ||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(c) | 6.75% | 10/1/2026 | 6,098 | 6,328,809 | ||||||||
Frontier Communications Corp.† | 5.00% | 5/1/2028 | 4,819 | 4,903,333 | ||||||||
Logan Merger Sub, Inc.† | 5.50% | 9/1/2027 | 4,083 | 4,241,216 | ||||||||
Ooredoo International Finance Ltd.† | 3.75% | 6/22/2026 | 1,800 | 2,012,805 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 3,140 | 4,083,806 | ||||||||
T-Mobile USA, Inc.† | 3.75% | 4/15/2027 | 2,000 | 2,266,200 | ||||||||
Zayo Group Holdings, Inc.† | 4.00% | 3/1/2027 | 4,063 | 4,047,540 | ||||||||
Total | 41,781,162 | |||||||||||
Toys 0.10% | ||||||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 3,948 | 4,156,060 | ||||||||
Transportation: Miscellaneous 0.38% | ||||||||||||
Autoridad del Canal de Panama (Panama)†(c) | 4.95% | 7/29/2035 | 200 | 251,111 | ||||||||
Huntington Ingalls Industries, Inc.† | 3.844% | 5/1/2025 | 2,885 | 3,213,928 | ||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(c) | 4.50% | 5/2/2023 | 1,500 | 1,596,097 | ||||||||
Watco Cos LLC/Watco Finance Corp.† | 6.50% | 6/15/2027 | 6,714 | 7,129,429 | ||||||||
XPO Logistics, Inc.† | 6.25% | 5/1/2025 | 3,938 | 4,225,966 | ||||||||
Total | 16,416,531 |
384 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Utilities 0.10% | ||||||||||||
Aegea Finance Sarl (Luxembourg)†(c) | 5.75% | 10/10/2024 | $ | 3,936 | $ | 4,120,539 | ||||||
Total Corporate Bonds (cost $1,716,086,164) | 1,811,562,387 | |||||||||||
FLOATING RATE LOAN(g) 0.05% | ||||||||||||
Transportation: Miscellaneous | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan (cost $2,241,809) | 9.50% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 2,238 | 2,036,580 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS 4.46% | ||||||||||||
Bermuda 0.30% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | 12,480 | 12,985,440 | ||||||||
China 0.19% | ||||||||||||
China Government International Bond†(c) | 2.25% | 10/21/2050 | 8,000 | 7,991,820 | ||||||||
Dominican Republic 0.11% | ||||||||||||
Dominican Republic†(c) | 4.875% | 9/23/2032 | 4,492 | 4,817,670 | ||||||||
Egypt 0.35% | ||||||||||||
Republic of Egypt†(c) | 4.55% | 11/20/2023 | 635 | 650,999 | ||||||||
Republic of Egypt†(c) | 6.125% | 1/31/2022 | 1,065 | 1,109,190 | ||||||||
Republic of Egypt†(c) | 6.588% | 2/21/2028 | 3,800 | 4,080,915 | ||||||||
Republic of Egypt†(c) | 7.60% | 3/1/2029 | 6,500 | 7,264,056 | ||||||||
Republic of Egypt†(c) | 7.903% | 2/21/2048 | 1,560 | 1,619,272 | ||||||||
Total | 14,724,432 | |||||||||||
Ghana 0.22% | ||||||||||||
Republic of Ghana†(c) | 6.375% | 2/11/2027 | 9,500 | 9,589,300 | ||||||||
Indonesia 0.26% | ||||||||||||
Republic of Indonesia(c) | 3.40% | 9/18/2029 | 10,000 | 11,227,291 | ||||||||
Japan 2.03% | ||||||||||||
Japan Treasury Discount Bill(a) | Zero Coupon | 2/22/2021 | JPY | 9,000,000 | 86,225,748 | |||||||
Latvia 0.05% | ||||||||||||
Republic of Latvia†(c) | 5.25% | 6/16/2021 | $ | 2,047 | 2,102,013 | |||||||
Nigeria 0.30% | ||||||||||||
Republic of Nigeria†(c) | 6.375% | 7/12/2023 | 3,720 | 3,994,071 | ||||||||
Republic of Nigeria†(c) | 7.143% | 2/23/2030 | 8,475 | 8,931,319 | ||||||||
Total | 12,925,390 |
See Notes to Financial Statements. | 385 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Peru 0.07% | ||||||||||||
Peruvian Government International Bond(c) | 2.392% | 1/23/2026 | $ | 2,700 | $ | 2,847,150 | ||||||
Qatar 0.22% | ||||||||||||
State of Qatar†(c) | 3.25% | 6/2/2026 | 5,701 | 6,339,968 | ||||||||
State of Qatar†(c) | 5.103% | 4/23/2048 | 2,100 | 3,008,303 | ||||||||
Total | 9,348,271 | |||||||||||
Turkey 0.31% | ||||||||||||
Republic of Turkey(c) | 4.25% | 4/14/2026 | 5,200 | 5,011,708 | ||||||||
Republic of Turkey(c) | 5.25% | 3/13/2030 | 2,532 | 2,453,837 | ||||||||
Republic of Turkey(c) | 5.75% | 3/22/2024 | 2,625 | 2,695,224 | ||||||||
Turkiye Ihracat Kredi Bankasi AS†(c) | 8.25% | 1/24/2024 | 2,650 | 2,837,660 | ||||||||
Total | 12,998,429 | |||||||||||
Ukraine 0.05% | ||||||||||||
Ukraine Government International Bond†(c) | 7.75% | 9/1/2024 | 1,952 | 2,138,723 | ||||||||
Total Foreign Government Obligations (cost $183,607,938) | 189,921,677 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.18% | ||||||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.187% | #(h) | 2/25/2032 | 16,733 | 1,982,522 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(h) | 2/16/2049 | 4,341 | 4,556,652 | |||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(h) | 2/16/2053 | 950 | 996,324 | |||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $7,395,484) | 7,535,498 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 24.60% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 10/1/2049 | 8,745 | 9,882,637 | ||||||||
Federal National Mortgage Assoc.(i) | 2.50% | TBA | 58,018 | 60,794,677 | ||||||||
Federal National Mortgage Assoc.(i) | 3.00% | TBA | 326,650 | 341,266,314 | ||||||||
Federal National Mortgage Assoc. | 3.50% | 9/1/2047 - 3/1/2050 | 63,611 | 68,730,721 | ||||||||
Federal National Mortgage Assoc.(i) | 3.50% | TBA | 339,900 | 358,581,220 | ||||||||
Federal National Mortgage Assoc. | 4.00% | 1/1/2048 | 10,661 | 12,046,386 | ||||||||
Federal National Mortgage Assoc.(i) | 4.00% | TBA | 183,617 | 195,899,975 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $1,043,387,624) | 1,047,201,930 | |||||||||||
MUNICIPAL BONDS 0.77% | ||||||||||||
Miscellaneous | ||||||||||||
California | 7.30% | 10/1/2039 | 1,495 | 2,462,818 | ||||||||
California | 7.625% | 3/1/2040 | 2,235 | 3,882,888 | ||||||||
California Health Facilities Financing Authority | 3.034% | 6/1/2034 | 2,215 | 2,360,924 | ||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 4,092 | 4,311,945 |
386 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Miscellaneous (continued) | ||||||||||||
Massachusetts School Building Authority | 3.395% | 10/15/2040 | $ | 5,675 | $ | 5,974,867 | ||||||
Michigan Finance Authority | 3.084% | 12/1/2034 | 5,935 | 6,408,791 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 4,310 | 4,743,802 | ||||||||
University of California Bond of Regents | 3.006% | 5/15/2050 | 2,380 | 2,554,287 | ||||||||
Total Municipal Bonds (cost $30,691,829) | 32,700,322 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 6.14% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(h) | 12/25/2059 | 1,939 | 1,961,981 | |||||||
Angel Oak Mortgage Trust I LLC 2019-4 A1† | 2.993% | #(h) | 7/26/2049 | 5,017 | 5,094,799 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 1.091% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 3,567 | 3,453,844 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.097% (1 Mo. LIBOR + .96% | )# | 11/15/2034 | 4,168 | 4,067,271 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 1.451% (1 Mo. LIBOR + 1.31% | )# | 11/15/2034 | 1,832 | 1,772,281 | |||||||
BX Trust 2018-GW A† | 0.941% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 9,610 | 9,362,771 | |||||||
BX Trust 2019-OC11 A† | 3.202% | 12/9/2041 | 7,941 | 8,529,920 | ||||||||
CF Trust 2019-BOSS A1† | 3.391% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 4,660 | 4,304,153 | (b) | ||||||
Citigroup Commercial Mortgage Trust 2014-GC25 XB IO | 0.33% | #(h) | 10/10/2047 | 50,626 | 412,096 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 8,100 | 5,688,888 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.133% | #(h) | 8/10/2047 | 3,638 | 103,430 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS4 D† | 4.863% | #(h) | 8/10/2047 | 12,450 | 9,923,285 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | 4.451% | #(h) | 2/10/2048 | 10,552 | 7,011,582 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 AM | 4.29% | #(h) | 7/10/2050 | 3,400 | 3,796,627 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.576% | #(h) | 7/10/2050 | 1,570 | 1,679,151 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.576% | #(h) | 7/10/2050 | 2,684 | 2,597,590 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.576% | #(h) | 7/10/2050 | 7,822 | 6,307,356 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | 1,922 | 2,102,059 |
See Notes to Financial Statements. | 387 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2014-USA E† | 4.373% | 9/15/2037 | $ | 3,000 | $ | 2,218,762 | ||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(h) | 2/25/2050 | 4,332 | 4,418,384 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-SPT1 A1† | 1.70% | 4/25/2065 | 9,160 | 9,219,612 | ||||||||
CSAIL Commercial Mortgage Trust 2016-C7 D† | 4.532% | #(h) | 11/15/2049 | 4,890 | 3,062,323 | |||||||
CSAIL Commercial Mortgage Trust 2019-C18 AS | 3.321% | 12/15/2052 | 4,507 | 4,982,911 | ||||||||
CSMC Series 2019-UVIL A† | 3.16% | 12/15/2041 | 3,895 | 3,862,243 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 1.179% (1 Mo. LIBOR + 1.03% | )# | 12/19/2030 | 6,411 | 6,305,307 | |||||||
Deephaven Residential Mortgage Trust 2019-3A A1† | 2.964% | #(h) | 7/25/2059 | 5,305 | 5,381,634 | |||||||
Deephaven Residential Mortgage Trust 2019-4A A1† | 2.791% | #(h) | 10/25/2059 | 3,465 | 3,529,585 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(h) | 1/25/2060 | 2,645 | 2,680,398 | |||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 2,014 | 2,063,847 | ||||||||
Great Wolf Trust 2019-WOLF A† | 1.175% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | 12,751 | 12,390,281 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 1.091% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 4,372 | 4,197,025 | |||||||
GS Mortgage Securities Trust 2014-GC26 C | 4.662% | #(h) | 11/10/2047 | 135 | 125,683 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.569% | #(h) | 7/10/2048 | 1,230 | 1,237,346 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO† | 0.723% | #(h) | 8/5/2034 | 19,156 | 488,286 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 4,226 | 3,498,962 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(h) | 8/5/2034 | 3,741 | 2,496,634 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO† | 0.665% | #(h) | 8/5/2034 | 22,024 | 181,257 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.41% | #(h) | 7/15/2048 | 2,500 | 2,492,413 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.143% | #(h) | 10/5/2031 | 2,860 | 2,746,523 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 1.141% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 6,961 | 6,766,713 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 1.441% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 6,336 | 6,090,825 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.02% (1 Mo. LIBOR + 1.02% | )# | 11/15/2035 | 3,436 | 3,322,204 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 1.088% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 2,393 | 2,355,363 |
388 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFL† | 1.388% (1 Mo. LIBOR + 1.25% | )# | 7/5/2033 | $ | 7,410 | $ | 7,269,157 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 2,228 | 2,324,177 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 2,968 | 3,073,611 | ||||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 523 | 352,397 | ||||||||
New Residential Mortgage Loan Trust 2019-NQM3 A1† | 2.802% | #(h) | 7/25/2049 | 4,676 | 4,738,243 | |||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(h) | 1/26/2060 | 1,787 | 1,828,986 | |||||||
PFP Ltd. 2019-6 A† | 1.186% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 4,767 | 4,706,919 | |||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.833% | 10/25/2052 | 3,386 | 3,451,760 | ||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(h) | 2/25/2024 | 1,278 | 1,303,902 | |||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(h) | 9/25/2042 | 147 | 148,456 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A1† | 3.872% | #(h) | 1/5/2043 | 695 | 721,036 | |||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(h) | 2/25/2050 | 2,576 | 2,633,753 | |||||||
Starwood Mortgage Residential Trust 2020-3 A1† | 1.486% | #(h) | 4/25/2065 | 11,647 | 11,734,387 | |||||||
UBS-BAMLL Trust 2012-WRM E† | 4.379% | #(h) | 6/10/2030 | 3,905 | 1,608,585 | |||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 6,195 | 6,318,150 | ||||||||
Verus Securitization Trust 2020-5 A1† | 1.218% | 5/25/2065 | 10,253 | 10,279,880 | ||||||||
Vista Point Securitization Trust 2020-2 A1† | 1.475% | #(h) | 4/25/2065 | 6,580 | 6,616,264 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.41% | #(h) | 7/15/2046 | 5,195 | 1,922,160 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.238% | #(h) | 5/15/2048 | 7,460 | 6,518,324 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(h) | 7/15/2048 | 2,642 | 2,547,616 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E† | 5.162% | #(h) | 1/15/2059 | 2,748 | 2,378,907 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(h) | 11/15/2050 | 3,197 | 3,404,626 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.71% | #(h) | 10/15/2057 | 58,897 | 1,054,128 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $271,968,878) | 261,219,029 | |||||||||||
U.S. TREASURY OBLIGATIONS 23.26% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 2/4/2021 | 309,219 | 309,179,825 | ||||||||
See Notes to Financial Statements. | 389 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||||||
U.S. Treasury Bill | 2.50% | 1/31/2021 | $ | 214,032 | $ | 214,872,266 | ||||||
U.S. Treasury Bond | 1.125% | 5/15/2040 | 89,456 | 85,982,592 | ||||||||
U.S. Treasury Bond | 1.375% | 8/15/2050 | 22,522 | 21,404,698 | ||||||||
U.S. Treasury Bond | 1.625% | 11/15/2050 | 32,994 | 33,347,139 | ||||||||
U.S. Treasury Bond | 2.375% | 11/15/2049 | 10,480 | 12,485,528 | ||||||||
U.S. Treasury Note | 0.125% | 9/30/2022 | 55,104 | 55,091,085 | ||||||||
U.S. Treasury Note | 0.125% | 10/31/2022 | 55,125 | 55,107,773 | ||||||||
U.S. Treasury Note | 0.25% | 11/15/2023 | 91,519 | 91,687,023 | ||||||||
U.S. Treasury Note | 0.25% | 10/31/2025 | 111,562 | 110,986,758 | ||||||||
Total U.S. Treasury Obligations (cost $991,760,178) | 990,144,687 | |||||||||||
Total Long-Term Investments (cost $4,851,735,114) | 4,948,924,516 | |||||||||||
SHORT-TERM INVESTMENTS 5.22% | ||||||||||||
REPURCHASE AGREEMENTS | ||||||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $40,959,300 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $40,936,895; proceeds: $40,134,161 | 40,134 | 40,134,161 | ||||||||||
Repurchase Agreement dated 11/30/2020, 0.07% due 12/1/2020 with Toronto Dominion Grand Cayman collateralized by $173,830,000 of U.S. Treasury Note at 2.25% due 4/30/2024; value: $186,176,859; proceeds: $182,000,354 | 182,000 | 182,000,000 | ||||||||||
Total Repurchase Agreements (cost $222,134,161) | 222,134,161 | |||||||||||
Total Investments in Securities 121.49% (cost $5,073,869,275) | 5,171,058,677 | |||||||||||
Liabilities in Excess of Foreign Cash and Other Assets(j) (21.49%) | (914,541,983 | ) | ||||||||||
Net Assets 100.00% | $ | 4,256,516,694 |
CAD | Canadian dollar. | |
EUR | Euro. | |
JPY | Japanese yen. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
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, 2020, the total value of Rule 144A securities was $1,494,213,753, which represents 35.10% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. |
390 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
(c) | Foreign security traded in U.S. dollars. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(f) | Defaulted (non-income producing security). | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at November 30, 2020. | |
(h) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(j) | 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: |
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at November 30, 2020(1):
Central | Fund | |||||||||||||
Referenced | Clearing | Pays | Termination | Notional | Notional | Payments | Unrealized | |||||||
Index | party | (Quarterly) | Date | Amount | Value | Upfront(2) | Depreciation(3) | |||||||
Markit CDX. NA.IG.35(4)(5) | Credit Suisse | 1.00% | 12/20/2025 | $207,700,000 | $212,859,239 | $(4,567,359) | $(591,880) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. |
(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 $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $591,880. |
(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 investment grade securities. |
Open Forward Foreign Currency Exchange Contracts at November 30, 2020:
Forward | ||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Depreciation | |||||||||||||
Canadian dollar | Sell | Morgan Stanley | 12/15/2020 | 3,975,000 | $ | 3,017,027 | $ | 3,061,014 | $ | (43,987 | ) | |||||||||
Canadian dollar | Sell | Barclays Bank plc | 1/20/2021 | 14,128,000 | 10,765,870 | 10,882,198 | (116,328 | ) | ||||||||||||
Euro | Sell | Credit Agricole | 12/4/2020 | 1,744,000 | 2,068,619 | 2,080,426 | (11,807 | ) | ||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 2/22/2021 | 9,000,000,000 | 86,064,034 | 86,329,575 | (265,541 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (437,663 | ) |
See Notes to Financial Statements. | 391 |
Schedule of Investments (continued)
TOTAL RETURN FUND November 30, 2020
Open Futures Contracts at November 30, 2020:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 5-Year Treasury Note | March 2021 | 1,118 | Long | $ | 140,784,955 | $ | 140,902,938 | $ | 117,983 | |||||||||
U.S. Long Bond | March 2021 | 1,645 | Long | 286,753,307 | 287,720,781 | 967,474 | ||||||||||||
U.S. Ultra Treasury Bond | March 2021 | 902 | Long | 193,678,318 | 194,860,187 | 1,181,869 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 2,267,326 | ||||||||||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Note | March 2021 | 2,280 | Short | $ | (357,674,028) | $ | (358,245,000) | $ | (570,972) |
The following is a summary of the inputs used as of November 30, 2020 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 | ||||||||||||||||
Other | $ | – | $ | 339,321,314 | $ | 20,060,159 | $ | 359,381,473 | ||||||||
Remaining Industries | – | 247,220,933 | – | 247,220,933 | ||||||||||||
Corporate Bonds | – | 1,811,562,387 | – | 1,811,562,387 | ||||||||||||
Floating Rate Loan | – | 2,036,580 | – | 2,036,580 | ||||||||||||
Foreign Government Obligations | – | 189,921,677 | – | 189,921,677 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 7,535,498 | – | 7,535,498 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 1,047,201,930 | – | 1,047,201,930 | ||||||||||||
Municipal Bonds | – | 32,700,322 | – | 32,700,322 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 256,914,876 | 4,304,153 | 261,219,029 | ||||||||||||
U.S. Treasury Obligations | – | 990,144,687 | – | 990,144,687 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 222,134,161 | – | 222,134,161 | ||||||||||||
Total | $ | – | $ | 5,146,694,365 | $ | 24,364,312 | $ | 5,171,058,677 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (591,880 | ) | – | (591,880 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (437,663 | ) | – | (437,663 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 2,267,326 | – | – | 2,267,326 | ||||||||||||
Liabilities | (570,972 | ) | – | – | (570,972 | ) | ||||||||||
Total | $ | 1,696,354 | $ | (1,029,543 | ) | $ | – | $ | 666,811 |
(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 FUND November 30, 2020
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the year.
See Notes to Financial Statements. | 393 |
Schedule of Investments
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 78.17% | ||||||||||||
ASSET-BACKED SECURITIES 19.97% | ||||||||||||
Automobiles 14.89% | ||||||||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | $ | 3,741 | $ | 3,760,054 | ||||||
Ally Auto Receivables Trust 2019-4 A2 | 1.93% | 10/17/2022 | 10,223 | 10,255,666 | ||||||||
American Credit Acceptance Receivables Trust 2019-1 B† | 3.32% | 4/12/2023 | 3,715 | 3,722,952 | ||||||||
American Credit Acceptance Receivables Trust 2020-2 A† | 1.65% | 12/13/2023 | 11,407 | 11,463,162 | ||||||||
American Credit Acceptance Receivables Trust 2020-3 A† | 0.62% | 10/13/2023 | 36,473 | 36,511,005 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 C | 2.24% | 4/8/2022 | 334 | 334,761 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 D | 2.71% | 9/8/2022 | 6,489 | 6,558,047 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-3 A2A | 2.17% | 1/18/2023 | 13,016 | 13,088,397 | ||||||||
AmeriCredit Automobile Receivables Trust 2020-2 A2A | 0.60% | 12/18/2023 | 18,904 | 18,939,793 | ||||||||
ARI Fleet Lease Trust 2020-A A2† | 1.77% | 8/15/2028 | 12,188 | 12,312,337 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 25 | 24,541 | ||||||||
BMW Vehicle Lease Trust 2018-1 A3 | 3.26% | 7/20/2021 | 5,385 | 5,399,157 | ||||||||
BMW Vehicle Lease Trust 2019-1 A3 | 2.84% | 11/22/2021 | 12,664 | 12,723,170 | ||||||||
California Republic Auto Receivables Trust 2017-1 A4 | 2.28% | 6/15/2022 | 1,429 | 1,431,625 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A4† | 2.93% | 6/20/2022 | 12,491 | 12,576,808 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 3,012 | 3,022,260 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 B† | 3.48% | 10/20/2023 | 5,648 | 5,703,034 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 C† | 3.69% | 12/20/2023 | 4,551 | 4,631,909 | ||||||||
Capital One Prime Auto Receivables Trust 2019-2 A2 | 2.06% | 9/15/2022 | 37,555 | 37,710,151 | ||||||||
Capital One Prime Auto Receivables Trust 2020-1 A2 | 1.64% | 6/15/2023 | 38,258 | 38,480,696 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 8,692 | 8,699,272 | ||||||||
CarMax Auto Owner Trust 2017-2 A3 | 1.93% | 3/15/2022 | 412 | 412,686 | ||||||||
CarMax Auto Owner Trust 2018-3 A3 | 3.13% | 6/15/2023 | 11,090 | 11,292,974 | ||||||||
CarMax Auto Owner Trust 2019-1 A3 | 3.05% | 3/15/2024 | 14,595 | 14,916,008 | ||||||||
Carmax Auto Owner Trust 2019-2 A3 | 2.68% | 3/15/2024 | 45,490 | 46,661,213 | ||||||||
CarMax Auto Owner Trust 2020-2 A3 | 1.70% | 11/15/2024 | 5,680 | 5,792,703 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 306 | 306,208 |
394 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Chesapeake Funding II LLC 2017-2A A2† | 0.591% (1 Mo. LIBOR + .45% | )# | 5/15/2029 | $ | 167 | $ | 166,718 | |||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 188 | 187,980 | ||||||||
Chesapeake Funding II LLC 2017-3A A2† | 0.481% (1 Mo. LIBOR + .34% | )# | 8/15/2029 | 2,757 | 2,757,381 | |||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 9,337 | 9,398,843 | ||||||||
Chesapeake Funding II LLC 2017-4A A2† | 0.451% (1 Mo. LIBOR + .31% | )# | 11/15/2029 | 1,735 | 1,737,301 | |||||||
Chesapeake Funding II LLC 2018-3A A2† | 0.621% (1 Mo. LIBOR + .48% | )# | 1/15/2031 | 45,259 | 45,292,975 | |||||||
CPS Auto Receivables Trust 2020-C A† | 0.63% | 3/15/2024 | 16,820 | 16,830,306 | ||||||||
CPS Auto Receivables Trust 2020-C B† | 1.01% | 1/15/2025 | 3,880 | 3,890,971 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 3,919 | 3,971,984 | ||||||||
Drive Auto Receivables Trust 2017-3 D† | 3.53% | 12/15/2023 | 3,135 | 3,180,808 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 9,699 | 9,850,585 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 925 | 927,817 | ||||||||
Drive Auto Receivables Trust 2018-2 C | 3.63% | 8/15/2024 | 1,978 | 1,982,280 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 2,688 | 2,704,339 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 9,411 | 9,497,414 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 1,390 | 1,447,247 | ||||||||
Drive Auto Receivables Trust 2018-5 B | 3.68% | 7/15/2023 | 10,042 | 10,066,684 | ||||||||
Drive Auto Receivables Trust 2019-3 C | 2.90% | 8/15/2025 | 5,000 | 5,157,043 | ||||||||
Drive Auto Receivables Trust 2019-4 A3 | 2.16% | 5/15/2023 | 41,306 | 41,473,411 | ||||||||
Drive Auto Receivables Trust 2019-4 B | 2.23% | 1/16/2024 | 53,208 | 53,836,695 | ||||||||
Drive Auto Receivables Trust 2020-2 A2A | 0.85% | 7/17/2023 | 45,036 | 45,116,641 | ||||||||
Enterprise Fleet Financing LLC 2017-3 A3† | 2.36% | 5/20/2023 | 11,422 | 11,531,039 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 1,731 | 1,739,943 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A3† | 3.10% | 10/20/2023 | 11,752 | 11,940,939 | ||||||||
Exeter Automobile Receivables Trust 2016-3A C† | 4.22% | 6/15/2022 | 865 | 869,960 | ||||||||
Exeter Automobile Receivables Trust 2017-1A C† | 3.95% | 12/15/2022 | 319 | 321,241 | ||||||||
Exeter Automobile Receivables Trust 2019-3A A† | 2.59% | 9/15/2022 | 3,270 | 3,273,447 | ||||||||
Exeter Automobile Receivables Trust 2020-2A A† | 1.13% | 8/15/2023 | 14,982 | 15,020,985 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 1,713 | 1,715,137 | ||||||||
First Investors Auto Owner Trust 2019-1A A† | 2.89% | 3/15/2024 | 14,739 | 14,893,199 | ||||||||
First Investors Auto Owner Trust 2019-2A A† | 2.21% | 9/16/2024 | 25,258 | 25,475,643 | ||||||||
Flagship Credit Auto Trust 2018-2 A† | 2.97% | 10/17/2022 | 1,367 | 1,369,691 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 4,195 | 4,217,339 | ||||||||
Flagship Credit Auto Trust 2020-2 A† | 1.49% | 7/15/2024 | 9,555 | 9,629,102 | ||||||||
Ford Credit Auto Lease Trust 2019-A A3 | 2.90% | 5/15/2022 | 49,998 | 50,338,218 |
See Notes to Financial Statements. | 395 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Ford Credit Auto Lease Trust 2020-A A2 | 1.80% | 7/15/2022 | $ | 32,485 | $ | 32,658,932 | ||||||
Ford Credit Auto Lease Trust 2020-B A2A | 0.50% | 12/15/2022 | 43,095 | 43,156,359 | ||||||||
Ford Credit Auto Owner Trust 2017-1 A† | 2.62% | 8/15/2028 | 20,898 | 21,467,429 | ||||||||
Ford Credit Auto Owner Trust 2018-B A3 | 3.24% | 4/15/2023 | 14,893 | 15,134,590 | ||||||||
Ford Credit Auto Owner Trust 2020-A A2 | 1.03% | 10/15/2022 | 7,186 | 7,206,785 | ||||||||
Ford Credit Auto Owner Trust 2020-B A2 | 0.50% | 2/15/2023 | 84,440 | 84,530,464 | ||||||||
Ford Credit Auto Owner Trust 2020-C A2 | 0.25% | 10/15/2023 | 102,448 | 102,474,319 | ||||||||
Ford Credit Auto Owner Trust REV1 2016-1 A† | 2.31% | 8/15/2027 | 22,256 | 22,349,613 | ||||||||
Foursight Capital Automobile Receivables Trust 2020-1 A2† | 1.97% | 9/15/2023 | 13,727 | 13,845,146 | ||||||||
GLS Auto Receivables Issuer Trust 2020-3A A† | 0.69% | 10/16/2023 | 24,867 | 24,887,622 | ||||||||
GM Financial Automobile Leasing Trust 2019-1 A3 | 2.98% | 12/20/2021 | 10,634 | 10,691,525 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 13,304 | 13,388,810 | ||||||||
GM Financial Automobile Leasing Trust 2019-3 A2A | 2.09% | 10/20/2021 | 20,667 | 20,703,750 | ||||||||
GM Financial Automobile Leasing Trust 2020-1 A2A | 1.67% | 4/20/2022 | 1,240 | 1,245,921 | ||||||||
GM Financial Automobile Leasing Trust 2020-2 A2A | 0.71% | 10/20/2022 | 27,847 | 27,936,267 | ||||||||
GM Financial Automobile Leasing Trust 2020-3 A2A | 0.35% | 11/21/2022 | 84,689 | 84,733,326 | ||||||||
GM Financial Automobile Leasing Trust 2020-3 A3 | 0.45% | 8/21/2023 | 88,466 | 88,666,075 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2017-3A A3† | 1.97% | 5/16/2022 | 4,797 | 4,807,033 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2017-3A A4† | 2.13% | 3/16/2023 | 4,797 | 4,843,998 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-2 A3 | 2.65% | 2/16/2024 | 44,556 | 45,364,732 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2020-1 A2 | 1.83% | 1/17/2023 | 10,502 | 10,556,807 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2020-4 A2 | 0.26% | 11/16/2023 | 137,890 | 137,900,935 | ||||||||
Honda Auto Receivables Owner Trust 2017-3 A3 | 1.79% | 9/20/2021 | 261 | 261,668 | ||||||||
Honda Auto Receivables Owner Trust 2020-2 A2 | 0.74% | 11/15/2022 | 27,592 | 27,656,604 | ||||||||
Honda Auto Receivables Owner Trust 2020-3 A2 | 0.27% | 2/21/2023 | 155,100 | 155,134,215 | ||||||||
Honda Auto Receivables Owner Trust 2020-3 A3 | 0.37% | 10/18/2024 | 105,418 | 105,641,402 | ||||||||
Hyundai Auto Lease Securitization Trust 2019-B A2† | 2.08% | 12/15/2021 | 12,197 | 12,231,384 | ||||||||
Hyundai Auto Lease Securitization Trust 2020-B A2† | 0.36% | 1/17/2023 | 56,713 | 56,765,465 | ||||||||
Hyundai Auto Lease Securitization Trust 2020-B A3† | 0.51% | 9/15/2023 | 29,857 | 29,956,448 | ||||||||
Hyundai Auto Receivables Trust 2017-B A3 | 1.77% | 1/18/2022 | 1,291 | 1,293,816 | ||||||||
Hyundai Auto Receivables Trust 2020-B A2 | 0.38% | 3/15/2023 | 25,489 | 25,511,186 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A3 | 3.21% | 9/15/2021 | 1,859 | 1,864,893 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 5,506 | 5,534,315 |
396 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Mercedes-Benz Auto Lease Trust 2019-B A3 | 2.00% | 10/17/2022 | $ | 7,024 | $ | 7,118,610 | ||||||
Mercedes-Benz Auto Receivables Trust 2020-1 A2 | 0.46% | 3/15/2023 | 55,266 | 55,339,216 | ||||||||
Nissan Auto Lease Trust 2019-B A2A | 2.27% | 10/15/2021 | 12,296 | 12,332,619 | ||||||||
Nissan Auto Lease Trust 2020-B A2 | 0.34% | 12/15/2022 | 132,942 | 133,018,056 | ||||||||
Nissan Auto Receivables Owner Trust 2019-A A3 | 2.90% | 10/16/2023 | 36,447 | 37,153,674 | ||||||||
Prestige Auto Receivables Trust 2019-1A A2† | 2.44% | 7/15/2022 | 4,102 | 4,108,270 | ||||||||
Prestige Auto Receivables Trust 2019-1A A3† | 2.45% | 5/15/2023 | 29,320 | 29,604,894 | ||||||||
Santander Consumer Auto Receivables Trust 2020-BA A3† | 0.46% | 8/15/2024 | 27,276 | 27,260,840 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 D | 2.80% | 8/15/2022 | 8,774 | 8,819,510 | ||||||||
Santander Drive Auto Receivables Trust 2018-2 C | 3.35% | 7/17/2023 | 27,062 | 27,323,179 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 C | 3.51% | 8/15/2023 | 27,436 | 27,699,423 | ||||||||
Santander Drive Auto Receivables Trust 2020-2 A2A | 0.62% | 5/15/2023 | 23,947 | 23,972,180 | ||||||||
Santander Retail Auto Lease Trust 2019-B A2A† | 2.29% | 4/20/2022 | 6,578 | 6,625,004 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 6 | 5,772 | ||||||||
Tesla Auto Lease Trust 2018-B A† | 3.71% | 8/20/2021 | 4,693 | 4,732,384 | ||||||||
Tesla Auto Lease Trust 2019-A A3† | 2.16% | 10/20/2022 | 49,529 | 50,677,964 | ||||||||
Tesla Auto Lease Trust 2020-A A2† | 0.55% | 5/22/2023 | 17,018 | 17,050,637 | ||||||||
Toyota Auto Receivables Owner Trust 2018-D A3 | 3.18% | 3/15/2023 | 10,943 | 11,134,012 | ||||||||
Toyota Auto Receivables Owner Trust 2019-A A3 | 2.91% | 7/17/2023 | 17,301 | 17,627,573 | ||||||||
Toyota Auto Receivables Owner Trust 2020-C A2 | 0.36% | 2/15/2023 | 52,548 | 52,578,320 | ||||||||
Toyota Auto Receivables Owner Trust 2020-D A2 | 0.23% | 5/15/2023 | 160,460 | 160,492,381 | ||||||||
USAA Auto Owner Trust 2019-1 A2 | 2.26% | 2/15/2022 | 983 | 984,099 | ||||||||
Volkswagen Auto Lease Trust 2020-A A2(a) | 0.27% | 4/20/2023 | 90,367 | 90,154,276 | ||||||||
Volkswagen Auto Lease Trust 2020-A A3(a) | 0.39% | 1/22/2024 | 44,001 | 43,764,979 | ||||||||
Volkswagen Auto Loan Enhanced Trust 2018-2 A3 | 3.25% | 4/20/2023 | 14,389 | 14,661,156 | ||||||||
Volkswagen Auto Loan Enhanced Trust 2020-1 A2A | 0.93% | 12/20/2022 | 46,569 | 46,700,059 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 4,169 | 4,189,129 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 5,492 | 5,500,280 | ||||||||
Westlake Automobile Receivables Trust 2019-1A A2A† | 3.06% | 5/16/2022 | 3,169 | 3,172,899 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 14,128 | 14,202,739 | ||||||||
Westlake Automobile Receivables Trust 2019-3A A2† | 2.15% | 2/15/2023 | 46,328 | 46,656,859 | ||||||||
Westlake Automobile Receivables Trust 2020-2A A2A† | 0.93% | 2/15/2024 | 113,156 | 113,568,255 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 747 | 750,267 | ||||||||
World Omni Auto Receivables Trust 2019-B A3 | 2.59% | 7/15/2024 | 9,491 | 9,667,201 |
See Notes to Financial Statements. | 397 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
World Omni Automobile Lease Securitization Trust 2018-B A3 | 3.19% | 12/15/2021 | $ | 17,414 | $ | 17,492,487 | ||||||
World Omni Automobile Lease Securitization Trust 2019-A A3 | 2.94% | 5/16/2022 | 24,409 | 24,692,930 | ||||||||
World Omni Automobile Lease Securitization Trust 2020-B A2 | 0.32% | 9/15/2023 | 57,126 | 57,142,749 | ||||||||
World Omni Select Auto Trust 2018-1A A3† | 3.46% | 3/15/2023 | 13,061 | 13,115,441 | ||||||||
Total | 3,210,034,052 | |||||||||||
Credit Cards 3.47% | ||||||||||||
American Express Credit Account Master Trust 2017-2 A | 0.591% (1 Mo. LIBOR + .45% | )# | 9/16/2024 | 4,415 | 4,433,800 | |||||||
American Express Credit Account Master Trust 2019-1 B | 3.07% | 10/15/2024 | 9,000 | 9,294,763 | ||||||||
BA Credit Card Trust 2018-A3 | 3.10% | 12/15/2023 | 30,475 | 31,026,000 | ||||||||
Barclays Dryrock Issuance Trust 2018-1 A | 0.471% (1 Mo. LIBOR + .33% | )# | 7/15/2024 | 8,533 | 8,548,330 | |||||||
Capital One Multi-Asset Execution Trust 2016-A7 | 0.651% (1 Mo. LIBOR + .51% | )# | 9/16/2024 | 13,141 | 13,213,068 | |||||||
Capital One Multi-Asset Execution Trust 2019-A1 | 2.84% | 12/15/2024 | 10,500 | 10,832,604 | ||||||||
Citibank Credit Card Issuance Trust 2014-A1 | 2.88% | 1/23/2023 | 9,819 | 9,856,171 | ||||||||
Discover Card Execution Note Trust 2018-A4 | 3.11% | 1/16/2024 | 11,380 | 11,583,511 | ||||||||
Discover Card Execution Note Trust 2018-A5 | 3.32% | 3/15/2024 | 13,370 | 13,695,257 | ||||||||
Discover Card Execution Note Trust 2019-A1 | 3.04% | 7/15/2024 | 13,936 | 14,376,902 | ||||||||
Discover Card Execution Note Trust 2019-A2 A | 0.411% (1 Mo. LIBOR + .27% | )# | 12/15/2023 | 5,339 | 5,351,922 | |||||||
First National Master Note Trust 2018-1 A | 0.601% (1 Mo. LIBOR + .46% | )# | 10/15/2024 | 32,938 | 32,979,525 | |||||||
Golden Credit Card Trust 2018-1A A† | 2.62% | 1/15/2023 | 28,656 | 28,736,884 | ||||||||
Golden Credit Card Trust 2019-1A A† | 0.591% (1 Mo. LIBOR + .45% | )# | 12/15/2022 | 49,831 | 49,900,136 | |||||||
Master Credit Card Trust 2019-1A A† | 0.626% (1 Mo. LIBOR + .48% | )# | 7/21/2022 | 34,629 | 34,649,625 | |||||||
Synchrony Card Funding LLC 2019-A1 A | 2.95% | 3/15/2025 | 98,911 | 102,257,960 | ||||||||
Synchrony Card Issuance Trust 2018-A1 A | 3.38% | 9/15/2024 | 76,125 | 77,986,226 | ||||||||
Synchrony Credit Card Master Note Trust 2018-1 C | 3.36% | 3/15/2024 | 15,400 | 15,498,323 | ||||||||
Trillium Credit Card Trust II 2019-2A A† | 3.038% | 1/26/2024 | 55,368 | 55,593,636 | ||||||||
World Financial Network Credit Card Master Trust 2018-A | 3.07% | 12/16/2024 | 30,616 | 30,791,571 |
398 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
World Financial Network Credit Card Master Trust 2018-B A | 3.46% | 7/15/2025 | $ | 29,864 | $ | 30,590,472 | ||||||
World Financial Network Credit Card Master Trust 2019-A A | 3.14% | 12/15/2025 | 45,315 | 46,823,817 | ||||||||
World Financial Network Credit Card Master Trust 2019-C A | 2.21% | 7/15/2026 | 106,250 | 109,622,991 | ||||||||
Total | 747,643,494 | |||||||||||
Other 1.61% | ||||||||||||
Ally Master Owner Trust 2018-2 A | 3.29% | 5/15/2023 | 15,340 | 15,554,846 | ||||||||
Amur Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 5,695 | 5,793,843 | ||||||||
Amur Equipment Finance Receivables VII LLC 2019-1A A2† | 2.63% | 6/20/2024 | 15,141 | 15,434,458 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 607 | 608,216 | ||||||||
BMW Floorplan Master Owner Trust 2018-1 A1† | 3.15% | 5/15/2023 | 17,792 | 18,023,488 | ||||||||
CCG Receivables Trust 2018-1 A2† | 2.50% | 6/16/2025 | 167 | 167,120 | ||||||||
Conn’s Receivables Funding LLC 2019-A† | 3.40% | 10/16/2023 | 6,238 | 6,265,490 | ||||||||
Conn’s Receivables Funding LLC 2019-B A† | 2.66% | 6/17/2024 | 3,643 | 3,644,851 | ||||||||
Dell Equipment Finance Trust 2020-2 A2† | 0.47% | 10/24/2022 | 37,598 | 37,674,892 | ||||||||
Dell Equipment Finance Trust 2020-2 A3† | 0.57% | 10/23/2023 | 49,519 | 49,693,842 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 3,743 | 3,756,100 | ||||||||
DLL LLC 2019-MT3 A2† | 2.13% | 1/20/2022 | 27,076 | 27,191,518 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 1,115 | 1,115,904 | ||||||||
Ford Credit Floorplan Master Owner Trust A 2018-1 A1 | 2.95% | 5/15/2023 | 32,154 | 32,541,713 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 1,386 | 1,390,222 | ||||||||
GMF Floorplan Owner Revolving Trust 2018-2 A1† | 3.13% | 3/15/2023 | 32,275 | 32,532,709 | ||||||||
HPEFS Equipment Trust 2020-1A A2† | 1.73% | 2/20/2030 | 13,902 | 14,014,035 | ||||||||
Marlette Funding Trust 2018-4A A† | 3.71% | 12/15/2028 | 2,419 | 2,431,765 | ||||||||
Mercedes-Benz Master Owner Trust 2018-BA A† | 0.481% (1 Mo. LIBOR + .34% | )# | 5/15/2023 | 20,435 | 20,462,559 | |||||||
NextGear Floorplan Master Owner Trust 2018-2A A1† | 0.741% (1 Mo. LIBOR + .60% | )# | 10/15/2023 | 14,616 | 14,651,400 | |||||||
PFS Financing Corp. 2020-F A† | 0.93% | 8/15/2024 | 25,175 | 25,333,915 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 2,485 | 2,493,449 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 928 | 928,776 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 14,577 | 14,688,068 |
See Notes to Financial Statements. | 399 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | $ | 1,582 | $ | 1,602,460 | ||||||
Total | 347,995,639 | |||||||||||
Total Asset-Backed Securities (cost $4,299,363,362) | 4,305,673,185 | |||||||||||
CORPORATE BONDS 51.37% | ||||||||||||
Aerospace/Defense 0.67% | ||||||||||||
L3Harris Technologies, Inc. | 1.00% (3 Mo. LIBOR + .75% | )# | 3/10/2023 | 82,463 | 83,176,196 | |||||||
Raytheon Technologies Corp.† | 2.80% | 3/15/2022 | 58,921 | 60,653,481 | ||||||||
Total | 143,829,677 | |||||||||||
Automotive 5.38% | ||||||||||||
American Honda Finance Corp. | 0.60% (3 Mo. LIBOR + .35% | )# | 6/11/2021 | 22,992 | 23,032,054 | |||||||
American Honda Finance Corp. | 0.773% (3 Mo. LIBOR + .54% | )# | 6/27/2022 | 69,124 | 69,525,396 | |||||||
BMW Finance NV (Netherlands)†(b) | 1.004% (3 Mo. LIBOR + .79% | )# | 8/12/2022 | 45,887 | 46,217,175 | |||||||
BMW US Capital LLC† | 0.631% (3 Mo. LIBOR + .41% | )# | 4/12/2021 | 77,657 | 77,736,670 | |||||||
BMW US Capital LLC† | 0.714% (3 Mo. LIBOR + .50% | )# | 8/13/2021 | 56,220 | 56,354,058 | |||||||
BMW US Capital LLC† | 0.759% (3 Mo. LIBOR + .53% | )# | 4/14/2022 | 48,940 | 49,102,966 | |||||||
BMW US Capital LLC† | 0.874% (3 Mo. LIBOR + .64% | )# | 4/6/2022 | 9,237 | 9,280,447 | |||||||
Daimler Finance North America LLC† | 0.644% (3 Mo. LIBOR + .43% | )# | 2/12/2021 | 53,126 | 53,151,710 | |||||||
Daimler Finance North America LLC† | 0.663% (3 Mo. LIBOR + .45% | )# | 2/22/2021 | 10,149 | 10,155,568 | |||||||
Daimler Finance North America LLC† | 0.77% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 10,073 | 10,088,289 | |||||||
Daimler Finance North America LLC† | 0.895% (3 Mo. LIBOR + .67% | )# | 11/5/2021 | 99,774 | 100,176,490 | |||||||
Daimler Finance North America LLC† | 1.093% (3 Mo. LIBOR + .88% | )# | 2/22/2022 | 16,285 | 16,393,826 | |||||||
Daimler Finance North America LLC† | 1.121% (3 Mo. LIBOR + .90% | )# | 2/15/2022 | 66,291 | 66,740,956 | |||||||
Daimler Finance North America LLC† | 2.85% | 1/6/2022 | 6,020 | 6,177,543 | ||||||||
Daimler Finance North America LLC† | 3.00% | 2/22/2021 | 36,795 | 37,014,480 | ||||||||
Daimler Finance North America LLC† | 3.40% | 2/22/2022 | 18,453 | 19,096,401 |
400 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Ford Motor Credit Co. LLC | 1.044% (3 Mo. LIBOR + .81% | )# | 4/5/2021 | $ | 14,800 | $ | 14,725,096 | |||||
Ford Motor Credit Co. LLC | 1.104% (3 Mo. LIBOR + .88% | )# | 10/12/2021 | 33,232 | 32,685,676 | |||||||
General Motors Financial Co., Inc. | 1.779% (3 Mo. LIBOR + 1.55% | )# | 1/14/2022 | 9,375 | 9,445,944 | |||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | 39,689 | 40,185,993 | ||||||||
General Motors Financial Co., Inc. | 3.55% | 4/9/2021 | 9,164 | 9,257,277 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 11/6/2021 | 29,127 | 30,054,419 | ||||||||
General Motors Financial Co., Inc. | 4.375% | 9/25/2021 | 10,998 | 11,314,356 | ||||||||
Harley-Davidson Financial Services, Inc.† | 2.85% | 1/15/2021 | 12,189 | 12,210,379 | ||||||||
Nissan Motor Acceptance Corp.† | 0.77% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 32,286 | 32,224,550 | |||||||
Toyota Motor Credit Corp. | 0.346% (3 Mo. LIBOR + .13% | )# | 8/13/2021 | 45,812 | 45,834,275 | |||||||
Toyota Motor Credit Corp. | 0.371% (3 Mo. LIBOR + .15% | )# | 2/14/2022 | 78,180 | 78,270,955 | |||||||
Toyota Motor Credit Corp. | 0.77% (3 Mo. LIBOR + .54% | )# | 1/8/2021 | 23,434 | 23,447,621 | |||||||
Toyota Motor Credit Corp. | 1.15% | 5/26/2022 | 92,417 | 93,620,481 | ||||||||
Volkswagen Group of America Finance LLC† | 0.75% | 11/23/2022 | 27,273 | 27,324,236 | ||||||||
Volkswagen Group of America Finance LLC† | 1.083% (3 Mo. LIBOR + .86% | )# | 9/24/2021 | 34,811 | 34,982,991 | |||||||
Volkswagen Group of America Finance LLC† | 1.154% (3 Mo. LIBOR + .94% | )# | 11/12/2021 | 3,115 | 3,136,655 | |||||||
Volkswagen Group of America Finance LLC† | 2.90% | 5/13/2022 | 10,539 | 10,886,680 | ||||||||
Total | 1,159,851,613 | |||||||||||
Banks: Regional 30.13% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 0.803% (3 Mo. LIBOR + .57% | )# | 8/27/2021 | 28,480 | 28,601,513 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 0.703% (3 Mo. LIBOR + .49% | )# | 11/21/2022 | 31,137 | 31,333,257 | |||||||
Bank of America Corp. | 0.875% (3 Mo. LIBOR + .65% | )# | 6/25/2022 | 36,624 | 36,743,321 | |||||||
Bank of America Corp. | 1.389% (3 Mo. LIBOR + 1.18% | )# | 10/21/2022 | 20,910 | 21,101,815 | |||||||
Bank of America Corp. | 2.738% (3 Mo. LIBOR + .37% | )# | 1/23/2022 | 170,549 | 171,144,289 | |||||||
Bank of America Corp. | 3.30% | 1/11/2023 | 29,578 | 31,382,060 |
See Notes to Financial Statements. | 401 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Bank of America Corp. | 3.499% (3 Mo. LIBOR + .63% | )# | 5/17/2022 | $ | 177,988 | $ | 180,570,084 | |||||
Bank of Montreal (Canada)(b) | 0.616% (3 Mo. LIBOR + .40% | )# | 1/22/2021 | 47,041 | 47,068,904 | |||||||
Bank of Montreal (Canada)(b) | 0.65% (3 Mo. LIBOR + .40% | )# | 9/10/2021 | 45,993 | 46,122,967 | |||||||
Bank of Montreal (Canada)(b) | 0.766% (SOFR + .68% | )# | 3/10/2023 | 108,871 | 109,656,436 | |||||||
Bank of Nova Scotia (The) (Canada)(b) | 0.632% (SOFR + .55% | )# | 9/15/2023 | 68,855 | 69,173,228 | |||||||
Barclays Bank plc (United Kingdom)(b) | 1.70% | 5/12/2022 | 26,147 | 26,615,970 | ||||||||
Barclays Bank plc (United Kingdom)†(b) | 10.179% | 6/12/2021 | 29,556 | 30,971,015 | ||||||||
Barclays plc (United Kingdom)(b) | 1.849% (3 Mo. LIBOR + 1.63% | )# | 1/10/2023 | 4,955 | 4,999,803 | |||||||
BBVA USA | 0.98% (3 Mo. LIBOR + .73% | )# | 6/11/2021 | 35,630 | 35,733,473 | |||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 0.884% (SOFR + .80% | )# | 3/17/2023 | 139,903 | 141,109,178 | |||||||
Capital One NA | 1.364% (3 Mo. LIBOR + 1.15% | )# | 1/30/2023 | 1,730 | 1,743,183 | |||||||
Capital One NA | 2.15% | 9/6/2022 | 5,493 | 5,656,410 | ||||||||
Citibank NA | 0.761% (3 Mo. LIBOR + .53% | )# | 2/19/2022 | 70,177 | 70,258,314 | |||||||
Citibank NA | 0.824% (3 Mo. LIBOR + .60% | )# | 5/20/2022 | 98,092 | 98,288,545 | |||||||
Citibank NA | 2.844% (3 Mo. LIBOR + .60% | )# | 5/20/2022 | 75,203 | 76,102,823 | |||||||
Citibank NA | 3.165% (3 Mo. LIBOR + .53% | )# | 2/19/2022 | 13,193 | 13,272,963 | |||||||
Citigroup, Inc. | 0.907% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 6,274 | 6,320,749 | |||||||
Citigroup, Inc. | 0.951% (SOFR + .87% | )# | 11/4/2022 | 30,688 | 30,839,884 | |||||||
Citigroup, Inc. | 1.175% (3 Mo. LIBOR + .96% | )# | 4/25/2022 | 45,265 | 45,703,597 | |||||||
Citigroup, Inc. | 1.318% (3 Mo. LIBOR + 1.07% | )# | 12/8/2021 | 21,283 | 21,469,191 | |||||||
Citigroup, Inc. | 1.404% (3 Mo. LIBOR + 1.19% | )# | 8/2/2021 | 32,667 | 32,908,405 | |||||||
Citigroup, Inc. | 1.60% (3 Mo. LIBOR + 1.38% | )# | 3/30/2021 | 52,653 | 52,886,187 |
402 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Citigroup, Inc. | 2.312% (SOFR + .87% | )# | 11/4/2022 | $ | 19,728 | $ | 20,070,408 | |||||
Citigroup, Inc. | 2.70% | 3/30/2021 | 115,330 | 116,243,215 | ||||||||
Citigroup, Inc. | 2.70% | 10/27/2022 | 6,114 | 6,370,828 | ||||||||
Citizens Bank NA/Providence RI | 0.941% (3 Mo. LIBOR + .72% | )# | 2/14/2022 | 32,248 | 32,401,734 | |||||||
Citizens Bank NA/Providence RI | 1.043% (3 Mo. LIBOR + .81% | )# | 5/26/2022 | 2,778 | 2,799,472 | |||||||
Credit Suisse AG | 0.531% (SOFR + .45% | )# | 2/4/2022 | 5,092 | 5,099,986 | |||||||
Credit Suisse AG | 2.80% | 4/8/2022 | 35,572 | 36,759,272 | ||||||||
Danske Bank A/S (Denmark)†(b) | 3.001% (3 Mo. LIBOR + 1.25% | )# | 9/20/2022 | 59,058 | 60,081,643 | |||||||
Danske Bank A/S (Denmark)†(b) | 5.00% | 1/12/2022 | 88,290 | 92,451,167 | ||||||||
DNB Bank ASA (Norway)†(b) | 0.848% (3 Mo. LIBOR + .62% | )# | 12/2/2022 | 45,731 | 46,089,478 | |||||||
Fifth Third Bank NA | 0.655% (3 Mo. LIBOR + .44% | )# | 7/26/2021 | 25,887 | 25,944,476 | |||||||
Fifth Third Bank NA | 0.854% (3 Mo. LIBOR + .64% | )# | 2/1/2022 | 1,505 | 1,514,064 | |||||||
Goldman Sachs Group, Inc. (The) | 0.619% (SOFR + .54% | )# | 11/17/2023 | 54,581 | 54,675,444 | |||||||
Goldman Sachs Group, Inc. (The) | 0.963% (3 Mo. LIBOR + .75% | )# | 2/23/2023 | 135,220 | 136,347,003 | |||||||
Goldman Sachs Group, Inc. (The) | 0.994% (3 Mo. LIBOR + .78% | )# | 10/31/2022 | 207,418 | 208,289,077 | |||||||
Goldman Sachs Group, Inc. (The) | 1.325% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 218,544 | 219,290,527 | |||||||
Goldman Sachs Group, Inc. (The) | 1.575% (3 Mo. LIBOR + 1.36% | )# | 4/23/2021 | 25,700 | 25,802,169 | |||||||
Goldman Sachs Group, Inc. (The) | 1.977% (3 Mo. LIBOR + 1.77% | )# | 2/25/2021 | 49,500 | 49,700,712 | |||||||
Goldman Sachs Group, Inc. (The) | 2.876% (3 Mo. LIBOR +.82% | )# | 10/31/2022 | 83,265 | 85,106,910 | |||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 25,716 | 27,299,224 | ||||||||
Huntington National Bank (The) | 0.775% (3 Mo. LIBOR + .55% | )# | 2/5/2021 | 47,000 | 47,024,307 | |||||||
ING Groep NV (Netherlands)(b) | 1.368% (3 Mo. LIBOR + 1.15% | )# | 3/29/2022 | 56,060 | 56,679,122 | |||||||
Intesa Sanpaolo SpA (Italy)†(b) | 6.50% | 2/24/2021 | 28,531 | 28,886,451 |
See Notes to Financial Statements. | 403 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
JPMorgan Chase & Co. | 1.237% (3 Mo. LIBOR + 1.00% | )# | 1/15/2023 | $ | 28,520 | $ | 28,780,723 | |||||
KeyBank NA | 0.874% (3 Mo. LIBOR + .66% | )# | 2/1/2022 | 62,787 | 63,196,426 | |||||||
KeyBank NA | 1.023% (3 Mo. LIBOR + .81% | )# | 11/22/2021 | 4,428 | 4,461,386 | |||||||
Lloyds Banking Group plc (United Kingdom)(b) | 1.027% (3 Mo. LIBOR + .80% | )# | 6/21/2021 | 9,492 | 9,529,104 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 0.655% (3 Mo. LIBOR + .45% | )# | 11/24/2021 | 91,604 | 91,928,483 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 0.682% (3 Mo. LIBOR + .45% | )# | 8/6/2021 | 68,896 | 69,076,693 | |||||||
Manufacturers & Traders Trust Co. | 0.485% (3 Mo. LIBOR + .27% | )# | 1/25/2021 | 17,447 | 17,452,666 | |||||||
Manufacturers & Traders Trust Co. | 0.865% (3 Mo. LIBOR + .64% | )# | 12/1/2021 | 53,378 | 53,455,094 | |||||||
Manufacturers & Traders Trust Co. | 1.362% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 40,097 | 40,119,273 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 0.865% (3 Mo. LIBOR + .65% | )# | 7/26/2021 | 19,196 | 19,261,554 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 2.623% | 7/18/2022 | 86,031 | 89,230,466 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 3.218% | 3/7/2022 | 12,239 | 12,681,278 | ||||||||
Morgan Stanley | 0.782% (SOFR + .70% | )# | 1/20/2023 | 232,583 | 233,420,743 | |||||||
Morgan Stanley | 0.915% (SOFR + .83% | )# | 6/10/2022 | 12,150 | 12,179,660 | |||||||
Morgan Stanley | 1.146% (3 Mo. LIBOR + .93% | )# | 7/22/2022 | 182,953 | 183,838,858 | |||||||
Morgan Stanley | 1.398% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 237,228 | 237,577,809 | |||||||
Morgan Stanley | 5.50% | 7/28/2021 | 53,743 | 55,541,617 | ||||||||
MUFG Union Bank NA | 0.85% (3 Mo. LIBOR + .60% | )# | 3/7/2022 | 46,977 | 47,220,780 | |||||||
National Australia Bank Ltd. (Australia)†(b) | 0.659% (3 Mo. LIBOR + .41% | )# | 12/13/2022 | 72,383 | 72,716,116 |
404 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
National Australia Bank Ltd. (Australia)†(b) | 0.807% (3 Mo. LIBOR + .58% | )# | 9/20/2021 | $ | 4,611 | $ | 4,631,180 | |||||
National Bank of Canada (Canada)†(b) | 2.15% | 10/7/2022 | 8,945 | 9,232,514 | ||||||||
Nordea Bank Abp (Finland)†(b) | 4.875% | 5/13/2021 | 38,273 | 39,035,086 | ||||||||
PNC Bank NA | 0.466% (3 Mo. LIBOR + .25% | )# | 1/22/2021 | 3,500 | 3,501,276 | |||||||
PNC Bank NA | 0.53% (3 Mo. LIBOR + .33% | )# | 2/24/2023 | 91,548 | 91,717,150 | |||||||
PNC Bank NA | 0.666% (3 Mo. LIBOR + .45% | )# | 7/22/2022 | 136,045 | 136,357,418 | |||||||
PNC Bank NA | 0.672% (3 Mo. LIBOR + .43% | )# | 12/9/2022 | 68,653 | 68,865,710 | |||||||
PNC Bank NA | 2.232% (3 Mo. LIBOR + .44% | )# | 7/22/2022 | 6,427 | 6,507,383 | |||||||
Royal Bank of Canada (Canada)(b) | 0.532% (SOFR + .45% | )# | 10/26/2023 | 86,378 | 86,528,391 | |||||||
Royal Bank of Canada (Canada)(b) | 0.578% (3 Mo. LIBOR + .36% | )# | 1/17/2023 | 97,223 | 97,621,682 | |||||||
Royal Bank of Canada (Canada)(b) | 0.58% (3 Mo. LIBOR + .35% | )# | 7/8/2021 | 46,102 | 46,196,661 | |||||||
Santander UK plc (United Kingdom)(b) | 0.845% (3 Mo. LIBOR + .62% | )# | 6/1/2021 | 14,250 | 14,287,296 | |||||||
Skandinaviska Enskilda Banken AB (Sweden)†(b) | 0.894% (3 Mo. LIBOR + .65% | )# | 12/12/2022 | 57,560 | 58,118,971 | |||||||
Standard Chartered plc (United Kingdom)†(b) | 1.333% (SOFR + .1.25% | )# | 10/14/2023 | 31,978 | 32,177,212 | |||||||
Standard Chartered plc (United Kingdom)†(b) | 1.45% (3 Mo. LIBOR + 1.20% | )# | 9/10/2022 | 48,933 | 49,131,562 | |||||||
Standard Chartered plc (United Kingdom)(b) | 5.70% | 1/25/2022 | 5,961 | 6,267,562 | ||||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(b) | 2.784% | 7/12/2022 | 46,435 | 48,225,645 | ||||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(b) | 2.846% | 1/11/2022 | 22,090 | 22,704,381 | ||||||||
Swedbank AB (Sweden)†(b) | 2.80% | 3/14/2022 | 47,067 | 48,551,816 | ||||||||
Toronto-Dominion Bank (The) (Canada)(b) | 0.514% (3 Mo. LIBOR + .30% | )# | 7/30/2021 | 68,437 | 68,596,460 | |||||||
Toronto-Dominion Bank (The) (Canada)(b) | 0.516% (3 Mo. LIBOR + .27% | )# | 3/17/2021 | 91,813 | 91,882,151 | |||||||
Toronto-Dominion Bank (The) (Canada)(b) | 0.534% (SOFR + .45% | )# | 9/28/2023 | 22,823 | 22,868,559 | |||||||
Toronto-Dominion Bank (The) (Canada)(b) | 0.755% (3 Mo. LIBOR + .53% | )# | 12/1/2022 | 60,427 | 60,903,923 |
See Notes to Financial Statements. | 405 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Truist Bank | 0.812% (3 Mo. LIBOR + .59% | )# | 5/17/2022 | $ | 57,542 | $ | 57,906,585 | |||||
Truist Bank | 0.816% (SOFR + .73% | )# | 3/9/2023 | 22,738 | 22,919,447 | |||||||
UBS AG | 7.625% | 8/17/2022 | 24,429 | 27,205,443 | ||||||||
UBS AG (United Kingdom)†(b) | 1.75% | 4/21/2022 | 84,030 | 85,591,379 | ||||||||
UBS Group AG (Switzerland)†(b) | 1.744% (3 Mo. LIBOR + 1.53% | )# | 2/1/2022 | 36,966 | 37,588,353 | |||||||
UBS Group Funding Switzerland AG (Switzerland)†(b) | 2.65% | 2/1/2022 | 46,333 | 47,588,976 | ||||||||
US Bank NA/Cincinnati OH | 0.642% (3 Mo. LIBOR + .40% | )# | 12/9/2022 | 91,656 | 92,121,553 | |||||||
Wells Fargo & Co. | 1.144% (3 Mo. LIBOR + .93% | )# | 2/11/2022 | 265,437 | 265,838,845 | |||||||
Wells Fargo & Co. | 1.24% (3 Mo. LIBOR + 1.03% | )# | 7/26/2021 | 52,951 | 53,281,849 | |||||||
Wells Fargo & Co. | 1.325% (3 Mo. LIBOR + 1.11% | )# | 1/24/2023 | 9,758 | 9,843,671 | |||||||
Wells Fargo & Co. | 2.10% | 7/26/2021 | 41,037 | 41,515,493 | ||||||||
Wells Fargo & Co. | 2.625% | 7/22/2022 | 64,642 | 66,989,875 | ||||||||
Wells Fargo & Co. | 3.50% | 3/8/2022 | 41,122 | 42,750,252 | ||||||||
Wells Fargo Bank NA | 0.853% (3 Mo. LIBOR + .62% | )# | 5/27/2022 | 88,672 | 88,888,852 | |||||||
Wells Fargo Bank NA | 0.902% (3 Mo. LIBOR + .66% | )# | 9/9/2022 | 134,050 | 134,519,245 | |||||||
Wells Fargo Bank NA | 2.897% (3 Mo. LIBOR + .61% | )# | 5/27/2022 | 70,372 | 71,243,992 | |||||||
Westpac Banking Corp. (Australia)(b) | 0.614% (3 Mo. LIBOR + .39% | )# | 1/13/2023 | 41,737 | 41,895,918 | |||||||
Total | 6,495,972,699 | |||||||||||
Biotechnology Research & Production 0.19% | ||||||||||||
Gilead Sciences, Inc. | 0.74% (3 Mo. LIBOR + .52% | )# | 9/29/2023 | 41,082 | 41,175,256 | |||||||
Building Materials 0.20% | ||||||||||||
Vulcan Materials Co. | 0.875% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 42,506 | 42,509,862 | |||||||
Business Services 0.05% | ||||||||||||
IHS Markit Ltd. (United Kingdom)†(b) | 5.00% | 11/1/2022 | 10,000 | 10,743,189 |
406 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.47% | ||||||||||||
Albemarle Corp. | 1.271% (3 Mo. LIBOR + 1.05% | )# | 11/15/2022 | $ | 18,321 | $ | 18,322,343 | |||||
LYB International Finance III LLC | 1.23% (3 Mo. LIBOR + 1.00% | )# | 10/1/2023 | 73,497 | 73,584,813 | |||||||
Nutrition & Biosciences, Inc.† | 0.697% | 9/15/2022 | 9,798 | 9,836,699 | ||||||||
Total | 101,743,855 | |||||||||||
Construction/Homebuilding 0.17% | ||||||||||||
Lennar Corp. | 4.75% | 11/15/2022 | 9,158 | 9,773,280 | ||||||||
Lennar Corp. | 5.375% | 10/1/2022 | 9,983 | 10,737,964 | ||||||||
NVR, Inc. | 3.95% | 9/15/2022 | 15,323 | 16,123,347 | ||||||||
Total | 36,634,591 | |||||||||||
Drugs 2.36% | ||||||||||||
AbbVie, Inc. | 0.563% (3 Mo. LIBOR + .35% | )# | 5/21/2021 | 55,064 | 55,118,315 | |||||||
AbbVie, Inc. | 0.691% (3 Mo. LIBOR + .46% | )# | 11/19/2021 | 95,119 | 95,341,014 | |||||||
AbbVie, Inc. | 0.863% (3 Mo. LIBOR + .65% | )# | 11/21/2022 | 56,978 | 57,360,902 | |||||||
AbbVie, Inc. | 3.45% | 3/15/2022 | 85,633 | 88,548,337 | ||||||||
AstraZeneca plc (United Kingdom)(b) | 0.87% (3 Mo. LIBOR + .62% | )# | 6/10/2022 | 9,158 | 9,224,524 | |||||||
AstraZeneca plc (United Kingdom)(b) | 2.375% | 6/12/2022 | 8,807 | 9,062,545 | ||||||||
Bayer US Finance II LLC† | 0.855% (3 Mo. LIBOR + .63% | )# | 6/25/2021 | 25,501 | 25,560,777 | |||||||
Becton Dickinson & Co. | 1.28% (3 Mo. LIBOR + 1.03% | )# | 6/6/2022 | 27,990 | 28,235,086 | |||||||
Cigna Corp. | 0.896% (3 Mo. LIBOR + .65% | )# | 9/17/2021 | 76,423 | 76,442,593 | |||||||
Cigna Corp. | 1.127% (3 Mo. LIBOR + .89% | )# | 7/15/2023 | 30,562 | 30,928,429 | |||||||
Cigna Corp. | 3.90% | 2/15/2022 | 15,748 | 16,407,728 | ||||||||
CVS Health Corp. | 0.962% (3 Mo. LIBOR + .72% | )# | 3/9/2021 | 3,375 | 3,381,212 | |||||||
Upjohn, Inc.† | 1.125% | 6/22/2022 | 13,859 | 13,988,299 | ||||||||
Total | 509,599,761 | |||||||||||
Electric: Power 2.53% | ||||||||||||
American Electric Power Co., Inc. | 0.68% (3 Mo. LIBOR + .48% | )# | 11/1/2023 | 27,275 | 27,299,994 |
See Notes to Financial Statements. | 407 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Dominion Energy, Inc.† | 0.646% (3 Mo. LIBOR + .40% | )# | 12/1/2020 | $ | 125,000 | $ | 125,000,000 | |||||
Dominion Energy, Inc. | 0.776% (3 Mo. LIBOR + .53% | )# | 9/15/2023 | 32,132 | 32,196,902 | |||||||
Dominion Energy, Inc. | 2.715% | 8/15/2021 | 17,591 | 17,864,299 | ||||||||
DTE Energy Co. | 0.55% | 11/1/2022 | 68,600 | 68,779,026 | ||||||||
Duke Energy Progress LLC | 0.40% (3 Mo. LIBOR + .18% | )# | 2/18/2022 | 37,086 | 37,091,915 | |||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 10,196 | 10,296,209 | ||||||||
Enel Finance International NV (Netherlands)†(b) | 2.875% | 5/25/2022 | 60,286 | 62,306,374 | ||||||||
Exelon Corp. | 3.497% | 6/1/2022 | 3,750 | 3,911,023 | ||||||||
Florida Power & Light Co. | 0.602% (3 Mo. LIBOR + .38% | )# | 7/28/2023 | 59,859 | 59,884,212 | |||||||
NextEra Energy Capital Holdings, Inc. | 0.774% (3 Mo. LIBOR + .55% | )# | 8/28/2021 | 47,466 | 47,482,842 | |||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(b) | 5.375% | 5/1/2021 | 5,076 | 5,115,434 | ||||||||
Southern Power Co.† | 0.777% (3 Mo. LIBOR + .55% | )# | 12/20/2020 | 47,125 | 47,136,106 | |||||||
Total | 544,364,336 | |||||||||||
Electrical Equipment 0.05% | ||||||||||||
NXP BV/NXP Funding LLC (Netherlands)†(b) | 3.875% | 9/1/2022 | 10,199 | 10,773,110 | ||||||||
Electronics 0.78% | ||||||||||||
Honeywell International, Inc. | 0.583% (3 Mo. LIBOR + .37% | )# | 8/8/2022 | 21,953 | 22,058,434 | |||||||
Honeywell International, Inc. | 0.461% (3 Mo. LIBOR + .23% | )# | 8/19/2022 | 46,357 | 46,395,659 | |||||||
Honeywell International, Inc. | 0.483% | 8/19/2022 | 90,919 | 91,065,113 | ||||||||
Roper Technologies, Inc. | 0.45% | 8/15/2022 | 9,272 | 9,284,836 | ||||||||
Total | 168,804,042 | |||||||||||
Financial Services 2.21% | ||||||||||||
AIG Global Funding† | 0.866% (3 Mo. LIBOR + .65% | )# | 1/22/2021 | 32,931 | 32,962,133 | |||||||
American Express Co. | 0.825% (3 Mo. LIBOR + .60% | )# | 11/5/2021 | 72,033 | 72,349,592 | |||||||
American Express Co. | 0.844% (3 Mo. LIBOR + .62% | )# | 5/20/2022 | 45,206 | 45,496,784 | |||||||
American Express Co. | 0.883% (3 Mo. LIBOR + .65% | )# | 2/27/2023 | 6,050 | 6,100,614 |
408 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
American Express Co. | 2.50% | 8/1/2022 | $ | 77,506 | $ | 80,174,758 | ||||||
American Express Co. | 2.75% | 5/20/2022 | 71,428 | 73,800,277 | ||||||||
Aviation Capital Group LLC† | 0.884% (3 Mo. LIBOR + .67% | )# | 7/30/2021 | $ | 10,065 | $ | 9,896,404 | |||||
Aviation Capital Group LLC† | 1.175% (3 Mo. LIBOR + .95% | )# | 6/1/2021 | 9,600 | 9,499,731 | |||||||
Capital One Financial Corp. | 1.192% (3 Mo. LIBOR + .95% | )# | 3/9/2022 | 16,539 | 16,672,944 | |||||||
Intercontinental Exchange, Inc. | 0.903% (3 Mo. LIBOR + .65% | )# | 6/15/2023 | 109,820 | 110,290,469 | |||||||
Intercontinental Exchange, Inc. | 2.35% | 9/15/2022 | 19,428 | 20,092,622 | ||||||||
Total | 477,336,328 | |||||||||||
Food 0.22% | ||||||||||||
Campbell Soup Co. | 0.88% (3 Mo. LIBOR + .63% | )# | 3/15/2021 | 8,140 | 8,150,834 | |||||||
General Mills, Inc. | 0.77% (3 Mo. LIBOR + .54% | )# | 4/16/2021 | 2,695 | 2,699,817 | |||||||
Mondelez International, Inc. | 0.625% | 7/1/2022 | 36,977 | 37,169,843 | ||||||||
Total | 48,020,494 | |||||||||||
Health Care Products 0.40% | ||||||||||||
Zimmer Biomet Holdings, Inc. | 0.977% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 86,778 | 86,795,586 | |||||||
Health Care Services 0.02% | ||||||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 5,004 | 5,054,450 | ||||||||
Household Equipment/Products 0.24% | ||||||||||||
Reckitt Benckiser Treasury Services plc (United Kingdom)†(b) | 0.783% (3 Mo. LIBOR + .56% | )# | 6/24/2022 | 52,227 | 52,460,387 | |||||||
Insurance 2.33% | ||||||||||||
Assurant, Inc. | 1.483% (3 Mo. LIBOR + 1.25% | )# | 3/26/2021 | 1,657 | 1,657,005 | |||||||
Jackson National Life Global Funding† | 0.73% (3 Mo. LIBOR + .48% | )# | 6/11/2021 | 2,388 | 2,393,794 | |||||||
Jackson National Life Global Funding† | 0.963% (3 Mo. LIBOR + .73% | )# | 6/27/2022 | 14,000 | 14,119,063 | |||||||
Marsh & McLennan Cos, Inc. | 1.418% (3 Mo. LIBOR + 1.20% | )# | 12/29/2021 | 46,701 | 46,721,042 | |||||||
Met Tower Global Funding† | 0.55% | 7/13/2022 | 97,032 | 97,480,646 |
See Notes to Financial Statements. | 409 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Metropolitan Life Global Funding I† | 0.653% (SOFR + .57% | )# | 1/13/2023 | $ | 71,666 | $ | 72,020,812 | |||||
New York Life Global Funding† | 0.442% (SOFR + .36% | )# | 10/21/2023 | 63,751 | 63,853,020 | |||||||
New York Life Global Funding† | 0.504% (3 Mo. LIBOR + .28% | )# | 1/10/2023 | 68,682 | 68,820,111 | |||||||
New York Life Global Funding† | 0.664% (3 Mo. LIBOR + .44% | )# | 7/12/2022 | 36,787 | 36,993,734 | |||||||
Principal Life Global Funding II† | 0.634% (3 Mo. LIBOR + .40% | )# | 10/6/2021 | 59,820 | 59,964,760 | |||||||
Protective Life Global Funding† | 0.753% (3 Mo. LIBOR + .52% | )# | 6/28/2021 | 37,017 | 37,127,327 | |||||||
Total | 501,151,314 | |||||||||||
Leasing 0.10% | ||||||||||||
GATX Corp. | 0.945% (3 Mo. LIBOR + .72% | )# | 11/5/2021 | 21,551 | 21,588,874 | |||||||
Lodging 0.22% | ||||||||||||
Marriott International, Inc. | 0.846% (3 Mo. LIBOR + .60% | )# | 12/1/2020 | 46,980 | 46,980,000 | |||||||
Machinery: Agricultural 0.38% | ||||||||||||
BAT Capital Corp. | 1.101% (3 Mo. LIBOR + .88% | )# | 8/15/2022 | 81,609 | 82,258,932 | |||||||
Machinery: Industrial/Specialty 0.39% | ||||||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 4,714 | 4,775,638 | ||||||||
John Deere Capital Corp. | 0.648% (3 Mo. LIBOR + .40% | )# | 6/7/2021 | 18,421 | 18,464,648 | |||||||
John Deere Capital Corp. | 0.739% (3 Mo. LIBOR + .49% | )# | 6/13/2022 | 22,951 | 23,104,580 | |||||||
Otis Worldwide Corp. | 0.684% (3 Mo. LIBOR + 0.45% | )# | 4/5/2023 | 36,636 | 36,647,090 | |||||||
Total | 82,991,956 | |||||||||||
Machinery: Oil Well Equipment & Services 0.77% | ||||||||||||
Caterpillar Financial Services Corp. | 0.414% (3 Mo. LIBOR + .20% | )# | 11/12/2021 | 50,440 | 50,505,691 | |||||||
Caterpillar Financial Services Corp. | 0.454% (3 Mo. LIBOR + .22% | )# | 1/6/2022 | 23,102 | 23,135,763 | |||||||
Caterpillar Financial Services Corp. | 0.548% (3 Mo. LIBOR + .30% | )# | 3/8/2021 | 45,874 | 45,907,642 |
410 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Oil Well Equipment & Services 0.77% | ||||||||||||
Caterpillar Financial Services Corp. | 0.612% (3 Mo. LIBOR + .39% | )# | 5/17/2021 | $ | 46,220 | $ | 46,302,845 | |||||
Total | 165,851,941 | |||||||||||
Media 0.08% | ||||||||||||
Time Warner Cable LLC | 4.00% | 9/1/2021 | 4,388 | 4,459,763 | ||||||||
Time Warner Cable LLC | 4.125% | 2/15/2021 | 13,020 | 13,042,303 | ||||||||
Total | 17,502,066 | |||||||||||
Metals & Minerals: Miscellaneous 0.10% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(b) | 4.125% | 4/15/2021 | 4,836 | 4,894,020 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(b) | 4.25% | 10/25/2022 | 15,008 | 15,933,391 | ||||||||
Total | 20,827,411 | |||||||||||
Natural Gas 0.33% | ||||||||||||
British Transco International Finance BV (Netherlands)(b) | Zero Coupon | 11/4/2021 | 18,260 | 18,159,301 | ||||||||
Dominion Energy Gas Holdings LLC | 0.85% (3 Mo. LIBOR + .60% | )# | 6/15/2021 | 52,836 | 52,976,492 | |||||||
Total | 71,135,793 | |||||||||||
Oil 0.19% | ||||||||||||
BP Capital Markets plc (United Kingdom)(b) | 2.50% | 11/6/2022 | 21,995 | 22,896,995 | ||||||||
Phillips 66 | 0.833% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 17,524 | 17,525,689 | |||||||
Total | 40,422,684 | |||||||||||
Real Estate Investment Trusts 0.10% | ||||||||||||
SL Green Operating Partnership LP | 1.201% (3 Mo. LIBOR + .98% | )# | 8/16/2021 | 20,653 | 20,516,317 | |||||||
Retail 0.20% | ||||||||||||
McDonald’s Corp. | 0.652% (3 Mo. LIBOR + .43% | )# | 10/28/2021 | 42,546 | 42,692,403 | |||||||
Technology 0.11% | ||||||||||||
TD Ameritrade Holding Corp. | 0.644% (3 Mo. LIBOR + .43% | )# | 11/1/2021 | 23,482 | 23,559,289 | |||||||
Total Corporate Bonds (cost $11,032,043,964) | 11,073,148,216 |
See Notes to Financial Statements. | 411 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FLOATING RATE LOAN(c) 0.01% | ||||||||||||
Investment Management Companies | ||||||||||||
Broadcom Inc. 2019 1st Lien Term Loan A3 (cost $3,123,203) | 1.271% (1 Mo. LIBOR + 1.13% | ) | 11/4/2022 | $ | 3,123 | $ | 3,122,724 | |||||
U.S. TREASURY OBLIGATIONS 6.82% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 2/4/2021 | 1,003,166 | 1,003,038,909 | ||||||||
U.S. Treasury Note | 0.125% | 9/30/2022 | 198,656 | 198,609,439 | ||||||||
U.S. Treasury Note | 0.125% | 10/31/2022 | 267,499 | 267,415,406 | ||||||||
Total U.S. Treasury Obligations (cost $1,468,892,429) | 1,469,063,754 | |||||||||||
Total Long-Term Investments (cost $16,803,422,958) | 16,851,007,879 | |||||||||||
SHORT-TERM INVESTMENTS 22.60% | ||||||||||||
COMMERCIAL PAPER 22.42% | ||||||||||||
Aerospace/Defense 0.22% | ||||||||||||
Boeing Co. | 1.954% | 12/2/2020 | 48,000 | 47,997,467 | ||||||||
Automotive 3.87% | ||||||||||||
American Honda Finance Corp. | 0.203% | 12/8/2020 | 18,000 | 17,999,300 | ||||||||
General Motors Financial Co., Inc. | 0.813% | 1/7/2021 | 13,907 | 13,895,565 | ||||||||
General Motors Financial Co., Inc. | 0.813% | 1/14/2021 | 27,345 | 27,318,263 | ||||||||
General Motors Financial Co., Inc. | 0.813% | 1/19/2021 | 55,652 | 55,591,401 | ||||||||
General Motors Financial Co., Inc. | 0.813% | 1/21/2021 | 37,000 | 36,958,067 | ||||||||
General Motors Financial Co., Inc. | 0.813% | 1/28/2021 | 28,449 | 28,412,332 | ||||||||
General Motors Financial Co., Inc. | 0.865% | 2/2/2021 | 21,315 | 21,289,119 | ||||||||
General Motors Financial Co., Inc. | 0.967% | 1/19/2021 | 18,553 | 18,529,010 | ||||||||
General Motors Financial Co., Inc. | 1.019% | 2/16/2021 | 18,553 | 18,524,419 | ||||||||
General Motors Financial Co., Inc. | 1.224% | 2/1/2021 | 18,545 | 18,522,899 | ||||||||
General Motors Financial Co., Inc. | 1.224% | 2/1/2021 | 45,899 | 45,844,300 | ||||||||
Hyundai Capital America | 0.183% | 12/8/2020 | 128,472 | 128,467,504 | ||||||||
Hyundai Capital America | 0.193% | 12/7/2020 | 136,209 | 136,204,686 | ||||||||
Volkswagen Group Amer Finance LLC | 0.53% | 11/8/2021 | 159,371 | 158,429,560 | ||||||||
Vw Cr, Inc. | 0.152% | 12/3/2020 | 45,693 | 45,692,619 | ||||||||
Vw Cr, Inc. | 0.223% | 12/3/2020 | 45,296 | 45,295,447 | ||||||||
Vw Cr, Inc. | 0.254% | 12/3/2020 | 16,705 | 16,704,768 | ||||||||
Total | 833,679,259 | |||||||||||
Banks: Regional 4.12% | ||||||||||||
Australia & New Zealand Banking Group Ltd. | 0.112% | 12/1/2020 | 103,979 | 103,979,000 | ||||||||
Danske Bank A/S | 0.417% | 5/4/2021 | 92,055 | 91,964,632 |
412 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Danske Bank A/S | 0.428% | 8/6/2021 | $ | 69,516 | $ | 69,384,255 | ||||||
HSBC USA, Inc. | 0.447% | 2/5/2021 | 45,881 | 45,856,237 | ||||||||
HSBC USA, Inc. | 0.457% | 2/5/2021 | 46,107 | 46,082,115 | ||||||||
HSBC USA, Inc. | 0.488% | 2/3/2021 | 64,409 | 64,375,507 | ||||||||
HSBC USA, Inc. | 0.488% | 3/3/2021 | 26,415 | 26,394,119 | ||||||||
HSBC USA, Inc. | 0.508% | 2/22/2021 | 80,790 | 80,733,259 | ||||||||
Toronto Dominion Bank | 0.112% | 12/3/2020 | 179,478 | 179,476,904 | ||||||||
Toronto Dominion Bank | 0.112% | 12/7/2020 | 180,851 | 180,847,685 | ||||||||
Total | 889,093,713 | |||||||||||
Beverages 0.16% | ||||||||||||
Bacardi Martini B V | 0.426% | 12/9/2020 | 17,973 | 17,971,323 | ||||||||
Bacardi Martini B V | 0.426% | 12/10/2020 | 16,359 | 16,357,282 | ||||||||
Total | 34,328,605 | |||||||||||
Chemicals 2.04% | ||||||||||||
Albemarle Corp. | 0.508% | 1/8/2021 | 18,013 | 18,003,493 | ||||||||
Cabot Corp. | 0.162% | 12/1/2020 | 11,000 | 11,000,000 | ||||||||
Cabot Corp. | 0.162% | 12/1/2020 | 23,600 | 23,600,000 | ||||||||
Cabot Corp. | 0.233% | 12/3/2020 | 44,799 | 44,798,428 | ||||||||
Cabot Corp. | 0.274% | 12/1/2020 | 26,501 | 26,501,000 | ||||||||
Cabot Corp. | 0.456% | 12/31/2020 | 22,370 | 22,361,611 | ||||||||
E.I. du Pont de Nemours & Co. | 0.508% | 12/3/2020 | 73,945 | 73,942,946 | ||||||||
E.I. du Pont de Nemours & Co. | 0.743% | 12/14/2020 | 50,870 | 50,856,590 | ||||||||
E.I. du Pont de Nemours & Co. | 0.743% | 12/21/2020 | 13,706 | 13,700,441 | ||||||||
E.I. du Pont de Nemours & Co. | 0.866% | 12/1/2020 | 37,132 | 37,132,000 | ||||||||
E.I. du Pont de Nemours & Co. | 0.866% | 12/2/2020 | 37,132 | 37,131,123 | ||||||||
E.I. du Pont de Nemours & Co. | 1.585% | 12/1/2020 | 46,442 | 46,442,000 | ||||||||
Fmc Corp. | 0.558% | 12/28/2020 | 34,723 | 34,708,677 | ||||||||
Total | 440,178,309 | |||||||||||
Drugs 0.26% | ||||||||||||
AstraZeneca plc | 2.053% | 12/11/2020 | 30,000 | 29,983,333 | ||||||||
Cigna Corp. | 0.203% | 12/8/2020 | 22,116 | 22,115,140 | ||||||||
Cigna Corp. | 0.457% | 3/23/2021 | 4,406 | 4,402,321 | ||||||||
Total | 56,500,794 | |||||||||||
Electric: Power 1.11% | ||||||||||||
Avangrid, Inc. | 0.172% | 12/8/2020 | 136,190 | 136,185,498 | ||||||||
Centerpoint Engy, Inc. | 0.142% | 12/1/2020 | 50,845 | 50,845,000 |
See Notes to Financial Statements. | 413 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Centerpoint Engy, Inc. | 0.142% | 12/2/2020 | $ | 52,660 | $ | 52,659,795 | ||||||
Total | 239,690,293 | |||||||||||
Electronics 0.45% | ||||||||||||
Hitachi America Capital Ltd. | 0.152% | 12/2/2020 | 97,994 | 97,993,591 | ||||||||
Environmental Services 0.06% | ||||||||||||
Waste Management, Inc. | 0.458% | 9/10/2021 | 13,450 | 13,413,288 | ||||||||
Financial Services 1.09% | ||||||||||||
Hitachi Internationall Treasury | 0.122% | 12/1/2020 | 53,614 | 53,614,000 | ||||||||
Intercontinental Exchange | 0.162% | 12/14/2020 | 53,623 | 53,619,902 | ||||||||
Intercontinental Exchange | 0.172% | 12/8/2020 | 49,900 | 49,898,351 | ||||||||
Intercontinental Exchange | 0.193% | 12/7/2020 | 33,082 | 33,080,952 | ||||||||
Intercontinental Exchange | 0.458% | 9/23/2021 | 45,647 | 45,436,248 | ||||||||
Total | 235,649,453 | |||||||||||
Food 0.42% | ||||||||||||
Conagra Foods Inc. | 0.917% | 4/8/2021 | 58,657 | 58,522,900 | ||||||||
Mccormick & Co. | 0.142% | 12/2/2020 | 31,390 | 31,389,878 | ||||||||
Total | 89,912,778 | |||||||||||
Health Care Services 0.90% | ||||||||||||
Catholic Health Initiatives | 1.573% | 12/2/2020 | 55,592 | 55,589,606 | ||||||||
United Healthcare Co. | 0.122% | 12/2/2020 | 139,063 | 139,062,537 | ||||||||
Total | 194,652,143 | |||||||||||
Machinery: Agricultural 0.19% | ||||||||||||
BAT International Finance plc | 0.355% | 12/22/2020 | 40,864 | 40,855,657 | ||||||||
Machinery: Oil Well Equipment & Services 0.28% | ||||||||||||
Brookfield Renewable | 0.274% | 12/14/2020 | 17,971 | 17,969,248 | ||||||||
Brookfield Renewable | 0.284% | 12/3/2020 | 41,820 | 41,819,349 | ||||||||
Total | 59,788,597 | |||||||||||
Media 0.93% | ||||||||||||
Walt Disney Co. (The) | 0.407% | 5/21/2021 | 20,636 | 20,603,267 | ||||||||
Walt Disney Co. (The) | 0.489% | 5/7/2021 | 10,935 | 10,919,258 | ||||||||
Walt Disney Co. (The) | 0.489% | 5/17/2021 | 27,829 | 27,786,013 | ||||||||
Walt Disney Co. (The) | 0.489% | 5/17/2021 | 39,418 | 39,357,112 | ||||||||
Walt Disney Co. (The) | 0.714% | 3/26/2021 | 8,727 | 8,718,227 | ||||||||
Walt Disney Co. (The) | 0.714% | 4/30/2021 | 69,648 | 69,553,057 |
414 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media (continued) | ||||||||||||
Walt Disney Co. (The) | 0.714% | 4/30/2021 | $ | 23,209 | $ | 23,177,362 | ||||||
Total | 200,114,296 | |||||||||||
Metals & Minerals: Miscellaneous 1.38% | ||||||||||||
Glencore Funding LLC | 0.538% | 1/12/2021 | 91,835 | 91,778,216 | ||||||||
Glencore Funding LLC | 0.569% | 1/11/2021 | 115,943 | 115,869,054 | ||||||||
Glencore Funding LLC | 0.579% | 1/7/2021 | 89,776 | 89,723,406 | ||||||||
Total | 297,370,676 | |||||||||||
Natural Gas 0.10% | ||||||||||||
Centerpoint Engy, Inc. | 0.142% | 12/1/2020 | 20,736 | 20,736,000 | ||||||||
Real Estate Investment Trusts 3.33% | ||||||||||||
Alexandria Real Estate | 0.213% | 12/2/2020 | 181,852 | 181,850,940 | ||||||||
Brookfield US Holdings, Inc. | 0.203% | 12/15/2020 | 136,190 | 136,179,407 | ||||||||
Crown Castle | 0.416% | 12/9/2020 | 114,488 | 114,477,569 | ||||||||
Crown Castle | 0.467% | 12/16/2020 | 42,417 | 42,408,870 | ||||||||
Healthpeak Pptys, Inc. | 0.223% | 12/3/2020 | 114,535 | 114,533,600 | ||||||||
Realty, Inc. Corp. | 0.183% | 12/11/2020 | 127,699 | 127,692,615 | ||||||||
Total | 717,143,001 | |||||||||||
Retail 1.45% | ||||||||||||
Canadian Tire | 0.203% | 12/3/2020 | 16,942 | 16,941,812 | ||||||||
Canadian Tire | 0.223% | 12/2/2020 | 13,633 | 13,632,917 | ||||||||
Canadian Tire | 0.223% | 12/9/2020 | 16,942 | 16,941,172 | ||||||||
Canadian Tire | 0.233% | 12/2/2020 | 13,635 | 13,634,913 | ||||||||
Dollarama Inc. | 0.213% | 12/3/2020 | 13,367 | 13,366,844 | ||||||||
Walgreen Co. | 0.457% | 2/26/2021 | 72,767 | 72,725,377 | ||||||||
Walgreens Boots | 0.427% | 4/27/2021 | 90,294 | 90,181,523 | ||||||||
Walgreens Boots | 0.457% | 5/25/2021 | 75,000 | 74,878,633 | ||||||||
Total | 312,303,191 | |||||||||||
Telecommunications 0.06% | ||||||||||||
Rogers Communications | 0.407% | 8/26/2021 | 12,400 | 12,368,034 | ||||||||
Total Commercial Paper (cost $4,833,247,600) | 4,833,769,145 |
See Notes to Financial Statements. | 415 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUND November 30, 2020
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENT 0.18% | ||||||||
Repurchase Agreement dated 11/30/2020, 0.00% due 12/1/2020 with Fixed Income Clearing Corp. collateralized by $39,990,500 of U.S. Treasury Note at 0.125% due 11/30/2022; value: $39,968,625; proceeds: $39,184,873 (cost $39,184,873) | $ | 39,185 | $ | 39,184,873 | ||||
Total Short-Term Investments (cost $4,872,432,473) | 4,872,954,018 | |||||||
Total Investments in Securities 100.77% (cost $21,675,855,431) | 21,723,961,897 | |||||||
Liabilities in Excess of Cash and Other Assets (0.77%) | (166,422,439 | ) | ||||||
Net Assets 100.00% | $ | 21,557,539,458 |
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, 2020, the total value of Rule 144A securities was $3,890,487,787, which represents 18.05% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2020. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | 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, 2020. |
The following is a summary of the inputs used as of November 30, 2020 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 | $ | – | $ | 4,305,673,185 | $ | – | $ | 4,305,673,185 | ||||||||
Corporate Bonds | – | 11,073,148,216 | – | 11,073,148,216 | ||||||||||||
Floating Rate Loan | – | 3,122,724 | – | 3,122,724 | ||||||||||||
U.S. Treasury Obligations | – | 1,469,063,754 | – | 1,469,063,754 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 4,833,769,145 | – | 4,833,769,145 | ||||||||||||
Repurchase Agreement | – | 39,184,873 | – | 39,184,873 | ||||||||||||
Total | $ | – | $ | 21,723,961,897 | $ | – | $ | 21,723,961,897 |
(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. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.
416 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
ULTRA SHORT BOND FUND November 30, 2020
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Commercial Paper | |||
Balance as of December 1, 2019 | $ | 209,564,196 | ||
Accrued Discounts (Premiums) | 1,370,930 | |||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | – | |||
Purchases | 94,011,874 | |||
Sales | (304,947,000 | ) | ||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | – | |||
Balance as of November 30, 2020 | $ | – | ||
Change in unrealized appreciation/depreciation for the year ended November 30, 2020, related to Level 3 investments held at November 30, 2020 | $ | – |
See Notes to Financial Statements. | 417 |
Statements of Assets and Liabilities
November 30, 2020
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 1,056,125,897 | $ | 2,478,998,400 | $ | 317,792,448 | ||||||
Investments in securities, at fair value including $0, $0, $0, $0, $0, $4,772,001, $0 and $0, respectively, of securities loaned | $ | 1,368,266,747 | $ | 2,528,610,351 | $ | 323,466,724 | ||||||
Cash | – | – | 5,625 | |||||||||
Deposits with brokers for futures collateral | – | 3,103,144 | 503,424 | |||||||||
Deposits with brokers for forwards and swaps collateral | – | 774,214 | 345,737 | |||||||||
Foreign cash, at value (cost $0, $0, $455, $0, $2,376,641, $9,615, $123,658 and $7,199, respectively) | – | – | 563 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | – | 144,302,529 | 20,099,657 | |||||||||
Interest and dividends | 4,747,823 | 8,640,032 | 2,287,818 | |||||||||
Capital shares sold | 6,844,827 | 8,794,323 | 1,322,714 | |||||||||
Variation margin for futures contracts | – | – | – | |||||||||
Securities lending income receivable | – | – | – | |||||||||
From advisor (See Note 3) | – | 16,461 | 39,455 | |||||||||
Variation margin for centrally cleared credit default swap agreements | – | – | – | |||||||||
Total return swap, at fair value | – | – | – | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 508,756 | – | – | |||||||||
Unrealized appreciation on CPI swaps | – | – | – | |||||||||
Unrealized appreciation on unfunded commitments | – | – | – | |||||||||
Prepaid expenses and other assets | 101,316 | 94,682 | 105,592 | |||||||||
Total assets | 1,380,469,469 | 2,694,335,736 | 348,177,309 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | – | 639,762,069 | 56,452,323 | |||||||||
Payable for collateral due to broker for securities lending | – | – | – | |||||||||
Capital shares reacquired | 1,140,034 | 1,350,881 | 340,722 | |||||||||
Management fee | 712,048 | 374,672 | 65,435 | |||||||||
12b-1 distribution plan | 103,876 | 201,036 | 29,585 | |||||||||
Trustees’ fees | 98,132 | 167,872 | 8,546 | |||||||||
To bank | – | – | – | |||||||||
Fund administration | 42,005 | 66,738 | 9,348 | |||||||||
Variation margin on futures contracts | – | 248,615 | 77,447 | |||||||||
Variation margin for centrally cleared credit default swap agreements | – | 17,910 | 2,540 | |||||||||
Variation margin on centrally cleared interest rate swaps | – | – | – | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 893,110 | 123,919 | 26,561 | |||||||||
Unrealized depreciation on CPI swaps | – | – | – | |||||||||
Credit default swap agreements payable, at fair value (including upfront payments of $0, $0, $0, $0, $0, $14,669,389, $0 and $0, respectively) | – | – | – | |||||||||
Foreign currency overdraft | 26 | – | – | |||||||||
Unrealized depreciation on unfunded commitments | – | – | – | |||||||||
Distributions payable | – | 2,628,949 | 742,778 | |||||||||
Accrued expenses | 198,098 | 376,351 | 116,338 | |||||||||
Total liabilities | 3,187,329 | 645,319,012 | 57,871,623 | |||||||||
Commitments and contingent liabilities | ||||||||||||
NET ASSETS | $ | 1,377,282,140 | $ | 2,049,016,724 | $ | 290,305,686 |
418 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 10,312,468 | $ | 5,830,190,016 | $ | 7,800,977,739 | $ | 2,723,136,079 | $ | 625,409,815 | |||||||||
$ | 10,865,616 | $ | 5,761,873,873 | $ | 8,247,629,451 | $ | 2,876,001,164 | $ | 622,383,153 | |||||||||
– | – | 4,063,189 | 310,689 | 2,531,639 | ||||||||||||||
11,575 | 912,840 | 6,792,759 | 3,800,000 | 1,675,743 | ||||||||||||||
– | 3,597,388 | 20,716,334 | 3,219,917 | 133,457,345 | ||||||||||||||
– | 2,394,711 | 10,162 | 125,584 | 7,265 | ||||||||||||||
235,520 | 283,515,227 | 67,852,179 | 15,421,086 | 6,810,097 | ||||||||||||||
98,100 | 33,287,604 | 113,798,535 | 26,855,150 | 4,467,941 | ||||||||||||||
27,331 | 24,754,200 | 46,589,244 | 12,713,724 | 2,799,916 | ||||||||||||||
2,331 | – | 1,769,404 | 112,199 | – | ||||||||||||||
– | – | 1,746 | – | – | ||||||||||||||
19,147 | – | – | – | – | ||||||||||||||
– | – | – | 40,300 | – | ||||||||||||||
– | 1,293,089 | – | – | – | ||||||||||||||
– | 210,325 | 341,152 | 6,833 | 12,073 | ||||||||||||||
– | – | – | – | 9,829,703 | ||||||||||||||
– | – | 21,954 | – | – | ||||||||||||||
49,483 | 206,093 | 263,707 | 98,645 | 53,871 | ||||||||||||||
11,309,103 | 6,112,045,350 | 8,509,849,816 | 2,938,705,291 | 784,028,746 | ||||||||||||||
276,695 | 295,419,908 | 125,296,058 | 10,529,821 | 7,336,806 | ||||||||||||||
– | – | 5,003,539 | – | – | ||||||||||||||
7,818 | 26,463,309 | 18,363,502 | 3,738,060 | 1,236,064 | ||||||||||||||
4,009 | 2,158,570 | 3,476,390 | 906,848 | 155,939 | ||||||||||||||
1,404 | 1,617,217 | 716,233 | 436,931 | 127,210 | ||||||||||||||
516 | 1,046,220 | 678,839 | 467,228 | 110,036 | ||||||||||||||
– | 1,033,819 | – | – | – | ||||||||||||||
401 | 188,230 | 268,275 | 95,458 | 20,792 | ||||||||||||||
– | 50,870 | – | – | 1,630 | ||||||||||||||
– | – | 40,088 | – | 6,110,985 | ||||||||||||||
– | 1,194 | – | – | – | ||||||||||||||
– | 809,298 | 2,159,922 | 149,317 | 15,348 | ||||||||||||||
– | – | – | – | 126,060,636 | ||||||||||||||
– | – | 12,960,440 | – | – | ||||||||||||||
– | – | – | – | – | ||||||||||||||
– | 136,917 | – | – | – | ||||||||||||||
32,465 | 19,552,948 | 34,621,788 | 7,960,635 | 2,278,090 | ||||||||||||||
62,482 | 1,722,578 | 3,758,983 | 655,965 | 275,656 | ||||||||||||||
385,790 | 350,201,078 | 207,344,057 | 24,940,263 | 143,729,192 | ||||||||||||||
$ | 10,923,313 | $ | 5,761,844,272 | $ | 8,302,505,759 | $ | 2,913,765,028 | $ | 640,299,554 |
See Notes to Financial Statements. | 419 |
Statements of Assets and Liabilities (continued)
November 30, 2020
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
COMPOSITION OF NET ASSETS: | ||||||||||||
Paid-in Capital | $ | 868,489,994 | $ | 1,944,152,733 | $ | 283,493,645 | ||||||
Total Distributable earnings (loss) | 508,792,146 | 104,863,991 | 6,812,041 | |||||||||
Net Assets | $ | 1,377,282,140 | $ | 2,049,016,724 | $ | 290,305,686 | ||||||
Net assets by class: | ||||||||||||
Class A Shares | $ | 290,468,727 | $ | 677,400,857 | $ | 57,837,088 | ||||||
Class C Shares | $ | 64,569,736 | $ | 49,939,245 | $ | 5,846,479 | ||||||
Class F Shares | $ | 625,813,428 | $ | 371,705,952 | $ | 181,473,596 | ||||||
Class F3 Shares | $ | 23,424,238 | $ | 399,914,545 | $ | 8,558,081 | ||||||
Class I Shares | $ | 340,178,254 | $ | 493,395,447 | $ | 35,270,761 | ||||||
Class P Shares | $ | 73,950 | – | – | ||||||||
Class R2 Shares | $ | 46,124 | $ | 445,475 | – | |||||||
Class R3 Shares | $ | 25,310,592 | $ | 11,472,931 | $ | 123,899 | ||||||
Class R4 Shares | $ | 417,881 | $ | 10,749,798 | $ | 266,102 | ||||||
Class R5 Shares | $ | 1,314,214 | $ | 1,052,890 | $ | 11,616 | ||||||
Class R6 Shares | $ | 5,664,996 | $ | 32,939,584 | $ | 918,064 | ||||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||||||
Class A Shares | 14,156,286 | 57,963,331 | 3,666,195 | |||||||||
Class C Shares | 3,170,604 | 4,292,161 | 370,509 | |||||||||
Class F Shares | 30,494,908 | 31,812,005 | 11,512,949 | |||||||||
Class F3 Shares | 1,132,436 | 34,221,326 | 542,526 | |||||||||
Class I Shares | 16,468,568 | 42,238,035 | 2,236,178 | |||||||||
Class P Shares | 3,541 | – | – | |||||||||
Class R2 Shares | 2,209 | 38,105 | – | |||||||||
Class R3 Shares | 1,240,178 | 981,466 | 7,857 | |||||||||
Class R4 Shares | 20,368 | 920,017 | 16,871 | |||||||||
Class R5 Shares | 63,644 | 90,082 | 736.38 | |||||||||
Class R6 Shares | 273,807 | 2,819,605 | 58,193 | |||||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||||||
Class A Shares-Net asset value | $20.52 | $11.69 | $15.78 | |||||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $20.99 | $11.96 | $16.14 | |||||||||
Class C Shares-Net asset value | $20.37 | $11.63 | $15.78 | |||||||||
Class F Shares-Net asset value | $20.52 | $11.68 | $15.76 | |||||||||
Class F3 Shares-Net asset value | $20.68 | $11.69 | $15.77 | |||||||||
Class I Shares-Net asset value | $20.66 | $11.68 | $15.77 | |||||||||
Class P Shares-Net asset value | $20.88 | – | – | |||||||||
Class R2 Shares-Net asset value | $20.88 | $11.69 | – | |||||||||
Class R3 Shares-Net asset value | $20.41 | $11.69 | $15.77 | |||||||||
Class R4 Shares-Net asset value | $20.52 | $11.68 | $15.77 | |||||||||
Class R5 Shares-Net asset value | $20.65 | $11.69 | $15.77 | |||||||||
Class R6 Shares-Net asset value | $20.69 | $11.68 | $15.78 |
420 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 10,272,277 | $ | 7,399,846,006 | $ | 8,320,326,147 | $ | 2,809,593,319 | $ | 955,057,710 | |||||||||
651,036 | (1,638,001,734 | ) | (17,820,388 | ) | 104,171,709 | (314,758,156 | ) | |||||||||||
$ | 10,923,313 | $ | 5,761,844,272 | $ | 8,302,505,759 | $ | 2,913,765,028 | $ | 640,299,554 | |||||||||
$ | 2,157,328 | $ | 1,790,284,864 | $ | 1,134,234,804 | $ | 1,229,761,893 | $ | 89,956,380 | |||||||||
$ | 791,056 | $ | 616,741,312 | $ | 287,144,687 | $ | 107,888,116 | $ | 17,715,631 | |||||||||
$ | 3,990,671 | $ | 2,231,779,654 | $ | 2,097,726,508 | $ | 570,685,471 | $ | 187,179,841 | |||||||||
$ | 1,836,716 | $ | 91,251,145 | $ | 1,984,688,702 | $ | 722,881,943 | $ | 8,594,529 | |||||||||
$ | 134,480 | $ | 855,140,478 | $ | 1,664,193,243 | $ | 155,970,332 | $ | 320,045,300 | |||||||||
– | – | $ | 53,914 | – | – | |||||||||||||
$ | 29,986 | $ | 1,026,138 | $ | 6,662,336 | $ | 1,729,903 | $ | 166,018 | |||||||||
$ | 58,659 | $ | 43,457,947 | $ | 114,736,929 | $ | 53,114,459 | $ | 225,512 | |||||||||
$ | 30,306 | $ | 2,953,351 | $ | 113,046,291 | $ | 9,204,676 | $ | 1,705,884 | |||||||||
$ | 30,539 | $ | 5,019,492 | $ | 256,527,028 | $ | 6,547,572 | $ | 169,705 | |||||||||
$ | 1,863,572 | $ | 124,189,891 | $ | 643,491,317 | $ | 55,980,663 | $ | 14,540,754 | |||||||||
200,203 | 218,429,240 | 155,278,942 | 408,840,082 | 7,938,105 | ||||||||||||||
73,436 | 75,188,213 | 39,519,595 | 35,719,527 | 1,560,901 | ||||||||||||||
369,735 | 272,572,087 | 287,516,329 | 189,693,653 | 16,492,585 | ||||||||||||||
170,450 | 11,115,652 | 270,410,898 | 240,358,029 | 758,201 | ||||||||||||||
12,485 | 104,263,825 | 226,819,608 | 51,834,540 | 28,223,654 | ||||||||||||||
– | – | 7,279 | – | – | ||||||||||||||
2,783 | 125,072 | 906,806 | 570,988 | 14,686 | ||||||||||||||
5,444 | 5,299,729 | 15,618,853 | 17,602,600 | 19,894 | ||||||||||||||
2,812 | 360,363 | 15,479,515 | 3,059,476 | 150,462 | ||||||||||||||
2,834 | 611,607 | 34,982,890 | 2,175,453 | 14,980 | ||||||||||||||
172,943 | 15,136,548 | 87,674,234 | 18,616,360 | 1,282,774 | ||||||||||||||
$10.78 | $8.20 | $7.30 | $3.01 | $11.33 | ||||||||||||||
$11.03 | $8.39 | $7.47 | $3.08 | $11.59 | ||||||||||||||
$10.77 | $8.20 | $7.27 | $3.02 | $11.35 | ||||||||||||||
$10.79 | $8.19 | $7.30 | $3.01 | $11.35 | ||||||||||||||
$10.78 | $8.21 | $7.34 | $3.01 | $11.34 | ||||||||||||||
$10.77 | $8.20 | $7.34 | $3.01 | $11.34 | ||||||||||||||
– | – | $7.41 | – | – | ||||||||||||||
$10.77 | $8.20 | $7.35 | $3.03 | $11.30 | ||||||||||||||
$10.77 | $8.20 | $7.35 | $3.02 | $11.34 | ||||||||||||||
$10.78 | $8.20 | $7.30 | $3.01 | $11.34 | ||||||||||||||
$10.78 | $8.21 | $7.33 | $3.01 | $11.33 | ||||||||||||||
$10.78 | $8.20 | $7.34 | $3.01 | $11.34 |
See Notes to Financial Statements. | 421 |
Statements of Assets and Liabilities (continued)
November 30, 2020
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 135,683,709 | $ | 55,433,762,573 | ||||
Investments in securities, at fair value | $ | 136,603,083 | $ | 55,777,488,298 | ||||
Cash | 35,294 | 134,665,245 | ||||||
Deposits with brokers for futures collateral | 30,235 | 19,048,861 | ||||||
Deposits with brokers for forwards and swaps collateral | – | 34,989,994 | ||||||
Foreign cash, at value (cost $935, $343,051, $25,701 and $0, respectively) | 978 | 346,193 | ||||||
Receivables: | ||||||||
Investment securities sold | 36,950 | 318,358,428 | ||||||
Capital shares sold | 796,661 | 278,354,473 | ||||||
Interest and dividends | 572,384 | 302,893,905 | ||||||
From advisor (See Note 3) | 23,535 | – | ||||||
Variation margin for centrally cleared credit default swap agreements | – | 181,869 | ||||||
Prepaid expenses and other assets | 60,615 | 967,513 | ||||||
Total assets | 138,159,735 | 56,867,294,779 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 12,357,535 | 656,060,417 | ||||||
Capital shares reacquired | 620,468 | 113,866,043 | ||||||
Management fee | 29,907 | 11,520,925 | ||||||
12b-1 distribution plan | 15,056 | 10,382,644 | ||||||
Trustees’ fees | 2,271 | 4,891,287 | ||||||
Fund administration | 3,988 | 1,823,676 | ||||||
Variation margin on futures contracts | 1,438 | 150,282 | ||||||
To bank | – | – | ||||||
Variation margin for centrally cleared credit default swap agreements | – | – | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | 1,638 | 1,236,275 | ||||||
Credit default swap agreements payable, at fair value (including upfront payments of $5,318, $5,696,603, $0 and $0, respectively) | 107,106 | 18,272,721 | ||||||
Distributions payable | 193,586 | 124,953,614 | ||||||
Accrued expenses | 71,736 | 8,528,833 | ||||||
Total liabilities | 13,404,729 | 951,686,717 | ||||||
Commitments and contingent liabilities | ||||||||
NET ASSETS | $ | 124,755,006 | $ | 55,915,608,062 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in Capital | $ | 124,627,759 | $ | 59,513,857,505 | ||||
Total Distributable earnings (loss) | 127,247 | (3,598,249,443 | ) | |||||
Net Assets | $ | 124,755,006 | $ | 55,915,608,062 |
422 | See Notes to Financial Statements. |
Total Return | Ultra Short | |||||
Fund | Bond Fund | |||||
$ | 5,073,869,275 | $ | 21,675,855,431 | |||
$ | 5,171,058,677 | $ | 21,723,961,897 | |||
– | 15,101,735 | |||||
11,833,330 | – | |||||
4,499,018 | – | |||||
26,133 | – | |||||
303,035,197 | 10,000 | |||||
13,567,484 | 84,662,879 | |||||
26,516,917 | 31,146,054 | |||||
13,515 | 509 | |||||
– | – | |||||
104,488 | 937,960 | |||||
5,530,654,759 | 21,855,821,034 | |||||
1,256,660,804 | 217,148,473 | |||||
4,784,281 | 64,942,845 | |||||
965,832 | 3,019,631 | |||||
420,035 | 2,035,840 | |||||
389,818 | 911,309 | |||||
138,501 | 710,501 | |||||
1,052,761 | – | |||||
570,016 | – | |||||
94,611 | – | |||||
437,663 | – | |||||
– | – | |||||
7,630,801 | 7,121,440 | |||||
992,942 | 2,391,537 | |||||
1,274,138,065 | 298,281,576 | |||||
$ | 4,256,516,694 | $ | 21,557,539,458 | |||
$ | 4,096,717,877 | $ | 21,556,370,877 | |||
159,798,817 | 1,168,581 | |||||
$ | 4,256,516,694 | $ | 21,557,539,458 |
See Notes to Financial Statements. | 423 |
Statements of Assets and Liabilities (concluded)
November 30, 2020
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 32,021,757 | $ | 12,733,693,054 | ||||
Class A1 Shares | – | – | ||||||
Class C Shares | $ | 4,333,556 | $ | 3,914,469,799 | ||||
Class F Shares | $ | 82,951,481 | $ | 23,546,579,373 | ||||
Class F3 Shares | $ | 12,253 | $ | 4,425,860,538 | ||||
Class I Shares | $ | 4,402,352 | $ | 9,762,948,720 | ||||
Class P Shares | – | – | ||||||
Class R2 Shares | – | $ | 13,909,322 | |||||
Class R3 Shares | $ | 98,125 | $ | 384,844,867 | ||||
Class R4 Shares | $ | 12,261 | $ | 166,523,528 | ||||
Class R5 Shares | $ | 12,261 | $ | 69,900,654 | ||||
Class R6 Shares | $ | 910,960 | $ | 896,878,207 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||
Class A Shares | 3,237,293 | 3,034,187,216 | ||||||
Class A1 Shares | – | – | ||||||
Class C Shares | 438,221 | 927,060,352 | ||||||
Class F Shares | 8,389,671 | 5,614,284,012 | ||||||
Class F3 Shares | 1,240 | 1,053,233,363 | ||||||
Class I Shares | 445,047 | 2,328,258,804 | ||||||
Class P Shares | – | – | ||||||
Class R2 Shares | – | 3,312,652 | ||||||
Class R3 Shares | 9,923 | 91,607,861 | ||||||
Class R4 Shares | 1,240 | 39,605,177 | ||||||
Class R5 Shares | 1,240 | 16,684,785 | ||||||
Class R6 Shares | 92,135 | 213,816,302 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $ 9.89 | $4.20 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)* | $10.12 | $4.30 | ||||||
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 | $4.22 | ||||||
Class F Shares-Net asset value | $9.89 | $4.19 | ||||||
Class F3 Shares-Net asset value | $9.88 | $4.20 | ||||||
Class I Shares-Net asset value | $9.89 | $4.19 | ||||||
Class P Shares-Net asset value | – | – | ||||||
Class R2 Shares-Net asset value | – | $4.20 | ||||||
Class R3 Shares-Net asset value | $9.89 | $4.20 | ||||||
Class R4 Shares-Net asset value | $9.89 | $4.20 | ||||||
Class R5 Shares-Net asset value | $9.89 | $4.19 | ||||||
Class R6 Shares-Net asset value | $9.89 | $4.19 |
* | Sales charge not applicable to Ultra Short Bond Fund. |
424 | See Notes to Financial Statements. |
Total Return | Ultra Short | |||||
Fund | Bond Fund | |||||
$ | 1,416,776,398 | $ | 12,300,460,103 | |||
– | $ | 19,402,684 | ||||
$ | 85,200,003 | – | ||||
$ | 1,013,090,597 | $ | 7,109,132,380 | |||
$ | 774,625,245 | $ | 804,536,824 | |||
$ | 414,219,611 | $ | 1,258,215,326 | |||
$ | 659,493 | – | ||||
$ | 2,579,119 | – | ||||
$ | 85,403,015 | – | ||||
$ | 58,810,960 | – | ||||
$ | 110,055,884 | $ | 783,953 | |||
$ | 295,096,369 | $ | 65,008,188 | |||
129,901,313 | 1,225,393,315 | |||||
– | 1,932,340 | |||||
7,818,185 | – | |||||
92,894,091 | 708,098,200 | |||||
70,994,290 | 80,135,502 | |||||
37,908,782 | 125,367,455 | |||||
60,185 | – | |||||
236,527 | – | |||||
7,832,893 | – | |||||
5,392,243 | – | |||||
10,088,397 | 78,089 | |||||
27,032,865 | 6,473,473 | |||||
$10.91 | $10.04 | |||||
$11.16 | – | |||||
– | $10.04 | |||||
– | $10.19 | |||||
$10.90 | – | |||||
$10.91 | $10.04 | |||||
$10.91 | $10.04 | |||||
$10.93 | $10.04 | |||||
$10.96 | – | |||||
$10.90 | – | |||||
$10.90 | – | |||||
$10.91 | – | |||||
$10.91 | $10.04 | |||||
$10.92 | $10.04 |
See Notes to Financial Statements. | 425 |
For the Year Ended November 30, 2020
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Investment income: | ||||||||||||
Dividends | $ | 3,321,456 | $ | – | $ | – | ||||||
Securities lending net income | – | – | – | |||||||||
Interest and other (net of foreign withholding taxes of $0, $0, $2,771, $0, $0, $22,458, $0 and $1,213, respectively) | 13,745,510 | 40,405,601 | 8,174,901 | |||||||||
Interest earned from Interfund Lending (See Note 11) | 206 | 162 | – | |||||||||
Total investment income | 17,067,172 | 40,405,763 | 8,174,901 | |||||||||
Expenses: | ||||||||||||
Management fee | 6,165,978 | 4,119,154 | 728,028 | |||||||||
12b-1 distribution plan-Class A | 373,147 | 1,160,440 | 86,586 | |||||||||
12b-1 distribution plan-Class C | 395,631 | 407,900 | 46,189 | |||||||||
12b-1 distribution plan-Class F | 321,893 | 305,844 | 178,742 | |||||||||
12b-1 distribution plan-Class P | 316 | – | – | |||||||||
12b-1 distribution plan-Class R2 | 277 | 3,334 | – | |||||||||
12b-1 distribution plan-Class R3 | 77,871 | 56,119 | 837 | |||||||||
12b-1 distribution plan-Class R4 | 227 | 23,728 | 342 | |||||||||
Shareholder servicing | 574,313 | 1,209,511 | 272,172 | |||||||||
Fund administration | 355,984 | 727,584 | 104,004 | |||||||||
Reports to shareholders | 67,074 | 258,184 | 62,477 | |||||||||
Registration | 217,521 | 287,984 | 251,215 | |||||||||
Trustees’ fees | 34,733 | 72,773 | 9,974 | |||||||||
Professional | 67,685 | 73,233 | 58,563 | |||||||||
Custody | 15,523 | 29,629 | 19,853 | |||||||||
Interest paid from Interfund Lending (See Note 11) | – | – | – | |||||||||
Other | 136,003 | 155,510 | 46,603 | |||||||||
Gross expenses | 8,804,176 | 8,890,927 | 1,865,585 | |||||||||
Expense reductions (See Note 9) | (4,340 | ) | (10,461 | ) | (2,331 | ) | ||||||
Fees waived and expenses reimbursed (See Note 3) | (13,630 | ) | (27,514 | ) | (307,743 | ) | ||||||
Shareholder servicing reimbursed-Class I (See Note 3) | – | (191,524 | ) | – | ||||||||
Net expenses | 8,786,206 | 8,661,428 | 1,555,511 | |||||||||
Net investment income | 8,280,966 | 31,744,335 | 6,619,390 |
426 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | – | $ | 2,734,862 | $ | 1,786,568 | $ | – | $ | – | |||||||||
– | – | 14,651 | – | – | ||||||||||||||
322,166 | 387,483,668 | 438,860,156 | 106,446,985 | 23,810,143 | ||||||||||||||
– | 385 | – | 255 | 364 | ||||||||||||||
322,166 | 390,218,915 | 440,661,375 | 106,447,240 | 23,810,507 | ||||||||||||||
39,441 | 32,599,692 | 38,089,060 | 10,460,718 | 2,299,443 | ||||||||||||||
2,468 | 3,934,830 | 2,175,950 | 2,198,197 | 174,604 | ||||||||||||||
5,518 | 7,009,505 | 2,673,947 | 1,172,982 | 175,940 | ||||||||||||||
4,175 | 2,916,595 | 2,054,879 | 589,555 | 201,996 | ||||||||||||||
– | – | 250 | – | – | ||||||||||||||
172 | 7,536 | 53,925 | 9,332 | 213 | ||||||||||||||
278 | 229,559 | 558,924 | 268,006 | 844 | ||||||||||||||
72 | 9,963 | 282,763 | 22,579 | 6,335 | ||||||||||||||
3,404 | 5,022,454 | 5,859,147 | 1,976,964 | 581,665 | ||||||||||||||
3,944 | 2,853,306 | 2,927,125 | 1,101,128 | 306,592 | ||||||||||||||
2,418 | 651,596 | 1,301,083 | 510,911 | 56,702 | ||||||||||||||
184,804 | 434,646 | 512,851 | 328,225 | 243,372 | ||||||||||||||
387 | 296,148 | 299,438 | 110,098 | 32,678 | ||||||||||||||
58,744 | 140,189 | 115,102 | 108,462 | 94,435 | ||||||||||||||
5,996 | 110,164 | 115,577 | 62,457 | 57,505 | ||||||||||||||
– | – | 3,085 | – | – | ||||||||||||||
10,222 | 529,826 | 495,312 | 171,440 | 116,055 | ||||||||||||||
322,043 | 56,746,009 | 57,518,418 | 19,091,054 | 4,348,379 | ||||||||||||||
(49 | ) | (79,593 | ) | (47,849 | ) | (20,032 | ) | (6,879 | ) | |||||||||
(263,270 | ) | (97,672 | ) | (104,897 | ) | (56,394 | ) | (50,372 | ) | |||||||||
– | – | – | – | – | ||||||||||||||
58,724 | 56,568,744 | 57,365,672 | 19,014,628 | 4,291,128 | ||||||||||||||
263,442 | 333,650,171 | 383,295,703 | 87,432,612 | 19,519,379 |
See Notes to Financial Statements. | 427 |
Statements of Operations (continued)
For the Year Ended November 30, 2020
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on investments | $ | 198,267,032 | $ | 65,377,899 | $ | 2,679,872 | ||||||
Net realized gain (loss) on futures contracts | – | 11,423,643 | 1,852,698 | |||||||||
Net realized gain (loss) on forward foreign currency exchange contracts | (704,189 | ) | (269,958 | ) | 287,074 | |||||||
Net realized gain (loss) on swap contracts | – | 2,676,846 | (364,840 | ) | ||||||||
Net realized gain (loss) on foreign currency related transactions | 62,161 | 185,185 | 2,352 | |||||||||
Net change in unrealized appreciation/depreciation on investments | 249,025,899 | 18,727,244 | 3,921,714 | |||||||||
Net change in unrealized appreciation/depreciation on futures contracts | – | 818,119 | 97,264 | |||||||||
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | (489,734 | ) | (774,321 | ) | (464,705 | ) | ||||||
Net change in unrealized appreciation/depreciation on swap contracts | – | (1,255,450 | ) | (64,071 | ) | |||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 14,549 | (215 | ) | 76 | ||||||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | – | 310 | |||||||||
Net realized and unrealized gain (loss) | 446,175,718 | 96,908,992 | 7,947,744 | |||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 454,456,684 | $ | 128,653,327 | $ | 14,567,134 |
428 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 391,846 | $ | (829,258,002 | ) | $ | (135,598,305 | ) | $ | 10,358,261 | $ | (843,388 | ) | ||||||
10,543 | (11,112,360 | ) | 1,030,808 | 20,371,818 | 12,766,304 | |||||||||||||
– | (2,173,953 | ) | (15,845,451 | ) | (722,131 | ) | 4,919 | |||||||||||
– | (75,094,970 | ) | (25,129,279 | ) | (8,319,169 | ) | (18,900,713 | ) | ||||||||||
– | (476,495 | ) | 3,725,118 | 259,795 | (15,553 | ) | ||||||||||||
173,872 | 163,094,234 | 333,101,525 | 75,183,278 | (11,519,888 | ) | |||||||||||||
(1,522 | ) | (360,795 | ) | (1,737,688 | ) | 673,215 | 694,426 | |||||||||||
– | (901,000 | ) | 413,072 | (1,177,538 | ) | (6,726 | ) | |||||||||||
– | (260,137 | ) | 1,167,046 | 5,288,906 | 6,653,366 | |||||||||||||
– | (264,424 | ) | (105,657 | ) | 9,173 | 132 | ||||||||||||
– | 47,219 | 53,050 | (735 | ) | (1,100 | ) | ||||||||||||
574,739 | (756,760,683 | ) | 161,074,239 | 101,924,873 | (11,168,221 | ) | ||||||||||||
$ | 838,181 | $ | (423,110,512 | ) | $ | 544,369,942 | $ | 189,357,485 | $ | 8,351,158 |
See Notes to Financial Statements. | 429 |
Statements of Operations (concluded)
For the Year Ended November 30, 2020
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Investment income: | ||||||||
Interest and other (net of foreign withholding taxes of $0, $68,087, $0 and $0, respectively) | $ | 1,550,964 | $ | 1,532,935,180 | ||||
Total investment income | 1,550,964 | 1,532,935,180 | ||||||
Expenses: | ||||||||
Management fee | 222,168 | 137,354,790 | ||||||
12b-1 distribution plan-Class A | 35,960 | 23,737,331 | ||||||
12b-1 distribution plan-Class A1 | – | – | ||||||
12b-1 distribution plan-Class C | 25,007 | 38,479,717 | ||||||
12b-1 distribution plan-Class F | 49,633 | 22,508,391 | ||||||
12b-1 distribution plan-Class P | – | – | ||||||
12b-1 distribution plan-Class R2 | 73 | 85,253 | ||||||
12b-1 distribution plan-Class R3 | 402 | 1,828,856 | ||||||
12b-1 distribution plan-Class R4 | 46 | 389,059 | ||||||
Shareholder servicing | 53,774 | 37,578,567 | ||||||
Fund administration | 29,622 | 21,736,766 | ||||||
Reports to shareholders | 11,097 | 6,705,668 | ||||||
Registration | 192,778 | 2,164,593 | ||||||
Trustees’ fees | 2,557 | 2,178,656 | ||||||
Professional | 63,705 | 579,988 | ||||||
Custody | 8,267 | 545,178 | ||||||
Other | 18,979 | 825,241 | ||||||
Gross expenses | 714,068 | 296,698,054 | ||||||
Expense reductions (See Note 9) | (570 | ) | (487,211 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (306,553 | ) | (499,308 | ) | ||||
Shareholder servicing reimbursed-Class I (See Note 3) | – | – | ||||||
Net expenses | 406,945 | 295,711,535 | ||||||
Net investment income | 1,144,019 | 1,237,223,645 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on investments | 319,687 | (184,259,370 | ) | |||||
Net realized gain (loss) on futures contracts | (169,303 | ) | 161,358,045 | |||||
Net realized gain (loss) on forward foreign currency exchange contracts | 76 | 83,044 | ||||||
Net realized gain (loss) on swap contracts | 24,182 | (33,790,005 | ) | |||||
Net realized gain (loss) on foreign currency related transactions | (676 | ) | (355,522 | ) | ||||
Net change in unrealized appreciation/depreciation on investments | 654,643 | 33,560,988 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | (6,309 | ) | 2,305,701 | |||||
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | (1,677 | ) | (1,353,435 | ) | ||||
Net change in unrealized appreciation/depreciation on swap contracts | (122,109 | ) | (157,028 | ) | ||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 50 | 6,197 | ||||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | 2,018,482 | ||||||
Net realized and unrealized gain (loss) | 698,564 | (20,582,903 | ) | |||||
Net Increase in Net Assets Resulting From Operations | $ | 1,842,583 | $ | 1,216,640,742 |
430 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 118,561,296 | $ | 320,285,598 | |||
118,561,296 | 320,285,598 | |||||
11,578,415 | 37,042,897 | |||||
2,663,654 | 18,173,943 | |||||
– | 26,440 | |||||
874,442 | – | |||||
970,015 | 6,614,067 | |||||
2,705 | – | |||||
17,403 | – | |||||
447,041 | – | |||||
164,878 | – | |||||
3,495,809 | 10,462,364 | |||||
1,658,309 | 8,211,480 | |||||
639,375 | 1,731,806 | |||||
328,374 | 2,607,242 | |||||
167,809 | 807,653 | |||||
96,036 | 297,432 | |||||
82,731 | 198,604 | |||||
213,969 | 363,173 | |||||
23,400,965 | 86,537,101 | |||||
(29,828 | ) | (196,798 | ) | |||
(77,989 | ) | (3,178,717 | ) | |||
(164,527 | ) | – | ||||
23,128,621 | 83,161,586 | |||||
95,432,675 | 237,124,012 | |||||
134,861,617 | (49,993,084 | ) | ||||
19,803,177 | – | |||||
7,963,945 | – | |||||
2,029,387 | – | |||||
265,343 | – | |||||
16,904,822 | 12,662,427 | |||||
2,727,879 | – | |||||
(11,441,010 | ) | – | ||||
(2,466,635 | ) | – | ||||
2,639 | – | |||||
– | – | |||||
170,651,164 | (37,330,657 | ) | ||||
$ | 266,083,839 | $ | 199,793,355 |
See Notes to Financial Statements. | 431 |
Statements of Changes in Net Assets
Convertible Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE IN NET ASSETS | November 30, 2020 | November 30, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 8,280,966 | $ | 12,746,385 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 197,625,004 | 57,873,079 | ||||||
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 | 248,550,714 | 40,058,156 | ||||||
Net increase in net assets resulting from operations | 454,456,684 | 110,677,620 | ||||||
Distributions to shareholders: | ||||||||
Class A | (12,026,469 | ) | (9,371,011 | ) | ||||
Class C | (3,152,590 | ) | (2,485,800 | ) | ||||
Class F | (15,483,914 | ) | (12,802,328 | ) | ||||
Class F3 | (703,791 | ) | (482,582 | ) | ||||
Class I | (23,687,385 | ) | (31,944,314 | ) | ||||
Class P | (5,567 | ) | (3,996 | ) | ||||
Class R2 | (4,234 | ) | (4,539 | ) | ||||
Class R3 | (848,067 | ) | (585,569 | ) | ||||
Class R4 | (6,762 | ) | (4,651 | ) | ||||
Class R5 | (72,154 | ) | (15,158 | ) | ||||
Class R6 | (407,738 | ) | (206,498 | ) | ||||
Total distributions to shareholders | (56,398,671 | ) | (57,906,446 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 15): | ||||||||
Net proceeds from sales of shares | 753,471,200 | 156,151,752 | ||||||
Reinvestment of distributions | 51,918,546 | 54,218,320 | ||||||
Cost of shares reacquired | (516,629,223 | ) | (435,234,388 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 288,760,523 | (224,864,316 | ) | |||||
Net increase (decrease) in net assets | 686,818,536 | (172,093,142 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | $ | 690,463,604 | $ | 862,556,746 | ||||
End of year | $ | 1,377,282,140 | $ | 690,463,604 |
432 | 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, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | |||||||||||
$ | 31,744,335 | $ | 30,117,975 | $ | 6,619,390 | $ | 2,050,080 | |||||||
79,393,615 | 41,757,436 | 4,457,156 | 525,612 | |||||||||||
17,515,377 | 41,487,571 | 3,490,588 | 2,470,998 | |||||||||||
128,653,327 | 113,362,982 | 14,567,134 | 5,046,690 | |||||||||||
(11,268,416 | ) | (11,693,909 | ) | (1,564,863 | ) | (415,631 | ) | |||||||
(660,646 | ) | (857,422 | ) | (155,580 | ) | (37,889 | ) | |||||||
(6,168,214 | ) | (4,327,241 | ) | (6,963,737 | ) | (1,743,310 | ) | |||||||
(7,652,850 | ) | (7,657,290 | ) | (202,841 | ) | (382 | ) | |||||||
(10,497,468 | ) | (7,578,862 | ) | (992,480 | ) | (129,005 | ) | |||||||
– | (3 | ) | – | – | ||||||||||
(8,902 | ) | (13,255 | ) | – | (823 | ) | ||||||||
(187,241 | ) | (286,489 | ) | (6,167 | ) | (1,223 | ) | |||||||
(180,145 | ) | (158,495 | ) | (4,551 | ) | (933 | ) | |||||||
(27,049 | ) | (31,630 | ) | (919 | ) | (1,013 | ) | |||||||
(835,176 | ) | (1,310,716 | ) | (27,450 | ) | (1,020 | ) | |||||||
(37,486,107 | ) | (33,915,312 | ) | (9,918,588 | ) | (2,331,229 | ) | |||||||
1,175,119,050 | 629,086,713 | 228,820,166 | 207,572,060 | |||||||||||
37,271,368 | 33,590,628 | 9,922,011 | 2,309,637 | |||||||||||
(740,809,797 | ) | (328,770,791 | ) | (153,506,555 | ) | (25,088,598 | ) | |||||||
471,580,621 | 333,906,550 | 85,235,622 | 184,793,099 | |||||||||||
562,747,841 | 413,354,220 | 89,884,168 | 187,508,560 | |||||||||||
$ | 1,486,268,883 | $ | 1,072,914,663 | $ | 200,421,518 | $ | 12,912,958 | |||||||
$ | 2,049,016,724 | $ | 1,486,268,883 | $ | 290,305,686 | $ | 200,421,518 |
See Notes to Financial Statements. | 433 |
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, 2020 | November 30, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 263,442 | $ | 218,730 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 402,389 | (2,478 | ) | |||||
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 | 172,350 | 653,010 | ||||||
Net increase (decrease) in net assets resulting from operations | 838,181 | 869,262 | ||||||
Distributions to shareholders: | ||||||||
Class A | (40,744 | ) | (21,318 | ) | ||||
Class C | (16,679 | ) | (10,073 | ) | ||||
Class F | (141,022 | ) | (90,520 | ) | ||||
Class F3 | (63,015 | ) | (67,533 | ) | ||||
Class I | (5,550 | ) | (6,511 | ) | ||||
Class P | – | – | ||||||
Class R2 | (847 | ) | (932 | ) | ||||
Class R3 | (1,701 | ) | (1,837 | ) | ||||
Class R4 | (957 | ) | (1,032 | ) | ||||
Class R5 | (1,037 | ) | (1,105 | ) | ||||
Class R6 | (63,702 | ) | (67,533 | ) | ||||
Return of capital | ||||||||
Class A | – | – | ||||||
Class C | – | – | ||||||
Class F | – | – | ||||||
Class F3 | – | – | ||||||
Class I | – | – | ||||||
Class P | – | – | ||||||
Class R2 | – | – | ||||||
Class R3 | – | – | ||||||
Class R4 | – | – | ||||||
Class R5 | – | – | ||||||
Class R6 | – | – | ||||||
Total distributions to shareholders | (335,254 | ) | (268,394 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 15): | ||||||||
Net proceeds from sales of shares | 7,415,917 | 2,018,353 | ||||||
Reinvestment of distributions | 229,109 | 267,482 | ||||||
Cost of shares reacquired | (5,100,194 | ) | (218,963 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 2,544,832 | 2,066,872 | ||||||
Net increase (decrease) in net assets | 3,047,759 | 2,667,740 | ||||||
NET ASSETS: | ||||||||
Beginning of year | $ | 7,875,554 | $ | 5,207,814 | ||||
End of year | $ | 10,923,313 | $ | 7,875,554 |
434 | 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, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | |||||||||||
$ | 333,650,171 | $ | 641,070,118 | $ | 383,295,703 | $ | 372,225,633 | |||||||
(918,115,780 | ) | (370,031,862 | ) | (171,817,109 | ) | (163,555,389 | ) | |||||||
161,355,097 | 42,732,218 | 332,891,348 | 399,110,540 | |||||||||||
(423,110,512 | ) | 313,770,474 | 544,369,942 | 607,780,784 | ||||||||||
(77,880,628 | ) | (161,150,166 | ) | (59,430,642 | ) | (66,093,458 | ) | |||||||
(29,550,397 | ) | (69,856,818 | ) | (15,701,003 | ) | (19,749,053 | ) | |||||||
(118,552,436 | ) | (286,378,688 | ) | (114,217,234 | ) | (119,680,368 | ) | |||||||
(4,748,546 | ) | (11,512,512 | ) | (71,956,776 | ) | (31,111,656 | ) | |||||||
(46,185,206 | ) | (106,129,358 | ) | (83,792,385 | ) | (89,496,359 | ) | |||||||
– | – | (2,942 | ) | (6,664 | ) | |||||||||
(45,528 | ) | (82,687 | ) | (460,759 | ) | (680,771 | ) | |||||||
(1,700,200 | ) | (2,835,779 | ) | (5,800,041 | ) | (6,014,467 | ) | |||||||
(157,132 | ) | (687,668 | ) | (6,144,453 | ) | (5,741,538 | ) | |||||||
(291,452 | ) | (922,146 | ) | (14,865,606 | ) | (16,166,403 | ) | |||||||
(4,971,555 | ) | (5,537,812 | ) | (34,047,152 | ) | (32,664,889 | ) | |||||||
(13,936,988 | ) | – | – | – | ||||||||||
(5,288,138 | ) | – | – | – | ||||||||||
(21,215,339 | ) | – | – | – | ||||||||||
(849,768 | ) | – | – | – | ||||||||||
(8,264,991 | ) | – | – | – | ||||||||||
– | – | – | – | |||||||||||
(8,147 | ) | – | – | – | ||||||||||
(304,257 | ) | – | – | – | ||||||||||
(28,119 | ) | – | – | – | ||||||||||
(52,156 | ) | – | – | – | ||||||||||
(889,676 | ) | – | – | – | ||||||||||
(334,920,659 | ) | (645,093,634 | ) | (406,418,993 | ) | (387,405,626 | ) | |||||||
2,769,549,859 | 3,570,661,363 | 4,557,701,200 | 2,821,984,363 | |||||||||||
277,197,863 | 529,246,438 | 378,696,214 | 357,413,419 | |||||||||||
(5,936,645,921 | ) | (9,289,849,382 | ) | (3,827,045,203 | ) | (2,814,889,794 | ) | |||||||
(2,889,898,199 | ) | (5,189,941,581 | ) | 1,109,352,211 | 364,507,988 | |||||||||
(3,647,929,370 | ) | (5,521,264,741 | ) | 1,247,303,160 | 584,883,146 | |||||||||
$ | 9,409,773,642 | $ | 14,931,038,383 | $ | 7,055,202,599 | $ | 6,470,319,453 | |||||||
$ | 5,761,844,272 | $ | 9,409,773,642 | $ | 8,302,505,759 | $ | 7,055,202,599 |
See Notes to Financial Statements. | 435 |
Statements of Changes in Net Assets (continued)
Income Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE/(DECREASE) IN NET ASSETS | November 30, 2020 | November 30, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 87,432,612 | $ | 83,666,471 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 21,948,574 | 27,913,412 | ||||||
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 | 79,976,299 | 168,412,927 | ||||||
Net increase in net assets resulting from operations | 189,357,485 | 279,992,810 | ||||||
Distributions to shareholders: | ||||||||
Class A | (40,039,344 | ) | (36,797,636 | ) | ||||
Class C | (4,336,200 | ) | (5,650,769 | ) | ||||
Class F | (22,016,457 | ) | (20,314,667 | ) | ||||
Class F3 | (25,058,866 | ) | (20,065,736 | ) | ||||
Class I | (5,984,763 | ) | (6,977,787 | ) | ||||
Class R2 | (50,895 | ) | (52,202 | ) | ||||
Class R3 | (1,800,809 | ) | (1,919,349 | ) | ||||
Class R4 | (325,479 | ) | (283,781 | ) | ||||
Class R5 | (236,503 | ) | (212,668 | ) | ||||
Class R6 | (2,235,220 | ) | (1,849,550 | ) | ||||
Total distributions to shareholders | (102,084,536 | ) | (94,124,145 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 15): | ||||||||
Net proceeds from sales of shares | 974,203,120 | 939,236,411 | ||||||
Reinvestment of distributions | 92,724,686 | 85,523,334 | ||||||
Cost of shares reacquired | (944,205,546 | ) | (600,189,975 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 122,722,260 | 424,569,770 | ||||||
Net increase (decrease) in net assets | 209,995,209 | 610,438,435 | ||||||
NET ASSETS: | ||||||||
Beginning of year | $ | 2,703,769,819 | $ | 2,093,331,384 | ||||
End of year | $ | 2,913,765,028 | $ | 2,703,769,819 |
436 | 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, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | |||||||||||
$ | 19,519,379 | $ | 37,707,804 | $ | 1,144,019 | $ | 570,823 | |||||||
(6,988,431 | ) | 3,034,580 | 173,966 | 26,151 | ||||||||||
(4,179,790 | ) | (26,441,307 | ) | 524,598 | 353,314 | |||||||||
8,351,158 | 14,301,077 | 1,842,583 | 950,288 | |||||||||||
(3,367,740 | ) | (5,285,461 | ) | (407,452 | ) | (200,838 | ) | |||||||
(699,044 | ) | (1,298,256 | ) | (47,544 | ) | (44,208 | ) | |||||||
(7,922,723 | ) | (14,368,742 | ) | (1,175,567 | ) | (330,986 | ) | |||||||
(342,816 | ) | (772,004 | ) | (5,050 | ) | (51,583 | ) | |||||||
(16,633,850 | ) | (26,185,147 | ) | (60,914 | ) | (10,034 | ) | |||||||
(1,217 | ) | (4,322 | ) | (298 | ) | (682 | ) | |||||||
(6,093 | ) | (3,739 | ) | (1,680 | ) | (1,775 | ) | |||||||
(95,602 | ) | (99,905 | ) | (476 | ) | (778 | ) | |||||||
(10,385 | ) | (11,141 | ) | (525 | ) | (847 | ) | |||||||
(1,270,570 | ) | (2,149,253 | ) | (23,329 | ) | (61,079 | ) | |||||||
(30,350,040 | ) | (50,177,970 | ) | (1,722,835 | ) | (702,810 | ) | |||||||
283,087,556 | 417,555,081 | 170,629,856 | 38,685,094 | |||||||||||
27,038,763 | 42,657,456 | 1,670,767 | 668,641 | |||||||||||
(751,918,774 | ) | (770,779,338 | ) | (92,491,819 | ) | (7,352,233 | ) | |||||||
(441,792,455 | ) | (310,566,801 | ) | 79,808,804 | 32,001,502 | |||||||||
(463,791,337 | ) | (346,443,694 | ) | 79,928,552 | 32,248,980 | |||||||||
$ | 1,104,090,891 | $ | 1,450,534,585 | $ | 44,826,454 | $ | 12,577,474 | |||||||
$ | 640,299,554 | $ | 1,104,090,891 | $ | 124,755,006 | $ | 44,826,454 |
See Notes to Financial Statements. | 437 |
Statements of Changes in Net Assets (concluded)
Short Duration Income Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE IN NET ASSETS | November 30, 2020 | November 30, 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 1,237,223,645 | $ | 1,429,407,247 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | (56,963,808 | ) | 76,019,245 | |||||
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 | 36,380,905 | 1,008,288,999 | ||||||
Net increase in net assets resulting from operations | 1,216,640,742 | 2,513,715,491 | ||||||
Distributions to shareholders: | ||||||||
Class A | (350,586,053 | ) | (355,634,926 | ) | ||||
Class A1 | – | – | ||||||
Class C | (106,276,101 | ) | (147,892,825 | ) | ||||
Class F | (688,006,004 | ) | (732,369,032 | ) | ||||
Class F3 | (138,292,416 | ) | (153,416,971 | ) | ||||
Class I | (305,139,040 | ) | (339,966,468 | ) | ||||
Class P | – | – | ||||||
Class R2 | (365,608 | ) | (635,981 | ) | ||||
Class R3 | (9,763,395 | ) | (11,498,655 | ) | ||||
Class R4 | (4,531,989 | ) | (4,599,910 | ) | ||||
Class R5 | (2,374,136 | ) | (2,399,799 | ) | ||||
Class R6 | (27,870,793 | ) | (28,485,527 | ) | ||||
Total distributions to shareholders | (1,633,205,535 | ) | (1,776,900,094 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 15): | ||||||||
Net proceeds from sales of shares | 26,023,360,331 | 28,819,433,977 | ||||||
Reinvestment of distributions | 1,411,722,115 | 1,523,647,699 | ||||||
Cost of shares reacquired | (26,669,111,863 | ) | (17,060,665,166 | ) | ||||
Net increase in net assets resulting from capital share transactions | 765,970,583 | 13,282,416,510 | ||||||
Net increase in net assets | 349,405,790 | 14,019,231,907 | ||||||
NET ASSETS: | ||||||||
Beginning of year | $ | 55,566,202,272 | $ | 41,546,970,365 | ||||
End of year | $ | 55,915,608,062 | $ | 55,566,202,272 |
438 | 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, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | |||||||||||
$ | 95,432,675 | $ | 107,082,080 | $ | 237,124,012 | $ | 415,126,110 | |||||||
164,923,469 | 101,908,773 | (49,993,084 | ) | 5,710,197 | ||||||||||
5,727,695 | 141,080,690 | 12,662,427 | 47,636,182 | |||||||||||
266,083,839 | 350,071,543 | 199,793,355 | 468,472,489 | |||||||||||
(33,261,179 | ) | (36,252,910 | ) | (139,495,939 | ) | (214,086,151 | ) | |||||||
– | – | (80,421 | ) | (2,348 | ) | |||||||||
(2,032,803 | ) | (2,898,671 | ) | – | – | |||||||||
(25,171,768 | ) | (28,340,648 | ) | (76,898,925 | ) | (155,362,125 | ) | |||||||
(19,710,469 | ) | (20,118,504 | ) | (4,398,887 | ) | (7,088,120 | ) | |||||||
(11,283,291 | ) | (13,107,788 | ) | (18,442,515 | ) | (38,280,816 | ) | |||||||
(13,487 | ) | (16,381 | ) | – | – | |||||||||
(61,337 | ) | (118,121 | ) | – | – | |||||||||
(1,974,852 | ) | (2,751,323 | ) | – | – | |||||||||
(1,631,622 | ) | (1,924,268 | ) | – | – | |||||||||
(3,077,974 | ) | (3,614,427 | ) | (27,977 | ) | (47,969 | ) | |||||||
(9,775,103 | ) | (9,605,134 | ) | (573,211 | ) | (218,680 | ) | |||||||
(107,993,885 | ) | (118,748,175 | ) | (239,917,875 | ) | (415,086,209 | ) | |||||||
1,231,781,820 | 1,396,158,215 | 21,872,176,858 | 22,914,822,713 | |||||||||||
99,416,854 | 107,792,937 | 228,044,541 | 394,939,651 | |||||||||||
(1,314,339,885 | ) | (1,240,621,889 | ) | (21,082,406,048 | ) | (15,647,192,291 | ) | |||||||
16,858,789 | 263,329,263 | 1,017,815,351 | 7,662,570,073 | |||||||||||
174,948,743 | 494,652,631 | 977,690,831 | 7,715,956,353 | |||||||||||
$ | 4,081,567,951 | $ | 3,586,915,320 | $ | 20,579,848,627 | $ | 12,863,892,274 | |||||||
$ | 4,256,516,694 | $ | 4,081,567,951 | $ | 21,557,539,458 | $ | 20,579,848,627 |
See Notes to Financial Statements. | 439 |
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2020 | $14.15 | $ | 0.14 | $ | 7.40 | $ | 7.54 | $ | (0.21 | ) | $ | (0.96 | ) | $ | (1.17 | ) | ||||||||||||
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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2020 | 14.05 | 0.03 | 7.36 | 7.39 | (0.11 | ) | (0.96 | ) | (1.07 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2020 | 14.15 | 0.16 | 7.39 | 7.55 | (0.22 | ) | (0.96 | ) | (1.18 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2020 | 14.24 | 0.18 | 7.46 | 7.64 | (0.24 | ) | (0.96 | ) | (1.20 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 14.23 | 0.17 | 7.46 | 7.63 | (0.24 | ) | (0.96 | ) | (1.20 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2020 | 14.37 | 0.09 | 7.55 | 7.64 | (0.17 | ) | (0.96 | ) | (1.13 | ) | ||||||||||||||||||
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 | ) |
440 | 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 (%) | ||||||||||||||||||||
$ | 20.52 | 57.67 | 1.06 | 1.06 | 0.86 | $ | 290,469 | 138 | ||||||||||||||||||
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 | ||||||||||||||||||||
20.37 | 56.72 | 1.70 | 1.70 | 0.21 | 64,570 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
20.52 | 57.83 | 0.96 | 0.96 | 0.96 | 625,813 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
20.68 | 58.11 | 0.80 | 0.80 | 1.12 | 23,424 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||
20.66 | 58.08 | 0.86 | 0.86 | 1.05 | 340,178 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
20.88 | 57.33 | 1.31 | 1.31 | 0.60 | 74 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
See Notes to Financial Statements. | 441 |
Financial Highlights (continued)
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | �� | |||||||||||||||||||||||||||
11/30/2020 | $ | 14.37 | $ | 0.07 | $ | 7.54 | $ | 7.61 | $ | (0.14 | ) | $ | (0.96 | ) | $ | (1.10 | ) | |||||||||||
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 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2020 | 14.08 | 0.09 | 7.37 | 7.46 | (0.17 | ) | (0.96 | ) | (1.13 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2020 | 14.14 | 0.14 | 7.40 | 7.54 | (0.20 | ) | (0.96 | ) | (1.16 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2020 | 14.23 | 0.17 | 7.45 | 7.62 | (0.24 | ) | (0.96 | ) | (1.20 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2020 | 14.25 | 0.17 | 7.47 | 7.64 | (0.24 | ) | (0.96 | ) | (1.20 | ) | ||||||||||||||||||
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 | ) |
(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. |
442 | 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 (%) | ||||||||||||||||||||
$ | 20.88 | 57.05 | 1.46 | 1.46 | 0.45 | $ | 46 | 138 | ||||||||||||||||||
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 | ||||||||||||||||||||
20.41 | 57.25 | 1.36 | 1.36 | 0.56 | 25,311 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
20.52 | 57.67 | 1.13 | 1.13 | 0.86 | 418 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
20.65 | 58.01 | 0.86 | 0.86 | 1.05 | 1,314 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
20.69 | 58.08 | 0.80 | 0.80 | 1.11 | 5,665 | 138 | ||||||||||||||||||||
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 | ||||||||||||||||||||
See Notes to Financial Statements. | 443 |
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 A | ||||||||||||||||||||||||||||
11/30/2020 | $ | 11.10 | $ | 0.19 | $ | 0.62 | $ | 0.81 | $ | (0.22 | ) | $ | – | $ | (0.22 | ) | ||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2020 | 11.05 | 0.12 | 0.61 | 0.73 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2020 | 11.10 | 0.19 | 0.62 | 0.81 | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2020 | 11.10 | 0.22 | 0.62 | 0.84 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 11.10 | 0.21 | 0.62 | 0.83 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2020 | 11.10 | 0.14 | 0.63 | 0.77 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
444 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 11.69 | 7.40 | 0.60 | 0.60 | 1.63 | $ | 677,401 | 589 | ||||||||||||||||||
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 | ||||||||||||||||||||
11.63 | 6.66 | 1.22 | 1.22 | 1.01 | 49,939 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.68 | 7.41 | 0.49 | 0.49 | 1.70 | 371,706 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.69 | 7.69 | 0.32 | 0.32 | 1.90 | 399,915 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||
11.68 | 7.56 | 0.35 | 0.39 | 1.87 | 493,395 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.69 | 6.97 | 1.00 | 1.00 | 1.26 | 445 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||||||
See Notes to Financial Statements. | 445 |
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 R3 | ||||||||||||||||||||||||||||
11/30/2020 | $11.10 | $0.15 | $ 0.63 | $ 0.78 | $(0.19 | ) | $ | – | $ | (0.19 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2020 | 11.10 | 0.18 | 0.62 | 0.80 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2020 | 11.10 | 0.21 | 0.63 | 0.84 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2020 | 11.10 | 0.22 | 0.62 | 0.84 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
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 | ) |
(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. |
446 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 11.69 | 7.08 | 0.90 | 0.90 | 1.35 | $ | 11,473 | 589 | ||||||||||||||||||
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 | ||||||||||||||||||||
11.68 | 7.26 | 0.65 | 0.65 | 1.58 | 10,750 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.69 | 7.61 | 0.40 | 0.40 | 1.86 | 1,053 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.68 | 7.60 | 0.32 | 0.32 | 1.95 | 32,940 | 589 | ||||||||||||||||||||
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 | ||||||||||||||||||||
See Notes to Financial Statements. | 447 |
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 | ||||||||||||||||||||||||||||
11/30/2020 | $ | 15.39 | $ | 0.38 | $ | 0.61 | $ | 0.99 | $ | (0.50 | ) | $ | (0.10 | ) | $ | (0.60 | ) | |||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 15.39 | 0.27 | 0.61 | 0.88 | (0.39 | ) | (0.10 | ) | (0.49 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 15.38 | 0.39 | 0.60 | 0.99 | (0.51 | ) | (0.10 | ) | (0.61 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 15.40 | 0.42 | 0.59 | 1.01 | (0.54 | ) | (0.10 | ) | (0.64 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 15.39 | 0.41 | 0.60 | 1.01 | (0.53 | ) | (0.10 | ) | (0.63 | ) | ||||||||||||||||||
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 R3 | ||||||||||||||||||||||||||||
11/30/2020 | 15.39 | 0.34 | 0.59 | 0.93 | (0.45 | ) | (0.10 | ) | (0.55 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||||
448 | 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 (%) | ||||||||||||||||||||
$ | 15.78 | 6.57 | 0.68 | 0.80 | 2.46 | $ | 57,837 | 443 | ||||||||||||||||||
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 | ||||||||||||||||
15.78 | 5.83 | 1.38 | 1.50 | 1.77 | 5,846 | 443 | ||||||||||||||||||||
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 | ||||||||||||||||
15.76 | 6.61 | 0.58 | 0.70 | 2.56 | 181,474 | 443 | ||||||||||||||||||||
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 | ||||||||||||||||
15.77 | 6.69 | 0.39 | 0.50 | 2.74 | 8,558 | 443 | ||||||||||||||||||||
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 | ||||||||||||||||
15.77 | 6.71 | 0.48 | 0.61 | 2.66 | 35,271 | 443 | ||||||||||||||||||||
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 | ||||||||||||||||
15.77 | 6.19 | 0.98 | 1.09 | 2.19 | 124 | 443 | ||||||||||||||||||||
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 | ||||||||||||||||
See Notes to Financial Statements. | 449 |
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 R4 | ||||||||||||||||||||||||||||
11/30/2020 | $ | 15.39 | $ | 0.37 | $ | 0.60 | $ | 0.97 | $ | (0.49 | ) | $ | (0.10 | ) | $ | (0.59 | ) | |||||||||||
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 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2020 | 15.39 | 0.41 | 0.60 | 1.01 | (0.53 | ) | (0.10 | ) | (0.63 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 15.39 | 0.43 | 0.60 | 1.03 | (0.54 | ) | (0.10 | ) | (0.64 | ) | ||||||||||||||||||
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. |
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 (%) | ||||||||||||||||||||
$ | 15.77 | 6.45 | 0.73 | 0.86 | 2.39 | $ | 266 | 443 | ||||||||||||||||||
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 | ||||||||||||||||
15.77 | 6.72 | 0.48 | 0.57 | 2.69 | 12 | 443 | ||||||||||||||||||||
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 | ||||||||||||||||
15.78 | 6.86 | 0.39 | 0.51 | 2.78 | 918 | 443 | ||||||||||||||||||||
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. | 451 |
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 | ||||||||||||||||||||||||||||
11/30/2020 | $ | 10.23 | $ | 0.26 | $ | 0.64 | $ | 0.90 | $ | (0.35 | ) | $ | – | $ | (0.35 | ) | ||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.23 | 0.20 | 0.62 | 0.82 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.25 | 0.27 | 0.63 | 0.90 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.23 | 0.30 | 0.62 | 0.92 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.23 | 0.30 | 0.61 | 0.91 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.23 | 0.23 | 0.62 | 0.85 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.23 | 0.24 | 0.62 | 0.86 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.23 | 0.27 | 0.62 | 0.89 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||||
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 (%) | ||||||||||||||||||||
$ | 10.78 | 8.95 | 0.68 | 3.24 | 2.53 | $ | 2,157 | 119 | ||||||||||||||||||
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 | ||||||||||||||||
10.77 | 8.12 | 1.36 | 4.13 | 1.96 | 791 | 119 | ||||||||||||||||||||
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 | ||||||||||||||||
10.79 | 8.95 | 0.58 | 3.17 | 2.64 | 3,991 | 119 | ||||||||||||||||||||
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 | ||||||||||||||||
10.78 | 9.22 | 0.45 | 3.21 | 2.88 | 1,837 | 119 | ||||||||||||||||||||
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 | ||||||||||||||||
10.77 | 9.08 | 0.48 | 3.33 | 2.88 | 134 | 119 | ||||||||||||||||||||
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 | ||||||||||||||||
10.77 | 8.43 | 1.08 | 3.84 | 2.24 | 30 | 119 | ||||||||||||||||||||
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 | ||||||||||||||||
10.77 | 8.54 | 0.98 | �� | 3.75 | 2.34 | 59 | 119 | |||||||||||||||||||
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 | ||||||||||||||||
10.78 | 8.91 | 0.73 | 3.49 | 2.59 | 30 | 119 | ||||||||||||||||||||
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. | 453 |
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 | ||||||||||||||||||||||||||||
11/30/2020 | $10.24 | $0.29 | $0.62 | $0.91 | $(0.37 | ) | $ | – | $(0.37 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.23 | 0.30 | 0.62 | 0.92 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
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. |
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 (%) | ||||||||||||||||||||
$10.78 | 9.07 | 0.48 | 3.25 | 2.84 | $ | 31 | 119 | |||||||||||||||||||
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 | ||||||||||||||||
10.78 | 9.22 | 0.45 | 3.21 | 2.88 | 1,864 | 119 | ||||||||||||||||||||
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. | 455 |
Financial Highlights (continued)
FLOATING RATE 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 invest- ment opera tions | Net invest- ment income | Return of capital | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2020 | $8.73 | $0.38 | $ | (0.53 | ) | $ | (0.15 | ) | (0.32 | ) | (0.06 | ) | $ | (0.38 | ) | |||||||||||||
11/30/2019 | 8.97 | 0.49 | (0.24 | ) | 0.25 | (0.49 | ) | – | (0.49 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.46 | (0.21 | ) | 0.25 | (0.46 | ) | – | (0.46 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.41 | 0.01 | 0.42 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.41 | 0.28 | 0.69 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2020 | 8.74 | 0.33 | (0.54 | ) | (0.21 | ) | (0.27 | ) | (0.06 | ) | (0.33 | ) | ||||||||||||||||
11/30/2019 | 8.98 | 0.44 | (0.24 | ) | 0.20 | (0.44 | ) | – | (0.44 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.40 | (0.20 | ) | 0.20 | (0.40 | ) | – | (0.40 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.35 | 0.01 | 0.36 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.35 | 0.28 | 0.63 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2020 | 8.72 | 0.39 | (0.54 | ) | (0.15 | ) | (0.32 | ) | (0.06 | ) | (0.38 | ) | ||||||||||||||||
11/30/2019 | 8.96 | 0.50 | (0.24 | ) | 0.26 | (0.50 | ) | – | (0.50 | ) | ||||||||||||||||||
11/30/2018 | 9.17 | 0.47 | (0.21 | ) | 0.26 | (0.47 | ) | – | (0.47 | ) | ||||||||||||||||||
11/30/2017 | 9.16 | 0.42 | 0.01 | 0.43 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2016 | 8.88 | 0.42 | 0.28 | 0.70 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2020 | 8.75 | 0.40 | (0.54 | ) | (0.14 | ) | (0.34 | ) | (0.06 | ) | (0.40 | ) | ||||||||||||||||
11/30/2019 | 8.98 | 0.52 | (0.23 | ) | 0.29 | (0.52 | ) | – | (0.52 | ) | ||||||||||||||||||
11/30/2018 | 9.19 | 0.49 | (0.22 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(c) | 9.23 | 0.28 | (0.04 | ) | 0.24 | (0.28 | ) | – | (0.28 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2020 | 8.74 | 0.40 | (0.55 | ) | (0.15 | ) | (0.33 | ) | (0.06 | ) | (0.39 | ) | ||||||||||||||||
11/30/2019 | 8.97 | 0.51 | (0.23 | ) | 0.28 | (0.51 | ) | – | (0.51 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.48 | (0.21 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.42 | 0.02 | 0.44 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.43 | 0.28 | 0.71 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2020 | 8.74 | 0.35 | (0.54 | ) | (0.19 | ) | (0.29 | ) | (0.06 | ) | (0.35 | ) | ||||||||||||||||
11/30/2019 | 8.98 | 0.46 | (0.24 | ) | 0.22 | (0.46 | ) | – | (0.46 | ) | ||||||||||||||||||
11/30/2018 | 9.19 | 0.43 | (0.22 | ) | 0.21 | (0.42 | ) | – | (0.42 | ) | ||||||||||||||||||
11/30/2017 | 9.18 | 0.37 | 0.01 | 0.38 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2016 | 8.90 | 0.37 | 0.28 | 0.65 | (0.37 | ) | – | (0.37 | ) |
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 reim- bursements (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$8.20 | (1.58 | ) | 0.80 | 0.80 | 4.65 | $ | 1,790,285 | 92 | ||||||||||||||||||
8.73 | 2.90 | 0.81 | 0.81 | 5.56 | 2,462,684 | 58 | ||||||||||||||||||||
8.97 | 2.74 | 0.79 | 0.79 | 5.05 | 3,653,385 | 68 | ||||||||||||||||||||
9.18 | 4.65 | 0.79 | 0.79 | 4.43 | 3,530,233 | 81 | ||||||||||||||||||||
9.17 | 7.95 | 0.80 | 0.80 | 4.56 | 3,003,142 | 78 | ||||||||||||||||||||
8.20 | (2.31 | ) | 1.42 | 1.42 | 4.08 | 616,741 | 92 | |||||||||||||||||||
8.74 | 2.37 | 1.45 | 1.45 | 4.93 | 1,141,085 | 58 | ||||||||||||||||||||
8.98 | 2.10 | 1.43 | 1.43 | 4.42 | 1,627,126 | 68 | ||||||||||||||||||||
9.18 | 3.98 | 1.44 | 1.44 | 3.80 | 1,587,964 | 81 | ||||||||||||||||||||
9.17 | 7.29 | 1.43 | 1.43 | 3.95 | 1,547,969 | 78 | ||||||||||||||||||||
8.19 | (1.50 | ) | 0.70 | 0.70 | 4.79 | 2,231,780 | 92 | |||||||||||||||||||
8.72 | 3.00 | 0.71 | 0.71 | 5.65 | 4,007,181 | 58 | ||||||||||||||||||||
8.96 | 2.84 | 0.69 | 0.69 | 5.17 | 6,725,819 | 68 | ||||||||||||||||||||
9.17 | 4.75 | 0.69 | 0.69 | 4.52 | 4,877,793 | 81 | ||||||||||||||||||||
9.16 | 8.06 | 0.70 | 0.70 | 4.64 | 3,564,772 | 78 | ||||||||||||||||||||
8.21 | (1.32 | ) | 0.54 | 0.54 | 4.92 | 91,251 | 92 | |||||||||||||||||||
8.75 | 3.17 | 0.54 | 0.54 | 5.83 | 147,359 | 58 | ||||||||||||||||||||
8.98 | 3.00 | 0.53 | 0.53 | 5.29 | 277,822 | 68 | ||||||||||||||||||||
9.19 | 2.67 | (d) | 0.54 | (e) | 0.54 | (e) | 4.68 | (e) | 203,910 | 81 | ||||||||||||||||
8.20 | (1.50 | ) | 0.60 | 0.60 | 4.92 | 855,140 | 92 | |||||||||||||||||||
8.74 | 3.22 | 0.61 | 0.61 | 5.75 | 1,475,395 | 58 | ||||||||||||||||||||
8.97 | 2.94 | 0.59 | 0.59 | 5.27 | 2,462,923 | 68 | ||||||||||||||||||||
9.18 | 4.85 | 0.60 | 0.60 | 4.61 | 1,744,687 | 81 | ||||||||||||||||||||
9.17 | 8.16 | 0.60 | 0.60 | 4.75 | 605,018 | 78 | ||||||||||||||||||||
8.20 | (2.09 | ) | 1.20 | 1.20 | 4.26 | 1,026 | 92 | |||||||||||||||||||
8.74 | 2.50 | 1.21 | 1.21 | 5.16 | 1,471 | 58 | ||||||||||||||||||||
8.98 | 2.35 | 1.19 | 1.19 | 4.68 | 1,579 | 68 | ||||||||||||||||||||
9.19 | 4.24 | 1.20 | 1.20 | 4.04 | 1,254 | 81 | ||||||||||||||||||||
9.18 | 7.53 | 1.20 | 1.20 | 4.16 | 751 | 78 |
See Notes to Financial Statements. | 457 |
Financial Highlights (continued)
FLOATING RATE 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 invest- ment opera tions | Net invest- ment income | Return of capital | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2020 | $8.74 | $0.35 | $(0.54 | ) | $(0.19 | ) | (0.29 | ) | (0.06 | ) | $(0.35 | ) | ||||||||||||||||
11/30/2019 | 8.97 | 0.47 | (0.23 | ) | 0.24 | (0.47 | ) | – | (0.47 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.44 | (0.22 | ) | 0.22 | (0.43 | ) | – | (0.43 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.38 | 0.01 | 0.39 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.38 | 0.28 | 0.66 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2020 | 8.73 | 0.38 | (0.54 | ) | (0.16 | ) | (0.31 | ) | (0.06 | ) | (0.37 | ) | ||||||||||||||||
11/30/2019 | 8.97 | 0.49 | (0.24 | ) | 0.25 | (0.49 | ) | – | (0.49 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.47 | (0.22 | ) | 0.25 | (0.46 | ) | – | (0.46 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.40 | 0.01 | 0.41 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.41 | 0.28 | 0.69 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2020 | 8.75 | 0.40 | (0.55 | ) | (0.15 | ) | (0.33 | ) | (0.06 | ) | (0.39 | ) | ||||||||||||||||
11/30/2019 | 8.98 | 0.51 | (0.23 | ) | 0.28 | (0.51 | ) | – | (0.51 | ) | ||||||||||||||||||
11/30/2018 | 9.19 | 0.51 | (0.24 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
11/30/2017 | 9.18 | 0.43 | 0.01 | 0.44 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2016 | 8.90 | 0.43 | 0.28 | 0.71 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2020 | 8.74 | 0.40 | (0.54 | ) | (0.14 | ) | (0.34 | ) | (0.06 | ) | (0.40 | ) | ||||||||||||||||
11/30/2019 | 8.98 | 0.51 | (0.23 | ) | 0.28 | (0.52 | ) | – | (0.52 | ) | ||||||||||||||||||
11/30/2018 | 9.19 | 0.49 | (0.22 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
11/30/2017 | 9.18 | 0.43 | 0.01 | 0.44 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2016 | 8.90 | 0.44 | 0.27 | 0.71 | (0.43 | ) | – | (0.43 | ) |
(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. |
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 reim- bursements (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$8.20 | (1.99 | ) | 1.10 | 1.10 | 4.35 | $ | 43,458 | 92 | ||||||||||||||||||
8.74 | 2.71 | 1.12 | 1.12 | 5.26 | 52,957 | 58 | ||||||||||||||||||||
8.97 | 2.45 | 1.09 | 1.09 | 4.78 | 52,978 | 68 | ||||||||||||||||||||
9.18 | 4.35 | 1.10 | 1.10 | 4.15 | 43,115 | 81 | ||||||||||||||||||||
9.17 | 7.64 | 1.10 | 1.10 | 4.28 | 34,215 | 78 | ||||||||||||||||||||
8.20 | (1.63 | ) | 0.85 | 0.85 | 4.64 | 2,953 | 92 | |||||||||||||||||||
8.73 | 2.85 | 0.86 | 0.86 | 5.54 | 5,240 | 58 | ||||||||||||||||||||
8.97 | 2.70 | 0.85 | 0.85 | 5.16 | 21,747 | 68 | ||||||||||||||||||||
9.18 | 4.60 | 0.84 | 0.84 | 4.37 | 5,134 | 81 | ||||||||||||||||||||
9.17 | 7.90 | 0.85 | 0.85 | 4.45 | 2,302 | 78 | ||||||||||||||||||||
8.21 | (1.49 | ) | 0.60 | 0.60 | 4.93 | 5,019 | 92 | |||||||||||||||||||
8.75 | 3.23 | 0.62 | 0.62 | 5.79 | 6,661 | 58 | ||||||||||||||||||||
8.98 | 2.96 | 0.60 | 0.60 | 5.62 | 44,385 | 68 | ||||||||||||||||||||
9.19 | 4.87 | 0.60 | 0.60 | 4.65 | 2,542 | 81 | ||||||||||||||||||||
9.18 | 8.18 | 0.60 | 0.60 | 4.77 | 303 | 78 | ||||||||||||||||||||
8.20 | (1.44 | ) | 0.54 | 0.54 | 4.89 | 124,190 | 92 | |||||||||||||||||||
8.74 | 3.16 | 0.55 | 0.55 | 5.77 | 109,741 | 58 | ||||||||||||||||||||
8.98 | 3.01 | 0.53 | 0.53 | 5.35 | 63,275 | 68 | ||||||||||||||||||||
9.19 | 4.93 | 0.54 | 0.54 | 4.70 | 36,295 | 81 | ||||||||||||||||||||
9.18 | 8.24 | 0.54 | 0.54 | 4.84 | 12,047 | 78 |
See Notes to Financial Statements. | 459 |
Financial Highlights (continued)
HIGH YIELD 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 | ||||||||||||||||||||||||
11/30/2020 | $7.37 | $0.36 | $(0.05 | )(f) | $ 0.31 | $(0.38 | ) | $7.30 | ||||||||||||||||
11/30/2019 | 7.13 | 0.40 | 0.25 | 0.65 | (0.41 | ) | 7.37 | |||||||||||||||||
11/30/2018 | 7.71 | 0.41 | (0.56 | ) | (0.15 | ) | (0.43 | ) | 7.13 | |||||||||||||||
11/30/2017 | 7.41 | 0.42 | 0.32 | 0.74 | (0.44 | ) | 7.71 | |||||||||||||||||
11/30/2016 | 7.10 | 0.42 | 0.33 | 0.75 | (0.44 | ) | 7.41 | |||||||||||||||||
Class C | ||||||||||||||||||||||||
11/30/2020 | 7.33 | 0.32 | (0.04 | )(f) | 0.28 | (0.34 | ) | 7.27 | ||||||||||||||||
11/30/2019 | 7.09 | 0.35 | 0.26 | 0.61 | (0.37 | ) | 7.33 | |||||||||||||||||
11/30/2018 | 7.67 | 0.36 | (0.56 | ) | (0.20 | ) | (0.38 | ) | 7.09 | |||||||||||||||
11/30/2017 | 7.38 | 0.37 | 0.30 | 0.67 | (0.38 | ) | 7.67 | |||||||||||||||||
11/30/2016 | 7.07 | 0.37 | 0.33 | 0.70 | (0.39 | ) | 7.38 | |||||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2020 | 7.36 | 0.37 | (0.04 | )(f) | 0.33 | (0.39 | ) | 7.30 | ||||||||||||||||
11/30/2019 | 7.12 | 0.40 | 0.26 | 0.66 | (0.42 | ) | 7.36 | |||||||||||||||||
11/30/2018 | 7.70 | 0.42 | (0.56 | ) | (0.14 | ) | (0.44 | ) | 7.12 | |||||||||||||||
11/30/2017 | 7.41 | 0.42 | 0.31 | 0.73 | (0.44 | ) | 7.70 | |||||||||||||||||
11/30/2016 | 7.09 | 0.43 | 0.33 | 0.76 | (0.44 | ) | 7.41 | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||
11/30/2020 | 7.41 | 0.37 | (0.03 | )(f) | 0.34 | (0.41 | ) | 7.34 | ||||||||||||||||
11/30/2019 | 7.16 | 0.42 | 0.27 | 0.69 | (0.44 | ) | 7.41 | |||||||||||||||||
11/30/2018 | 7.75 | 0.43 | (0.56 | ) | (0.13 | ) | (0.46 | ) | 7.16 | |||||||||||||||
4/4/2017 to 11/30/2017(c) | 7.65 | 0.28 | 0.12 | 0.40 | (0.30 | ) | 7.75 | |||||||||||||||||
Class I | ||||||||||||||||||||||||
11/30/2020 | 7.40 | 0.37 | (0.03 | )(f) | 0.34 | (0.40 | ) | 7.34 | ||||||||||||||||
11/30/2019 | 7.16 | 0.41 | 0.26 | 0.67 | (0.43 | ) | 7.40 | |||||||||||||||||
11/30/2018 | 7.74 | 0.43 | (0.56 | ) | (0.13 | ) | (0.45 | ) | 7.16 | |||||||||||||||
11/30/2017 | 7.45 | 0.44 | 0.30 | 0.74 | (0.45 | ) | 7.74 | |||||||||||||||||
11/30/2016 | 7.13 | 0.44 | 0.33 | 0.77 | (0.45 | ) | 7.45 | |||||||||||||||||
Class P | ||||||||||||||||||||||||
11/30/2020 | 7.48 | 0.35 | (0.05 | )(f) | 0.30 | (0.37 | ) | 7.41 | ||||||||||||||||
11/30/2019 | 7.23 | 0.39 | 0.26 | 0.65 | (0.40 | ) | 7.48 | |||||||||||||||||
11/30/2018 | 7.82 | 0.40 | (0.57 | ) | (0.17 | ) | (0.42 | ) | 7.23 | |||||||||||||||
11/30/2017 | 7.52 | 0.40 | 0.32 | 0.72 | (0.42 | ) | 7.82 | |||||||||||||||||
11/30/2016 | 7.20 | 0.41 | 0.34 | 0.75 | (0.43 | ) | 7.52 |
460 | 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 (%) | |||||||||||||||||
4.65 | 0.90 | 0.90 | 5.15 | $ | 1,134,235 | 126 | ||||||||||||||||
9.37 | 0.91 | 0.91 | 5.42 | 1,218,731 | 86 | |||||||||||||||||
(2.03 | ) | 0.90 | 0.90 | 5.48 | 1,126,386 | 107 | ||||||||||||||||
10.13 | 0.89 | 0.89 | 5.48 | 1,576,504 | 93 | |||||||||||||||||
10.93 | 0.92 | 0.92 | 5.88 | 1,580,591 | 104 | |||||||||||||||||
4.14 | 1.53 | 1.53 | 4.55 | 287,145 | 126 | |||||||||||||||||
8.72 | 1.53 | 1.53 | 4.81 | 376,682 | 86 | |||||||||||||||||
(2.70 | ) | 1.55 | 1.55 | 4.84 | 410,469 | 107 | ||||||||||||||||
9.28 | 1.57 | 1.57 | 4.81 | 515,964 | 93 | |||||||||||||||||
10.24 | 1.57 | 1.57 | 5.25 | 463,517 | 104 | |||||||||||||||||
4.89 | 0.80 | 0.80 | 5.24 | 2,097,727 | 126 | |||||||||||||||||
9.48 | 0.81 | 0.81 | 5.52 | 2,144,680 | 86 | |||||||||||||||||
(1.95 | ) | 0.80 | 0.80 | 5.58 | 2,082,549 | 107 | ||||||||||||||||
10.09 | 0.79 | 0.79 | 5.54 | 2,011,192 | 93 | |||||||||||||||||
11.19 | 0.81 | 0.81 | 5.96 | 1,571,281 | 104 | |||||||||||||||||
4.97 | 0.60 | 0.60 | 5.31 | 1,984,689 | 126 | |||||||||||||||||
9.82 | 0.62 | 0.62 | 5.72 | 555,795 | 86 | |||||||||||||||||
(1.85 | ) | 0.60 | 0.60 | 5.77 | 507,646 | 107 | ||||||||||||||||
5.28 | (d) | 0.62 | (e) | 0.62 | (e) | 5.45 | (e) | 449,538 | 93 | |||||||||||||
5.00 | 0.70 | 0.70 | 5.30 | 1,664,193 | 126 | |||||||||||||||||
9.57 | 0.71 | 0.71 | 5.61 | 1,610,253 | 86 | |||||||||||||||||
(1.82 | ) | 0.70 | 0.70 | 5.66 | 1,412,203 | 107 | ||||||||||||||||
10.19 | 0.69 | 0.69 | 5.70 | 1,725,003 | 93 | |||||||||||||||||
11.29 | 0.72 | 0.72 | 6.11 | 1,707,793 | 104 | |||||||||||||||||
4.42 | 1.15 | 1.15 | 4.97 | 54 | 126 | |||||||||||||||||
9.20 | 1.15 | 1.15 | 5.36 | 51 | 86 | |||||||||||||||||
(2.29 | ) | 1.15 | 1.15 | 5.24 | 333 | 107 | ||||||||||||||||
9.81 | 1.15 | 1.15 | 5.16 | 478 | 93 | |||||||||||||||||
10.76 | 1.17 | 1.17 | 5.71 | 47 | 104 |
See Notes to Financial Statements. | 461 |
Financial Highlights (continued)
HIGH YIELD 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 R2 | ||||||||||||||||||||||||
11/30/2020 | $7.41 | $0.34 | $(0.04 | )(f) | $ 0.30 | $(0.36 | ) | $7.35 | ||||||||||||||||
11/30/2019 | 7.17 | 0.37 | 0.26 | 0.63 | (0.39 | ) | 7.41 | |||||||||||||||||
11/30/2018 | 7.76 | 0.38 | (0.57 | ) | (0.19 | ) | (0.40 | ) | 7.17 | |||||||||||||||
11/30/2017 | 7.46 | 0.39 | 0.32 | 0.71 | (0.41 | ) | 7.76 | |||||||||||||||||
11/30/2016 | 7.15 | 0.40 | 0.32 | 0.72 | (0.41 | ) | 7.46 | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||
11/30/2020 | 7.41 | 0.34 | (0.04 | )(f) | 0.30 | (0.36 | ) | 7.35 | ||||||||||||||||
11/30/2019 | 7.17 | 0.38 | 0.25 | 0.63 | (0.39 | ) | 7.41 | |||||||||||||||||
11/30/2018 | 7.75 | 0.39 | (0.56 | ) | (0.17 | ) | (0.41 | ) | 7.17 | |||||||||||||||
11/30/2017 | 7.46 | 0.40 | 0.31 | 0.71 | (0.42 | ) | 7.75 | |||||||||||||||||
11/30/2016 | 7.14 | 0.41 | 0.33 | 0.74 | (0.42 | ) | 7.46 | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||
11/30/2020 | 7.37 | 0.36 | (0.05 | )(f) | 0.31 | (0.38 | ) | 7.30 | ||||||||||||||||
11/30/2019 | 7.12 | 0.39 | 0.27 | 0.66 | (0.41 | ) | 7.37 | |||||||||||||||||
11/30/2018 | 7.71 | 0.41 | (0.57 | ) | (0.16 | ) | (0.43 | ) | 7.12 | |||||||||||||||
11/30/2017 | 7.41 | 0.41 | 0.32 | 0.73 | (0.43 | ) | 7.71 | |||||||||||||||||
11/30/2016 | 7.10 | 0.43 | 0.32 | 0.75 | (0.44 | ) | 7.41 | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||
11/30/2020 | 7.40 | 0.38 | (0.05 | )(f) | 0.33 | (0.40 | ) | 7.33 | ||||||||||||||||
11/30/2019 | 7.15 | 0.41 | 0.27 | 0.68 | (0.43 | ) | 7.40 | |||||||||||||||||
11/30/2018 | 7.74 | 0.43 | (0.57 | ) | (0.14 | ) | (0.45 | ) | 7.15 | |||||||||||||||
11/30/2017 | 7.44 | 0.43 | 0.32 | 0.75 | (0.45 | ) | 7.74 | |||||||||||||||||
11/30/2016 | 7.13 | 0.45 | 0.32 | 0.77 | (0.46 | ) | 7.44 | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2020 | 7.41 | 0.38 | (0.04 | )(f) | 0.34 | (0.41 | ) | 7.34 | ||||||||||||||||
11/30/2019 | 7.16 | 0.42 | 0.27 | 0.69 | (0.44 | ) | 7.41 | |||||||||||||||||
11/30/2018 | 7.75 | 0.43 | (0.56 | ) | (0.13 | ) | (0.46 | ) | 7.16 | |||||||||||||||
11/30/2017 | 7.45 | 0.44 | 0.32 | 0.76 | (0.46 | ) | 7.75 | |||||||||||||||||
11/30/2016 | 7.13 | 0.45 | 0.33 | 0.78 | (0.46 | ) | 7.45 |
(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) | Realized and unrealized gain (loss) per share does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended November 30, 2020, primarily due to the timing of the sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
462 | 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 (%) | |||||||||||||||||
4.39 | 1.31 | 1.31 | 4.81 | $ | 6,662 | 126 | ||||||||||||||||
8.93 | 1.30 | 1.30 | 5.05 | 11,284 | 86 | |||||||||||||||||
(2.50 | ) | 1.29 | 1.29 | 5.10 | 14,435 | 107 | ||||||||||||||||
9.68 | 1.29 | 1.29 | 5.09 | 14,837 | 93 | |||||||||||||||||
10.49 | 1.32 | 1.32 | 5.53 | 11,145 | 104 | |||||||||||||||||
4.49 | 1.20 | 1.20 | 4.87 | 114,737 | 126 | |||||||||||||||||
9.03 | 1.21 | 1.21 | 5.14 | 117,517 | 86 | |||||||||||||||||
(2.28 | ) | 1.20 | 1.20 | 5.20 | 107,532 | 107 | ||||||||||||||||
9.64 | 1.19 | 1.19 | 5.18 | 91,021 | 93 | |||||||||||||||||
10.75 | 1.22 | 1.22 | 5.64 | 71,552 | 104 | |||||||||||||||||
4.61 | 0.95 | 0.95 | 5.11 | 113,046 | 126 | |||||||||||||||||
9.48 | 0.96 | 0.96 | 5.38 | 109,351 | 86 | |||||||||||||||||
(2.21 | ) | 0.95 | 0.95 | 5.45 | 91,526 | 107 | ||||||||||||||||
10.09 | 0.95 | 0.95 | 5.38 | 67,741 | 93 | |||||||||||||||||
10.91 | 0.97 | 0.97 | 5.87 | 20,934 | 104 | |||||||||||||||||
4.87 | 0.70 | 0.70 | 5.37 | 256,527 | 126 | |||||||||||||||||
9.73 | 0.71 | 0.71 | 5.64 | 289,988 | 86 | |||||||||||||||||
(1.94 | ) | 0.70 | 0.70 | 5.70 | 266,231 | 107 | ||||||||||||||||
10.34 | 0.71 | 0.71 | 5.56 | 264,638 | 93 | |||||||||||||||||
11.16 | 0.72 | 0.72 | 6.11 | 11,010 | 104 | |||||||||||||||||
4.97 | 0.61 | 0.61 | 5.45 | 643,491 | 126 | |||||||||||||||||
9.82 | 0.62 | 0.62 | 5.71 | 620,871 | 86 | |||||||||||||||||
(1.84 | ) | 0.60 | 0.61 | 5.78 | 451,009 | 107 | ||||||||||||||||
10.42 | 0.61 | 0.61 | 5.67 | 381,440 | 93 | |||||||||||||||||
11.26 | 0.62 | 0.62 | 6.24 | 75,756 | 104 |
See Notes to Financial Statements. | 463 |
Financial Highlights (continued)
INCOME 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 | ||||||||||||||||||||||||
11/30/2020 | $2.90 | $0.09 | $0.13 | $ 0.22 | $(0.11 | ) | $3.01 | |||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.24 | 0.34 | (0.11 | ) | 2.90 | |||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.18 | ) | (0.08 | ) | (0.11 | ) | 2.67 | |||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.11 | 0.20 | (0.10 | ) | 2.86 | |||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.07 | 0.17 | (0.12 | ) | 2.76 | |||||||||||||||||
Class C | ||||||||||||||||||||||||
11/30/2020 | 2.92 | 0.07 | 0.12 | 0.19 | (0.09 | ) | 3.02 | |||||||||||||||||
11/30/2019 | 2.69 | 0.08 | 0.25 | 0.33 | (0.10 | ) | 2.92 | |||||||||||||||||
11/30/2018 | 2.87 | 0.08 | (0.16 | ) | (0.08 | ) | (0.10 | ) | 2.69 | |||||||||||||||
11/30/2017 | 2.78 | 0.07 | 0.10 | 0.17 | (0.08 | ) | 2.87 | |||||||||||||||||
11/30/2016 | 2.72 | 0.08 | 0.07 | 0.15 | (0.09 | ) | 2.78 | |||||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2020 | 2.91 | 0.09 | 0.12 | 0.21 | (0.11 | ) | 3.01 | |||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.26 | 0.36 | (0.12 | ) | 2.91 | |||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | 2.67 | |||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.11 | 0.20 | (0.10 | ) | 2.86 | |||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.06 | 0.16 | (0.11 | ) | 2.76 | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||
11/30/2020 | 2.90 | 0.10 | 0.12 | 0.22 | (0.11 | ) | 3.01 | |||||||||||||||||
11/30/2019 | 2.67 | 0.11 | 0.24 | 0.35 | (0.12 | ) | 2.90 | |||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | 2.67 | |||||||||||||||
4/4/2017 to 11/30/2017(c) | 2.82 | 0.06 | 0.05 | 0.11 | (0.07 | ) | 2.86 | |||||||||||||||||
Class I | ||||||||||||||||||||||||
11/30/2020 | 2.91 | 0.10 | 0.11 | 0.21 | (0.11 | ) | 3.01 | |||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.26 | 0.36 | (0.12 | ) | 2.91 | |||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | 2.67 | |||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.12 | 0.21 | (0.11 | ) | 2.86 | |||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.07 | 0.17 | (0.12 | ) | 2.76 | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||
11/30/2020 | 2.93 | 0.08 | 0.11 | 0.19 | (0.09 | ) | 3.03 | |||||||||||||||||
11/30/2019 | 2.70 | 0.09 | 0.24 | 0.33 | (0.10 | ) | 2.93 | |||||||||||||||||
11/30/2018 | 2.88 | 0.09 | (0.17 | ) | (0.08 | ) | (0.10 | ) | 2.70 | |||||||||||||||
11/30/2017 | 2.79 | 0.08 | 0.10 | 0.18 | (0.09 | ) | 2.88 | |||||||||||||||||
11/30/2016 | 2.73 | 0.09 | 0.07 | 0.16 | (0.10 | ) | 2.79 |
464 | 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 (%) | |||||||||||||||||
7.65 | 0.76 | 0.76 | 3.11 | $ | 1,229,762 | 112 | ||||||||||||||||
13.02 | 0.77 | 0.77 | 3.53 | 1,054,889 | 108 | |||||||||||||||||
(2.78 | ) | 0.77 | 0.81 | 3.46 | 836,525 | 117 | ||||||||||||||||
7.33 | 0.78 | 0.89 | 3.03 | 918,917 | 205 | |||||||||||||||||
6.06 | 0.78 | 0.90 | 3.56 | 907,733 | 192 | |||||||||||||||||
6.60 | 1.38 | 1.38 | 2.53 | 107,888 | 112 | |||||||||||||||||
12.26 | 1.38 | 1.38 | 2.93 | 162,000 | 108 | |||||||||||||||||
(3.00 | ) | 1.39 | 1.43 | 2.82 | 166,762 | 117 | ||||||||||||||||
6.28 | 1.40 | 1.51 | 2.42 | 230,293 | 205 | |||||||||||||||||
5.77 | 1.41 | 1.53 | 2.94 | 253,848 | 192 | |||||||||||||||||
7.38 | 0.66 | 0.66 | 3.20 | 570,685 | 112 | |||||||||||||||||
13.09 | 0.67 | 0.67 | 3.61 | 591,492 | 108 | |||||||||||||||||
(2.33 | ) | 0.67 | 0.71 | 3.55 | 434,593 | 117 | ||||||||||||||||
7.43 | 0.68 | 0.79 | 3.10 | 454,740 | 205 | |||||||||||||||||
6.16 | 0.68 | 0.80 | 3.64 | 413,167 | 192 | |||||||||||||||||
7.95 | 0.47 | 0.47 | 3.38 | 722,882 | 112 | |||||||||||||||||
13.33 | 0.49 | 0.49 | 3.79 | 586,822 | 108 | |||||||||||||||||
(2.51 | ) | 0.47 | 0.51 | 3.75 | 394,646 | 117 | ||||||||||||||||
3.99 | (d) | 0.46 | (e) | 0.60 | (e) | 3.25 | (e) | 274,355 | 205 | |||||||||||||
7.49 | 0.56 | 0.56 | 3.33 | 155,970 | 112 | |||||||||||||||||
13.63 | 0.57 | 0.57 | 3.73 | 184,515 | 108 | |||||||||||||||||
(2.59 | ) | 0.57 | 0.60 | 3.66 | 165,736 | 117 | ||||||||||||||||
7.54 | 0.58 | 0.69 | 3.22 | 166,989 | 205 | |||||||||||||||||
6.27 | 0.58 | 0.70 | 3.75 | 92,523 | 192 | |||||||||||||||||
6.83 | 1.16 | 1.16 | 2.73 | 1,730 | 112 | |||||||||||||||||
12.47 | 1.17 | 1.17 | 3.17 | 1,285 | 108 | |||||||||||||||||
(2.76 | ) | 1.17 | 1.21 | 3.05 | 1,667 | 117 | ||||||||||||||||
6.49 | 1.18 | 1.29 | 2.64 | 2,008 | 205 | |||||||||||||||||
5.99 | 1.19 | 1.31 | 3.23 | 2,202 | 192 |
See Notes to Financial Statements. | 465 |
Financial Highlights (continued)
INCOME 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 | ||||||||||||||||||||||||
11/30/2020 | $ | 2.91 | $ | 0.08 | $ | 0.13 | $ | 0.21 | $ | (0.10 | ) | $ | 3.02 | |||||||||||
11/30/2019 | 2.68 | 0.09 | 0.24 | 0.33 | (0.10 | ) | 2.91 | |||||||||||||||||
11/30/2018 | 2.87 | 0.09 | (0.18 | ) | (0.09 | ) | (0.10 | ) | 2.68 | |||||||||||||||
11/30/2017 | 2.77 | 0.08 | 0.11 | 0.19 | (0.09 | ) | 2.87 | |||||||||||||||||
11/30/2016 | 2.72 | 0.09 | 0.06 | 0.15 | (0.10 | ) | 2.77 | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||
11/30/2020 | 2.90 | 0.09 | 0.12 | 0.21 | (0.10 | ) | 3.01 | |||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.24 | 0.34 | (0.11 | ) | 2.90 | |||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.18 | ) | (0.08 | ) | (0.11 | ) | 2.67 | |||||||||||||||
11/30/2017 | 2.77 | 0.08 | 0.11 | 0.19 | (0.10 | ) | 2.86 | |||||||||||||||||
11/30/2016 | 2.71 | 0.09 | 0.08 | 0.17 | (0.11 | ) | 2.77 | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||
11/30/2020 | 2.91 | 0.10 | 0.11 | 0.21 | (0.11 | ) | 3.01 | |||||||||||||||||
11/30/2019 | 2.68 | 0.11 | 0.24 | 0.35 | (0.12 | ) | 2.91 | |||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.16 | ) | (0.06 | ) | (0.12 | ) | 2.68 | |||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.12 | 0.21 | (0.11 | ) | 2.86 | |||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.07 | 0.17 | (0.12 | ) | 2.76 | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2020 | 2.90 | 0.10 | 0.12 | 0.22 | (0.11 | ) | 3.01 | |||||||||||||||||
11/30/2019 | 2.67 | 0.11 | 0.24 | 0.35 | (0.12 | ) | 2.90 | |||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | 2.67 | |||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.12 | 0.21 | (0.11 | ) | 2.86 | |||||||||||||||||
11/30/2016 | 2.71 | 0.11 | 0.06 | 0.17 | (0.12 | ) | 2.76 |
(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. |
466 | 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 (%) | |||||||||||||||||
7.32 | 1.06 | 1.06 | 2.83 | $ | 53,114 | 112 | ||||||||||||||||
12.65 | 1.07 | 1.07 | 3.24 | 55,317 | 108 | |||||||||||||||||
(3.05 | ) | 1.07 | 1.11 | 3.16 | 50,016 | 117 | ||||||||||||||||
7.00 | 1.08 | 1.19 | 2.74 | 53,025 | 205 | |||||||||||||||||
5.73 | 1.08 | 1.20 | 3.27 | 54,918 | 192 | |||||||||||||||||
7.60 | 0.81 | 0.81 | 3.07 | 9,205 | 112 | |||||||||||||||||
12.97 | 0.82 | 0.82 | 3.46 | 9,218 | 108 | |||||||||||||||||
(2.83 | ) | 0.82 | 0.85 | 3.44 | 5,363 | 117 | ||||||||||||||||
6.89 | 0.83 | 0.94 | 2.98 | 3,117 | 205 | |||||||||||||||||
6.39 | 0.83 | 0.94 | 3.25 | 1,459 | 192 | |||||||||||||||||
7.50 | 0.56 | 0.56 | 3.32 | 6,548 | 112 | |||||||||||||||||
13.21 | 0.57 | 0.57 | 3.73 | 6,099 | 108 | |||||||||||||||||
(2.23 | ) | 0.58 | 0.62 | 3.54 | 4,048 | 117 | ||||||||||||||||
7.55 | 0.57 | 0.70 | 3.21 | 15,926 | 205 | |||||||||||||||||
6.28 | 0.58 | 0.69 | 3.51 | 198 | 192 | |||||||||||||||||
7.95 | 0.48 | 0.48 | 3.40 | 55,981 | 112 | |||||||||||||||||
13.34 | 0.49 | 0.49 | 3.81 | 52,133 | 108 | |||||||||||||||||
(2.50 | ) | 0.47 | 0.51 | 3.77 | 33,975 | 117 | ||||||||||||||||
7.66 | 0.47 | 0.59 | 3.31 | 19,714 | 205 | |||||||||||||||||
6.38 | 0.47 | 0.59 | 3.90 | 3,457 | 192 | |||||||||||||||||
See Notes to Financial Statements. | 467 |
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 | ||||||||||||||||||||||||
11/30/2020 | $ | 11.23 | $ | 0.26 | $ 0.26 | (f) | $ | 0.52 | $ | (0.42 | ) | $ | 11.33 | |||||||||||
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 | |||||||||||||||||
Class C | ||||||||||||||||||||||||
11/30/2020 | 11.25 | 0.20 | 0.25 | (f) | 0.45 | (0.35 | ) | 11.35 | ||||||||||||||||
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 | |||||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2020 | 11.24 | 0.27 | 0.27 | (f) | 0.54 | (0.43 | ) | 11.35 | ||||||||||||||||
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 | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||
11/30/2020 | 11.23 | 0.29 | 0.27 | (f) | 0.56 | (0.45 | ) | 11.34 | ||||||||||||||||
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 | ||||||||||||||||||||||||
11/30/2020 | 11.24 | 0.28 | 0.26 | (f) | 0.54 | (0.44 | ) | 11.34 | ||||||||||||||||
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 | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||
11/30/2020 | 11.22 | 0.20 | 0.26 | (f) | 0.46 | (0.38 | ) | 11.30 | ||||||||||||||||
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 |
468 | 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 (%) | |||||||||||||||||
4.87 | 0.69 | 0.70 | 2.40 | $ | 89,956 | 97 | ||||||||||||||||
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 | |||||||||||||||||
4.23 | 1.30 | 1.31 | 1.81 | 17,716 | 97 | |||||||||||||||||
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 | |||||||||||||||||
5.06 | 0.59 | 0.60 | 2.52 | 187,180 | 97 | |||||||||||||||||
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 | |||||||||||||||||
5.24 | 0.42 | 0.43 | 2.68 | 8,595 | 97 | |||||||||||||||||
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 | |||||||||||||
5.08 | 0.49 | 0.50 | 2.63 | 320,045 | 97 | |||||||||||||||||
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 | |||||||||||||||||
4.28 | 1.07 | 1.08 | 1.83 | 166 | 97 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 469 |
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 | ||||||||||||||||||||||||
11/30/2020 | $ | 11.23 | $ | 0.22 | $ | 0.28 | (f) | $ | 0.50 | $ | (0.39 | ) | $ | 11.34 | ||||||||||
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 | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||
11/30/2020 | 11.23 | 0.26 | 0.26 | (f) | 0.52 | (0.41 | ) | 11.34 | ||||||||||||||||
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 | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||
11/30/2020 | 11.23 | 0.28 | 0.26 | (f) | 0.54 | (0.44 | ) | 11.33 | ||||||||||||||||
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 | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2020 | 11.23 | 0.29 | 0.27 | (f) | 0.56 | (0.45 | ) | 11.34 | ||||||||||||||||
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 |
(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) | Realized and unrealized gain (loss) per share does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended November 30, 2020, primarily due to the timing of the sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
470 | 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 (%) | |||||||||||||||||
4.65 | 0.98 | 0.99 | 2.03 | $ | 226 | 97 | ||||||||||||||||
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 | |||||||||||||||||
4.91 | 0.74 | 0.75 | 2.35 | 1,706 | 97 | |||||||||||||||||
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 | |||||||||||||||||
5.08 | 0.49 | 0.50 | 2.64 | 170 | 97 | |||||||||||||||||
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 | |||||||||||||||||
5.24 | 0.42 | 0.43 | 2.70 | 14,541 | 97 | |||||||||||||||||
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 | |||||||||||||||||
See Notes to Financial Statements. | 471 |
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 | ||||||||||||||||||||
11/30/2020 | $ | 9.89 | $ | 0.14 | $ | 0.10 | $ | 0.24 | $ | (0.24 | ) | |||||||||
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 | ||||||||||||||||||||
11/30/2020 | 9.89 | 0.09 | 0.08 | 0.17 | (0.17 | ) | ||||||||||||||
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 | ||||||||||||||||||||
11/30/2020 | 9.89 | 0.16 | 0.09 | 0.25 | (0.25 | ) | ||||||||||||||
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 | ||||||||||||||||||||
11/30/2020 | 9.89 | 0.37 | (0.11 | ) | 0.26 | (0.27 | ) | |||||||||||||
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 | ||||||||||||||||||||
11/30/2020 | 9.89 | 0.16 | 0.10 | 0.26 | (0.26 | ) | ||||||||||||||
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 R3 | ||||||||||||||||||||
11/30/2020 | 9.89 | 0.13 | 0.08 | 0.21 | (0.21 | ) | ||||||||||||||
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 | ||||||||||||||||||||
11/30/2020 | 9.89 | 0.18 | 0.05 | 0.23 | (0.23 | ) | ||||||||||||||
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 | ) |
472 | 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 | 2.46 | 0.60 | 1.00 | 1.47 | $ | 32,022 | 351 | ||||||||||||||||||
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 | 1.76 | 1.28 | 1.71 | 0.90 | 4,334 | 351 | ||||||||||||||||||||
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 | 2.54 | 0.50 | 0.91 | 1.58 | 82,951 | 351 | ||||||||||||||||||||
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 | ||||||||||||||||
9.88 | 2.65 | 0.36 | 1.06 | 3.78 | 12 | 351 | ||||||||||||||||||||
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 | 2.65 | 0.40 | 0.80 | 1.63 | 4,402 | 351 | ||||||||||||||||||||
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 | 2.16 | 0.90 | 1.34 | 1.32 | 98 | 351 | ||||||||||||||||||||
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 | 2.41 | 0.65 | 1.11 | 1.81 | 12 | 351 | ||||||||||||||||||||
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. | 473 |
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 | ||||||||||||||||||||
11/30/2020 | $ | 9.89 | $ | 0.20 | $ | 0.06 | $ | 0.26 | $ | (0.26 | ) | |||||||||
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 | ||||||||||||||||||||
11/30/2020 | 9.89 | 0.21 | 0.06 | 0.27 | (0.27 | ) | ||||||||||||||
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. |
474 | 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 | 2.66 | 0.40 | 0.87 | 2.06 | $ | 12 | 351 | ||||||||||||||||||
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 | 2.75 | 0.36 | 0.81 | 2.17 | 911 | 351 | ||||||||||||||||||||
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. | 475 |
Financial Highlights (continued)
SHORT DURATION INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||
Distributions | ||||||||||||||||||||
to | ||||||||||||||||||||
shareholders | ||||||||||||||||||||
Investment Operations: | from: | |||||||||||||||||||
Net asset | Net | Net | ||||||||||||||||||
value, | Net | realized and | Total from | invest- | ||||||||||||||||
beginning | investment | unrealized | investment | ment | ||||||||||||||||
of period | income(a) | gain (loss) | operations | income | ||||||||||||||||
Class A | ||||||||||||||||||||
11/30/2020 | $ | 4.21 | $ | 0.09 | $ | 0.02 | (f) | $ | 0.11 | $ | (0.12 | ) | ||||||||
11/30/2019 | 4.14 | 0.12 | 0.10 | 0.22 | (0.15 | ) | ||||||||||||||
11/30/2018 | 4.26 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | |||||||||||||
11/30/2017 | 4.31 | 0.09 | 0.02 | 0.11 | (0.16 | ) | ||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.17 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
11/30/2020 | 4.23 | 0.07 | 0.02 | (f) | 0.09 | (0.10 | ) | |||||||||||||
11/30/2019 | 4.17 | 0.10 | 0.09 | 0.19 | (0.13 | ) | ||||||||||||||
11/30/2018 | 4.29 | 0.09 | (0.08 | ) | 0.01 | (0.13 | ) | |||||||||||||
11/30/2017 | 4.34 | 0.07 | 0.01 | 0.08 | (0.13 | ) | ||||||||||||||
11/30/2016 | 4.38 | 0.08 | 0.02 | 0.10 | (0.14 | ) | ||||||||||||||
Class F | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.01 | (f) | 0.11 | (0.13 | ) | |||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | ||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.08 | ) | 0.04 | (0.16 | ) | |||||||||||||
11/30/2017 | 4.31 | 0.10 | 0.01 | 0.11 | (0.16 | ) | ||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.17 | ) | ||||||||||||||
Class F3 | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.02 | (f) | 0.12 | (0.13 | ) | |||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | ||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | |||||||||||||
4/4/2017 to 11/30/2017(c) | 4.30 | 0.07 | – | 0.07 | (0.11 | ) | ||||||||||||||
Class I | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.01 | (f) | 0.11 | (0.13 | ) | |||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | ||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.06 | ) | 0.06 | (0.17 | ) | |||||||||||||
11/30/2017 | 4.31 | 0.10 | 0.01 | 0.11 | (0.17 | ) | ||||||||||||||
11/30/2016 | 4.35 | 0.12 | 0.02 | 0.14 | (0.18 | ) | ||||||||||||||
Class R2 | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.08 | 0.02 | (f) | 0.10 | (0.11 | ) | |||||||||||||
11/30/2019 | 4.14 | 0.11 | 0.10 | 0.21 | (0.14 | ) | ||||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.08 | ) | 0.02 | (0.14 | ) | |||||||||||||
11/30/2017 | 4.31 | 0.08 | 0.01 | 0.09 | (0.14 | ) | ||||||||||||||
11/30/2016 | 4.35 | 0.09 | 0.02 | 0.11 | (0.15 | ) |
476 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||
expenses after | ||||||||||||||||||||||||||
Net asset | waivers and/or | Net | Net assets, | Portfolio | ||||||||||||||||||||||
value, | Total | reimburse- | Total | investment | end of | turnover | ||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | ||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||||
$ | 4.20 | 2.76 | 0.59 | 0.59 | 2.22 | $ | 12,733,693 | 102 | ||||||||||||||||||
4.21 | 5.48 | 0.60 | 0.60 | 2.92 | 11,693,022 | 57 | ||||||||||||||||||||
4.14 | 0.96 | 0.59 | 0.59 | 2.70 | 8,735,221 | 71 | ||||||||||||||||||||
4.26 | 2.55 | 0.59 | 0.59 | 2.19 | 10,697,423 | 67 | ||||||||||||||||||||
4.31 | 3.06 | 0.60 | 0.60 | 2.49 | 11,099,295 | 50 | ||||||||||||||||||||
4.22 | 2.10 | 1.24 | 1.24 | 1.62 | 3,914,470 | 102 | ||||||||||||||||||||
4.23 | 4.57 | 1.22 | 1.22 | 2.31 | 4,914,970 | 57 | ||||||||||||||||||||
4.17 | 0.35 | 1.23 | 1.23 | 2.07 | 4,912,225 | 71 | ||||||||||||||||||||
4.29 | 1.91 | 1.23 | 1.23 | 1.55 | 6,129,077 | 67 | ||||||||||||||||||||
4.34 | 2.42 | 1.23 | 1.23 | 1.86 | 6,759,399 | 50 | ||||||||||||||||||||
4.19 | 2.62 | 0.49 | 0.49 | 2.33 | 23,546,579 | 102 | ||||||||||||||||||||
4.21 | 5.58 | 0.50 | 0.50 | 3.02 | 23,128,477 | 57 | ||||||||||||||||||||
4.14 | 1.06 | 0.49 | 0.49 | 2.80 | 15,833,169 | 71 | ||||||||||||||||||||
4.26 | 2.65 | 0.49 | 0.49 | 2.28 | 14,906,190 | 67 | ||||||||||||||||||||
4.31 | 3.15 | 0.50 | 0.50 | 2.58 | 12,884,113 | 50 | ||||||||||||||||||||
4.20 | 3.03 | 0.33 | 0.33 | 2.48 | 4,425,861 | 102 | ||||||||||||||||||||
4.21 | 5.75 | 0.34 | 0.34 | 3.19 | 4,087,351 | 57 | ||||||||||||||||||||
4.14 | 1.22 | 0.32 | 0.32 | 2.95 | 3,709,795 | 71 | ||||||||||||||||||||
4.26 | 1.62 | (d) | 0.33 | (e) | 0.33 | (e) | 2.55 | (e) | 2,914,992 | 67 | ||||||||||||||||
4.19 | 2.97 | 0.39 | 0.39 | 2.44 | 9,762,949 | 102 | ||||||||||||||||||||
4.21 | 5.44 | 0.40 | 0.40 | 3.12 | 10,281,839 | 57 | ||||||||||||||||||||
4.14 | 1.40 | 0.39 | 0.39 | 2.90 | 7,315,707 | 71 | ||||||||||||||||||||
4.25 | 2.51 | 0.39 | 0.39 | 2.37 | 7,091,069 | 67 | ||||||||||||||||||||
4.31 | 3.26 | 0.39 | 0.39 | 2.68 | 5,771,458 | 50 | ||||||||||||||||||||
4.20 | 2.36 | 0.99 | 0.99 | 1.85 | 13,909 | 102 | ||||||||||||||||||||
4.21 | 5.07 | 1.00 | 1.00 | 2.55 | 18,031 | 57 | ||||||||||||||||||||
4.14 | 0.56 | 0.99 | 0.99 | 2.30 | 20,433 | 71 | ||||||||||||||||||||
4.26 | 2.14 | 0.99 | 0.99 | 1.79 | 27,492 | 67 | ||||||||||||||||||||
4.31 | 2.66 | 1.00 | 1.00 | 2.09 | 28,476 | 50 |
See Notes to Financial Statements. | 477 |
Financial Highlights (continued)
SHORT DURATION INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||
Distributions | ||||||||||||||||||||
to | ||||||||||||||||||||
shareholders | ||||||||||||||||||||
Investment Operations: | from: | |||||||||||||||||||
Net asset | Net | Net | ||||||||||||||||||
value, | Net | realized and | Total from | invest- | ||||||||||||||||
beginning | investment | unrealized | investment | ment | ||||||||||||||||
of period | income(a) | gain (loss) | operations | income | ||||||||||||||||
Class R3 | ||||||||||||||||||||
11/30/2020 | $ | 4.21 | $ | 0.08 | $ | 0.02 | (f) | $ | 0.10 | $ | (0.11 | ) | ||||||||
11/30/2019 | 4.14 | 0.11 | 0.10 | 0.21 | (0.14 | ) | ||||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.07 | ) | 0.03 | (0.15 | ) | |||||||||||||
11/30/2017 | 4.31 | 0.08 | 0.02 | 0.10 | (0.15 | ) | ||||||||||||||
11/30/2016 | 4.35 | 0.10 | 0.02 | 0.12 | (0.16 | ) | ||||||||||||||
Class R4 | ||||||||||||||||||||
11/30/2020 | 4.22 | 0.09 | 0.01 | (f) | 0.10 | (0.12 | ) | |||||||||||||
11/30/2019 | 4.15 | 0.12 | 0.10 | 0.22 | (0.15 | ) | ||||||||||||||
11/30/2018 | 4.27 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | |||||||||||||
11/30/2017 | 4.32 | 0.09 | 0.02 | 0.11 | (0.16 | ) | ||||||||||||||
11/30/2016 | 4.36 | 0.10 | 0.03 | 0.13 | (0.17 | ) | ||||||||||||||
Class R5 | ||||||||||||||||||||
11/30/2020 | 4.20 | 0.10 | 0.02 | (f) | 0.12 | (0.13 | ) | |||||||||||||
11/30/2019 | 4.13 | 0.13 | 0.10 | 0.23 | (0.16 | ) | ||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | |||||||||||||
11/30/2017 | 4.30 | 0.10 | 0.02 | 0.12 | (0.17 | ) | ||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.18 | ) | ||||||||||||||
Class R6 | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.01 | (f) | 0.11 | (0.13 | ) | |||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | ||||||||||||||
11/30/2018 | 4.26 | 0.13 | (0.08 | ) | 0.05 | (0.17 | ) | |||||||||||||
11/30/2017 | 4.31 | 0.11 | 0.01 | 0.12 | (0.17 | ) | ||||||||||||||
11/30/2016 | 4.35 | 0.12 | 0.02 | 0.14 | (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) | Realized and unrealized gain (loss) per share does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended November 30, 2020, primarily due to the timing of the sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund‘s portfolio. |
478 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||
expenses after | ||||||||||||||||||||||||||
Net asset | waivers and/or | Net | Net assets, | Portfolio | ||||||||||||||||||||||
value, | Total | reimburse- | Total | investment | end of | turnover | ||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | ||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||||
$ | 4.20 | 2.46 | 0.89 | 0.89 | 1.94 | $ | 384,845 | 102 | ||||||||||||||||||
4.21 | 5.17 | 0.90 | 0.90 | 2.64 | 367,328 | 57 | ||||||||||||||||||||
4.14 | 0.67 | 0.89 | 0.89 | 2.41 | 318,477 | 71 | ||||||||||||||||||||
4.26 | 2.25 | 0.89 | 0.89 | 1.90 | 311,784 | 67 | ||||||||||||||||||||
4.31 | 2.77 | 0.89 | 0.89 | 2.20 | 279,118 | 50 | ||||||||||||||||||||
4.20 | 2.47 | 0.64 | 0.64 | 2.18 | 166,524 | 102 | ||||||||||||||||||||
4.22 | 5.43 | 0.65 | 0.65 | 2.88 | 147,772 | 57 | ||||||||||||||||||||
4.15 | 0.93 | 0.64 | 0.64 | 2.68 | 105,445 | 71 | ||||||||||||||||||||
4.27 | 2.50 | 0.64 | 0.64 | 2.15 | 76,006 | 67 | ||||||||||||||||||||
4.32 | 3.00 | 0.65 | 0.65 | 2.35 | 30,700 | 50 | ||||||||||||||||||||
4.19 | 2.97 | 0.39 | 0.39 | 2.45 | 69,901 | 102 | ||||||||||||||||||||
4.20 | 5.70 | 0.40 | 0.40 | 3.14 | 70,274 | 57 | ||||||||||||||||||||
4.13 | 1.16 | 0.39 | 0.39 | 2.94 | 45,264 | 71 | ||||||||||||||||||||
4.25 | 2.76 | 0.30 | 0.39 | 2.39 | 24,140 | 67 | ||||||||||||||||||||
4.30 | 3.03 | 0.40 | 0.40 | 2.64 | 10,791 | 50 | ||||||||||||||||||||
4.19 | 2.79 | 0.33 | 0.33 | 2.50 | 896,878 | 102 | ||||||||||||||||||||
4.21 | 5.76 | 0.34 | 0.34 | 3.19 | 857,139 | 57 | ||||||||||||||||||||
4.14 | 1.23 | 0.33 | 0.33 | 3.00 | 551,235 | 71 | ||||||||||||||||||||
4.26 | 2.82 | 0.33 | 0.33 | 2.46 | 289,557 | 67 | ||||||||||||||||||||
4.31 | 3.34 | 0.33 | 0.33 | 2.77 | 174,247 | 50 |
See Notes to Financial Statements. | 479 |
Financial Highlights (continued)
TOTAL RETURN 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 | ||||||||||||||||||||||||||||
11/30/2020 | $ | 10.49 | $ | 0.23 | $ | 0.46 | $ | 0.69 | $ | (0.27 | ) | $ | – | $ | (0.27 | ) | ||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2020 | 10.48 | 0.17 | 0.45 | 0.62 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2020 | 10.48 | 0.24 | 0.47 | 0.71 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2020 | 10.49 | 0.27 | 0.45 | 0.72 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
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 | ||||||||||||||||||||||||||||
11/30/2020 | 10.50 | 0.26 | 0.46 | 0.72 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2020 | 10.53 | 0.21 | 0.46 | 0.67 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
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 | ) |
480 | 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) | (%) | ||||||||||||||||||||
$ | 10.91 | 6.63 | 0.66 | 0.66 | 2.19 | $ | 1,416,776 | 538 | ||||||||||||||||||
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 | ||||||||||||||||||||
10.90 | 5.98 | 1.29 | 1.29 | 1.59 | 85,200 | 538 | ||||||||||||||||||||
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 | ||||||||||||||||||||
10.91 | 6.84 | 0.56 | 0.56 | 2.29 | 1,013,091 | 538 | ||||||||||||||||||||
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 | ||||||||||||||||||||
10.91 | 6.95 | 0.36 | 0.36 | 2.49 | 774,625 | 538 | ||||||||||||||||||||
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 | ||||||||||||||||
10.93 | 6.98 | 0.43 | 0.47 | 2.44 | 414,220 | 538 | ||||||||||||||||||||
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 | ||||||||||||||||||||
10.96 | 6.45 | 0.91 | 0.91 | 1.94 | 659 | 538 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 481 |
Financial Highlights (continued)
TOTAL RETURN 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 | ||||||||||||||||||||||||||||
11/30/2020 | $ | 10.48 | $ | 0.19 | $ | 0.45 | $ | 0.64 | $ | (0.22 | ) | $ | – | $ | (0.22 | ) | ||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2020 | 10.48 | 0.20 | 0.45 | 0.65 | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2020 | 10.49 | 0.23 | 0.45 | 0.68 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2020 | 10.49 | 0.26 | 0.45 | 0.71 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2020 | 10.49 | 0.27 | 0.46 | 0.73 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
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 | ) |
(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. |
482 | 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) | (%) | ||||||||||||||||||||
$ | 10.90 | 6.21 | 1.06 | 1.06 | 1.81 | $ | 2,579 | 538 | ||||||||||||||||||
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 | ||||||||||||||||||||
10.90 | 6.32 | 0.96 | 0.96 | 1.90 | 85,403 | 538 | ||||||||||||||||||||
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 | ||||||||||||||||||||
10.91 | 6.58 | 0.71 | 0.71 | 2.16 | 58,811 | 538 | ||||||||||||||||||||
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 | ||||||||||||||||||||
10.91 | 6.85 | 0.46 | 0.46 | 2.40 | 110,056 | 538 | ||||||||||||||||||||
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 | ||||||||||||||||||||
10.92 | 7.05 | 0.36 | 0.36 | 2.51 | 295,096 | 538 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 483 |
Financial Highlights (continued)
ULTRA SHORT BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||
shareholders | ||||||||||||||||||||||||
Investment Operations: | from: | |||||||||||||||||||||||
Net | ||||||||||||||||||||||||
Net asset | Net | asset | ||||||||||||||||||||||
value, | Net | realized and | Total from | Net | value, | |||||||||||||||||||
beginning | investment | unrealized | investment | investment | end of | |||||||||||||||||||
of period | income(a) | gain (loss) | operations | income | period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
11/30/2020 | $ | 10.03 | $ | 0.11 | $ | 0.01 | (h) | $ | 0.12 | $ | (0.11 | ) | $ | 10.04 | ||||||||||
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 | ||||||||||||||||||||||||
11/30/2020 | 10.03 | 0.07 | 0.04 | (h) | 0.11 | (0.10 | ) | 10.04 | ||||||||||||||||
7/31/2019 to 11/30/2019(f) | 10.02 | 0.05 | 0.03 | 0.08 | (0.07 | ) | 10.03 | |||||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2020 | 10.03 | 0.11 | 0.02 | (h) | 0.13 | (0.12 | ) | 10.04 | ||||||||||||||||
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 | ||||||||||||||||||||||||
11/30/2020 | 10.03 | 0.11 | 0.03 | (h) | 0.14 | (0.13 | ) | 10.04 | ||||||||||||||||
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 | ||||||||||||||||||||||||
11/30/2020 | 10.03 | 0.13 | 0.01 | (h) | 0.14 | (0.13 | ) | 10.04 | ||||||||||||||||
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 | ||||||||||||||||||||||||
11/30/2020 | 10.03 | 0.13 | 0.01 | (h) | 0.14 | (0.13 | ) | 10.04 | ||||||||||||||||
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 |
484 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total | ||||||||||||||||||||||
expenses | ||||||||||||||||||||||
after | ||||||||||||||||||||||
waivers | Net | |||||||||||||||||||||
and/or | Net | assets, | Portfolio | |||||||||||||||||||
Total | reimburse- | Total | investment | end of | turnover | |||||||||||||||||
return(b) | ments | expenses | income | period | rate | |||||||||||||||||
(%) | (%) | (%) | (%) | (000) | (%) | |||||||||||||||||
1.25 | 0.42 | 0.45 | 1.14 | $ | 12,300,460 | 93 | ||||||||||||||||
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 | |||||||||||||
1.15 | 0.52 | 0.54 | 0.74 | 19,403 | 93 | |||||||||||||||||
0.79 | (d) | 0.48 | (e) | 0.55 | (e) | 1.56 | (e) | 2,860 | 46 | |||||||||||||
1.30 | 0.37 | 0.40 | 1.15 | 7,109,132 | 93 | |||||||||||||||||
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 | |||||||||||||
1.45 | 0.25 | 0.26 | 1.13 | 804,537 | 93 | |||||||||||||||||
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 | |||||||||||||
1.40 | 0.27 | 0.30 | 1.35 | 1,258,215 | 93 | |||||||||||||||||
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 | |||||||||||||
1.41 | 0.27 | 0.30 | 1.31 | 784 | 93 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 485 |
Financial Highlights (concluded)
ULTRA SHORT BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||
shareholders | ||||||||||||||||||||||||
Investment Operations: | from: | |||||||||||||||||||||||
Net | ||||||||||||||||||||||||
Net asset | Net | asset | ||||||||||||||||||||||
value, | Net | realized and | Total from | Net | value, | |||||||||||||||||||
beginning | investment | unrealized | investment | investment | end of | |||||||||||||||||||
of period | income(a) | gain (loss) | operations | income | period | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2020 | $ | 10.03 | $ | 0.12 | $ | 0.02 | (h) | $ | 0.14 | $ | (0.13 | ) | $ | 10.04 | ||||||||||
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. |
(h) | Realized and unrealized gain (loss) per share does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended November 30, 2020, primarily due to the timing of the sales and repurchases of the Fund‘s shares in relation to fluctuating market values of the Fund‘s portfolio. |
486 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total | ||||||||||||||||||||||
expenses | ||||||||||||||||||||||
after | ||||||||||||||||||||||
waivers | Net | |||||||||||||||||||||
and/or | Net | assets, | Portfolio | |||||||||||||||||||
Total | reimburse- | Total | investment | end of | turnover | |||||||||||||||||
return(b) | ments | expenses | income | period | rate | |||||||||||||||||
(%) | (%) | (%) | (%) | (000) | (%) | |||||||||||||||||
1.45 | 0.25 | 0.26 | 1.17 | $ | 65,008 | 93 | ||||||||||||||||
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. | 487 |
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 of November 30, 2020. This report covers the following twelve funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes at November 30, 2020:
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, R2, R3, R4, R5, and R6 | |
Lord Abbett Core Plus Bond Fund (“Core Plus Bond Fund”) | A, C, F, F3, I, 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, 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.
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 prospectus); and Class C shares redeemed before the first anniversary of purchase.
488
Notes to Financial Statements (continued)
Effective June 30, 2020, Class C shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the month on which the purchase order was accepted, provided that each Fund or financial intermediary through which a shareholder purchased Class C shares has records verifying that the C shares have been held at least eight years. The first conversion of Class C to A Shares under this new policy took place on July 25, 2020 for all Class C shares that were held for more than eight years as of June 30, 2020. Prior to June 30, 2020, Class C shares converted 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 quoted 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 |
489
Notes to Financial Statements (continued)
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 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, 2017 through November 30, 2020. 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. In addition, Class F3 and R6 bear only their class-specific shareholder servicing expenses. 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. |
490
Notes to Financial Statements (continued)
The Funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms. | |
(g) | Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The 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 |
491
Notes to Financial Statements (continued)
“Investment Valuation” above. The contract is adjusted to market value daily and the change in market value is recorded by each Fund as unrealized appreciation (depreciation). If the TBA sale (purchase) commitment is closed through the acquisition of an offsetting purchase (sale) commitment, each Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | |
(k) | Mortgage Dollar Rolls-Each Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical 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, 2020, 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 | 5.00% | $10,091 | $4,026,370 |
(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 |
492
Notes to Financial Statements (continued)
investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. A Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”). | |
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 Statements of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statements of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of November 30, 2020, the following Funds had unfunded loan commitments: |
Floating Rate Fund | ||||||||||||||||
Borrower | Principal Amount | Market Value | Unrealized Appreciation/ Cost Depreciation | |||||||||||||
EyeCare Partners, LLC 2020 Delayed Draw Term Loan | $3,817,949 | $3,670,691 | $3,817,949 | $(147,258 | ) | |||||||||||
MED ParentCo LP 1st Lien Delayed Draw Term Loan | 1,755,040 | 1,691,973 | 1,740,543 | (48,570 | ) | |||||||||||
Montreign Operating Company Bridge Term Loan | 4,222,284 | 4,120,231 | 4,093,527 | 26,704 | ||||||||||||
Pathway Vet Alliance LLC Delayed Draw Term Loan | 909,879 | 900,020 | 888,492 | 11,528 | ||||||||||||
Achilles Acquisition LLC (Onedigital Borrower LLC 2020 Delayed Draw Term Loan) | 2,289,664 | 2,282,520 | 2,280,097 | 2,423 | ||||||||||||
Service Logic Acquisition, Inc Delayed Draw Term Loan | 2,187,757 | 2,190,492 | 2,165,879 | 24,613 | ||||||||||||
Southern Veterinary Partners, LLC Delayed Draw Term Loan | 1,641,660 | 1,633,451 | 1,641,660 | (8,209 | ) | |||||||||||
Spectacle Gary Holdings LLC Delayed Draw Term Loan | 722,377 | 705,900 | 704,048 | 1,852 | ||||||||||||
Total | 17,546,610 | 17,195,278 | 17,332,195 | (136,917 | ) | |||||||||||
High Yield Fund | ||||||||||||||||
Borrower | Principal Amount | Market Value | Unrealized Appreciation/ Cost Depreciation | |||||||||||||
Montreign Operating Company Bridge Term Loan | $2,421,407 | $2,362,882 | $2,347,567 | $15,315 | ||||||||||||
Pathway Vet Alliance LLC Delayed Draw Term Loan | 524,031 | 518,353 | 511,714 | 6,639 | ||||||||||||
Total | 2,945,438 | 2,881,235 | 2,859,281 | 21,954 |
(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 |
493
Notes to Financial Statements (continued)
amount of principal. The Fund will normally enter into CPI swap contracts on a zero coupon basis, meaning that the floating rate will be based on the cumulative CPI during the life of the contract, and the fixed rate will compound until the swap’s maturity date, at which point the payments are netted. The swaps are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on swaps in the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap is recorded in realized gain (loss) and is included in Net realized gain (loss) on swaps 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 in order to hedge credit risk or for speculation purposes. 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. |
494
Notes to Financial Statements (continued)
These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. | |
Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. For the centrally cleared credit default swaps, there was minimal counterparty risk to the Fund, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default. | |
(r) | 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 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 |
495
Notes to Financial Statements (continued)
entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below:
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing each Fund’s investments and other financial instruments as of November 30, 2020 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% |
496
Notes to Financial Statements (continued)
High Yield Fund | Ultra Short Bond Fund | .17%* | ||||
First $1 billion | .60% | |||||
Next $1 billion | .55% | |||||
Over $2 billion | .50% |
* | Prior to April 1, 2020, the management fee for the Ultra Short Bond Fund was .20%. |
For the fiscal year ended November 30, 2020, 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 | ||
Convertible Fund | .69% | |
Core Fixed Income Fund | .23% | |
Core Plus Bond Fund | .17% | |
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 | .17% |
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of ..04% of each Fund’s average daily net assets. Lord Abbett voluntarily waived the following fund administration fees during the fiscal year ended November 30, 2020:
Fund | Fund Administration Fee | |
Convertible Fund | 13,630 | |
Core Fixed Income Fund | 27,514 | |
Core Plus Bond Fund | 17,988 | |
Corporate Bond Fund | 5,530 | |
Floating Rate Fund | 97,672 | |
High Yield Fund | 104,897 | |
Income Fund | 56,394 | |
Inflation Focused Fund | 50,372 | |
Short Duration Core Bond Fund | 7,649 | |
Short Duration Income Fund | 499,308 | |
Total Return Fund | 77,989 | |
Ultra Short Bond Fund | 181,355 |
For the fiscal year ended November 30, 2020 and continuing through March 31, 2021, 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:
497
Notes to Financial Statements (continued)
Effective April 1, 2020 | Prior to Apri1 1, 2020 | |||||||||
Classes* | Classes* | |||||||||
A, C, F, I, P, R2, R3, R4 and R5 | A1 | F3 and R6 | A, A1, C, F, I, P, R2, R3, R4 and R5 | F3 and R6 | ||||||
Core Plus Bond Fund | .48% | – | .39% | .48% | .46% | |||||
Corporate Bond Fund | .48% | – | .45% | .48% | .43% | |||||
Short Duration Core Bond Fund | .40% | – | .34% | .40% | .38% | |||||
Ultra Short Bond Fund | – | .27% | – | .27% | .22% |
* | If applicable |
For the fiscal year ended November 30, 2020 and continuing through March 31, 2021, 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 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, 2020:
Distributor Commissions | Dealers’ Concessions | |||||||
Convertible Fund | $ | 45,168 | $ | 301,914 | ||||
Core Fixed Income Fund | 126,343 | 745,226 | ||||||
Core Plus Bond Fund | 24,678 | 149,451 | ||||||
Corporate Bond Fund | 1,535 | 9,215 | ||||||
Floating Rate Fund | 77,757 | 484,316 | ||||||
High Yield Fund | 83,902 | 537,325 | ||||||
Income Fund | 210,969 | 1,237,186 | ||||||
Inflation Focused Fund | 3,777 | 21,427 | ||||||
Short Duration Core Bond Fund | 8,200 | 39,219 |
498
Notes to Financial Statements (continued)
Distributor Commissions | Dealers’ Concessions | |||||||
Short Duration Income Fund | $ | 1,169,331 | $ | 7,553,375 | ||||
Total Return Fund | 188,692 | 1,155,519 | ||||||
Ultra Short Bond Fund | – | 18,396 |
Distributor received the following amount of CDSCs for the fiscal year ended November 30, 2020:
Class A | Class A1 | Class C | ||||||||||
Convertible Fund | $ | 5,387 | $ | – | $ | 2,847 | ||||||
Core Fixed Income Fund | 21,790 | – | 8,895 | |||||||||
Core Plus Bond Fund | 5,004 | – | 1,819 | |||||||||
Corporate Bond Fund | – | – | 199 | |||||||||
Floating Rate Fund | 214,774 | – | 103,389 | |||||||||
High Yield Fund | 59,500 | – | 44,694 | |||||||||
Income Fund | 44,131 | – | 25,804 | |||||||||
Inflation Focused Fund | 356 | – | 1,356 | |||||||||
Short Duration Core Bond Fund | 853 | – | 18,006 | |||||||||
Short Duration Income Fund | 3,126,236 | – | 1,205,939 | |||||||||
Total Return Fund | 28,516 | – | 16,209 | |||||||||
Ultra Short Bond Fund | – | 205,082 | �� | – |
Other Related Parties
As of November 30, 2020, the percentages of Convertible Fund’s, Core Fixed Income Fund’s, Floating Rate Fund’s, High Yield Fund’s and Inflation Focused 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 | Floating Rate Fund | High Yield Fund | Inflation Focused Fund | |||||
Lord Abbett Multi-Asset Balanced | ||||||||||
Opportunity Fund | 7.24% | 3.54% | 0.85% | 4.29% | 10.61% | |||||
Lord Abbett Multi-Asset Income Fund | 2.71% | 7.36% | 0.41% | 2.23% | 9.59% |
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 accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis
499
Notes to Financial Statements (continued)
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, 2020 and 2019 was as follows:
Convertible Fund | Core Fixed Income Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
11/30/2020 | 11/30/2019 | 11/30/2020 | 11/30/2019 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 31,447,133 | $ | 33,166,231 | $ | 37,486,107 | $ | 33,915,312 | ||||||||
Net long-term capital gains | 24,951,538 | 24,740,215 | – | – | ||||||||||||
Total distributions paid | $ | 56,398,671 | $ | 57,906,446 | $ | 37,486,107 | $ | 33,915,312 | ||||||||
Core Plus Bond Fund | Corporate Bond Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
11/30/2020 | 11/30/2019 | 11/30/2020 | 11/30/2019 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 9,591,221 | $ | 2,331,229 | $ | 335,254 | $ | 268,394 | ||||||||
Net long-term capital gains | 327,367 | – | – | – | ||||||||||||
Total distributions paid | $ | 9,918,588 | $ | 2,331,229 | $ | 335,254 | $ | 268,394 | ||||||||
Floating Rate Fund | High Yield Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
11/30/2020 | 11/30/2019 | 11/30/2020 | 11/30/2019 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 284,083,080 | $ | 645,093,634 | $ | 406,418,993 | $ | 387,405,626 | ||||||||
Tax return of capital | 50,837,579 | – | – | – | ||||||||||||
Total distributions paid | $ | 334,920,659 | $ | 645,093,634 | $ | 406,418,993 | $ | 387,405,626 | ||||||||
Income Fund | Inflation Focused Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
11/30/2020 | 11/30/2019 | 11/30/2020 | 11/30/2019 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 102,084,536 | $ | 94,124,145 | $ | 30,350,040 | $ | 50,177,970 | ||||||||
Total distributions paid | $ | 102,084,536 | $ | 94,124,145 | $ | 30,350,040 | $ | 50,177,970 | ||||||||
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
11/30/2020 | 11/30/2019 | 11/30/2020 | 11/30/2019 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 1,722,835 | $ | 702,810 | $ | 1,633,205,535 | $ | 1,776,900,094 | ||||||||
Total distributions paid | $ | 1,722,835 | $ | 702,810 | $ | 1,633,205,535 | $ | 1,776,900,094 | ||||||||
Total Return Fund | Ultra Short Bond Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
11/30/2020 | 11/30/2019 | 11/30/2020 | 11/30/2019 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 107,993,885 | $ | 118,748,175 | $ | 239,917,875 | $ | 413,980,782 | ||||||||
Net long-term capital gains | – | – | – | 1,105,427 | ||||||||||||
Total distributions paid | $ | 107,993,885 | $ | 118,748,175 | $ | 239,917,875 | $ | 415,086,209 |
Subsequent to the Funds’ fiscal year ended November 30, 2020, distributions were paid on December 18, 2020 to shareholders of record on December 17, 2020. The approximate amounts were as follows:
500
Notes to Financial Statements (continued)
Net Investment Income | Short-Term Capital Gains | Long-Term Capital Gains | ||||
Convertible Fund | $4,999,000 | $142,588,000 | $48,442,000 | |||
Core Fixed Income Fund | – | 49,025,000 | 16,061,000 | |||
Core Plus Bond Fund | – | 1,766,000 | 1,437,000 | |||
Corporate Bond Fund | – | 121,000 | 62,000 | |||
Total Return Fund | – | 39,557,000 | 49,202,000 |
As of November 30, 2020, the components of accumulated gains (losses) on a tax-basis were as follows:
Convertible Fund | Core Fixed Income Fund | |||||||
Undistributed ordinary income – net | $ | 149,717,865 | $ | 50,187,972 | ||||
Undistributed long-term capital gains | 48,437,397 | 16,060,928 | ||||||
Total undistributed earnings | 198,155,262 | 66,248,900 | ||||||
Capital loss carryforwards* | – | – | ||||||
Temporary differences | (98,131 | ) | (167,872 | ) | ||||
Unrealized gains (losses) – net | 310,735,015 | 38,782,963 | ||||||
Total accumulated gains (losses) | $ | 508,792,146 | $ | 104,863,991 | ||||
Core Plus | Corporate | |||||||
Bond Fund | Bond Fund | |||||||
Undistributed ordinary income – net | $ | 1,721,511 | $ | 125,588 | ||||
Undistributed long-term capital gains | 1,436,842 | 61,114 | ||||||
Total undistributed earnings | 3,158,353 | 186,702 | ||||||
Capital loss carryforwards* | – | – | ||||||
Temporary differences | (8,546 | ) | (516 | ) | ||||
Unrealized gains (losses) – net | 3,662,234 | 464,850 | ||||||
Total accumulated gains (losses) | $ | 6,812,041 | $ | 651,036 | ||||
Floating | High | |||||||
Rate Fund | Yield Fund | |||||||
Capital loss carryforwards* | $ | (1,526,610,719 | ) | $ | (412,655,732 | ) | ||
Temporary differences | (20,599,168 | ) | (24,373,872 | ) | ||||
Unrealized gains (losses) – net | (90,791,847 | ) | 419,209,216 | |||||
Total accumulated gains (losses) | $ | (1,638,001,734 | ) | $ | (17,820,388 | ) | ||
Inflation | ||||||||
Income Fund | Focused Fund | |||||||
Capital loss carryforwards* | $ | (22,292,689 | ) | $ | (114,679,316 | ) | ||
Temporary differences | (6,411,768 | ) | (550,316 | ) | ||||
Unrealized gains (losses) – net | 132,876,166 | (199,528,524 | ) | |||||
Total accumulated gains (losses) | $ | 104,171,709 | $ | (314,758,156 | ) | |||
Short Duration | Short Duration | |||||||
Core Bond Fund | Income Fund | |||||||
Undistributed ordinary income – net | $ | 8,367 | $ | – | ||||
Total undistributed earnings | 8,367 | – | ||||||
Capital loss carryforwards* | (118,028 | ) | (2,702,450,408 | ) | ||||
Temporary differences | (2,272 | ) | (23,869,236 | ) | ||||
Unrealized gains (losses) – net | 239,180 | (871,929,799 | ) | |||||
Total accumulated gains (losses) | $ | 127,247 | $ | (3,598,249,443 | ) |
501
Notes to Financial Statements (continued)
Total Return Fund | Ultra Short Bond Fund | |||||||
Undistributed ordinary income – net | $ | 32,565,852 | $ | 6,771,353 | ||||
Undistributed long-term capital gains | 49,201,525 | – | ||||||
Total undistributed earnings | 81,767,377 | 6,771,353 | ||||||
Capital loss carryforwards* | – | (48,320,796 | ) | |||||
Temporary differences | (389,818 | ) | (911,309 | ) | ||||
Unrealized gains (losses) – net | 78,421,258 | 43,629,333 | ||||||
Total accumulated gains (losses) | $ | 159,798,817 | $ | 1,168,581 |
* | The capital losses will carry forward indefinitely. |
As of November 30, 2020, the aggregate unrealized gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:
Convertible | Core Fixed | |||||||
Fund | Income Fund | |||||||
Tax cost | $ | 1,057,161,373 | $ | 2,490,101,617 | ||||
Gross unrealized gain | 315,713,935 | 47,218,005 | ||||||
Gross unrealized loss | (4,992,915 | ) | (8,434,886 | ) | ||||
Net unrealized security gain/(loss) | $ | 310,721,020 | $ | 38,783,119 | ||||
Core Plus | Corporate | |||||||
Bond Fund | Bond Fund | |||||||
Tax cost | $ | 319,835,094 | $ | 10,401,558 | ||||
Gross unrealized gain | 6,027,493 | 482,319 | ||||||
Gross unrealized loss | (2,365,442 | ) | (17,469 | ) | ||||
Net unrealized security gain/(loss) | $ | 3,662,051 | $ | 464,850 | ||||
Floating | High | |||||||
Rate Fund | Yield Fund | |||||||
Tax cost | $ | 5,852,644,026 | $ | 7,828,367,262 | ||||
Gross unrealized gain | 120,417,396 | 549,269,154 | ||||||
Gross unrealized loss | (210,982,974 | ) | (130,179,942 | ) | ||||
Net unrealized security gain/(loss) | $ | (90,565,578 | ) | $ | 419,089,212 | |||
Inflation | ||||||||
Income Fund | Focused Fund | |||||||
Tax cost | $ | 2,748,190,953 | $ | 668,404,548 | ||||
Gross unrealized gain | 163,440,285 | 38,506,235 | ||||||
Gross unrealized loss | (30,573,933 | ) | (238,034,830 | ) | ||||
Net unrealized security gain/(loss) | $ | 132,866,352 | $ | (199,528,595 | ) | |||
Short Duration | Short Duration | |||||||
Core Bond Fund | Income Fund | |||||||
Tax cost | $ | 136,245,906 | $ | 56,660,027,940 | ||||
Gross unrealized gain | 541,682 | – | ||||||
Gross unrealized loss | (302,546 | ) | (871,933,810 | ) | ||||
Net unrealized security gain/(loss) | $ | 239,136 | $ | (871,933,810 | ) | |||
Ultra Short | ||||||||
Total Return | Bond Fund | |||||||
Tax cost | $ | 5,093,305,810 | $ | 21,680,332,564 | ||||
Gross unrealized gain | 114,219,066 | 47,679,846 | ||||||
Gross unrealized loss | (35,799,388 | ) | (4,050,513 | ) | ||||
Net unrealized security gain/(loss) | $ | 78,419,678 | $ | 43,629,333 |
502
Notes to Financial Statements (continued)
The difference between book-basis and tax-basis unrealized gains (losses) is primarily attributable to the tax treatment of certain securities, certain distributions, amortization of premium, other financial instruments and wash sales.
Permanent items identified during the fiscal year ended November 30, 2020 have been reclassified among the components of net assets based on their tax basis treatment as follows:
Total distributable earnings (loss) | Paid-in Capital | |||||||
High Yield Fund | $ | 97,306 | $ | (97,306 | ) | |||
Total Return Fund | (87,990 | ) | 87,990 |
The permanent differences are primarily attributable to the tax treatment of certain distributions and certain securities.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended November 30, 2020 were as follows:
U.S. Government Purchases | Non-US Government Purchases | U.S. Government Sales | Non-US Government Sales | |||||||||||||
Convertible Fund | $ | – | $ | 1,379,680,328 | $ | – | $ | 1,190,724,326 | ||||||||
Core Fixed Income Fund | 11,730,896,662 | 1,152,145,274 | 11,509,352,191 | 642,522,066 | ||||||||||||
Core Plus Bond Fund | 1,031,990,270 | 254,953,438 | �� | 1,057,674,308 | 147,013,366 | |||||||||||
Corporate Bond Fund | 2,437,487 | 11,635,141 | 2,349,560 | 9,011,209 | ||||||||||||
Floating Rate Fund | – | 6,294,559,705 | – | 9,180,936,566 | ||||||||||||
High Yield Fund | – | 10,112,071,857 | – | 9,136,576,700 | ||||||||||||
Income Fund | 1,304,897,916 | 1,813,243,322 | 1,288,957,300 | 1,642,642,830 | ||||||||||||
Inflation Focused Fund | 416,831,741 | 294,239,168 | 430,850,735 | 754,036,860 | ||||||||||||
Short Duration Core Bond Fund | 239,770,955 | 80,887,121 | 218,291,687 | 32,367,084 | ||||||||||||
Short Duration Income Fund | 22,769,290,622 | 30,407,151,742 | 22,336,577,308 | 30,498,285,742 | ||||||||||||
Total Return Fund | 21,282,707,918 | 2,712,489,824 | 21,869,883,953 | 2,006,858,463 | ||||||||||||
Ultra Short Bond Fund | 2,305,003,888 | 11,555,481,053 | 1,838,943,867 | 10,631,457,247 |
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, 2020, the following Funds engaged in cross-trades:
Fund | Purchases | Sales | Gain/(Loss | ) | ||||||||
Core Fixed Income | $ | 10,998,110 | $ | 1,700,657 | $ | 24,153 | ||||||
Core Plus Bond | 1,971,106 | 272,842 | 4,198 | |||||||||
Floating Rate Fund | 30,863 | 42,471,804 | (3,673,122 | ) | ||||||||
High Yield Fund | 19,394,765 | 313,524,751 | 21,350,998 | |||||||||
Income Fund | 11,881,013 | 7,830,032 | (5,911 | ) | ||||||||
Inflation Focused Fund | 7,107,475 | 11,341,505 | (30,896 | ) | ||||||||
Short Duration Core Bond Fund | – | 20,717 | 395 | |||||||||
Short Duration Income Fund | 608,102,796 | 115,759,854 | (351,707 | ) | ||||||||
Ultra Short Bond | 66,589,358 | 2,612,500 | (136,050 | ) |
503
Notes to Financial Statements (continued)
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund except for Corporate Bond Fund and Ultra Short Bond Fund entered into forward foreign currency exchange contracts for the fiscal year ended November 30, 2020 (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 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, 2020 (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, 2020 (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 Fixed Income Fund, Core Plus Bond Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Core Bond Fund, Short Duration Income Fund and Total Return Fund entered into credit default swaps for the fiscal year ended November 30, 2020 (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.
504
Notes to Financial Statements (continued)
Floating Rate Fund entered into total return swaps on indexes for the fiscal year ended November 30, 2020 (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.
Floating Rate Fund and Inflation Focused Fund entered into interest rate swaps for the fiscal year ended November 30, 2020 (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 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, 2020, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:
Convertible Fund | ||||||||||||
Foreign | ||||||||||||
Currency | ||||||||||||
Asset Derivatives | Contracts | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | $508,756 | |||||||||||
Liability Derivatives | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | $893,110 | |||||||||||
Core Fixed Income Fund | ||||||||||||
Interest | Foreign | |||||||||||
Rate | Currency | Credit | ||||||||||
Asset Derivatives | Contracts | Contracts | Contracts | |||||||||
Futures Contracts(3) | $615,728 | – | – | |||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $103,796 | |||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $123,919 | – | |||||||||
Futures Contracts(3) | $113,628 | – | – |
505
Notes to Financial Statements (continued)
Core Plus Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Futures Contracts(3) | $ | 91,623 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 14,715 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 26,561 | – | ||||||||
Futures Contracts(3) | $ | 19,926 | – | – | ||||||||
Corporate Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | |||||||||||
Futures Contracts(3) | $ | 4,755 | ||||||||||
Liability Derivatives | ||||||||||||
Futures Contracts(3) | $ | 3,963 | ||||||||||
Floating Rate Fund | ||||||||||||
Asset Derivatives | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | |||||||||
Centrally Cleared Interest Rate Swap Contracts(4) | – | $ | 253,029 | – | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | – | $ | 210,325 | ||||||||
Total Return Swap Contracts(5) | $ | 1,293,089 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts(4) | – | $ | 453,453 | – | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | – | $ | 809,298 | ||||||||
Futures Contracts(3) | – | $ | 152,200 | – | ||||||||
High Yield Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 341,152 | – | ||||||||
Futures Contracts(3) | $ | 1,796,682 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 313,092 | ||||||||
Credit Default Swap Contracts(6) | – | – | $ | 12,960,440 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 2,159,922 | – | ||||||||
Futures Contracts(3) | $ | 1,568,700 | – | – |
506
Notes to Financial Statements (continued)
Income Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 4,783,138 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 6,833 | – | ||||||||||||
Futures Contracts(3) | $ | 588,439 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 149,317 | – | ||||||||||||
Futures Contracts(3) | $ | 172,952 | – | – | ||||||||||||
Inflation Focused Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Inflation Linked Contracts | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 195,851 | – | |||||||||||
Centrally Cleared Interest Rate Contracts(4) | $ | 1,261,772 | – | – | – | |||||||||||
Centrally Cleared CPI Swap Contracts(4) | – | – | – | $ | 13,653,125 | |||||||||||
CPI Swap Contracts(7) | – | – | – | $ | 9,829,703 | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 12,073 | – | – | |||||||||||
Futures Contracts(3) | $ | 287,635 | – | – | – | |||||||||||
Liability Derivatives | ||||||||||||||||
Centrally Cleared CPI Swap Contracts(4) | – | – | – | $ | 52,172,342 | |||||||||||
Centrally Cleared Interest Rate Contracts(4) | $ | 488,250 | – | – | – | |||||||||||
CPI Swap Contracts(8) | – | – | – | $ | 126,060,636 | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 15,348 | – | – | |||||||||||
Futures Contracts(3) | $ | 10,783 | – | – | – | |||||||||||
Short Duration Core Bond Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Futures Contracts(3) | $ | 843 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 107,106 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 1,638 | – | ||||||||||||
Futures Contracts(3) | $ | 4,822 | – | – |
507
Notes to Financial Statements (continued)
Short Duration Income Fund | ||||||||||||
Interest | Foreign | |||||||||||
Rate | Currency | Credit | ||||||||||
Asset Derivatives | Contracts | Contracts | Contracts | |||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 21,684,515 | ||||||||
Futures Contracts(3) | $ | 4,432,930 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 18,272,721 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 1,236,275 | – | ||||||||
Futures Contracts(3) | $ | 1,699,220 | – | – | ||||||||
Total Return Fund | ||||||||||||
Interest | Foreign | |||||||||||
Rate | Currency | Credit | ||||||||||
Asset Derivatives | Contracts | Contracts | Contracts | |||||||||
Futures Contracts(3) | $ | 2,267,326 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 591,880 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 437,663 | – | ||||||||
Futures Contracts(3) | $ | 570,972 | – | – |
(1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(2) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(3) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of centrally cleared swap contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(5) | Statements of Assets and Liabilities location: Total return swap, at fair value. |
(6) | Statements of Assets and Liabilities location: Credit default swap agreements payable, at fair value. |
(7) | Statements of Assets and Liabilities location: Unrealized appreciation on CPI swaps. |
(8) | Statements of Assets and Liabilities location: Unrealized depreciation on CPI swaps. |
508
Notes to Financial Statements (continued)
Transactions in derivative investments for the fiscal year ended November 30, 2020 were as follows:
Convertible Fund | ||||||||||||
Foreign Currency Contracts | ||||||||||||
Net Realized Gain (Loss) | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | (704,189 | ) | |||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | (489,734 | ) | |||||||||
Average Number of Contracts/Notional Amount* | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | 35,587,632 | ||||||||||
Core Fixed Income Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 1,465,120 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (269,958 | ) | – | |||||||
Futures Contracts(5) | $ | 11,423,643 | – | – | ||||||||
Interest Rate Swap Contracts(4) | $ | 1,211,726 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | (103,796 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (774,321 | ) | – | |||||||
Futures Contracts(7) | $ | 818,119 | – | – | ||||||||
Interest Rate Swap Contracts(6) | $ | (1,151,654 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Centrally Cleared Credit Default Swaps(8) | – | – | 13,732,219 | |||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 25,394,101 | – | ||||||||
Futures Contracts(8) | 1,138 | – | – | |||||||||
Interest Rate Swap Contracts(8) | 32,633,672 | – | – |
509
Notes to Financial Statements (continued)
Core Plus Bond Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (387,422 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 287,074 | – | ||||||||
Futures Contracts(5) | $ | 1,852,698 | – | – | ||||||||
Interest Rate Swap Contracts(4) | $ | 22,582 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | (40,710 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (464,705 | ) | – | |||||||
Futures Contracts(7) | $ | 97,264 | – | – | ||||||||
Interest Rate Swap Contracts(6) | $ | (23,361 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(8) | – | – | 5,045,447 | |||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 5,991,743 | – | ||||||||
Futures Contracts(8) | 184 | – | – | |||||||||
Interest Rate Swap Contracts(8) | 423,250 | – | – | |||||||||
Corporate Bond Fund | ||||||||||||
Interest Rate Contracts | ||||||||||||
Net Realized Gain (Loss) | ||||||||||||
Futures Contracts(5) | $ | 10,543 | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Futures Contracts(7) | $ | (1,522 | ) | |||||||||
Average Number of Contracts/Notional Amounts | ||||||||||||
Futures Contracts(8) | 31 | |||||||||||
510
Notes to Financial Statements (continued)
Floating Rate Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | – | $ | (2,278,335 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (2,173,953 | ) | – | – | ||||||||||
Futures Contracts(5) | $ | (11,112,360 | ) | – | – | – | ||||||||||
Interest Rate Swap Contracts(4) | $ | (1,895,325 | ) | – | – | – | ||||||||||
Total Return Swap˜ Contracts(4) | – | – | $ | (70,921,310 | ) | – | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (901,000 | ) | – | – | ||||||||||
Futures Contracts(7) | $ | (360,795 | ) | – | – | – | ||||||||||
Interest Rate Swap Contracts(6) | $ | (200,424 | ) | – | – | – | ||||||||||
Total Return Swap Contracts(6) | – | – | $ | (59,713 | ) | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap(8) | – | – | – | 47,314,783 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 101,492,255 | – | – | |||||||||||
Futures Contracts(8) | 2,093 | – | – | – | ||||||||||||
Interest Rate Swap Contracts(8) | 140,881,483 | – | – | – | ||||||||||||
Total Return Swap Contracts(8) | – | – | 1,231,687 | – |
511
Notes to Financial Statements (continued)
High Yield Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | – | $ | (25,129,279 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (15,845,451 | ) | – | – | ||||||||||
Futures Contracts(5) | $ | 1,030,808 | – | – | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | – | $ | 1,167,046 | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 413,072 | – | – | |||||||||||
Futures Contracts(7) | $ | (1,737,688 | ) | – | – | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swaps(8) | – | – | – | 185,309,891 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 278,338,186 | – | – | |||||||||||
Futures Contracts(8) | 14,722 | – | – | – | ||||||||||||
Income Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (8,319,169 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (722,131 | ) | – | |||||||||||
Futures Contracts(5) | $ | 20,371,818 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 5,288,906 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (1,177,538 | ) | – | |||||||||||
Futures Contracts(7) | $ | 673,215 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap(8) | – | – | 44,795,444 | |||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 27,052,560 | – | �� | |||||||||||
Futures Contracts(8) | 4,335 | – | – |
512
Notes to Financial Statements (continued)
Inflation Focused Fund | ||||||||||||
Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
CPI/Interest Rate Swap Contracts(4) | $ | (18,721,816 | ) | – | – | |||||||
Credit Default Swap Contracts(4) | – | – | $ | (178,897 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 4,919 | – | ||||||||
Futures Contracts(5) | $ | 12,766,304 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
CPI/Interest Rate Swap Contracts(6) | $ | 6,457,515 | – | – | ||||||||
Credit Default Swap Contracts(6) | – | – | $ | 195,851 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (6,726 | ) | – | |||||||
Futures Contracts(7) | $ | 694,426 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
CPI/Interest Rate Swap Contracts(8) | 4,405,291,120 | – | – | |||||||||
Credit Default Swaps(8) | – | – | 1,924,518 | |||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 1,209,118 | – | ||||||||
Futures Contracts(8) | 1,870 | – | – | |||||||||
Short Duration Core Bond Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 24,182 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 76 | – | ||||||||
Futures Contracts(5) | $ | (169,303 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | (122,109 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (1,677 | ) | – | |||||||
Futures Contracts(7) | $ | (6,309 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(8) | – | – | 921,846 | |||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 113,410 | – | ||||||||
Futures Contracts(8) | 27 | – | – |
513
Notes to Financial Statements (continued)
Short Duration Income Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (33,790,005 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 83,044 | – | ||||||||
Futures Contracts(5) | $ | 161,358,045 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | (157,028 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (1,353,435 | ) | – | |||||||
Futures Contracts(7) | $ | 2,305,701 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(8) | – | – | 394,585,828 | |||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 60,019,384 | – | ||||||||
Futures Contracts(8) | 61,758 | – | – | |||||||||
Total Return Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 118,554 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 7,963,945 | – | ||||||||
Futures Contracts(5) | $ | 19,803,177 | – | – | ||||||||
Interest Rate Swap Contracts(4) | $ | 1,910,833 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | (591,880 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (11,441,010 | ) | – | |||||||
Futures Contracts(7) | $ | 2,727,879 | – | – | ||||||||
Interest Rate Swap Contracts(6) | $ | (1,874,755 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(8) | – | – | 66,789,368 | |||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 123,863,702 | – | ||||||||
Futures Contracts(8) | 4,194 | – | – | |||||||||
Interest Rate Swap Contracts(8) | 77,445,282 | – | – |
514
Notes to Financial Statements (continued)
* | Calculated based on the number of contracts or notional amounts for the fiscal year ended November 30, 2020. |
(1) | Statements of Operations location: Net realized gain (loss) on forward foreign currency exchange contracts. |
(2) | Statements of Operations location: Net change in unrealized appreciation/depreciation on forward 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 Statements of Assets and Liabilities across transactions between the Funds and the applicable counterparty:
Convertible Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 508,756 | $ | – | $ | 508,756 | ||||||
Repurchase Agreement | 49,236,635 | – | 49,236,635 | |||||||||
Total | $ | 49,745,391 | $ | – | $ | 49,745,391 |
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. | $ | 49,236,635 | $ | – | $ | – | $ | (49,236,635 | ) | $ | – | |||||||||
Goldman Sachs | 40,390 | (19,988 | ) | – | – | 20,402 | ||||||||||||||
State Street Bank and Trust | 468,366 | (468,366 | ) | – | – | – | ||||||||||||||
Total | $ | 49,745,391 | $ | (488,354 | ) | $ | – | $ | (49,236,635 | ) | $ | 20,402 |
515
Notes to Financial Statements (continued)
Convertible 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 | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 893,110 | $ | – | $ | 893,110 | ||||||
Total | $ | 893,110 | $ | – | $ | 893,110 |
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 | $ | 132,682 | $ | – | $ | – | $ | – | $ | 132,682 | ||||||||||
Goldman Sachs | 19,988 | (19,988 | ) | – | – | – | ||||||||||||||
Morgan Stanley | 21,363 | – | – | – | 21,363 | |||||||||||||||
State Street Bank and Trust | 719,077 | (468,366 | ) | – | – | 250,711 | ||||||||||||||
Total | $ | 893,110 | $ | (488,354 | ) | $ | – | $ | – | $ | 404,756 | |||||||||
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 | |||||||||
Repurchase Agreements | $ | 111,878,116 | $ | – | $ | 111,878,116 | ||||||
Total | $ | 111,878,116 | $ | – | $ | 111,878,116 |
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. | $ | 40,878,116 | $ | – | $ | – | $ | (40,878,116 | ) | $ | – | |||||||||
Toronto Dominion Grand Cayman | 71,000,000 | – | – | (71,000,000 | ) | – | ||||||||||||||
Total | $ | 111,878,116 | $ | – | $ | – | $ | (111,878,116 | ) | $ | – |
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 | $ | 123,919 | $ | – | $ | 123,919 | ||||||
Total | $ | 123,919 | $ | – | $ | 123,919 |
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 | $ | 123,919 | $ | – | $ | (100,000 | ) | $ | – | $ | 23,919 | |||||||||
Total | $ | 123,919 | $ | – | $ | (100,000 | ) | $ | – | $ | 23,919 |
516
Notes to Financial Statements (continued)
Core Plus Bond Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Repurchase Agreement | $ | 10,418,273 | $ | – | $ | 10,418,273 | ||||||
Total | $ | 10,418,273 | $ | – | $ | 10,418,273 | ||||||
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. | $ | 10,418,273 | $ | – | $ | – | $ | (10,418,273 | ) | $ | – | |||||||||
Total | $ | 10,418,273 | $ | – | $ | – | $ | (10,418,273 | ) | $ | – |
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 | $ | 26,561 | $ | – | $ | 26,561 | ||||||
Total | $ | 26,561 | $ | – | $ | 26,561 |
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(c) | |||||||||||||||
Barclays Bank plc | $ | 6,431 | $ | – | $ | – | $ | – | $ | 6,431 | ||||||||||
Credit Agricole | 778 | – | – | – | 778 | |||||||||||||||
Morgan Stanley | 1,649 | – | (1,649 | ) | – | – | ||||||||||||||
State Street Bank and Trust | 17,703 | – | – | – | 17,703 | |||||||||||||||
Total | $ | 26,561 | $ | – | $ | (1,649 | ) | $ | – | $ | 24,912 |
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 | $ | 242,755 | $ | – | $ | 242,755 | ||||||
Total | $ | 242,755 | $ | – | $ | 242,755 |
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. | $ | 242,755 | $ | – | $ | – | $ | (242,755 | ) | $ | – | |||||||||
Total | $ | 242,755 | $ | – | $ | – | $ | (242,755 | ) | $ | – |
517
Notes to Financial Statements (continued)
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 | $ | 210,325 | $ | – | $ | 210,325 | ||||||
Total Return Swap Contracts | 1,293,089 | – | 1,293,089 | |||||||||
Repurchase Agreement | 274,867,772 | – | 274,867,772 | |||||||||
Total | $ | 276,371,186 | $ | – | $ | 276,371,186 |
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 | $ | 131,625 | $ | (131,625 | ) | $ | – | $ | – | $ | – | |||||||||
Barclays Bank plc | 998,065 | – | – | (659,000 | ) | 339,065 | ||||||||||||||
Fixed Income Clearing Corp. | 274,867,772 | – | – | (274,867,772 | ) | – | ||||||||||||||
J.P. Morgan | 149,569 | – | – | – | 149,569 | |||||||||||||||
Morgan Stanley | 145,455 | (30,742 | ) | – | – | 114,713 | ||||||||||||||
State Street Bank and Trust | 78,700 | (78,700 | ) | – | – | – | ||||||||||||||
Total | $ | 276,371,186 | $ | (241,067 | ) | $ | – | $ | (275,526,772 | ) | $ | 603,347 |
Gross Amounts | Net Amounts of | |||||||||||
Offset in the | Liabilities Presented | |||||||||||
Gross Amounts of | Statement of Assets | in the Statement of | ||||||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 809,298 | $ | – | $ | 809,298 | ||||||
Total | $ | 809,298 | $ | – | $ | 809,298 | ||||||
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 | $ | 268,611 | $ | (131,625 | ) | $ | – | $ | – | $ | 136,986 | |||||||||
Credit Agricole | 292,605 | – | (292,605 | ) | – | – | ||||||||||||||
Morgan Stanley | 30,742 | (30,742 | ) | – | – | – | ||||||||||||||
State Street Bank and Trust | 122,957 | (78,700 | ) | – | – | 44,257 | ||||||||||||||
Toronto Dominion Bank | 94,383 | – | – | – | 94,383 | |||||||||||||||
Total | $ | 809,298 | $ | (241,067 | ) | $ | (292,605 | ) | $ | – | $ | 275,626 |
518
Notes to Financial Statements (continued)
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 | $ | 341,152 | $ | – | $ | 341,152 | ||||||
Repurchase Agreement | 31,384,933 | – | 31,384,933 | |||||||||
Total | $ | 31,726,085 | $ | – | $ | 31,726,085 |
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 | $ | 74,612 | $ | (67,825 | ) | $ | – | $ | – | $ | 6,787 | |||||||||
Fixed Income Clearing Corp. | 31,384,933 | – | – | (31,384,933 | ) | – | ||||||||||||||
Morgan Stanley | 63,918 | (63,918 | ) | – | – | – | ||||||||||||||
State Street Bank and Trust | 109,189 | (98,356 | ) | (10,833 | ) | – | – | |||||||||||||
Toronto Dominion Bank | 93,433 | (93,433 | ) | – | – | – | ||||||||||||||
Total | $ | 31,726,085 | $ | (323,532 | ) | $ | (10,833 | ) | $ | (31,384,933 | ) | $ | 6,787 |
Gross Amounts | Net Amounts of | |||||||||||
Offset in the | Liabilities Presented | |||||||||||
Gross Amounts of | Statement of Assets | in the Statement of | ||||||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | |||||||||
Credit Default Swap Contracts | $ | 12,960,440 | $ | – | $ | 12,960,440 | ||||||
Forward Foreign Currency Exchange Contracts | 2,159,922 | – | 2,159,922 | |||||||||
Total | $ | 15,120,362 | $ | – | $ | 15,120,362 |
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 | $ | 67,825 | $ | (67,825 | ) | $ | – | $ | – | $ | – | |||||||||
BNP Paribas S.A. | 60,074 | – | – | – | 60,074 | |||||||||||||||
Citibank | 2,552,394 | – | (2,552,394 | ) | – | – | ||||||||||||||
Credit Agricole | 1,279,494 | – | (1,279,494 | ) | – | – | ||||||||||||||
Goldman Sachs | 936,030 | – | (936,030 | ) | – | – | ||||||||||||||
J.P. Morgan | 84,229 | – | – | – | 84,229 | |||||||||||||||
Merrill Lynch | 1,617,658 | – | (1,617,658 | ) | – | – | ||||||||||||||
Morgan Stanley | 8,243,616 | (63,918 | ) | (8,140,000 | ) | – | 39,698 | |||||||||||||
State Street Bank and Trust | 98,356 | (98,356 | ) | – | – | – | ||||||||||||||
Toronto Dominion Bank | 180,686 | (93,433 | ) | – | – | 87,253 | ||||||||||||||
Total | $ | 15,120,362 | $ | (323,532 | ) | $ | (14,525,576 | ) | $ | – | $ | 271,254 |
519
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 | $ | 6,833 | $ | – | $ | 6,833 | ||||||
Repurchase Agreement | 86,882,840 | – | 86,882,840 | |||||||||
Total | $ | 86,889,673 | $ | – | $ | 86,889,673 |
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. | $ | 86,882,840 | $ | – | $ | – | $ | (86,882,840 | ) | $ | – | |||||||||
State Street Bank and Trust | 6,833 | – | – | – | 6,833 | |||||||||||||||
Total | $ | 86,889,673 | $ | – | $ | – | $ | (86,882,840 | ) | $ | 6,833 |
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 | $ | 149,317 | $ | – | $ | 149,317 | ||||||
Total | $ | 149,317 | $ | – | $ | 149,317 |
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) | |||||||||||||||
Barclays Bank plc | $ | 64,356 | $ | – | $ | – | $ | – | $ | 64,356 | ||||||||||
Credit Agricole | 84,961 | – | – | – | 84,961 | |||||||||||||||
Total | $ | 149,317 | $ | – | $ | – | $ | – | $ | 149,317 |
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 | $ | 9,829,703 | $ | – | $ | 9,829,703 | ||||||
Forward Foreign Currency Exchange Contracts | 12,073 | – | 12,073 | |||||||||
Repurchase Agreement | 42,807,004 | – | 42,807,004 | |||||||||
Total | $ | 52,648,780 | $ | – | $ | 52,648,780 |
520
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 | $ | 3,904,468 | $ | (3,904,468 | ) | $ | – | $ | – | $ | – | |||||||||
Barclays Bank plc | 1,774,366 | (1,774,366 | ) | – | – | – | ||||||||||||||
Deutsche Bank | 361,111 | (361,111 | ) | – | – | – | ||||||||||||||
Goldman Sachs | 3,801,831 | (3,801,831 | ) | – | – | – | ||||||||||||||
Fixed Income Clearing Corp. | 42,807,004 | – | – | (42,807,004 | ) | – | ||||||||||||||
Total | $ | 52,648,780 | $ | (9,841,776 | ) | $ | – | $ | (42,807,004 | ) | $ | – | ||||||||
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 | $ | 126,060,636 | $ | – | $ | 126,060,636 | ||||||
Forward Foreign Currency Exchange Contracts | 15,348 | – | 15,348 | |||||||||
Total | $ | 126,075,984 | $ | – | $ | 126,075,984 |
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 | $ | 19,670,478 | $ | (3,904,468 | ) | $ | (15,766,010 | ) | $ | – | $ | – | ||||||||
Barclays Bank plc | 16,565,392 | (1,774,366 | ) | (14,791,026 | ) | – | – | |||||||||||||
Credit Suisse | 5,971,329 | – | (5,971,329 | ) | – | – | ||||||||||||||
Deutsche Bank | 33,805,359 | (361,111 | ) | (33,444,248 | ) | – | – | |||||||||||||
Goldman Sachs | 25,607,102 | (3,801,831 | ) | (21,805,271 | ) | – | – | |||||||||||||
J.P. Morgan | 14,372,231 | – | (14,372,231 | ) | – | |||||||||||||||
Merrill Lynch International Bank | 945,431 | – | (945,431 | ) | – | |||||||||||||||
Morgan Stanley | 15,348 | – | – | – | 15,348 | |||||||||||||||
Wells Fargo | 9,123,314 | – | (9,123,314 | ) | – | – | ||||||||||||||
Total | $ | 126,075,984 | $ | (9,841,776 | ) | $ | (116,218,860 | ) | $ | – | $ | 15,348 |
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 | |||||||||
Repurchase Agreement | $ | 8,251,997 | $ | – | $ | 8,251,997 | ||||||
Total | $ | 8,251,997 | $ | – | $ | 8,251,997 |
521
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) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 8,251,997 | $ | – | $ | – | $ | (8,251,997 | ) | $ | – | |||||||||
Total | $ | 8,251,997 | $ | – | $ | – | $ | (8,251,997 | ) | $ | – | |||||||||
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 | $ | 107,106 | $ | – | $ | 107,106 | ||||||
Forward Foreign Currency Exchange Contracts | 1,638 | – | 1,638 | |||||||||
Total | $ | 108,744 | $ | – | $ | 108,744 |
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 | $ | 108,744 | $ | – | $ | – | $ | – | $ | 108,744 | ||||||||||
Total | $ | 108,744 | $ | – | $ | – | $ | – | $ | 108,744 | ||||||||||
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 | |||||||||
Repurchase Agreement | $ | 896,092,934 | $ | – | $ | 896,092,934 | ||||||
Total | $ | 896,092,934 | $ | – | $ | 896,092,934 |
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. | $ | 896,092,934 | $ | – | $ | – | $ | (896,092,934 | ) | $ | – | |||||||||
Total | $ | 896,092,934 | $ | – | $ | – | $ | (896,092,934 | ) | $ | – |
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 | $ | 18,272,721 | $ | – | $ | 18,272,721 | ||||||
Forward Foreign Currency Exchange Contracts | 1,236,275 | – | 1,236,275 | |||||||||
Total | $ | 19,508,996 | $ | – | $ | 19,508,996 |
522
Notes to Financial Statements (continued)
Short Duration Income 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) | |||||||||||||||
Barclays Bank plc | $ | 208,317 | $ | – | $ | – | $ | – | $ | 208,317 | ||||||||||
Citibank | 937,063 | – | (937,063 | ) | – | – | ||||||||||||||
Credit Suisse | 2,811,188 | – | (2,811,188 | ) | – | – | ||||||||||||||
Deutsche Bank | 4,216,783 | – | (4,216,783 | ) | – | - | ||||||||||||||
Morgan Stanley | 10,849,160 | – | (10,849,160 | ) | – | – | ||||||||||||||
State Street Bank and Trust | 486,485 | – | (486,485 | ) | – | – | ||||||||||||||
Total | $ | 19,508,996 | $ | – | $ | (19,300,679 | ) | $ | – | $ | 208,317 |
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 | |||||||||
Repurchase Agreements | $ | 222,134,161 | $ | – | $ | 222,134,161 | ||||||
Total | $ | 222,134,161 | $ | – | $ | 222,134,161 | ||||||
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. | $ | 40,134,161 | $ | – | $ | – | $ | (40,134,161 | ) | $ | – | |||||||||
Toronto Dominion Grand Cayman | 182,000,000 | – | – | (182,000,000 | ) | – | ||||||||||||||
Total | $ | 222,134,161 | $ | – | $ | – | $ | (222,134,161 | ) | $ | – |
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 | $ | 437,663 | $ | – | $ | 437,663 | ||||||
Total | $ | 437,663 | $ | – | $ | 437,663 |
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) | |||||||||||||||
Barclays Bank plc | $ | 116,328 | $ | – | $ | – | $ | – | $ | 116,328 | ||||||||||
Credit Agricole | 11,807 | – | – | – | 11,807 | |||||||||||||||
Morgan Stanley | 43,987 | – | (43,987 | ) | – | – | ||||||||||||||
State Street Bank and Trust | 265,541 | – | (265,541 | ) | – | – | ||||||||||||||
Total | $ | 437,663 | $ | – | $ | (309,528 | ) | $ | – | $ | 128,135 |
523
Notes to Financial Statements (continued)
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 | $ | 39,184,873 | $ | – | $ | 39,184,873 | ||||||
Total | $ | 39,184,873 | $ | – | $ | 39,184,873 | ||||||
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. | $ | 39,184,873 | $ | – | $ | – | $ | (39,184,873 | ) | $ | – | |||||||||
Total | $ | 39,184,873 | $ | – | $ | – | $ | (39,184,873 | ) | $ | – |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by the counterparty as of November 30, 2020. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of November 30, 2020. |
8. | TRUSTEES’ REMUNERATION |
The Trust’s officers and one Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
9. | EXPENSE REDUCTIONS |
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
10. | LINE OF CREDIT |
For the period ended August 5, 2020, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.17 billion (the “Syndicated Facility”) whereas State Street Bank and Trust Company (“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, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors. Effective August 6, 2020, 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, $600 million, or $900 million, based on past borrowings and likelihood of future borrowings, among other factors.
524
Notes to Financial Statements (continued)
For the period ended November 30, 2020, the Participating Funds were party to an additional line of credit facility with SSB for $330 million (the “Bilateral Facility”), $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 Syndicated Facility and the Bilateral Facility are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.
The High Yield Fund utilized the Facility on multiple dates for the period February 28, 2020 through August 06, 2020 with an average borrowing amount of $57,844,176. The average interest rate during the period was 1.82% and total interest paid amounted to $163,300.
11. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
During the year ended November 30, 2020, the following Funds participated as lenders 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 Amount Loaned | Average Interest Rate | Interest Income* | |||||||||
Convertible Fund | $ | 13,735,000 | 0.55% | $ | 206 | |||||||
Core Fixed Income Fund | 10,792,000 | 0.55% | 162 | |||||||||
Floating Rate Fund | 25,643,506 | 0.55% | 385 | |||||||||
Income Fund | 16,955,193 | 0.55% | 255 | |||||||||
Inflation Focused Fund | 24,245,500 | 0.55% | 364 |
* | Statements of Operations location: Interest earned from Interfund Lending. |
During the year ended November 30, 2020, the following Fund participated as a borrower in the Interfund Lending Program. For the period in which the loan was outstanding, the average amount borrowed, interest rate and interest expense were as follows:
Fund | Average Amount Loaned | Average Interest Rate | Interest Expense* | |||||||||
High Yield Fund | $ | 22,813,489 | 0.55% | $ | 3,085 |
* | Statements of Operation 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. | SECURITIES LENDING AGREEMENT |
The Fund, except for Inflation Focused Fund, have established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash
525
Notes to Financial Statements (continued)
collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Funds’ securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Any income earned from securities lending is included in Securities Lending Income on the Statements of Operations.
The initial collateral received by the funds is required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by the Funds’ agent; the Funds will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Funds continue to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.
As of November 30, 2020, the market value of securities loaned and collateral received for the Funds were as follows:
Funds | Market Value of Securities Loaned | Collateral Received(1) | ||
High Yield Fund | $4,772,001 | $5,003,539 |
(1) | Statement of Assets and Liabilities location: Payable for collateral due to broker for securities lending. |
14. | INVESTMENT RISKS |
Each Fund is subject to the general risks and considerations associated with investing in fixed income securities and to the changing prospects of individual companies and/or sectors in which the Funds invest. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when interest rates fall, such prices tend to rise. Longer-term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to a Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which one or more of the Funds may invest. Some issuers, particularly of high-yield bonds, may default as to principal and/or interest payments after a Fund purchases their securities. A default, or concerns in the market about an increase in risk of default, may result in losses to each Fund. High-yield bonds are subject to greater price fluctuations and increased liquidity risk, as well as additional risks.
On July 27, 2017, the head of the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on the Funds or the LIBOR-based instruments in which the Funds invest cannot yet be determined. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based instruments. Since the usefulness of LIBOR as a
526
Notes to Financial Statements (continued)
benchmark could deteriorate during the transition period, these effects could occur prior and/or subsequent to the end of 2021.
Because the Ultra Short Bond Fund invests a significant portion of its assets in securities issued by companies in the financial services industry, developments affecting this industry may have a disproportionate impact on the Fund. Interest rate risk, credit risk, and the risk of regulatory changes in the financial services industry, among other risks, may have a negative effect on companies in the financial services industry.
The values of equity holdings of Convertible Fund will fluctuate in response to movements in the equity securities market in general and to the changing prospects of the individual companies and/or sectors in which the Fund invests.
Convertible Fund, High Yield Fund, Income Fund, Inflation Focused Fund, and Short Duration Income Fund are subject to the general risks and considerations associated with investing in convertible securities, which have both equity and fixed income risk characteristics including market, credit, liquidity, and interest rate risks. Generally, convertible securities offer lower interest or dividend yields than non-convertible securities of similar quality and less potential for gains or capital appreciation in a rising equity securities market than equity securities. They tend to be more volatile than other fixed income securities, and the markets for convertible securities may be less liquid than markets for stocks or bonds. A significant portion of convertible securities have below investment grade credit ratings and are subject to increased credit and liquidity risks.
Each Fund’s investment exposure to foreign (which may include emerging market) companies presents increased market, liquidity, currency, political, information and other risks. The cost of a Fund’s potential use of forward foreign currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing.
Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and 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.
527
Notes to Financial Statements (continued)
Each Fund’s exposure to inflation-linked investments, such as Treasury Inflation Protected Securities, may be vulnerable to changes in expectations of inflation or interest rates and there is no guarantee that the Fund’s use of these instruments will be successful.
The Funds are subject to the risks of investing in floating rate or adjustable rate senior loans, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities. The senior loans in which Core Fixed Income Fund, Core Plus Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Income Fund and Total Return Fund may invest may consist primarily of senior loans that are rated below investment grade or, if unrated, deemed by Lord Abbett to be equivalent to below investment grade securities. Below investment grade senior loans, as in the case of high- yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market. In addition, Floating Rate Fund may invest up to 20% of its total assets in senior loans that are not secured by any specific collateral.
Each Fund is subject to the risk of investing in securities issued or guaranteed by the U.S. Government or its agencies and instrumentalities (such as the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), or the Federal Home Loan Mortgage Corporation (“Freddie Mac”)). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. Government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. Government and no assurance can be given that the U.S. Government would provide financial support to its agencies and instrumentalities if not required to do so by law. Consequently, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation.
Convertible Fund, Core Fixed Income Fund, Core Plus Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Core Bond Fund, Short Duration Income Fund and Total Return Fund are subject to the risks of investing in asset backed securities and mortgage-related securities, including those of such Government sponsored enterprises as Fannie Mae and Freddie Mac. In addition, these Funds may invest in non-agency backed and mortgage related securities, which are issued by the private institutions, not by the government-sponsored enterprises. Such securities may be particularly sensitive to changes in economic conditions, including delinquencies and/or defaults, and changes in prevailing interest rates. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these 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.
Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of each Fund’s investments. Market disruptions can also prevent the Funds from implementing its investment strategies and achieving its investment objective.
The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant
528
Notes to Financial Statements (continued)
disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak could negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways.
The COVID-19 pandemic and its effects may last for an extended period of time, and in either case could result in significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, and a substantial economic downturn or recession. The foregoing could disrupt the operations of each Fund and its service providers, adversely affect the value and liquidity of each Fund’s investments, and negatively impact each Fund’s performance and your investment in each Fund.
These factors and others, can affect each Fund’s performance.
15. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Year Ended | Year Ended | |||||||||||||||
Convertible Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,637,363 | $ | 109,295,101 | 3,380,102 | $ | 44,939,579 | ||||||||||
Converted from Class C* | 493,755 | 8,073,778 | 287,550 | 3,900,648 | ||||||||||||
Reinvestment of distributions | 836,900 | 11,306,788 | 730,593 | 8,876,988 | ||||||||||||
Shares reacquired | (3,941,324 | ) | (61,200,100 | ) | (4,385,388 | ) | (57,902,914 | ) | ||||||||
Increase (decrease) | 4,026,694 | $ | 67,475,567 | 12,857 | $ | (185,699 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,360,311 | $ | 22,258,038 | 776,634 | $ | 10,111,279 | ||||||||||
Reinvestment of distributions | 185,024 | 2,454,644 | 166,030 | 1,992,370 | ||||||||||||
Shares reacquired | (815,551 | ) | (12,307,247 | ) | (667,099 | ) | (8,678,358 | ) | ||||||||
Converted to Class A* | (497,349 | ) | (8,073,778 | ) | (289,373 | ) | (3,900,648 | ) | ||||||||
Increase (decrease) | 232,435 | $ | 4,331,657 | (13,808 | ) | $ | (475,357 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 27,490,097 | $ | 440,997,259 | 5,383,567 | $ | 70,660,540 | ||||||||||
Reinvestment of distributions | 935,772 | 12,768,009 | 848,918 | 10,315,562 | ||||||||||||
Shares reacquired | (10,220,319 | ) | (162,869,227 | ) | (9,233,441 | ) | (119,017,322 | ) | ||||||||
Increase (decrease) | 18,205,550 | $ | 290,896,041 | (3,000,956 | ) | $ | (38,041,220 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 701,872 | $ | 12,008,995 | 170,372 | $ | 2,307,163 | ||||||||||
Reinvestment of distributions | 51,388 | 703,791 | 39,345 | 482,581 | ||||||||||||
Shares reacquired | (184,551 | ) | (2,873,723 | ) | (146,880 | ) | (1,956,194 | ) | ||||||||
Increase | 568,709 | $ | 9,839,063 | 62,837 | $ | 833,550 |
529
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Convertible Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,787,817 | $ | 152,687,276 | 1,190,978 | $ | 15,911,357 | ||||||||||
Reinvestment of distributions | 1,737,942 | 23,626,798 | 2,610,245 | 31,865,489 | ||||||||||||
Shares reacquired | (16,648,304 | ) | (267,498,985 | ) | (17,658,952 | ) | (236,940,945 | ) | ||||||||
Decrease | (5,122,545 | ) | $ | (91,184,911 | ) | (13,857,729 | ) | $ | (189,164,099 | ) | ||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,842 | $ | 25,888 | 304 | $ | 3,993 | ||||||||||
Reinvestment of distributions | 409 | 5,568 | 324 | 3,996 | ||||||||||||
Shares reacquired | (3,611 | ) | (52,312 | ) | (123 | ) | (1,716 | ) | ||||||||
Increase (decrease) | (1,360 | ) | $ | (20,856 | ) | 505 | $ | 6,273 | ||||||||
Class R2 Sharest | ||||||||||||||||
Shares sold | 93 | $ | 1,345 | 361 | $ | 4,777 | ||||||||||
Reinvestment of distributions | 282 | 3,834 | 219 | 2,695 | ||||||||||||
Shares reacquired | (2,048 | ) | (29,527 | ) | (1,978 | ) | (27,376 | ) | ||||||||
Decrease | (1,673 | ) | $ | (24,348 | ) | (1,398 | ) | $ | (19,904 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 618,720 | $ | 9,860,017 | 273,665 | $ | 3,617,998 | ||||||||||
Reinvestment of distributions | 63,228 | 848,066 | 48,486 | 585,569 | ||||||||||||
Shares reacquired | (181,841 | ) | (2,822,070 | ) | (234,211 | ) | (3,092,642 | ) | ||||||||
Increase | 500,107 | $ | 7,886,013 | 87,940 | $ | 1,110,925 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 16,981 | $ | 324,428 | 940 | $ | 12,053 | ||||||||||
Reinvestment of distributions | 504 | 6,761 | 382 | 4,651 | ||||||||||||
Shares reacquired | (3,312 | ) | (42,900 | ) | (5 | ) | (67 | ) | ||||||||
Increase | 14,173 | $ | 288,289 | 1,317 | $ | 16,637 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 25,239 | $ | 421,598 | 56,284 | $ | 766,633 | ||||||||||
Reinvestment of distributions | 5,305 | 72,154 | 1,195 | 15,159 | ||||||||||||
Shares reacquired | (26,181 | ) | (428,250 | ) | (9,567 | ) | (132,229 | ) | ||||||||
Increase | 4,363 | $ | 65,502 | 47,912 | $ | 649,563 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 371,377 | $ | 5,591,255 | 575,835 | $ | 7,816,380 | ||||||||||
Reinvestment of distributions | 8,928 | 122,133 | 5,938 | 73,260 | ||||||||||||
Shares reacquired | (471,318 | ) | (6,504,882 | ) | (560,976 | ) | (7,484,625 | ) | ||||||||
Increase (decrease) | (91,013 | ) | $ | (791,494 | ) | 20,797 | $ | 405,015 | ||||||||
Year Ended | Year Ended | |||||||||||||||
Core Fixed Income Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 20,546,341 | $ | 234,629,013 | 13,446,637 | $ | 145,715,697 | ||||||||||
Converted from Class C* | 1,354,236 | 15,754,138 | 517,732 | 5,654,420 | ||||||||||||
Reinvestment of distributions | 969,122 | 11,099,192 | 1,057,364 | 11,480,965 | ||||||||||||
Shares reacquired | (9,291,661 | ) | (105,669,767 | ) | (9,740,012 | ) | (105,040,390 | ) | ||||||||
Increase | 13,578,038 | $ | 155,812,576 | 5,281,721 | $ | 57,810,692 |
530
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Core Fixed Income Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,901,692 | $ | 32,881,776 | 1,211,352 | $ | 13,072,088 | ||||||||||
Reinvestment of distributions | 55,779 | 635,233 | 73,164 | 789,392 | ||||||||||||
Shares reacquired | (1,139,736 | ) | (12,948,016 | ) | (975,933 | ) | (10,462,492 | ) | ||||||||
Converted to Class A* | (1,360,147 | ) | (15,754,138 | ) | (520,055 | ) | (5,654,420 | ) | ||||||||
Increase (decrease) | 457,588 | $ | 4,814,855 | (211,472 | ) | $ | (2,255,432 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 29,817,069 | $ | 339,579,009 | 12,643,085 | $ | 137,421,753 | ||||||||||
Reinvestment of distributions | 538,321 | 6,172,565 | 397,651 | 4,324,960 | ||||||||||||
Shares reacquired | (17,890,591 | ) | (204,020,556 | ) | (6,092,920 | ) | (65,671,544 | ) | ||||||||
Increase | 12,464,799 | $ | 141,731,018 | 6,947,816 | $ | 76,075,169 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 12,684,590 | $ | 145,067,068 | 9,506,089 | $ | 103,466,230 | ||||||||||
Reinvestment of distributions | 669,309 | 7,663,163 | 705,629 | 7,666,672 | ||||||||||||
Shares reacquired | (6,878,681 | ) | (77,902,398 | ) | (5,354,933 | ) | (57,807,087 | ) | ||||||||
Increase | 6,475,218 | $ | 74,827,833 | 4,856,785 | $ | 53,325,815 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 36,180,845 | $ | 409,655,279 | 20,337,463 | $ | 220,447,076 | ||||||||||
Reinvestment of distributions | 918,152 | 10,506,684 | 695,964 | 7,588,962 | ||||||||||||
Shares reacquired | (27,738,028 | ) | (315,696,001 | ) | (6,930,188 | ) | (74,570,651 | ) | ||||||||
Increase | 9,360,969 | $ | 104,465,962 | 14,103,239 | $ | 153,465,387 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 0.10 | $ | 1 | – | $ | – | ||||||||||
Reinvestment of distributions | 0.23 | 3 | 0.30 | 3 | ||||||||||||
Shares reacquired | (9.99 | ) | (118 | ) | – | – | ||||||||||
Increase (decrease) | (9.66 | ) | $ | (114 | ) | 0.30 | $ | 3 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 31,496 | $ | 351,390 | 13,633 | $ | 146,754 | ||||||||||
Reinvestment of distributions | 753 | 8,596 | 921 | 9,991 | ||||||||||||
Shares reacquired | (42,056 | ) | (483,493 | ) | (27,533 | ) | (296,455 | ) | ||||||||
Decrease | (9,807 | ) | $ | (123,507 | ) | (12,979 | ) | $ | (139,710 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 327,342 | $ | 3,739,594 | 261,718 | $ | 2,829,426 | ||||||||||
Reinvestment of distributions | 16,320 | 186,587 | 26,359 | 285,769 | ||||||||||||
Shares reacquired | (419,251 | ) | (4,750,686 | ) | (383,202 | ) | (4,166,104 | ) | ||||||||
Decrease | (75,589 | ) | $ | (824,505 | ) | (95,125 | ) | $ | (1,050,909 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 412,019 | $ | 4,682,583 | 320,116 | $ | 3,488,702 | ||||||||||
Reinvestment of distributions | 13,390 | 153,374 | 11,325 | 123,023 | ||||||||||||
Shares reacquired | (185,977 | ) | (2,125,935 | ) | (440,489 | ) | (4,659,324 | ) | ||||||||
Increase (decrease) | 239,432 | $ | 2,710,022 | (109,048 | ) | $ | (1,047,599 | ) |
531
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Core Fixed Income Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 43,020 | $ | 491,104 | 57,228 | $ | 616,677 | ||||||||||
Reinvestment of distributions | 2,267 | 25,915 | 2,786 | 30,335 | ||||||||||||
Shares reacquired | (78,588 | ) | (900,555 | ) | (14,719 | ) | (158,174 | ) | ||||||||
Increase (decrease) | (33,301 | ) | $ | (383,536 | ) | 45,295 | $ | 488,838 | ||||||||
Class R6 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 355,149 | $ | 4,042,233 | 174,446 | $ | 1,882,310 | ||||||||||
Reinvestment of distributions | 71,883 | 820,056 | 118,949 | 1,290,556 | ||||||||||||
Shares reacquired | (1,437,189 | ) | (16,312,272 | ) | (539,460 | ) | (5,938,570 | ) | ||||||||
Decrease | (1,010,157 | ) | $ | (11,449,983 | ) | (246,065 | ) | $ | (2,765,704 | ) | ||||||
Year Ended | Year Ended | |||||||||||||||
Core Plus Bond Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,829,761 | $ | 43,514,916 | 1,770,749 | $ | 26,913,154 | ||||||||||
Converted from Class C* | 16,476 | 257,643 | 197 | 3,010 | ||||||||||||
Reinvestment of distributions | 100,794 | 1,550,976 | 25,678 | 389,024 | ||||||||||||
Shares reacquired | (868,204 | ) | (13,153,532 | ) | (645,204 | ) | (9,845,313 | ) | ||||||||
Increase | 2,078,827 | $ | 32,170,003 | 1,151,420 | $ | 17,459,875 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 219,608 | $ | 3,366,582 | 236,500 | $ | 3,619,270 | ||||||||||
Reinvestment of distributions | 10,110 | 155,302 | 2,477 | 37,708 | ||||||||||||
Shares reacquired | (102,037 | ) | (1,540,326 | ) | (21,276 | ) | (323,124 | ) | ||||||||
Converted to Class A* | (16,473 | ) | (257,643 | ) | (197 | ) | (3,010 | ) | ||||||||
Increase | 111,208 | $ | 1,723,915 | 217,504 | $ | 3,330,844 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 9,431,125 | $ | 145,005,768 | 10,688,352 | $ | 162,612,579 | ||||||||||
Reinvestment of distributions | 454,786 | 6,978,005 | 114,354 | 1,746,622 | ||||||||||||
Shares reacquired | (8,641,173 | ) | (130,297,839 | ) | (935,082 | ) | (14,129,084 | ) | ||||||||
Increase | 1,244,738 | $ | 21,685,934 | 9,867,624 | $ | 150,230,117 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 667,865 | $ | 10,303,076 | – | $ | – | ||||||||||
Reinvestment of distributions | 13,260 | 204,026 | 25.36 | 382 | ||||||||||||
Shares reacquired | (139,331 | ) | (2,107,549 | ) | – | – | ||||||||||
Increase | 541,794 | $ | 8,399,553 | 25.36 | $ | 382 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,661,328 | $ | 25,140,249 | 931,015 | $ | 14,268,793 | ||||||||||
Reinvestment of distributions | 64,625 | 994,635 | 8,498 | 130,891 | ||||||||||||
Shares reacquired | (385,394 | ) | (5,860,091 | ) | (51,399 | ) | (791,054 | ) | ||||||||
Increase | 1,340,559 | $ | 20,274,793 | 888,114 | $ | 13,608,630 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 35 | $ | 528 | 55 | $ | 823 | ||||||||||
Shares reacquired | (1,934 | ) | (29,414 | ) | – | – | ||||||||||
Increase (decrease) | (1,899 | ) | $ | (28,886 | ) | 55 | $ | 823 |
532
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Core Plus Bond Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amoun | ||||||||||||
Shares sold | 1,199 | $ | 18,396 | 10,245 | $ | 157,963 | ||||||||||
Reinvestment of distributions | 397 | 6,082 | 81 | 1,223 | ||||||||||||
Shares reacquired | (5,945 | ) | (92,189 | ) | – | – | ||||||||||
Increase (decrease) | (4,349 | ) | $ | (67,711 | ) | 10,326 | $ | 159,186 | ||||||||
Class R4 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 19,734 | $ | 305,222 | – | $ | – | ||||||||||
Reinvestment of distributions | 291 | 4,482 | 62 | 932 | ||||||||||||
Shares reacquired | (5,080 | ) | (77,126 | ) | – | – | ||||||||||
Increase | 14,945 | $ | 232,578 | 62 | $ | 932 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 35.62 | $ | 547 | 12 | $ | 188 | ||||||||||
Reinvestment of distributions | 41.28 | 627 | 67 | 1,012 | ||||||||||||
Shares reacquired | (1,296.52 | ) | (19,738 | ) | (1 | ) | (22 | ) | ||||||||
Increase (decrease) | (1,219.62 | ) | $ | (18,564 | ) | 78 | $ | 1,178 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 75,761 | $ | 1,165,410 | 7 | $ | 113 | ||||||||||
Reinvestment of distributions | 1,778 | 27,348 | 68 | 1,020 | ||||||||||||
Shares reacquired | (21,304 | ) | (328,751 | ) | – | (1 | ) | |||||||||
Increase | 56,235 | $ | 864,007 | 75 | $ | 1,132 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Corporate Bond Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 277,124 | $ | 2,887,701 | 43,727 | $ | 435,388 | ||||||||||
Reinvestment of distributions | 3,767 | 39,161 | 2,035 | 20,286 | ||||||||||||
Shares reacquired | (155,801 | ) | (1,586,634 | ) | (10,166 | ) | (102,147 | ) | ||||||||
Increase | 125,090 | $ | 1,340,228 | 35,596 | $ | 353,527 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 38,465 | $ | 406,664 | 59,311 | $ | 586,150 | ||||||||||
Reinvestment of distributions | 1,602 | 16,544 | 1,008 | 10,077 | ||||||||||||
Shares reacquired | (24,973 | ) | (254,382 | ) | (9,609 | ) | (95,172 | ) | ||||||||
Increase | 15,094 | $ | 168,826 | 50,710 | $ | 501,055 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 392,172 | $ | 4,081,283 | 101,519 | $ | 985,202 | ||||||||||
Reinvestment of distributions | 10,735 | 111,561 | 9,100 | 90,635 | ||||||||||||
Shares reacquired | (302,788 | ) | (3,196,227 | ) | (1,712 | ) | (16,642 | ) | ||||||||
Increase | 100,119 | $ | 996,617 | 108,907 | $ | 1,059,195 | ||||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 2,633 | 26,701 | 6,825 | 67,533 | ||||||||||||
Increase | 2,633 | $ | 26,701 | 6,825 | $ | 67,533 |
533
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Corporate Bond Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,256 | $ | 13,119 | 1,024 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 519 | 5,351 | 658 | 6,512 | ||||||||||||
Shares reacquired | (6,025 | ) | (61,392 | ) | (414 | ) | (4,089 | ) | ||||||||
Increase (decrease) | (4,250 | ) | $ | (42,922 | ) | 1,268 | $ | 12,423 | ||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 36 | $ | 361 | 94 | $ | 932 | ||||||||||
Increase | 36 | $ | 361 | 94 | $ | 932 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 164 | $ | 1,693 | 162 | $ | 1,613 | ||||||||||
Reinvestment of distributions | 116 | 1,197 | 186 | 1,837 | ||||||||||||
Shares reacquired | (143 | ) | (1,475 | ) | (92 | ) | (913 | ) | ||||||||
Increase | 137 | $ | 1,415 | 256 | $ | 2,537 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 39 | 406 | 105 | 1,032 | ||||||||||||
Increase | 39 | $ | 406 | 105 | $ | 1,032 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 44 | 438 | 111 | 1,105 | ||||||||||||
Increase | 44 | $ | 438 | 111 | $ | 1,105 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,434 | $ | 25,457 | – | $ | – | ||||||||||
Reinvestment of distributions | 2,700 | 27,389 | 6,824 | 67,533 | ||||||||||||
Shares reacquired | (8 | ) | (84 | ) | – | – | ||||||||||
Increase | 5,126 | $ | 52,762 | 6,824 | $ | 67,533 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Floating Rate Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 53,831,205 | $ | 452,762,182 | 71,093,915 | $ | 628,734,776 | ||||||||||
Converted from Class C* | 22,537,440 | 179,070,970 | 11,955,245 | 104,944,846 | ||||||||||||
Reinvestment of distributions | 9,901,261 | 80,121,236 | 16,185,471 | 143,121,758 | ||||||||||||
Shares reacquired | (149,805,123 | ) | (1,214,623,631 | ) | (224,591,289 | ) | $ | (1,985,829,941 | ) | |||||||
Decrease | (63,535,217 | ) | $ | (502,669,243 | ) | (125,356,658 | ) | $ | (1,109,028,561 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 8,867,958 | $ | 75,105,350 | 17,637,541 | $ | 156,181,318 | ||||||||||
Reinvestment of distributions | 3,650,995 | 29,534,503 | 6,618,067 | 58,569,035 | ||||||||||||
Shares reacquired | (45,374,513 | ) | (365,881,174 | ) | (63,033,257 | ) | (557,631,435 | ) | ||||||||
Converted to Class A* | (22,511,427 | ) | (179,070,970 | ) | (11,944,589 | ) | (104,944,846 | ) | ||||||||
Decrease | (55,366,987 | ) | $ | (440,312,291 | ) | (50,722,238 | ) | $ | (447,825,928 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 166,926,226 | $ | 1,396,671,053 | 220,685,099 | $ | 1,950,134,984 | ||||||||||
Reinvestment of distributions | 12,916,068 | 104,660,547 | 24,368,961 | 215,248,628 | ||||||||||||
Shares reacquired | (366,557,368 | ) | (2,953,733,180 | ) | (536,393,659 | ) | (4,737,043,160 | ) | ||||||||
Decrease | (186,715,074 | ) | $ | (1,452,401,580 | ) | (291,339,599 | ) | $ | (2,571,659,548 | ) |
534
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Floating Rate Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class F3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,871,886 | $ | 56,249,498 | 5,147,282 | $ | 45,605,095 | ||||||||||
Reinvestment of distributions | 690,599 | 5,601,185 | 1,279,349 | 11,328,106 | ||||||||||||
Shares reacquired | (13,297,322 | ) | (108,344,898 | ) | (20,509,702 | ) | (181,802,864 | ) | ||||||||
Decrease | (5,734,837 | ) | $ | (46,494,215 | ) | (14,083,071 | ) | $ | (124,869,663 | ) | ||||||
Class I Shares | ||||||||||||||||
Shares sold | 85,714,702 | $ | 723,541,451 | 77,807,348 | $ | 688,236,564 | ||||||||||
Reinvestment of distributions | 6,039,384 | 49,012,324 | 10,313,401 | 91,241,569 | ||||||||||||
Shares reacquired | (156,323,718 | ) | (1,234,486,155 | ) | (193,724,649 | ) | (1,712,915,920 | ) | ||||||||
Decrease | (64,569,632 | ) | $ | (461,932,380 | ) | (105,603,900 | ) | $ | (933,437,787 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 31,492 | $ | 264,429 | 52,713 | $ | 468,047 | ||||||||||
Reinvestment of distributions | 6,591 | 53,288 | 9,330 | 82,601 | ||||||||||||
Shares reacquired | (81,318 | ) | (667,277 | ) | (69,582 | ) | (617,389 | ) | ||||||||
Decrease | (43,235 | ) | $ | (349,560 | ) | (7,539 | ) | $ | (66,741 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 925,706 | $ | 7,569,960 | 1,630,508 | $ | 14,434,509 | ||||||||||
Reinvestment of distributions | 248,085 | 2,003,318 | 320,478 | 2,834,383 | ||||||||||||
Shares reacquired | (1,934,924 | ) | (15,597,118 | ) | (1,794,076 | ) | (15,883,215 | ) | ||||||||
Increase (decrease) | (761,133 | ) | $ | (6,023,840 | ) | 156,910 | $ | 1,385,677 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 151,743 | $ | 1,270,633 | 257,763 | $ | 2,277,377 | ||||||||||
Reinvestment of distributions | 16,796 | 136,247 | 67,265 | 595,143 | ||||||||||||
Shares reacquired | (408,195 | ) | (3,264,735 | ) | (2,149,385 | ) | (19,112,739 | ) | ||||||||
Decrease | (239,656 | ) | $ | (1,857,855 | ) | (1,824,357 | ) | $ | (16,240,219 | ) | ||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 762,766 | $ | 6,459,182 | 496,801 | $ | 4,385,344 | ||||||||||
Reinvestment of distributions | 42,919 | 343,260 | 104,370 | 922,160 | ||||||||||||
Shares reacquired | (955,644 | ) | (7,477,955 | ) | (4,780,827 | ) | (42,624,321 | ) | ||||||||
Decrease | (149,959 | ) | $ | (675,513 | ) | (4,179,656 | ) | $ | (37,316,817 | ) | ||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 5,938,862 | $ | 49,656,121 | 9,035,899 | $ | 80,203,349 | ||||||||||
Reinvestment of distributions | 711,490 | 5,731,955 | 599,501 | 5,303,055 | ||||||||||||
Shares reacquired | (4,066,341 | ) | (32,569,798 | ) | (4,130,056 | ) | (36,388,398 | ) | ||||||||
Increase | 2,584,011 | $ | 22,818,278 | 5,505,344 | $ | 49,118,006 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
High Yield Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 62,049,030 | $ | 429,250,059 | 62,967,746 | $ | 460,592,829 | ||||||||||
Converted from Class C* | 6,470,599 | 45,018,334 | 2,360,581 | 17,382,737 | ||||||||||||
Reinvestment of distributions | 7,733,237 | 53,823,441 | 8,226,264 | 60,178,641 | ||||||||||||
Shares reacquired | (86,298,639 | ) | (594,557,897 | ) | (66,293,981 | ) | (482,818,916 | ) | ||||||||
Increase (decrease) | (10,045,773 | ) | $ | (66,466,063 | ) | 7,260,610 | $ | 55,335,291 |
535
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
High Yield Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,947,239 | $ | 47,589,029 | 9,398,541 | $ | 68,423,732 | ||||||||||
Reinvestment of distributions | 2,101,155 | 14,501,832 | 2,499,350 | 18,170,022 | ||||||||||||
Shares reacquired | (14,394,667 | ) | (98,474,437 | ) | (16,062,382 | ) | (116,098,476 | ) | ||||||||
Converted to Class A* | (6,500,390 | ) | (45,018,334 | ) | (2,373,302 | ) | (17,382,737 | ) | ||||||||
Decrease | (11,846,663 | ) | $ | (81,401,910 | ) | (6,537,793 | ) | $ | (46,887,459 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 174,926,941 | $ | 1,178,345,632 | 124,070,817 | $ | 905,994,686 | ||||||||||
Reinvestment of distributions | 15,302,700 | 106,192,473 | 15,249,592 | 111,372,088 | ||||||||||||
Shares reacquired | (194,022,847 | ) | (1,334,548,452 | ) | (140,648,843 | ) | (1,022,390,271 | ) | ||||||||
Decrease | (3,793,206 | ) | $ | (50,010,347 | ) | (1,328,434 | ) | $ | (5,023,497 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 220,124,645 | $ | 1,438,379,222 | 17,459,626 | $ | 128,641,229 | ||||||||||
Reinvestment of distributions | 10,245,541 | 71,758,712 | 4,230,341 | 31,093,261 | ||||||||||||
Shares reacquired | (34,989,634 | ) | (243,036,010 | ) | (17,552,708 | ) | (128,530,990 | ) | ||||||||
Increase | 195,380,552 | $ | 1,267,101,924 | 4,137,259 | $ | 31,203,500 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 157,436,477 | $ | 1,084,994,455 | 114,039,964 | $ | 831,618,319 | ||||||||||
Reinvestment of distributions | 10,770,107 | 75,364,640 | 10,835,125 | 79,552,754 | ||||||||||||
Shares reacquired | (158,897,614 | ) | (1,108,508,456 | ) | (104,703,296 | ) | (764,465,569 | ) | ||||||||
Increase | 9,308,970 | $ | 51,850,639 | 20,171,793 | $ | 146,705,504 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 2,285 | $ | 17,112 | 1,605 | $ | 11,843 | ||||||||||
Reinvestment of distributions | 411 | 2,878 | 894 | 6,531 | ||||||||||||
Shares reacquired | (2,192 | ) | (15,016 | ) | (41,771 | ) | (306,054 | ) | ||||||||
Increase (decrease) | 504 | $ | 4,974 | (39,272 | ) | $ | (287,680 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 358,789 | $ | 2,534,757 | 437,718 | $ | 3,208,812 | ||||||||||
Reinvestment of distributions | 55,034 | 383,282 | 64,843 | 476,871 | ||||||||||||
Shares reacquired | (1,028,810 | ) | (7,203,411 | ) | (994,679 | ) | (7,297,686 | ) | ||||||||
Decrease | (614,987 | ) | $ | (4,285,372 | ) | (492,118 | ) | $ | (3,612,003 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 4,311,006 | $ | 30,022,516 | 3,650,463 | $ | 26,810,076 | ||||||||||
Reinvestment of distributions | 829,252 | 5,789,251 | 816,778 | 6,007,177 | ||||||||||||
Shares reacquired | (5,372,182 | ) | (37,154,910 | ) | (3,620,326 | ) | (26,470,612 | ) | ||||||||
Increase (decrease) | (231,924 | ) | $ | (1,343,143 | ) | 846,915 | $ | 6,346,641 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 8,174,919 | $ | 56,282,195 | 6,913,063 | $ | 50,443,910 | ||||||||||
Reinvestment of distributions | 684,442 | 4,748,489 | 593,104 | 4,338,246 | ||||||||||||
Shares reacquired | (8,217,195 | ) | (57,188,882 | ) | (5,515,523 | ) | (40,246,420 | ) | ||||||||
Increase | 642,166 | $ | 3,841,802 | 1,990,644 | $ | 14,535,736 |
536
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
High Yield Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,928,944 | $ | 46,782,369 | 8,495,542 | $ | 62,241,741 | ||||||||||
Reinvestment of distributions | 2,078,497 | 14,509,468 | 2,137,981 | 15,702,566 | ||||||||||||
Shares reacquired | (13,208,442 | ) | (92,713,565 | ) | (8,662,088 | ) | (63,269,293 | ) | ||||||||
Increase (decrease) | (4,201,001 | ) | $ | (31,421,728 | ) | 1,971,435 | $ | 14,675,014 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 35,139,885 | $ | 243,503,854 | 38,794,072 | $ | 283,997,186 | ||||||||||
Reinvestment of distributions | 4,531,498 | 31,621,748 | 4,147,997 | 30,515,262 | ||||||||||||
Shares reacquired | (35,825,195 | ) | (253,644,167 | ) | (22,106,060 | ) | (162,995,507 | ) | ||||||||
Increase | 3,846,188 | $ | 21,481,435 | 20,836,009 | $ | 151,516,941 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Income Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 94,665,949 | $ | 274,630,661 | 98,023,982 | $ | 277,028,827 | ||||||||||
Converted from Class C* | 17,404,978 | 51,097,060 | 5,894,004 | 16,817,727 | ||||||||||||
Reinvestment of distributions | 12,784,373 | 36,873,308 | 11,755,404 | 33,207,931 | ||||||||||||
Shares reacquired | (79,232,188 | ) | (225,683,327 | ) | (65,246,316 | ) | (182,553,594 | ) | ||||||||
Increase | 45,623,112 | $ | 136,917,702 | 50,427,074 | $ | 144,500,891 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 9,692,001 | $ | 28,135,423 | 10,183,437 | $ | 28,882,144 | ||||||||||
Reinvestment of distributions | 1,377,497 | 3,978,104 | 1,786,404 | 5,063,548 | ||||||||||||
Shares reacquired | (13,569,091 | ) | (38,740,295 | ) | (12,652,754 | ) | (35,610,624 | ) | ||||||||
Converted to Class A* | (17,298,443 | ) | (51,097,060 | ) | (5,870,433 | ) | (16,817,727 | ) | ||||||||
Decrease | (19,798,036 | ) | $ | (57,723,828 | ) | (6,553,346 | ) | $ | (18,482,659 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 104,873,324 | $ | 300,332,169 | 99,037,414 | $ | 279,145,118 | ||||||||||
Reinvestment of distributions | 6,239,824 | 17,981,009 | 6,216,656 | 17,587,072 | ||||||||||||
Shares reacquired | (125,024,088 | ) | (357,555,687 | ) | (64,117,105 | ) | (179,142,612 | ) | ||||||||
Increase (decrease) | (13,910,940 | ) | $ | (39,242,509 | ) | 41,136,965 | $ | 117,589,578 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 83,849,617 | $ | 243,023,663 | 83,016,918 | $ | 234,739,423 | ||||||||||
Reinvestment of distributions | 8,698,355 | 25,086,698 | 7,106,128 | 20,098,014 | ||||||||||||
Shares reacquired | (54,268,142 | ) | (154,189,022 | ) | (35,632,274 | ) | (99,681,863 | ) | ||||||||
Increase | 38,279,830 | $ | 113,921,339 | 54,490,772 | $ | 155,155,574 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 28,201,911 | $ | 81,560,116 | 25,564,565 | $ | 71,973,720 | ||||||||||
Reinvestment of distributions | 1,974,151 | 5,686,608 | 2,306,089 | 6,514,106 | ||||||||||||
Shares reacquired | (41,854,035 | ) | (117,243,499 | ) | (26,318,084 | ) | (73,003,040 | ) | ||||||||
Increase (decrease) | (11,677,973 | ) | $ | (29,996,775 | ) | 1,552,570 | $ | 5,484,786 |
537
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Income Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 515,209 | $ | 1,512,832 | 224,930 | $ | 635,745 | ||||||||||
Reinvestment of distributions | 16,159 | 46,734 | 11,732 | 33,390 | ||||||||||||
Shares reacquired | (399,415 | ) | (1,164,039 | ) | (415,961 | ) | (1,174,558 | ) | ||||||||
Increase (decrease) | 131,953 | $ | 395,527 | (179,299 | ) | $ | (505,423 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,917,042 | $ | 11,291,709 | 4,264,569 | $ | 12,123,816 | ||||||||||
Reinvestment of distributions | 621,746 | 1,797,240 | 677,775 | 1,918,352 | ||||||||||||
Shares reacquired | (5,923,830 | ) | (16,878,142 | ) | (4,597,785 | ) | (12,940,045 | ) | ||||||||
Increase (decrease) | (1,385,042 | ) | $ | (3,789,193 | ) | 344,559 | $ | 1,102,123 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 1,378,203 | $ | 3,996,869 | 2,476,705 | $ | 7,009,434 | ||||||||||
Reinvestment of distributions | 42,255 | 121,694 | 37,763 | 106,855 | ||||||||||||
Shares reacquired | (1,535,123 | ) | (4,424,900 | ) | (1,345,240 | ) | (3,821,868 | ) | ||||||||
Increase (decrease) | (114,665 | ) | $ | (306,337 | ) | 1,169,228 | $ | 3,294,421 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,090,790 | $ | 3,153,798 | 975,132 | $ | 2,719,140 | ||||||||||
Reinvestment of distributions | 24,336 | 70,078 | 14,984 | 42,580 | ||||||||||||
Shares reacquired | (1,038,776 | ) | (2,920,424 | ) | (403,960 | ) | (1,113,327 | ) | ||||||||
Increase | 76,350 | $ | 303,452 | 586,156 | $ | 1,648,393 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 9,171,658 | $ | 26,565,880 | 8,891,812 | $ | 24,979,044 | ||||||||||
Reinvestment of distributions | 375,892 | 1,083,213 | 336,871 | 951,486 | ||||||||||||
Shares reacquired | (8,886,672 | ) | (25,406,211 | ) | (3,981,375 | ) | (11,148,444 | ) | ||||||||
Increase | 660,878 | $ | 2,242,882 | 5,247,308 | $ | 14,782,086 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Inflation Focused Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,228,292 | $ | 24,006,488 | 2,374,818 | $ | 27,086,004 | ||||||||||
Converted from Class C* | 491,415 | 5,326,517 | 222,503 | 2,514,965 | ||||||||||||
Reinvestment of distributions | 288,878 | 3,128,420 | 423,946 | 4,828,843 | ||||||||||||
Shares reacquired | (4,831,005 | ) | (51,794,060 | ) | (8,069,830 | ) | (92,078,651 | ) | ||||||||
Decrease | (1,822,420 | ) | $ | (19,332,635 | ) | (5,048,563 | ) | $ | (57,648,839 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 380,822 | $ | 4,120,498 | 404,877 | $ | 4,627,281 | ||||||||||
Reinvestment of distributions | 52,379 | 566,345 | 96,652 | 1,102,430 | ||||||||||||
Shares reacquired | (929,430 | ) | (9,995,212 | ) | (2,004,018 | ) | (22,860,512 | ) | ||||||||
Converted to Class A* | (490,888 | ) | (5,326,517 | ) | (222,285 | ) | (2,514,965 | ) | ||||||||
Decrease | (987,117 | ) | $ | (10,634,886 | ) | (1,724,774 | ) | $ | (19,645,766 | ) |
538
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Inflation Focused Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class F Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 11,254,145 | $ | 123,470,413 | 11,512,226 | $ | 131,430,383 | ||||||||||
Reinvestment of distributions | 497,392 | 5,395,961 | 893,105 | 10,183,481 | ||||||||||||
Shares reacquired | (20,635,565 | ) | (217,457,111 | ) | (29,312,958 | ) | (334,869,648 | ) | ||||||||
Decrease | (8,884,028 | ) | $ | (88,590,737 | ) | (16,907,627 | ) | $ | (193,255,784 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 224,394 | $ | 2,470,489 | 204,770 | $ | 2,333,326 | ||||||||||
Reinvestment of distributions | 31,700 | 343,124 | 67,809 | 772,375 | ||||||||||||
Shares reacquired | (445,942 | ) | (4,760,598 | ) | (1,280,643 | ) | (14,546,978 | ) | ||||||||
Decrease | (189,848 | ) | $ | (1,946,985 | ) | (1,008,064 | ) | $ | (11,441,277 | ) | ||||||
Class I Shares | ||||||||||||||||
Shares sold | 10,756,754 | $ | 118,435,989 | 20,320,768 | $ | 231,581,765 | ||||||||||
Reinvestment of distributions | 1,521,500 | 16,454,079 | 2,092,467 | 23,811,670 | ||||||||||||
Shares reacquired | (40,212,471 | ) | (434,303,762 | ) | (23,466,872 | ) | (267,050,389 | ) | ||||||||
Decrease | (27,934,217 | ) | $ | (299,413,694 | ) | (1,053,637 | ) | $ | (11,656,954 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 17,751 | $ | 194,417 | 1,832 | $ | 20,918 | ||||||||||
Reinvestment of distributions | 77 | 848 | 37 | 428 | ||||||||||||
Shares reacquired | (7,702 | ) | (85,672 | ) | (14,712 | ) | (168,025 | ) | ||||||||
Increase (decrease) | 10,126 | $ | 109,593 | (12,843 | ) | $ | (146,679 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 12,733 | $ | 128,636 | 2,231 | $ | 25,498 | ||||||||||
Reinvestment of distributions | 560 | 6,078 | 327 | 3,717 | ||||||||||||
Shares reacquired | (2,676 | ) | (29,554 | ) | (2,883 | ) | (32,958 | ) | ||||||||
Increase (decrease) | 10,617 | $ | 105,160 | (325 | ) | $ | (3,743 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 67,463 | $ | 724,428 | 153,145 | $ | 1,745,572 | ||||||||||
Reinvestment of distributions | 2,688 | 29,084 | 2,121 | 24,085 | ||||||||||||
Shares reacquired | (202,234 | ) | (2,241,111 | ) | (46,267 | ) | (526,892 | ) | ||||||||
Increase (decrease) | (132,083 | ) | $ | (1,487,599 | ) | 108,999 | $ | 1,242,765 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 10,530 | $ | 112,984 | 19,257 | $ | 219,006 | ||||||||||
Reinvestment of distributions | 518 | 5,573 | 658 | 7,474 | ||||||||||||
Shares reacquired | (25,852 | ) | (272,479 | ) | (2,580 | ) | (29,553 | ) | ||||||||
Increase (decrease) | (14,804 | ) | $ | (153,922 | ) | 17,335 | $ | 196,927 | ||||||||
Class R6 Shares | �� | |||||||||||||||
Shares sold | 880,650 | $ | 9,423,214 | 1,616,264 | $ | 18,485,328 | ||||||||||
Reinvestment of distributions | 103,221 | 1,109,251 | 168,576 | 1,922,953 | ||||||||||||
Shares reacquired | (2,832,353 | ) | (30,979,215 | ) | (3,374,373 | ) | (38,615,732 | ) | ||||||||
Decrease | (1,848,482 | ) | $ | (20,446,750 | ) | (1,589,533 | ) | $ | (18,207,451 | ) |
539
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Short Duration Core Bond Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,278,172 | $ | 41,638,608 | 719,341 | $ | 7,069,433 | ||||||||||
Converted from Class C* | 14,889 | 146,807 | – | – | ||||||||||||
Reinvestment of distributions | 40,453 | 397,362 | 17,613 | 173,725 | ||||||||||||
Shares reacquired | (1,908,246 | ) | (18,691,277 | ) | (320,487 | ) | (3,161,215 | ) | ||||||||
Increase | 2,425,268 | $ | 23,491,500 | 416,467 | $ | 4,081,943 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 307,268 | $ | 3,017,646 | 228,459 | $ | 2,239,353 | ||||||||||
Reinvestment of distributions | 4,731 | 46,425 | 4,234 | 41,722 | ||||||||||||
Shares reacquired | (85,254 | ) | (832,058 | ) | (117,731 | ) | (1,157,059 | ) | ||||||||
Converted to Class A* | (14,890 | ) | (146,807 | ) | – | – | ||||||||||
Increase | 211,855 | $ | 2,085,206 | 114,962 | $ | 1,124,016 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 12,153,051 | $ | 119,720,849 | 2,749,602 | $ | 27,208,019 | ||||||||||
Reinvestment of distributions | 118,766 | 1,166,295 | 33,645 | 332,116 | ||||||||||||
Shares reacquired | (6,815,936 | ) | (66,583,974 | ) | (282,982 | ) | (2,792,510 | ) | ||||||||
Increase | 5,455,881 | $ | 54,303,170 | 2,500,265 | $ | 24,747,625 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | – | $ | – | – | $ | – | ||||||||||
Reinvestment of distributions | 469 | 4,634 | 5,238 | 51,583 | ||||||||||||
Shares reacquired | (162,248 | ) | (1,602,664 | ) | – | – | ||||||||||
Increase (decrease) | (161,779 | ) | $ | (1,598,030 | ) | 5,238 | $ | 51,583 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 563,251 | $ | 5,526,071 | 183,146 | $ | 1,813,583 | ||||||||||
Reinvestment of distributions | 3,521 | 34,741 | 446 | 4,397 | ||||||||||||
Shares reacquired | (305,748 | ) | (2,949,394 | ) | (12,626 | ) | (125,000 | ) | ||||||||
Increase | 261,024 | $ | 2,611,418 | 170,966 | $ | 1,692,980 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 28 | $ | 272 | 69 | $ | 682 | ||||||||||
Shares reacquired | (2,698 | ) | (26,115 | ) | – | – | ||||||||||
Increase (decrease) | (2,670 | ) | $ | (25,843 | ) | 69 | $ | 682 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 5,997 | $ | 58,323 | 2,414 | $ | 23,692 | ||||||||||
Reinvestment of distributions | 165 | 1,615 | 180 | 1,776 | ||||||||||||
Shares reacquired | (3,891 | ) | (38,421 | ) | (23 | ) | (231 | ) | ||||||||
Increase | 2,271 | $ | 21,517 | 2,571 | $ | 25,237 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 32 | 314 | 79 | 778 | ||||||||||||
Shares reacquired | (1,486 | ) | (14,395 | ) | – | – | ||||||||||
Increase (decrease) | (1,454 | ) | $ | (14,081 | ) | 79 | $ | 778 |
540
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Short Duration Core Bond Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Reinvestment of distributions | 35 | $ | 343 | 86 | $ | 847 | ||||||||||
Shares reacquired | (1,507 | ) | (14,593 | ) | – | – | ||||||||||
Increase (decrease) | (1,472 | ) | $ | (14,250 | ) | 86 | $ | 847 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 68,192 | $ | 668,359 | 33,693 | $ | 331,014 | ||||||||||
Reinvestment of distributions | 1,912 | 18,766 | 6,195 | 61,015 | ||||||||||||
Shares reacquired | (176,244 | ) | (1,738,928 | ) | (11,732 | ) | (116,218 | ) | ||||||||
Increase (decrease) | (106,140 | ) | $ | (1,051,803 | ) | 28,156 | $ | 275,811 | ||||||||
Year Ended | Year Ended | |||||||||||||||
Short Duration Income Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,158,120,409 | $ | 4,821,271,180 | 1,290,639,337 | $ | 5,414,214,410 | ||||||||||
Converted from Class C* | 253,662,372 | 1,053,164,491 | 81,508,762 | 342,852,795 | ||||||||||||
Reinvestment of distributions | 74,377,463 | 308,555,392 | 74,296,427 | 311,726,579 | ||||||||||||
Shares reacquired | (1,230,098,845 | ) | (5,070,939,033 | ) | (778,427,132 | ) | (3,258,328,098 | ) | ||||||||
Increase | 256,061,399 | $ | 1,112,052,030 | 668,017,394 | $ | 2,810,465,686 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 278,296,629 | $ | 1,167,949,796 | 301,265,976 | $ | 1,272,523,044 | ||||||||||
Reinvestment of distributions | 22,484,326 | 93,778,077 | 30,370,862 | 128,183,273 | ||||||||||||
Shares reacquired | (282,425,885 | ) | (1,173,740,029 | ) | (269,443,339 | ) | (1,134,903,163 | ) | ||||||||
Converted to Class A* | (251,881,670 | ) | (1,053,164,491 | ) | (80,935,552 | ) | (342,852,795 | ) | ||||||||
Decrease | (233,526,600 | ) | $ | (965,176,647 | ) | (18,742,053 | ) | $ | (77,049,641 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 3,035,552,766 | $ | 12,596,108,550 | 3,310,108,194 | $ | 13,859,257,167 | ||||||||||
Reinvestment of distributions | 136,436,045 | 565,509,706 | 141,667,839 | 594,302,066 | ||||||||||||
Shares reacquired | (3,056,339,418 | ) | (12,567,323,766 | ) | (1,780,569,570 | ) | (7,451,778,582 | ) | ||||||||
Increase | 115,649,393 | $ | 594,294,490 | 1,671,206,463 | $ | 7,001,780,651 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 518,450,718 | $ | 2,153,489,850 | 427,458,779 | $ | 1,792,397,913 | ||||||||||
Reinvestment of distributions | 30,927,038 | 128,407,325 | 34,771,018 | 146,079,050 | ||||||||||||
Shares reacquired | (466,045,093 | ) | (1,930,278,874 | ) | (387,407,057 | ) | (1,624,448,184 | ) | ||||||||
Increase | 83,332,663 | $ | 351,618,301 | 74,822,740 | $ | 314,028,779 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,112,781,041 | $ | 4,625,046,258 | 1,381,442,656 | $ | 5,783,103,197 | ||||||||||
Reinvestment of distributions | 66,276,022 | 274,745,146 | 71,452,245 | 299,610,838 | ||||||||||||
Shares reacquired | (1,295,844,473 | ) | (5,305,745,470 | ) | (776,693,161 | ) | (3,249,907,411 | ) | ||||||||
Increase (decrease) | (116,787,410 | ) | $ | (405,954,066 | ) | 676,201,740 | $ | 2,832,806,624 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,787,709 | $ | 7,404,215 | 1,603,053 | $ | 6,716,686 | ||||||||||
Reinvestment of distributions | 54,345 | 225,561 | 67,202 | 282,095 | ||||||||||||
Shares reacquired | (2,811,655 | ) | (11,673,275 | ) | (2,322,152 | ) | (9,738,947 | ) | ||||||||
Decrease | (969,601 | ) | $ | (4,043,499 | ) | (651,897 | ) | $ | (2,740,166 | ) |
541
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Short Duration Income Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 25,726,613 | $ | 107,096,433 | 24,543,057 | $ | 102,947,490 | ||||||||||
Reinvestment of distributions | 2,350,858 | 9,754,764 | 2,735,458 | 11,488,709 | ||||||||||||
Shares reacquired | (23,657,432 | ) | (97,577,432 | ) | (16,950,221 | ) | (71,034,286 | ) | ||||||||
Increase | 4,420,039 | $ | 19,273,765 | 10,328,294 | $ | 43,401,913 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 20,681,949 | $ | 85,934,046 | 20,215,862 | $ | 84,882,640 | ||||||||||
Reinvestment of distributions | 820,825 | 3,409,155 | 815,561 | 3,430,362 | ||||||||||||
Shares reacquired | (16,943,506 | ) | (70,145,375 | ) | (11,412,310 | ) | (47,884,951 | ) | ||||||||
Increase | 4,559,268 | $ | 19,197,826 | 9,619,113 | $ | 40,428,051 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 12,178,982 | $ | 50,679,769 | 9,480,133 | $ | 39,509,006 | ||||||||||
Reinvestment of distributions | 536,223 | 2,217,971 | 543,546 | 2,276,977 | ||||||||||||
Shares reacquired | (12,757,332 | ) | (52,507,315 | ) | (4,250,641 | ) | (17,753,617 | ) | ||||||||
Increase (decrease) | (42,127 | ) | $ | 390,425 | 5,773,038 | $ | 24,032,366 | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 98,338,489 | $ | 408,380,234 | 110,743,219 | $ | 463,882,424 | ||||||||||
Reinvestment of distributions | 6,061,400 | 25,119,018 | 6,259,479 | 26,267,750 | ||||||||||||
Shares reacquired | (94,331,056 | ) | (389,181,294 | ) | (46,480,501 | ) | (194,887,927 | ) | ||||||||
Increase | 10,068,833 | $ | 44,317,958 | 70,522,197 | $ | 295,262,247 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Total Return Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 28,211,327 | $ | 300,688,840 | 28,453,454 | $ | 292,329,750 | ||||||||||
Converted from Class C* | 3,274,694 | 35,373,753 | 906,629 | 9,381,534 | ||||||||||||
Reinvestment of distributions | 2,819,877 | 30,060,626 | 3,087,279 | 31,774,001 | ||||||||||||
Shares reacquired | (26,071,310 | ) | (276,263,441 | ) | (27,428,117 | ) | (280,902,876 | ) | ||||||||
Increase | 8,234,588 | $ | 89,859,778 | 5,019,245 | $ | 52,582,409 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,252,352 | $ | 23,850,525 | 2,236,460 | $ | 22,925,179 | ||||||||||
Reinvestment of distributions | 160,883 | 1,710,386 | 232,205 | 2,383,806 | ||||||||||||
Shares reacquired | (2,624,010 | ) | (27,745,914 | ) | (2,813,638 | ) | (28,700,040 | ) | ||||||||
Converted to Class A* | (3,277,729 | ) | (35,373,753 | ) | (907,506 | ) | (9,381,534 | ) | ||||||||
Decrease | (3,488,504 | ) | $ | (37,558,756 | ) | (1,252,479 | ) | $ | (12,772,589 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 28,696,766 | $ | 305,441,219 | 39,382,395 | $ | 400,736,424 | ||||||||||
Reinvestment of distributions | 2,119,074 | 22,584,710 | 2,443,740 | 25,154,669 | ||||||||||||
Shares reacquired | (29,533,218 | ) | (312,506,883 | ) | (33,605,273 | ) | (343,257,330 | ) | ||||||||
Increase | 1,282,622 | $ | 15,519,046 | 8,220,862 | $ | 82,633,763 |
542
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Total Return Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class F3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 20,120,531 | $ | 214,622,773 | 18,520,199 | $ | 190,631,033 | ||||||||||
Reinvestment of distributions | 1,849,422 | 19,725,545 | 1,956,052 | 20,133,747 | ||||||||||||
Shares reacquired | (14,350,744 | ) | (151,748,323 | ) | (21,174,120 | ) | (214,960,565 | ) | ||||||||
Increase (decrease) | 7,619,209 | $ | 82,599,995 | (697,869 | ) | $ | (4,195,785 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 12,298,971 | $ | 130,473,419 | 16,315,957 | $ | 166,443,829 | ||||||||||
Reinvestment of distributions | 985,523 | 10,523,779 | 1,170,152 | 12,068,583 | ||||||||||||
Shares reacquired | (13,951,056 | ) | (147,609,560 | ) | (17,030,256 | ) | (174,595,448 | ) | ||||||||
Increase (decrease) | (666,562 | ) | $ | (6,612,362 | ) | 455,853 | $ | 3,916,964 | ||||||||
Class P Shares | ||||||||||||||||
Shares sold | 20,212 | $ | 212,341 | 8,040 | $ | 82,306 | ||||||||||
Reinvestment of distributions | 1,258 | 13,484 | 1,585 | 16,377 | ||||||||||||
Shares reacquired | (11,409 | ) | (122,055 | ) | (15,532 | ) | (162,441 | ) | ||||||||
Increase (decrease) | 10,061 | $ | 103,770 | (5,907 | ) | $ | (63,758 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 86,611 | $ | 913,334 | 166,335 | $ | 1,708,675 | ||||||||||
Reinvestment of distributions | 3,626 | 38,620 | 6,516 | 66,836 | ||||||||||||
Shares reacquired | (187,685 | ) | (1,980,901 | ) | (335,774 | ) | (3,465,662 | ) | ||||||||
Decrease | (97,448 | ) | $ | (1,028,947 | ) | (162,923 | ) | $ | (1,690,151 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,441,825 | $ | 36,808,856 | 2,833,235 | $ | 29,121,245 | ||||||||||
Reinvestment of distributions | 184,847 | 1,968,436 | 266,867 | 2,741,351 | ||||||||||||
Shares reacquired | (4,728,184 | ) | (50,222,928 | ) | (5,058,118 | ) | (51,831,876 | ) | ||||||||
Decrease | (1,101,512 | ) | $ | (11,445,636 | ) | (1,958,016 | ) | $ | (19,969,280 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 3,415,933 | $ | 36,251,462 | 2,499,726 | $ | 25,679,417 | ||||||||||
Reinvestment of distributions | 68,472 | 729,102 | 88,314 | 908,673 | ||||||||||||
Shares reacquired | (4,466,657 | ) | (47,272,837 | ) | (2,618,246 | ) | (26,854,254 | ) | ||||||||
Decrease | (982,252 | ) | $ | (10,292,273 | ) | (30,206 | ) | $ | (266,164 | ) | ||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 2,854,410 | $ | 30,264,005 | 6,024,758 | $ | 61,358,520 | ||||||||||
Reinvestment of distributions | 272,420 | 2,902,389 | 336,104 | 3,464,793 | ||||||||||||
Shares reacquired | (5,225,045 | ) | (55,213,141 | ) | (2,862,390 | ) | (29,299,938 | ) | ||||||||
Increase (decrease) | (2,098,215 | ) | $ | (22,046,747 | ) | 3,498,472 | $ | 35,523,375 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 14,406,152 | $ | 152,255,046 | 19,966,360 | $ | 205,141,837 | ||||||||||
Reinvestment of distributions | 859,492 | 9,159,777 | 879,963 | 9,080,101 | ||||||||||||
Shares reacquired | (22,972,530 | ) | (243,653,902 | ) | (8,419,104 | ) | (86,591,459 | ) | ||||||||
Increase (decrease) | (7,706,886 | ) | $ | (82,239,079 | ) | 12,427,219 | $ | 127,630,479 |
543
Notes to Financial Statements (concluded)
Year Ended | Year Ended | |||||||||||||||
Ultra Short Bond Fund | November 30, 2020 | November 30, 2019 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,170,775,799 | $ | 11,728,084,997 | 1,222,953,437 | $ | 12,249,578,533 | ||||||||||
Reinvestment of distributions | 13,857,706 | 138,526,354 | 21,270,615 | 213,080,533 | ||||||||||||
Shares reacquired | (1,149,768,490 | ) | (11,471,918,155 | ) | (722,825,975 | ) | (7,239,365,798 | ) | ||||||||
Increase | 34,865,015 | $ | 394,693,196 | 521,398,077 | $ | 5,223,293,268 | ||||||||||
Class A1 Shares(a) | ||||||||||||||||
Shares sold | 2,357,324 | $ | 23,644,104 | 309,873 | $ | 3,108,026 | ||||||||||
Reinvestment of distributions | 8,115 | 81,206 | 250 | 2,506 | ||||||||||||
Shares reacquired | (718,248 | ) | (7,195,066 | ) | (24,974 | ) | (250,492 | ) | ||||||||
Increase | 1,647,191 | $ | 16,530,244 | 285,149 | $ | 2,860,040 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 803,904,504 | $ | 8,044,780,233 | 854,172,263 | $ | 8,551,937,256 | ||||||||||
Reinvestment of distributions | 7,059,688 | 70,584,503 | 14,244,586 | 142,718,388 | ||||||||||||
Shares reacquired | (754,923,557 | ) | (7,541,778,990 | ) | (676,824,218 | ) | (6,780,019,196 | ) | ||||||||
Increase | 56,040,635 | $ | 573,585,746 | 191,592,631 | $ | 1,914,636,448 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 83,992,528 | $ | 841,881,724 | 22,937,209 | $ | 229,711,010 | ||||||||||
Reinvestment of distributions | 319,051 | 3,190,700 | 698,882 | 7,002,112 | ||||||||||||
Shares reacquired | (32,349,945 | ) | (323,530,736 | ) | (22,639,586 | ) | (226,743,314 | ) | ||||||||
Increase | 51,961,634 | $ | 521,541,688 | 996,505 | $ | 9,969,808 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 114,257,562 | $ | 1,142,913,440 | 185,650,909 | $ | 1,858,623,346 | ||||||||||
Reinvestment of distributions | 1,506,844 | 15,067,553 | 3,181,789 | 31,868,407 | ||||||||||||
Shares reacquired | (170,310,302 | ) | (1,699,293,306 | ) | (138,173,064 | ) | (1,382,801,483 | ) | ||||||||
Increase (decrease) | (54,545,896 | ) | $ | (541,312,313 | ) | 50,659,634 | $ | 507,690,270 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 644,235 | $ | 6,410,557 | 108,474 | $ | 1,086,918 | ||||||||||
Reinvestment of distributions | 2,412 | 24,133 | 4,789 | 47,991 | ||||||||||||
Shares reacquired | (705,042 | ) | (7,065,566 | ) | (148,401 | ) | (1,488,208 | ) | ||||||||
Decrease | (58,395 | ) | $ | (630,876 | ) | (35,138 | ) | $ | (353,299 | ) | ||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 8,420,502 | $ | 84,461,803 | 2,073,695 | $ | 20,777,624 | ||||||||||
Reinvestment of distributions | 57,022 | 570,092 | 21,924 | 219,714 | ||||||||||||
Shares reacquired | (3,157,554 | ) | (31,624,229 | ) | (1,649,720 | ) | (16,523,800 | ) | ||||||||
Increase | 5,319,970 | $ | 53,407,666 | 445,899 | $ | 4,473,538 |
* | Effective June 30, 2020, 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 eighth anniversary of the day on which the purchase order was accepted. Prior to June 30, 2020, conversion occurred following the tenth anniversary of the day on which the purchase was accepted. |
(a) | Commenced on July 31, 2019. |
544
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, 2020, 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 the Funds listed in the table below; the related statements of operations, changes in net assets, and the financial highlights for the periods indicated in the table below; 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 funds listed above of the Trust as of November 30, 2020, and the results of their operations for the year then ended (or for the period listed in the table below), the changes in their net assets for each of the two years in the period then ended (or for the period listed in the table below), and the financial highlights for each of the five years in the period then ended (or for the period listed in the table below), in conformity with accounting principles generally accepted in the United States of America.
Individual Funds constituting Lord Abbett Investment Trust | Statement of Operations | Statement of Changes in Net Assets | Financial Highlights |
Lord Abbett Core Plus Bond Fund | For the year ended November 30, 2020 | For each of the two years in the period then ended | For the years ended November 30, 2020, 2019, 2018 and 2017 and for the period from December 2, 2015 (commencement of operations) through November 30, 2016 |
Lord Abbett Corporate Bond Fund | For the year ended November 30, 2020 | For each of the two years in the period then ended | For the years ended November 30, 2020, 2019 and 2018 and for the period from April 19, 2017 (commencement of operations) through November 30, 2017 |
Lord Abbett Short Duration Core Bond Fund | For the year ended November 30, 2020 | For each of the two years in the period then ended | For the years ended November 30, 2020, 2019 and 2018 and for the period from April 19, 2017 (commencement of operations) through November 30, 2017 |
545
Report of Independent Registered Public Accounting Firm (continued)
Individual Funds constituting Lord Abbett Investment Trust | Statement of Operations | Statement of Changes in Net Assets | Financial Highlights |
Lord Abbett Ultra Short Bond Fund | For the year ended November 30, 2020 | For each of the two years in the period then ended | For the years ended November 30, 2020, 2019, 2018 and 2017 and for the period from October 12, 2016 (commencement of operations) through November 30, 2016 |
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, 2020, 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, 2021
We have served as the auditor of one or more Lord Abbett Family of Funds’ investment companies since 1932.
546
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Fund in accordance with the laws of the state of organization. The Board elects officers who are responsible for the day-to-day operations of the Fund and who execute policies authorized by the Board. The Board also approves an investment adviser to the 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 Board member holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Fund’s organizational documents.
Lord, Abbett & Co. LLC (“Lord Abbett”), a Delaware limited liability company, is the Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Fund.
Independent Board Members
The following Independent Board Members also are board members of each of the 13 investment companies in the Lord Abbett Family of Funds, which consist of 60 investment portfolios.
Name, Address and Year of Birth | Current Position and Length of Service with the Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Evelyn E. Guernsey Lord, Abbett & Co. LLC | Board member since 2011 | Principal Occupation: None.
Other Directorships: None. | ||
Julie A. Hill Lord, Abbett & Co. LLC | Board member 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 | Board member 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 | Board member 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 | Board member since 2019 | Principal Occupation: None. Formerly Chairman and Chief Executive Officer, Citigroup, Inc. (Retired 2007).
Other Directorships: Currently serves as director of Johnson & Johnson (2006–Present). Previously served as director of Xerox Corporation (2008-2018). |
547
Basic Information About Management (continued)
Name, Address and Year of Birth | Current Position and Length of Service with the Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Karla M. Rabusch Lord, Abbett & Co. LLC | Board member 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 | Board member 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 | Board member 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 (since 2018), electroCore, Inc. (since 2018), and Exagen Inc. (since 2019). |
Interested Board Members
Mr. Sieg is affiliated with Lord Abbett and is an “interested person” of the Fund as defined in the Act. Mr. Sieg is a board member of each of the 13 investment companies in the Lord Abbett Family of Funds, which consist of 60 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 Fund | Principal Occupation and Other Directorships During the Past Five Years | ||
Douglas B. Sieg Lord, Abbett & Co. LLC | Board member 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. |
Officers
None of the officers listed below have received compensation from the Fund. All of the officers of the Fund 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).
548
Basic Information About Management (concluded)
Name and Year of Birth | Current Position with the Fund | 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) | Chief Financial Officer and Treasurer | Elected as Chief Financial Officer in 2020 and Treasurer in 2018 | Partner and Director of U.S. Fund Treasury & Global Taxation, joined Lord Abbett in 2003. | |||
Linda Y. Kim (1980) | Vice President and Assistant Secretary | Elected in 2016 | Counsel, joined Lord Abbett in 2015. | |||
Joseph M. McGill (1962) | Chief Compliance Officer | Elected in 2014 | Partner and Chief Compliance Officer, joined Lord Abbett in 2014. | |||
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 Fund’s Board members. It is available free upon request.
549
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, each Fund has adopted a Liquidity Risk Management Program and Policy (“Program”). The Program is designed to assess, manage and periodically review each Fund’s liquidity risk. Liquidity risk is defined under Rule 22e-4 as the risk that each Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. The Board has appointed Lord Abbett as the administrator for each Fund’s Program. At the May 28-29, 2020 meeting, Lord Abbett provided the Board with a report addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the period December 1, 2018 through February 28, 2020. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: each Fund did not breach its 15% limit on illiquid investments at any point during the period and all regulatory reporting related to Rule 22e-4 was completed on time and without issue during the period. There can be no assurance that the Program will achieve its objectives in the future. Please refer to each Fund’s prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in each Fund may be subject.
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 (or related notice of internet availability of 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.
550
Tax Information
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 | ||
Convertible Fund | 10% | 10% | ||
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 | 74% | |||
Core Fixed Income Fund | 100% | |||
Core Plus Bond Fund | 100% | |||
Corporate Bond Fund | 100% | |||
Floating Rate Fund | 100% | |||
High Yield Fund | 97% | |||
Income Fund | 99% | |||
Inflation Focused Fund | 100% | |||
Short Duration Core Bond Fund | 100% | |||
Short Duration Income Fund | 100% | |||
Total Return Fund | 100% | |||
Ultra Short Bond Fund | 100% |
Additionally, of the distributions paid to shareholders during the fiscal year ended November 30, 2020, the following amounts represent capital gains:
Fund Name | Short-term Capital Gains | Long-term Capital Gains | ||
Convertible Fund | $20,070,328 | $24,951,538 | ||
Core Plus Bond Fund | $ 978,109 | $ 327,367 |
551
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 (01/21) |
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, 2020 (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, 2020 and 2019 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: | ||||
2020 | 2019 | |||
Audit Fees {a} | $802,900 | $847,400 | ||
Audit-Related Fees | - 0 - | - 0 - | ||
Total audit and audit-related fees | 802,900 | 847,400 | ||
Tax Fees {b} | 97,390 | 101,546 | ||
All Other Fees | - 0 - | - 0 - | ||
Total Fees | $900,290 | $948,946 |
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended November 30, 2020 and 2019 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, 2020 and 2019 were:
Fiscal year ended: | ||||
2020 | 2019 | |||
All Other Fees {a} | $214,142 | $215,383 |
{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, 2020 and 2019 were:
Fiscal year ended: | ||||
2020 | 2019 | |||
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) | The principal executive officer and principal financial & accounting officer have concluded as of a date within 90 days of the filing date of this report, 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), that the design of such procedures is effective to provide reasonable assurance that material information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(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: | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not Applicable. |
Item 13: | 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. |
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, 2021
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, 2021
By: | /s/Vito A. Fronda | |
Vito A. Fronda | ||
Chief Financial Officer and Treasurer |
Date: January 28, 2021