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, New Jersey 07302-3973
(Address of principal executive offices) (Zip code)
Lawrence B. Stoller, Esq.
Vice President, Secretary, and Chief Legal Officer
90 Hudson Street, Jersey City, New Jersey 07302-3973
(Name and address of agent for service)
Registrant’s telephone number, including area code: (888) 522-2388
Date of fiscal year end: 11/30
Date of reporting period: 5/31/2023
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Convertible Fund | Income Fund | |
Core Fixed Income Fund | Inflation Focused Fund | |
Core Plus Bond Fund | Short Duration Core Bond Fund | |
Corporate Bond Fund | Short Duration Income Fund | |
Floating Rate Fund | Total Return Fund | |
High Yield Fund | Ultra Short Bond Fund |
For the six-month period ended May 31, 2023
Table of Contents
Lord Abbett Convertible Fund, Lord Abbett Core Fixed Income Fund, Lord Abbett Core Plus Bond Fund, Lord Abbett Corporate Bond Fund, Lord Abbett Floating Rate Fund, Lord Abbett High Yield Fund, Lord Abbett Income Fund, Lord Abbett Inflation Focused Fund, Lord Abbett Short Duration Core Bond Fund, Lord Abbett Short Duration Income Fund, Lord Abbett Total Return Fund, and Lord Abbett Ultra Short Bond Fund
Semiannual Report
For the six-month period ended May 31, 2023
From left to right: James L.L. Tullis, Independent Chair of the Lord Abbett Funds and Douglas B. Sieg, Trustee, President and Chief Executive Officer of the Lord Abbett Funds. | Dear Shareholders: We are pleased to provide you with this semiannual report for Lord Abbett Investment Trust for the six-month period ended May 31, 2023. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Douglas B. Sieg Trustee, President and Chief Executive Officer |
1
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 through May 31, 2023).
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 titled “Expenses Paid During Period 12/1/22 – 5/31/23” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the applicable table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
Convertible Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 975.60 | $ | 5.47 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.40 | $ | 5.59 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 972.10 | $ | 8.56 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.26 | $ | 8.75 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 976.00 | $ | 4.98 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.90 | $ | 5.09 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 976.20 | $ | 3.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.89 | $ | 4.08 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 976.10 | $ | 4.48 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.39 | $ | 4.58 | ||||||
Class P | ||||||||||||
Actual | $ | 1,000.00 | $ | 973.50 | $ | 6.69 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.15 | $ | 6.84 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 973.50 | $ | 7.43 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.40 | $ | 7.59 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 974.00 | $ | 6.94 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.90 | $ | 7.09 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 975.40 | $ | 5.71 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.15 | $ | 5.84 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 976.10 | $ | 4.48 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.39 | $ | 4.58 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 977.00 | $ | 3.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.89 | $ | 4.08 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.11% for Class A, 1.74% for Class C, 1.01% for Class F, 0.81% for Class F3, 0.91% for Class I, 1.36% for Class P, 1.51% for Class R2, 1.41% for Class R3, 1.16% for Class R4, 0.91% for Class R5 and 0.81% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
3
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Basic Materials | 0.59 | % | ||
Communications | 27.29 | % | ||
Consumer Cyclical | 4.39 | % | ||
Consumer Non-cyclical | 29.32 | % | ||
Energy | 2.85 | % | ||
Financial | 3.53 | % |
Sector* | %** | |||
Industrial | 6.39 | % | ||
Technology | 17.02 | % | ||
Utilities | 5.40 | % | ||
Repurchase Agreements | 3.22 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
4
Core Fixed Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.70 | $ | 2.77 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.19 | $ | 2.77 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.60 | $ | 5.83 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.15 | $ | 5.84 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.20 | $ | 2.27 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.69 | $ | 2.27 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.00 | $ | 1.51 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.44 | $ | 1.51 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.00 | $ | 1.56 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.39 | $ | 1.56 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.70 | $ | 4.78 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.20 | $ | 4.27 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.69 | $ | 4.28 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.50 | $ | 3.02 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.94 | $ | 3.02 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.80 | $ | 1.76 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.19 | $ | 1.77 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.10 | $ | 1.51 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.44 | $ | 1.51 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.55% for Class A, 1.16% for Class C, 0.45% for Class F, 0.30% for Class F3, 0.31% for Class I, 0.95% for Class R2, 0.85% for Class R3, 0.60% for Class R4, 0.35% for Class R5 and 0.30% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
5
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 11.51 | % | ||
Basic Materials | 0.48 | % | ||
Communications | 2.26 | % | ||
Consumer Cyclical | 1.72 | % | ||
Consumer Non-cyclical | 5.85 | % | ||
Energy | 3.32 | % | ||
Financial | 14.46 | % | ||
Foreign Government | 2.96 | % |
Sector* | %** | |||
Industrial | 0.59 | % | ||
Mortgage-Backed Securities | 32.46 | % | ||
Technology | 0.99 | % | ||
U.S. Government | 17.11 | % | ||
Utilities | 4.48 | % | ||
Repurchase Agreements | 1.80 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
6
Core Plus Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.00 | $ | 3.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.84 | $ | 3.13 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.50 | $ | 6.38 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.60 | $ | 6.39 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.50 | $ | 2.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.34 | $ | 2.62 | ||||||
Class F3* | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.20 | $ | 1.91 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.04 | $ | 1.92 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.00 | $ | 2.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.84 | $ | 2.12 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.30 | $ | 4.58 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.39 | $ | 4.58 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.50 | $ | 3.37 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.59 | $ | 3.38 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.80 | $ | 1.96 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.99 | $ | 1.97 | ||||||
Class R6* | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.00 | $ | 1.91 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.04 | $ | 1.92 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.62% for Class A, 1.27% for Class C, 0.52% for Class F, 0.38% for Class F3, 0.42% for Class I, 0.91% for Class R3, 0.67% for Class R4, 0.39% for Class R5 and 0.38% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.40% for Classes F3 and R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Actual | Hypothetical (5% Return Before Expenses) | |||||||
Class F3 | $ | 2.01 | $2.02 | |||||
Class R6 | $ | 2.02 | $2.02 |
7
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 11.96 | % | ||
Basic Materials | 1.59 | % | ||
Communications | 3.27 | % | ||
Consumer Cyclical | 3.12 | % | ||
Consumer Non-cyclical | 7.30 | % | ||
Energy | 5.66 | % | ||
Financial | 15.98 | % | ||
Foreign Government | 3.28 | % |
Sector* | %** | |||
Industrial | 2.37 | % | ||
Mortgage-Backed Securities | 26.03 | % | ||
Technology | 1.96 | % | ||
U.S. Government | 9.74 | % | ||
Utilities | 5.30 | % | ||
Repurchase Agreement | 2.44 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
8
Corporate Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.10 | $ | 3.43 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.54 | $ | 3.43 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.10 | $ | 6.49 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.50 | $ | 6.49 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.60 | $ | 2.92 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.04 | $ | 2.92 | ||||||
Class F3* | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.40 | $ | 2.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.84 | $ | 2.12 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.10 | $ | 2.42 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.54 | $ | 2.42 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.00 | $ | 5.44 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.55 | $ | 5.44 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.60 | $ | 4.93 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.04 | $ | 4.94 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.80 | $ | 3.68 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.29 | $ | 3.68 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.30 | $ | 2.42 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.54 | $ | 2.42 | ||||||
Class R6* | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.40 | $ | 2.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.84 | $ | 2.12 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.29% for Class C, 0.58% for Class F, 0.42% 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 0.42% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.38% for Classes F3 and R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Actual | Hypothetical (5% Return Before Expenses) | |||||||
Class F3 | $ | 1.92 | $1.92 | |||||
Class R6 | $ | 1.92 | $1.92 |
9
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Basic Materials | 0.40 | % | ||
Communications | 4.62 | % | ||
Consumer Cyclical | 4.18 | % | ||
Consumer Non-cyclical | 14.30 | % | ||
Energy | 8.89 | % | ||
Financial | 39.22 | % |
Sector* | %** | |||
Industrial | 3.08 | % | ||
Technology | 4.84 | % | ||
U.S. Government | 3.37 | % | ||
Utilities | 16.45 | % | ||
Repurchase Agreement | 0.65 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
10
Floating Rate Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.60 | $ | 4.17 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.84 | $ | 4.13 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.70 | $ | 7.41 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.65 | $ | 7.34 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.50 | $ | 3.61 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.39 | $ | 3.58 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.40 | $ | 2.75 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.24 | $ | 2.72 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.00 | $ | 3.10 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.89 | $ | 3.07 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.60 | $ | 6.14 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.90 | $ | 6.09 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.40 | $ | 5.69 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.35 | $ | 5.64 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.40 | $ | 4.42 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.59 | $ | 4.38 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.00 | $ | 3.15 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.84 | $ | 3.13 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.10 | $ | 2.75 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.24 | $ | 2.72 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.82% for Class A, 1.46% for Class C, 0.71% for Class F, 0.54% for Class F3, 0.61% for Class I, 1.21% for Class R2, 1.12% for Class R3, 0.87% for Class R4, 0.62% for Class R5 and 0.54% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
11
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 0.60 | % | ||
Basic Materials | 2.55 | % | ||
Communications | 8.39 | % | ||
Consumer Cyclical | 17.38 | % | ||
Consumer Non-cyclical | 14.42 | % | ||
Diversified | 0.11 | % | ||
Energy | 4.83 | % | ||
Financial | 9.52 | % |
Sector* | %** | |||
Industrial | 14.22 | % | ||
Technology | 16.30 | % | ||
Utilities | 1.76 | % | ||
Repurchase Agreements | 8.81 | % | ||
Money Market Funds(a) | 1.00 | % | ||
Time Deposits(a) | 0.11 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. | |
(a) | Securities were purchased with the cash collateral from loaned securities. |
12
High Yield Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.10 | $ | 4.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.34 | $ | 4.63 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,009.90 | $ | 7.72 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.25 | $ | 7.75 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.60 | $ | 4.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.84 | $ | 4.13 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.70 | $ | 3.06 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.89 | $ | 3.07 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.20 | $ | 3.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.34 | $ | 3.63 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.20 | $ | 6.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.35 | $ | 6.64 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.70 | $ | 6.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.85 | $ | 6.14 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.80 | $ | 4.87 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.09 | $ | 4.89 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.80 | $ | 3.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.34 | $ | 3.63 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.70 | $ | 3.06 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.89 | $ | 3.07 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.92% for Class A, 1.54% for Class C, 0.82% for Class F, 0.61% for Class F3, 0.72% for Class I, 1.32% for Class R2, 1.22% for Class R3, 0.97% for Class R4, 0.72% for Class R5 and 0.61% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
13
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Basic Materials | 6.09 | % | ||
Communications | 7.28 | % | ||
Consumer Cyclical | 25.28 | % | ||
Consumer Non-cyclical | 16.40 | % | ||
Diversified | 0.35 | % | ||
Energy | 16.60 | % | ||
Financial | 5.34 | % |
Sector* | %** | |||
Foreign Government | 0.10 | % | ||
Industrial | 13.78 | % | ||
Mortgage-Backed Securities | 0.43 | % | ||
Technology | 3.71 | % | ||
Utilities | 4.40 | % | ||
Repurchase Agreement | 0.24 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
14
Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.00 | $ | 3.74 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.24 | $ | 3.73 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.90 | $ | 6.82 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.20 | $ | 6.79 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.50 | $ | 3.24 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.74 | $ | 3.23 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.40 | $ | 2.33 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.64 | $ | 2.32 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.00 | $ | 2.68 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.29 | $ | 2.67 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.70 | $ | 5.75 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.25 | $ | 5.74 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.40 | $ | 5.25 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.75 | $ | 5.24 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,027.70 | $ | 3.99 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.99 | $ | 3.98 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.00 | $ | 2.73 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.24 | $ | 2.72 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,029.40 | $ | 2.33 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.64 | $ | 2.32 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.74% for Class A, 1.35% for Class C, 0.64% for Class F, 0.46% for Class F3, 0.53% for Class I, 1.14% for Class R2, 1.04% for Class R3, 0.79% for Class R4, 0.54% for Class R5 and 0.46% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
15
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 6.00 | % | ||
Basic Materials | 1.17 | % | ||
Communications | 5.13 | % | ||
Consumer Cyclical | 3.37 | % | ||
Consumer Non-cyclical | 16.79 | % | ||
Energy | 12.56 | % | ||
Financial | 26.86 | % | ||
Foreign Government | 0.04 | % |
Sector* | %** | |||
Industrial | 3.23 | % | ||
Mortgage-Backed Securities | 1.20 | % | ||
Technology | 4.54 | % | ||
U.S. Government | 4.22 | % | ||
Utilities | 13.27 | % | ||
Repurchase Agreements | 1.62 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
16
Inflation Focused Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.50 | $ | 3.71 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.24 | $ | 3.73 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.10 | $ | 7.25 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.70 | $ | 7.29 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.00 | $ | 3.21 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.74 | $ | 3.23 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.00 | $ | 2.26 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.69 | $ | 2.27 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.70 | $ | 2.71 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.24 | $ | 2.72 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.50 | $ | 5.71 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.25 | $ | 5.74 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,009.00 | $ | 5.16 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.80 | $ | 5.19 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,009.40 | $ | 3.96 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.99 | $ | 3.98 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.70 | $ | 2.56 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.39 | $ | 2.57 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.00 | $ | 2.26 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.69 | $ | 2.27 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.74% for Class A, 1.45% for Class C, 0.64% for Class F, 0.45% for Class F3, 0.54% for Class I, 1.14% for Class R2, 1.03% for Class R3, 0.79% for Class R4, 0.51% for Class R5 and 0.45% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
17
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 26.62 | % | ||
Basic Materials | 2.43 | % | ||
Communications | 2.02 | % | ||
Consumer Cyclical | 3.56 | % | ||
Consumer Non-cyclical | 4.97 | % | ||
Energy | 6.73 | % | ||
Financial | 31.40 | % |
Sector* | %** | |||
Industrial | 0.55 | % | ||
Mortgage-Backed Securities | 13.15 | % | ||
Technology | 1.48 | % | ||
U.S. Government | 1.10 | % | ||
Utilities | 5.39 | % | ||
Repurchase Agreements | 0.60 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
18
Short Duration Core Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.20 | $ | 3.02 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.94 | $ | 3.02 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.10 | $ | 6.25 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.75 | $ | 6.24 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.80 | $ | 2.52 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.44 | $ | 2.52 | ||||||
Class F3* | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.70 | $ | 1.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.34 | $ | 1.61 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.30 | $ | 2.02 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.94 | $ | 2.02 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.80 | $ | 4.54 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.44 | $ | 4.53 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,023.00 | $ | 3.28 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.69 | $ | 3.28 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.30 | $ | 2.02 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.94 | $ | 2.02 | ||||||
Class R6* | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.70 | $ | 1.62 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.34 | $ | 1.61 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.60% for Class A, 1.24% for Class C, 0.50% for Class F, 0.32% for Class F3, 0.40% for Class I, 0.90% for Class R3, 0.65% for Class R4, 0.40% for Class R5 and 0.32% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.30% for Classes F3 and R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Actual | Hypothetical (5% Return Before Expenses) | |||||||
Class F3 | $ | 1.51 | $1.51 | |||||
Class R6 | $ | 1.51 | $1.51 |
19
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 16.89 | % | ||
Basic Materials | 2.63 | % | ||
Communications | 2.92 | % | ||
Consumer Cyclical | 4.36 | % | ||
Consumer Non-cyclical | 7.36 | % | ||
Energy | 4.75 | % | ||
Financial | 34.68 | % | ||
Foreign Government | 1.05 | % | ||
Industrial | 2.05 | % |
Sector* | %** | |||
Mortgage-Backed Securities | 6.48 | % | ||
Municipal Bonds | 0.02 | % | ||
Technology | 1.73 | % | ||
U.S. Government | 4.35 | % | ||
Utilities | 9.54 | % | ||
Repurchase Agreements | 1.19 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
20
Short Duration Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.40 | $ | 2.97 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.99 | $ | 2.97 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.30 | $ | 6.09 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.90 | $ | 6.09 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.60 | $ | 2.47 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.49 | $ | 2.47 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.80 | $ | 1.61 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.34 | $ | 1.61 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.50 | $ | 1.97 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.99 | $ | 1.97 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.40 | $ | 4.98 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.90 | $ | 4.48 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.49 | $ | 4.48 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.20 | $ | 3.23 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.74 | $ | 3.23 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.40 | $ | 1.97 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.99 | $ | 1.97 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.80 | $ | 1.61 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.34 | $ | 1.61 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.59% for Class A, 1.21% for Class C, 0.49% for Class F, 0.32% for Class F3, 0.39% for Class I, 0.99% for Class R2, 0.89% for Class R3, 0.64% for Class R4, 0.39% for Class R5 and 0.32% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
21
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 24.05 | % | ||
Basic Materials | 2.41 | % | ||
Communications | 2.67 | % | ||
Consumer Cyclical | 3.99 | % | ||
Consumer Non-cyclical | 6.12 | % | ||
Energy | 5.47 | % | ||
Financial | 27.94 | % |
Sector* | %** | |||
U.S. Government | 4.75 | % | ||
Industrial | 1.19 | % | ||
Mortgage-Backed Securities | 14.22 | % | ||
Technology | 1.87 | % | ||
Utilities | 4.93 | % | ||
Repurchase Agreements | 0.39 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
22
Total Return Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.40 | $ | 3.32 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.64 | $ | 3.33 | ||||||
Class C | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.50 | $ | 6.39 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.60 | $ | 6.39 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.90 | $ | 2.82 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.14 | $ | 2.82 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.00 | $ | 1.81 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.14 | $ | 1.82 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.60 | $ | 2.12 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.84 | $ | 2.12 | ||||||
Class P | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.30 | $ | 4.58 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.39 | $ | 4.58 | ||||||
Class R2 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.40 | $ | 5.33 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.65 | $ | 5.34 | ||||||
Class R3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.90 | $ | 4.83 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | ||||||
Class R4 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,020.20 | $ | 3.58 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.39 | $ | 3.58 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.60 | $ | 2.32 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.64 | $ | 2.32 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.90 | $ | 1.81 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.14 | $ | 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, 1.27% 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 182/365 (to reflect one-half year period). |
23
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 12.30 | % | ||
Basic Materials | 1.20 | % | ||
Communications | 3.10 | % | ||
Consumer Cyclical | 2.59 | % | ||
Consumer Non-cyclical | 5.87 | % | ||
Energy | 4.33 | % | ||
Financial | 15.89 | % | ||
Foreign Government | 2.37 | % |
Sector* | %** | |||
Industrial | 1.68 | % | ||
Mortgage-Backed Securities | 32.47 | % | ||
Technology | 1.14 | % | ||
U.S. Government | 10.57 | % | ||
Utilities | 4.35 | % | ||
Repurchase Agreements | 2.14 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
24
Ultra Short Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | ||||||||||
12/1/22 | 5/31/23 | 12/1/22 – 5/31/23 | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.20 | $ | 2.22 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.74 | $ | 2.22 | ||||||
Class A1 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.70 | $ | 2.73 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.24 | $ | 2.72 | ||||||
Class F | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.40 | $ | 1.97 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.99 | $ | 1.97 | ||||||
Class F3 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,027.20 | $ | 1.21 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.73 | $ | 1.21 | ||||||
Class I | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.90 | $ | 1.47 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.49 | $ | 1.46 | ||||||
Class R5 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,027.00 | $ | 1.47 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.49 | $ | 1.46 | ||||||
Class R6 | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,027.20 | $ | 1.21 | ||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.73 | $ | 1.21 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.44% for Class A, 0.54% for Class A1, 0.39% for Class F, 0.24% for Class F3, 0.29% for Class I, 0.29% for Class R5 and 0.24% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
25
Portfolio Holdings Presented by Sector
May 31, 2023
Sector* | %** | |||
Asset-Backed Securities | 24.88 | % | ||
Basic Materials | 2.84 | % | ||
Communications | 3.35 | % | ||
Consumer Cyclical | 5.27 | % | ||
Consumer Discretionary | 0.70 | % | ||
Consumer Non-cyclical | 8.53 | % | ||
Energy | 3.02 | % | ||
Financial | 36.40 | % |
Sector* | %** | |||
Industrial | 1.02 | % | ||
Mortgage-Backed Securities | 4.29 | % | ||
Technology | 1.02 | % | ||
U .S. Government | 4.69 | % | ||
Utilities | 3.69 | % | ||
Repurchase Agreements | 0.30 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments, which excludes derivatives. |
26
Schedule of Investments (unaudited)
Investments | Shares | Fair Value | ||||||||||
LONG-TERM INVESTMENTS 96.65% | ||||||||||||
COMMON STOCKS 0.25% | ||||||||||||
Information Technology Services | ||||||||||||
Shopify, Inc. Class A (Canada)*(a) (cost $1,717,397) | 29,895 | $ | 1,709,695 | |||||||||
Interest Rate | Maturity Date | Principal Amount | ||||||||||
CONVERTIBLE BONDS 88.12% | ||||||||||||
Aerospace/Defense 0.91% | ||||||||||||
Safran SA(b) | 0.875% | 5/15/2027 | EUR | 4,082,400 | 6,306,715 | |||||||
Biotechnology 3.47% | ||||||||||||
Apellis Pharmaceuticals, Inc. | 3.50% | 9/15/2026 | $ | 2,740,000 | 6,193,770 | |||||||
Insmed, Inc. | 0.75% | 6/1/2028 | 9,935,000 | 8,022,512 | ||||||||
Sarepta Therapeutics, Inc.† | 1.25% | 9/15/2027 | 8,600,000 | 9,868,500 | ||||||||
Total | 24,084,782 | |||||||||||
Building Materials 0.82% | ||||||||||||
Sika AG(b) | 0.15% | 6/5/2025 | CHF | 3,920,000 | 5,679,750 | |||||||
Chemicals 0.59% | ||||||||||||
Danimer Scientific, Inc.† | 3.25% | 12/15/2026 | $ | 9,305,000 | 4,105,831 | |||||||
Commercial Services 6.28% | ||||||||||||
Block, Inc. | Zero Coupon | 5/1/2026 | 15,675,000 | 13,033,763 | ||||||||
Block, Inc. | 0.125% | 3/1/2025 | 7,310,000 | 6,780,025 | ||||||||
Euronet Worldwide, Inc. | 0.75% | 3/15/2049 | 5,510,000 | 5,325,937 | ||||||||
FTI Consulting, Inc. | 2.00% | 8/15/2023 | 4,060,000 | 7,557,690 | ||||||||
Shift4 Payments, Inc. | Zero Coupon | 12/15/2025 | 10,450,000 | 10,988,175 | ||||||||
Total | 43,685,590 | |||||||||||
Computers 5.26% | ||||||||||||
KBR, Inc. | 2.50% | 11/1/2023 | 3,560,000 | 8,287,680 | ||||||||
Western Digital Corp. | 1.50% | 2/1/2024 | 29,070,000 | 28,256,040 | ||||||||
Total | 36,543,720 | |||||||||||
Electric 2.27% | ||||||||||||
CMS Energy Corp.† | 3.375% | 5/1/2028 | 5,100,000 | 5,089,800 | ||||||||
Duke Energy Corp.† | 4.125% | 4/15/2026 | 5,325,000 | 5,285,063 | ||||||||
Southern Co.† | 3.875% | 12/15/2025 | 5,335,000 | 5,401,687 | ||||||||
Total | 15,776,550 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Energy-Alternate Sources 0.88% | ||||||||||||
Green Plains, Inc. | 2.25% | 3/15/2027 | $ | 5,286,000 | $ | 6,147,618 | ||||||
Entertainment 1.03% | ||||||||||||
Marriott Vacations Worldwide Corp.† | 3.25% | 12/15/2027 | 7,530,000 | 7,164,795 | ||||||||
Food 1.93% | ||||||||||||
Chefs’ Warehouse, Inc.† | 2.375% | 12/15/2028 | 6,560,000 | 6,517,335 | ||||||||
Post Holdings, Inc.† | 2.50% | 8/15/2027 | 6,765,000 | 6,884,741 | ||||||||
Total | 13,402,076 | |||||||||||
Health Care-Products 6.35% | ||||||||||||
Exact Sciences Corp.† | 2.00% | 3/1/2030 | 7,265,000 | 9,150,268 | ||||||||
Glaukos Corp. | 2.75% | 6/15/2027 | 5,834,000 | 7,821,206 | ||||||||
Insulet Corp. | 0.375% | 9/1/2026 | 7,350,000 | 9,797,550 | ||||||||
Lantheus Holdings, Inc.† | 2.625% | 12/15/2027 | 4,865,000 | 6,494,775 | ||||||||
Natera, Inc. | 2.25% | 5/1/2027 | 4,370,000 | 6,183,550 | ||||||||
TransMedics Group, Inc.† | 1.50% | 6/1/2028 | 4,458,000 | 4,683,575 | ||||||||
Total | 44,130,924 | |||||||||||
Internet 24.18% | ||||||||||||
Airbnb, Inc. | Zero Coupon | 3/15/2026 | 15,375,000 | 13,353,188 | ||||||||
Booking Holdings, Inc. | 0.75% | 5/1/2025 | 8,240,000 | 11,721,469 | ||||||||
Farfetch Ltd. (United Kingdom)(a) | 3.75% | 5/1/2027 | 7,545,000 | 5,847,375 | ||||||||
Fiverr International Ltd. (Israel)(a) | Zero Coupon | 11/1/2025 | 12,655,000 | 10,740,095 | ||||||||
MercadoLibre, Inc. (Uruguay)(a) | 2.00% | 8/15/2028 | 3,120,000 | 8,891,739 | ||||||||
Okta, Inc. | 0.125% | 9/1/2025 | 30,320,000 | 28,015,680 | ||||||||
Palo Alto Networks, Inc. | 0.375% | 6/1/2025 | 11,120,000 | 23,980,280 | ||||||||
Sea Ltd. (Singapore)(a) | 0.25% | 9/15/2026 | 19,839,000 | 15,970,395 | ||||||||
Sea Ltd. (Singapore)(a) | 2.375% | 12/1/2025 | 4,140,000 | 4,249,710 | ||||||||
Shopify, Inc. (Canada)(a) | 0.125% | 11/1/2025 | 28,055,000 | 25,361,720 | ||||||||
Uber Technologies, Inc. | Zero Coupon | 12/15/2025 | 22,145,000 | 19,973,706 | ||||||||
Total | 168,105,357 | |||||||||||
Leisure Time 1.57% | ||||||||||||
Royal Caribbean Cruises Ltd.† | 6.00% | 8/15/2025 | 6,090,000 | 10,910,235 | ||||||||
Lodging 0.77% | ||||||||||||
Wynn Macau Ltd. (Macau)†(a) | 4.50% | 3/7/2029 | 5,200,000 | 5,346,484 | ||||||||
Miscellaneous Manufacturing 0.78% | ||||||||||||
Axon Enterprise, Inc.† | 0.50% | 12/15/2027 | 5,075,000 | 5,435,325 |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas 1.96% | ||||||||||||
Nabors Industries, Inc.† | 1.75% | 6/15/2029 | $ | 5,395,000 | $ | 3,816,963 | ||||||
Pioneer Natural Resources Co. | 0.25% | 5/15/2025 | 3,245,000 | 6,786,917 | ||||||||
Transocean, Inc.† | 4.625% | 9/30/2029 | 1,600,000 | 3,036,960 | ||||||||
Total | 13,640,840 | |||||||||||
Pharmaceuticals 9.67% | ||||||||||||
Canopy Growth Corp.†(b) | 4.25% | 7/15/2023 | CAD | 60,650,000 | 42,946,455 | |||||||
Cytokinetics, Inc.† | 3.50% | 7/1/2027 | $ | 4,125,000 | 4,163,672 | |||||||
Dexcom, Inc.† | 0.375% | 5/15/2028 | 6,375,000 | 6,359,062 | ||||||||
Dexcom, Inc. | 0.75% | 12/1/2023 | 3,845,000 | 10,969,785 | ||||||||
Neurocrine Biosciences, Inc. | 2.25% | 5/15/2024 | 2,300,000 | 2,795,650 | ||||||||
Total | 67,234,624 | |||||||||||
REITS 1.18% | ||||||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | Zero Coupon | 5/1/2025 | 8,753,000 | 8,211,189 | ||||||||
Retail 1.02% | ||||||||||||
Cheesecake Factory, Inc. | 0.375% | 6/15/2026 | 8,500,000 | 7,065,625 | ||||||||
Semiconductors 2.26% | ||||||||||||
Impinj, Inc. | 1.125% | 5/15/2027 | 3,325,000 | 3,892,245 | ||||||||
ON Semiconductor Corp.† | 0.50% | 3/1/2029 | 11,210,000 | 11,841,123 | ||||||||
Total | 15,733,368 | |||||||||||
Software 9.47% | ||||||||||||
Alteryx, Inc. | 1.00% | 8/1/2026 | 17,345,000 | 14,613,163 | ||||||||
Bentley Systems, Inc. | 0.125% | 1/15/2026 | 18,620,000 | 18,539,434 | ||||||||
Bilibili, Inc. (China)(a) | 1.25% | 6/15/2027 | 3,910,000 | 3,929,550 | ||||||||
Cerence, Inc. | 3.00% | 6/1/2025 | 7,580,000 | 7,993,555 | ||||||||
HubSpot, Inc. | 0.375% | 6/1/2025 | 6,840,000 | 12,729,240 | ||||||||
MongoDB, Inc. | 0.25% | 1/15/2026 | 5,320,000 | 8,021,230 | ||||||||
Total | 65,826,172 | |||||||||||
Telecommunications 2.82% | ||||||||||||
GDS Holdings Ltd. (China)(a) | 2.00% | 6/1/2025 | 19,780,000 | 19,621,760 | ||||||||
Transportation 2.65% | ||||||||||||
CryoPort, Inc.† | 0.75% | 12/1/2026 | 13,180,000 | 10,445,150 | ||||||||
ZTO Express Cayman, Inc. (China)†(a) | 1.50% | 9/1/2027 | 7,955,000 | 7,958,978 | ||||||||
Total | 18,404,128 | |||||||||||
Total Convertible Bonds (cost $616,686,516) | 612,563,458 |
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2023
Investments | Dividend Rate | Shares | Fair Value | |||||||||
CONVERTIBLE PREFERRED STOCKS 6.75% | ||||||||||||
Commercial Banks 2.35% | ||||||||||||
Bank of America Corp. | 7.25% | 14,010 | $ | 16,286,625 | ||||||||
Electric: Utilities 1.59% | ||||||||||||
NextEra Energy, Inc. | 6.219% | 230,540 | 11,057,851 | |||||||||
Health Care Equipment & Supplies 1.58% | ||||||||||||
Boston Scientific Corp. | 5.50% | 89,450 | 10,998,064 | |||||||||
Metals & Mining 1.23% | ||||||||||||
RBC Bearings, Inc. | 5.00% | 85,455 | 8,546,364 | |||||||||
Total Convertible Preferred Stocks (cost $48,440,024) | 46,888,904 | |||||||||||
PREFERRED STOCKS 1.53% | ||||||||||||
Electric: Utilities | ||||||||||||
PG&E Corp. (cost $10,733,504) | 5.50% | 72,380 | 10,657,956 | |||||||||
Total Long-Term Investments (cost $677,577,441) | 671,820,013 | |||||||||||
Principal Amount | ||||||||||||
SHORT-TERM INVESTMENTS 3.22% | ||||||||||||
REPURCHASE AGREEMENTS 3.22% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $25,159,900 of U.S. Treasury Note at 0.500% due 2/28/2026; value: $22,818,850; proceeds: $22,373,005 (cost $22,371,389) | $ | 22,371,389 | 22,371,389 | |||||||||
Total Investments in Securities 99.87% (cost $699,948,830) | 694,191,402 | |||||||||||
Other Assets and Liabilities – Net(c) 0.13% | 915,766 | |||||||||||
Net Assets 100.00% | $ | 695,107,168 |
CAD | Canadian Dollar. |
CHF | Swiss Franc. |
EUR | Euro. |
REITS | Real Estate Investment Trusts. |
* | 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 May 31, 2023, the total value of Rule 144A securities was $191,117,966, which represents 27.49% of net assets. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
CONVERTIBLE FUND May 31, 2023
Forward Foreign Currency Exchange Contracts at May 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 7/20/2023 | 60,921,000 | $45,342,970 | $44,928,659 | $ | 414,311 | |||||||||
Euro | Sell | Goldman Sachs | 6/13/2023 | 263,000 | 283,524 | 281,296 | 2,228 | ||||||||||
Swiss franc | Sell | State Street Bank and Trust | 8/23/2023 | 5,224,000 | 5,871,438 | 5,788,678 | 82,760 | ||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 499,299 |
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||
Canadian dollar | Buy | State Street Bank and Trust | 7/20/2023 | 1,789,000 | $1,330,313 | $1,319,371 | $ | (10,942 | ) | ||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 5,887,000 | 6,263,297 | 6,296,536 | (33,239 | ) | |||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (44,181 | ) |
The following is a summary of the inputs used as of May 31, 2023 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 | $ | 1,709,695 | $ | — | $ | — | $ | 1,709,695 | ||||||||
Convertible Bonds | — | 612,563,458 | — | 612,563,458 | ||||||||||||
Convertible Preferred Stocks | — | 46,888,904 | — | 46,888,904 | ||||||||||||
Preferred Stocks | — | 10,657,956 | — | 10,657,956 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 22,371,389 | — | 22,371,389 | ||||||||||||
Total | $ | 1,709,695 | $ | 692,481,707 | $ | — | $ | 694,191,402 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | — | $ | 499,299 | $ | — | $ | 499,299 | ||||||||
Liabilities | — | (44,181 | ) | — | (44,181 | ) | ||||||||||
Total | $ | — | $ | 455,118 | $ | — | $ | 455,118 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period in relation to the Fund’s net assets.
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 112.15% | ||||||||||||
ASSET-BACKED SECURITIES 13.62% | ||||||||||||
Automobiles 4.09% | ||||||||||||
AmeriCredit Automobile Receivables Trust Series 2022-2 Class A2A | 4.20% | 12/18/2025 | $ | 7,521,936 | $ | 7,455,666 | ||||||
Capital One Prime Auto Receivables Trust Series 2022-1 Class A2 | 2.71% | 6/16/2025 | 9,090,966 | 8,974,511 | ||||||||
CarMax Auto Owner Trust Series 2022-2 Class A2A | 2.81% | 5/15/2025 | 6,786,683 | 6,733,605 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 9,170,000 | 9,023,682 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A3† | 5.01% | 8/16/2027 | 6,510,000 | 6,439,654 | ||||||||
GLS Auto Receivables Issuer Trust Series 2023-1A Class A2† | 5.98% | 8/17/2026 | 7,995,000 | 7,981,923 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-2 Class A2 | 2.93% | 10/21/2024 | 4,301,491 | 4,262,006 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class A3 | 5.05% | 7/20/2026 | 7,900,000 | 7,880,549 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class B | 5.54% | 5/20/2027 | 7,300,000 | 7,277,830 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class F† | 7.03% | 8/15/2028 | 5,049,000 | 5,053,946 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class B | 4.43% | 3/15/2027 | 7,854,000 | 7,699,860 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class B | 4.72% | 6/15/2027 | 13,900,000 | 13,641,955 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class C | 4.96% | 11/15/2028 | 7,130,000 | 7,003,966 | ||||||||
Westlake Automobile Receivables Trust Series 2020-3A Class E† | 3.34% | 6/15/2026 | 3,605,000 | 3,465,958 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class A3† | 5.21% | 1/18/2028 | 8,235,000 | 8,185,181 | ||||||||
Total | 111,080,292 | |||||||||||
Credit Card 1.41% | ||||||||||||
BA Credit Card Trust Series 2022-A2 Class A2 | 5.00% | 4/15/2028 | 7,100,000 | 7,141,033 | ||||||||
Capital One Multi-Asset Execution Trust Series 2005-B3 Class B3 | 5.81% (3 mo. USD LIBOR + 0.55% | )# | 5/15/2028 | 7,533,000 | 7,427,770 | |||||||
Continental Finance Credit Card ABS Master Trust Series 2020-1A Class A† | 2.24% | 12/15/2028 | 8,470,000 | 8,079,663 | ||||||||
Discover Card Execution Note Trust Series 2022-A3 Class A3 | 3.56% | 7/15/2027 | 10,000,000 | 9,741,647 | ||||||||
Discover Card Execution Note Trust Series 2022-A4 Class A | 5.03% | 10/15/2027 | 6,015,000 | 6,046,331 | ||||||||
Total | 38,436,444 |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other 8.11% | ||||||||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A† | 6.508% (1 mo. USD LIBOR + 1.40% | )# | 1/15/2037 | $ | 8,035,000 | $ | 7,804,163 | |||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 6,740,000 | 6,725,197 | ||||||||
Apidos CLO XXVI Series 2017-26A Class A2R† | 6.762% (3 mo. USD LIBOR + 1.50% | )# | 7/18/2029 | 1,680,000 | 1,641,523 | |||||||
Apidos CLO XXXV Series 2021-35A Class A† | 6.30% (3 mo. USD LIBOR + 1.05% | )# | 4/20/2034 | 2,000,000 | 1,953,065 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.207% (1 mo. USD LIBOR + 1.10% | )# | 5/15/2036 | 7,330,000 | 7,167,896 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class AS† | 6.507% (1 mo. USD LIBOR + 1.40% | )# | 5/15/2036 | 5,360,000 | 5,131,479 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4 Class A† | 6.457% (1 mo. USD LIBOR + 1.35% | )# | 11/15/2036 | 10,549,000 | 10,329,517 | |||||||
Ares XL CLO Ltd. Series 2016-40A Class A1RR† | 6.13% (3 mo. USD LIBOR + 0.87% | )# | 1/15/2029 | 1,904,292 | 1,887,229 | |||||||
Avant Loans Funding Trust Series 2022-REV1 Class A† | 6.54% | 9/15/2031 | 8,105,000 | 8,030,428 | ||||||||
Bain Capital Credit CLO Series 2019-2A Class AR† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 10/17/2032 | 4,800,000 | 4,695,969 | |||||||
Ballyrock CLO Ltd. Series 2023-23A Class A1† | 6.971% (3 mo. USD Term SOFR + 1.98% | )# | 4/25/2036 | 1,750,000 | 1,753,114 | |||||||
Barings CLO Ltd. Series 2019-3A Class A1R† | 6.32% (3 mo. USD LIBOR + 1.07% | )# | 4/20/2031 | 2,220,000 | 2,188,726 | |||||||
BlueMountain CLO XXXI Ltd. Series 2021-31A Class A1† | 6.415% (3 mo. USD LIBOR + 1.15% | )# | 4/19/2034 | 4,980,000 | 4,861,974 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-5A Class A1RR† | 6.40% (3 mo. USD LIBOR + 1.14% | )# | 7/15/2031 | 8,099,420 | 8,006,732 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2031 | 3,132,656 | 3,095,051 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Dryden 61 CLO Ltd. Series 2018-61A Class A1R† | 6.25% (3 mo. USD LIBOR + 0.99% | )# | 1/17/2032 | $ | 3,710,000 | $ | 3,653,545 | |||||
Dryden Senior Loan Fund Series 2017-47A Class BR† | 6.73% (3 mo. USD LIBOR + 1.47% | )# | 4/15/2028 | 5,770,000 | 5,663,720 | |||||||
Eaton Vance CLO Ltd. Series 2013-1A Class A13R† | 6.51% (3 mo. USD LIBOR + 1.25% | )# | 1/15/2034 | 4,198,000 | 4,118,219 | |||||||
Elmwood CLO VIII Ltd. Series 2021-1A Class A1† | 6.49% (3 mo. USD LIBOR + 1.24% | )# | 1/20/2034 | 3,240,000 | 3,191,441 | |||||||
Galaxy XXI CLO Ltd. Series 2015-21A Class AR† | 6.27% (3 mo. USD LIBOR + 1.02% | )# | 4/20/2031 | 485,000 | 479,059 | |||||||
HGI CRE CLO Ltd. Series 2021-FL2 Class B† | 6.605% (1 mo. USD LIBOR + 1.50% | )# | 9/17/2036 | 5,490,000 | 5,257,418 | |||||||
KKR CLO Ltd. Series 29A Class A† | 6.46% (3 mo. USD LIBOR + 1.20% | )# | 1/15/2032 | 2,700,000 | 2,674,998 | |||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 5,317,000 | 4,761,799 | ||||||||
Lendmark Funding Trust Series 2021-1A Class C† | 3.41% | 11/20/2031 | 2,095,000 | 1,729,240 | ||||||||
Lendmark Funding Trust Series 2021-2A Class B† | 2.37% | 4/20/2032 | 6,465,000 | 5,356,348 | ||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.456% (30 day USD SOFR Average + 1.55% | )# | 1/17/2037 | 3,800,000 | 3,735,678 | |||||||
Madison Park Funding XXIV Ltd. Series 2016-24A Class BR† | 7.06% (3 mo. USD Term SOFR + 2.01% | )# | 10/20/2029 | 5,300,000 | 5,213,324 | |||||||
Magnetite VII Ltd. Series 2012-7A Class A1R2† | 6.06% (3 mo. USD LIBOR + 0.80% | )# | 1/15/2028 | 4,472,308 | 4,435,411 | |||||||
Marble Point CLO XVII Ltd. Series 2020-1A Class A† | 6.55% (3 mo. USD LIBOR + 1.30% | )# | 4/20/2033 | 2,574,058 | 2,525,151 | |||||||
Mariner Finance Issuance Trust Series 2021-AA Class D† | 3.83% | 3/20/2036 | 2,420,000 | 2,018,853 | ||||||||
Marlette Funding Trust Series 2020-2A Class D† | 4.65% | 9/16/2030 | 3,660,117 | 3,591,299 | ||||||||
Marlette Funding Trust Series 2022-3 Class B† | 5.95% | 11/15/2032 | 5,844,000 | 5,804,223 | ||||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 7,739,300 | 7,562,269 | ||||||||
MF1 LLC Series 2022-FL9 Class A† | 7.223% (1 mo. USD Term SOFR + 2.15% | )# | 6/19/2037 | 4,295,000 | 4,281,471 | |||||||
MF1 Ltd. Series 2022-FL8 Class A† | 6.273% (30 day USD SOFR Average + 1.35% | )# | 2/19/2037 | 4,190,000 | 4,092,333 | |||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.35% (3 mo. USD LIBOR + 1.09% | )# | 10/16/2029 | 1,788,575 | 1,775,951 | |||||||
Newark BSL CLO 1 Ltd. Series 2016-1A Class A1R† | 6.44% (3 mo. USD Term SOFR + 1.36% | )# | 12/21/2029 | 5,834,528 | 5,788,801 |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
OCP CLO Ltd. Series 2019-17A Class A1R† | 6.29% (3 mo. USD LIBOR + 1.04% | )# | 7/20/2032 | $ | 4,680,000 | $ | 4,598,744 | |||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.21% (3 mo. USD LIBOR + 0.95% | )# | 7/15/2029 | 3,374,979 | 3,348,050 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 4,579,045 | 4,506,640 | ||||||||
OneMain Financial Issuance Trust Series 2021-3A Class A† | 5.94% | 5/15/2034 | 8,000,000 | 8,056,894 | ||||||||
Palmer Square Loan Funding Ltd. Series 2021-1A Class A1† | 6.15% (3 mo. USD LIBOR + 0.90% | )# | 4/20/2029 | 3,744,064 | 3,716,990 | |||||||
Post Road Equipment Finance Series 2021-1 Class A2† | 4.88% | 11/15/2028 | 6,226,000 | 6,062,271 | ||||||||
Post Road Equipment Finance Series 2021-1 Class D† | 1.69% | 11/15/2027 | 4,190,000 | 4,002,706 | ||||||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.63% (3 mo. USD LIBOR + 1.38% | )# | 1/20/2033 | 4,650,000 | 4,599,780 | |||||||
SCF Equipment Leasing LLC Series 2019-2A Class B† | 2.76% | 8/20/2026 | 3,055,000 | 2,963,720 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class C† | 1.54% | 10/21/2030 | 4,025,000 | 3,606,209 | ||||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 3,117,188 | 2,756,889 | ||||||||
Sunrun Demeter Issuer LLC Series 2021-2A Class A† | 2.27% | 1/30/2057 | 1,988,869 | 1,591,620 | ||||||||
TCI-Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.29% (3 mo. USD LIBOR + 0.96% | )# | 11/18/2030 | 1,924,826 | 1,907,503 | |||||||
TCW CLO Ltd. Series 2022 1A Class A1† | 6.411% (3 mo. USD Term SOFR + 1.34% | )# | 4/22/2033 | 1,950,000 | 1,917,337 | |||||||
Upstart Securitization Trust Series 2021-2 Class B† | 1.75% | 6/20/2031 | 3,628,000 | 3,528,351 | ||||||||
Total | 220,146,318 | |||||||||||
Student Loan 0.01% | ||||||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 5.738% (1 mo. USD LIBOR + 0.60% | )# | 1/25/2046 | 257,769 | 256,325 | |||||||
Total Asset-Backed Securities (cost $376,722,223) | 369,919,379 | |||||||||||
CORPORATE BONDS 37.69% | ||||||||||||
Agriculture 0.95% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 12,736,000 | 12,365,043 | ||||||||
Cargill, Inc. † | 4.00% | 6/22/2032 | 5,206,000 | 4,866,581 | ||||||||
Philip Morris International, Inc. | 5.625% | 11/17/2029 | 6,254,000 | 6,412,088 | ||||||||
Viterra Finance BV (Netherlands)†(a) | 4.90% | 4/21/2027 | 2,226,000 | 2,135,053 | ||||||||
Total | 25,778,765 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Airlines 0.11% | ||||||||||||
British Airways Pass-Through Trust Series 2020-1 Class A (United Kingdom)†(a) | 4.25% | 5/15/2034 | $ | 3,116,400 | $ | 2,903,047 | ||||||
Banks 11.63% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(a) | 3.324% (5 yr. CMT + 1.90% | )# | 3/13/2037 | 2,400,000 | 1,836,598 | |||||||
Bank of America Corp. | 1.658% (SOFR + 0.91% | )# | 3/11/2027 | 4,902,000 | 4,429,800 | |||||||
Bank of America Corp. | 2.299% (SOFR + 1.22% | )# | 7/21/2032 | 7,033,000 | 5,610,052 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32% | )# | 4/22/2032 | 12,643,000 | 10,456,589 | |||||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23% | )# | 3/15/2025 | 5,910,000 | 5,797,258 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63% | )# | 7/21/2028 | 4,493,000 | 4,191,912 | |||||||
Bank of America Corp. | 3.97% (3 mo. USD Term SOFR + 1.33% | )# | 3/5/2029 | 15,480,000 | 14,615,789 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 830,000 | 811,168 | ||||||||
Bank of New York Mellon Corp. | 4.596% (SOFR + 1.76% | )# | 7/26/2030 | 4,099,000 | 3,993,286 | |||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61% | )# | 4/26/2034 | 4,377,000 | 4,354,398 | |||||||
BNG Bank NV (Netherlands)†(a) | 3.50% | 5/19/2028 | 21,534,000 | 21,020,738 | ||||||||
BNP Paribas SA (France)†(a) | 4.375% (5 yr. USD Swap + 1.48% | )# | 3/1/2033 | 4,175,000 | 3,820,604 | |||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15% | )# | 1/29/2031 | 11,156,000 | 9,494,413 | |||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16% | )# | 4/24/2025 | 4,185,000 | 4,091,455 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82% | )# | 1/10/2028 | 6,564,000 | 6,252,099 | |||||||
Citigroup, Inc. | 3.98% (3 mo. USD Term SOFR + 1.60% | )# | 3/20/2030 | 10,818,000 | 10,038,996 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37% | )# | 5/24/2025 | 1,616,000 | 1,590,530 | |||||||
Danske Bank AS (Denmark)†(a) | 3.773% (1 yr. CMT + 1.45% | )# | 3/28/2025 | 7,332,000 | 7,161,670 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25% | )# | 7/21/2032 | 19,561,000 | 15,764,546 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46% | )# | 9/29/2025 | 8,762,000 | 8,477,047 |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
HSBC Holdings PLC (United Kingdom)(a) | 3.803% (3 mo. USD LIBOR + 1.21% | )# | 3/11/2025 | $ | 4,949,000 | $ | 4,857,815 | |||||
JPMorgan Chase & Co. | 2.58% (3 mo. USD Term SOFR + 1.25% | )# | 4/22/2032 | 6,895,000 | 5,743,983 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26% | )# | 1/25/2033 | 9,691,000 | 8,206,971 | |||||||
JPMorgan Chase & Co. | 3.782% (3 mo. USD Term SOFR + 1.60% | )# | 2/1/2028 | 24,978,000 | 23,772,714 | |||||||
Lloyds Banking Group PLC (United Kingdom)(a) | 3.90% | 3/12/2024 | 6,219,000 | 6,121,020 | ||||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85% | )# | 1/27/2034 | 6,395,000 | 5,906,130 | |||||||
Macquarie Bank Ltd. (Australia)†(a) | 3.052% (5 yr. CMT + 1.70% | )# | 3/3/2036 | 4,333,000 | 3,274,633 | |||||||
Macquarie Group Ltd. (Australia)†(a) | 4.654% (3 mo. USD LIBOR + 1.73% | )# | 3/27/2029 | 7,544,000 | 7,249,432 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(a) | 5.541% (1 yr. CMT + 1.50% | )# | 4/17/2026 | 3,099,000 | 3,095,281 | |||||||
Morgan Stanley | 2.239% (SOFR + 1.18% | )# | 7/21/2032 | 10,343,000 | 8,259,358 | |||||||
Morgan Stanley | 2.484% (SOFR + 1.36% | )# | 9/16/2036 | 2,915,000 | 2,202,559 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.63% | )# | 1/23/2030 | 11,630,000 | 11,174,372 | |||||||
Morgan Stanley | 5.05% (SOFR + 1.30% | )# | 1/28/2027 | 3,386,000 | 3,376,890 | |||||||
Royal Bank of Canada (Canada)(a) | 6.00% | 11/1/2027 | 6,626,000 | 6,869,226 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73% | )# | 8/4/2033 | 9,020,000 | 8,392,732 | |||||||
Toronto-Dominion Bank (Canada)(a) | 4.456% | 6/8/2032 | 5,675,000 | 5,370,085 | ||||||||
U.S. Bancorp | 4.839% (SOFR + 1.60% | )# | 2/1/2034 | 5,906,000 | 5,544,789 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11% | )# | 7/22/2033 | 6,556,000 | 5,943,570 | |||||||
UBS AG (Switzerland)(a) | 5.125% | 5/15/2024 | 1,494,000 | 1,472,098 | ||||||||
UBS Group AG (Switzerland)†(a) | 1.364% (1 yr. CMT + 1.08% | )# | 1/30/2027 | 4,618,000 | 4,066,224 | |||||||
UBS Group AG (Switzerland)†(a) | 1.494% (1 yr. CMT + 0.85% | )# | 8/10/2027 | 5,352,000 | 4,617,547 | |||||||
UBS Group AG (Switzerland)†(a) | 5.711% (1 yr. CMT + 1.55% | )# | 1/12/2027 | 9,160,000 | 9,088,235 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | $ | 4,559,000 | $ | 4,291,503 | |||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 6,505,000 | 5,820,520 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50% | )# | 3/2/2033 | 8,807,000 | 7,571,097 | |||||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02% | )# | 4/24/2034 | 4,380,000 | 4,388,373 | |||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 5,225,000 | 5,345,544 | ||||||||
Total | 315,831,649 | |||||||||||
Beverages 0.37% | ||||||||||||
Brown-Forman Corp. | 4.75% | 4/15/2033 | 4,911,000 | 4,926,421 | ||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 5,786,000 | 5,225,560 | ||||||||
Total | 10,151,981 | |||||||||||
Biotechnology 0.31% | ||||||||||||
Amgen, Inc. | 5.25% | 3/2/2030 | 7,272,000 | 7,331,071 | ||||||||
Baxalta, Inc. | 4.00% | 6/23/2025 | 1,114,000 | 1,088,302 | ||||||||
Total | 8,419,373 | |||||||||||
Chemicals 0.33% | ||||||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 10,121,000 | 9,031,840 | ||||||||
Commercial Services 0.22% | ||||||||||||
Global Payments, Inc. | 4.00% | 6/1/2023 | 5,933,000 | 5,933,000 | ||||||||
Computers 0.29% | ||||||||||||
International Business Machines Corp.(b) | 1.50% | 5/23/2029 | EUR | 4,122,000 | 3,947,782 | |||||||
International Business Machines Corp.(b) | 3.75% | 2/6/2035 | EUR | 3,617,000 | 3,789,827 | |||||||
Total | 7,737,609 | |||||||||||
Cosmetics/Personal Care 0.15% | ||||||||||||
Haleon U.S. Capital LLC | 3.625% | 3/24/2032 | $ | 4,378,000 | 3,932,140 | |||||||
Diversified Financial Services 2.07% | ||||||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 5,197,000 | 4,447,997 | ||||||||
American Express Co. | 4.42% (SOFR + 1.76% | )# | 8/3/2033 | 4,232,000 | 4,003,981 | |||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 4,639,000 | 4,146,109 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 2.125% | 2/21/2026 | 9,376,000 | 8,253,236 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 5.25% | 5/15/2024 | 4,460,000 | 4,392,086 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 6.375% | 5/4/2028 | 6,451,000 | 6,308,286 |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
BlackRock, Inc. | 4.75% | 5/25/2033 | $ | 11,118,000 | $ | 11,008,366 | ||||||
Intercontinental Exchange, Inc. | 4.00% | 9/15/2027 | 8,727,000 | 8,579,540 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 940,000 | 895,941 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 648,000 | 524,457 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(a) | 5.50% | 2/15/2024 | 3,677,000 | 3,638,090 | ||||||||
Total | 56,198,089 | |||||||||||
Electric 4.37% | ||||||||||||
AEP Texas, Inc. | 5.40% | 6/1/2033 | 3,244,000 | 3,251,685 | ||||||||
AES Corp.† | 3.95% | 7/15/2030 | 2,423,000 | 2,174,990 | ||||||||
Alfa Desarrollo SpA (Chile)†(a) | 4.55% | 9/27/2051 | 2,678,728 | 1,940,082 | ||||||||
American Transmission Systems, Inc.† | 2.65% | 1/15/2032 | 10,360,000 | 8,605,803 | ||||||||
Baltimore Gas & Electric Co. | 4.55% | 6/1/2052 | 4,383,000 | 3,897,314 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 4,620,000 | 4,800,781 | ||||||||
DTE Electric Co. | 5.40% | 4/1/2053 | 6,075,000 | 6,182,302 | ||||||||
DTE Energy Co. | 4.22% | (c) | 11/1/2024 | 1,603,000 | 1,577,399 | |||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 8,939,000 | 8,455,048 | ||||||||
Duke Energy Indiana LLC | 5.40% | 4/1/2053 | 2,849,000 | 2,833,734 | ||||||||
Electricite de France SA (France)†(a) | 6.25% | 5/23/2033 | 8,289,000 | 8,403,183 | ||||||||
Enel Finance International NV(b) | 0.50% | 6/17/2030 | EUR | 6,832,000 | 5,795,524 | |||||||
Entergy Corp. | 0.90% | 9/15/2025 | $ | 8,007,000 | 7,235,890 | |||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 10,000,000 | 9,067,377 | ||||||||
Kentucky Utilities Co. | 5.45% | 4/15/2033 | 7,221,000 | 7,399,192 | ||||||||
Minejesa Capital BV (Netherlands)†(a) | 4.625% | 8/10/2030 | 4,161,000 | 3,737,947 | ||||||||
NextEra Energy Capital Holdings, Inc. | 5.961% (SOFR + 1.02% | )# | 3/21/2024 | 6,588,000 | 6,589,180 | |||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 3,451,000 | 3,420,852 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 2,419,000 | 2,915,344 | ||||||||
Oklahoma Gas & Electric Co. | 5.40% | 1/15/2033 | 3,291,000 | 3,368,742 | ||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia)(a) | 5.45% | 5/21/2028 | 6,375,000 | 6,399,193 | ||||||||
Southern Co. | 4.475% | (c) | 8/1/2024 | 6,526,000 | 6,431,749 | |||||||
Wisconsin Power & Light Co. | 3.95% | 9/1/2032 | 4,602,000 | 4,267,523 | ||||||||
Total | 118,750,834 | |||||||||||
Electronics 0.20% | ||||||||||||
Honeywell International, Inc.(b) | 4.125% | 11/2/2034 | EUR | 5,039,000 | 5,476,714 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Engineering & Construction 0.11% | ||||||||||||
Cellnex Finance Co. SA (Spain)†(a) | 3.875% | 7/7/2041 | $ | 4,063,000 | $ | 2,988,572 | ||||||
Entertainment 0.32% | ||||||||||||
Warnermedia Holdings, Inc. | 3.428% | 3/15/2024 | 8,741,000 | 8,559,428 | ||||||||
Food 0.44% | ||||||||||||
Kellogg Co. | 5.25% | 3/1/2033 | 11,780,000 | 11,944,167 | ||||||||
Gas 1.24% | ||||||||||||
CenterPoint Energy Resources Corp. | 1.75% | 10/1/2030 | 6,270,000 | 5,052,495 | ||||||||
CenterPoint Energy Resources Corp. | 4.40% | 7/1/2032 | 5,266,000 | 5,069,575 | ||||||||
East Ohio Gas Co.† | 1.30% | 6/15/2025 | 8,006,000 | 7,375,747 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 10,335,000 | 9,686,093 | ||||||||
NiSource, Inc. | 2.95% | 9/1/2029 | 3,062,000 | 2,700,394 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 4,256,000 | 3,840,143 | ||||||||
Total | 33,724,447 | |||||||||||
Health Care-Products 0.58% | ||||||||||||
GE HealthCare Technologies, Inc.† | 5.65% | 11/15/2027 | 10,942,000 | 11,169,435 | ||||||||
Revvity, Inc. | 0.85% | 9/15/2024 | 4,974,000 | 4,687,306 | ||||||||
Total | 15,856,741 | |||||||||||
Health Care-Services 2.01% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 9,000,000 | 7,741,170 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 12,606,000 | 10,880,743 | ||||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 7,831,000 | 6,618,267 | ||||||||
Elevance Health, Inc. | 5.125% | 2/15/2053 | 2,979,000 | 2,858,360 | ||||||||
Elevance Health, Inc. | 5.50% | 10/15/2032 | 7,501,000 | 7,758,422 | ||||||||
Humana, Inc. | 1.35% | 2/3/2027 | 5,546,000 | 4,870,502 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 7,500,000 | 7,881,629 | ||||||||
UnitedHealth Group, Inc. | 4.00% | 5/15/2029 | 6,270,000 | 6,066,832 | ||||||||
Total | 54,675,925 | |||||||||||
Insurance 0.90% | ||||||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 1,595,000 | 1,211,808 | ||||||||
F&G Global Funding† | 2.30% | 4/11/2027 | 3,996,000 | 3,577,104 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 7,677,000 | 7,360,291 | ||||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 1,536,000 | 1,491,041 | ||||||||
Metropolitan Life Global Funding I† | 5.15% | 3/28/2033 | 3,640,000 | 3,634,705 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 7,387,000 | 7,202,050 | ||||||||
Total | 24,476,999 |
40 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Internet 1.11% | ||||||||||||
Amazon.com, Inc. | 4.70% | 12/1/2032 | $ | 15,019,000 | $ | 15,237,138 | ||||||
Netflix, Inc. | 5.875% | 11/15/2028 | 5,494,000 | 5,699,553 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 2,765,000 | 2,933,781 | ||||||||
Prosus NV (Netherlands)†(a) | 3.257% | 1/19/2027 | 6,940,000 | 6,302,206 | ||||||||
Total | 30,172,678 | |||||||||||
Machinery-Diversified 0.38% | ||||||||||||
nVent Finance Sarl (Luxembourg)(a) | 4.55% | 4/15/2028 | 10,940,000 | 10,336,263 | ||||||||
Media 0.20% | ||||||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 6,246,000 | 5,370,374 | ||||||||
Mining 0.24% | ||||||||||||
Corp. Nacional del Cobre de Chile (Chile)†(a) | 5.125% | 2/2/2033 | 6,510,000 | 6,483,883 | ||||||||
Multi-National 0.71% | ||||||||||||
Nordic Investment Bank (Finland)(a) | 2.875% | 7/19/2023 | 19,431,000 | 19,372,110 | ||||||||
Oil & Gas 1.59% | ||||||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 4,881,000 | 3,671,979 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 9,000,000 | 8,580,795 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 9,890,000 | 8,941,927 | ||||||||
Eni SpA (Italy)†(a) | 5.70% | 10/1/2040 | 4,710,000 | 4,246,779 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 10,000,000 | 10,360,500 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 1,786,000 | 1,819,077 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 5,605,000 | 5,557,585 | ||||||||
Total | 43,178,642 | |||||||||||
Oil & Gas Services 0.33% | ||||||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 4,124,000 | 4,727,576 | ||||||||
NOV, Inc. | 3.60% | 12/1/2029 | 4,547,000 | 4,074,189 | ||||||||
Total | 8,801,765 | |||||||||||
Pharmaceuticals 1.99% | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 2,728,000 | 2,890,341 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 10,065,000 | 8,576,861 | ||||||||
Cigna Group | 4.375% | 10/15/2028 | 1,515,000 | 1,477,400 | ||||||||
CVS Health Corp. | 1.75% | 8/21/2030 | 5,105,000 | 4,106,655 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 12,163,000 | 11,005,461 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 4,060,000 | 3,670,574 | ||||||||
Merck & Co., Inc. | 4.50% | 5/17/2033 | 10,820,000 | 10,801,106 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(a) | 4.75% | 5/19/2033 | 11,489,000 | 11,540,551 | ||||||||
Total | 54,068,949 |
See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines 1.35% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(a) | 4.60% | 11/2/2047 | $ | 6,831,000 | $ | 6,339,817 | ||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | 7,044,000 | 6,262,169 | ||||||||
EIG Pearl Holdings Sarl (Luxembourg)†(a) | 3.545% | 8/31/2036 | 9,268,000 | 7,901,674 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(a) | 3.25% | 9/30/2040 | 9,847,000 | 7,718,178 | ||||||||
Kinder Morgan Energy Partners LP | 4.25% | 9/1/2024 | 4,040,000 | 3,945,684 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 3,741,000 | 3,095,091 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 1,473,000 | 1,473,013 | ||||||||
Total | 36,735,626 | |||||||||||
REITS 0.92% | ||||||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 1,480,000 | 1,422,353 | ||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 9,000,000 | 8,307,792 | ||||||||
American Tower Corp. | 5.55% | 7/15/2033 | 3,255,000 | 3,277,778 | ||||||||
Crown Castle, Inc. | 2.10% | 4/1/2031 | 4,000,000 | 3,225,501 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 10,000,000 | 8,840,267 | ||||||||
Total | 25,073,691 | |||||||||||
Retail 0.44% | ||||||||||||
7-Eleven, Inc.† | 0.80% | 2/10/2024 | 5,815,000 | 5,608,699 | ||||||||
Lowe’s Cos., Inc. | 5.00% | 4/15/2033 | 6,274,000 | 6,218,321 | ||||||||
Total | 11,827,020 | |||||||||||
Semiconductors 0.12% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 3,716,000 | 3,346,909 | ||||||||
Software 0.76% | ||||||||||||
Oracle Corp. | 2.875% | 3/25/2031 | 4,450,000 | 3,785,287 | ||||||||
Oracle Corp. | 5.375% | 7/15/2040 | 627,000 | 598,200 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 668,000 | 686,062 | ||||||||
Oracle Corp. | 6.25% | 11/9/2032 | 12,360,000 | 13,078,664 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 3,124,000 | 2,487,227 | ||||||||
Total | 20,635,440 | |||||||||||
Telecommunications 0.95% | ||||||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 10,197,000 | 9,764,353 | ||||||||
T-Mobile USA, Inc. | 3.50% | 4/15/2025 | 2,727,000 | 2,645,124 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 14,500,000 | 13,457,965 | ||||||||
Total | 25,867,442 | |||||||||||
Total Corporate Bonds (cost $1,063,347,557) | 1,023,642,112 |
42 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FLOATING RATE LOANS(d) 1.17% | ||||||||||||
Diversified Financial Services 0.20% | ||||||||||||
Avolon TLB Borrower 1 (US) LLC Term Loan B3 | 6.898% (1 mo. USD LIBOR + 1.75% | ) | 1/15/2025 | $ | 5,285,722 | $ | 5,272,190 | |||||
Entertainment 0.10% | ||||||||||||
Stars Group Holdings BV 2018 USD Incremental Term Loan (Netherlands)(a) | 7.409% (3 mo. USD LIBOR + 2.25% | ) | 7/21/2026 | 2,571,867 | 2,565,001 | |||||||
Lodging 0.46% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2019 Term Loan B2 | 6.95% (1 mo. USD Term SOFR + 1.75% | ) | 6/22/2026 | 12,596,033 | 12,546,026 | |||||||
Media 0.41% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B1 | 6.795% - 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 4/30/2025 | 11,249,038 | 11,239,476 | |||||||
Total Floating Rate Loans (cost $31,757,843) | 31,622,693 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(a) 3.59% | ||||||||||||
Canada 1.04% | ||||||||||||
Province of Quebec | 3.625% | 4/13/2028 | 28,806,000 | 28,211,226 | ||||||||
Japan 0.47% | ||||||||||||
Japan International Cooperation Agency | 4.00% | 5/23/2028 | 13,034,000 | 12,846,527 | ||||||||
Mexico 0.27% | ||||||||||||
Mexico Government International Bonds | 4.875% | 5/19/2033 | 7,745,000 | 7,412,358 | ||||||||
Panama 0.25% | ||||||||||||
Panama Government International Bonds | 2.252% | 9/29/2032 | 8,627,000 | 6,646,496 | ||||||||
Saudi Arabia 0.23% | ||||||||||||
Saudi Government International Bonds† | 4.875% | 7/18/2033 | 6,286,000 | 6,343,586 | ||||||||
Sweden 1.33% | ||||||||||||
Kommuninvest I Sverige AB† | 4.25% | 12/10/2025 | 14,166,000 | 14,115,905 | ||||||||
Svensk Exportkredit AB | 4.00% | 7/15/2025 | 22,175,000 | 21,942,487 | ||||||||
Total | 36,058,392 | |||||||||||
Total Foreign Government Obligations (cost $98,552,381) | 97,518,585 |
See Notes to Financial Statements. | 43 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.62% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 001 Class XA | 2.112% | #(e) | 2/25/2032 | $ | 9,843,723 | $ | 739,971 | |||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 145 Class A2 | 2.58% | 5/25/2032 | 9,235,000 | 8,032,589 | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series G07 Class A2 | 3.123% | #(e) | 8/25/2032 | 8,934,000 | 8,104,492 | |||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $16,757,867) | 16,877,052 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 30.66% | ||||||||||||
Federal Home Loan Bank | 5.06% | # | 8/2/2023 | 42,175,000 | 42,175,121 | |||||||
Federal Home Loan Bank | 5.08% (SOFR + 2.00% | )# | 9/19/2023 | 39,745,000 | 39,774,584 | |||||||
Federal Home Loan Bank | 5.11% | # | 8/29/2023 | 44,125,000 | 44,125,869 | |||||||
Federal Home Loan Mortgage Corp. | 2.50% | 11/1/2050 - 5/1/2052 | 12,989,762 | 11,213,365 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 2/1/2046 | 2,861,043 | 2,690,998 | ||||||||
Federal Home Loan Mortgage Corp. | 4.50% | 8/1/2052 | 8,163,577 | 8,010,625 | ||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 - 8/1/2052 | 17,144,579 | 17,056,965 | ||||||||
Federal National Mortgage Association | 2.00% | 6/1/2051 - 11/1/2051 | 18,495,715 | 15,288,053 | ||||||||
Federal National Mortgage Association | 2.50% | 8/1/2050 - 5/1/2052 | 104,151,156 | 90,260,360 | ||||||||
Federal National Mortgage Association | 3.00% | 12/1/2048 - 1/1/2051 | 19,524,290 | 17,691,362 | ||||||||
Federal National Mortgage Association | 3.50% | 7/1/2045 - 4/1/2052 | 10,580,800 | 9,845,137 | ||||||||
Federal National Mortgage Association | 4.00% | 5/1/2052 - 6/1/2052 | 13,022,988 | 12,440,732 | ||||||||
Federal National Mortgage Association | 5.00% | 7/1/2052 - 8/1/2052 | 12,241,653 | 12,194,697 | ||||||||
Government National Mortgage Association(f) | 3.00% | TBA | 42,491,000 | 38,284,225 | ||||||||
Government National Mortgage Association(f) | 3.50% | TBA | 4,700,000 | 4,364,207 | ||||||||
Government National Mortgage Association(f) | 4.00% | TBA | 15,367,000 | 14,619,059 | ||||||||
Government National Mortgage Association(f) | 4.50% | TBA | 30,589,000 | 29,737,646 | ||||||||
Government National Mortgage Association(f) | 5.00% | TBA | 79,295,000 | 78,309,548 | ||||||||
Government National Mortgage Association(f) | 5.50% | TBA | 54,873,000 | 54,834,418 |
44 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Government National Mortgage Association(f) | 6.00% | TBA | $ | 58,739,000 | $ | 59,275,912 | ||||||
Government National Mortgage Association(f) | 6.50% | TBA | 41,801,000 | 42,503,126 | ||||||||
Uniform Mortgage-Backed Security(f) | 2.00% | TBA | 13,069,000 | 10,764,220 | ||||||||
Uniform Mortgage-Backed Security(f) | 3.00% | TBA | 15,211,000 | 13,518,479 | ||||||||
Uniform Mortgage-Backed Security(f) | 4.00% | TBA | 9,487,000 | 8,969,662 | ||||||||
Uniform Mortgage-Backed Security(f) | 4.50% | TBA | 9,484,000 | 9,191,145 | ||||||||
Uniform Mortgage-Backed Security(f) | 5.00% | TBA | 41,789,000 | 41,436,299 | ||||||||
Uniform Mortgage-Backed Security(f) | 5.50% | TBA | 62,603,000 | 62,723,766 | ||||||||
Uniform Mortgage-Backed Security(f) | 6.00% | TBA | 27,609,000 | 27,930,386 | ||||||||
Uniform Mortgage-Backed Security(f) | 6.50% | TBA | 12,946,000 | 13,244,365 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $840,011,033) | 832,474,331 | |||||||||||
MUNICIPAL BONDS 0.38% | ||||||||||||
Government 0.24% | ||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 2.69% | 5/1/2033 | 7,952,000 | 6,692,703 | ||||||||
Natural Gas 0.14% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.102% | 4/1/2035 | 3,619,000 | 3,713,444 | ||||||||
Total Municipal Bonds (cost $11,905,899) | 10,406,147 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 7.27% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(e) | 12/25/2059 | 143,291 | 134,576 | |||||||
Angel Oak Mortgage Trust Series 2021-3 Class A1† | 1.068% | #(e) | 5/25/2066 | 2,195,158 | 1,818,437 | |||||||
Angel Oak Mortgage Trust Series 2022-3 Class A1† | 4.00% | 1/25/2067 | 3,154,293 | 2,957,781 | ||||||||
Bank Series 2021-BN35 Class A5 | 2.285% | 6/15/2064 | 2,429,000 | 1,976,526 | ||||||||
Bank Series 2022-BNK44 Class A5 | 5.746% | #(e) | 11/15/2055 | 6,500,000 | 6,821,243 | |||||||
Bank Series 2022-BNK44 Class AS | 5.746% | #(e) | 11/15/2055 | 3,831,000 | 3,796,105 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class A† | 6.13% (1 mo. USD Term SOFR + 1.07% | )# | 11/15/2034 | 1,410,000 | 1,162,394 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.484% (1 mo. USD Term SOFR + 1.42% | )# | 11/15/2034 | 614,000 | 493,341 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 7/15/2035 | 3,060,000 | 2,977,621 |
See Notes to Financial Statements. | 45 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BMO Mortgage Trust Series 2023-C5 Class A4(g) | 5.494% | 6/15/2056 | $ | 5,468,000 | $ | 5,589,099 | ||||||
BRAVO Residential Funding Trust Series 2021-NQM2 Class A1† | 0.97% | #(e) | 3/25/2060 | 4,317,611 | 4,029,822 | |||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 5.796% (1 mo. USD LIBOR + 0.69% | )# | 10/15/2038 | 2,352,003 | 2,275,497 | |||||||
BX Trust Series 2018-GW Class A† | 6.157% (1 mo. USD LIBOR + 0.80% | )# | 5/15/2035 | 4,710,000 | 4,642,871 | |||||||
BX Trust Series 2021-ARIA Class E† | 7.352% (1 mo. USD LIBOR + 2.24% | )# | 10/15/2036 | 3,830,000 | 3,609,930 | |||||||
BX Trust Series 2021-LBA Class AJV† | 5.975% (1 mo. USD Term SOFR + 0.91% | )# | 2/15/2036 | 1,973,177 | 1,910,023 | |||||||
CF Trust Series 2019-BOSS Class A1† | 8.357% (1 mo. USD LIBOR + 3.25% | )# | 12/15/2024 | 1,570,000 | 1,480,333 | |||||||
CIM Trust Series 2020-INV1 Class A2† | 2.50% | #(e) | 4/25/2050 | 5,773,654 | 4,816,853 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC21 Class XA | 1.12% | #(e) | 5/10/2047 | 12,900,329 | 83,011 | |||||||
Citigroup Mortgage Loan Trust Series 2022-INV1 Class A3B† | 3.00% | #(e) | 11/27/2051 | 5,529,229 | 4,684,830 | |||||||
COMM Mortgage Trust Series 2014-CR17 Class AM | 4.174% | 5/10/2047 | 5,290,000 | 5,120,689 | ||||||||
COMM Mortgage Trust Series 2015-LC21 Class AM | 4.043% | #(e) | 7/10/2048 | 4,547,000 | 4,272,779 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class XA | 0.927% | #(e) | 8/10/2047 | 2,342,305 | 17,242 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS4 Class D† | 4.712% | #(e) | 8/10/2047 | 4,130,000 | 2,920,304 | |||||||
Credit Suisse Mortgage Capital Certificates Series 2020-SPT1 Class A1† | 1.616% | (c) | 4/25/2065 | 220,322 | 216,426 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | (c) | 5/25/2065 | 540,069 | 489,182 | |||||||
CSMC Trust Series 2020-AFC1 Class A1† | 2.24% | #(e) | 2/25/2050 | 526,252 | 489,938 | |||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(e) | 8/25/2066 | 4,414,666 | 3,769,248 | |||||||
Ellington Financial Mortgage Trust Series 2020-1 Class A1† | 2.006% | #(e) | 5/25/2065 | 489,398 | 468,231 | |||||||
Ellington Financial Mortgage Trust Series 2023-1 Class A1† | 5.732% | (c) | 2/25/2068 | 3,407,273 | 3,390,928 |
46 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
EQUS Mortgage Trust Series 2021-EQAZ Class A† | 5.862% (1 mo. USD LIBOR + 0.75% | )# | 10/15/2038 | $ | 3,720,925 | $ | 3,604,522 | |||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2023-HQA1 Class M1A† | 6.923% | )# | 5/25/2043 | 4,000,000 | 4,001,545 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2022-HQA2 Class M1A† | 7.623% (30 day USD SOFR Average + 2.65% | )# | 7/25/2042 | 2,132,695 | 2,165,885 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2023-DNA2 Class M1A† | 7.081% (30 day USD SOFR Average + 2.10% | )# | 4/25/2043 | 6,112,474 | 6,145,648 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R02 Class 2M2† | 6.973% (30 day USD SOFR Average + 2.00% | )# | 11/25/2041 | 2,289,609 | 2,191,157 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2021-R01 Class 1M2† | 6.523% (30 day USD SOFR Average + 1.55% | )# | 10/25/2041 | 2,391,990 | 2,339,619 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R08 Class 1M1† | 7.523% (30 day USD SOFR Average + 2.55% | )# | 7/25/2042 | 3,227,227 | 3,265,680 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.381% (30 day USD SOFR Average + 2.40% | )# | 12/25/2042 | 4,053,457 | 4,084,643 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R02 Class 1M1† | 7.273% (30 day USD SOFR Average + 2.30% | )# | 1/25/2043 | 9,289,098 | 9,354,963 | |||||||
Flagstar Mortgage Trust Series 2021-11IN Class A20† | 3.00% | #(e) | 11/25/2051 | 4,300,459 | 3,643,713 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA6 Class M2† | 6.473% (30 day USD SOFR Average + 1.50% | )# | 10/25/2041 | 2,866,665 | 2,787,466 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA7 Class M2† | 6.773% (30 day USD SOFR Average + 1.80% | )# | 11/25/2041 | 2,885,279 | 2,769,748 |
See Notes to Financial Statements. | 47 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA4 Class M1† | 5.923% (30 day USD SOFR Average + 0.95% | )# | 12/25/2041 | $ | 1,752,901 | $ | 1,693,878 | |||||
Freddie Mac STACR REMIC Trust Series 2022-DNA3 Class M1B† | 7.873% (30 day USD SOFR Average + 2.90% | )# | 4/25/2042 | 3,499,000 | 3,492,202 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-HQA3 Class M1A† | 7.273% (30 day USD SOFR Average + 2.30% | )# | 8/25/2042 | 5,742,924 | 5,750,081 | |||||||
GCAT Trust Series 2020-NQM2 Class A1† | 1.555% | (c) | 4/25/2065 | 952,553 | 867,725 | |||||||
GCAT Trust Series 2023-NQM1 Class A1† | 4.25% | #(e) | 10/25/2057 | 9,185,230 | 8,563,787 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.208% (1 mo. USD Term SOFR + 1.15% | )# | 12/15/2036 | 5,580,000 | 5,509,055 | |||||||
GS Mortgage Securities Corp. Trust Series 2018-RIVR Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 7/15/2035 | 1,245,854 | 1,138,439 | |||||||
GS Mortgage Securities Corp. Trust Series 2022-ECI Class A† | 7.254% (1 mo. USD Term SOFR + 2.19% | )# | 8/15/2039 | 3,190,000 | 3,189,863 | |||||||
GS Mortgage Securities Trust Series 2021-PJ2 Class A2† | 2.50% | #(e) | 7/25/2051 | 8,566,412 | 7,001,530 | |||||||
GS Mortgage Securities Trust Series 2023-PJ1 Class A4† | 3.50% | #(e) | 2/25/2053 | 4,441,844 | 3,895,207 | |||||||
GS Mortgage-Backed Securities Corp. Trust Series 2020-PJ4 Class A2† | 3.00% | #(e) | 1/25/2051 | 2,579,295 | 2,223,550 | |||||||
Hilton Orlando Trust Series 2018-ORL Class A† | 6.127% (1 mo. USD LIBOR + 1.02% | )# | 12/15/2034 | 1,920,000 | 1,894,255 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class B7† | 4.666% | 8/5/2034 | 2,240,000 | 1,888,999 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-C30 Class C | 4.227% | #(e) | 7/15/2048 | 2,449,000 | 2,104,387 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.377% (1 mo. USD LIBOR + 1.27% | )# | 11/15/2035 | 956,000 | 922,080 | |||||||
JP Morgan Mortgage Trust Series 2021-3 Class A3† | 2.50% | #(e) | 7/25/2051 | 5,353,273 | 4,373,890 | |||||||
JP Morgan Mortgage Trust Series 2021-INV8 Class A2† | 3.00% | #(e) | 5/25/2052 | 4,712,058 | 4,004,188 | |||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(e) | 1/26/2060 | 69,928 | 64,090 |
48 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
ReadyCap Commercial Mortgage Trust Series 2019-6 Class A† | 2.833% | 10/25/2052 | $ | 466,395 | $ | 435,767 | ||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(e) | 1/26/2060 | 93,443 | 88,533 | |||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(e) | 2/25/2050 | 32,722 | 31,065 | |||||||
Starwood Mortgage Residential Trust Series 2020-3 Class A1† | 1.486% | #(e) | 4/25/2065 | 1,338,626 | 1,239,669 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 2.417% | (c) | 1/25/2060 | 284,150 | 267,472 | |||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (c) | 5/25/2065 | 1,003,442 | 922,856 | |||||||
Verus Securitization Trust Series 2020-INV1 Class A1† | 1.977% | #(e) | 3/25/2060 | 430,292 | 418,263 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(e) | 4/25/2065 | 750,228 | 668,593 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-NXS3 Class AS | 3.972% | #(e) | 9/15/2057 | 5,548,000 | 5,227,360 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2018-C45 Class A4 | 4.184% | 6/15/2051 | 7,100,000 | 6,754,057 | ||||||||
WFRBS Commercial Mortgage Trust Series 2014-C23 Class XA | 0.549% | #(e) | 10/15/2057 | 17,077,228 | 84,662 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $202,518,474) | 197,485,352 | |||||||||||
U.S. TREASURY OBLIGATIONS 17.15% | ||||||||||||
U.S. Treasury Bonds | 2.25% | 5/15/2041 | 20,190,000 | 15,629,505 | ||||||||
U.S. Treasury Bonds | 3.625% | 5/15/2053 | 83,328,000 | 80,196,690 | ||||||||
U.S. Treasury Bonds | 3.875% | 5/15/2043 | 128,700,000 | 126,397,477 | ||||||||
U.S. Treasury Inflation-Indexed Bonds(h) | 1.50% | 2/15/2053 | 23,902,428 | 23,194,692 | ||||||||
U.S. Treasury Notes | 3.50% | 4/30/2028 | 113,702,000 | 112,262,959 | ||||||||
U.S. Treasury Notes | 3.875% | 3/31/2025 | 76,317,000 | 75,440,547 | ||||||||
U.S. Treasury Notes | 3.875% | 4/30/2025 | 32,800,000 | 32,445,094 | ||||||||
Total U.S. Treasury Obligations (cost $467,564,171) | 465,566,964 | |||||||||||
Total Long-Term Investments (cost $3,109,137,448) | 3,045,512,615 |
See Notes to Financial Statements. | 49 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 6.15% | ||||||||||||
COMMERCIAL PAPER 1.31% | ||||||||||||
Commercial Services 0.51% | ||||||||||||
Global Payments, Inc. | 5.912% | 6/1/2023 | $ | 13,853,000 | $ | 13,853,000 | ||||||
Electric 0.35% | ||||||||||||
RWE AG | 6.019% | 7/11/2023 | 9,741,000 | 9,677,683 | ||||||||
Finance 0.45% | ||||||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.183% | 7/18/2023 | 12,239,000 | 12,143,128 | ||||||||
Total Commercial Paper (cost $35,673,811) | 35,673,811 | |||||||||||
U.S. TREASURY OBLIGATIONS 2.71% | ||||||||||||
U.S. Treasury Bills | Zero Coupon | 6/20/2023 | 35,984,000 | 35,886,882 | ||||||||
U.S. Treasury Bills | Zero Coupon | 11/24/2023 | 38,556,000 | 37,575,789 | ||||||||
Total U.S. Treasury Obligations (cost $73,473,089) | 73,462,671 | |||||||||||
REPURCHASE AGREEMENTS 2.13% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 5.080% due 6/1/2023 with Barclays Bank plc collateralized by $35,623,000 of U.S. Treasury Note at 3.750% due 5/31/2030; value: $35,699,589; proceeds: $35,004,537 (cost $34,999,598) | 34,999,598 | 34,999,598 | ||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $24,253,500 of U.S. Treasury Note at 2.500% due 2/28/2026; $33,600 of U.S. Treasury Note at 4.625% due 3/15/2026; value: $23,401,087; proceeds: $22,943,888 (cost $22,942,231) | 22,942,231 | 22,942,231 | ||||||||||
Total Repurchase Agreements (cost $57,941,829) | 57,941,829 | |||||||||||
Total Short-Term Investments (cost $167,088,729) | 167,078,311 | |||||||||||
Total Investments in Securities 118.30% (cost $3,276,226,177) | 3,212,590,926 | |||||||||||
Other Assets and Liabilities – Net(i) (18.30)% | (496,862,974 | ) | ||||||||||
Net Assets 100.00% | $ | 2,715,727,952 |
EUR | Euro. |
CMT | Constant Maturity Rate. |
LIBOR | London Interbank Offered Rate. |
REITS | Real Estate Investment Trusts. |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $690,584,059, which represents 25.43% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Investment in non-U.S. dollar denominated securities. |
50 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2023
(c) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(d) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(e) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(f) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(g) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(h) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(i) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows: |
Forward Foreign Currency Exchange Contracts at May 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 6,025,000 | $ | 6,596,959 | $ | 6,444,136 | $ | (152,823 | ) | |||||||||
Euro | Buy | State Street Bank and Trust | 6/13/2023 | 4,267,000 | 4,611,056 | 4,563,839 | (47,217 | ) | ||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 28,138,000 | 29,936,581 | 30,095,451 | (158,870 | ) | ||||||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (358,910 | ) |
Futures Contracts at May 31, 2023:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2023 | 256 | Long | $ | 29,218,948 | $ | 29,304,000 | $ | 85,052 | |||||||||
U.S. Ultra Treasury Bond | September 2023 | 1,110 | Long | 149,710,131 | 151,931,250 | 2,221,119 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 2,306,171 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Bobl | September 2023 | 57 | Short | EUR | (6,660,299 | ) | EUR | (6,695,220 | ) | $ | (37,327 | ) | ||||||
Euro-Bund | September 2023 | 89 | Short | (12,036,323 | ) | (12,043,480 | ) | (7,650 | ) | |||||||||
U.S. 10-Year Ultra Treasury Bond | September 2023 | 314 | Short | $ | (37,613,402 | ) | $ | (37,822,281 | ) | (208,879 | ) | |||||||
U.S. 2-Year Treasury Note | September 2023 | 1,261 | Long | 259,680,728 | 259,549,267 | (131,461 | ) | |||||||||||
U.S. 5-Year Treasury Note | September 2023 | 948 | Long | 103,533,687 | 103,406,063 | (127,624 | ) | |||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (512,941 | ) |
See Notes to Financial Statements. | 51 |
Schedule of Investments (unaudited)(concluded)
CORE FIXED INCOME FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 369,919,379 | $ | – | $ | 369,919,379 | ||||||||
Corporate Bonds | – | 1,023,642,112 | – | 1,023,642,112 | ||||||||||||
Floating Rate Loans | – | 31,622,693 | – | 31,622,693 | ||||||||||||
Foreign Government Obligations | – | 97,518,585 | – | 97,518,585 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 16,877,052 | – | 16,877,052 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 832,474,331 | – | 832,474,331 | ||||||||||||
Municipal Bonds | – | 10,406,147 | – | 10,406,147 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 197,485,352 | – | 197,485,352 | ||||||||||||
U.S. Treasury Obligations | – | 465,566,964 | – | 465,566,964 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 35,673,811 | – | 35,673,811 | ||||||||||||
U.S. Treasury Obligations | – | 73,462,671 | – | 73,462,671 | ||||||||||||
Repurchase Agreements | – | 57,941,829 | – | 57,941,829 | ||||||||||||
Total | $ | – | $ | 3,212,590,926 | $ | – | $ | 3,212,590,926 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (358,910 | ) | – | (358,910 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 2,306,171 | – | – | 2,306,171 | ||||||||||||
Liabilities | (512,941 | ) | – | – | (512,941 | ) | ||||||||||
Total | $ | 1,793,230 | $ | (358,910 | ) | $ | – | $ | 1,434,320 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period in relation to the Fund’s net assets.
52 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 114.07% | ||||||||||||
ASSET-BACKED SECURITIES 14.27% | ||||||||||||
Automobiles 5.00% | ||||||||||||
Avid Automobile Receivables Trust Series 2019-1 Class C† | 3.14% | 7/15/2026 | $ | 207,339 | $ | 206,718 | ||||||
Avid Automobile Receivables Trust Series 2021-1 Class E† | 3.39% | 4/17/2028 | 950,000 | 861,687 | ||||||||
BMW Vehicle Lease Trust Series 2023-1 Class A4 | 5.07% | 6/25/2026 | 3,750,000 | 3,736,683 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-1 Class A2 | 2.71% | 6/16/2025 | 2,152,661 | 2,125,086 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class C | 5.19% | 1/16/2029 | 3,975,000 | 3,948,142 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class D | 6.27% | 11/15/2029 | 3,550,000 | 3,531,741 | ||||||||
CPS Auto Receivables Trust Series 2020-B Class D† | 4.75% | 4/15/2026 | 151,885 | 151,235 | ||||||||
CPS Auto Receivables Trust Series 2020-B Class E† | 7.38% | 6/15/2027 | 1,300,000 | 1,305,749 | ||||||||
Exeter Automobile Receivables Trust Series 2020-2A Class E† | 7.19% | 9/15/2027 | 1,300,000 | 1,311,547 | ||||||||
Exeter Automobile Receivables Trust Series 2022-3A Class B | 4.86% | 12/15/2026 | 2,000,000 | 1,974,449 | ||||||||
Flagship Credit Auto Trust Series 2019-3 Class E† | 3.84% | 12/15/2026 | 800,000 | 730,742 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 3,610,000 | 3,552,398 | ||||||||
Flagship Credit Auto Trust Series 2022-4 Class A3† | 6.32% | 6/15/2027 | 3,000,000 | 3,034,949 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A3† | 5.01% | 8/16/2027 | 2,850,000 | 2,819,204 | ||||||||
Flagship Credit Auto Trust Series 2023-2 Class E† | 10.89% | 7/15/2030 | 3,000,000 | 3,020,381 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class B | 5.29% | 6/15/2026 | 1,840,000 | 1,832,649 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class C | 5.54% | 12/15/2026 | 1,000,000 | 985,742 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-2 Class A2 | 2.93% | 10/21/2024 | 1,034,983 | 1,025,483 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class B | 5.51% | 1/20/2027 | 3,475,000 | 3,471,238 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class B | 5.54% | 5/20/2027 | 3,450,000 | 3,439,522 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1 Class A† | 3.63% | 9/14/2027 | 1,026,000 | 991,203 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1A Class C† | 4.19% | 11/14/2028 | 1,487,000 | 1,402,883 | ||||||||
Prestige Auto Receivables Trust Series 2021-1A Class E† | 3.47% | 3/15/2029 | 1,620,000 | 1,370,249 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class F† | 7.03% | 8/15/2028 | 2,588,000 | 2,590,536 |
See Notes to Financial Statements. | 53 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Santander Consumer Auto Receivables Trust Series 2021-AA Class F† | 5.79% | 8/15/2028 | $ | 750,000 | $ | 702,792 | ||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class C | 4.74% | 10/16/2028 | 1,730,000 | 1,693,439 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class C | 4.96% | 11/15/2028 | 4,490,000 | 4,410,632 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-1 Class C | 5.09% | 5/15/2030 | 1,150,000 | 1,136,482 | ||||||||
Tricolor Auto Securitization Trust Series 2021-1A Class E† | 3.23% | 9/15/2026 | 500,000 | 484,259 | ||||||||
Westlake Automobile Receivables Trust Series 2021-1A Class F† | 3.91% | 9/15/2027 | 1,100,000 | 1,028,063 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class A3† | 5.21% | 1/18/2028 | 3,205,000 | 3,185,611 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class C† | 5.74% | 8/15/2028 | 935,000 | 932,600 | ||||||||
Total | 62,994,094 | |||||||||||
Credit Card 1.35% | ||||||||||||
BA Credit Card Trust Series 2022-A2 Class A2 | 5.00% | 4/15/2028 | 3,275,000 | 3,293,927 | ||||||||
Capital One Multi-Asset Execution Trust Series 2005-B3 Class B3 | 5.81% (3 mo. USD LIBOR + 0.55% | )# | 5/15/2028 | 5,275,000 | 5,201,313 | |||||||
Discover Card Execution Note Trust Series 2022-A3 Class A3 | 3.56% | 7/15/2027 | 4,500,000 | 4,383,741 | ||||||||
Discover Card Execution Note Trust Series 2022-A4 Class A | 5.03% | 10/15/2027 | 2,965,000 | 2,980,444 | ||||||||
Perimeter Master Note Business Trust Series 2019-2A Class C† | 7.06% | 5/15/2024 | 750,000 | 709,257 | ||||||||
Perimeter Master Note Business Trust Series 2021-1A Class B† | 4.17% | 12/15/2026 | 500,000 | 467,999 | ||||||||
Total | 17,036,681 | |||||||||||
Other 7.62% | ||||||||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A† | 6.508% (1 mo. USD LIBOR + 1.40% | )# | 1/15/2037 | 2,150,000 | 2,088,233 | |||||||
Affirm Asset Securitization Trust Series 2022-A Class 1A† | 4.30% | 5/17/2027 | 1,995,000 | 1,902,449 | ||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 3,165,000 | 3,158,049 |
54 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Amur Equipment Finance Receivables IX LLC Series 2021-1A Class D† | 2.30% | 11/22/2027 | $ | 1,000,000 | $ | 924,090 | ||||||
Apidos CLO XXVI Series 2017-26A Class A2R† | 6.762% (3 mo. USD LIBOR + 1.50% | )# | 7/18/2029 | 380,000 | 371,297 | |||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 768,223 | 684,534 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class E† | 8.057% (1 mo. USD LIBOR + 2.95% | )# | 5/15/2036 | 130,000 | 120,544 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1 Class A† | 6.322% (30 day USD SOFR Average + 1.45% | )# | 1/15/2037 | 4,500,000 | 4,419,215 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL2 Class A† | 6.909% (1 mo. USD Term SOFR + 1.85% | )# | 5/15/2037 | 4,548,000 | 4,492,546 | |||||||
Ares XLII CLO Ltd. Series 2017-42A Class BR† | 6.773% (3 mo. USD LIBOR + 1.50% | )# | 1/22/2028 | 2,000,000 | 1,964,428 | |||||||
Avant Loans Funding Trust Series 2021-REV1 Class D† | 4.30% | 7/15/2030 | 825,000 | 737,624 | ||||||||
Avant Loans Funding Trust Series 2022-REV1 Class A† | 6.54% | 9/15/2031 | 2,435,000 | 2,412,596 | ||||||||
Bain Capital Credit CLO Ltd. Series 2021-1A Class A† | 6.322% (3 mo. USD LIBOR + 1.06% | )# | 4/18/2034 | 2,150,000 | 2,094,819 | |||||||
Bain Capital Credit CLO Series 2018-2A Class A1† | 6.345% (3 mo. USD LIBOR + 1.08% | )# | 7/19/2031 | 1,380,000 | 1,367,619 | |||||||
Bain Capital Credit CLO Series 2019-2A Class AR† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 10/17/2032 | 870,000 | 851,144 | |||||||
Ballyrock CLO Ltd. Series 2023-23A Class A1† | 6.971% (3 mo. USD Term SOFR + 1.98% | )# | 4/25/2036 | 2,950,000 | 2,955,249 | |||||||
Barings CLO Ltd. Series 2019-3A Class A1R† | 6.32% (3 mo. USD LIBOR + 1.07% | )# | 4/20/2031 | 500,000 | 492,956 | |||||||
BDS Ltd. Series 2021-FL7 Class A† | 6.181% (1 mo. USD LIBOR + 1.07% | )# | 6/16/2036 | 2,547,000 | 2,481,532 | |||||||
Benefit Street Partners CLO XVII Ltd. Series 2019-17A Class AR† | 6.34% (3 mo. USD LIBOR + 1.08% | )# | 7/15/2032 | 3,250,000 | 3,202,208 | |||||||
BlueMountain CLO Ltd. Series 2013-2A Class A1R† | 6.453% (3 mo. USD LIBOR + 1.18% | )# | 10/22/2030 | 1,748,412 | 1,738,855 | |||||||
BlueMountain CLO XXXI Ltd. Series 2021-31A Class A1† | 6.415% (3 mo. USD LIBOR + 1.15% | )# | 4/19/2034 | 2,010,000 | 1,962,363 |
See Notes to Financial Statements. | 55 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-3RA Class A1A† | 6.342% (3 mo. USD LIBOR + 1.05% | )# | 7/27/2031 | $ | 2,028,298 | $ | 2,011,333 | |||||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2031 | 716,308 | 707,710 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-1A Class A1AR† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 4/20/2031 | 870,000 | 856,636 | |||||||
Cedar Funding V CLO Ltd. Series 2016-5A Class A1R† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 7/17/2031 | 700,000 | 693,625 | |||||||
CIFC Funding V Ltd. Series 2014-5A Class A1R2† | 6.46% (3 mo. USD LIBOR + 1.20% | )# | 10/17/2031 | 410,000 | 405,837 | |||||||
Dryden 36 Senior Loan Fund Series 2014-36A Class BR3† | 6.698% (3 mo. USD Term SOFR + 1.71% | )# | 4/15/2029 | 1,590,000 | 1,565,622 | |||||||
Fairstone Financial Issuance Trust Series I 2020-1A Class D†(a) | 6.873% | 10/20/2039 | CAD | 781,000 | 563,755 | |||||||
Galaxy XXVIII CLO Ltd. Series 2018-28A Class A2† | 6.56% (3 mo. USD LIBOR + 1.30% | )# | 7/15/2031 | $ | 2,750,000 | 2,729,144 | ||||||
Generate CLO 2 Ltd. Series 2A Class AR† | 6.423% (3 mo. USD LIBOR + 1.15% | )# | 1/22/2031 | 248,307 | �� | 245,775 | ||||||
Grippen Park CLO Ltd. Series 2017-1A Class B† | 6.90% (3 mo. USD LIBOR + 1.65% | )# | 1/20/2030 | 550,000 | 540,232 | |||||||
HGI CRE CLO Ltd. Series 2021-FL2 Class B† | 6.605% (1 mo. USD LIBOR + 1.50% | )# | 9/17/2036 | 980,000 | 938,483 | |||||||
Jamestown CLO VI-R Ltd. Series 2018-6RA Class A1† | 6.405% (3 mo. USD LIBOR + 1.15% | )# | 4/25/2030 | 367,809 | 363,647 | |||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 3,000,000 | 2,686,740 | ||||||||
Lending Funding Trust Series 2020-2A Class D† | 6.77% | 4/21/2031 | 630,000 | 551,310 | ||||||||
Lendmark Funding Trust Series 2021-1A Class A† | 5.12% | 7/20/2032 | 1,500,000 | 1,471,445 | ||||||||
Lendmark Funding Trust Series 2021-2A Class D† | 4.46% | 4/20/2032 | 725,000 | 550,463 | ||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.456% (30 day USD SOFR Average + 1.55% | )# | 1/17/2037 | 1,530,000 | 1,504,102 | |||||||
Madison Park Funding XXIV Ltd. Series 2016-24A Class BR† | 7.06% (3 mo. USD Term SOFR + 2.01% | )# | 10/20/2029 | 2,450,000 | 2,409,933 | |||||||
Magnetite VII Ltd. Series 2012-7A Class A1R2† | 6.06% (3 mo. USD LIBOR + 0.80% | )# | 1/15/2028 | 1,306,477 | 1,295,699 |
56 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Marble Point CLO XVII Ltd. Series 2020-1A Class A† | 6.55% (3 mo. USD LIBOR + 1.30% | )# | 4/20/2033 | $ | 428,920 | $ | 420,770 | |||||
Mariner Finance Issuance Trust Series 2021-AA Class E† | 5.40% | 3/20/2036 | 550,000 | 442,434 | ||||||||
Mariner Finance Issuance Trust Series 2021-BA Class E† | 4.68% | 11/20/2036 | 400,000 | 311,425 | ||||||||
Marlette Funding Trust Series 2021-3A Class B† | 1.30% | 12/15/2031 | 1,100,000 | 1,060,846 | ||||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 3,606,205 | 3,523,716 | ||||||||
MF1 LLC Series 2022-FL9 Class A† | 7.223% (1 mo. USD Term SOFR + 2.15% | )# | 6/19/2037 | 5,897,000 | 5,878,424 | |||||||
MF1 Ltd. Series 2022-FL8 Class A† | 6.273% (30 day USD SOFR Average + 1.35% | )# | 2/19/2037 | 1,900,000 | 1,855,712 | |||||||
Mountain View CLO LLC Series 2017-1A Class BR† | 7.01% (3 mo. USD LIBOR + 1.75% | )# | 10/16/2029 | 250,000 | 245,682 | |||||||
Octagon Investment Partners XV Ltd. Series 2013-1A Class A1RR† | 6.235% (3 mo. USD LIBOR + 0.97% | )# | 7/19/2030 | 1,909,220 | 1,893,288 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 87,137 | 85,759 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class A† | 1.75% | 9/14/2035 | 1,700,000 | 1,531,341 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class D† | 3.45% | 9/14/2035 | 280,000 | 238,884 | ||||||||
Orange Lake Timeshare Trust Series 2019-A Class A† | 3.06% | 4/9/2038 | 12,011 | 11,501 | ||||||||
Post Road Equipment Finance Series 2021-1 Class A2† | 4.88% | 11/15/2028 | 1,674,000 | 1,629,978 | ||||||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.63% (3 mo. USD LIBOR + 1.38% | )# | 1/20/2033 | 1,500,000 | 1,483,800 | |||||||
Rockford Tower CLO Ltd. Series 2018-1A Class A† | 6.479% (3 mo. USD LIBOR + 1.10% | )# | 5/20/2031 | 980,022 | 964,856 | |||||||
Romark CLO Ltd. Series 2017-1A Class A2R† | 6.923% (3 mo. USD LIBOR + 1.65% | )# | 10/23/2030 | 830,000 | 807,356 | |||||||
SCF Equipment Leasing LLC Series 2019-2A Class B† | 2.76% | 8/20/2026 | 402,000 | 389,989 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class E† | 3.56% | 8/20/2032 | 2,252,000 | 2,069,044 | ||||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 3,069,308 | 2,714,543 |
See Notes to Financial Statements. | 57 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Signal Peak CLO Ltd. Series 2020-8A Class A† | 6.52% (3 mo. USD LIBOR + 1.27% | )# | 4/20/2033 | $ | 2,000,000 | $ | 1,964,042 | |||||
Sunrun Demeter Issuer LLC Series 2021-2A Class A† | 2.27% | 1/30/2057 | 648,444 | 518,926 | ||||||||
TCW CLO Ltd. Series 2022 1A Class A1† | 6.411% (3 mo. USD Term SOFR + 1.34% | )# | 4/22/2033 | 1,000,000 | 983,250 | |||||||
TICP CLO IX Ltd. Series 2017-9A Class A† | 6.39% (3 mo. USD LIBOR + 1.14% | )# | 1/20/2031 | 1,557,767 | 1,544,929 | |||||||
TRTX Issuer Ltd. Series 2019-FL3 Class C† | 7.281% (1 mo. USD Term SOFR + 2.21% | )# | 10/15/2034 | 411,000 | 394,794 | |||||||
Upstart Securitization Trust Series 2021-2 Class B† | 1.75% | 6/20/2031 | 500,000 | 486,267 | ||||||||
Total | 95,965,397 | |||||||||||
Rec Vehicle Loan 0.30% | ||||||||||||
Octane Receivables Trust Series 2022-2A Class B† | 5.85% | 7/20/2028 | 3,828,000 | 3,796,595 | ||||||||
Total Asset-Backed Securities (cost $182,664,607) | 179,792,767 | |||||||||||
CORPORATE BONDS 54.41% | ||||||||||||
Aerospace/Defense 0.37% | ||||||||||||
Bombardier, Inc. (Canada)†(b) | 6.00% | 2/15/2028 | 1,762,000 | 1,627,329 | ||||||||
Spirit AeroSystems, Inc.† | 9.375% | 11/30/2029 | 1,038,000 | 1,106,890 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 2,121,000 | 1,882,451 | ||||||||
Total | 4,616,670 | |||||||||||
Agriculture 1.22% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 5,934,000 | 5,761,163 | ||||||||
Cargill, Inc. † | 4.00% | 6/22/2032 | 2,950,000 | 2,757,667 | ||||||||
Philip Morris International, Inc. | 5.625% | 11/17/2029 | 2,959,000 | 3,033,797 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 3.20% | 4/21/2031 | 1,208,000 | 968,239 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 4.90% | 4/21/2027 | 3,013,000 | 2,889,898 | ||||||||
Total | 15,410,764 | |||||||||||
Airlines 0.47% | ||||||||||||
Allegiant Travel Co.† | 7.25% | 8/15/2027 | 1,581,000 | 1,570,921 | ||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | 1,234,000 | 1,209,054 | ||||||||
American Airlines, Inc.† | 11.75% | 7/15/2025 | 1,040,000 | 1,140,158 | ||||||||
British Airways Pass-Through Trust Series 2020-1 Class A (United Kingdom)†(b) | 4.25% | 5/15/2034 | 662,391 | 617,042 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 517,000 | 531,395 |
58 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Airlines (continued) | ||||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | $ | 949,000 | $ | 883,331 | ||||||
Total | 5,951,901 | |||||||||||
Apparel 0.02% | ||||||||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 293,000 | 242,630 | ||||||||
Auto Manufacturers 0.78% | ||||||||||||
Ford Motor Co. | 3.25% | 2/12/2032 | 2,163,000 | 1,645,551 | ||||||||
Ford Motor Credit Co. LLC | 7.35% | 11/4/2027 | 3,034,000 | 3,068,421 | ||||||||
Nissan Motor Acceptance Co. LLC† | 1.125% | 9/16/2024 | 5,475,000 | 5,087,317 | ||||||||
Total | 9,801,289 | |||||||||||
Banks 13.35% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 3.324% (5 yr. CMT + 1.90% | )# | 3/13/2037 | 1,000,000 | 765,249 | |||||||
Bank of America Corp. | 2.087% (SOFR + 1.06% | )# | 6/14/2029 | 609,000 | 521,973 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32% | )# | 4/22/2032 | 10,431,000 | 8,627,120 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33% | )# | 4/2/2026 | 497,000 | 478,471 | |||||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23% | )# | 3/15/2025 | 2,752,000 | 2,699,501 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63% | )# | 7/21/2028 | 3,956,000 | 3,690,898 | |||||||
Bank of America Corp. | 3.97% (3 mo. USD Term SOFR + 1.33% | )# | 3/5/2029 | 5,514,000 | 5,206,167 | |||||||
Bank of New York Mellon Corp. | 4.596% (SOFR + 1.76% | )# | 7/26/2030 | 1,601,000 | 1,559,710 | |||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61% | )# | 4/26/2034 | 2,054,000 | 2,043,393 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 1,300,000 | 925,150 | ||||||||
BNG Bank NV (Netherlands)†(b) | 3.50% | 5/19/2028 | 6,314,000 | 6,163,506 | ||||||||
BNP Paribas SA (France)†(b) | 4.375% (5 yr. USD Swap + 1.48% | )# | 3/1/2033 | 1,500,000 | 1,372,672 | |||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15% | )# | 1/29/2031 | 2,000,000 | 1,702,118 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82% | )# | 1/10/2028 | 4,150,000 | 3,952,805 | |||||||
Citigroup, Inc. | 3.98% (3 mo. USD Term SOFR + 1.60% | )# | 3/20/2030 | 5,539,000 | 5,140,137 |
See Notes to Financial Statements. | 59 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37% | )# | 5/24/2025 | $ | 394,000 | $ | 387,790 | |||||
Citigroup, Inc. | 6.174% | # | 5/25/2034 | 5,733,000 | 5,817,508 | |||||||
Citizens Bank NA | 4.119% (SOFR + 1.40% | )# | 5/23/2025 | 3,212,000 | 3,005,609 | |||||||
Danske Bank AS (Denmark)†(b) | 3.773% (1 yr. CMT + 1.45% | )# | 3/28/2025 | 5,247,000 | 5,125,107 | |||||||
Danske Bank AS (Denmark)†(b) | 4.375% | 6/12/2028 | 800,000 | 751,562 | ||||||||
Danske Bank AS (Denmark)†(b) | 5.375% | 1/12/2024 | 1,360,000 | 1,349,636 | ||||||||
Discover Bank | 4.682% (5 yr. USD Swap + 1.73% | )# | 8/9/2028 | 1,475,000 | 1,358,536 | |||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72% | )# | 9/27/2025 | 2,652,000 | 2,481,007 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25% | )# | 7/21/2032 | 6,000,000 | 4,835,503 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46% | )# | 9/29/2025 | 4,081,000 | 3,948,280 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD LIBOR + 1.21% | )# | 3/11/2025 | 2,305,000 | 2,262,530 | |||||||
Huntington Bancshares, Inc. | 2.625% | 8/6/2024 | 3,056,000 | 2,892,444 | ||||||||
JPMorgan Chase & Co. | 2.58% (3 mo. USD Term SOFR + 1.25% | )# | 4/22/2032 | 4,000,000 | 3,332,260 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26% | )# | 1/25/2033 | 15,164,000 | 12,841,864 | |||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 3.90% | 3/12/2024 | 2,901,000 | 2,855,295 | ||||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85% | )# | 1/27/2034 | 2,637,000 | 2,435,413 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 3.624% | 6/3/2030 | 2,196,000 | 1,854,768 | ||||||||
Macquarie Group Ltd. (Australia)†(b) | 2.691% (SOFR + 1.44% | )# | 6/23/2032 | 980,000 | 782,551 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 4.654% (3 mo. USD LIBOR + 1.73% | )# | 3/27/2029 | 5,213,000 | 5,009,450 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 5.541% (1 yr. CMT + 1.50% | )# | 4/17/2026 | 1,447,000 | 1,445,264 | |||||||
Morgan Stanley | 2.239% (SOFR + 1.18% | )# | 7/21/2032 | 8,000,000 | 6,388,365 | |||||||
Morgan Stanley | 2.484% (SOFR + 1.36% | )# | 9/16/2036 | 1,170,000 | 884,046 | |||||||
Morgan Stanley | 4.00% | 7/23/2025 | 959,000 | 938,405 | ||||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.63% | )# | 1/23/2030 | 8,000,000 | 7,686,584 |
60 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Morgan Stanley | 5.05% (SOFR + 1.30% | )# | 1/28/2027 | $ | 1,335,000 | $ | 1,331,408 | |||||
National Australia Bank Ltd. (Australia)†(b) | 3.933% (5 yr. CMT + 1.88% | )# | 8/2/2034 | 1,425,000 | 1,235,849 | |||||||
Royal Bank of Canada (Canada)(b) | 6.00% | 11/1/2027 | 1,391,000 | 1,442,061 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73% | )# | 8/4/2033 | 2,430,000 | 2,261,013 | |||||||
Toronto-Dominion Bank (Canada)(b) | 4.456% | 6/8/2032 | 3,661,000 | 3,464,296 | ||||||||
U.S. Bancorp | 4.839% (SOFR + 1.60% | )# | 2/1/2034 | 2,457,000 | 2,306,730 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11% | )# | 7/22/2033 | 1,849,000 | 1,676,275 | |||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 3,045,000 | 3,000,360 | ||||||||
UBS Group AG (Switzerland)†(b) | 1.494% (1 yr. CMT + 0.85% | )# | 8/10/2027 | 2,499,000 | 2,156,063 | |||||||
UBS Group AG (Switzerland)†(b) | 5.711% (1 yr. CMT + 1.55% | )# | 1/12/2027 | 13,217,000 | 13,113,451 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | 2,358,000 | 2,219,646 | |||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 3,000,000 | 2,684,329 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50% | )# | 3/2/2033 | 2,457,000 | 2,112,205 | |||||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02% | )# | 4/24/2034 | 3,475,000 | 3,481,643 | |||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25% | )# | 6/15/2031 | 215,000 | 152,650 | |||||||
Total | 168,156,626 | |||||||||||
Beverages 0.21% | ||||||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 2,964,000 | 2,676,903 | ||||||||
Biotechnology 0.45% | ||||||||||||
Amgen, Inc.(c) | 5.25% | 3/2/2030 | 5,305,000 | 5,348,093 | ||||||||
Baxalta, Inc. | 4.00% | 6/23/2025 | 311,000 | 303,826 | ||||||||
Total | 5,651,919 | |||||||||||
Building Materials 0.45% | ||||||||||||
Eco Material Technologies, Inc.† | 7.875% | 1/31/2027 | 1,119,000 | 1,064,611 | ||||||||
Emerald Debt Merger Sub LLC† | 6.625% | 12/15/2030 | 1,866,000 | 1,853,404 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 1,726,000 | 1,607,624 |
See Notes to Financial Statements. | 61 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Standard Industries, Inc.† | 4.375% | 7/15/2030 | $ | 1,324,000 | $ | 1,119,311 | ||||||
Total | 5,644,950 | |||||||||||
Chemicals 0.87% | ||||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 1,487,000 | 1,291,947 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 4,782,000 | 4,267,391 | ||||||||
OCP SA (Malaysia)†(b) | 3.75% | 6/23/2031 | 2,230,000 | 1,835,818 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 1,279,000 | 1,241,333 | ||||||||
Sasol Financing USA LLC† | 8.75% | 5/3/2029 | 2,480,000 | 2,377,787 | ||||||||
Total | 11,014,276 | |||||||||||
Coal 0.12% | ||||||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | 1,800,000 | 1,483,931 | ||||||||
Commercial Services 0.52% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)(b) | 4.00% | 7/30/2027 | 1,900,000 | 1,641,590 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl (Luxembourg)†(b) | 4.625% | 6/1/2028 | 1,725,000 | 1,415,752 | ||||||||
Garda World Security Corp. (Canada)†(b) | 7.75% | 2/15/2028 | 1,875,000 | 1,882,566 | ||||||||
Global Payments, Inc. | 4.00% | 6/1/2023 | 1,635,000 | 1,635,000 | ||||||||
Total | 6,574,908 | |||||||||||
Computers 0.74% | ||||||||||||
Booz Allen Hamilton, Inc.† | 3.875% | 9/1/2028 | 3,113,000 | 2,794,354 | ||||||||
International Business Machines Corp.(a) | 1.50% | 5/23/2029 | EUR | 1,329,000 | 1,272,829 | |||||||
International Business Machines Corp.(a) | 3.75% | 2/6/2035 | EUR | 1,527,000 | 1,599,963 | |||||||
Leidos, Inc. | 5.75% | 3/15/2033 | $ | 3,641,000 | 3,617,847 | |||||||
Total | 9,284,993 | |||||||||||
Cosmetics/Personal Care 0.18% | ||||||||||||
Haleon U.S. Capital LLC | 3.625% | 3/24/2032 | 2,540,000 | 2,281,324 | ||||||||
Diversified Financial Services 3.17% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.875% | 1/16/2024 | 1,050,000 | 1,041,108 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Series 3NC1 (Ireland)(b) | 1.75% | 10/29/2024 | 3,000,000 | 2,816,748 | ||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 3,169,000 | 2,712,277 | ||||||||
American Express Co. | 4.42% (SOFR + 1.76% | )# | 8/3/2033 | 2,326,000 | 2,200,676 | |||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 315,000 | 281,531 |
62 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | $ | 4,000,000 | $ | 3,924,922 | ||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 2.125% | 2/21/2026 | 2,000,000 | 1,760,503 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 3.95% | 7/1/2024 | 500,000 | 483,793 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 11,371,000 | 10,534,550 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.25% | 5/15/2024 | 5,596,000 | 5,510,788 | ||||||||
Intercontinental Exchange, Inc. | 4.00% | 9/15/2027 | 3,973,000 | 3,905,868 | ||||||||
Navient Corp. | 5.50% | 3/15/2029 | 1,850,000 | 1,533,030 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 18,000 | 17,156 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 303,000 | 245,232 | ||||||||
OneMain Finance Corp. | 6.625% | 1/15/2028 | 1,579,000 | 1,431,077 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(b) | 5.50% | 2/15/2024 | 382,000 | 377,958 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(b) | 7.875% | 5/1/2027 | 1,309,000 | 1,182,721 | ||||||||
Total | 39,959,938 | |||||||||||
Electric 5.33% | ||||||||||||
AEP Texas, Inc. | 5.40% | 6/1/2033 | 1,516,000 | 1,519,591 | ||||||||
American Transmission Systems, Inc.† | 2.65% | 1/15/2032 | 4,000,000 | 3,322,704 | ||||||||
Ausgrid Finance Pty. Ltd. (Australia)†(b) | 4.35% | 8/1/2028 | 772,000 | 737,424 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 2,702,000 | 2,423,546 | ||||||||
CenterPoint Energy Houston Electric LLC | 4.95% | 4/1/2033 | 3,868,000 | 3,886,217 | ||||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 5,500,000 | 5,657,083 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 2,500,000 | 2,597,825 | ||||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 5,713,000 | 5,403,702 | ||||||||
Duke Energy Indiana LLC | 5.40% | 4/1/2053 | 3,000,000 | 2,983,925 | ||||||||
Electricite de France SA (France)†(b) | 6.25% | 5/23/2033 | 3,836,000 | 3,888,842 | ||||||||
Enel Finance International NV(a) | 0.50% | 6/17/2030 | EUR | 2,898,000 | 2,458,347 | |||||||
Entergy Corp. | 0.90% | 9/15/2025 | $ | 2,675,000 | 2,417,386 | |||||||
Eskom Holdings SOC Ltd. (South Africa)†(b) | 7.125% | 2/11/2025 | 1,100,000 | 1,056,564 | ||||||||
Indiana Michigan Power Co. | 5.625% | 4/1/2053 | 1,317,000 | 1,347,800 | ||||||||
Indianapolis Power & Light Co.† | 5.65% | 12/1/2032 | 3,849,000 | 3,975,363 | ||||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 5,640,000 | 5,114,001 | ||||||||
Minejesa Capital BV (Netherlands)†(b) | 4.625% | 8/10/2030 | 3,330,000 | 2,991,435 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 2,046,000 | 1,830,358 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 2,649,000 | 2,391,786 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 1,050,000 | 1,040,827 |
See Notes to Financial Statements. | 63 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Oklahoma Gas & Electric Co. | 5.40% | 1/15/2033 | $ | 3,311,000 | $ | 3,389,214 | ||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia)†(b) | 3.00% | 6/30/2030 | 2,575,000 | 2,209,940 | ||||||||
Southern Co. | 4.475% | (d) | 8/1/2024 | 4,523,000 | 4,457,677 | |||||||
Total | 67,101,557 | |||||||||||
Electronics 0.36% | ||||||||||||
Honeywell International, Inc.(a) | 4.125% | 11/2/2034 | EUR | 1,455,000 | 1,581,389 | |||||||
Trimble, Inc.(c) | 6.10% | 3/15/2033 | $ | 2,885,000 | 2,923,305 | |||||||
Total | 4,504,694 | |||||||||||
Energy-Alternate Sources 0.15% | ||||||||||||
Empresa Generadora de Electricidad Haina SA (Dominican Republic)†(b) | 5.625% | 11/8/2028 | 2,000,000 | 1,824,900 | ||||||||
Engineering & Construction 0.46% | ||||||||||||
Cellnex Finance Co. SA (Spain)†(b) | 3.875% | 7/7/2041 | 500,000 | 367,779 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 1,015,000 | 933,800 | ||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 3,332,000 | 3,305,402 | ||||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | 1,421,000 | 1,247,801 | ||||||||
Total | 5,854,782 | |||||||||||
Entertainment 0.69% | ||||||||||||
Caesars Entertainment, Inc.† | 4.625% | 10/15/2029 | 1,975,000 | 1,705,146 | ||||||||
Cinemark USA, Inc.† | 5.875% | 3/15/2026 | 1,303,000 | 1,239,909 | ||||||||
Jacobs Entertainment, Inc.† | 6.75% | 2/15/2029 | 983,000 | 864,013 | ||||||||
Penn Entertainment, Inc.† | 4.125% | 7/1/2029 | 1,089,000 | 879,547 | ||||||||
Warnermedia Holdings, Inc. | 3.428% | 3/15/2024 | 4,072,000 | 3,987,414 | ||||||||
Total | 8,676,029 | |||||||||||
Food 0.17% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 3.50% | 3/15/2029 | 764,000 | 665,592 | ||||||||
Lamb Weston Holdings, Inc.† | 4.125% | 1/31/2030 | 431,000 | 384,298 | ||||||||
Post Holdings, Inc.† | 4.625% | 4/15/2030 | 1,250,000 | 1,095,742 | ||||||||
Total | 2,145,632 | |||||||||||
Gas 1.20% | ||||||||||||
CenterPoint Energy Resources Corp. | 5.40% | 3/1/2033 | 2,822,000 | 2,872,647 | ||||||||
East Ohio Gas Co.† | 1.30% | 6/15/2025 | 2,649,000 | 2,440,464 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 2,836,000 | 2,657,935 |
64 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Gas (continued) | ||||||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | $ | 1,308,000 | $ | 1,299,217 | ||||||
NiSource, Inc. | 2.95% | 9/1/2029 | 3,977,000 | 3,507,337 | ||||||||
ONE Gas, Inc. | 1.10% | 3/11/2024 | 451,000 | 435,750 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 2,156,000 | 1,945,336 | ||||||||
Total | 15,158,686 | |||||||||||
Health Care-Products 0.38% | ||||||||||||
GE HealthCare Technologies, Inc.† | 5.65% | 11/15/2027 | 4,744,000 | 4,842,606 | ||||||||
Health Care-Services 3.03% | ||||||||||||
Catalent Pharma Solutions, Inc.† | 5.00% | 7/15/2027 | 1,326,000 | 1,207,335 | ||||||||
Centene Corp. | 2.45% | 7/15/2028 | 2,700,000 | 2,322,351 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 6,500,000 | 5,610,410 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 962,000 | 904,934 | ||||||||
CHS/Community Health Systems, Inc.† | 5.625% | 3/15/2027 | 1,308,000 | 1,120,920 | ||||||||
DaVita, Inc.† | 4.625% | 6/1/2030 | 1,372,000 | 1,176,847 | ||||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 2,750,000 | 2,324,126 | ||||||||
Elevance Health, Inc. | 5.125% | 2/15/2053 | 2,263,000 | 2,171,356 | ||||||||
Elevance Health, Inc. | 5.50% | 10/15/2032 | 2,250,000 | 2,327,216 | ||||||||
HCA, Inc. | 5.50% | 6/1/2033 | 3,205,000 | 3,200,423 | ||||||||
Humana, Inc. | 1.35% | 2/3/2027 | 2,892,000 | 2,539,757 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 3,486,000 | 3,663,381 | ||||||||
ModivCare Escrow Issuer, Inc.† | 5.00% | 10/1/2029 | 1,808,000 | 1,376,891 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 537,000 | 460,229 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 1,875,000 | 1,778,924 | ||||||||
Tenet Healthcare Corp.† | 6.75% | 5/15/2031 | 1,175,000 | 1,175,306 | ||||||||
U.S. Acute Care Solutions LLC† | 6.375% | 3/1/2026 | 1,416,000 | 1,201,533 | ||||||||
UnitedHealth Group, Inc. | 4.00% | 5/15/2029 | 3,741,000 | 3,619,780 | ||||||||
Total | 38,181,719 | |||||||||||
Insurance 1.18% | ||||||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 515,000 | 391,273 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 312,000 | 271,116 | ||||||||
F&G Global Funding† | 5.15% | 7/7/2025 | 1,250,000 | 1,220,401 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 4,577,000 | 4,388,180 | ||||||||
Jones Deslauriers Insurance Management, Inc. (Canada)†(b) | 8.50% | 3/15/2030 | 1,213,000 | 1,211,663 | ||||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 558,000 | 541,667 | ||||||||
Metropolitan Life Global Funding I† | 5.15% | 3/28/2033 | 2,672,000 | 2,668,113 |
See Notes to Financial Statements. | 65 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | $ | 3,753,000 | $ | 3,659,035 | ||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 393,000 | 466,184 | ||||||||
Total | 14,817,632 | |||||||||||
Internet 1.41% | ||||||||||||
Amazon.com, Inc. | 4.70% | 12/1/2032 | 7,612,000 | 7,722,558 | ||||||||
Gen Digital, Inc.† | 7.125% | 9/30/2030 | 1,231,000 | 1,230,032 | ||||||||
Netflix, Inc. | 5.875% | 11/15/2028 | 2,924,000 | 3,033,399 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 2,559,000 | 2,715,206 | ||||||||
Prosus NV (Netherlands)†(b) | 3.257% | 1/19/2027 | 3,370,000 | 3,060,293 | ||||||||
Total | 17,761,488 | |||||||||||
Iron-Steel 0.14% | ||||||||||||
Commercial Metals Co. | 4.125% | 1/15/2030 | 424,000 | 372,699 | ||||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | 1,431,000 | 1,384,450 | ||||||||
Total | 1,757,149 | |||||||||||
Leisure Time 0.53% | ||||||||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 1,157,000 | 1,195,359 | ||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 1,201,000 | 1,164,978 | ||||||||
NCL Corp. Ltd.† | 5.875% | 2/15/2027 | 1,537,000 | 1,465,278 | ||||||||
Royal Caribbean Cruises Ltd.† | 5.375% | 7/15/2027 | 1,992,000 | 1,837,654 | ||||||||
Royal Caribbean Cruises Ltd.† | 8.25% | 1/15/2029 | 900,000 | 947,811 | ||||||||
Total | 6,611,080 | |||||||||||
Lodging 0.03% | ||||||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 364,000 | 338,779 | ||||||||
Machinery-Diversified 0.66% | ||||||||||||
Chart Industries, Inc.† | 9.50% | 1/1/2031 | 1,497,000 | 1,567,119 | ||||||||
nVent Finance Sarl (Luxembourg)(b) | 4.55% | 4/15/2028 | 5,416,000 | 5,117,112 | ||||||||
TK Elevator U.S. Newco, Inc.† | 5.25% | 7/15/2027 | 1,832,000 | 1,689,126 | ||||||||
Total | 8,373,357 | |||||||||||
Media 0.41% | ||||||||||||
DISH Network Corp.† | 11.75% | 11/15/2027 | 1,393,000 | 1,334,803 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 3,397,000 | 2,920,775 | ||||||||
Gray Escrow II, Inc.† | 5.375% | 11/15/2031 | 1,424,000 | 907,464 | ||||||||
Total | 5,163,042 |
66 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Mining 0.88% | ||||||||||||
Anglo American Capital PLC (United Kingdom)†(b) | 4.00% | 9/11/2027 | $ | 1,550,000 | $ | 1,469,086 | ||||||
Corp. Nacional del Cobre de Chile (Chile)†(b) | 5.125% | 2/2/2033 | 3,040,000 | 3,027,804 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(b) | 4.375% | 4/1/2031 | 2,438,000 | 2,062,655 | ||||||||
Glencore Funding LLC† | 4.875% | 3/12/2029 | 2,283,000 | 2,218,513 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 1,221,000 | 1,202,545 | ||||||||
Novelis Corp.† | 3.875% | 8/15/2031 | 1,414,000 | 1,162,812 | ||||||||
Total | 11,143,415 | |||||||||||
Miscellaneous Manufacturing 0.10% | ||||||||||||
LSB Industries, Inc.† | 6.25% | 10/15/2028 | 1,351,000 | 1,224,378 | ||||||||
Oil & Gas 4.32% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 2,334,000 | 2,148,167 | ||||||||
Baytex Energy Corp. (Canada)†(b) | 8.75% | 4/1/2027 | 1,628,000 | 1,646,847 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 296,000 | 300,706 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 1,742,000 | 1,705,509 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 1,174,000 | 1,027,491 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 8,823,000 | 8,412,040 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 1,794,000 | 1,738,772 | ||||||||
Diamondback Energy, Inc. | 3.125% | 3/24/2031 | 1,500,000 | 1,279,512 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 6,309,000 | 5,704,208 | ||||||||
Earthstone Energy Holdings LLC† | 8.00% | 4/15/2027 | 1,556,000 | 1,516,112 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 6,000,000 | 6,216,300 | ||||||||
Gulfport Energy Corp.† | 8.00% | 5/17/2026 | 1,253,517 | 1,251,718 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 2/1/2029 | 1,193,000 | 1,081,614 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 168,000 | 170,900 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 1,200,000 | 1,222,224 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 1,576,000 | 1,644,414 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 2,245,000 | 2,226,009 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 3,152,000 | 2,774,816 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 6.00% | 2/15/2028 | 1,167,000 | 1,087,002 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 745,000 | 743,398 | ||||||||
Permian Resources Operating LLC† | 7.75% | 2/15/2026 | 1,160,000 | 1,169,541 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 6.70% | 2/16/2032 | 2,817,000 | 2,113,325 | ||||||||
Precision Drilling Corp. (Canada)†(b) | 6.875% | 1/15/2029 | 1,795,000 | 1,609,385 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 1,254,000 | 1,153,705 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 1,166,000 | 1,122,357 | ||||||||
Vermilion Energy, Inc. (Canada)†(b) | 6.875% | 5/1/2030 | 2,925,000 | 2,665,041 | ||||||||
Vital Energy, Inc. | 9.50% | 1/15/2025 | 765,000 | 757,478 | ||||||||
Total | 54,488,591 |
See Notes to Financial Statements. | 67 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas Services 0.17% | ||||||||||||
NOV, Inc. | 3.60% | 12/1/2029 | $ | 2,450,000 | $ | 2,195,242 | ||||||
Packaging & Containers 0.28% | ||||||||||||
Owens-Brockway Glass Container, Inc.† | 6.625% | 5/13/2027 | 1,120,000 | 1,119,608 | ||||||||
Pactiv Evergreen Group Issuer LLC/Pactiv | ||||||||||||
Evergreen Group Issuer, Inc.† | 4.375% | 10/15/2028 | 2,822,000 | 2,459,387 | ||||||||
Total | 3,578,995 | |||||||||||
Pharmaceuticals 2.53% | ||||||||||||
180 Medical, Inc.† | 3.875% | 10/15/2029 | 866,000 | 758,397 | ||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 5,941,000 | 5,394,966 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 203,000 | 215,080 | ||||||||
Bayer U.S. Finance II LLC† | 4.25% | 12/15/2025 | 4,694,000 | 4,558,841 | ||||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | 1,124,000 | 1,140,607 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 5,376,000 | 4,581,143 | ||||||||
Cigna Group | 4.375% | 10/15/2028 | 292,000 | 284,753 | ||||||||
CVS Health Corp. | 1.75% | 8/21/2030 | 1,745,000 | 1,403,744 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 6,050,000 | 5,474,228 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 3,050,000 | 2,757,451 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(b) | 4.75% | 5/19/2033 | 5,295,000 | 5,318,759 | ||||||||
Total | 31,887,969 | |||||||||||
Pipelines 1.67% | ||||||||||||
Cheniere Energy Partners LP | 3.25% | 1/31/2032 | 1,700,000 | 1,392,808 | ||||||||
CNX Midstream Partners LP† | 4.75% | 4/15/2030 | 1,896,000 | 1,572,348 | ||||||||
EIG Pearl Holdings Sarl (Luxembourg)†(b) | 3.545% | 8/31/2036 | 3,600,000 | 3,069,274 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(b) | 3.25% | 9/30/2040 | 4,630,000 | 3,629,040 | ||||||||
Kinder Morgan Energy Partners LP | 4.25% | 9/1/2024 | 1,129,000 | 1,102,643 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 600,000 | 496,406 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 2,750,000 | 2,632,594 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 1,912,000 | 1,912,017 | ||||||||
TMS Issuer Sarl (Luxembourg)†(b) | 5.78% | 8/23/2032 | 3,000,000 | 3,128,640 | ||||||||
Venture Global Calcasieu Pass LLC† | 4.125% | 8/15/2031 | 938,000 | 809,704 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 1,230,000 | 1,237,663 | ||||||||
Total | 20,983,137 | |||||||||||
REITS 1.26% | ||||||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 1,912,000 | 1,837,526 | ||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 4,976,000 | 4,593,286 |
68 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
REITS (continued) | ||||||||||||
American Tower Corp. | 5.55% | 7/15/2033 | $ | 1,521,000 | $ | 1,531,644 | ||||||
Crown Castle, Inc. | 2.10% | 4/1/2031 | 3,000,000 | 2,419,126 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 4,627,000 | 4,090,391 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 701,000 | 607,979 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 831,000 | 826,204 | ||||||||
Total | 15,906,156 | |||||||||||
Retail 0.68% | ||||||||||||
7-Eleven, Inc.† | 0.80% | 2/10/2024 | 1,620,000 | 1,562,527 | ||||||||
Asbury Automotive Group, Inc.† | 5.00% | 2/15/2032 | 1,125,000 | 966,288 | ||||||||
Gap, Inc.† | 3.875% | 10/1/2031 | 1,865,000 | 1,288,765 | ||||||||
Lowe’s Cos., Inc. | 5.00% | 4/15/2033 | 3,567,000 | 3,535,344 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 1,377,000 | 1,219,041 | ||||||||
Total | 8,571,965 | |||||||||||
Semiconductors 0.22% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 2,413,000 | 2,173,329 | ||||||||
Microchip Technology, Inc. | 4.333% | 6/1/2023 | 598,000 | 598,000 | ||||||||
Total | 2,771,329 | |||||||||||
Software 1.37% | ||||||||||||
Cloud Software Group, Inc.† | 6.50% | 3/31/2029 | 1,790,000 | 1,584,754 | ||||||||
MSCI, Inc.† | 3.625% | 11/1/2031 | 3,879,000 | 3,242,762 | ||||||||
Oracle Corp. | 2.875% | 3/25/2031 | 3,491,000 | 2,969,536 | ||||||||
Oracle Corp. | 6.25% | 11/9/2032 | 3,185,000 | 3,370,190 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 1,484,000 | 1,272,664 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 3,000,000 | 2,388,502 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 2,750,000 | 2,480,948 | ||||||||
Total | 17,309,356 | |||||||||||
Telecommunications 1.73% | ||||||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 6,709,000 | 6,424,345 | ||||||||
Frontier Communications Holdings LLC† | 5.00% | 5/1/2028 | 2,159,000 | 1,810,203 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 2,226,000 | 2,381,744 | ||||||||
Sprint Capital Corp. | 8.75% | 3/15/2032 | 1,994,000 | 2,424,339 | ||||||||
T-Mobile USA, Inc. | 3.50% | 4/15/2025 | 814,000 | 789,560 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 8,600,000 | 7,981,966 | ||||||||
Total | 21,812,157 | |||||||||||
Trucking & Leasing 0.15% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 2,035,000 | 1,829,175 | ||||||||
Total Corporate Bonds (cost $700,743,658) | 685,568,019 |
See Notes to Financial Statements. | 69 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FLOATING RATE LOANS(e) 0.87% | ||||||||||||
Airlines 0.08% | ||||||||||||
Mileage Plus Holdings LLC 2020 Term Loan B | 10.213% (3 mo. USD LIBOR + 5.25% | ) | 6/21/2027 | $ | 944,444 | $ | 979,417 | |||||
Entertainment 0.09% | ||||||||||||
Stars Group Holdings BV 2018 USD Incremental Term Loan (Netherlands)(b) | 7.409% (3 mo. USD LIBOR + 2.25% | ) | 7/21/2026 | 1,209,190 | 1,205,962 | |||||||
Financial 0.02% | ||||||||||||
LPL Holdings, Inc. 2019 Term Loan B1 | 6.843% | 11/12/2026 | 319,800 | 317,267 | ||||||||
Lodging 0.24% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2019 Term Loan B2 | 6.95% (1 mo. USD Term SOFR + 1.75% | ) | 6/22/2026 | 3,000,000 | 2,988,090 | |||||||
Media 0.35% | ||||||||||||
Charter Communications Operating, LLC 2019 Term Loan B1 | 6.795% (1 mo. USD LIBOR | ) | 4/30/2025 | 3,314,669 | 3,311,852 | |||||||
Charter Communications Operating, LLC 2019 Term Loan B2 | 6.795% - 6.90% (3 mo. USD Term SOFR | ) | 2/1/2027 | 1,067,235 | 1,047,560 | |||||||
Total | 4,359,412 | |||||||||||
Utilities 0.09% | ||||||||||||
Vistra Operations Co. LLC 1st Lien Term Loan B3 | 6.858% - 6.90% (1 mo. USD LIBOR + 1.75% (3 mo. USD LIBOR + 1.75% | ) ) | 12/31/2025 | 1,096,885 | 1,090,029 | |||||||
Total Floating Rate Loans (cost $10,993,258) | 10,940,177 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(b) 3.90% | ||||||||||||
Canada 1.04% | ||||||||||||
Province of Quebec | 3.625% | 4/13/2028 | 13,441,000 | 13,163,476 | ||||||||
Costa Rica 0.18% | ||||||||||||
Costa Rica Government International Bonds† | 6.55% | 4/3/2034 | 2,240,000 | 2,266,320 |
70 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Japan 0.45% | ||||||||||||
Japan International Cooperation Agency | 4.00% | 5/23/2028 | $ | 5,690,000 | $ | 5,608,158 | ||||||
Mexico 0.28% | ||||||||||||
Mexico Government International Bonds | 4.875% | 5/19/2033 | 3,700,000 | 3,541,088 | ||||||||
Panama 0.23% | ||||||||||||
Panama Government International Bonds | 2.252% | 9/29/2032 | 3,830,000 | 2,950,745 | ||||||||
Saudi Arabia 0.23% | ||||||||||||
Saudi Government International Bonds† | 4.875% | 7/18/2033 | 2,906,000 | 2,932,622 | ||||||||
Senegal 0.10% | ||||||||||||
Senegal Government International Bonds† | 6.25% | 5/23/2033 | 1,500,000 | 1,200,210 | ||||||||
Sri Lanka 0.01% | ||||||||||||
Sri Lanka Government International Bonds†(f) | 5.875% | 7/25/2022 | 290,000 | 117,448 | ||||||||
Sweden 1.31% | ||||||||||||
Kommuninvest I Sverige AB† | 4.25% | 12/10/2025 | 6,272,000 | 6,249,820 | ||||||||
Svensk Exportkredit AB | 4.00% | 7/15/2025 | 10,378,000 | 10,269,183 | ||||||||
Total | 16,519,003 | |||||||||||
Turkey 0.07% | ||||||||||||
Turkiye Ihracat Kredi Bankasi AS† | 9.375% | 1/31/2026 | 900,000 | 867,033 | ||||||||
Total Foreign Government Obligations (cost $49,848,240) | 49,166,103 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.40% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 145 Class A2 | 2.58% | 5/25/2032 | 2,865,000 | 2,491,973 | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series G07 Class A2 | 3.123% | #(g) | 8/25/2032 | 2,769,000 | 2,511,903 | |||||||
Government National Mortgage Association Series 2017-76 Class AS | 2.65% | 11/16/2050 | 4,400 | 3,885 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $4,948,031) | 5,007,761 |
See Notes to Financial Statements. | 71 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 26.35% | ||||||||||||
Federal Home Loan Bank | 5.06% | # | 8/2/2023 | $ | 25,170,000 | $ | 25,170,072 | |||||
Federal Home Loan Bank | 5.08% (SOFR + 2.00% | )# | 9/19/2023 | 12,240,000 | 12,249,111 | |||||||
Federal Home Loan Mortgage Corp. | 2.50% | 11/1/2050 - 7/1/2051 | 7,105,451 | 6,132,806 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 2/1/2046 | 872,245 | 820,403 | ||||||||
Federal Home Loan Mortgage Corp. | 4.50% | 8/1/2052 | 2,203,023 | 2,161,747 | ||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 - 8/1/2052 | 4,829,266 | 4,804,896 | ||||||||
Federal National Mortgage Association | 2.00% | 6/1/2051 - 11/1/2051 | 1,893,771 | 1,564,539 | ||||||||
Federal National Mortgage Association | 2.50% | 1/1/2051 - 5/1/2052 | 16,774,283 | 14,503,461 | ||||||||
Federal National Mortgage Association | 3.00% | 12/1/2048 - 1/1/2051 | 1,697,189 | 1,535,404 | ||||||||
Federal National Mortgage Association | 3.50% | 7/1/2045 - 4/1/2052 | 3,228,069 | 3,002,660 | ||||||||
Federal National Mortgage Association | 4.00% | 5/1/2052 - 6/1/2052 | 3,374,822 | 3,223,322 | ||||||||
Federal National Mortgage Association | 5.00% | 7/1/2052 - 8/1/2052 | 3,461,107 | 3,447,994 | ||||||||
Government National Mortgage Association(h) | 3.00% | TBA | 15,617,000 | 14,070,856 | ||||||||
Government National Mortgage Association(h) | 3.50% | TBA | 4,661,000 | 4,327,993 | ||||||||
Government National Mortgage Association(h) | 4.00% | TBA | 5,432,000 | 5,167,614 | ||||||||
Government National Mortgage Association(h) | 4.50% | TBA | 7,586,000 | 7,374,866 | ||||||||
Government National Mortgage Association(h) | 5.00% | TBA | 44,519,000 | 43,965,758 | ||||||||
Government National Mortgage Association(h) | 5.50% | TBA | 31,265,000 | 31,243,017 | ||||||||
Government National Mortgage Association(h) | 6.00% | TBA | 32,659,000 | 32,957,524 | ||||||||
Government National Mortgage Association(h) | 6.50% | TBA | 14,619,000 | 14,864,554 | ||||||||
Uniform Mortgage-Backed Security(h) | 2.00% | TBA | 4,074,000 | 3,355,531 | ||||||||
Uniform Mortgage-Backed Security(h) | 2.50% | TBA | 7,849,000 | 6,720,246 | ||||||||
Uniform Mortgage-Backed Security(h) | 3.00% | TBA | 10,549,000 | 9,375,218 | ||||||||
Uniform Mortgage-Backed Security(h) | 3.50% | TBA | 6,455,000 | 5,936,835 | ||||||||
Uniform Mortgage-Backed Security(h) | 4.00% | TBA | 6,488,000 | 6,134,201 | ||||||||
Uniform Mortgage-Backed Security(h) | 4.50% | TBA | 4,007,000 | 3,883,268 | ||||||||
Uniform Mortgage-Backed Security(h) | 5.00% | TBA | 20,219,000 | 20,025,748 |
72 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Uniform Mortgage-Backed Security(h) | 5.50% | TBA | $ | 23,667,000 | $ | 23,721,581 | ||||||
Uniform Mortgage-Backed Security(h) | 6.00% | TBA | 12,860,000 | 13,009,699 | ||||||||
Uniform Mortgage-Backed Security(h) | 6.50% | TBA | 7,151,000 | 7,315,808 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $332,778,678) | 332,066,732 | |||||||||||
MUNICIPAL BONDS 0.28% | ||||||||||||
Government 0.14% | ||||||||||||
State of Illinois GO | 5.10% | 6/1/2033 | 1,760,000 | 1,741,723 | ||||||||
Natural Gas 0.14% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.102% | 4/1/2035 | 1,689,000 | 1,733,078 | ||||||||
Total Municipal Bonds (cost $3,462,022) | 3,474,801 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 7.18% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(g) | 12/25/2059 | 22,807 | 21,420 | |||||||
BBCMS Mortgage Trust Series 2018-TALL Class E† | 7.695% (1 mo. USD LIBOR + 2.59% | )# | 3/15/2037 | 64,000 | 38,621 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class A† | 6.13% (1 mo. USD Term SOFR + 1.07% | )# | 11/15/2034 | 311,000 | 256,386 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.484% (1 mo. USD Term SOFR + 1.42% | )# | 11/15/2034 | 87,000 | 69,903 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class C† | 6.784% (1 mo. USD Term SOFR + 1.72% | )# | 11/15/2034 | 350,000 | 270,558 | |||||||
BFLD Trust Series 2019-DPLO Class F† | 7.714% (1 mo. USD Term SOFR + 2.65% | )# | 10/15/2034 | 1,070,000 | 1,049,349 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 7/15/2035 | 3,384,409 | 3,293,296 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class C† | 7.007% (1 mo. USD LIBOR + 1.90% | )# | 7/15/2035 | 2,000,000 | 1,902,489 | |||||||
BMO Mortgage Trust Series 2023-C5 Class A4(i) | 5.494% | 6/15/2056 | 2,356,000 | 2,408,178 | ||||||||
BRAVO Residential Funding Trust Series 2021-NQM2 Class A1† | 0.97% | #(g) | 3/25/2060 | 1,052,240 | 982,103 | |||||||
BX Commercial Mortgage Trust Series 2021-ACNT Class A† | 5.958% (1 mo. USD LIBOR + 0.85% | )# | 11/15/2038 | 2,250,000 | 2,183,309 |
See Notes to Financial Statements. | 73 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 5.796% (1 mo. USD LIBOR + 0.69% | )# | 10/15/2038 | $ | 2,780,145 | $ | 2,689,713 | |||||
BX Trust Series 2021-ARIA Class E† | 7.352% (1 mo. USD LIBOR + 2.24% | )# | 10/15/2036 | 2,000,000 | 1,885,081 | |||||||
CF Trust Series 2019-BOSS Class A1† | 8.357% (1 mo. USD LIBOR + 3.25% | )# | 12/15/2024 | 222,000 | 209,321 | |||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class AS | 3.849% | 2/10/2049 | 97,572 | 90,198 | ||||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class D† | 2.85% | 2/10/2049 | 485,000 | 184,767 | ||||||||
Citigroup Mortgage Loan Trust Series 2022-INV1 Class A3B† | 3.00% | #(g) | 11/27/2051 | 2,497,071 | 2,115,730 | |||||||
COMM Mortgage Trust Series 2014-CR17 Class AM | 4.174% | 5/10/2047 | 2,170,000 | 2,100,547 | ||||||||
COMM Mortgage Trust Series 2015-LC21 Class AM | 4.043% | #(g) | 7/10/2048 | 1,994,000 | 1,873,745 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2012-LTRT Class A2† | 3.40% | 10/5/2030 | 87,196 | 76,391 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS4 Class D† | 4.712% | #(g) | 8/10/2047 | 835,000 | 590,425 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS6 Class B | 4.349% | #(g) | 12/10/2047 | 50,000 | 44,931 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2015-DC1 Class D† | 4.295% | #(g) | 2/10/2048 | 707,000 | 516,532 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2015-PC1 Class C | 4.293% | #(g) | 7/10/2050 | 10,000 | 8,730 | |||||||
Credit Suisse Mortgage Capital Certificates Series 2020-SPT1 Class A1† | 1.616% | (d) | 4/25/2065 | 33,419 | 32,828 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | (d) | 5/25/2065 | 272,792 | 247,089 | |||||||
CS Master Trust Series 2021-AHP Class A† | 9.115% (1 mo. USD Term SOFR + 4.06% | )# | 4/15/2025 | 400,000 | 399,213 | |||||||
CS Master Trust Series 2021-BLUF Class A† | 9.276% (1 mo. USD LIBOR + 4.18% | )# | 4/15/2023 | (j) | 200,000 | 190,853 | (k) | |||||
CSAIL Commercial Mortgage Trust Series 2019-C18 Class AS | 3.321% | 12/15/2052 | 214,129 | 181,611 | ||||||||
CSMC Trust Series 2020-AFC1 Class A1† | 2.24% | #(g) | 2/25/2050 | 71,693 | 66,746 | |||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(g) | 8/25/2066 | 2,560,672 | 2,186,305 | |||||||
Ellington Financial Mortgage Trust Series 2020-2 Class A1† | 1.178% | #(g) | 10/25/2065 | 43,893 | 39,625 |
74 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Ellington Financial Mortgage Trust Series 2023-1 Class A1† | 5.732% | (d) | 2/25/2068 | $ | 3,021,764 | $ | 3,007,269 | |||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2022-DNA2 Class M1B† | 7.373% (30 day USD SOFR Average + 2.40% | )# | 2/25/2042 | 1,800,000 | 1,778,876 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2023-HQA1 Class M1A† | 6.923% | # | 5/25/2043 | 1,850,000 | 1,850,714 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2023-DNA2 Class M1B† | 8.231% | # | 4/25/2043 | 2,450,000 | 2,459,760 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R02 Class 1M2† | 8.323% (30 day USD SOFR Average + 3.35% | )# | 1/25/2043 | 850,000 | 861,538 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2019-R05 Class 1B1† | 9.238% (1 mo. USD LIBOR + 4.10% | )# | 7/25/2039 | 1,210,056 | 1,244,381 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R05 Class 2M1† | 6.873% (30 day USD SOFR Average + 1.90% | )# | 4/25/2042 | 1,994,387 | 1,998,235 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R06 Class 1M1† | 7.723% (30 day USD SOFR Average + 2.75% | )# | 5/25/2042 | 1,596,032 | 1,633,361 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R08 Class 1M1† | 7.523% (30 day USD SOFR Average + 2.55% | )# | 7/25/2042 | 2,528,126 | 2,558,250 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.381% (30 day USD SOFR Average + 2.40% | )# | 12/25/2042 | 2,366,909 | 2,385,120 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R02 Class 1M1† | 7.273% (30 day USD SOFR Average + 2.30% | )# | 1/25/2043 | 2,062,113 | 2,076,734 | |||||||
Flagstar Mortgage Trust Series 2021-4 Class A1† | 2.50% | #(g) | 6/1/2051 | 4,985,403 | 4,062,272 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA3 Class M1† | 5.823% (30 day USD SOFR Average + 0.85% | )# | 9/25/2041 | 1,384,995 | 1,342,549 |
See Notes to Financial Statements. | 75 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA4 Class M1† | 5.923% (30 day USD SOFR Average + 0.95% | )# | 12/25/2041 | $ | 645,720 | $ | 623,978 | |||||
Freddie Mac STACR REMIC Trust Series 2022-HQA1 Class M1A† | 7.073% (30 day USD SOFR Average + 2.10% | )# | 3/25/2042 | 1,838,517 | 1,841,418 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-HQA3 Class M1A† | 7.273% (30 day USD SOFR Average + 2.30% | )# | 8/25/2042 | 3,139,759 | 3,143,672 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.208% (1 mo. USD Term SOFR + 1.15% | )# | 12/15/2036 | 512,000 | 505,490 | |||||||
GS Mortgage Securities Corp. Trust Series 2018-RIVR Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 7/15/2035 | 99,828 | 91,221 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-70P Class B† | 6.427% (1 mo. USD LIBOR + 1.32% | )# | 10/15/2036 | 812,724 | 758,919 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-70P Class XCP† | Zero Coupon | #(g) | 10/15/2036 | 86,776,000 | 1,623 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class B† | 6.607% (1 mo. USD LIBOR + 1.50% | )# | 8/15/2032 | 525,000 | 505,762 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class XCP† | Zero Coupon | #(g) | 8/15/2032 | 36,803,000 | (l) | 784 | ||||||
GS Mortgage Securities Corp. Trust Series 2022-ECI Class A† | 7.254% (1 mo. USD Term SOFR + 2.19% | )# | 8/15/2039 | 640,000 | 639,972 | |||||||
GS Mortgage Securities Corp. Trust Series 2023-FUN Class A† | 7.151% (1 mo. USD Term SOFR + 2.09% | )# | 3/15/2028 | 2,500,000 | 2,462,217 | |||||||
GS Mortgage Securities Trust Series 2014-GC26 Class C | 4.514% | #(g) | 11/10/2047 | 50,000 | 40,254 | (k) | ||||||
GS Mortgage Securities Trust Series 2021-PJ2 Class A2† | 2.50% | #(g) | 7/25/2051 | 2,082,687 | 1,702,229 | |||||||
GS Mortgage Securities Trust Series 2023-PJ1 Class A4† | 3.50% | #(g) | 2/25/2053 | 1,816,924 | 1,593,324 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class D† | 3.805% | #(g) | 6/10/2027 | 100,000 | 2,258 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.377% (1 mo. USD LIBOR + 1.27% | )# | 11/15/2035 | 10,000 | 9,645 |
76 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class B† | 6.707% (1 mo. USD LIBOR + 1.60% | )# | 11/15/2035 | $ | 10,000 | $ | 9,555 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class A† | 6.924% (1 mo. USD Term SOFR + 1.86% | )# | 9/15/2029 | 183,552 | 183,707 | (k) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class B† | 7.824% (1 mo. USD Term SOFR + 2.76% | )# | 9/15/2029 | 325,000 | 325,353 | (k) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class C† | 8.524% (1 mo. USD Term SOFR + 3.46% | )# | 9/15/2029 | 325,000 | 325,134 | (k) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class D† | 9.524% (1 mo. USD Term SOFR + 4.46% | )# | 9/15/2029 | 325,000 | 324,907 | (k) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class E† | 10.524% (1 mo. USD Term SOFR + 5.46% | )# | 9/15/2029 | 325,000 | 324,274 | (k) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2020-MKST Class E† | 7.607% (1 mo. USD LIBOR + 2.50% | )# | 12/15/2036 | 1,000,000 | 697,178 | |||||||
JP Morgan Mortgage Trust Series 2021-10 Class A3† | 2.50% | #(g) | 12/25/2051 | 3,872,788 | 3,155,677 | |||||||
JP Morgan Mortgage Trust Series 2021-4 Class A3† | 2.50% | #(g) | 8/25/2051 | 6,015,052 | 4,916,243 | |||||||
KIND Trust Series 2021-KIND Class D† | 7.474% (1 mo. USD Term SOFR + 2.41% | )# | 8/15/2038 | 466,628 | 422,465 | |||||||
MTN Commercial Mortgage Trust Series 2022-LPFL Class A† | 6.456% (1 mo. USD Term SOFR + 1.40% | )# | 3/15/2039 | 2,200,000 | 2,167,568 | |||||||
Natixis Commercial Mortgage Securities Trust Series 2018-285M Class A† | 3.79% | #(g) | 11/15/2032 | 50,000 | 46,764 | |||||||
Natixis Commercial Mortgage Securities Trust Series 2018-285M Class B† | 3.79% | #(g) | 11/15/2032 | 50,000 | 45,372 | |||||||
Prima Capital CRE Securitization Ltd. Series 2019-RK1 Class AG† | 4.00% | 4/15/2038 | 164,588 | 143,326 | (k) | |||||||
Prima Capital CRE Securitization Ltd. Series 2019-RK1 Class AT† | 4.45% | 4/15/2038 | 100,000 | 80,558 | (k) | |||||||
Ready Capital Mortgage Financing LLC Series 2022-FL8 Class A† | 6.631% (30 day USD SOFR Average + 1.65% | )# | 1/25/2037 | 1,288,742 | 1,268,742 |
See Notes to Financial Statements. | 77 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
ReadyCap Commercial Mortgage Trust Series 2019-6 Class A† | 2.833% | 10/25/2052 | $ | 347,168 | $ | 324,370 | ||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(g) | 1/26/2060 | 16,002 | 15,161 | |||||||
SG Commercial Mortgage Securities Trust Series 2019-787E Class X† | 0.305% | #(g) | 2/15/2041 | 1,217,000 | 21,287 | |||||||
SMRT Commercial Mortgage Trust Series 2022-MINI Class A† | 6.06% (1 mo. USD Term SOFR + 1.00% | )# | 1/15/2039 | 1,460,000 | 1,418,247 | |||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(g) | 2/25/2050 | 5,434 | 5,158 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 2.417% | (d) | 1/25/2060 | 43,414 | 40,866 | |||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (d) | 5/25/2065 | 1,244,787 | 1,144,819 | |||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (d) | 5/25/2065 | 268,967 | 244,619 | |||||||
Verus Securitization Trust Series 2021-5 Class A1† | 1.013% | #(g) | 9/25/2066 | 2,164,813 | 1,763,147 | |||||||
Verus Securitization Trust Series 2021-8 Class A1† | 1.824% | #(g) | 11/25/2066 | 1,218,808 | 1,042,799 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(g) | 4/25/2065 | 113,633 | 101,268 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 Class B | 4.254% | #(g) | 7/15/2046 | 494,000 | 375,833 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2017-C41 Class AS | 3.785% | #(g) | 11/15/2050 | 146,000 | 133,291 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $92,644,626) | 90,455,506 | |||||||||||
U.S. TREASURY OBLIGATIONS 6.41% | ||||||||||||
U.S. Treasury Bonds | 2.25% | 5/15/2041 | 4,904,000 | 3,796,290 | ||||||||
U.S. Treasury Bonds | 3.625% | 5/15/2053 | 19,619,000 | 18,881,755 | ||||||||
U.S. Treasury Bonds | 3.875% | 5/15/2043 | 42,450,000 | 41,690,543 | ||||||||
U.S. Treasury Inflation-Indexed Bonds(m) | 1.50% | 2/15/2053 | 11,133,889 | 10,804,222 | ||||||||
U.S. Treasury Notes | 3.875% | 4/30/2025 | 5,693,000 | 5,631,400 | ||||||||
Total U.S. Treasury Obligations (cost $80,871,599) | 80,804,210 | |||||||||||
Total Long-Term Investments (cost $1,458,954,719) | 1,437,276,076 |
78 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 4.98% | ||||||||||||
U.S. TREASURY OBLIGATIONS 2.07% | ||||||||||||
U.S. Treasury Bills (cost $26,066,402) | Zero Coupon | 11/24/2023 | $ | 26,743,000 | $ | 26,063,112 | ||||||
REPURCHASE AGREEMENTS 2.91% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 5.080% due 6/1/2023 with Barclays Bank plc collateralized by $25,445,000 of U.S. Treasury Note at 3.750% due 5/31/2030; value: $25,499,707; proceeds: $25,003,241 (cost $24,999,713) | 24,999,713 | 24,999,713 | ||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $13,124,300 of U.S. Treasury Note at 0.500% due 2/28/2026; value: $11,903,125; proceeds: $11,670,556 (cost $11,669,713) | 11,669,713 | 11,669,713 | ||||||||||
Total Repurchase Agreements (cost $36,669,426) | 36,669,426 | |||||||||||
Total Short-Term Investments (cost $62,735,828) | 62,732,538 | |||||||||||
Total Investments in Securities 119.05% (cost $1,521,690,547) | 1,500,008,614 | |||||||||||
Other Assets and Liabilities – Net(n) (19.05)% | (239,986,698 | ) | ||||||||||
Net Assets 100.00% | $ | 1,260,021,916 |
CAD | Canadian Dollar. |
EUR | Euro. |
CMT | Constant Maturity Rate. |
ICE | Intercontinental Exchange. |
LIBOR | London Interbank Offered Rate. |
REITS | Real Estate Investment Trusts. |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $502,421,683, which represents 39.87% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Securities purchased on a when-issued basis. | |
(d) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(f) | Defaulted (non-income producing security). | |
(g) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(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) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(j) | Maturity date has passed. As of May 31, 2023, an extension is available to June 15, 2024. | |
(k) | Level 3 Investment as described in Note 2(u) 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. |
See Notes to Financial Statements. | 79 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
(m) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(n) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
Centrally Cleared Credit Default Swap Contracts on Indexes - Sell Protection at May 31, 2023(1):
Referenced Indexes(2) | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(3) | Unrealized Appreciation(4) | Value | |||||||||||||||
Markit CDX.NA.HY.S40(5) | Goldman Sachs | 5.000% | 6/20/2028 | $42,519,000 | $445,612 | $7,928 | $453,540 |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap contracts agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap contracts 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 contracts less the recovery value of the referenced obligation or underlying securities. | |
(2) | The Referenced Index is for the Centrally Cleared Credit Default Swap Contracts on Indexes, which is comprised of a basket of high yield securities. | |
(3) | Upfront payments paid (received) by Central Clearing Party are presented net of amortization. | |
(4) | Total unrealized appreciation on Credit Default Swap Contracts on Indexes amounted to $7,928. Total unrealized depreciation on Credit Default Swap Contracts on Indexes amounted to $0. | |
(5) | Central Clearinghouse: Intercontinental Exchange (ICE). |
Forward Foreign Currency Exchange Contracts at May 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||
Canadian dollar | Sell | State Street Bank and Trust | 7/20/2023 | 775,000 | $576,826 | $571,555 | $5,271 | |||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 3,626,000 | $ 3,970,220 | $ 3,878,247 | $ (91,973 | ) | ||||||||
Euro | Buy | State Street Bank and Trust | 6/13/2023 | 2,082,000 | 2,249,876 | 2,226,837 | (23,039 | ) | ||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 12,102,000 | 12,875,560 | 12,943,889 | (68,329 | ) | ||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $(183,341 | ) |
80 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2023
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2023 | 71 | Long | $ | 8,103,773 | $ | 8,127,281 | $ | 23,508 | |||||||||
U.S. 2-Year Treasury Note | September 2023 | 893 | Long | 183,401,666 | 183,804,517 | 402,851 | ||||||||||||
U.S. Long Bond | September 2023 | 258 | Long | 32,810,100 | 33,112,687 | 302,587 | ||||||||||||
U.S. Ultra Treasury Bond | September 2023 | 601 | Long | 81,059,269 | 82,261,875 | 1,202,606 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 1,931,552 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Bobl | September 2023 | 15 | Short | EUR | (1,752,710 | ) | EUR | (1,761,900 | ) | $ | (9,823 | ) | ||||||
Euro-Bund | September 2023 | 36 | Short | (4,868,625 | ) | (4,871,520 | ) | (3,094 | ) | |||||||||
U.S. 10-Year Ultra Treasury Bond | September 2023 | 701 | Short | $ | (83,978,838 | ) | $ | (84,437,641 | ) | (458,803 | ) | |||||||
U.S. 5-Year Treasury Note | September 2023 | 124 | Long | 13,540,399 | 13,525,688 | (14,711 | ) | |||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (486,431 | ) |
See Notes to Financial Statements. | 81 |
Schedule of Investments (unaudited)(concluded)
CORE PLUS BOND FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 179,792,767 | $ | – | $ | 179,792,767 | ||||||||
Corporate Bonds | – | 685,568,019 | – | 685,568,019 | ||||||||||||
Floating Rate Loans | – | 10,940,177 | – | 10,940,177 | ||||||||||||
Foreign Government Obligations | – | 49,166,103 | – | 49,166,103 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 5,007,761 | – | 5,007,761 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 332,066,732 | – | 332,066,732 | ||||||||||||
Municipal Bonds | – | 3,474,801 | – | 3,474,801 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 88,517,140 | 1,938,366 | 90,455,506 | ||||||||||||
U.S. Treasury Obligations | – | 80,804,210 | – | 80,804,210 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Obligations | – | 26,063,112 | – | 26,063,112 | ||||||||||||
Repurchase Agreements | – | 36,669,426 | – | 36,669,426 | ||||||||||||
Total | $ | – | $ | 1,498,070,248 | $ | 1,938,366 | $ | 1,500,008,614 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 453,540 | $ | – | $ | 453,540 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 5,271 | – | 5,271 | ||||||||||||
Liabilities | – | (183,341 | ) | – | (183,341 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,931,552 | – | – | 1,931,552 | ||||||||||||
Liabilities | (486,431 | ) | – | – | (486,431 | ) | ||||||||||
Total | $ | 1,445,121 | $ | 275,470 | $ | – | $ | 1,720,591 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period 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 period.
82 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 97.22% | ||||||||||||
CORPORATE BONDS 92.92% | ||||||||||||
Agriculture 2.55% | ||||||||||||
BAT Capital Corp. | 7.75% | 10/19/2032 | $ | 75,000 | $ | 82,148 | ||||||
Cargill, Inc.† | 4.00% | 6/22/2032 | 44,000 | 41,131 | ||||||||
Philip Morris International, Inc. | 5.625% | 11/17/2029 | 53,000 | 54,340 | ||||||||
Total | 177,619 | |||||||||||
Airlines 1.16% | ||||||||||||
British Airways Pass-Through Trust Series 2020-1 Class A (United Kingdom)†(a) | 4.25% | 5/15/2034 | 86,624 | 80,694 | ||||||||
Banks 25.71% | ||||||||||||
Bank of America Corp. | 2.299% (SOFR + 1.22% | )# | 7/21/2032 | 26,000 | 20,740 | |||||||
Bank of America Corp. | 2.482% (5 yr. CMT + 1.20% | )# | 9/21/2036 | 10,000 | 7,598 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32% | )# | 4/22/2032 | 89,000 | 73,609 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63% | )# | 7/21/2028 | 157,000 | 146,479 | |||||||
Bank of Montreal (Canada)(a) | 3.803% (5 yr. USD Swap + 1.43% | )# | 12/15/2032 | 67,000 | 59,829 | |||||||
Bank of New York Mellon Corp. | 4.596% (SOFR + 1.76% | )# | 7/26/2030 | 51,000 | 49,685 | |||||||
Bank of New York Mellon Corp. | 4.967% | # | 4/26/2034 | 25,000 | 24,871 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 28,000 | 19,926 | ||||||||
Citigroup, Inc. | 2.561% (SOFR + 1.17% | )# | 5/1/2032 | 144,000 | 118,308 | |||||||
Citigroup, Inc. | 6.174% | # | 5/25/2034 | 32,000 | 32,472 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25% | )# | 7/21/2032 | 190,000 | 153,124 | |||||||
Huntington Bancshares, Inc. | 2.487% (5 yr. CMT + 1.17% | )# | 8/15/2036 | 22,000 | 15,487 | |||||||
JPMorgan Chase & Co. | 2.58% (3 mo. USD Term SOFR + 1.25% | )# | 4/22/2032 | 115,000 | 95,802 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26% | )# | 1/25/2033 | 50,000 | 42,343 | |||||||
JPMorgan Chase & Co. | 4.912% (SOFR + 2.08% | )# | 7/25/2033 | 50,000 | 49,203 | |||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85% | )# | 1/27/2034 | 10,000 | 9,236 |
See Notes to Financial Statements. | 83 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Macquarie Group Ltd. (Australia)†(a) | 4.654% (3 mo. USD LIBOR + 1.73% | )# | 3/27/2029 | $ | 75,000 | $ | 72,072 | |||||
Morgan Stanley | 2.239% (SOFR + 1.18% | )# | 7/21/2032 | 29,000 | 23,158 | |||||||
Morgan Stanley | 2.484% (SOFR + 1.36% | )# | 9/16/2036 | 33,000 | 24,935 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.63% | )# | 1/23/2030 | 130,000 | 124,907 | |||||||
Morgan Stanley | 6.342% (SOFR + 2.56% | )# | 10/18/2033 | 31,000 | 33,226 | |||||||
Royal Bank of Canada (Canada)(a) | 5.00% | 2/1/2033 | 40,000 | 39,477 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73% | )# | 8/4/2033 | 49,000 | 45,592 | |||||||
Toronto-Dominion Bank (Canada)(a) | 4.456% | 6/8/2032 | 66,000 | 62,454 | ||||||||
U.S. Bancorp | 4.839% (SOFR + 1.60% | )# | 2/1/2034 | 37,000 | 34,737 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11% | )# | 7/22/2033 | 34,000 | 30,824 | |||||||
UBS Group AG (Switzerland)†(a) | 4.125% | 4/15/2026 | 200,000 | 191,421 | ||||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 75,000 | 67,108 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50% | )# | 3/2/2033 | 17,000 | 14,614 | |||||||
Wells Fargo & Co. | 4.897% (SOFR + 2.10% | )# | 7/25/2033 | 70,000 | 67,589 | |||||||
Wells Fargo & Co. | 5.389% | # | 4/24/2034 | 12,000 | 12,023 | |||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25% | )# | 6/15/2031 | 40,000 | 28,400 | |||||||
Total | 1,791,249 | |||||||||||
Beverages 0.71% | ||||||||||||
Brown-Forman Corp. | 4.75% | 4/15/2033 | 13,000 | 13,041 | ||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 40,000 | 36,125 | ||||||||
Total | 49,166 | |||||||||||
Biotechnology 1.85% | ||||||||||||
Amgen, Inc. | 4.05% | 8/18/2029 | 60,000 | 57,201 | ||||||||
Amgen, Inc. | 4.875% | 3/1/2053 | 35,000 | 31,674 | ||||||||
Amgen, Inc. | 5.25% | 3/2/2033 | 40,000 | 40,158 | ||||||||
Total | 129,033 |
84 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Chemicals 0.28% | ||||||||||||
International Flavors & Fragrances, Inc.† | 2.30% | 11/1/2030 | $ | 25,000 | $ | 19,869 | ||||||
Commercial Services 0.76% | ||||||||||||
Global Payments, Inc. | 5.30% | 8/15/2029 | 54,000 | 53,148 | ||||||||
Computers 0.88% | ||||||||||||
Booz Allen Hamilton, Inc.† | 3.875% | 9/1/2028 | 36,000 | 32,315 | ||||||||
Leidos Holdings, Inc. | 5.95% | 12/1/2040 | 20,000 | 19,062 | ||||||||
Leidos, Inc. | 5.75% | 3/15/2033 | 10,000 | 9,936 | ||||||||
Total | 61,313 | |||||||||||
Diversified Financial Services 4.64% | ||||||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 34,000 | 29,100 | ||||||||
American Express Co. | 4.42% (SOFR + 1.76% | )# | 8/3/2033 | 41,000 | 38,791 | |||||||
American Express Co. | 4.989% (SOFR + 2.26% | )# | 5/26/2033 | 25,000 | 24,239 | |||||||
American Express Co. | 5.043% | # | 5/1/2034 | 35,000 | 34,573 | |||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 56,000 | 50,050 | ||||||||
Aviation Capital Group LLC† | 3.50% | 11/1/2027 | 15,000 | 13,401 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 4.25% | 4/15/2026 | 40,000 | 37,058 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 6.375% | 5/4/2028 | 20,000 | 19,557 | ||||||||
BlackRock, Inc. | 4.75% | 5/25/2033 | 28,000 | 27,724 | ||||||||
Intercontinental Exchange, Inc. | 4.35% | 6/15/2029 | 29,000 | 28,586 | ||||||||
LPL Holdings, Inc.† | 4.375% | 5/15/2031 | 23,000 | 20,019 | ||||||||
Total | 323,098 | |||||||||||
Electric 12.53% | ||||||||||||
AEP Texas, Inc. | 5.40% | 6/1/2033 | 9,000 | 9,021 | ||||||||
AEP Transmission Co. LLC | 5.40% | 3/15/2053 | 26,000 | 26,474 | ||||||||
Baltimore Gas & Electric Co. | 4.55% | 6/1/2052 | 28,000 | 24,897 | ||||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 16,000 | 16,457 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 14,000 | 14,548 | ||||||||
DTE Electric Co. | 5.40% | 4/1/2053 | 20,000 | 20,353 | ||||||||
DTE Energy Co. | 2.95% | 3/1/2030 | 30,000 | 26,231 | ||||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 25,000 | 23,647 | ||||||||
Duke Energy Progress LLC | 5.25% | 3/15/2033 | 22,000 | 22,473 | ||||||||
Duquesne Light Holdings, Inc.† | 2.775% | 1/7/2032 | 38,000 | 29,926 | ||||||||
Entergy Mississippi LLC | 5.00% | 9/1/2033 | 25,000 | 24,758 | ||||||||
Evergy Metro, Inc. | 4.95% | 4/15/2033 | 42,000 | 41,427 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 12,000 | 9,866 |
See Notes to Financial Statements. | 85 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Florida Power & Light Co. | 4.625% | 5/15/2030 | $ | 39,000 | $ | 38,680 | ||||||
Georgia Power Co. | 4.75% | 9/1/2040 | 39,000 | 36,057 | ||||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 39,000 | 35,363 | ||||||||
ITC Holdings Corp.†(b) | 5.40% | 6/1/2033 | 24,000 | 24,039 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 33,000 | 25,679 | ||||||||
Louisville Gas & Electric Co. | 5.45% | 4/15/2033 | 26,000 | 26,586 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 49,000 | 43,836 | ||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | 19,000 | 16,749 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 15,000 | 14,869 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 28,000 | 33,745 | ||||||||
Oklahoma Gas & Electric Co. | 5.40% | 1/15/2033 | 27,000 | 27,638 | ||||||||
Oklahoma Gas & Electric Co. | 5.60% | 4/1/2053 | 23,000 | 23,112 | ||||||||
Pacific Gas & Electric Co. | 4.55% | 7/1/2030 | 56,000 | 51,074 | ||||||||
Pacific Gas & Electric Co. | 6.15% | 1/15/2033 | 18,000 | 17,776 | ||||||||
Pacific Gas & Electric Co. | 6.70% | 4/1/2053 | 13,000 | 12,695 | ||||||||
Public Service Co. of Colorado | 5.25% | 4/1/2053 | 23,000 | 22,773 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 60,000 | 55,354 | ||||||||
Virginia Electric & Power Co. | 5.45% | 4/1/2053 | 24,000 | 23,573 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 55,000 | 53,245 | ||||||||
Total | 872,921 | |||||||||||
Electronics 0.28% | ||||||||||||
Trimble, Inc. | 6.10% | 3/15/2033 | 19,000 | 19,252 | ||||||||
Engineering & Construction 0.41% | ||||||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 29,000 | 28,769 | ||||||||
Environmental Control 0.43% | ||||||||||||
Republic Services, Inc. | 5.00% | 4/1/2034 | 30,000 | 30,062 | ||||||||
Food 0.89% | ||||||||||||
Kellogg Co. | 5.25% | 3/1/2033 | 32,000 | 32,446 | ||||||||
McCormick & Co., Inc. | 4.95% | 4/15/2033 | 30,000 | 29,382 | ||||||||
Total | 61,828 | |||||||||||
Gas 3.57% | ||||||||||||
CenterPoint Energy Resources Corp. | 5.40% | 3/1/2033 | 19,000 | 19,341 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 34,000 | 31,865 | ||||||||
NiSource, Inc. | 1.70% | 2/15/2031 | 40,000 | 31,380 | ||||||||
NiSource, Inc. | 2.95% | 9/1/2029 | 10,000 | 8,819 | ||||||||
NiSource, Inc. | 5.95% | 6/15/2041 | 30,000 | 30,805 |
86 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Gas (continued) | ||||||||||||
Piedmont Natural Gas Co., Inc. | 2.50% | 3/15/2031 | $ | 60,000 | $ | 49,369 | ||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 58,000 | 52,333 | ||||||||
Spire Missouri, Inc. | 4.80% | 2/15/2033 | 25,000 | 24,821 | ||||||||
Total | 248,733 | |||||||||||
Hand/Machine Tools 0.79% | ||||||||||||
Regal Rexnord Corp.† | 6.30% | 2/15/2030 | 55,000 | 54,923 | ||||||||
Health Care-Services 3.44% | ||||||||||||
Centene Corp. | 3.375% | 2/15/2030 | 79,000 | 68,188 | ||||||||
Elevance Health, Inc. | 4.10% | 5/15/2032 | 43,000 | 40,468 | ||||||||
Elevance Health, Inc. | 5.125% | 2/15/2053 | 10,000 | 9,595 | ||||||||
Elevance Health, Inc. | 5.50% | 10/15/2032 | 14,000 | 14,480 | ||||||||
HCA, Inc. | 5.50% | 6/1/2033 | 40,000 | 39,943 | ||||||||
Humana, Inc. | 3.70% | 3/23/2029 | 51,000 | 47,318 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 19,000 | 19,967 | ||||||||
Total | 239,959 | |||||||||||
Insurance 4.44% | ||||||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 40,000 | 34,758 | ||||||||
Brown & Brown, Inc. | 4.20% | 3/17/2032 | 30,000 | 27,196 | ||||||||
F&G Annuities & Life, Inc.† | 7.40% | 1/13/2028 | 26,000 | 26,133 | ||||||||
Intact Financial Corp. (Canada)†(a) | 5.459% | 9/22/2032 | 17,000 | 17,068 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 14,000 | 13,650 | ||||||||
New York Life Insurance Co.† | 4.45% | 5/15/2069 | 50,000 | 41,905 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 33,000 | 39,145 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 29,000 | 26,680 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 43,000 | 39,188 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 35,000 | 43,376 | ||||||||
Total | 309,099 | |||||||||||
Internet 1.52% | ||||||||||||
Amazon.com, Inc. | 4.70% | 12/1/2032 | 58,000 | 58,843 | ||||||||
Netflix, Inc.† | 5.375% | 11/15/2029 | 47,000 | 47,372 | ||||||||
Total | 106,215 | |||||||||||
Lodging 0.47% | ||||||||||||
Hyatt Hotels Corp. | 1.30% | 10/1/2023 | 33,000 | 32,500 | ||||||||
Machinery-Diversified 1.11% | ||||||||||||
Flowserve Corp. | 2.80% | 1/15/2032 | 40,000 | 32,007 | ||||||||
nVent Finance Sarl (Luxembourg)(a) | 4.55% | 4/15/2028 | 48,000 | 45,351 | ||||||||
Total | 77,358 |
See Notes to Financial Statements. | 87 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media 0.31% | ||||||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | $ | 25,000 | $ | 21,495 | ||||||
Oil & Gas 5.88% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 35,000 | 32,213 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 75,000 | 71,507 | ||||||||
Diamondback Energy, Inc. | 3.125% | 3/24/2031 | 45,000 | 38,385 | ||||||||
Diamondback Energy, Inc. | 6.25% | 3/15/2033 | 25,000 | 25,972 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 40,000 | 41,442 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 25,000 | 25,748 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 10,000 | 10,185 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 10,000 | 11,533 | ||||||||
Ovintiv, Inc. | 6.25% | 7/15/2033 | 35,000 | 34,718 | ||||||||
Ovintiv, Inc. | 6.625% | 8/15/2037 | 40,000 | 39,883 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 45,000 | 39,615 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 40,000 | 38,520 | ||||||||
Total | 409,721 | |||||||||||
Oil & Gas Services 1.01% | ||||||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 30,000 | 34,391 | ||||||||
NOV, Inc. | 3.60% | 12/1/2029 | 40,000 | 35,840 | ||||||||
Total | 70,231 | |||||||||||
Pharmaceuticals 4.97% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 50,000 | 45,405 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 78,000 | 82,642 | ||||||||
Cigna Group | 6.125% | 11/15/2041 | 45,000 | 48,164 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 25,000 | 22,621 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 39,000 | 36,096 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 27,000 | 24,410 | ||||||||
CVS Health Corp.(b) | 5.25% | 1/30/2031 | 23,000 | 23,109 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(a) | 4.75% | 5/19/2033 | 29,000 | 29,130 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(a) | 5.34% | 5/19/2063 | 35,000 | 35,075 | ||||||||
Total | 346,652 | |||||||||||
Pipelines 1.81% | ||||||||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | 55,000 | 48,896 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 4.60% | 12/15/2044 | 35,000 | 29,590 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 50,000 | 47,865 | ||||||||
Total | 126,351 |
88 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
REITS 3.60% | ||||||||||||
American Tower Corp. | 3.80% | 8/15/2029 | $ | 50,000 | $ | 46,154 | ||||||
American Tower Corp. | 5.55% | 7/15/2033 | 9,000 | 9,063 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 69,000 | 60,998 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 28,000 | 24,285 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 45,000 | 43,511 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 69,000 | 66,658 | ||||||||
Total | 250,669 | |||||||||||
Retail 0.78% | ||||||||||||
Lowe’s Cos., Inc. | 5.00% | 4/15/2033 | 55,000 | 54,512 | ||||||||
Semiconductors 0.75% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 58,000 | 52,239 | ||||||||
Software 3.10% | ||||||||||||
MSCI, Inc.† | 3.625% | 11/1/2031 | 35,000 | 29,259 | ||||||||
Oracle Corp. | 5.375% | 7/15/2040 | 73,000 | 69,647 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 30,000 | 30,811 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 35,000 | 27,866 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 65,000 | 58,641 | ||||||||
Total | 216,224 | |||||||||||
Telecommunications 2.29% | ||||||||||||
AT&T, Inc. | 3.50% | 9/15/2053 | 55,000 | 38,214 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 25,000 | 23,939 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 35,000 | 37,449 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 65,000 | 60,329 | ||||||||
Total | 159,931 | |||||||||||
Total Corporate Bonds (cost $6,987,169) | 6,474,833 | |||||||||||
FLOATING RATE LOANS(c) 1.00% | ||||||||||||
Chemicals 0.11% | ||||||||||||
Nutrition & Biosciences, Inc. 3 Year Delayed Draw Term Loan | 6.673% (3 mo. USD Term SOFR + 1.50% | )# | 2/1/2024 | 7,472 | 7,458 | |||||||
Lodging 0.50% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2019 Term Loan B2 | 6.95% (1 mo. USD Term SOFR + 1.75% | )# | 6/22/2026 | 35,000 | 34,861 |
See Notes to Financial Statements. | 89 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media 0.39% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B1 | 6.795% - 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 4/30/2025 | $ | 27,062 | $ | 27,039 | |||||
Total Floating Rate Loans (cost $69,617) | 69,358 | |||||||||||
MUNICIPAL BONDS 1.31% | ||||||||||||
Government 0.78% | ||||||||||||
State of Illinois GO | 5.10% | 6/1/2033 | 55,000 | 54,429 | ||||||||
Natural Gas 0.53% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.169% | 4/1/2041 | 35,000 | 36,807 | ||||||||
Total Municipal Bonds (cost $92,349) | 91,236 | |||||||||||
U.S. TREASURY OBLIGATIONS 1.99% | ||||||||||||
U.S. Treasury Bonds | 2.25% | 5/15/2041 | 15,000 | 11,612 | ||||||||
U.S. Treasury Bonds | 3.625% | 5/15/2053 | 51,000 | 49,084 | ||||||||
U.S. Treasury Bonds | 3.875% | 5/15/2043 | 38,000 | 37,320 | ||||||||
U.S. Treasury Notes | 3.50% | 4/30/2028 | 41,000 | 40,481 | ||||||||
Total U.S. Treasury Obligations (cost $137,655) | 138,497 | |||||||||||
Total Long-Term Investments (cost $7,286,790) | 6,773,924 | |||||||||||
SHORT-TERM INVESTMENTS 0.63% | ||||||||||||
REPURCHASE AGREEMENTS 0.63% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 5.100% due 6/1/2023 with TD Securities USA LLC collateralized by $46,000 of U.S. Treasury Bond at 3.875% due 5/15/2043; value: $45,093; proceeds: $44,172 (cost $44,166) | 44,166 | 44,166 | ||||||||||
Total Investments in Securities 97.85% (cost $7,330,956) | 6,818,090 | |||||||||||
Other Assets and Liabilities – Net(d) 2.15% | 149,925 | |||||||||||
Net Assets 100.00% | $ | 6,968,015 |
CMT | Constant Maturity Rate. |
LIBOR | London Interbank Offered Rate. |
REITS | Real Estate Investment Trusts. |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $1,454,420, which represents 20.87% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Securities purchased on a when-issued basis (See Note 2(j)). |
90 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
CORPORATE BOND FUND May 31, 2023
(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 May 31, 2023. | |
(d) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts as follows: |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. Ultra Treasury Bond | September 2023 | 5 | Long | $ | 674,370 | $ | 684,375 | $10,005 | ||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2023 | 11 | Short | $ | (1,257,331 | ) | $ | (1,259,156 | ) | $(1,825 | ) | |||||||
U.S. 10-Year Ultra Treasury Bond | September 2023 | 6 | Short | (718,890 | ) | (722,719 | ) | (3,829 | ) | |||||||||
U.S. 2-Year Treasury Note | September 2023 | 2 | Long | 411,841 | 411,656 | (185 | ) | |||||||||||
U.S. 5-Year Treasury Note | September 2023 | 9 | Long | 982,849 | 981,703 | (1,146 | ) | |||||||||||
Total Unrealized Depreciation on Futures Contracts | $(6,985 | ) |
The following is a summary of the inputs used as of May 31, 2023 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Corporate Bonds | $ | – | $ | 6,474,833 | $ | – | $ | 6,474,833 | ||||||||
Floating Rate Loans | – | 69,358 | – | 69,358 | ||||||||||||
Municipal Bonds | – | 91,236 | – | 91,236 | ||||||||||||
U.S. Treasury Obligations | – | 138,497 | – | 138,497 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 44,166 | – | 44,166 | ||||||||||||
Total | $ | – | $ | 6,818,090 | $ | – | $ | 6,818,090 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 10,005 | $ | – | $ | – | $ | 10,005 | ||||||||
Liabilities | (6,985 | ) | – | – | (6,985 | ) | ||||||||||
Total | $ | 3,020 | $ | – | $ | – | $ | 3,020 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period in relation to the Fund’s net assets.
See Notes to Financial Statements. | 91 |
Schedule of Investments (unaudited)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 91.91% | ||||||||||||
ASSET-BACKED SECURITIES 0.61% | ||||||||||||
Other | ||||||||||||
Apidos CLO XXII Series 2015-22A Class BR† | 7.20% (3 mo. USD LIBOR + 1.95% | )# | 4/20/2031 | $ | 2,500,000 | $ | 2,404,793 | |||||
Atrium XIII Series 13A Class C† | 7.073% (3 mo. USD LIBOR + 1.80% | )# | 11/21/2030 | 4,500,000 | 4,296,746 | |||||||
Benefit Street Partners CLO XI Series 2017-11A Class A2R† | 6.76% (3 mo. USD LIBOR + 1.50% | )# | 4/15/2029 | 6,405,000 | 6,297,254 | |||||||
Halcyon Loan Advisors Funding Ltd. Series 2017-2A Class A2† | 6.96% (3 mo. USD LIBOR + 1.70% | )# | 1/17/2030 | 10,000,000 | 9,846,235 | |||||||
Madison Park Funding XVIII Ltd. Series 2015-18A Class CRR† | 7.161% (3 mo. USD LIBOR + 1.90% | )# | 10/21/2030 | 3,250,000 | 3,124,643 | |||||||
Madison Park Funding XXIV Ltd. Series 2016-24A Class BR† | 7.06% (3 mo. USD Term SOFR + 2.01% | )# | 10/20/2029 | 4,950,000 | 4,869,048 | |||||||
Total Asset-Backed Securities (cost $30,866,407) | 30,838,719 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.63% | ||||||||||||
Electric-Generation 0.00% | ||||||||||||
Frontera Generation Holdings LLC | 209,679 | 3,145 | (a) | |||||||||
Machinery 0.08% | ||||||||||||
TNT Crane & Rigging, Inc. | 528,781 | 4,142,206 | ||||||||||
Miscellaneous Financials 0.38% | ||||||||||||
Utex Industries | 297,535 | 19,042,240 | ||||||||||
Specialty Retail 0.11% | ||||||||||||
Chinos Intermediate Holdings A, Inc. | 707,835 | 5,202,587 | ||||||||||
Transportation Infrastructure 0.06% | ||||||||||||
ACBL Holdings Corp. | 95,210 | 3,141,930 | ||||||||||
Total Common Stocks (cost $32,122,752) | 31,532,108 |
92 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
CONVERTIBLE BONDS 0.15% | ||||||||||||
Airlines | ||||||||||||
JetBlue Airways Corp. (cost $7,847,637) | 0.50% | 4/1/2026 | $ | 9,486,000 | $ | 7,428,017 | ||||||
CORPORATE BONDS 7.21% | ||||||||||||
Aerospace/Defense 0.16% | ||||||||||||
Triumph Group, Inc. | 7.75% | 8/15/2025 | 8,172,000 | 7,832,985 | ||||||||
Airlines 0.73% | ||||||||||||
Allegiant Travel Co.† | 7.25% | 8/15/2027 | 8,911,000 | 8,854,192 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 12,500,000 | 11,635,023 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. (Cayman Islands)†(b) | 8.00% | 9/20/2025 | 10,078,359 | 10,213,459 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(b) | 9.50% | 6/1/2028 | 6,785,000 | 6,217,740 | ||||||||
Total | 36,920,414 | |||||||||||
Auto Parts & Equipment 0.06% | ||||||||||||
ZF North America Capital, Inc.† | 6.875% | 4/14/2028 | 2,848,000 | 2,863,137 | ||||||||
Building Materials 0.07% | ||||||||||||
JELD-WEN, Inc.† | 4.625% | 12/15/2025 | 3,433,000 | 3,318,252 | ||||||||
Chemicals 0.70% | ||||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 12,745,000 | 11,073,210 | ||||||||
LSF11 A5 HoldCo LLC† | 6.625% | 10/15/2029 | 10,297,000 | 8,806,973 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 6,361,000 | 6,173,665 | ||||||||
SCIL IV LLC/SCIL USA Holdings LLC† | 5.375% | 11/1/2026 | 9,917,000 | 9,160,565 | ||||||||
Total | 35,214,413 | |||||||||||
Coal 0.18% | ||||||||||||
Warrior Met Coal, Inc.† | 7.875% | 12/1/2028 | 9,176,000 | 9,191,865 | ||||||||
Commercial Services 0.11% | ||||||||||||
BCP V Modular Services Finance PLC(c) | 6.75% | 11/30/2029 | EUR | 6,697,000 | 5,356,800 | |||||||
Diversified Financial Services 1.16% | ||||||||||||
Bread Financial Holdings, Inc.† | 4.75% | 12/15/2024 | $ | 6,315,000 | 5,928,918 | |||||||
Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(b) | 6.50% | 9/15/2024 | 16,283,852 | 14,327,636 | ||||||||
Jefferson Capital Holdings LLC† | 6.00% | 8/15/2026 | 9,237,000 | 7,444,902 |
See Notes to Financial Statements. | 93 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Midcap Financial Issuer Trust† | 6.50% | 5/1/2028 | $ | 7,347,000 | $ | 6,468,368 | ||||||
Navient Corp. | 6.75% | 6/25/2025 | 14,158,000 | 13,714,703 | ||||||||
PRA Group, Inc.† | 5.00% | 10/1/2029 | 13,498,000 | 10,141,520 | ||||||||
Total | 58,026,047 | |||||||||||
Electric 0.07% | ||||||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 3,562,000 | 3,457,412 | ||||||||
Energy-Alternate Sources 0.22% | ||||||||||||
Sunnova Energy Corp.† | 5.875% | 9/1/2026 | 9,064,000 | 7,969,431 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 3,500,000 | 3,146,045 | ||||||||
Total | 11,115,476 | |||||||||||
Entertainment 0.12% | ||||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.† | 7.125% | 2/15/2031 | 5,933,000 | 5,937,381 | ||||||||
Environmental Control 0.14% | ||||||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 9,085,000 | 6,926,236 | ||||||||
Food 0.16% | ||||||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 8,109,000 | 8,066,567 | ||||||||
Holding Companies-Diversified 0.11% | ||||||||||||
Benteler International AG (Austria)†(b) | 10.50% | 5/15/2028 | 5,591,000 | 5,703,267 | ||||||||
Insurance 0.01% | ||||||||||||
Ardonagh Midco 2 PLC (United Kingdom)†(b) | 11.50% | 1/15/2027 | 620,942 | 535,399 | ||||||||
Internet 0.10% | ||||||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | 5,401,000 | 4,962,169 | ||||||||
Leisure Time 0.16% | ||||||||||||
Life Time, Inc.† | 8.00% | 4/15/2026 | 8,228,000 | 8,122,751 | ||||||||
Machinery-Diversified 0.11% | ||||||||||||
SPX FLOW, Inc.† | 8.75% | 4/1/2030 | 6,295,000 | 5,423,457 | ||||||||
Media 0.31% | ||||||||||||
CSC Holdings LLC† | 4.125% | 12/1/2030 | 7,500,000 | 5,213,914 | ||||||||
iHeartCommunications, Inc. | 6.375% | 5/1/2026 | 6,344,000 | 4,824,369 | ||||||||
Urban One, Inc.† | 7.375% | 2/1/2028 | 6,363,000 | 5,733,763 | ||||||||
Total | 15,772,046 |
94 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Mining 0.15% | ||||||||||||
Arconic Corp.† | 6.125% | 2/15/2028 | $ | 7,636,000 | $ | 7,714,391 | ||||||
Mirabela Nickel Ltd. | 1.00% | 9/10/2044 | 51,005 | – | (d)(e) | |||||||
Total | 7,714,391 | |||||||||||
Miscellaneous Manufacturing 0.22% | ||||||||||||
LSB Industries, Inc.† | 6.25% | 10/15/2028 | 12,373,000 | 11,213,341 | ||||||||
Oil & Gas 1.23% | ||||||||||||
Baytex Energy Corp. (Canada)†(b) | 8.50% | 4/30/2030 | 5,404,000 | 5,288,118 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 4,633,000 | 4,535,948 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 10,200,000 | 10,032,924 | ||||||||
Civitas Resources, Inc.† | 5.00% | 10/15/2026 | 9,243,000 | 8,699,592 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 7,626,000 | 7,100,629 | ||||||||
Earthstone Energy Holdings LLC† | 8.00% | 4/15/2027 | 9,486,000 | 9,242,826 | ||||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 5,947,000 | 5,792,497 | ||||||||
SM Energy Co. | 6.50% | 7/15/2028 | 6,450,000 | 6,055,389 | ||||||||
Tap Rock Resources LLC† | 7.00% | 10/1/2026 | 5,537,000 | 5,194,396 | ||||||||
Total | 61,942,319 | |||||||||||
Packaging & Containers 0.10% | ||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC† | 3.25% | 9/1/2028 | 5,567,000 | 4,762,058 | ||||||||
Retail 0.36% | ||||||||||||
Evergreen Acqco 1 LP/TVI, Inc.† | 9.75% | 4/26/2028 | 10,664,000 | 10,680,583 | ||||||||
GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | 7.00% | 8/15/2028 | 11,756,000 | 7,388,881 | ||||||||
Total | 18,069,464 | |||||||||||
Telecommunications 0.10% | ||||||||||||
Frontier Communications Holdings LLC† | 6.00% | 1/15/2030 | 7,244,000 | 5,090,293 | ||||||||
Transportation 0.25% | ||||||||||||
Carriage Purchaser, Inc.† | 7.875% | 10/15/2029 | 6,974,000 | 5,085,580 | ||||||||
Seaspan Corp. (Hong Kong)†(b) | 5.50% | 8/1/2029 | 9,592,000 | 7,552,741 | ||||||||
Total | 12,638,321 | |||||||||||
Trucking & Leasing 0.12% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 6.50% | 10/1/2025 | 6,402,000 | 6,227,177 | ||||||||
Total Corporate Bonds (cost $387,576,269) | 362,403,438 |
See Notes to Financial Statements. | 95 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Shares | Fair Value | |||||||||||
EXCHANGE-TRADED FUNDS 1.11% | |||||||||||||
Exchange-Traded Funds 0.65% | |||||||||||||
Invesco Senior Loan ETF(f) | 1,579,908 | $ | 32,546,105 | ||||||||||
Miscellaneous Financials 0.46% | |||||||||||||
SPDR Blackstone Senior Loan ETF(f) | 562,426 | 23,115,709 | |||||||||||
Total Exchange-Traded Funds (cost $56,810,202) | 55,661,814 | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | |||||||||||
FLOATING RATE LOANS(g) 81.66% | |||||||||||||
Advertising 0.11% | |||||||||||||
ABG Intermediate Holdings 2 LLC 2023 Delayed Draw Term loan(h) | 0.50% | 12/21/2028 | $ | 1,351,308 | 1,324,559 | ||||||||
ABG Intermediate Holdings 2 LLC 2023 Term Loan B2 | 9.407% | 12/21/2028 | 4,121,489 | 4,039,904 | |||||||||
Total | 5,364,463 | ||||||||||||
Aerospace 2.78% | |||||||||||||
Air Canada 2021 Term Loan B (Canada)(b) | 8.839% (3 mo. USD LIBOR + 3.50% | ) | 8/11/2028 | 14,885,092 | 14,863,360 | ||||||||
Alloy Finco Ltd. 2020 USD Term Loan B2 (Jersey)(b) | 11.773% (3 mo. USD LIBOR + 6.50% | ) | 3/6/2024 | 2,980,195 | 2,847,576 | ||||||||
Arcline FM Holdings LLC 2021 1st Lien Term Loan | 9.909% (3 mo. USD LIBOR + 4.75% | ) | 6/23/2028 | 10,521,979 | 10,039,757 | ||||||||
Atlas CC Acquisition Corp. Term Loan B | 9.775% (3 mo. USD Term SOFR + 4.25% | ) | 5/25/2028 | 16,039,426 | 14,263,862 | ||||||||
Atlas CC Acquisition Corp. Term Loan C | 9.775% (3 mo. USD Term SOFR + 4.25% | ) | 5/25/2028 | 3,262,255 | 2,901,123 | ||||||||
Cobham Ultra SeniorCo Sarl USD Term Loan B | 8.56% (6 mo. USD LIBOR + 3.50% | ) | 8/3/2029 | 11,690,132 | 11,409,569 | ||||||||
Dynasty Acquisition Co., Inc. 2020 CAD Term Loan B2 | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 4/6/2026 | 4,746,058 | 4,639,272 | ||||||||
Dynasty Acquisition Co., Inc. 2020 Term Loan B1 | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 4/6/2026 | 8,827,669 | 8,629,046 |
96 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Aerospace (continued) | ||||||||||||
Jazz Acquisition, Inc. 2019 2nd Lien Term Loan | 13.15% | 6/18/2027 | $ | 5,291,378 | $ | 5,128,218 | ||||||
Jazz Acquisition, Inc. 2019 1st Lien Term Loan | 9.253% (1 mo. USD Term SOFR + 4.00% | ) | 6/19/2026 | 8,556,905 | 8,563,579 | |||||||
KKR Apple Bidco LLC 2021 Term Loan | 9.268% (1 mo. USD Term SOFR + 2.75% | ) | 9/23/2028 | 8,974,411 | 8,740,717 | |||||||
Peraton Corp. 2nd Lien Term Loan B1 | 12.979% | 2/1/2029 | 9,071,727 | 8,647,623 | ||||||||
Peraton Corp. Term Loan B | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 2/1/2028 | 27,477,542 | 26,211,652 | |||||||
United Airlines, Inc. 2021 Term Loan B | 8.888% (1 mo. USD LIBOR + 3.75% | ) | 4/21/2028 | 12,840,390 | 12,795,770 | |||||||
Total | 139,681,124 | |||||||||||
Aerospace/Defense 0.99% | ||||||||||||
Alloy Finco Ltd. USD Holdco PIK Term Loan 13.50% (Jersey)(b) | 0.50% | 3/6/2025 | 13,892,396 | 12,558,726 | ||||||||
TransDigm, Inc. 2022 Term Loan H | 8.148% (3 mo. USD Term SOFR + 3.25% | ) | 2/22/2027 | 21,358,381 | 21,294,626 | |||||||
Vertex Aerospace Services Corp. 2021 First Lien Term Loan | 8.904% | 12/6/2028 | 15,836,147 | 15,728,937 | ||||||||
Total | 49,582,289 | |||||||||||
Airlines 1.20% | ||||||||||||
American Airlines, Inc. 2021 Term Loan | 10.00% (3 mo. USD LIBOR + 4.75% | ) | 4/20/2028 | 34,228,223 | 34,434,106 | |||||||
Kestrel Bidco, Inc. Term Loan B (Canada)(b) | 8.251% (1 mo. USD Term SOFR + 3.00% | ) | 12/11/2026 | 6,911,250 | 6,401,545 | |||||||
Mileage Plus Holdings LLC 2020 Term Loan B | 10.213% (3 mo. USD LIBOR + 5.25% | ) | 6/21/2027 | 18,986,371 | 19,689,436 | |||||||
Total | 60,525,087 | |||||||||||
Apparel 0.26% | ||||||||||||
Crocs, Inc. Term Loan B | 8.753% | 2/20/2029 | 13,063,709 | 13,058,353 | ||||||||
Auto Parts & Equipment 0.45% | ||||||||||||
American Axle & Manufacturing, Inc. 2022 Term Loan B | – | (i) | 12/13/2029 | 2,600,000 | 2,564,250 | |||||||
Clarios Global LP 2023 Incremental Term Loan (Canada)(b) | 8.903% (1 mo. USD Term SOFR + 3.75% | ) | 5/6/2030 | 20,163,900 | 20,000,068 | |||||||
Total | 22,564,318 |
See Notes to Financial Statements. | 97 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automotive 0.66% | ||||||||||||
Autokiniton U.S. Holdings, Inc. 2021 Term Loan B | 9.75% | 4/6/2028 | $ | 17,479,761 | $ | 17,131,739 | ||||||
DexKo Global, Inc. 2021 USD Term Loan B | 8.909% (3 mo. USD LIBOR + 3.75% | ) | 10/4/2028 | 16,840,817 | 15,983,536 | |||||||
Total | 33,115,275 | |||||||||||
Banks 0.38% | ||||||||||||
AqGen Island Holdings, Inc. Term Loan | 8.688% | 8/2/2028 | 19,853,345 | 19,092,267 | ||||||||
Building & Construction 0.27% | ||||||||||||
Legence Holdings LLC 2021 Term Loan | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 12/16/2027 | 13,550,456 | 13,390,967 | |||||||
Building Materials 0.92% | ||||||||||||
ACProducts, Inc. 2021 Term Loan B | 9.409% (3 mo. USD LIBOR + 4.25% | ) | 5/17/2028 | 19,428,656 | 15,888,366 | |||||||
Emrld Borrower LP Term Loan B | – | (i) | 5/4/2030 | 20,809,768 | 20,588,664 | |||||||
Smyrna Ready Mix Concrete LLC Term Loan B | 9.503% | 4/2/2029 | 9,995,237 | 9,966,051 | ||||||||
Total | 46,443,081 | |||||||||||
Chemicals 1.74% | ||||||||||||
Aruba Investments, Inc. 2020 2nd Lien Term Loan | 12.904% | 11/24/2028 | 6,401,900 | 5,687,000 | ||||||||
Aruba Investments, Inc. 2020 USD Term Loan | 9.154% | 11/24/2027 | 5,823,710 | 5,590,762 | ||||||||
Axalta Coating Systems U.S. Holdings, Inc. 2022 USD Term Loan B4 | 7.898% (3 mo. USD Term SOFR + 3.00% | ) | 12/20/2029 | 8,388,750 | 8,404,815 | |||||||
DCG Acquisition Corp. Term Loan B | – | (i) | 9/30/2026 | 9,502,833 | 9,241,505 | |||||||
Hexion Holdings Corp. 2022 USD Term Loan | – | (i) | 3/15/2029 | 13,956,371 | 12,591,298 | |||||||
LSF11 A5 Holdco LLC 2023 Incremental Term Loan B | 9.503% (1 mo. USD Term SOFR + 4.25% | ) | 10/15/2028 | 1,188,331 | 1,168,527 | |||||||
LSF11 A5 Holdco LLC Term Loan | 8.768% | 10/15/2028 | 4,054,780 | 3,930,095 | ||||||||
Olympus Water U.S. Holding Corp. 2021 USD Term Loan B | 8.938% (3 mo. USD LIBOR + 3.75% | ) | 11/9/2028 | 4,289,141 | 4,015,194 | |||||||
Olympus Water U.S. Holding Corp. 2023 Incremental Term Loan | – | (i) | 11/9/2028 | 2,938,498 | 2,796,715 | |||||||
PMHC II, Inc. 2022 Term Loan B | 9.304% (3 mo. USD Term SOFR + 4.25% | ) | 4/23/2029 | 12,390,922 | 10,729,795 |
98 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(b) | 7.895% (3 mo. USD Term SOFR + 2.75% | ) | 10/1/2025 | $ | 16,166,297 | $ | 16,138,895 | |||||
Starfruit Finco BV 2023 Term Loan B (Netherlands)(b) | 8.99% (3 mo. USD Term SOFR + 4.00% | ) | 4/3/2028 | 7,480,513 | 7,371,410 | |||||||
Total | 87,666,011 | |||||||||||
Commercial Services 2.42% | ||||||||||||
Allied Universal Holdco LLC 2021 USD Incremental Term Loan B | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 5/12/2028 | 13,066,366 | 12,311,783 | |||||||
Amentum Government Services Holdings LLC Term Loan B | 9.268% (1 mo. USD Term SOFR + 4.00% | ) | 1/29/2027 | 10,501,751 | 9,871,646 | (j) | ||||||
BCP V Modular Services Holdings IV Ltd. EUR Term Loan B(c) | 7.515% (3 mo. EUR EURIBOR + 4.50% | ) | 12/15/2028 | EUR | 5,000,000 | 5,075,406 | ||||||
Belron Finance U.S. LLC 2023 Term Loan | 7.832% (3 mo. USD Term SOFR + 2.75% | ) | 4/18/2029 | $ | 14,234,703 | 14,199,187 | ||||||
CHG Healthcare Services, Inc. 2021 Term Loan | 8.404% | 9/29/2028 | 11,267,972 | 11,052,472 | ||||||||
Creative Artists Agency LLC 2023 Term Loan B | 8.653% (1 mo. USD Term SOFR + 3.50% | ) | 11/27/2028 | 9,467,536 | 9,350,044 | |||||||
Garda World Security Corp. 2021 Term Loan B (Canada)(b) | 9.444% | 10/30/2026 | 5,630,275 | 5,552,155 | ||||||||
KUEHG Corp. 2018 Incremental Term Loan | 8.909% (3 mo. USD LIBOR + 3.75% | ) | 2/21/2025 | 16,347,164 | 16,338,419 | |||||||
KUEHG Corp. 2023 Term Loan | – | (i) | 5/23/2030 | 18,941,906 | 18,105,337 | |||||||
Mavis Tire Express Services Corp. 2021 Term Loan B | – | (i) | 5/4/2028 | 10,881,458 | 10,514,209 | |||||||
TruGreen Ltd. Partnership 2020 Term Loan | 9.253% | 11/2/2027 | 108,367 | 101,296 | ||||||||
Vaco Holdings LLC 2022 Term Loan | 10.048% (3 mo. USD Term SOFR + 5.00% | ) | 1/21/2029 | 9,930,084 | 9,119,094 | |||||||
Total | 121,591,048 | |||||||||||
Computers 0.30% | ||||||||||||
Ahead DB Holdings LLC 2021 Term Loan B | 8.909% (3 mo. USD LIBOR + 3.75% | ) | 10/18/2027 | 2,526,215 | 2,396,228 | |||||||
Optiv Security, Inc. 2023 Term Loan | 10.338% | 8/1/2026 | 13,137,965 | 12,694,559 | ||||||||
Total | 15,090,787 | |||||||||||
Consumer Durables 0.17% | ||||||||||||
Griffon Corp. Term Loan B | 7.728% (3 mo. USD Term SOFR + 2.25% | ) | 1/24/2029 | 8,383,678 | 8,340,041 |
See Notes to Financial Statements. | 99 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Consumer Non-Durables 0.46% | ||||||||||||
Anastasia Parent LLC 2018 Term Loan B | 8.909% (3 mo. USD LIBOR + 3.75% | ) | 8/11/2025 | $ | 12,737,624 | $ | 9,874,079 | |||||
Coty, Inc. 2018 USD Term Loan B | 7.408% | 4/7/2025 | 5,067,340 | 5,057,838 | ||||||||
Pretium PKG Holdings, Inc. 2021 2nd Lien Term Loan | 11.758% - 11.97% (3 mo. USD LIBOR + 6.75% | ) | 10/1/2029 | 13,079,643 | 8,303,284 | |||||||
Total | 23,235,201 | |||||||||||
Containers & Packaging 0.28% | ||||||||||||
Charter NEX U.S., Inc. 2021 Term Loan | – | (i) | 12/1/2027 | 8,561,230 | 8,339,751 | |||||||
LABL, Inc. 2021 USD 1st Lien Term Loan | – | (i) | 10/29/2028 | 5,800,000 | 5,659,524 | |||||||
Total | 13,999,275 | |||||||||||
Cosmetics/Personal Care 0.25% | ||||||||||||
Sunshine Luxembourg VII SARL 2021 Term Loan B3 (Luxembourg)(b) | 8.909% (3 mo. USD LIBOR + 3.75% | ) | 10/1/2026 | 13,097,588 | 12,803,285 | |||||||
Distribution/Wholesale 0.75% | ||||||||||||
BCPE Empire Holdings, Inc. 2023 Extended Term Loan | – | (i) | 12/11/2028 | 26,091,574 | 25,855,054 | |||||||
Owens & Minor, Inc. 2022 Term Loan B | 8.715% - 9.00% (3 mo. USD Term SOFR + 3.75% (6 mo. USD Term SOFR + 3.75% | ) ) | 3/29/2029 | 11,772,673 | 11,703,980 | |||||||
Total | 37,559,034 | |||||||||||
Diversified Capital Goods 0.41% | ||||||||||||
CeramTec AcquiCo GmbH 2022 EUR Term Loan B(c) | 7.233% (3 mo. EUR EURIBOR + 3.75% | ) | 3/16/2029 | EUR | 6,769,227 | 7,055,534 | ||||||
Grinding Media, Inc. 2021 Term Loan B | 9.199% (3 mo. USD Term SOFR + 4.00% | ) | 10/12/2028 | $ | 4,743,741 | 4,524,343 | ||||||
Tank Holding Corp. 2022 Term Loan | 11.003% | 3/31/2028 | 9,211,960 | 8,912,571 | ||||||||
Total | 20,492,448 | |||||||||||
Diversified Financial Services 1.50% | ||||||||||||
Castlelake Aviation Ltd. 2023 Incremental Term Loan B | 7.783% (3 mo. USD Term SOFR + 2.75% | ) | 10/22/2027 | 21,151,414 | 20,750,488 | |||||||
Edelman Financial Center LLC 2021 Term Loan B | 8.904% | 4/7/2028 | 2,847,293 | 2,737,615 | ||||||||
Jane Street Group LLC 2021 Term Loan | 7.903% (1 mo. USD Term SOFR + 2.75% | ) | 1/26/2028 | 24,128,019 | 23,826,419 | |||||||
Minotaur Acquisition, Inc. Term Loan B | 10.003% | 3/27/2026 | 17,063,147 | 16,760,277 | ||||||||
VFH Parent LLC 2022 Term Loan B | –(i) | 1/13/2029 | 11,424,004 | 11,179,473 | ||||||||
Total | 75,254,272 |
100 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric: Generation 0.57% | ||||||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 8.66% (3 mo. USD LIBOR + 3.50% | ) | 10/1/2027 | $ | 14,622,012 | $ | 14,465,629 | |||||
ExGen Renewables IV LLC 2020 Term Loan | 7.764% (3 mo. USD Term SOFR + 2.50% | ) | 12/15/2027 | 10,134,336 | 10,073,378 | |||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 6.659% (3 mo. USD LIBOR + 1.50% | ) | 7/28/2028 | 2,863,989 | 1,288,795 | (j) | ||||||
Frontera Generation Holdings LLC 2021 Term Loan | 18.159% (3 mo. USD LIBOR + 13.00%) | 7/28/2026 | 2,950,702 | 2,965,456 | ||||||||
Total | 28,793,258 | |||||||||||
Electric: Integrated 0.27% | ||||||||||||
Compass Power Generation LLC 2022 Term Loan B2 | 9.517% | 4/14/2029 | 13,489,744 | 13,400,779 | ||||||||
Energy 1.25% | ||||||||||||
AL GCX Holdings LLC Term Loan B | 8.554% (3 mo. USD Term SOFR + 3.50% | ) | 5/17/2029 | 9,362,649 | 9,296,314 | |||||||
CQP Holdco LP 2021 Term Loan B | 8.659% (3 mo. USD LIBOR + 3.50% | ) | 6/5/2028 | 16,640,451 | 16,565,069 | |||||||
Freeport LNG Investments LLLP Term Loan B | 8.75% (3 mo. USD LIBOR + 3.50% | ) | 12/21/2028 | 13,490,220 | 12,935,907 | |||||||
Medallion Midland Acquisition LLC 2021 Term Loan | 8.91% (3 mo. USD Term SOFR + 3.75% | ) | 10/18/2028 | 13,018,940 | 12,875,732 | |||||||
NorthRiver Midstream Finance LP 2018 Term Loan B (Canada)(b) | 8.427% (3 mo. USD LIBOR + 3.25%) | 10/1/2025 | 11,240,651 | 11,216,484 | ||||||||
Total | 62,889,506 | |||||||||||
Energy: Alternate Sources 0.14% | ||||||||||||
TerraForm Power Operating LLC 2023 Term Loan B | 2.50% (3 mo. USD Term SOFR + 2.50% | ) | 5/21/2029 | 7,182,301 | 7,092,522 | |||||||
Engineering & Construction 0.44% | ||||||||||||
KKR Apple Bidco LLC 2022 Incremental Term Loan | 8.982% (3 mo. USD Term SOFR + 4.00% | ) | 9/22/2028 | 7,562,279 | 7,514,221 | |||||||
Service Logic Acquisition, Inc. Term Loan | 9.154% - 9.27% (3 Mo. USD LIBOR + 4.00% | ) | 10/29/2027 | 15,138,281 | 14,684,132 | |||||||
Total | 22,198,353 |
See Notes to Financial Statements. | 101 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Entertainment 1.37% | ||||||||||||
Caesars Entertainment Corp. Term Loan B | 8.503% (1 mo. USD Term SOFR + 3.25%) | 2/6/2030 | $ | 23,495,350 | $ | 23,333,820 | ||||||
Cinemark USA, Inc. 2023 Term Loan B | – | (i) | 5/24/2030 | 21,793,114 | 21,561,671 | |||||||
Formula One Holdings Ltd. Term Loan B (United Kingdom)(b) | 8.153% (1 mo. USD Term SOFR + 3.00% | ) | 1/15/2030 | 14,540,000 | 14,558,175 | |||||||
PCI Gaming Authority Term Loan | – | (i) | 5/29/2026 | 9,616,415 | 9,591,797 | |||||||
Total | 69,045,463 | |||||||||||
Environmental 0.20% | ||||||||||||
Bingo Industries Ltd. Term Loan (Australia)(b) | 8.66% (3 mo. USD Term SOFR + 3.50% | ) | 7/14/2028 | 10,904,232 | 10,072,784 | |||||||
Environmental Control 0.27% | ||||||||||||
Madison IAQ LLC Term Loan | 8.302% (6 mo. USD LIBOR + 3.25% | ) | 6/21/2028 | 14,176,127 | 13,603,411 | |||||||
Financial 3.26% | ||||||||||||
Acrisure LLC 2021 First Lien Term Loan B | 9.404% | 2/15/2027 | 16,870,313 | 16,054,886 | ||||||||
Advisor Group, Inc. 2021 Term Loan | 9.654% | 7/31/2026 | 15,016,967 | 14,908,244 | ||||||||
Alliant Holdings Intermediate LLC 2023 Term Loan B5 | 8.559% | 11/5/2027 | 12,479,138 | 12,185,192 | ||||||||
Armor Holding II LLC 2021 Term Loan B | 9.541% (6 mo. USD Term SOFR + 4.50% | ) | 12/11/2028 | 7,115,962 | 7,115,962 | |||||||
AssuredPartners, Inc. 2020 Term Loan B | 8.768% (1 mo. USD Term SOFR + 3.50% | ) | 2/12/2027 | 20,557,134 | 20,034,675 | |||||||
Asurion LLC 2021 Second Lien Term Loan B4 | 10.404% | 1/20/2029 | 24,034,469 | 19,733,380 | ||||||||
Asurion LLC 2022 Term Loan B10 | 9.253% (1 mo. USD Term SOFR + 4.00% | ) | 8/19/2028 | 10,244,900 | 9,434,580 | |||||||
Edelman Financial Center LLC 2018 2nd Lien Term Loan | 11.904% | 7/20/2026 | 10,514,063 | 9,975,217 | ||||||||
Hub International Ltd. 2021 Term Loan B | 8.398% - 8.41% (1 mo. USD LIBOR + 3.25% (3 mo. USD LIBOR + 3.25% | ) ) | 4/25/2025 | 9,978,728 | 9,926,888 | |||||||
Hudson River Trading LLC 2021 Term Loan | 8.268% | 3/20/2028 | 20,996,000 | 19,878,383 | ||||||||
NEXUS Buyer LLC Term Loan B | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 11/9/2026 | 5,154,827 | 4,841,851 | |||||||
OneDigital Borrower LLC 2021 Term Loan | 9.503% | 11/16/2027 | 20,436,407 | 19,925,497 | ||||||||
Total | 164,014,755 |
102 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Food/Tobacco 1.04% | ||||||||||||
1011778 BC Unlimited Liability Co. Term Loan B4 (Canada)(b) | 6.904% | 11/19/2026 | $ | 19,401,601 | $ | 19,025,695 | ||||||
NPC International, Inc. 2nd Lien Term Loan(k) | 1.00% | 4/18/2025 | 9,531,000 | – | (d)(l) | |||||||
Reynolds Group Holdings, Inc. 2021 Term Loan B | 8.518% (1 mo. USD Term SOFR + 3.25% | ) | 9/24/2028 | 17,258,207 | 16,914,942 | |||||||
Sunshine Investments BV 2022 USD Term Loan (Netherlands)(b) | 9.336% (3 mo. USD Term SOFR + 4.25% | ) | 7/12/2029 | 16,643,604 | 16,463,353 | |||||||
Total | 52,403,990 | |||||||||||
Gaming/Leisure 3.51% | ||||||||||||
888 Acquisitions Ltd. USD Term Loan B (United Kingdom)(b) | 10.215% (3 mo. USD Term SOFR + 5.25% | ) | 7/1/2028 | 12,354,203 | 11,327,260 | |||||||
AVSC Holding Corp. 2018 2nd Lien Term Loan | 12.349% (1 mo. USD LIBOR + 7.25% | ) | 9/1/2025 | 3,538,783 | 3,167,211 | |||||||
City Football Group Ltd. Term Loan (United Kingdom)(b) | 8.273% (3 mo. USD LIBOR + 3.00% | ) | 7/21/2028 | 10,501,550 | 10,212,810 | |||||||
Equinox Holdings, Inc. 2017 2nd Lien Term Loan | 12.159% (3 mo. USD LIBOR + 7.00% | ) | 9/6/2024 | 7,044,482 | 5,099,536 | |||||||
Fertitta Entertainment LLC 2022 Term Loan B | 9.153% | 1/27/2029 | 27,661,452 | 26,684,726 | ||||||||
Hilton Grand Vacations Borrower LLC 2021 Term Loan B | 8.154% | 8/2/2028 | 14,824,917 | 14,713,730 | ||||||||
Motion Finco Sarl Delayed Draw Term Loan B2 (Luxembourg)(b) | 8.409% (3 mo. USD LIBOR + 3.25% | ) | 11/12/2026 | 1,495,206 | 1,475,977 | |||||||
Motion Finco Sarl USD Term Loan B1 (Luxembourg)(b) | 8.409% (3 mo. USD LIBOR + 3.25% | ) | 11/12/2026 | 10,476,044 | 10,341,322 | |||||||
PENN Entertainment, Inc. 2022 Term Loan B | 8.003% | 5/3/2029 | 15,572,611 | 15,457,763 | ||||||||
Sabre Global, Inc. 2021 Term Loan B1 | 8.768% (1 mo. USD Term SOFR + 3.50% | ) | 12/17/2027 | 860,232 | 631,195 | |||||||
Sabre Global, Inc. 2021 Term Loan B2 | 8.768% (1 mo. USD Term SOFR + 3.50% | ) | 12/17/2027 | 1,232,670 | 904,472 | |||||||
Sabre Global, Inc. 2022 Term Loan B | 9.503% (1 mo. USD Term SOFR + 4.25% | ) | 6/30/2028 | 3,937,195 | 2,909,843 | |||||||
Scientific Games Holdings LP 2022 USD Term Loan B | 8.421% (3 mo. USD Term SOFR + 3.50% | ) | 4/4/2029 | 13,263,422 | 12,821,020 |
See Notes to Financial Statements. | 103 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Gaming/Leisure (continued) | ||||||||||||
Scientific Games International, Inc. 2022 USD Term Loan | 8.159% (1 mo. USD Term SOFR + 3.00% | ) | 4/14/2029 | $ | 12,475,617 | $ | 12,401,574 | |||||
SeaWorld Parks & Entertainment, Inc. 2021 Term Loan B | 8.188% | 8/25/2028 | 12,906,929 | 12,785,991 | ||||||||
Silk Bidco AS EUR Term Loan B(c) | 9.697% (6 mo. EUR EURIBOR + 6.50% | ) | 2/28/2027 | EUR | 11,686,254 | 11,324,240 | ||||||
Station Casinos LLC 2020 Term Loan B | 7.41% | 2/8/2027 | $ | 8,291,762 | 8,160,296 | |||||||
United FP Holdings LLC 2019 1st Lien Term Loan | 9.159% (3 mo. USD LIBOR + 4.00% | ) | 12/30/2026 | 17,211,888 | 12,873,029 | |||||||
United FP Holdings LLC 2019 2nd Lien Term Loan | 13.659% (3 mo. USD LIBOR + 8.50% | ) | 12/30/2027 | 4,000,000 | 2,900,000 | |||||||
Total | 176,191,995 | |||||||||||
Health Care Products 0.89% | ||||||||||||
Curia Global, Inc. 2021 Term Loan | 8.895% - 9.00% (1 mo. USD Term SOFR + 3.75% (3 mo. USD Term SOFR + 3.75% | ) ) | 8/30/2026 | 9,560,981 | 8,104,652 | |||||||
Medline Borrower LP USD Term Loan B | 8.404% | 10/23/2028 | 37,966,508 | 36,856,368 | ||||||||
Total | 44,961,020 | |||||||||||
Health Care Services 0.50% | ||||||||||||
ADMI Corp. 2018 Term Loan B | 8.154% | 4/30/2025 | 9,571,652 | 9,150,260 | ||||||||
Wellpath Holdings, Inc. 2018 1st Lien Term Loan | 10.654% - 10.98% | 10/1/2025 | 23,321,231 | 16,004,311 | ||||||||
Total | 25,154,571 | |||||||||||
Health Services 0.29% | ||||||||||||
Covetrus, Inc. Term Loan | 9.898% (3 mo. USD Term SOFR + 5.00% | ) | 10/13/2029 | 15,847,482 | 14,690,061 | |||||||
Healthcare 9.31% | ||||||||||||
Athenahealth Group, Inc. 2022 Delayed Draw Term loan(h) | 3.50% | 2/15/2029 | 3,972,648 | 3,754,152 | ||||||||
Athenahealth Group, Inc. 2022 Term Loan B | 8.598% (1 mo. USD Term SOFR + 3.50% | ) | 2/15/2029 | 32,337,996 | 30,559,406 | |||||||
Bella Holding Co. LLC 2021 Term Loan B | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 5/10/2028 | 9,255,071 | 9,012,125 | |||||||
Canopy Growth Corp. Term Loan (Canada)(b) | 13.627% (1 mo. USD LIBOR + 8.50% | ) | 3/18/2026 | 6,551,288 | 5,232,842 | |||||||
CCRR Parent, Inc. Term Loan B | 8.91% | 3/6/2028 | 11,913,973 | 11,429,968 |
104 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
CNT Holdings I Corp. 2020 2nd Lien Term Loan | 11.709% (3 mo. USD Term SOFR + 6.75% | ) | 11/6/2028 | $ | 8,664,122 | $ | 8,165,935 | |||||
CNT Holdings I Corp. 2020 Term Loan | 8.459% (3 mo. USD Term SOFR + 3.50% | ) | 11/8/2027 | 9,059,354 | 8,833,821 | |||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 9.268% (1 mo. USD Term SOFR + 4.00% | ) | 1/8/2027 | 9,447,426 | 8,992,769 | |||||||
Dermatology Intermediate Holdings III, Inc. 2022 Term Loan B | 9.295% (3 mo. USD Term SOFR + 4.25% | ) | 3/30/2029 | 12,264,667 | 11,958,051 | |||||||
Dermatology Intermediate Holdings III, Inc. 2022 Delayed Draw Term Loan(h) | 4.25% - 9.39% (1 mo. USD Term SOFR + 4.25% (3 mo. USD Term SOFR + 4.25% | ) ) | 3/30/2029 | 2,296,667 | 2,239,250 | |||||||
Electron BidCo, Inc. 2021 Term Loan | 8.268% (1 mo. USD Term SOFR + 3.00% | ) | 11/1/2028 | 14,254,072 | 13,967,921 | |||||||
eResearchTechnology, Inc. 2020 1st Lien Term Loan | 9.768% (1 mo. USD Term SOFR + 4.50% | ) | 2/4/2027 | 19,372,955 | 17,930,541 | |||||||
Gainwell Acquisition Corp. Term Loan B | 8.998% (3 mo. USD Term SOFR + 4.00% | ) | 10/1/2027 | 16,920,389 | 16,047,889 | |||||||
Global Medical Response, Inc. 2020 Term Loan B | 9.236% (3 mo. USD LIBOR + 4.25% | ) | 10/2/2025 | 18,219,499 | 12,810,586 | |||||||
Heartland Dental LLC 2018 1st Lien Term Loan | 8.907% | 4/30/2025 | 6,173,771 | 6,054,926 | ||||||||
Heartland Dental LLC 2021 Incremental Term Loan | 9.157% | 4/30/2025 | 11,789,139 | 11,553,356 | ||||||||
Hunter Holdco 3 Ltd. USD Term Loan B (United Kingdom)(b) | 9.409% (3 mo. USD LIBOR + 4.25% | ) | 8/19/2028 | 19,733,968 | 19,437,959 | |||||||
Insulet Corp. Term Loan B | 8.518% (1 mo. USD Term SOFR + 3.25% | ) | 5/4/2028 | 8,990,786 | 8,975,367 | |||||||
LSCS Holdings, Inc. 2021 1st Lien Term Loan | 9.654% | 12/16/2028 | 14,623,889 | 14,172,961 | ||||||||
MDVIP, Inc. 2021 Term Loan | 8.654% | 10/16/2028 | 10,074,068 | 9,812,797 | ||||||||
MedAssets Software Intermediate Holdings, Inc. 2021 Term Loan | 9.154% | 12/18/2028 | 12,573,653 | 10,591,354 | ||||||||
Medical Solutions Holdings, Inc. 2021 1st Lien Term Loan | 8.614% (3 mo. USD Term SOFR + 3.25% | ) | 11/1/2028 | 9,082,759 | 8,469,673 | |||||||
Medical Solutions Holdings, Inc. 2021 2nd Lien Term Loan | 12.364% (3 mo. USD Term SOFR + 7.00% | ) | 11/1/2029 | 8,000,000 | 6,940,000 |
See Notes to Financial Statements. | 105 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
National Mentor Holdings, Inc. 2021 2nd Lien Term Loan | 12.248% (3 mo. USD Term SOFR + 7.25% | ) | 3/2/2029 | $ | 5,832,027 | $ | 3,032,654 | |||||
Navicure, Inc. 2019 Term Loan B | 9.154% | 10/22/2026 | 15,978,586 | 15,888,786 | ||||||||
Pacific Dental Services LLC 2021 Term Loan | 8.627% (1 mo. USD LIBOR + 3.50% | ) | 5/5/2028 | 10,289,140 | 10,215,213 | |||||||
Parexel International Corp. 2021 1st Lien Term Loan | 8.404% | 11/15/2028 | 21,037,763 | 20,379,176 | ||||||||
Pathway Vet Alliance LLC 2021 Term Loan | 8.904% | 3/31/2027 | 11,451,060 | 9,701,223 | ||||||||
Pearl Intermediate Parent LLC 2018 2nd Lien Term Loan | 11.404% | 2/13/2026 | 2,425,118 | 2,174,518 | ||||||||
PetVet Care Centers LLC 2021 Term Loan B3 | 8.654% | 2/14/2025 | 16,707,950 | 15,858,602 | ||||||||
Physician Partners LLC Term Loan | – | (i) | 12/23/2028 | 16,586,428 | 15,612,059 | |||||||
Press Ganey Holdings, Inc. 2021 Term Loan B | 9.018% (1 mo. USD Term SOFR + 3.75% | ) | 7/24/2026 | 2,856,930 | 2,707,384 | |||||||
Press Ganey Holdings, Inc. 2022 Incremental Term Loan | 9.003% | 7/24/2026 | 6,646,360 | 6,295,366 | ||||||||
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B | 9.023% (3 mo. USD LIBOR + 3.75% | ) | 11/16/2025 | 24,260,173 | 21,354,046 | |||||||
Select Medical Corp. 2017 Term Loan B | 7.753% (1 mo. USD Term SOFR + 2.50% | ) | 3/6/2025 | 13,963,152 | 13,921,681 | |||||||
Southern Veterinary Partners LLC Term Loan | 9.154% | 10/5/2027 | 13,830,018 | 13,397,830 | ||||||||
Summit Behavioral Healthcare LLC 1st Lien Term Loan | 10.237% | 11/24/2028 | 13,887,430 | 13,679,119 | ||||||||
Surgery Center Holdings, Inc. 2021 Term Loan | 8.858% (3 mo. USD LIBOR + 3.75% | ) | 8/31/2026 | 9,957,959 | 9,903,638 | |||||||
Verscend Holding Corp. 2021 Term Loan B | 9.154% | 8/27/2025 | 21,167,000 | 21,151,548 | ||||||||
Zelis Healthcare Corp. 2021 Term Loan | 8.654% | 9/30/2026 | 15,555,632 | 15,447,831 | ||||||||
Total | 467,664,323 | |||||||||||
Housing 2.56% | ||||||||||||
Beacon Roofing Supply, Inc. 2021 Term Loan B | 7.404% | 5/19/2028 | 9,794,758 | 9,744,952 | ||||||||
Cornerstone Building Brands, Inc. 2021 Term Loan B | 8.409% | 4/12/2028 | 25,054,408 | 22,867,284 | ||||||||
Icebox Holdco III, Inc. 2021 1st Lien Term Loan | 8.909% (3 mo. USD LIBOR + 3.75% | ) | 12/22/2028 | 7,595,422 | 7,326,848 | |||||||
Icebox Holdco III, Inc. 2021 2nd Lien Term Loan | 11.909% (3 mo. USD LIBOR + 6.75% | ) | 12/21/2029 | 8,019,639 | 7,057,282 | |||||||
LBM Acquisition LLC Term Loan B | 8.904% | 12/17/2027 | 17,608,297 | 16,184,402 | ||||||||
Oscar AcquisitionCo LLC Term Loan B | 9.498% (3 mo. USD Term SOFR + 4.50% | ) | 4/29/2029 | 6,523,213 | 6,223,537 |
106 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Housing (continued) | ||||||||||||
Quikrete Holdings, Inc. 2016 1st Lien Term Loan | 7.779% | 2/1/2027 | $ | 12,388,553 | $ | 12,302,267 | ||||||
Quikrete Holdings, Inc. 2021 Term Loan B1 | 8.154% | 3/18/2029 | 17,248,402 | 17,157,244 | ||||||||
Solis IV BV USD Term Loan B1 (Netherlands)(b) | 8.666% (3 mo. USD Term SOFR + 3.50% | ) | 2/26/2029 | 14,656,775 | 13,526,371 | |||||||
SRS Distribution, Inc. 2021 Term Loan B | 8.654% | 6/2/2028 | 4,063,624 | 3,869,342 | ||||||||
White Cap Buyer LLC Term Loan B | 8.903% | 10/19/2027 | 12,385,431 | 12,193,457 | ||||||||
Total | 128,452,986 | |||||||||||
Information Technology 8.30% | ||||||||||||
Altar Bidco, Inc. 2021 Term Loan | – | (i) | 2/1/2029 | 17,357,783 | 16,569,479 | |||||||
AP Core Holdings II LLC Amortization Term Loan B1 | 10.654% | 9/1/2027 | 4,894,201 | 4,681,621 | ||||||||
AP Core Holdings II LLC High-Yield Term Loan B2 | 10.654% | 9/1/2027 | 17,050,622 | 16,311,733 | ||||||||
Apttus Corp. 2021 Term Loan | 9.523% (3 mo. USD LIBOR + 4.25% | ) | 5/8/2028 | 14,914,984 | 14,342,622 | |||||||
Ascend Learning LLC 2021 Term Loan | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 12/11/2028 | 22,433,585 | 20,183,160 | |||||||
Banff Merger Sub, Inc. 2021 USD Term Loan | 8.904% | 10/2/2025 | 17,888,466 | 17,664,861 | ||||||||
Barracuda Networks, Inc. 2022 2nd Lien Term Loan | 12.045% (3 mo. USD Term SOFR + 7.00% | ) | 8/15/2030 | 9,907,507 | 8,797,866 | |||||||
Barracuda Networks, Inc. 2022 Term Loan | 9.545% (3 mo. USD Term SOFR + 4.50% | ) | 8/15/2029 | 10,436,373 | 9,994,967 | |||||||
Cloud Software Group, Inc. 2022 USD Term Loan | 9.498% (3 mo. USD Term SOFR + 4.50% | ) | 3/30/2029 | 34,387,990 | 31,923,059 | |||||||
Cloudera, Inc. 2021 Term Loan | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 10/8/2028 | 15,639,781 | 15,023,964 | |||||||
ConnectWise LLC 2021 Term Loan B | 8.654% | 9/29/2028 | 13,553,318 | 12,998,513 | ||||||||
Ensono LP 2021 Term Loan | 9.151% (3 mo. USD LIBOR + 3.75% | ) | 5/26/2028 | 11,285,230 | 10,151,065 | |||||||
Epicor Software Corp. 2020 2nd Lien Term Loan | 13.003% (1 mo. USD Term SOFR + 7.75% | ) | 7/31/2028 | 7,687,953 | 7,661,891 | |||||||
Epicor Software Corp. 2020 Term Loan | 8.518% (1 mo. USD Term SOFR + 3.25% | ) | 7/30/2027 | 8,382,662 | 8,168,275 | |||||||
Greeneden U.S. Holdings II LLC 2020 USD Term Loan B4 | 9.154% | 12/1/2027 | 22,869,922 | 22,342,884 | ||||||||
Houghton Mifflin Harcourt Publishing Co. 2022 Term Loan | 10.503% | 4/9/2029 | 10,462,330 | 9,264,394 | ||||||||
Informatica LLC 2021 USD Term Loan B | 7.938% | 10/27/2028 | 8,357,988 | 8,315,321 | ||||||||
McAfee LLC 2022 USD Term Loan B | 8.843% (1 mo. USD Term SOFR + 3.75% | ) | 3/1/2029 | 29,342,370 | 27,569,651 |
See Notes to Financial Statements. | 107 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
MKS Instruments, Inc. 2022 USD Term Loan B | 7.948% (1 mo. USD Term SOFR + 2.75% | ) | 8/17/2029 | $ | 25,788,251 | $ | 25,562,603 | |||||
Perforce Software, Inc. 2020 Term Loan B | 8.904% | 7/1/2026 | 16,636,101 | 15,672,621 | ||||||||
Polaris Newco LLC 2nd Lien Term Loan | 14.614% | 6/4/2029 | 4,891,447 | 4,634,646 | (j) | |||||||
Project Boost Purchaser LLC 2019 Term Loan B | 8.654% | 6/1/2026 | 9,659,314 | 9,527,754 | ||||||||
RealPage, Inc. 1st Lien Term Loan | 8.154% | 4/24/2028 | 23,257,911 | 22,400,276 | ||||||||
Rocket Software, Inc. 2018 Term Loan | 9.404% | 11/28/2025 | 11,703,331 | 11,533,457 | ||||||||
Rocket Software, Inc. 2021 USD Incremental Term Loan B | 9.404% | 11/28/2025 | 3,452,962 | 3,406,036 | ||||||||
SS&C Technologies, Inc. 2022 Term Loan B6 | 7.503% | 3/22/2029 | 2,550,878 | 2,532,818 | ||||||||
SS&C Technologies, Inc. 2022 Term Loan B7 | 7.503% | 3/22/2029 | 3,844,124 | 3,816,908 | ||||||||
Storable, Inc. Term Loan B | 8.291% - 8.65% (3 mo. USD Term SOFR + 3.50% | ) | 4/17/2028 | 12,204,993 | 11,661,871 | |||||||
Surf Holdings LLC USD Term Loan | 8.508% (3 mo. USD LIBOR + 3.50% | ) | 3/5/2027 | 14,188,565 | 14,013,762 | |||||||
Tenable Holdings, Inc. Term Loan B | 7.904% | 7/7/2028 | 9,978,897 | 9,866,634 | ||||||||
Ultimate Software Group, Inc. 2021 Term Loan | 8.271% (3 mo. USD Term SOFR + 3.25% | ) | 5/4/2026 | 21,338,932 | 20,530,400 | |||||||
Total | 417,125,112 | |||||||||||
Insurance 1.34% | ||||||||||||
Amynta Agency Borrower, Inc. 2023 Term Loan B | 10.253% | 2/28/2028 | 19,640,539 | 18,801,692 | ||||||||
AssuredPartners, Inc. 2022 Term Loan B4 | 9.403% (1 mo. USD Term SOFR + 4.25% | ) | 2/12/2027 | 6,553,097 | 6,499,853 | |||||||
Asurion LLC 2023 Term Loan B11 | 9.503% (1 mo. USD Term SOFR + 4.25% | ) | 8/19/2028 | 26,246,717 | 24,239,893 | |||||||
Sedgwick Claims Management Services, Inc. 2023 Term Loan B | 8.903% (1 mo. USD Term SOFR + 3.75% | ) | 2/17/2028 | 18,229,804 | 17,758,381 | |||||||
Total | 67,299,819 | |||||||||||
Integrated Energy 0.18% | ||||||||||||
Esdec Solar Group BV Term Loan B (Netherlands)(b) | 9.96% (3 mo. USD LIBOR + 4.75% | ) | 8/30/2028 | 9,334,886 | 9,264,875 | |||||||
Internet 1.17% | ||||||||||||
Arches Buyer, Inc. 2021 Term Loan B | 8.503% (1 mo. USD Term SOFR + 3.25% | ) | 12/6/2027 | 9,490,976 | 8,837,285 | |||||||
MH Sub I LLC 2023 Term Loan | 9.416% (3 mo. USD Term SOFR + 4.25% | ) | 4/25/2028 | 31,146,266 | 29,572,290 | |||||||
Uber Technologies, Inc. 2023 Term Loan B | 7.87% (3 mo. USD Term SOFR + 2.75% | ) | 3/3/2030 | 20,542,604 | 20,385,966 | |||||||
Total | 58,795,541 |
108 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Internet Companies 0.70% | ||||||||||||
LSF11 Trinity Bidco, Inc. Term Loan | – | (i) | 4/27/2030 | $ | 18,932,000 | $ | 18,648,020 | (j) | ||||
NEXUS Buyer LLC 2021 Second Lien Term Loan | 11.503% (1 mo. USD Term SOFR + 6.25% | ) | 11/5/2029 | 18,299,361 | 16,377,928 | |||||||
Total | 35,025,948 | |||||||||||
Investment Management Companies 0.11% | ||||||||||||
Vue International Bidco PLC 2023 EUR PIK Term Loan 6.50%(c) | 4.859% (6 mo. EUR EURIBOR + 2.00% | ) | 12/31/2027 | EUR | 9,223,893 | 5,274,791 | ||||||
Leisure 0.52% | ||||||||||||
Carnival Corp. 2021 Incremental Term Loan B (Panama)(b) | 8.404% | 10/18/2028 | $ | 12,864,931 | 12,516,484 | |||||||
Carnival Corp. USD Term Loan B (Panama)(b) | 8.154% | 6/30/2025 | 13,548,608 | 13,459,661 | ||||||||
Total | 25,976,145 | |||||||||||
Leisure Time 0.64% | ||||||||||||
Alterra Mountain Co. 2023 Term Loan B | – | (i) | 5/9/2030 | 2,830,871 | 2,820,255 | (j) | ||||||
Amer Sports Oyj EUR Term Loan B(c) | 7.648% (6 mo. EUR EURIBOR + 4.00% | ) | 3/30/2026 | EUR | 9,470,000 | 10,031,130 | ||||||
Life Time, Inc. 2023 Term Loan B | 9.80% (3 mo. USD Term SOFR + 4.50% | ) | 1/15/2026 | $ | 6,544,546 | 6,532,275 | ||||||
Topgolf Callaway Brands Corp. Term Loan B | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 3/15/2030 | 12,817,713 | 12,656,402 | |||||||
Total | 32,040,062 | |||||||||||
Lodging 0.24% | ||||||||||||
Aimbridge Acquisition Co., Inc. 2019 Term Loan B | 8.904% | 2/2/2026 | 997,416 | 941,312 | ||||||||
Four Seasons Hotels Ltd. 2022 Term Loan B (Canada)(b) | 8.503% (1 mo. USD Term SOFR + 3.25% | ) | 11/30/2029 | 11,100,150 | 11,125,569 | |||||||
Total | 12,066,881 | |||||||||||
Machinery: Diversified 0.42% | ||||||||||||
Chart Industries, Inc. 2023 Term Loan B | 8.916% (1 mo. USD Term SOFR + 3.75% | ) | 3/15/2030 | 16,140,163 | 16,069,631 | |||||||
Engineered Machinery Holdings, Inc. 2021 USD 2nd Lien Term Loan | 11.159% | 5/21/2029 | 5,293,308 | 4,849,993 | ||||||||
Total | 20,919,624 |
See Notes to Financial Statements. | 109 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Manufacturing 4.92% | ||||||||||||
ABG Intermediate Holdings 2 LLC 2021 2nd Lien Term Loan | 11.253% | 12/20/2029 | $ | 10,725,187 | $ | 10,028,050 | ||||||
Camelot U.S. Acquisition LLC 2020 Incremental Term Loan B | 8.268% (1 mo. USD Term SOFR + 3.00% | ) | 10/30/2026 | 4,957,818 | 4,908,240 | |||||||
Camelot U.S. Acquisition LLC Term Loan B | 8.268% | 10/30/2026 | 3,927,712 | 3,888,435 | ||||||||
Chamberlain Group, Inc. Term Loan B | 8.503% | 11/3/2028 | 19,444,266 | 18,472,053 | ||||||||
CMG Media Corp. 2021 Term Loan | 8.659% (3 mo. USD LIBOR + 3.50% | ) | 12/17/2026 | 10,046,371 | 8,388,720 | |||||||
CSC Holdings LLC 2017 Term Loan B1 | 7.357% (1 mo. USD LIBOR + 2.25% | ) | 7/17/2025 | 9,333,962 | 8,594,245 | |||||||
DirecTV Financing LLC Term Loan | 10.154% | 8/2/2027 | 25,238,915 | 24,020,380 | ||||||||
Engineered Machinery Holdings, Inc. 2021 USD Incremental Term Loan | 8.659% (3 mo. USD LIBOR + 3.50% | ) | 5/19/2028 | 14,468,694 | 14,161,234 | |||||||
iHeartCommunications, Inc. 2020 Term Loan | 8.154% | 5/1/2026 | 2,817,798 | 2,214,972 | ||||||||
II-VI, Inc. 2022 Term Loan B | 8.018% (1 mo. USD Term SOFR + 2.75% | ) | 7/2/2029 | 15,645,473 | 15,547,689 | |||||||
Intelsat Jackson Holdings SA 2021 Exit Term Loan B (Luxembourg)(b) | – | (i) | 2/1/2029 | 15,110,416 | 14,882,400 | |||||||
MJH Healthcare Holdings LLC 2022 Term Loan B | 8.753% | 1/28/2029 | 11,846,068 | 11,653,569 | ||||||||
Nexstar Broadcasting, Inc. 2019 Term Loan B4 | 7.654% | 9/18/2026 | 10,006,435 | 9,916,227 | ||||||||
Pro Mach Group, Inc. 2021 Term Loan B | 9.154% | 8/31/2028 | 9,530,052 | 9,447,903 | ||||||||
SPX Flow, Inc. 2022 Term Loan | 9.753% | 4/5/2029 | 11,309,393 | 10,728,430 | ||||||||
Tiger Acquisition LLC 2021 Term Loan | 8.503% (1 mo. USD Term SOFR + 3.25% | ) | 6/1/2028 | 13,490,180 | 12,816,886 | |||||||
Titan Acquisition Ltd. 2018 Term Loan B (Canada)(b) | 8.151% (3 mo. USD LIBOR + 3.00% | ) | 3/28/2025 | 17,974,767 | 17,089,150 | |||||||
Univision Communications, Inc. 2022 First Lien Term Loan B | 9.148% (3 mo. USD Term SOFR + 4.25% | ) | 6/24/2029 | 124,686 | 121,257 | |||||||
Vertical U.S. Newco, Inc. Term Loan B | 8.602% (6 mo. USD LIBOR + 3.50% | ) | 7/30/2027 | 22,625,245 | 21,865,942 | |||||||
Virgin Media Bristol LLC USD Term Loan N | 7.607% (1 mo. USD LIBOR + 2.50% | ) | 1/31/2028 | 19,935,077 | 19,170,467 | |||||||
Vue International Bidco PLC 2022 EUR Term Loan(c) | 11.086% (6 mo. EUR EURIBOR + 8.00% | ) | 6/30/2027 | EUR | 1,611,847 | 1,580,764 | ||||||
William Morris Endeavor Entertainment LLC 2018 1st Lien Term Loan | 7.91% | 5/18/2025 | $ | 7,833,882 | 7,745,751 | |||||||
Total | 247,242,764 |
110 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media 0.87% | ||||||||||||
Gray Television, Inc. 2021 Term Loan D | 8.108% (1 mo. USD LIBOR + 3.00% | ) | 12/1/2028 | $ | 9,966,328 | $ | 9,505,386 | |||||
McGraw-Hill Global Education Holdings LLC 2021 Term Loan | 9.904% - 10.33% | 7/28/2028 | 10,855,504 | 10,227,947 | ||||||||
Radiate Holdco LLC 2021 Term Loan B | 8.404% | 9/25/2026 | 13,173,737 | 10,979,849 | ||||||||
Univision Communications, Inc. 2021 First Lien Term Loan B | 8.404% | 3/15/2026 | 13,247,459 | 12,822,414 | ||||||||
Total | 43,535,596 | |||||||||||
Metal Fabricate/Hardware 0.17% | ||||||||||||
Tank Holding Corp. 2023 Incremental Delayed Draw Term Loan(h) | 1.00% | 3/31/2028 | 2,609,502 | 2,537,741 | (j) | |||||||
Tank Holding Corp. 2023 Incremental Term Loan | 11.182% (3 mo. USD Term SOFR + 6.00% | ) | 3/31/2028 | 6,088,839 | 5,921,395 | |||||||
Total | 8,459,136 | |||||||||||
Metals/Minerals 0.20% | ||||||||||||
Zekelman Industries, Inc. 2020 Term Loan | 7.018% (3 mo. USD LIBOR + 2.00% | ) | 1/24/2027 | 10,086,534 | 9,978,760 | |||||||
Oil & Gas 0.47% | ||||||||||||
Par Petroleum LLC 2023 Term Loan B | 9.614% (3 mo. USD Term SOFR + 4.25 | ) | 2/28/2030 | 12,360,173 | 12,062,726 | |||||||
Parkway Generation LLC Term Loan B | 10.275% (3 mo. USD Term SOFR + 4.75 | ) | 2/18/2029 | 10,562,442 | 10,268,700 | |||||||
Parkway Generation LLC Term Loan C | 10.275% (3 mo. USD Term SOFR + 4.75% | ) | 2/18/2029 | 1,387,367 | 1,348,132 | |||||||
Total | 23,679,558 | |||||||||||
Oil Field Equipment & Services 0.32% | ||||||||||||
Ulterra Drilling Technologies LP Term Loan B | 10.404% | 11/26/2025 | 16,510,159 | 16,179,955 | ||||||||
Packaging 0.43% | ||||||||||||
Clydesdale Acquisition Holdings, Inc. Term Loan B | 9.428% | 4/13/2029 | 11,969,849 | 11,400,563 | ||||||||
Graham Packaging Co., Inc. 2021 Term Loan | 8.268% (1 mo. USD Term SOFR + 3.00 | ) | 8/4/2027 | 1,873,601 | 1,829,103 | |||||||
Mauser Packaging Solutions Holding Co. Term Loan B | 8.993% | 8/14/2026 | 8,575,745 | 8,404,230 | ||||||||
Total | 21,633,896 | |||||||||||
Personal & Household Products 0.49% | ||||||||||||
AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B | 8.804% (1 mo. USD Term SOFR + 3.75% | ) | 7/31/2028 | 25,596,161 | 24,705,158 |
See Notes to Financial Statements. | 111 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pharmaceuticals 1.79% | ||||||||||||
Elanco Animal Health, Inc. Term Loan B | 6.843% (1 mo. USD Term SOFR + 1.75% | ) | 8/1/2027 | $ | 15,000,000 | $ | 14,553,525 | |||||
Jazz Financing Lux Sarl USD Term Loan (Luxembourg)(b) | 8.654% | 5/5/2028 | 24,555,009 | 24,533,033 | ||||||||
Option Care Health, Inc. 2021 Term Loan B | 7.904% | 10/27/2028 | 10,315,344 | 10,299,871 | ||||||||
Organon & Co. USD Term Loan | 8.00% (3 mo. USD LIBOR + 3.00% | ) | 6/2/2028 | 20,866,093 | 20,820,500 | |||||||
Packaging Coordinators Midco, Inc. 2020 1st Lien Term Loan | 8.659% (3 mo. USD LIBOR + 3.50% | ) | 11/30/2027 | 20,653,281 | 19,822,813 | |||||||
Total | 90,029,742 | |||||||||||
Pipelines 0.92% | ||||||||||||
Brazos Delaware II LLC 2023 Term Loan B | 8.805% (1 mo. USD Term SOFR + 3.75% | ) | 2/11/2030 | 16,030,311 | 15,687,182 | |||||||
Oryx Midstream Services Permian Basin LLC 2023 Incremental Term Loan | 8.405% (1 mo. USD Term SOFR + 3.25% | ) | 10/5/2028 | 21,462,034 | 21,126,689 | |||||||
Whitewater Whistler Holdings LLC 2023 Term Loan B | 8.148% (3 mo. USD Term SOFR + 3.25% | ) | 2/15/2030 | 9,346,978 | 9,341,604 | |||||||
Total | 46,155,475 | |||||||||||
Retail 2.96% | ||||||||||||
ABG Intermediate Holdings 2 LLC 2021 Term Loan B1 | 8.753% | 12/21/2028 | 12,979,300 | 12,661,308 | ||||||||
Birkenstock GmbH & Co. KG USD Term Loan B (Germany)(b) | 8.593% | 4/28/2028 | 11,868,443 | 11,720,088 | ||||||||
Evergreen Acqco 1 LP 2021 USD Term Loan | 10.66% (3 mo. USD Term SOFR + 5.50% | ) | 4/26/2028 | 5,442,645 | 5,337,194 | |||||||
Flynn Restaurant Group LP 2021 Term Loan B | 9.518% (1 mo. USD Term SOFR + 4.25% | ) | 12/1/2028 | 18,203,357 | 17,811,985 | |||||||
Great Outdoors Group LLC 2021 Term Loan B1 | 8.904% | 3/6/2028 | 9,731,703 | 9,471,380 | ||||||||
IRB Holding Corp. 2022 Term Loan B | 8.253% | 12/15/2027 | 16,436,705 | 15,978,614 | ||||||||
K-Mac Holdings Corp. 2021 Term Loan | – | (i) | 7/21/2028 | 9,501,112 | 9,259,119 | |||||||
New Era Cap Co., Inc. 2022 Term Loan B | 11.107% (1 mo. USD LIBOR + 6.00% | ) | 7/13/2027 | 9,471,399 | 9,281,971 | |||||||
Petco Health & Wellness Co., Inc. 2021 Term Loan B | 8.41% (3 mo. USD Term SOFR + 3.25% | ) | 3/3/2028 | 15,633,381 | 15,343,538 | |||||||
PetSmart, Inc. 2021 Term Loan B | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 2/11/2028 | 21,745,850 | 21,484,900 | |||||||
Torrid LLC 2021 Term Loan B | 10.768% (1 mo. USD Term SOFR + 5.50% | ) | 6/14/2028 | 12,661,337 | 11,163,057 | |||||||
Whatabrands LLC 2021 Term Loan B | 8.404% | 8/3/2028 | 9,490,995 | 9,316,977 | ||||||||
Total | 148,830,131 |
112 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Service 5.51% | ||||||||||||
Amentum Government Services Holdings LLC 2022 Term Loan | 8.764% - 9.03% (3 mo. USD Term SOFR + 4.00% | ) | 2/15/2029 | $ | 16,864,369 | $ | 15,715,484 | |||||
APi Group DE, Inc. 2021 Incremental Term Loan B | 8.00% (1 mo. USD LIBOR + 2.75% | ) | 1/3/2029 | 10,715,054 | 10,737,073 | |||||||
AppLovin Corp. 2018 Term Loan B | 8.503% (1 mo. USD Term SOFR + 3.35% | ) | 8/15/2025 | 4,795,416 | 4,783,428 | |||||||
AppLovin Corp. 2021 Term Loan B | 8.253% (1 mo. USD Term SOFR + 3.10% | ) | 10/25/2028 | 22,409,544 | 22,118,220 | |||||||
Blackhawk Network Holdings, Inc. 2018 2nd Lien Term Loan | 12.25% | 6/15/2026 | 13,754,734 | 13,115,139 | ||||||||
Brown Group Holding LLC 2022 Incremental Term Loan B2 | 8.795% - 9.01% (1 mo. USD Term SOFR + 3.75% | ) | 7/2/2029 | 10,970,326 | 10,835,117 | |||||||
DTI Holdco, Inc. 2022 Term Loan | 9.795% (3 mo. USD Term SOFR + 4.75% | ) | 4/26/2029 | 15,324,024 | 14,195,487 | |||||||
Dun & Bradstreet Corp. 2022 Incremental Term Loan B2 | 8.386% (1 mo. USD Term SOFR + 3.25% | ) | 1/18/2029 | 11,952,168 | 11,858,044 | |||||||
Harsco Corp. 2021 Term Loan | 7.518% (1 mo. USD Term SOFR + 2.25% | ) | 3/10/2028 | 17,314,185 | 16,808,351 | |||||||
Instructure Holdings, Inc. 2021 Term Loan B | 7.852% (3 mo. USD LIBOR + 2.75% | ) | 10/30/2028 | 8,023,725 | 7,973,577 | |||||||
KUEHG Corp. 2017 2nd Lien Term Loan | 13.409% (3 mo. USD LIBOR + 8.25% | ) | 8/22/2025 | 62,000 | 60,089 | |||||||
Magnite, Inc. Term Loan | 10.154% - 10.58% | 4/28/2028 | 14,741,364 | 14,550,979 | ||||||||
Prime Security Services Borrower LLC 2021 Term Loan | 7.844% (1 mo. USD LIBOR + 2.75% | ) | 9/23/2026 | 10,068,636 | 10,018,293 | |||||||
Red Planet Borrower LLC Term Loan B | 9.003% (1 mo. USD Term SOFR + 3.75% | ) | 10/2/2028 | 16,644,202 | 14,040,549 | |||||||
Renaissance Holding Corp. 2018 2nd Lien Term Loan | 12.154% | 5/29/2026 | 9,658,831 | 9,494,969 | ||||||||
Renaissance Holding Corp. 2023 Refi Term Loan | 9.903% (1 mo. USD Term SOFR + 4.75% | ) | 4/5/2030 | 12,447,182 | 12,195,936 | |||||||
Sabre Global, Inc. 2022 1st Lien Term Loan B | 10.253% (1 mo. USD Term SOFR + 5.00% | ) | 6/30/2028 | 15,632,127 | 11,636,243 | |||||||
Severin Acquisition LLC 2018 Term Loan B | 8.045% (3 mo. USD Term SOFR + 3.00% | ) | 8/1/2025 | 9,977,290 | 9,983,525 | |||||||
Sophia LP 2021 Term Loan B | 8.659% (3 mo. USD LIBOR + 3.50% | ) | 10/7/2027 | 20,234,493 | 19,791,863 |
See Notes to Financial Statements. | 113 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Service (continued) | ||||||||||||
SRS Distribution, Inc. 2022 Incremental Term Loan | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 6/2/2028 | $ | 16,247,203 | $ | 15,443,535 | |||||
SSH Group Holdings, Inc. 2018 1st Lien Term Loan | 8.898% (3 mo. USD Term SOFR + 4.00% | ) | 7/30/2025 | 17,338,114 | 16,986,583 | |||||||
Team Health Holdings, Inc. 2022 Term Loan B | 10.403% | 3/2/2027 | 6,865,773 | 4,229,797 | ||||||||
Weld North Education LLC 2021 Term Loan B | 8.91% | 12/21/2027 | 10,413,013 | 10,256,817 | ||||||||
Total | 276,829,098 | |||||||||||
Shipbuilding 0.32% | ||||||||||||
MHI Holdings LLC Term Loan B | 10.154% | 9/21/2026 | 15,985,911 | 15,985,911 | ||||||||
Software 2.96% | ||||||||||||
Applied Systems, Inc. 2022 Extended 1st Lien Term Loan | 9.398% (3 mo. USD Term SOFR + 4.50% | ) | 9/18/2026 | 14,038,120 | 14,046,052 | |||||||
Banff Merger Sub, Inc. 2021 USD 2nd Lien Term Loan | 10.654% | 2/27/2026 | 6,237,990 | 6,047,731 | ||||||||
Capstone Borrower, Inc. 2023 Term Loan B | – | (i) | 5/17/2030 | 17,005,404 | 16,516,499 | (j) | ||||||
CDK Global, Inc. 2022 USD Term Loan B | 9.148% (3 mo. USD Term SOFR + 4.25% | ) | 7/6/2029 | 18,481,850 | 18,235,764 | |||||||
ECL Entertainment LLC Term Loan | 12.768% | 5/1/2028 | 8,948,156 | 9,009,675 | ||||||||
Liftoff Mobile, Inc. Term Loan | 8.659% (3 mo. USD LIBOR + 3.50% | ) | 3/17/2028 | 1 | 1 | |||||||
Mitchell International, Inc. 2021 Term Loan B | 8.877% (1 mo. USD LIBOR + 3.75% | ) | 10/15/2028 | 14,870,201 | 14,127,434 | |||||||
Open Text Corp. 2022 Term Loan B (Canada)(b) | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 1/31/2030 | 14,768,984 | 14,756,651 | |||||||
Playtika Holding Corp. 2021 Term Loan | 7.904% | 3/13/2028 | 20,193,319 | 19,845,489 | ||||||||
Quartz Acquireco LLC Term Loan B | – | (i) | 4/14/2030 | 13,711,214 | 13,556,963 | (j) | ||||||
Roper Industrial Products Investment Co. LLC USD Term Loan | 9.398% (3 mo. USD Term SOFR + 4.50% | ) | 11/22/2029 | 10,092,372 | 9,999,320 | |||||||
Ultimate Software Group, Inc. 2021 2nd Lien Term Loan | 10.271% (3 mo. USD Term SOFR + 5.25% | ) | 5/3/2027 | 13,494,991 | 12,759,514 | |||||||
Total | 148,901,093 | |||||||||||
Software/Services 0.47% | ||||||||||||
Proofpoint, Inc. 1st Lien Term Loan | 8.404% | 8/31/2028 | 17,566,915 | 17,000,821 | ||||||||
Proofpoint, Inc. 2nd Lien Term Loan | 11.404% | 8/31/2029 | 6,750,420 | 6,514,156 | ||||||||
Total | 23,514,977 |
114 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Specialty Retail 0.15% | ||||||||||||
Chinos Intermediate Holdings A, Inc. Exit Term Loan | 13.307% (3 mo. USD Term SOFR + 8.00% | ) | 9/10/2027 | $ | 8,029,523 | $ | 7,720,066 | |||||
Telecommunications 1.76% | ||||||||||||
Altice France SA 2023 USD Term Loan B14 (France)(b) | 10.486% | 8/15/2028 | 12,758,337 | 10,706,413 | ||||||||
Carriage Purchaser, Inc. 2021 Term Loan B | 9.404% | 9/30/2028 | 3,040,380 | 2,989,073 | ||||||||
CenturyLink, Inc. 2020 Term Loan B | 7.518% (1 mo. USD Term SOFR + 2.25% | ) | 3/15/2027 | 21,073,581 | 14,603,676 | |||||||
Fastlane Parent Co., Inc. 2018 Add On 1st Lien Term Loan | 9.654% | 2/4/2026 | 13,215,800 | 13,138,686 | ||||||||
Frontier Communications Corp. 2021 1st Lien Term Loan | 8.938% | 5/1/2028 | 13,214,779 | 12,308,774 | ||||||||
Kenan Advantage Group, Inc. 2021 Term Loan B1 | 9.477% | 3/24/2026 | 10,051,321 | 9,986,641 | ||||||||
Lorca Holdco Ltd. 2021 EUR Term Loan B2(c) | 6.269% (6 mo. EUR EURIBOR + 3.70% | ) | 9/17/2027 | EUR | 1,465,000 | 1,525,749 | ||||||
Lorca Holdco Ltd. EUR Term Loan B1(c) | 6.769% (6 mo. EUR EURIBOR + 4.20% | ) | 9/17/2027 | EUR | 7,785,000 | 8,209,424 | ||||||
Northwest Fiber LLC 2021 Term Loan | 8.947% | 4/30/2027 | $ | 15,820,477 | 15,138,219 | |||||||
Total | 88,606,655 | |||||||||||
Transportation 0.05% | ||||||||||||
Kenan Advantage Group, Inc. 2023 Term Loan | 9.727% (3 mo. USD Term SOFR + 4.00% | ) | 3/24/2026 | 2,347,761 | 2,333,099 | |||||||
Utility 1.11% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 8.66% | 12/10/2027 | 8,001,052 | 7,946,765 | ||||||||
Calpine Corp. 2020 Term Loan B5 | 7.66% | 12/16/2027 | 4,868,918 | 4,835,858 | ||||||||
Generation Bridge Acquisition LLC Term Loan B | 10.154% | 12/1/2028 | 13,835,816 | 13,835,816 | ||||||||
Generation Bridge Acquisition LLC Term Loan C | 10.154% | 12/1/2028 | 322,718 | 322,718 | ||||||||
Pacific Gas & Electric Co. 2020 Term Loan | 8.154% | 6/23/2025 | 8,619,361 | 8,567,257 | ||||||||
Talen Energy Supply LLC 2023 Term Loan B | 9.59% | 5/17/2030 | 5,251,728 | 5,138,895 | ||||||||
Talen Energy Supply LLC 2023 Term Loan C | 9.59% | 5/17/2030 | 4,255,711 | 4,164,277 | ||||||||
USIC Holdings, Inc. 2021 Term Loan | 8.654% | 5/12/2028 | 11,331,703 | 10,916,849 | ||||||||
Total | 55,728,435 | |||||||||||
Total Floating Rate Loans (cost $4,237,083,189) | 4,103,316,706 |
See Notes to Financial Statements. | 115 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Dividend Rate | Shares | Fair Value | |||||||||
PREFERRED STOCKS 0.53% | ||||||||||||
Transportation Infrastructure | ||||||||||||
ACBL Holdings Corp. | Zero Coupon | 268,120 | $ | 6,568,940 | ||||||||
ACBL Holdings Corp. | Zero Coupon | 444,753 | 20,013,885 | |||||||||
Total Preferred Stocks (cost $17,821,825) | 26,582,825 | |||||||||||
Exercise Price | Expiration Date | |||||||||||
WARRANTS 0.01% | ||||||||||||
Machinery 0.00% | ||||||||||||
TNT Crane & Rigging, Inc.* | $4.00 | 10/16/2025 | 12,651 | 6,326 | ||||||||
Miscellaneous Financials 0.01% | ||||||||||||
Utex Industries* | 114.76 | 12/3/2025 | 57,340 | 336,012 | (e) | |||||||
Specialty Retail 0.00% | ||||||||||||
Chinos Intermediate Holdings A, Inc.* | 3.50 | 147,340 | 317,739 | |||||||||
Total Warrants (cost $652,304) | 660,077 | |||||||||||
Total Long-Term Investments (cost $4,770,780,585) | 4,618,423,704 | |||||||||||
Principal Amount | ||||||||||||
SHORT-TERM INVESTMENTS 10.12% | ||||||||||||
REPURCHASE AGREEMENTS 8.99% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 5.080% due 6/1/2023 with Barclays Bank plc collateralized by $335,877,000 of U.S. Treasury Note at 3.750% due 5/31/2030; value: $336,599,136; proceeds: $330,045,720 (cost $329,999,153) | $329,999,153 | 329,999,153 | ||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $136,929,900 of U.S. Treasury Note at 0.500% due 2/28/2026; value: $124,189,000; proceeds: $121,762,692 (cost 121,753,898) | 121,753,898 | 121,753,898 | ||||||||||
Total Repurchase Agreements (cost $451,753,051) | 451,753,051 |
116 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Investments | Shares | Fair Value | ||||||
MONEY MARKET FUNDS 1.02% | ||||||||
Fidelity Government Portfolio(m) (cost $51,213,645) | 51,213,645 | $ | 51,213,645 | |||||
TIME DEPOSITS 0.11% | ||||||||
CitiBank N.A.(m) (cost $5,690,405) | 5,690,405 | 5,690,405 | ||||||
Total Short-Term Investments (cost $508,657,101) | 508,657,101 | |||||||
Total Investments in Securities 102.03% (cost $5,279,437,686) | 5,127,080,805 | |||||||
Less Unfunded Loan Commitments (0.15%) (cost $7,846,939) | (7,662,916 | ) | ||||||
Net Investments in Securities 101.88% (cost $5,271,590,747) | 5,119,417,889 | |||||||
Other Assets and Liabilities – Net(n) (1.88)% | (94,403,815 | ) | ||||||
Net Assets 100.00% | $ | 5,025,014,074 |
EUR | Euro. | |
ETF | Exchange Traded Fund. | |
EURIBOR | Euro Interbank Offered Rate. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $355,457,911, which represents 7.07% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
* | Non-income producing security. | |
(a) | Level 3 Investment as described in Note 2(u) 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) | Amount is less than $1. | |
(e) | Level 3 Investment as described in Note 2(u) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(f) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(h) | Security partially/fully unfunded. | |
(i) | Interest Rate to be determined. | |
(j) | Level 3 Investment as described in Note 2(u) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(k) | Defaulted (non-income producing security). | |
(l) | Level 3 Investment as described in 2(u) in the Notes to Financials. Floating Rate Loan fair valued by the Pricing Committee. 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 can not disclose such inputs in the valuation. | |
(m) | Security was purchased with the cash collateral from loaned securities. | |
(n) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and swap contracts as follows: |
See Notes to Financial Statements. | 117 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Centrally Cleared Interest Rate Swap Contracts at May 31, 2023:
Central Clearingparty | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Value/Unrealized Appreciation | ||||||||||
Bank of America(1) | 4.372% | 12-Month USD SOFR Index | 9/15/2024 | $ | 16,284,000 | $ | 90,972 | ||||||||
Bank of America(1) | 3.636% | 12-Month USD SOFR Index | 1/20/2026 | 12,246,000 | 112,069 | ||||||||||
Bank of America(1) | 3.317% | 12-Month USD SOFR Index | 4/30/2030 | 5,404,000 | 35,712 | ||||||||||
Bank of America(1) | 2.498% | 12-Month USD SOFR Index | 10/15/2029 | 6,503,000 | 351,572 | ||||||||||
Bank of America(1) | 2.496% | 12-Month USD SOFR Index | 12/1/2028 | 9,176,000 | 459,887 | ||||||||||
Bank of America(1) | 2.489% | 12-Month USD SOFR Index | 8/1/2029 | 9,592,000 | 513,574 | ||||||||||
Bank of America(1) | 2.476% | 12-Month USD SOFR Index | 10/1/2029 | 13,498,000 | 743,985 | ||||||||||
Bank of America(1) | 1.225% | 12-Month USD SOFR Index | 1/15/2030 | 12,445,000 | 1,615,092 | ||||||||||
Bank of America(1) | 1.220% | 12-Month USD SOFR Index | 10/15/2029 | 9,775,000 | 1,234,671 | ||||||||||
Bank of America(1) | 1.152% | 12-Month USD SOFR Index | 10/15/2028 | 10,098,000 | 1,157,118 | ||||||||||
Unrealized Appreciation on Centrally Cleared Interest Rate Swap Contracts | $ | 6,314,652 |
Central Clearingparty | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Value/Unrealized Depreciation | ||||||||||
Bank of America(1) | 4.494% | 12-Month USD SOFR Index | 4/1/2025 | $ | 8,021,000 | $ | (10,810 | ) | |||||||
Bank of America(1) | 4.447% | 12-Month USD SOFR Index | 6/15/2025 | 10,186,000 | (33,252 | ) | |||||||||
Bank of America(1) | 4.440% | 12-Month USD SOFR Index | 6/25/2025 | 12,041,000 | (41,685 | ) | |||||||||
Bank of America(1) | 4.265% | 12-Month USD SOFR Index | 5/1/2026 | 12,207,000 | (118,059 | ) | |||||||||
Bank of America(1) | 4.217% | 12-Month USD SOFR Index | 8/15/2026 | 7,668,000 | (89,124 | ) | |||||||||
Bank of America(1) | 4.214% | 12-Month USD SOFR Index | 9/1/2026 | 7,970,000 | (95,317 | ) | |||||||||
Bank of America(1) | 4.203% | 12-Month USD SOFR Index | 10/15/2026 | 3,011,000 | (38,707 | ) | |||||||||
Bank of America(1) | 4.062% | 12-Month USD SOFR Index | 12/15/2025 | 3,085,000 | (1,779 | ) | |||||||||
Bank of America(1) | 3.974% | 12-Month USD SOFR Index | 4/1/2027 | 5,947,000 | (58,294 | ) | |||||||||
Bank of America(1) | 3.940% | 12-Month USD SOFR Index | 8/15/2027 | 8,911,000 | (105,504 | ) | |||||||||
Bank of America(1) | 3.925% | 12-Month USD SOFR Index | 5/1/2026 | 9,243,000 | (3,643 | ) | |||||||||
Bank of America(1) | 3.890% | 12-Month USD SOFR Index | 7/15/2028 | 4,603,000 | (75,613 | ) | |||||||||
Bank of America(1) | 3.875% | 12-Month USD SOFR Index | 5/1/2028 | 7,347,000 | (105,362 | ) | |||||||||
Bank of America(1) | 3.805% | 12-Month USD SOFR Index | 11/1/2026 | 9,176,000 | (9,245 | ) | |||||||||
Bank of America(1) | 3.803% | 12-Month USD SOFR Index | 6/30/2029 | 9,216,000 | (167,890 | ) | |||||||||
Bank of America(1) | 3.766% | 12-Month USD SOFR Index | 4/1/2030 | 8,462,000 | (171,478 | ) | |||||||||
Bank of America(1) | 3.708% | 12-Month USD SOFR Index | 4/15/2027 | 9,454,000 | (6,439 | ) | |||||||||
Bank of America(1) | 3.599% | 12-Month USD SOFR Index | 2/1/2028 | 5,823,000 | (5,618 | ) | |||||||||
Unrealized Depreciation on Centrally Cleared Interest Rate Swap Contracts | $ | (1,137,819 | ) |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). |
118 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
Total Return Swap Contracts at May 31, 2023:
Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Upfront Payment | Unrealized Appreciation | Value | |||||||||||||||||
Barclays Capital, PLC. | IBOXX | 12-Month USD SOFR Index | 307,692 | Long | 6/20/2023 | $ | 57,000,000 | $ | (590 | ) | $ | 556,744 | $ | 556,154 | ||||||||||||
Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 282,269 | Long | 6/20/2023 | 51,500,000 | (57 | ) | 1,300,611 | 1,300,554 | ||||||||||||||||
Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 308,303 | Long | 6/20/2023 | 56,912,657 | (687 | ) | 758,340 | 757,653 | ||||||||||||||||
Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 616,116 | Long | 6/20/2023 | 113,981,382 | (1,128 | ) | 1,268,786 | 1,267,658 | ||||||||||||||||
Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 151,756 | Long | 6/20/2023 | 27,839,622 | 6 | 547,454 | 547,460 | |||||||||||||||||
Total | $ | 307,233,661 | $ | (2,456 | ) | $4,431,935 | $ | 4,429,479 |
* | iBoxx Leverage Loan Index. | |
SOFR | Secured Overnight Financing Rate. |
Forward Foreign Currency Exchange Contracts at May 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 120,000 | $ | 132,582 | $ | 128,348 | $ | 4,234 | ||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 4,810,000 | 5,198,667 | 5,144,613 | 54,054 | |||||||||||||||
Euro | Sell | Standard Chartered Bank | 6/13/2023 | 4,609,000 | 4,987,751 | 4,929,630 | 58,121 | |||||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 8,637,000 | 9,492,087 | 9,237,843 | 254,244 | |||||||||||||||
Euro | Sell | Toronto Dominion Bank | 6/13/2023 | 3,263,000 | 3,558,920 | 3,489,994 | 68,926 | |||||||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 439,579 | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
Euro | Buy | Bank of America | 6/13/2023 | 1,539,000 | $ | 1,664,298 | $ | 1,646,062 | $ | (18,236 | ) | |||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 2,579,000 | 2,825,508 | 2,758,411 | (67,097 | ) | ||||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 3,412,000 | 3,781,075 | 3,649,360 | (131,715 | ) | ||||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 4,675,000 | 5,141,932 | 5,000,222 | (141,710 | ) | ||||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 5,500,000 | 5,985,203 | 5,882,614 | (102,589 | ) | ||||||||||||||
Euro | Buy | State Street Bank and Trust | 6/13/2023 | 2,189,000 | 2,362,920 | 2,341,280 | (21,640 | ) | ||||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 62,663,000 | 66,668,419 | 67,022,221 | (353,802 | ) | ||||||||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (836,789 | ) |
See Notes to Financial Statements. | 119 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 30,838,719 | $ | – | $ | 30,838,719 | ||||||||
Common Stocks | ||||||||||||||||
Electric-Generation | – | – | 3,145 | 3,145 | ||||||||||||
Remaining Industries | – | 31,528,963 | – | 31,528,963 | ||||||||||||
Convertible Bonds | – | 7,428,017 | – | 7,428,017 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Mining | – | 7,714,391 | – | (3) | 7,714,391 | |||||||||||
Remaining Industries | – | 354,689,047 | – | 354,689,047 | ||||||||||||
Exchange-Traded Funds | 55,661,814 | – | – | 55,661,814 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Commercial Services | – | 111,719,402 | 9,871,646 | 121,591,048 | ||||||||||||
Electric: Generation | – | 27,504,463 | 1,288,795 | 28,793,258 | ||||||||||||
Food/Tobacco | – | 52,403,990 | – | (4) | 52,403,990 | |||||||||||
Information Technology | – | 412,490,466 | 4,634,646 | 417,125,112 | ||||||||||||
Internet Companies | – | 16,377,928 | 18,648,020 | 35,025,948 | ||||||||||||
Leisure Time | – | 29,219,807 | 2,820,255 | 32,040,062 | ||||||||||||
Metal Fabricate/Hardware | – | 5,921,395 | 2,537,741 | 8,459,136 | ||||||||||||
Software | – | 118,827,631 | 30,073,462 | 148,901,093 | ||||||||||||
Remaining Industries | – | 3,258,977,059 | – | 3,258,977,059 | ||||||||||||
Less Unfunded Commitments | – | (5,125,175 | ) | (2,537,741 | ) | (7,662,916 | ) | |||||||||
Preferred Stocks | – | 26,582,825 | – | 26,582,825 | ||||||||||||
Warrants | – | 324,065 | 336,012 | 660,077 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 451,753,051 | – | 451,753,051 | ||||||||||||
Money Market Funds | 51,213,645 | – | – | 51,213,645 | ||||||||||||
Time Deposits | – | 5,690,405 | – | 5,690,405 | ||||||||||||
Total | $ | 106,875,459 | $ | 4,944,866,449 | $ | 67,675,981 | $ | 5,119,417,889 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 6,314,652 | $ | – | $ | 6,314,652 | ||||||||
Liabilities | – | (1,137,819 | ) | – | (1,137,819 | ) | ||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | – | 4,429,479 | – | 4,429,479 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 439,579 | – | 439,579 | ||||||||||||
Liabilities | – | (836,789 | ) | – | (836,789 | ) | ||||||||||
Total | $ | – | $ | 9,209,102 | $ | – | $ | 9,209,102 |
(1) | Refer to Note 2(u) 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. When applicable, each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. | |
(3) | Includes securities with zero market value. | |
(4) | Amount less than $1. |
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 period in relation to the Fund’s net assets.
120 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
FLOATING RATE FUND May 31, 2023
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Common Stocks | Corporate Bonds | Floating Rate Loans | Warrants | ||||||||||||
Balance as of December 1, 2022 | $ | 3,145 | $ | 5 | $ | 79,179,145 | $ | 521,220 | ||||||||
Accrued Discounts (Premiums) | – | – | 128,692 | – | ||||||||||||
Realized Gain (Loss) | – | – | (363,072 | ) | – | |||||||||||
Change in Unrealized Appreciation (Depreciation) | – | (5 | ) | (346,563 | ) | (185,208 | ) | |||||||||
Purchases | – | – | 57,620,019 | – | ||||||||||||
Sales | – | – | (8,786,638 | ) | – | |||||||||||
Transfers into Level 3(a) | – | – | 13,706,555 | – | ||||||||||||
Transfers out of Level 3(a) | – | – | (73,801,314 | ) | – | |||||||||||
Balance as of May 31, 2023 | $ | 3,145 | $ | – | $ | 67,336,824 | $ | 336,012 | ||||||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2023, related to Level 3 investments held at May 31, 2023 | $ | – | $ | – | $ | (464,660 | ) | $ | (185,208 | ) |
(a) | The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of market quotations in accordance with valuation methodology. |
See Notes to Financial Statements. | 121 |
Schedule of Investments (unaudited)
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 97.71% | ||||||||||||
ASSET-BACKED SECURITIES 0.34% | ||||||||||||
Other | ||||||||||||
Perimeter Master Note Business | 8.13% | 5/15/2027 | $ | 5,000,000 | $ | 4,565,850 | ||||||
Perimeter Master Note Business Trust | 5.19% | 5/15/2027 | 12,000,000 | 9,708,596 | (a) | |||||||
Total Asset-Backed Securities (cost $16,981,834) | 14,274,446 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.81% | ||||||||||||
Automobile Components 0.05% | ||||||||||||
Chassix Holdings, Inc. | 465,820 | 2,096,190 | ||||||||||
Banks 0.10% | ||||||||||||
New York Community Bancorp, Inc. | 417,723 | 4,294,193 | ||||||||||
Electric: Utilities 0.33% | ||||||||||||
Talen Energy Supply LLC* | 64,721 | 2,856,138 | ||||||||||
Talen Energy Supply LLC* | 248,166 | 10,951,565 | ||||||||||
Total | 13,807,703 | |||||||||||
Electric-Generation 0.00% | ||||||||||||
Frontera Generation Holdings LLC | 87,622 | 1,314 | (a) | |||||||||
Machinery 0.00% | ||||||||||||
TNT Crane & Rigging, Inc. | 14,844 | 116,281 | ||||||||||
Miscellaneous Financials 0.07% | ||||||||||||
Utex Industries | 49,219 | 3,150,016 | ||||||||||
Oil, Gas & Consumable Fuels 0.00% | ||||||||||||
Earthstone Energy, Inc. Class A* | 129 | 1,549 | ||||||||||
Personal Care Products 0.16% | ||||||||||||
Britax Group Ltd. | 2,481 | – | (a)(b) | |||||||||
Gibson Brands Private Equity | 56,761 | 6,669,417 | (c) | |||||||||
Total | 6,669,417 | |||||||||||
Specialty Retail 0.08% | ||||||||||||
Chinos Intermediate Holdings A, Inc. | 47,809 | 351,396 | ||||||||||
Claire’s Holdings LLC | 7,482 | 3,086,164 | ||||||||||
Total | 3,437,560 |
122 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Shares | Fair Value | ||||||||||
Transportation Infrastructure 0.02% | ||||||||||||
ACBL Holdings Corp. | 22,227 | $ | 733,491 | |||||||||
Total Common Stocks (cost $39,105,513) | 34,307,714 | |||||||||||
Interest Rate | Maturity Date | Principal Amount | ||||||||||
CONVERTIBLE BONDS 0.11% | ||||||||||||
Health Care-Products | ||||||||||||
Exact Sciences Corp.† (cost $4,638,375) | 2.00% | 3/1/2030 | $ | 3,754,000 | 4,728,163 | |||||||
CORPORATE BONDS 92.47% | ||||||||||||
Advertising 0.10% | ||||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.† | 4.25% | 1/15/2029 | 5,315,000 | 4,354,819 | ||||||||
Aerospace/Defense 2.30% | ||||||||||||
Bombardier, Inc. (Canada)†(d) | 6.00% | 2/15/2028 | 14,185,000 | 13,100,829 | ||||||||
Howmet Aerospace, Inc. | 3.00% | 1/15/2029 | 6,118,000 | 5,363,917 | ||||||||
Moog, Inc.† | 4.25% | 12/15/2027 | 4,864,000 | 4,541,737 | ||||||||
Rolls-Royce PLC (United Kingdom)†(d) | 5.75% | 10/15/2027 | 8,987,000 | 8,759,849 | ||||||||
Spirit AeroSystems, Inc. | 4.60% | 6/15/2028 | 10,000,000 | 8,241,257 | ||||||||
Spirit AeroSystems, Inc.† | 9.375% | 11/30/2029 | 9,061,000 | 9,662,360 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 23,283,000 | 20,664,361 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 9,871,000 | 9,289,805 | ||||||||
TransDigm, Inc.† | 6.75% | 8/15/2028 | 7,702,000 | 7,720,500 | ||||||||
Triumph Group, Inc.† | 9.00% | 3/15/2028 | 10,432,000 | 10,580,103 | ||||||||
Total | 97,924,718 | |||||||||||
Agriculture 0.43% | ||||||||||||
Darling Ingredients, Inc.† | 6.00% | 6/15/2030 | 4,678,000 | 4,607,236 | ||||||||
Kernel Holding SA (Ukraine)†(d) | 6.50% | 10/17/2024 | 9,834,000 | 6,330,637 | ||||||||
Kernel Holding SA (Ukraine)†(d) | 6.75% | 10/27/2027 | 3,832,000 | 2,299,200 | ||||||||
MHP Lux SA (Luxembourg)†(d) | 6.25% | 9/19/2029 | 9,792,000 | 4,832,352 | ||||||||
Total | 18,069,425 | |||||||||||
Airlines 2.62% | ||||||||||||
Air Canada (Canada)†(d) | 3.875% | 8/15/2026 | 14,035,000 | 13,043,798 | ||||||||
Allegiant Travel Co.† | 7.25% | 8/15/2027 | 5,432,000 | 5,397,371 | ||||||||
American Airlines Group, Inc.† | 3.75% | 3/1/2025 | 8,823,000 | 8,348,736 |
See Notes to Financial Statements. | 123 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Airlines (continued) | ||||||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | $ | 3,505,000 | $ | 3,434,144 | ||||||
American Airlines, Inc.† | 11.75% | 7/15/2025 | 16,877,000 | 18,502,354 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 8,840,146 | 8,478,702 | ||||||||
Azul Investments LLP† | 7.25% | 6/15/2026 | 10,995,000 | 8,400,182 | ||||||||
Delta Air Lines, Inc. | 3.75% | 10/28/2029 | 9,924,000 | 8,855,935 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 4,430,000 | 4,281,844 | ||||||||
Finnair Oyj(e) | 4.25% | 5/19/2025 | EUR | 4,549,000 | 4,417,272 | |||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | $ | 8,322,471 | 7,746,571 | |||||||
United Airlines, Inc.† | 4.375% | 4/15/2026 | 9,711,000 | 9,196,816 | ||||||||
United Airlines, Inc.† | 4.625% | 4/15/2029 | 12,418,000 | 11,261,355 | ||||||||
Total | 111,365,080 | |||||||||||
Apparel 0.70% | ||||||||||||
BK LC Lux Finco1 Sarl(e) | 5.25% | 4/30/2029 | EUR | 9,234,000 | 9,075,079 | |||||||
Crocs, Inc.† | 4.125% | 8/15/2031 | $ | 8,551,000 | 6,969,065 | |||||||
Golden Goose SpA†(e) | 8.198% (3 mo. EUR EURIBOR + 4.88% | )# | 5/14/2027 | EUR | 4,359,000 | 4,633,011 | ||||||
Kontoor Brands, Inc.† | 4.125% | 11/15/2029 | $ | 5,677,000 | 4,792,325 | |||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 5,159,000 | 4,272,116 | ||||||||
Total | 29,741,596 | |||||||||||
Auto Manufacturers 2.21% | ||||||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 8,420,000 | 7,117,229 | ||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(d) | 10.50% | 11/30/2025 | 4,483,000 | 4,484,681 | ||||||||
Ford Motor Co. | 3.25% | 2/12/2032 | 14,813,000 | 11,269,323 | ||||||||
Ford Motor Co. | 6.10% | 8/19/2032 | 9,457,000 | 8,898,011 | ||||||||
Ford Motor Credit Co. LLC | 2.90% | 2/10/2029 | 35,868,000 | 29,207,545 | ||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 23,214,000 | 19,527,396 | ||||||||
Ford Motor Credit Co. LLC | 7.35% | 11/4/2027 | 2,604,000 | 2,633,542 | ||||||||
Jaguar Land Rover Automotive PLC (United Kingdom)†(d) | 4.50% | 10/1/2027 | 7,419,000 | 6,331,960 | ||||||||
Wabash National Corp.† | 4.50% | 10/15/2028 | 5,162,000 | 4,497,160 | ||||||||
Total | 93,966,847 | |||||||||||
Auto Parts & Equipment 0.91% | ||||||||||||
Adient Global Holdings Ltd.† | 7.00% | 4/15/2028 | 6,506,000 | 6,580,715 | ||||||||
Adient Global Holdings Ltd.† | 8.25% | 4/15/2031 | 6,428,000 | 6,428,324 | ||||||||
American Axle & Manufacturing, Inc. | 5.00% | 10/1/2029 | 5,365,000 | 4,367,488 | ||||||||
Clarios Global LP/Clarios U.S. Finance Co.† | 6.75% | 5/15/2028 | 5,611,000 | 5,616,499 |
124 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Parts & Equipment (continued) | ||||||||||||
Dornoch Debt Merger Sub, Inc.† | 6.625% | 10/15/2029 | $ | 5,929,000 | $ | 4,458,063 | ||||||
IHO Verwaltungs GmbH(e) | 8.75% | 5/15/2028 | EUR | 4,033,000 | 4,383,621 | |||||||
IHO Verwaltungs GmbH†(e) | 8.75% | 5/15/2028 | EUR | 1,716,000 | 1,865,185 | |||||||
ZF North America Capital, Inc.† | 6.875% | 4/14/2028 | $ | 1,786,000 | 1,795,493 | |||||||
ZF North America Capital, Inc.† | 7.125% | 4/14/2030 | 3,097,000 | 3,122,488 | ||||||||
Total | 38,617,876 | |||||||||||
Banks 1.20% | ||||||||||||
Akbank TAS (Turkey)†(d) | 5.125% | 3/31/2025 | 2,672,000 | 2,449,610 | ||||||||
Freedom Mortgage Corp.† | 8.25% | 4/15/2025 | 5,772,000 | 5,520,869 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 4.198% (1 yr. CMT + 2.60% | )# | 6/1/2032 | 12,414,000 | 9,405,269 | |||||||
Popular, Inc. | 7.25% | 3/13/2028 | 8,289,000 | 8,221,493 | ||||||||
Synovus Financial Corp. | 5.90% (5 yr. USD Swap + 3.38% | )# | 2/7/2029 | 12,781,000 | 11,113,760 | |||||||
Texas Capital Bancshares, Inc. | 4.00% (5 yr. CMT + 3.15% | )# | 5/6/2031 | 9,075,000 | 6,770,359 | |||||||
Texas Capital Bank NA | 5.25% | 1/31/2026 | 8,402,000 | 7,598,189 | ||||||||
Total | 51,079,549 | |||||||||||
Beverages 0.10% | ||||||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL (Guatemala)†(d) | 5.25% | 4/27/2029 | 4,385,000 | 4,081,996 | ||||||||
Biotechnology 0.16% | ||||||||||||
Grifols Escrow Issuer SA (Spain)†(d) | 4.75% | 10/15/2028 | 8,076,000 | 6,840,251 | ||||||||
Building Materials 2.05% | ||||||||||||
Boise Cascade Co.† | 4.875% | 7/1/2030 | 5,346,000 | 4,798,289 | ||||||||
Builders FirstSource, Inc.† | 4.25% | 2/1/2032 | 6,000,000 | 5,160,481 | ||||||||
Builders FirstSource, Inc.† | 6.375% | 6/15/2032 | 10,458,000 | 10,298,719 | ||||||||
Eco Material Technologies, Inc.† | 7.875% | 1/31/2027 | 7,139,000 | 6,792,009 | ||||||||
Emerald Debt Merger Sub LLC† | 6.625% | 12/15/2030 | 11,161,000 | 11,085,663 | ||||||||
Griffon Corp. | 5.75% | 3/1/2028 | 9,742,000 | 8,996,206 | ||||||||
JELD-WEN, Inc.† | 4.875% | 12/15/2027 | 7,843,000 | 6,841,371 | ||||||||
MIWD Holdco II LLC/MIWD Finance Corp.† | 5.50% | 2/1/2030 | 6,196,000 | 4,995,339 | ||||||||
New Enterprise Stone & Lime Co., Inc.† | 9.75% | 7/15/2028 | 6,012,000 | 5,717,622 | ||||||||
PGT Innovations, Inc.† | 4.375% | 10/1/2029 | 5,700,000 | 5,210,057 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 4,994,000 | 4,651,491 | ||||||||
Standard Industries, Inc.† | 3.375% | 1/15/2031 | 8,976,000 | 7,020,899 |
See Notes to Financial Statements. | 125 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.25% | 1/15/2029 | $ | 5,146,000 | $ | 4,835,362 | ||||||
Victors Merger Corp.† | 6.375% | 5/15/2029 | 1,145,000 | 731,001 | ||||||||
Total | 87,134,509 | |||||||||||
Chemicals 2.58% | ||||||||||||
ASP Unifrax Holdings, Inc.† | 5.25% | 9/30/2028 | 5,156,000 | 3,889,557 | ||||||||
Axalta Coating Systems LLC† | 3.375% | 2/15/2029 | 4,569,000 | 3,921,047 | ||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 7,772,000 | 6,752,530 | ||||||||
INEOS Finance PLC (United Kingdom)†(d) | 6.75% | 5/15/2028 | 8,526,000 | 8,406,338 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 12,151,000 | 10,045,475 | ||||||||
LSF11 A5 HoldCo LLC† | 6.625% | 10/15/2029 | 5,557,000 | 4,752,874 | ||||||||
Methanex Corp. (Canada)(d) | 5.25% | 12/15/2029 | 4,500,000 | 4,099,756 | ||||||||
Minerals Technologies, Inc.† | 5.00% | 7/1/2028 | 7,013,000 | 6,465,409 | ||||||||
Olin Corp. | 5.00% | 2/1/2030 | 11,691,000 | 10,667,307 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 7,957,000 | 7,722,662 | ||||||||
SCIH Salt Holdings, Inc.† | 4.875% | 5/1/2028 | 4,857,000 | 4,308,433 | ||||||||
SCIH Salt Holdings, Inc.† | 6.625% | 5/1/2029 | 4,986,000 | 4,135,509 | ||||||||
SCIL IV LLC/SCIL USA Holdings LLC† | 5.375% | 11/1/2026 | 10,031,000 | 9,265,869 | ||||||||
SK Invictus Intermediate II Sarl (Luxembourg)†(d) | 5.00% | 10/30/2029 | 5,165,000 | 4,105,994 | ||||||||
SPCM SA (France)†(d) | 3.375% | 3/15/2030 | 13,098,000 | 10,884,875 | ||||||||
Tronox, Inc.† | 4.625% | 3/15/2029 | 4,713,000 | 3,831,011 | ||||||||
Valvoline, Inc.† | 3.625% | 6/15/2031 | 7,654,000 | 6,288,258 | ||||||||
Total | 109,542,904 | |||||||||||
Coal 0.74% | ||||||||||||
Coronado Finance Pty. Ltd. (Australia)†(d) | 10.75% | 5/15/2026 | 9,717,000 | 10,004,186 | ||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | 15,488,000 | 12,768,401 | ||||||||
Warrior Met Coal, Inc.† | 7.875% | 12/1/2028 | 8,491,000 | 8,505,681 | ||||||||
Total | 31,278,268 | |||||||||||
Commercial Services 4.26% | ||||||||||||
AA Bond Co. Ltd.(e) | 6.50% | 1/31/2026 | GBP | 7,709,000 | 8,175,141 | |||||||
Albion Financing 2Sarl (Luxembourg)†(d) | 8.75% | 4/15/2027 | $ | 1,592,000 | 1,384,639 | |||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 9.75% | 7/15/2027 | 9,461,000 | 8,311,737 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl (Luxembourg)†(d) | 4.625% | 6/1/2028 | 16,916,000 | 13,883,394 | ||||||||
Alta Equipment Group, Inc.† | 5.625% | 4/15/2026 | 9,076,000 | 8,332,676 | ||||||||
AMN Healthcare, Inc.† | 4.00% | 4/15/2029 | 7,079,000 | 6,206,372 |
126 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Commercial Services (continued) | ||||||||||||
APi Group DE, Inc.† | 4.125% | 7/15/2029 | $ | 7,356,000 | $ | 6,398,249 | ||||||
APi Group DE, Inc.† | 4.75% | 10/15/2029 | 7,587,000 | 6,825,904 | ||||||||
Ashtead Capital, Inc.† | 5.50% | 8/11/2032 | 4,739,000 | 4,561,745 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 4.75% | 4/1/2028 | 11,539,000 | 10,301,211 | ||||||||
BCP V Modular Services Finance II PLC(e) | 4.75% | 11/30/2028 | EUR | 7,070,000 | 6,310,199 | |||||||
Block, Inc. | 2.75% | 6/1/2026 | $ | 2,650,000 | 2,387,385 | |||||||
Block, Inc. | 3.50% | 6/1/2031 | 6,892,000 | 5,636,677 | ||||||||
Garda World Security Corp. (Canada)†(d) | 7.75% | 2/15/2028 | 6,376,000 | 6,401,727 | ||||||||
Gartner, Inc.† | 3.75% | 10/1/2030 | 5,119,000 | 4,496,586 | ||||||||
Herc Holdings, Inc.† | 5.50% | 7/15/2027 | 9,432,000 | 8,966,072 | ||||||||
Hertz Corp.† | 6.00% | 1/15/2028 | 6,517,000 | 521,360 | ||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc.† | 5.00% | 2/1/2026 | 4,873,000 | 4,354,391 | ||||||||
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)(d) | 5.375% | 11/15/2024 | 4,441,000 | 4,236,799 | ||||||||
NESCO Holdings II, Inc.† | 5.50% | 4/15/2029 | 8,973,000 | 7,941,374 | ||||||||
PeopleCert Wisdom Issuer PLC(e) | 5.75% | 9/15/2026 | EUR | 10,726,000 | 11,086,220 | |||||||
Port of Newcastle Investments Financing Pty. Ltd. (Australia)†(d) | 5.90% | 11/24/2031 | $ | 9,736,000 | 8,482,827 | |||||||
Q-Park Holding I BV(e) | 2.00% | 3/1/2027 | EUR | 1,791,000 | 1,631,249 | |||||||
Sabre Global, Inc.† | 9.25% | 4/15/2025 | $ | 8,963,000 | 8,569,569 | |||||||
Service Corp. International | 3.375% | 8/15/2030 | 5,075,000 | 4,230,342 | ||||||||
Sotheby’s† | 7.375% | 10/15/2027 | 4,985,000 | 4,374,036 | ||||||||
United Rentals North America, Inc. | 3.875% | 2/15/2031 | 14,791,000 | 12,703,733 | ||||||||
Williams Scotsman International, Inc.† | 4.625% | 8/15/2028 | 4,796,000 | 4,387,621 | ||||||||
Total | 181,099,235 | |||||||||||
Computers 0.68% | ||||||||||||
Crowdstrike Holdings, Inc. | 3.00% | 2/15/2029 | 5,370,000 | 4,685,690 | ||||||||
McAfee Corp.† | 7.375% | 2/15/2030 | 7,951,000 | 6,694,558 | ||||||||
Presidio Holdings, Inc.† | 8.25% | 2/1/2028 | 4,934,000 | 4,544,741 | ||||||||
Science Applications International Corp.† | 4.875% | 4/1/2028 | 4,923,000 | 4,590,525 | ||||||||
Seagate HDD Cayman (Cayman Islands)†(d) | 8.25% | 12/15/2029 | 3,969,000 | 4,062,404 | ||||||||
Seagate HDD Cayman (Cayman Islands)†(d) | 8.50% | 7/15/2031 | 4,287,000 | 4,395,654 | ||||||||
Total | 28,973,572 | |||||||||||
Cosmetics/Personal Care 0.11% | ||||||||||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC† | 4.75% | 1/15/2029 | 5,118,000 | 4,705,003 |
See Notes to Financial Statements. | 127 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Distribution/Wholesale 0.97% | ||||||||||||
American Builders & Contractors Supply Co., Inc.† | 4.00% | 1/15/2028 | $ | 7,528,000 | $ | 6,877,203 | ||||||
BCPE Empire Holdings, Inc.† | 7.625% | 5/1/2027 | 4,609,000 | 4,223,849 | ||||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 14,729,000 | 12,659,057 | ||||||||
Resideo Funding, Inc.† | 4.00% | 9/1/2029 | 11,767,000 | 9,812,397 | ||||||||
Ritchie Bros Holdings, Inc.† | 6.75% | 3/15/2028 | 3,052,000 | 3,092,103 | ||||||||
Ritchie Bros Holdings, Inc.† | 7.75% | 3/15/2031 | 4,407,000 | 4,598,793 | ||||||||
Total | 41,263,402 | |||||||||||
Diversified Financial Services 1.73% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 9,113,000 | 8,414,873 | ||||||||
AG TTMT Escrow Issuer LLC† | 8.625% | 9/30/2027 | 11,195,000 | 11,349,715 | ||||||||
Armor Holdco, Inc.† | 8.50% | 11/15/2029 | 6,034,000 | 5,106,816 | ||||||||
Jane Street Group/JSG Finance, Inc.† | 4.50% | 11/15/2029 | 4,712,000 | 4,023,640 | ||||||||
Jefferson Capital Holdings LLC† | 6.00% | 8/15/2026 | 8,416,000 | 6,783,187 | ||||||||
Navient Corp. | 4.875% | 3/15/2028 | 7,609,000 | 6,310,714 | ||||||||
Navient Corp. | 5.50% | 3/15/2029 | 5,191,000 | 4,301,600 | ||||||||
OneMain Finance Corp. | 4.00% | 9/15/2030 | 5,954,000 | 4,399,351 | ||||||||
PennyMac Financial Services, Inc.† | 5.75% | 9/15/2031 | 10,665,000 | 8,597,500 | ||||||||
PRA Group, Inc.† | 8.375% | 2/1/2028 | 6,365,000 | 5,637,003 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(d) | 7.875% | 5/1/2027 | 9,716,000 | 8,778,698 | ||||||||
Total | 73,703,097 | |||||||||||
Electric 3.56% | ||||||||||||
Atlantica Sustainable Infrastructure PLC (United Kingdom)†(d) | 4.125% | 6/15/2028 | 5,246,000 | 4,698,216 | ||||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 12,655,000 | 10,330,948 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 5,864,000 | 4,965,397 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 11,188,000 | 9,043,291 | ||||||||
Clearway Energy Operating LLC† | 3.75% | 2/15/2031 | 4,872,000 | 4,093,831 | ||||||||
DPL, Inc. | 4.35% | 4/15/2029 | 10,881,000 | 9,647,691 | ||||||||
Elwood Energy LLC | 8.159% | 7/5/2026 | 1,891,126 | 1,560,179 | ||||||||
Leeward Renewable Energy Operations LLC† | 4.25% | 7/1/2029 | 11,364,000 | 10,011,741 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 11,943,000 | 11,139,176 | ||||||||
NRG Energy, Inc.† | 3.875% | 2/15/2032 | 14,553,000 | 11,311,698 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 2,921,260 | 2,906,420 | ||||||||
Pampa Energia SA (Argentina)(d) | 7.50% | 1/24/2027 | 5,411,000 | 4,995,104 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 14,462,000 | 13,152,984 |
128 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
PG&E Corp. | 5.00% | 7/1/2028 | $ | 9,075,000 | $ | 8,379,214 | ||||||
Pike Corp.† | 5.50% | 9/1/2028 | 9,261,000 | 8,279,149 | ||||||||
Talen Energy Supply LLC† | 8.625% | 6/1/2030 | 4,979,000 | 5,072,107 | ||||||||
TransAlta Corp. (Canada)(d) | 7.75% | �� | 11/15/2029 | 8,250,000 | 8,591,137 | |||||||
Vistra Corp.† | 7.00% (5 yr. CMT + 5.74% | )# | – | (f) | 6,374,000 | 5,612,466 | ||||||
Vistra Operations Co. LLC† | 4.375% | 5/1/2029 | 20,222,000 | 17,643,865 | ||||||||
Total | 151,434,614 | |||||||||||
Electrical Components & Equipment 0.17% | ||||||||||||
EnerSys† | 4.375% | 12/15/2027 | 7,863,000 | 7,322,580 | ||||||||
Electronics 0.43% | ||||||||||||
Atkore, Inc.† | 4.25% | 6/1/2031 | 16,303,000 | 13,956,979 | ||||||||
Imola Merger Corp.† | 4.75% | 5/15/2029 | 4,983,000 | 4,292,178 | ||||||||
Total | 18,249,157 | |||||||||||
Energy-Alternate Sources 0.54% | ||||||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 11,460,000 | 10,301,050 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 7,871,000 | 7,390,161 | ||||||||
YPF Energia Electrica SA (Argentina)†(d) | 10.00% | 7/25/2026 | 5,950,000 | 5,222,065 | ||||||||
Total | 22,913,276 | |||||||||||
Engineering & Construction 0.83% | ||||||||||||
Arcosa, Inc.† | 4.375% | 4/15/2029 | 8,502,000 | 7,696,220 | ||||||||
Dycom Industries, Inc.† | 4.50% | 4/15/2029 | 12,329,000 | 11,148,380 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 4,911,000 | 4,518,120 | ||||||||
Great Lakes Dredge & Dock Corp.† | 5.25% | 6/1/2029 | 7,888,000 | 6,206,553 | ||||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | 6,650,000 | 5,839,465 | ||||||||
Total | 35,408,738 | |||||||||||
Entertainment 4.77% | ||||||||||||
Allwyn Entertainment Financing U.K. PLC (United Kingdom)†(d) | 7.875% | 4/30/2029 | 8,431,000 | 8,375,102 | ||||||||
AMC Entertainment Holdings, Inc.† | 7.50% | 2/15/2029 | 9,106,000 | 6,398,194 | ||||||||
Boyne USA, Inc.† | 4.75% | 5/15/2029 | 10,192,000 | 9,113,690 | ||||||||
Caesars Entertainment, Inc.† | 4.625% | 10/15/2029 | 6,313,000 | 5,450,423 | ||||||||
Caesars Entertainment, Inc.† | 7.00% | 2/15/2030 | 6,535,000 | 6,570,851 | ||||||||
CDI Escrow Issuer, Inc.† | 5.75% | 4/1/2030 | 13,805,000 | 12,953,031 | ||||||||
Cedar Fair LP | 5.25% | 7/15/2029 | 4,385,000 | 4,037,144 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 14,891,000 | 13,794,750 |
See Notes to Financial Statements. | 129 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Entertainment (continued) | ||||||||||||
Cinemark USA, Inc.† | 5.875% | 3/15/2026 | $ | 5,000,000 | $ | 4,757,900 | ||||||
Empire Resorts, Inc.† | 7.75% | 11/1/2026 | 8,365,000 | 6,741,030 | ||||||||
Inter Media & Communication SpA(e) | 6.75% | 2/9/2027 | EUR | 7,600,000 | 7,754,829 | |||||||
International Game Technology PLC† | 5.25% | 1/15/2029 | $ | 6,316,000 | 5,982,010 | |||||||
Jacobs Entertainment, Inc.† | 6.75% | 2/15/2029 | 6,969,000 | 6,125,437 | ||||||||
Juventus Football Club SpA(e) | 3.375% | 2/19/2024 | EUR | 4,354,000 | 4,471,425 | |||||||
Live Nation Entertainment, Inc.† | 3.75% | 1/15/2028 | $ | 4,574,000 | 4,124,010 | |||||||
Live Nation Entertainment, Inc.† | 4.75% | 10/15/2027 | 5,135,000 | 4,763,919 | ||||||||
Loarre Investments Sarl†(e) | 6.50% | 5/15/2029 | EUR | 11,107,000 | 11,372,248 | |||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.† | 4.875% | 5/1/2029 | $ | 13,399,000 | 11,828,168 | |||||||
Mohegan Tribal Gaming Authority† | 8.00% | 2/1/2026 | 9,621,000 | 8,493,275 | ||||||||
Motion Bondco DAC (Ireland)†(d) | 6.625% | 11/15/2027 | 4,670,000 | 4,257,249 | ||||||||
Motion Finco Sarl†(e)(g) | 7.375% | 6/15/2030 | EUR | 3,363,000 | 3,580,829 | |||||||
Penn Entertainment, Inc.† | 4.125% | 7/1/2029 | $ | 7,486,000 | 6,046,180 | |||||||
Pinewood Finance Co. Ltd.(e) | 3.625% | 11/15/2027 | GBP | 2,064,000 | 2,290,023 | |||||||
Pinewood Finance Co. Ltd.†(e) | 3.625% | 11/15/2027 | GBP | 5,640,000 | 6,257,622 | |||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc.† | 4.625% | 4/6/2031 | $ | 12,700,000 | 9,682,449 | |||||||
SeaWorld Parks & Entertainment, Inc.† | 5.25% | 8/15/2029 | 10,348,000 | 9,287,744 | ||||||||
WMG Acquisition Corp.† | 3.00% | 2/15/2031 | 4,991,000 | 4,030,757 | ||||||||
WMG Acquisition Corp.† | 3.75% | 12/1/2029 | 7,203,000 | 6,204,952 | ||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.† | 7.125% | 2/15/2031 | 8,143,000 | 8,149,013 | ||||||||
Total | 202,894,254 | |||||||||||
Environmental Control 0.35% | ||||||||||||
Clean Harbors, Inc.† | 6.375% | 2/1/2031 | 5,429,000 | 5,444,473 | ||||||||
Harsco Corp.† | 5.75% | 7/31/2027 | 5,237,000 | 4,534,428 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 6,566,000 | 5,005,797 | ||||||||
Total | 14,984,698 | |||||||||||
Food 3.16% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 3.50% | 3/15/2029 | 17,662,000 | 15,387,016 | ||||||||
Bellis Finco PLC(e) | 4.00% | 2/16/2027 | GBP | 9,100,000 | 8,569,514 | |||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 4.625% | 11/15/2028 | $ | 10,231,000 | 9,293,175 | |||||||
Ingles Markets, Inc.† | 4.00% | 6/15/2031 | 12,946,000 | 10,961,261 | ||||||||
Lamb Weston Holdings, Inc.† | 4.125% | 1/31/2030 | 18,151,000 | 16,184,194 | ||||||||
Performance Food Group, Inc.† | 4.25% | 8/1/2029 | 8,582,000 | 7,586,797 | ||||||||
Picard Bondco SA(e) | 5.375% | 7/1/2027 | EUR | 9,300,000 | 8,326,132 | |||||||
Pilgrim’s Pride Corp. | 4.25% | 4/15/2031 | $ | 8,962,000 | 7,662,967 |
130 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Food (continued) | ||||||||||||
Post Holdings, Inc.† | 4.50% | 9/15/2031 | $ | 17,161,000 | $ | 14,544,585 | ||||||
Post Holdings, Inc.† | 4.625% | 4/15/2030 | 5,217,000 | 4,573,190 | ||||||||
Post Holdings, Inc.† | 5.50% | 12/15/2029 | 2,780,000 | 2,587,269 | ||||||||
Premier Foods Finance PLC(e) | 3.50% | 10/15/2026 | GBP | 7,387,000 | 8,335,724 | |||||||
SEG Holding LLC/SEG Finance Corp.† | 5.625% | 10/15/2028 | $ | 5,674,000 | 5,396,064 | |||||||
Tonon Luxembourg SA (Luxembourg)†(d)(h) | 6.50% | 10/31/2024 | 1,863,197 | 280 | ||||||||
TreeHouse Foods, Inc. | 4.00% | 9/1/2028 | 8,311,000 | 7,162,711 | ||||||||
U.S. Foods, Inc.† | 4.625% | 6/1/2030 | 8,736,000 | 7,871,875 | ||||||||
Total | 134,442,754 | |||||||||||
Food Service 0.10% | ||||||||||||
Aramark Services, Inc.† | 5.00% | 2/1/2028 | 4,486,000 | 4,244,317 | ||||||||
Forest Products & Paper 0.11% | ||||||||||||
Ahlstrom Holding 3 Oy (Finland)†(d) | 4.875% | 2/4/2028 | 5,404,000 | 4,511,985 | ||||||||
Hand/Machine Tools 0.10% | ||||||||||||
IMA Industria Macchine Automatiche SpA(e) | 3.75% | 1/15/2028 | EUR | 4,405,000 | 4,162,319 | |||||||
Health Care-Products 0.56% | ||||||||||||
Medline Borrower LP† | 3.875% | 4/1/2029 | $ | 27,674,000 | 23,897,598 | |||||||
Health Care-Services 4.38% | ||||||||||||
Acadia Healthcare Co., Inc.† | 5.00% | 4/15/2029 | 14,074,000 | 12,922,937 | ||||||||
Catalent Pharma Solutions, Inc.† | 3.50% | 4/1/2030 | 13,789,000 | 11,131,153 | ||||||||
Charles River Laboratories International, Inc.† | 3.75% | 3/15/2029 | 2,738,000 | 2,406,291 | ||||||||
Charles River Laboratories International, Inc.† | 4.00% | 3/15/2031 | 9,623,000 | 8,280,351 | ||||||||
Charles River Laboratories International, Inc.† | 4.25% | 5/1/2028 | 4,748,000 | 4,320,229 | ||||||||
CHS/Community Health Systems, Inc.† | 4.75% | 2/15/2031 | 4,194,000 | 3,019,144 | ||||||||
CHS/Community Health Systems, Inc.† | 5.25% | 5/15/2030 | 14,947,000 | 11,240,409 | ||||||||
CHS/Community Health Systems, Inc.† | 6.125% | 4/1/2030 | 7,315,000 | 3,957,783 | ||||||||
CHS/Community Health Systems, Inc.† | 6.875% | 4/15/2029 | 6,270,000 | 3,531,985 | ||||||||
DaVita, Inc.† | 4.625% | 6/1/2030 | 19,729,000 | 16,922,755 | ||||||||
HealthEquity, Inc.† | 4.50% | 10/1/2029 | 18,490,000 | 16,441,645 | ||||||||
Legacy LifePoint Health LLC† | 6.75% | 4/15/2025 | 8,423,000 | 7,521,646 | ||||||||
ModivCare Escrow Issuer, Inc.† | 5.00% | 10/1/2029 | 8,354,000 | 6,362,031 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 22,076,000 | 18,919,964 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 8,132,000 | 7,917,082 | ||||||||
Tenet Healthcare Corp. | 4.375% | 1/15/2030 | 36,395,000 | 32,460,781 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 4,727,000 | 4,484,786 |
See Notes to Financial Statements. | 131 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Services (continued) | ||||||||||||
Tenet Healthcare Corp.† | 6.75% | 5/15/2031 | $ | 5,131,000 | $ | 5,132,334 | ||||||
U.S. Acute Care Solutions LLC† | 6.375% | 3/1/2026 | 11,208,000 | 9,510,436 | ||||||||
Total | 186,483,742 | |||||||||||
Holding Companies-Diversified 0.34% | ||||||||||||
Benteler International AG†(e) | 9.375% | 5/15/2028 | EUR | 4,189,000 | 4,554,298 | |||||||
Benteler International AG (Austria)†(d) | 10.50% | 5/15/2028 | $ | 2,026,000 | 2,066,682 | |||||||
Stena International SA(e) | 7.25% | 2/15/2028 | EUR | 2,781,000 | 3,026,267 | |||||||
Stena International SA†(e) | 7.25% | 2/15/2028 | EUR | 4,489,000 | 4,882,263 | |||||||
Total | 14,529,510 | |||||||||||
Home Builders 1.01% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 4.625% | 4/1/2030 | $ | 11,198,000 | 9,261,335 | |||||||
Century Communities, Inc.† | 3.875% | 8/15/2029 | 5,807,000 | 4,979,861 | ||||||||
Forestar Group, Inc.† | 3.85% | 5/15/2026 | 6,993,000 | 6,450,833 | ||||||||
M/I Homes, Inc. | 4.95% | 2/1/2028 | 12,993,000 | 12,172,557 | ||||||||
STL Holding Co. LLC† | 7.50% | 2/15/2026 | 691,000 | 625,534 | ||||||||
Tri Pointe Homes, Inc. | 5.25% | 6/1/2027 | 10,152,000 | 9,634,451 | ||||||||
Total | 43,124,571 | |||||||||||
Housewares 0.15% | ||||||||||||
Scotts Miracle-Gro Co. | 4.00% | 4/1/2031 | 8,195,000 | 6,519,450 | ||||||||
Insurance 0.93% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 10/15/2027 | 5,020,000 | 4,684,649 | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 4/15/2028 | 10,586,000 | 10,397,921 | ||||||||
Ardonagh Midco 2 PLC (United Kingdom)†(d) | 11.50% | 1/15/2027 | 9,785,907 | 8,437,766 | ||||||||
Global Atlantic Fin Co.† | 4.70% (5 yr. CMT + 3.80% | )# | 10/15/2051 | 7,581,000 | 5,900,254 | |||||||
Jones Deslauriers Insurance Management, Inc. (Canada)†(d) | 8.50% | 3/15/2030 | 5,541,000 | 5,534,892 | ||||||||
Jones Deslauriers Insurance Management, Inc. (Canada)†(d) | 10.50% | 12/15/2030 | 4,617,000 | 4,635,653 | ||||||||
Total | 39,591,135 | |||||||||||
Internet 0.97% | ||||||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | 4,580,000 | 4,207,875 | ||||||||
Gen Digital, Inc.† | 7.125% | 9/30/2030 | 9,283,000 | 9,275,702 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 3.50% | 3/1/2029 | 10,228,000 | 8,864,345 |
132 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Internet (continued) | ||||||||||||
MercadoLibre, Inc. (Uruguay)(d) | 2.375% | 1/14/2026 | $ | 4,866,000 | $ | 4,463,098 | ||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 4.75% | 4/30/2027 | 7,201,000 | 6,144,832 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 6.00% | 2/15/2028 | 5,175,000 | 3,837,469 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 10.75% | 6/1/2028 | 5,122,000 | 4,545,017 | ||||||||
Total | 41,338,338 | |||||||||||
Iron-Steel 1.25% | ||||||||||||
ArcelorMittal SA (Luxembourg)(d) | 6.80% | 11/29/2032 | 6,741,000 | 6,958,856 | ||||||||
ATI, Inc. | 5.125% | 10/1/2031 | 8,276,000 | 7,269,327 | ||||||||
Carpenter Technology Corp. | 7.625% | 3/15/2030 | 9,392,000 | 9,477,326 | ||||||||
Commercial Metals Co. | 4.125% | 1/15/2030 | 5,598,000 | 4,920,682 | ||||||||
Mineral Resources Ltd. (Australia)†(d) | 8.00% | 11/1/2027 | 5,126,000 | 5,145,684 | ||||||||
Mineral Resources Ltd. (Australia)†(d) | 8.50% | 5/1/2030 | 6,679,000 | 6,710,191 | ||||||||
U.S. Steel Corp. | 6.65% | 6/1/2037 | 9,109,000 | 8,381,761 | ||||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | 4,463,000 | 4,317,819 | ||||||||
Total | 53,181,646 | |||||||||||
Leisure Time 3.00% | ||||||||||||
Carnival Corp.† | 4.00% | 8/1/2028 | 15,297,000 | 13,355,664 | ||||||||
Carnival Corp.† | 5.75% | 3/1/2027 | 5,404,000 | 4,632,236 | ||||||||
Carnival Corp.† | 6.00% | 5/1/2029 | 3,428,000 | 2,853,543 | ||||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 4,254,000 | 4,395,037 | ||||||||
Carnival Corp.† | 10.50% | 6/1/2030 | 3,428,000 | 3,443,453 | ||||||||
Carnival Holdings Bermuda Ltd.† | 10.375% | 5/1/2028 | 7,929,000 | 8,590,072 | ||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 9,587,000 | 9,299,450 | ||||||||
Lindblad Expeditions LLC† | 6.75% | 2/15/2027 | 10,344,000 | 9,655,762 | ||||||||
NCL Corp. Ltd.† | 5.875% | 3/15/2026 | 7,684,000 | 6,978,968 | ||||||||
NCL Corp. Ltd.† | 5.875% | 2/15/2027 | 9,556,000 | 9,110,084 | ||||||||
NCL Corp. Ltd.† | 8.375% | 2/1/2028 | 2,617,000 | 2,709,111 | ||||||||
Royal Caribbean Cruises Ltd.† | 4.25% | 7/1/2026 | 9,511,000 | 8,725,365 | ||||||||
Royal Caribbean Cruises Ltd.† | 7.25% | 1/15/2030 | 3,969,000 | 4,008,209 | ||||||||
Royal Caribbean Cruises Ltd.† | 8.25% | 1/15/2029 | 15,031,000 | 15,829,492 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.25% | 1/15/2029 | 4,843,000 | 5,154,143 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.625% | 8/15/2027 | 4,840,000 | 5,265,050 | ||||||||
Vista Outdoor, Inc.† | 4.50% | 3/15/2029 | 8,108,000 | 6,652,817 | ||||||||
VOC Escrow Ltd.† | 5.00% | 2/15/2028 | 7,553,000 | 6,808,534 | ||||||||
Total | 127,466,990 |
See Notes to Financial Statements. | 133 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Lodging 3.14% | ||||||||||||
Boyd Gaming Corp.† | 4.75% | 6/15/2031 | $ | 4,646,000 | $ | 4,136,173 | ||||||
Full House Resorts, Inc.† | 8.25% | 2/15/2028 | 7,057,000 | 6,622,712 | ||||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 13,593,000 | 12,151,637 | ||||||||
Hilton Domestic Operating Co., Inc.† | 3.625% | 2/15/2032 | 8,588,000 | 7,108,815 | ||||||||
Hilton Domestic Operating Co., Inc.† | 3.75% | 5/1/2029 | 4,884,000 | 4,318,095 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 6,028,000 | 5,610,322 | ||||||||
Marriott Ownership Resorts, Inc.† | 4.50% | 6/15/2029 | 9,542,000 | 8,187,990 | ||||||||
Melco Resorts Finance Ltd. (Hong Kong)†(d) | 5.375% | 12/4/2029 | 10,034,000 | 8,058,781 | ||||||||
MGM China Holdings Ltd. (Macau)†(d) | 5.875% | 5/15/2026 | 13,805,000 | 13,063,879 | ||||||||
MGM Resorts International | 4.625% | 9/1/2026 | 4,492,000 | 4,251,149 | ||||||||
MGM Resorts International | 4.75% | 10/15/2028 | 5,119,000 | 4,669,796 | ||||||||
Station Casinos LLC† | 4.625% | 12/1/2031 | 12,374,000 | 10,299,499 | ||||||||
Studio City Co. Ltd. (Macau)†(d) | 7.00% | 2/15/2027 | 4,631,000 | 4,320,306 | ||||||||
Travel & Leisure Co.† | 6.625% | 7/31/2026 | 7,260,000 | 7,200,867 | ||||||||
Wyndham Hotels & Resorts, Inc.† | 4.375% | 8/15/2028 | 7,508,000 | 6,898,425 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 17,271,000 | 16,258,790 | ||||||||
Wynn Macau Ltd. (Macau)†(d) | 5.50% | 10/1/2027 | 11,811,000 | 10,261,633 | ||||||||
Total | 133,418,869 | |||||||||||
Machinery: Construction & Mining 0.36% | ||||||||||||
BWX Technologies, Inc.† | 4.125% | 4/15/2029 | 5,179,000 | 4,591,568 | ||||||||
Manitowoc Co., Inc.† | 9.00% | 4/1/2026 | 4,060,000 | 4,019,283 | ||||||||
Terex Corp.† | 5.00% | 5/15/2029 | 7,225,000 | 6,703,825 | ||||||||
Total | 15,314,676 | |||||||||||
Machinery-Diversified 1.19% | ||||||||||||
ATS Corp. (Canada)†(d) | 4.125% | 12/15/2028 | 11,347,000 | 10,176,330 | ||||||||
Chart Industries, Inc.† | 7.50% | 1/1/2030 | 7,179,000 | 7,260,266 | ||||||||
Husky III Holding Ltd. (Canada)†(d) | 13.00% | 2/15/2025 | 5,431,000 | 4,969,365 | ||||||||
Mueller Water Products, Inc.† | 4.00% | 6/15/2029 | 5,187,000 | 4,664,799 | ||||||||
SPX FLOW, Inc.† | 8.75% | 4/1/2030 | 9,276,000 | 7,991,738 | ||||||||
TK Elevator Midco GmbH(e) | 4.375% | 7/15/2027 | EUR | 9,800,000 | 9,335,958 | |||||||
TK Elevator U.S. Newco, Inc.† | 5.25% | 7/15/2027 | $ | 6,775,000 | 6,246,633 | |||||||
Total | 50,645,089 | |||||||||||
Media 4.20% | ||||||||||||
Belo Corp. | 7.25% | 9/15/2027 | 6,082,000 | 5,759,897 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.50% | 8/15/2030 | 19,839,000 | 16,349,159 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 31,501,000 | 26,604,748 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 29,907,000 | 27,216,779 |
134 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media (continued) | ||||||||||||
CSC Holdings LLC† | 4.125% | 12/1/2030 | $ | 5,464,000 | $ | 3,798,510 | ||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 7,271,000 | 5,733,607 | ||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.† | 5.875% | 8/15/2027 | 4,283,000 | 3,777,361 | ||||||||
DISH DBS Corp. | 5.875% | 11/15/2024 | 11,108,000 | 9,527,886 | ||||||||
DISH Network Corp.† | 11.75% | 11/15/2027 | 12,400,000 | 11,881,948 | ||||||||
Gray Escrow II, Inc.† | 5.375% | 11/15/2031 | 9,304,000 | 5,929,105 | ||||||||
McGraw-Hill Education, Inc.† | 5.75% | 8/1/2028 | 4,866,000 | 4,154,591 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 4,836,000 | 4,086,413 | ||||||||
Univision Communications, Inc.† | 7.375% | 6/30/2030 | 15,674,000 | 14,588,287 | ||||||||
UPC Broadband Finco BV (Netherlands)†(d) | 4.875% | 7/15/2031 | 6,226,000 | 5,234,759 | ||||||||
Virgin Media Finance PLC (United Kingdom)†(d) | 5.00% | 7/15/2030 | 12,178,000 | 9,653,578 | ||||||||
Virgin Media Secured Finance PLC (United Kingdom)†(d) | 5.50% | 5/15/2029 | 15,130,000 | 13,618,773 | ||||||||
VZ Secured Financing BV (Netherlands)†(d) | 5.00% | 1/15/2032 | 13,207,000 | 10,516,801 | ||||||||
Total | 178,432,202 | |||||||||||
Metal Fabricate-Hardware 0.43% | ||||||||||||
Advanced Drainage Systems, Inc.† | 6.375% | 6/15/2030 | 7,112,000 | 7,018,833 | ||||||||
Park-Ohio Industries, Inc. | 6.625% | 4/15/2027 | 116,000 | 98,102 | ||||||||
Roller Bearing Co. of America, Inc.† | 4.375% | 10/15/2029 | 12,618,000 | 11,182,702 | ||||||||
Total | 18,299,637 | |||||||||||
Mining 1.93% | ||||||||||||
Coeur Mining, Inc.† | 5.125% | 2/15/2029 | 16,411,000 | 13,844,894 | ||||||||
Compass Minerals International, Inc.† | 6.75% | 12/1/2027 | 10,182,000 | 9,747,127 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(d) | 4.375% | 4/1/2031 | 13,869,000 | 11,733,781 | ||||||||
FMG Resources August Pty. Ltd. (Australia)†(d) | 6.125% | 4/15/2032 | 13,332,000 | 12,594,827 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 13,100,000 | 12,901,994 | ||||||||
Hudbay Minerals, Inc. (Canada)†(d) | 4.50% | 4/1/2026 | 4,407,000 | 4,043,780 | ||||||||
Mirabela Nickel Ltd. | 1.00% | 9/10/2044 | 51,005 | – | (b)(c) | |||||||
Novelis Corp.† | 3.875% | 8/15/2031 | 7,508,000 | 6,174,253 | ||||||||
Taseko Mines Ltd. (Canada)†(d) | 7.00% | 2/15/2026 | 12,131,000 | 10,885,460 | ||||||||
Total | 81,926,116 | |||||||||||
Miscellaneous Manufacturing 0.65% | ||||||||||||
Amsted Industries, Inc.† | 4.625% | 5/15/2030 | 8,858,000 | 7,955,591 | ||||||||
Calderys Financing LLC† | 11.25% | 6/1/2028 | 7,425,000 | 7,531,549 | ||||||||
Ctec II GmbH(e) | 5.25% | 2/15/2030 | EUR | 4,500,000 | 3,963,141 | |||||||
LSB Industries, Inc.† | 6.25% | 10/15/2028 | $ | 9,212,000 | 8,348,605 | |||||||
Total | 27,798,886 |
See Notes to Financial Statements. | 135 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas 10.00% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp.† | 8.25% | 2/15/2026 | $ | 9,094,000 | $ | 8,811,427 | ||||||
Apache Corp. | 4.75% | 4/15/2043 | 11,923,000 | 8,960,492 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 14,444,000 | 11,902,145 | ||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.† | 5.875% | 6/30/2029 | 6,571,000 | 5,776,271 | ||||||||
Baytex Energy Corp. (Canada)†(d) | 8.50% | 4/30/2030 | 4,618,000 | 4,518,973 | ||||||||
Baytex Energy Corp. (Canada)†(d) | 8.75% | 4/1/2027 | 12,335,000 | 12,477,802 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 12,109,000 | 11,133,476 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 9,166,000 | 9,311,739 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 2,648,000 | 2,518,048 | ||||||||
Callon Petroleum Co.† | 7.50% | 6/15/2030 | 5,151,000 | 4,782,455 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 11,620,000 | 11,376,585 | ||||||||
Canacol Energy Ltd. (Canada)†(d) | 5.75% | 11/24/2028 | 4,871,000 | 4,100,777 | ||||||||
Chesapeake Energy Corp.† | 6.75% | 4/15/2029 | 4,710,000 | 4,611,456 | ||||||||
Chord Energy Corp.† | 6.375% | 6/1/2026 | 6,558,000 | 6,466,450 | ||||||||
Civitas Resources, Inc.† | 5.00% | 10/15/2026 | 10,031,000 | 9,441,265 | ||||||||
CNX Resources Corp.† | 6.00% | 1/15/2029 | 8,912,000 | 8,242,867 | ||||||||
CNX Resources Corp.† | 7.375% | 1/15/2031 | 6,649,000 | 6,407,624 | ||||||||
Comstock Resources, Inc.† | 5.875% | 1/15/2030 | 9,529,000 | 7,956,746 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 5,634,000 | 4,930,904 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 14,103,000 | 13,131,414 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 4,293,000 | 4,160,840 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.00% | 5/1/2029 | 9,186,000 | 8,623,358 | ||||||||
Earthstone Energy Holdings LLC† | 8.00% | 4/15/2027 | 13,030,000 | 12,695,976 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 7,798,000 | 7,172,522 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 5,468,000 | 5,404,927 | ||||||||
Gulfport Energy Corp.† | 8.00% | 5/17/2026 | 13,989,004 | 13,968,930 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.00% | 2/1/2031 | 4,119,000 | 3,681,477 | ||||||||
Kosmos Energy Ltd.† | 7.50% | 3/1/2028 | 7,443,000 | 6,175,836 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 14,191,000 | 13,720,293 | ||||||||
Matador Resources Co. | 6.875% | 4/15/2028 | 2,623,000 | 2,604,497 | ||||||||
MEG Energy Corp. (Canada)†(d) | 5.875% | 2/1/2029 | 13,393,000 | 12,667,628 | ||||||||
Murphy Oil Corp. | 6.375% | 7/15/2028 | 8,822,000 | 8,705,376 | ||||||||
Nabors Industries, Inc.† | 7.375% | 5/15/2027 | 4,500,000 | 4,232,700 | ||||||||
Noble Finance II LLC† | 8.00% | 4/15/2030 | 4,177,000 | 4,236,794 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 4,115,000 | 4,186,025 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 7,369,000 | 6,517,550 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 6.00% | 2/15/2028 | 4,827,000 | 4,496,109 |
136 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 7.25% | 6/15/2025 | $ | 4,354,000 | $ | 4,344,008 | ||||||
Permian Resources Operating LLC† | 5.375% | 1/15/2026 | 10,136,000 | 9,587,156 | ||||||||
Permian Resources Operating LLC† | 5.875% | 7/1/2029 | 3,994,000 | 3,744,441 | ||||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 7,413,000 | 7,220,410 | ||||||||
Precision Drilling Corp. (Canada)†(d) | 6.875% | 1/15/2029 | 13,649,000 | 12,237,600 | ||||||||
Range Resources Corp.† | 4.75% | 2/15/2030 | 7,461,000 | 6,751,188 | ||||||||
Range Resources Corp. | 8.25% | 1/15/2029 | 5,654,000 | 5,895,822 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 10,083,000 | 9,276,562 | ||||||||
SierraCol Energy Andina LLC† | 6.00% | 6/15/2028 | 5,760,000 | 4,225,536 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 9,804,000 | 9,437,041 | ||||||||
Southwestern Energy Co. | 5.375% | 2/1/2029 | 8,282,000 | 7,722,340 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 7,771,000 | 8,109,668 | ||||||||
Tap Rock Resources LLC† | 7.00% | 10/1/2026 | 8,331,000 | 7,815,515 | ||||||||
Transocean, Inc. | 7.50% | 4/15/2031 | 5,707,000 | 4,315,262 | ||||||||
Vermilion Energy, Inc. (Canada)†(d) | 6.875% | 5/1/2030 | 14,801,000 | 13,485,561 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 12,224,000 | 11,771,712 | ||||||||
Vital Energy, Inc.† | 7.75% | 7/31/2029 | 8,055,000 | 6,748,480 | ||||||||
Vital Energy, Inc. | 10.125% | 1/15/2028 | 13,059,000 | 12,680,930 | ||||||||
Total | 425,478,986 | |||||||||||
Oil & Gas Services 1.34% | ||||||||||||
Bristow Group, Inc.† | 6.875% | 3/1/2028 | 4,693,000 | 4,382,159 | ||||||||
CSI Compressco LP/CSI Compressco Finance, Inc.† | 7.50% | 4/1/2025 | 4,643,000 | 4,449,942 | ||||||||
Enerflex Ltd. (Canada)†(d) | 9.00% | 10/15/2027 | 4,697,000 | 4,574,643 | ||||||||
Nine Energy Service, Inc. | 13.00% | 2/1/2028 | 9,909,000 | 8,806,276 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 14,681,000 | 13,771,129 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.875% | 9/1/2027 | 7,416,000 | 6,953,762 | ||||||||
Weatherford International Ltd.† | 8.625% | 4/30/2030 | 7,833,000 | 7,878,651 | ||||||||
Welltec International ApS (Denmark)†(d) | 8.25% | 10/15/2026 | 5,995,000 | 6,121,675 | ||||||||
Total | 56,938,237 | |||||||||||
Packaging & Containers 2.36% | ||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC† | 6.00% | 6/15/2027 | 8,847,000 | 8,695,760 | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)†(d) | 4.125% | 8/15/2026 | 11,891,000 | 11,120,745 | ||||||||
Graphic Packaging International LLC† | 3.50% | 3/1/2029 | 11,509,000 | 10,237,733 | ||||||||
LABL, Inc.† | 6.75% | 7/15/2026 | 8,347,000 | 8,035,527 | ||||||||
LABL, Inc.† | 9.50% | 11/1/2028 | 4,377,000 | 4,401,905 |
See Notes to Financial Statements. | 137 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Packaging & Containers (continued) | ||||||||||||
Mauser Packaging Solutions Holding Co.† | 9.25% | 4/15/2027 | $ | 5,000,000 | $ | 4,568,172 | ||||||
Owens-Brockway Glass Container, Inc.† | 6.625% | 5/13/2027 | 8,692,000 | 8,688,958 | ||||||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC† | 4.00% | 10/15/2027 | 9,804,000 | 8,651,442 | ||||||||
Sealed Air Corp.† | 5.00% | 4/15/2029 | 3,171,000 | 2,945,986 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 11,508,000 | 11,749,438 | ||||||||
Sealed Air Corp./Sealed Air Corp. U.S.† | 6.125% | 2/1/2028 | 3,876,000 | 3,844,399 | ||||||||
Trident TPI Holdings, Inc.† | 12.75% | 12/31/2028 | 3,943,000 | 4,036,646 | ||||||||
Trivium Packaging Finance BV (Netherlands)†(d) | 5.50% | 8/15/2026 | 4,577,000 | 4,355,944 | ||||||||
Trivium Packaging Finance BV(e) | 7.073% (3 mo. EUR EURIBOR + 3.75% | )# | 8/15/2026 | EUR | 4,310,000 | 4,512,609 | ||||||
Trivium Packaging Finance BV (Netherlands)†(d) | 8.50% | 8/15/2027 | $ | 4,594,000 | 4,330,761 | |||||||
Total | 100,176,025 | |||||||||||
Pharmaceuticals 2.38% | ||||||||||||
180 Medical, Inc.† | 3.875% | 10/15/2029 | 19,790,000 | 17,331,042 | ||||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | 8,551,000 | 8,677,341 | ||||||||
Elanco Animal Health, Inc. | 6.65% | 8/28/2028 | 4,576,000 | 4,390,260 | ||||||||
Horizon Therapeutics USA, Inc.† | 5.50% | 8/1/2027 | 200,000 | 200,375 | ||||||||
Jazz Securities DAC (Ireland)†(d) | 4.375% | 1/15/2029 | 16,725,000 | 15,000,324 | ||||||||
Option Care Health, Inc.† | 4.375% | 10/31/2029 | 14,860,000 | 12,832,874 | ||||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV† | 4.125% | 4/30/2028 | 10,949,000 | 9,759,461 | ||||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV† | 5.125% | 4/30/2031 | 10,066,000 | 8,553,806 | ||||||||
Perrigo Finance Unlimited Co. (Ireland)(d) | 4.40% | 6/15/2030 | 23,622,000 | 20,581,830 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(d) | 5.125% | 5/9/2029 | 4,530,000 | 4,086,913 | ||||||||
Total | 101,414,226 | |||||||||||
Pipelines 2.83% | ||||||||||||
AI Candelaria Spain SA (Spain)†(d) | 7.50% | 12/15/2028 | 5,020,964 | 4,559,663 | ||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.† | 5.375% | 6/15/2029 | 7,460,000 | 6,867,848 | ||||||||
Buckeye Partners LP | 3.95% | 12/1/2026 | 4,248,000 | 3,793,103 | ||||||||
Buckeye Partners LP | 4.125% | 12/1/2027 | 7,654,000 | 6,710,029 | ||||||||
Buckeye Partners LP | 9.293% (3 mo. USD LIBOR + 4.02% | )# | 1/22/2078 | 5,779,000 | 4,952,103 | |||||||
CNX Midstream Partners LP† | 4.75% | 4/15/2030 | 9,074,000 | 7,525,044 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC† | 5.50% | 6/15/2031 | 4,891,000 | 4,365,353 |
138 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.† | 8.00% | 4/1/2029 | $ | 12,189,000 | $ | 12,267,314 | ||||||
Delek Logistics Partners LP/Delek Logistics Finance Corp.† | 7.125% | 6/1/2028 | 9,913,000 | 9,032,280 | ||||||||
DT Midstream, Inc.† | 4.125% | 6/15/2029 | 10,060,000 | 8,737,473 | ||||||||
EnLink Midstream LLC† | 6.50% | 9/1/2030 | 3,951,000 | 3,930,743 | ||||||||
Hess Midstream Operations LP† | 5.125% | 6/15/2028 | 5,824,000 | 5,460,990 | ||||||||
Holly Energy Partners LP/Holly Energy Finance Corp.† | 6.375% | 4/15/2027 | 7,694,000 | 7,603,487 | ||||||||
Kinetik Holdings LP† | 5.875% | 6/15/2030 | 6,823,000 | 6,472,025 | ||||||||
Northriver Midstream Finance LP (Canada)†(d) | 5.625% | 2/15/2026 | 7,831,000 | 7,308,946 | ||||||||
Venture Global Calcasieu Pass LLC† | 3.875% | 8/15/2029 | 3,921,000 | 3,415,950 | ||||||||
Venture Global Calcasieu Pass LLC† | 3.875% | 11/1/2033 | 5,311,000 | 4,356,411 | ||||||||
Venture Global Calcasieu Pass LLC† | 4.125% | 8/15/2031 | 6,589,000 | 5,687,786 | ||||||||
Venture Global LNG, Inc.† | 8.125% | 6/1/2028 | 2,651,000 | 2,667,277 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 4,769,000 | 4,798,711 | ||||||||
Total | 120,512,536 | |||||||||||
Real Estate 0.53% | ||||||||||||
Country Garden Holdings Co. Ltd. (China)(d) | 3.125% | 10/22/2025 | 5,316,000 | 1,901,861 | ||||||||
Howard Hughes Corp.† | 5.375% | 8/1/2028 | 10,245,000 | 9,125,170 | ||||||||
Hunt Cos., Inc.† | 5.25% | 4/15/2029 | 5,915,000 | 4,549,444 | ||||||||
Logan Group Co. Ltd. (China)(d) | 4.50% | 1/13/2028 | 10,233,000 | 1,151,213 | ||||||||
Logan Group Co. Ltd. (China)(d)(h) | 5.25% | 2/23/2023 | 6,428,000 | 739,219 | ||||||||
Shimao Group Holdings Ltd. (Hong Kong)(d) | 3.45% | 1/11/2031 | 1,074,000 | 107,326 | ||||||||
Shimao Group Holdings Ltd. (Hong Kong)(d) | 5.20% | 1/16/2027 | 23,117,000 | 2,641,014 | ||||||||
Sunac China Holdings Ltd. (China)(d)(h) | 5.95% | 4/26/2024 | 9,969,000 | 1,557,114 | ||||||||
Sunac China Holdings Ltd. (China)(d) | 6.50% | 1/10/2025 | 5,883,000 | 904,191 | ||||||||
Total | 22,676,552 | |||||||||||
REITS 0.74% | ||||||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.375% | 6/15/2026 | 8,038,000 | 7,042,525 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.75% | 9/15/2030 | 10,765,000 | 8,159,007 | ||||||||
Service Properties Trust | 5.25% | 2/15/2026 | 4,253,000 | 3,797,078 | ||||||||
Service Properties Trust | 7.50% | 9/15/2025 | 12,497,000 | 12,266,493 | ||||||||
Total | 31,265,103 | |||||||||||
Retail 4.38% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada)†(d) | 4.00% | 10/15/2030 | 13,876,000 | 11,926,194 | ||||||||
Afflelou SAS(e) | 4.25% | 5/19/2026 | EUR | 5,350,000 | 5,428,397 |
See Notes to Financial Statements. | 139 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Retail (continued) | ||||||||||||
Arko Corp.† | 5.125% | 11/15/2029 | $ | 5,630,000 | $ | 4,439,283 | ||||||
Asbury Automotive Group, Inc.† | 5.00% | 2/15/2032 | 8,232,000 | 7,070,651 | ||||||||
Bath & Body Works, Inc.† | 6.625% | 10/1/2030 | 9,869,000 | 9,414,648 | ||||||||
Beacon Roofing Supply, Inc.† | 4.125% | 5/15/2029 | 4,996,000 | 4,316,019 | ||||||||
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC† | 5.125% | 4/15/2029 | 7,860,000 | 7,036,429 | ||||||||
Carrols Restaurant Group, Inc.† | 5.875% | 7/1/2029 | 5,174,000 | 4,294,999 | ||||||||
Douglas GmbH(e) | 6.00% | 4/8/2026 | EUR | 5,645,000 | 5,547,455 | |||||||
Dufry One BV(e) | 3.375% | 4/15/2028 | EUR | 12,495,000 | 11,824,066 | |||||||
Dutch Lion BV†(e) | 11.25% | 6/15/2020 | EUR | 9,152,880 | – | (b)(c) | ||||||
Evergreen Acqco 1 LP/TVI, Inc.† | 9.75% | 4/26/2028 | $ | 7,961,000 | 7,973,379 | |||||||
Gap, Inc.† | 3.875% | 10/1/2031 | 11,071,000 | 7,650,358 | ||||||||
GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | 7.00% | 8/15/2028 | 6,670,000 | 4,192,228 | ||||||||
GYP Holdings III Corp.† | 4.625% | 5/1/2029 | 5,799,000 | 5,037,910 | ||||||||
LBM Acquisition LLC† | 6.25% | 1/15/2029 | 5,471,000 | 4,338,230 | ||||||||
LCM Investments Holdings II LLC† | 4.875% | 5/1/2029 | 5,053,000 | 4,219,939 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 7,152,000 | 6,331,576 | ||||||||
Marks & Spencer PLC(e) | 4.50% | 7/10/2027 | GBP | 6,000,000 | 6,712,455 | |||||||
Murphy Oil USA, Inc.† | 3.75% | 2/15/2031 | $ | 6,873,000 | 5,816,844 | |||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 5,530,000 | 5,113,204 | ||||||||
Nordstrom, Inc. | 4.375% | 4/1/2030 | 5,843,000 | 4,651,525 | ||||||||
Papa John’s International, Inc.† | 3.875% | 9/15/2029 | 1,278,000 | 1,071,808 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 4.75% | 2/15/2028 | 13,983,000 | 12,950,281 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 7.75% | 2/15/2029 | 6,807,000 | 6,619,665 | ||||||||
Punch Finance PLC†(e) | 6.125% | 6/30/2026 | GBP | 6,251,000 | 6,769,647 | |||||||
SRS Distribution, Inc.† | 4.625% | 7/1/2028 | $ | 4,965,000 | 4,387,298 | |||||||
SRS Distribution, Inc.† | 6.00% | 12/1/2029 | 5,109,000 | 4,201,270 | ||||||||
Stonegate Pub Co. Financing 2019 PLC(e) | 8.25% | 7/31/2025 | GBP | 9,042,000 | 10,493,325 | |||||||
White Cap Buyer LLC† | 6.875% | 10/15/2028 | $ | 7,283,000 | 6,306,333 | |||||||
Total | 186,135,416 | |||||||||||
Savings & Loans 0.00% | ||||||||||||
Washington Mutual Bank/Debt not acquired by JPMorgan(h) | 6.875% | 6/15/2011 | 10,000,000 | – | (b)(c) | |||||||
Semiconductors 0.73% | ||||||||||||
Entegris Escrow Corp.† | 4.75% | 4/15/2029 | 5,759,000 | 5,389,719 | ||||||||
Entegris, Inc.† | 3.625% | 5/1/2029 | 11,362,000 | 9,819,097 | ||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | 10,142,000 | 9,172,577 | ||||||||
Synaptics, Inc.† | 4.00% | 6/15/2029 | 7,718,000 | 6,476,367 | ||||||||
Total | 30,857,760 |
140 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Software 1.98% | ||||||||||||
Alteryx, Inc.† | 8.75% | 3/15/2028 | $ | 8,203,000 | $ | 7,880,718 | ||||||
AthenaHealth Group, Inc.† | 6.50% | 2/15/2030 | 6,727,000 | 5,546,964 | ||||||||
Capstone Borrower, Inc.† | 8.00% | 6/15/2030 | 7,953,000 | 7,845,913 | ||||||||
Clarivate Science Holdings Corp.† | 4.875% | 7/1/2029 | 4,539,000 | 3,903,538 | ||||||||
Cloud Software Group, Inc.† | 6.50% | 3/31/2029 | 16,411,000 | 14,529,269 | ||||||||
Cloud Software Group, Inc.† | 9.00% | 9/30/2029 | 8,404,000 | 7,151,342 | ||||||||
Elastic NV† | 4.125% | 7/15/2029 | 7,128,000 | 6,172,718 | ||||||||
Fair Isaac Corp.† | 4.00% | 6/15/2028 | 2,633,000 | 2,425,882 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 4,976,000 | 4,641,115 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 13,889,000 | 11,911,067 | ||||||||
Rocket Software, Inc.† | 6.50% | 2/15/2029 | 5,175,000 | 4,224,702 | ||||||||
Twilio, Inc. | 3.625% | 3/15/2029 | 9,369,000 | 8,102,030 | ||||||||
Total | 84,335,258 | |||||||||||
Telecommunications 1.76% | ||||||||||||
Altice France SA (France)†(d) | 5.125% | 7/15/2029 | 26,885,000 | 19,168,303 | ||||||||
Altice France SA (France)†(d) | 8.125% | 2/1/2027 | 10,373,000 | 8,949,851 | ||||||||
Frontier Communications Holdings LLC† | 5.875% | 10/15/2027 | 12,943,000 | 11,547,988 | ||||||||
Frontier Communications Holdings LLC† | 6.00% | 1/15/2030 | 7,640,000 | 5,368,559 | ||||||||
Iliad Holding SASU (France)†(d) | 7.00% | 10/15/2028 | 7,271,000 | 6,786,184 | ||||||||
Lorca Telecom Bondco SA(e) | 4.00% | 9/18/2027 | EUR | 5,519,000 | 5,391,098 | |||||||
Matterhorn Telecom SA(e) | 4.00% | 11/15/2027 | EUR | 4,691,000 | 4,650,846 | |||||||
VF Ukraine PAT via VFU Funding PLC (Ukraine)†(d) | 6.20% | 2/11/2025 | $ | 9,567,000 | 5,826,303 | |||||||
Vmed O2 U.K. Financing I PLC (United Kingdom)†(d) | 4.75% | 7/15/2031 | 8,552,000 | 7,040,352 | ||||||||
Total | 74,729,484 | |||||||||||
Transportation 0.57% | ||||||||||||
Carriage Purchaser, Inc.† | 7.875% | 10/15/2029 | 6,123,000 | 4,465,014 | ||||||||
Rand Parent LLC† | 8.50% | 2/15/2030 | 5,630,000 | 4,866,459 | ||||||||
Seaspan Corp. (Hong Kong)†(d) | 5.50% | 8/1/2029 | 6,078,000 | 4,785,817 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.50% | 6/15/2027 | 5,833,000 | 5,597,284 | ||||||||
XPO Escrow Sub LLC† | 7.50% | 11/15/2027 | 4,510,000 | 4,636,505 | ||||||||
Total | 24,351,079 | |||||||||||
Trucking & Leasing 0.31% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 14,781,000 | 13,286,010 | ||||||||
Water 0.10% | ||||||||||||
Aegea Finance Sarl (Luxembourg)†(d) | 6.75% | 5/20/2029 | 4,460,000 | 4,184,649 | ||||||||
Total Corporate Bonds (cost $4,207,460,318) | 3,932,620,615 |
See Notes to Financial Statements. | 141 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FLOATING RATE LOANS(i) 3.32% | ||||||||||||
Aerospace/Defense 0.17% | ||||||||||||
Alloy Finco Ltd. USD Holdco PIK Term Loan 13.50% (Jersey)(d) | 0.50% | 3/6/2025 | $ | 8,172,275 | $ | 7,387,737 | ||||||
Building & Construction 0.10% | ||||||||||||
USIC Holdings, Inc. 2021 2nd Lien Term Loan | 11.654% | 5/14/2029 | 4,759,905 | 4,420,762 | ||||||||
Chemicals 0.10% | ||||||||||||
Starfruit Finco BV 2023 Term Loan B (Netherlands)(d) | 8.99% (3 mo. USD Term SOFR + 4.00% | ) | 4/3/2028 | 4,434,531 | 4,369,853 | |||||||
Commercial Services 0.10% | ||||||||||||
KUEHG Corp. 2018 Incremental Term Loan | 8.909% (3 mo. USD LIBOR + 3.75% | ) | 2/21/2025 | 4,398,637 | 4,396,284 | |||||||
Diversified Capital Goods 0.29% | ||||||||||||
Grinding Media, Inc. 2021 Term Loan B | 9.199% (3 mo. USD Term SOFR + 4.00% | ) | 10/12/2028 | 7,314,187 | 6,975,906 | |||||||
Tank Holding Corp. 2022 Term Loan | 11.003% | 3/31/2028 | 5,317,617 | 5,144,794 | ||||||||
Total | 12,120,700 | |||||||||||
Diversified Financial Services 0.10% | ||||||||||||
Castlelake Aviation Ltd. 2023 Incremental Term Loan B | 7.783% (3 mo. USD Term SOFR + 2.75% | ) | 10/22/2027 | 4,499,762 | 4,414,469 | |||||||
Electric: Generation 0.29% | ||||||||||||
CPV Shore Holdings LLC Term Loan | 8.91% | 12/29/2025 | 6,065,788 | 5,594,598 | ||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 8.66% (3 mo. USD LIBOR + 3.50% | ) | 10/1/2027 | 5,108,012 | 5,053,382 | |||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 6.659% (3 mo. USD LIBOR + 1.50% | ) | 7/28/2028 | 1,196,824 | 538,571 | (j) | ||||||
Frontera Generation Holdings LLC 2021 Term Loan | 18.159% (3 mo. USD LIBOR + 13.00% | ) | 7/28/2026 | 1,233,060 | 1,239,225 | |||||||
Total | 12,425,776 | |||||||||||
Electric: Integrated 0.17% | ||||||||||||
Compass Power Generation LLC 2022 Term Loan B2 | 9.517% | 4/14/2029 | 7,256,938 | 7,209,079 |
142 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Engineering & Construction 0.20% | ||||||||||||
Service Logic Acquisition, Inc. Term Loan | 9.154% - 9.27% (3 Mo. USD LIBOR + 4.00% | ) | 10/29/2027 | $ | 8,815,511 | $ | 8,551,046 | |||||
Environmental Control 0.14% | ||||||||||||
Madison IAQ LLC Term Loan | 8.302% (6 mo. USD LIBOR + 3.25% | ) | 6/21/2028 | 5,984,772 | 5,742,987 | |||||||
Food/Tobacco 0.11% | ||||||||||||
Reynolds Group Holdings, Inc. 2021 Term Loan B | 8.518% (1 mo. USD Term SOFR + 3.25% | ) | 9/24/2028 | 4,584,674 | 4,493,485 | |||||||
Gaming/Leisure 0.10% | ||||||||||||
City Football Group Ltd. Term Loan (United Kingdom)(d) | 8.273% (3 mo. USD LIBOR + 3.00% | ) | 7/21/2028 | 4,576,391 | 4,450,563 | |||||||
Insurance 0.10% | ||||||||||||
Amynta Agency Borrower, Inc. 2023 Term Loan B | 10.166% (3 mo. USD Term SOFR + 5.00% | ) | 2/28/2028 | 4,208,808 | 4,029,050 | |||||||
Internet 0.10% | ||||||||||||
Uber Technologies, Inc. 2023 Term Loan B | 7.87% (3 mo. USD Term SOFR + 2.75% | ) | 3/3/2030 | 4,344,673 | 4,311,545 | |||||||
Investment Management Companies 0.04% | ||||||||||||
Vue International Bidco PLC 2023 EUR PIK Term Loan 6.50%(e) | 4.859% (6 mo. EUR EURIBOR + 2.00% | ) | 12/31/2027 | EUR | 2,783,994 | 1,592,059 | ||||||
Leisure Time 0.12% | ||||||||||||
Topgolf Callaway Brands Corp. Term Loan B | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 3/15/2030 | $ | 5,206,000 | 5,140,482 | ||||||
Machinery 0.13% | ||||||||||||
CMBF LLC Term Loan | 11.108% (3 mo. USD LIBOR + 6.00% | ) | 8/2/2028 | 6,032,387 | 5,398,986 | |||||||
Manufacturing 0.01% | ||||||||||||
Vue International Bidco PLC 2022 EUR Term Loan(e) | 11.086% (6 mo. EUR EURIBOR + 8.00% | ) | 6/30/2027 | EUR | 490,811 | 481,346 |
See Notes to Financial Statements. | 143 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas 0.18% | ||||||||||||
Parkway Generation LLC Term Loan B | 10.275% (3 mo. USD Term SOFR + 4.75% | ) | 2/18/2029 | $ | 6,821,876 | $ | 6,632,159 | |||||
Parkway Generation LLC Term Loan C | 10.275% (3 mo. USD Term SOFR + 4.75% | ) | 2/18/2029 | 918,123 | 892,159 | |||||||
Total | 7,524,318 | |||||||||||
Oil Field Equipment & Services 0.29% | ||||||||||||
Ulterra Drilling Technologies LP Term Loan B | 10.404% | 11/26/2025 | 12,648,643 | 12,395,670 | ||||||||
Packaging 0.10% | ||||||||||||
Mauser Packaging Solutions Holding Co. Term Loan B | 8.993% | 8/14/2026 | 4,373,967 | 4,286,488 | ||||||||
Personal & Household Products 0.00% | ||||||||||||
Britax Child Safety, Inc. Junior Term Loan PIK 12.00% | – | (k) | 3/31/2025 | 1,616,473 | – | (b)(l) | ||||||
FGI Operating Co. LLC Exit Term Loan | – | (k) | 5/16/2024 | 634,319 | 79,607 | (l) | ||||||
Revlon Consumer Products Corp. 2020 Additional Term Loan B2 | 8.144% (3 mo. USD LIBOR + 3.50% | ) | 6/30/2025 | 77 | 43 | |||||||
Total | 79,650 | |||||||||||
Retail 0.21% | ||||||||||||
IRB Holding Corp. 2022 Term Loan B | 8.253% | 12/15/2027 | 9,001,682 | 8,750,805 | ||||||||
Software 0.17% | ||||||||||||
Open Text Corp. 2022 Term Loan B (Canada)(d) | 8.753% (1 mo. USD Term SOFR + 3.50% | ) | 1/31/2030 | 7,195,834 | 7,189,826 | |||||||
Total Floating Rate Loans (cost $145,670,538) | 141,162,966 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(d) 0.10% | ||||||||||||
Sri Lanka | ||||||||||||
Sri Lanka Government International Bonds†(h) (cost $9,711,571) | 5.875% | 7/25/2022 | 10,289,000 | 4,166,981 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.42% | ||||||||||||
GS Mortgage Securities Corp. Trust Series 2021-RSMZ Class MZ† (cost $20,000,000) | 14.607% (1 mo. USD LIBOR + 9.50% | )# | 6/15/2026 | 20,000,000 | 17,816,866 |
144 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Investments | Dividend Rate | Shares | Fair Value | |||||||||
PREFERRED STOCKS 0.14% | ||||||||||||
Transportation Infrastructure | ||||||||||||
ACBL Holdings Corp. | Zero Coupon | 58,909 | $ | 1,443,271 | ||||||||
ACBL Holdings Corp. | Zero Coupon | 102,014 | 4,590,630 | |||||||||
Total Preferred Stocks (cost $4,023,075) | 6,033,901 | |||||||||||
Exercise Price | Expiration Date | |||||||||||
RIGHTS 0.00% | ||||||||||||
Personal Care Products 0.00% | ||||||||||||
Revlon, Inc.* (cost $230,963) | Zero Coupon | 9/7/2023 | 701,653 | 1 | (c) | |||||||
WARRANTS 0.00% | ||||||||||||
Machinery 0.00% | ||||||||||||
TNT Crane & Rigging, Inc.* | $4.00 | 10/16/2025 | 26,319 | 13,160 | ||||||||
Specialty Retail 0.00% | ||||||||||||
Chinos Intermediate Holdings A, Inc.* | 3.50 | 56,246 | 121,294 | |||||||||
Total Warrants (cost $302,137) | 134,454 | |||||||||||
Total Long-Term Investments (cost $4,448,124,324) | 4,155,246,107 | |||||||||||
Principal Amount | ||||||||||||
SHORT-TERM INVESTMENTS 0.23% | ||||||||||||
REPURCHASE AGREEMENTS 0.23% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $11,131,900 of U.S. Treasury Note at 0.500% due 2/28/2026; value: $10,096,111; proceeds: $9,898,832 (cost $9,898,117) | $9,898,117 | 9,898,117 | ||||||||||
Total Investments in Securities 97.94% (cost $4,458,022,441) | 4,165,144,224 | |||||||||||
Other Assets and Liabilities – Net(m) 2.06% | 87,744,772 | |||||||||||
Net Assets 100.00% | $ | 4,252,888,996 |
EUR | Euro. |
GBP | British Pound. |
CMT | Constant Maturity Rate. |
EURIBOR | Euro Interbank Offered Rate. |
LIBOR | London Interbank Offered Rate. |
PIK | Payment-in-kind. |
REITS | Real Estate Investment Trusts. |
SOFR | Secured Overnight Financing Rate. |
See Notes to Financial Statements. | 145 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
* | 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 May 31, 2023, the total value of Rule 144A securities was $3,121,252,734, which represents 73.39% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Level 3 Investment as described in Note 2(u) 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) | Amount is less than $1. | |
(c) | Level 3 Investment as described in Note 2(u) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Investment in non-U.S. dollar denominated securities. | |
(f) | Security is perpetual in nature and has no stated maturity. | |
(g) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(h) | Defaulted (non-income producing security). | |
(i) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(j) | Level 3 Investment as described in Note 2(u) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(k) | Interest Rate to be determined. | |
(l) | Level 3 Investment as described in 2(u) in the Notes to Financials. Floating Rate Loan fair valued by the Pricing Committee. 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. | |
(m) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
Centrally Cleared Credit Default Swap Contracts on Indexes - Sell Protection at May 31, 2023(1):
Referenced Indexes | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Appreciation(3) | Value | |||||||
Markit CDX.NA.HY.S40(4)(5) | Bank of America | 5.000% | 6/20/2028 | $132,414,000 | $1,399,569 | $12,858 | $1,412,427 |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap contracts agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap contracts 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 contracts less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments paid (received) by Central Clearing Party are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swap Contracts on Indexes amounted to $12,858. Total unrealized depreciation on Credit Default Swap Contracts on Indexes amounted to $0. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Credit Default Swap Contracts on Indexes, which is comprised of a basket of high yield securities. |
146 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Forward Foreign Currency Exchange Contracts at May 31, 2023:
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 | Morgan Stanley | 6/13/2023 | 5,294,000 | $5,653,119 | $5,662,283 | $ | 9,164 | ||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 498,000 | 538,324 | 532,644 | 5,680 | |||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 2,848,000 | 3,078,415 | 3,046,124 | 32,291 | |||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 4,003,000 | 4,359,853 | 4,281,473 | 78,380 | |||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 2,878,000 | 3,151,211 | 3,078,211 | 73,000 | |||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 562,000 | 615,717 | 601,096 | 14,621 | |||||||||||||
Euro | Sell | Morgan Stanley | 6/13/2023 | 2,316,000 | 2,564,800 | 2,477,115 | 87,685 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 1,000,000 | 1,070,284 | 1,069,566 | 718 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 2,340,000 | 2,559,940 | 2,502,785 | 57,155 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 381,000 | 416,886 | 407,505 | 9,381 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 1,494,000 | 1,651,646 | 1,597,932 | 53,714 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 4,189,000 | 4,626,296 | 4,480,412 | 145,884 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 4,770,000 | 5,190,532 | 5,101,830 | 88,702 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 3,363,000 | 3,619,125 | 3,596,951 | 22,174 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 3,754,000 | 4,040,654 | 4,015,151 | 25,503 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 654,000 | 702,062 | 699,496 | 2,566 | |||||||||||||
Euro | Sell | Toronto Dominion Bank | 6/13/2023 | 1,635,000 | 1,797,332 | 1,748,741 | 48,591 | |||||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 755,209 | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
Euro | Buy | State Street Bank and Trust | 6/7/2023 | 3,363,000 | $ | 3,617,881 | $ | 3,595,708 | $ | (22,173 | ) | |||||||||
Euro | Buy | J.P. Morgan | 6/13/2023 | 3,958,000 | 4,270,706 | 4,233,343 | (37,363 | ) | ||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 3,672,000 | 3,928,444 | 3,927,447 | (997 | ) | ||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 3,717,000 | 4,048,970 | 3,975,577 | (73,393 | ) | ||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 892,000 | 968,314 | 954,053 | (14,261 | ) | ||||||||||||
Euro | Buy | State Street Bank and Trust | 6/13/2023 | 4,741,000 | 5,183,767 | 5,070,813 | (112,954 | ) | ||||||||||||
Euro | Buy | State Street Bank and Trust | 6/13/2023 | 121,000 | 131,526 | 129,418 | (2,108 | ) | ||||||||||||
Euro | Buy | Toronto Dominion Bank | 6/13/2023 | 3,275,000 | 3,629,019 | 3,502,829 | (126,190 | ) | ||||||||||||
British pound | Sell | Morgan Stanley | 6/8/2023 | 46,945,000 | 56,527,320 | 58,404,262 | (1,876,942 | ) | ||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 128,384,000 | 136,590,305 | 137,315,176 | (724,871 | ) | ||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 549,000 | 585,757 | 587,192 | (1,435 | ) | ||||||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (2,992,687 | ) |
See Notes to Financial Statements. | 147 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2023
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2023 | 2,312 | Long | $ | 263,843,529 | $ | 264,651,750 | $ | 808,221 | |||||||||
U.S. 5-Year Treasury Note | September 2023 | 5,351 | Short | (583,977,946 | ) | (583,677,047 | ) | 300,899 | ||||||||||
U.S. Ultra Treasury Bond | September 2023 | 487 | Long | 65,683,634 | 66,658,125 | 974,491 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 2,083,611 |
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Bund | September 2023 | 330 | Short | EUR | (44,629,064 | ) | EUR | (44,655,600 | ) | $ | (28,364 | ) | ||||||
U.S. 2-Year Treasury Note | September 2023 | 847 | Short | $ | (174,336,388 | ) | $ | (174,336,423 | ) | (35 | ) | |||||||
Total Unrealized Depreciation on Futures Contracts | $ | (28,399 | ) |
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 4,565,850 | $ | 9,708,596 | $ | 14,274,446 | ||||||||
Common Stocks | ||||||||||||||||
Banks | 4,294,193 | – | – | 4,294,193 | ||||||||||||
Electric-Generation | – | – | 1,314 | 1,314 | ||||||||||||
Oil, Gas & Consumable Fuels | 1,549 | – | – | 1,549 | ||||||||||||
Personal Care Products | – | – | 6,669,418 | 6,669,418 | ||||||||||||
Remaining Industries | – | 23,341,240 | – | 23,341,240 | ||||||||||||
Convertible Bonds | – | 4,728,163 | – | 4,728,163 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Mining | – | 81,926,116 | – | (3) | 81,926,116 | |||||||||||
Retail | – | 186,135,416 | – | (4) | 186,135,416 | |||||||||||
Savings & Loans | – | – | – | (4) | – | (4) | ||||||||||
Remaining Industries | – | 3,664,559,083 | – | 3,664,559,083 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Electric: Generation | – | 11,887,205 | 538,571 | 12,425,776 | ||||||||||||
Personal & Household Products | – | 43 | 79,607 | 79,650 | ||||||||||||
Remaining Industries | – | 128,657,540 | – | 128,657,540 | ||||||||||||
Foreign Government Obligations | – | 4,166,981 | – | 4,166,981 |
148 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
HIGH YIELD FUND May 31, 2023
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 17,816,866 | – | 17,816,866 | ||||||||||||
Preferred Stocks | – | 6,033,901 | – | 6,033,901 | ||||||||||||
Rights | – | – | 1 | 1 | ||||||||||||
Warrants | – | 134,454 | – | 134,454 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 9,898,117 | – | 9,898,117 | ||||||||||||
Total | $ | 4,295,742 | $ | 4,143,850,975 | $ | 16,997,507 | $ | 4,165,144,224 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,412,427 | $ | – | $ | 1,412,427 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 755,209 | – | 755,209 | ||||||||||||
Liabilities | – | (2,992,687 | ) | – | (2,992,687 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 2,083,611 | – | – | 2,083,611 | ||||||||||||
Liabilities | (28,399 | ) | – | – | (28,399 | ) | ||||||||||
Total | $ | 2,055,212 | $ | (825,051 | ) | $ | – | $ | 1,230,161 |
(1) | Refer to Note 2(u) 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. When applicable, each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. | |
(3) | Includes securities with zero market value | |
(4) | Amount less than $1. |
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 period 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 period.
See Notes to Financial Statements. | 149 |
Schedule of Investments (unaudited)
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 96.12% | ||||||||||||
ASSET-BACKED SECURITIES 5.95% | ||||||||||||
Automobiles 1.56% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2021-1A Class D† | 3.71% | 8/20/2027 | $ | 12,750,000 | $ | 10,862,470 | ||||||
CarMax Auto Owner Trust Series 2023-1 Class D | 6.27% | 11/15/2029 | 8,375,000 | 8,331,924 | ||||||||
Carvana Auto Receivables Trust Series 2019-4A Class E† | 4.70% | 10/15/2026 | 7,250,000 | 7,046,361 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class D† | 3.98% | 12/26/2025 | 5,000,000 | 4,675,047 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class F† | 7.03% | 8/15/2028 | 8,452,000 | 8,460,280 | ||||||||
Santander Consumer Auto Receivables Trust Series 2021-AA Class F† | 5.79% | 8/15/2028 | 3,100,000 | 2,904,874 | ||||||||
Westlake Automobile Receivables Trust Series 2021-1A Class F† | 3.91% | 9/15/2027 | 4,150,000 | 3,878,602 | ||||||||
Total | 46,159,558 | |||||||||||
Credit Card 0.17% | ||||||||||||
Continental Finance Credit Card ABS Master Trust Series 2020-1A Class B† | 3.66% | 12/15/2028 | 4,000,000 | 3,602,313 | ||||||||
Perimeter Master Note Business Trust Series 2019-2A Class A† | 4.23% | 5/15/2024 | 1,336,864 | 1,317,913 | ||||||||
Total | 4,920,226 | |||||||||||
Other 3.85% | ||||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class AS† | 6.507% (1 mo. USD LIBOR + 1.40% | )# | 5/15/2036 | 8,470,000 | 8,108,886 | |||||||
Avant Loans Funding Trust Series 2021-REV1 Class D† | 4.30% | 7/15/2030 | 7,135,000 | 6,379,333 | ||||||||
CIFC Funding Ltd. Series 2019-2A Class BR† | 6.76% (3 mo. USD LIBOR + 1.50% | )# | 4/17/2034 | 5,000,000 | 4,755,584 | |||||||
CIFC Funding Ltd. Series 2021-4A Class A† | 6.31% (3 mo. USD LIBOR + 1.05% | )# | 7/15/2033 | 7,000,000 | 6,903,750 | |||||||
Elevation CLO Ltd. Series 2014-2A Class DR† | 8.448% (3 mo. USD Term SOFR + 3.46% | )# | 10/15/2029 | 1,000,000 | 938,601 | |||||||
Fairstone Financial Issuance Trust Series I 2020-1A Class C†(a) | 5.162% | 10/20/2039 | CAD | 15,535,000 | 11,211,646 | |||||||
Galaxy XXI CLO Ltd. Series 2015-21A Class AR† | 6.27% (3 mo. USD LIBOR + 1.02% | )# | 4/20/2031 | $ | 1,012,000 | 999,603 | ||||||
JFIN CLO Ltd. Series 2013-1A Class A1NR† | 6.64% (3 mo. USD LIBOR + 1.39% | )# | 1/20/2030 | 1,548,753 | 1,540,506 |
150 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Lending Funding Trust Series 2020-2A Class D† | 6.77% | 4/21/2031 | $ | 4,651,000 | $ | 4,070,067 | ||||||
Lendmark Funding Trust Series 2021-2A Class D† | 4.46% | 4/20/2032 | 5,675,000 | 4,308,793 | ||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.456% (30 day USD SOFR Average + 1.55% | )# | 1/17/2037 | 6,490,000 | 6,380,145 | |||||||
Madison Park Funding XVII Ltd. Series 2015-17A Class BR2† | 6.761% (3 mo. USD LIBOR + 1.50% | )# | 7/21/2030 | 10,000,000 | 9,774,099 | |||||||
Marble Point CLO XVII Ltd. Series 2020-1A Class A† | 6.55% (3 mo. USD LIBOR + 1.30% | )# | 4/20/2033 | 4,859,946 | 4,767,607 | |||||||
Mariner Finance Issuance Trust Series 2021-AA Class E† | 5.40% | 3/20/2036 | 5,340,000 | 4,295,631 | ||||||||
Mariner Finance Issuance Trust Series 2021-BA Class E† | 4.68% | 11/20/2036 | 3,075,000 | 2,394,077 | ||||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.35% (3 mo. USD LIBOR + 1.09% | )# | 10/16/2029 | 3,045,734 | 3,024,237 | |||||||
Octagon Loan Funding Ltd. Series 2014-1A Class ARR† | 6.525% (3 mo. USD LIBOR + 1.18% | )# | 11/18/2031 | 5,000,000 | 4,947,907 | |||||||
Rad CLO Ltd. Series 2020-7A Class A1† | 6.46% (3 mo. USD LIBOR + 1.20% | )# | 4/17/2033 | 7,850,616 | 7,723,044 | |||||||
Romark CLO Ltd. Series 2017-1A Class A2R† | 6.923% (3 mo. USD LIBOR + 1.65% | )# | 10/23/2030 | 8,890,000 | 8,647,465 | |||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 9,639,840 | 8,525,624 | ||||||||
Voya CLO Ltd. Series 2018-4A Class A1AR† | 6.30% (3 mo. USD LIBOR + 1.04% | )# | 1/15/2032 | 3,950,000 | 3,891,942 | |||||||
Total | 113,588,547 | |||||||||||
Rec Vehicle Loan 0.37% | ||||||||||||
Octane Receivables Trust Series 2022-2A Class B† | 5.85% | 7/20/2028 | 11,033,000 | 10,942,485 | ||||||||
Total Asset-Backed Securities (cost $187,751,238) | 175,610,816 | |||||||||||
CORPORATE BONDS 82.61% | ||||||||||||
Agriculture 4.44% | ||||||||||||
BAT Capital Corp. | 7.75% | 10/19/2032 | 28,432,000 | 31,141,755 | ||||||||
Cargill, Inc.† | 4.00% | 6/22/2032 | 17,298,000 | 16,170,209 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(b) | 6.125% | 7/27/2027 | 16,816,000 | 17,117,464 | ||||||||
JT International Financial Services BV (Netherlands)†(b) | 6.875% | 10/24/2032 | 16,000,000 | 17,758,809 | ||||||||
Philip Morris International, Inc. | 5.625% | 11/17/2029 | 22,488,000 | 23,056,450 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 2.00% | 4/21/2026 | 5,000,000 | 4,449,159 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 3.20% | 4/21/2031 | 19,555,000 | 15,673,778 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 4.90% | 4/21/2027 | 5,846,000 | 5,607,151 | ||||||||
Total | 130,974,775 |
See Notes to Financial Statements. | 151 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Apparel 0.20% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | $ | 5,967,000 | $ | 6,033,492 | ||||||
Banks 16.38% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 3.324% (5 yr. CMT + 1.90% | )# | 3/13/2037 | 4,000,000 | 3,060,997 | |||||||
Bank of America Corp. | 2.299% (SOFR + 1.22% | )# | 7/21/2032 | 8,014,000 | 6,392,572 | |||||||
Bank of America Corp. | 2.482% (5 yr. CMT + 1.20% | )# | 9/21/2036 | 10,000,000 | 7,597,528 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32% | )# | 4/22/2032 | 36,237,000 | 29,970,371 | |||||||
Bank of New York Mellon Corp. | 4.596% (SOFR + 1.76% | )# | 7/26/2030 | 4,565,000 | 4,447,268 | |||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61% | )# | 4/26/2034 | 4,989,000 | 4,963,237 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 9,962,000 | 7,089,496 | ||||||||
Barclays plc (United Kingdom)(b) | 6.224% (SOFR + 2.98% | )# | 5/9/2034 | 10,000,000 | 10,102,149 | |||||||
BNP Paribas SA (France)†(b) | 4.375% (5 yr. USD Swap + 1.48% | )# | 3/1/2033 | 6,844,000 | 6,263,046 | |||||||
BPCE SA (France)†(b) | 3.116% (SOFR + 1.73% | )# | 10/19/2032 | 7,584,000 | 5,873,665 | |||||||
Citigroup, Inc. | 2.561% (SOFR + 1.17% | )# | 5/1/2032 | 18,611,000 | 15,290,551 | |||||||
Citigroup, Inc. | 4.91% (SOFR + 2.09% | )# | 5/24/2033 | 15,000,000 | 14,592,688 | |||||||
Citigroup, Inc. | 6.174% | # | 5/25/2034 | 13,417,000 | 13,614,775 | |||||||
Citizens Bank NA | 4.119% (SOFR + 1.40% | )# | 5/23/2025 | 7,770,000 | 7,270,730 | |||||||
Comerica Bank | 2.50% | 7/23/2024 | 1,320,000 | 1,190,744 | ||||||||
Credit Suisse Group AG (Switzerland)†(b) | 6.373% (SOFR + 3.34% | )# | 7/15/2026 | 10,000,000 | 9,866,900 | |||||||
Danske Bank AS (Denmark)†(b) | 3.773% (1 yr. CMT + 1.45% | )# | 3/28/2025 | 9,892,000 | 9,662,199 | |||||||
Danske Bank AS (Denmark)†(b) | 5.375% | 1/12/2024 | 12,000,000 | 11,908,552 | ||||||||
Discover Bank | 4.682% (5 yr. USD Swap + 1.73% | )# | 8/9/2028 | 7,750,000 | 7,138,073 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25% | )# | 7/21/2032 | 28,054,000 | 22,609,201 | |||||||
Huntington Bancshares, Inc. | 2.487% (5 yr. CMT + 1.17% | )# | 8/15/2036 | 3,556,000 | 2,503,330 | |||||||
Huntington Bancshares, Inc. | 2.625% | 8/6/2024 | 6,000,000 | 5,678,882 |
152 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Intesa Sanpaolo SpA (Italy)†(b) | 4.198% (1 yr. CMT + 2.60% | )# | 6/1/2032 | $ | 2,014,000 | $ | 1,525,875 | |||||
Intesa Sanpaolo SpA (Italy)†(b) | 8.248% (1 yr. CMT + 4.40% | )# | 11/21/2033 | 7,000,000 | 7,406,353 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26% | )# | 1/25/2033 | 12,620,000 | 10,687,439 | |||||||
JPMorgan Chase & Co. | 4.912% (SOFR + 2.08% | )# | 7/25/2033 | 32,950,000 | 32,424,717 | |||||||
KeyBank NA | 5.00% | 1/26/2033 | 7,000,000 | 6,155,811 | ||||||||
KeyCorp | 2.25% | 4/6/2027 | 5,150,000 | 4,249,682 | ||||||||
KeyCorp | 4.789% (SOFR + 2.06% | )# | 6/1/2033 | 3,000,000 | 2,594,400 | |||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85% | )# | 1/27/2034 | 3,705,000 | 3,421,769 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 3.052% (5 yr. CMT + 1.70% | )# | 3/3/2036 | 9,790,000 | 7,398,720 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 4.875% | 6/10/2025 | 1,850,000 | 1,801,359 | ||||||||
Macquarie Group Ltd. (Australia)†(b) | 2.691% (SOFR + 1.44% | )# | 6/23/2032 | 3,724,000 | 2,973,694 | |||||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | 6,418,000 | 6,116,862 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 5.406% | # | 4/19/2034 | 10,000,000 | 10,056,821 | |||||||
Morgan Stanley | 2.239% (SOFR + 1.18% | )# | 7/21/2032 | 7,860,000 | 6,276,569 | |||||||
Morgan Stanley | 2.484% (SOFR + 1.36% | )# | 9/16/2036 | 9,129,000 | 6,897,825 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.63% | )# | 1/23/2030 | 1,395,000 | 1,340,348 | |||||||
Morgan Stanley | 5.297% (SOFR + 2.62% | )# | 4/20/2037 | 5,000,000 | 4,765,403 | |||||||
Morgan Stanley | 6.342% (SOFR + 2.56% | )# | 10/18/2033 | 12,965,000 | 13,896,065 | |||||||
National Australia Bank Ltd. (Australia)†(b) | 3.933% (5 yr. CMT + 1.88% | )# | 8/2/2034 | 11,000,000 | 9,539,885 | |||||||
NatWest Group PLC (United Kingdom)(b) | 3.032% (5 yr. CMT + 2.35% | )# | 11/28/2035 | 7,000,000 | 5,417,185 | |||||||
NatWest Group PLC (United Kingdom)(b) | 6.016% (1 yr. CMT + 2.10% | )# | 3/2/2034 | 3,258,000 | 3,327,575 | |||||||
State Street Corp. | 4.164% (SOFR + 1.73% | )# | 8/4/2033 | 14,402,000 | 13,400,458 | |||||||
Texas Capital Bancshares, Inc. | 4.00% (5 yr. CMT + 3.15% | )# | 5/6/2031 | 8,000,000 | 5,968,361 | |||||||
Toronto-Dominion Bank (Canada)(b) | 4.456% | 6/8/2032 | 24,515,000 | 23,197,819 |
See Notes to Financial Statements. | 153 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
U.S. Bancorp | 4.839% (SOFR + 1.60% | )# | 2/1/2034 | $ | 14,104,000 | $ | 13,241,399 | |||||
U.S. Bancorp | 4.967% (SOFR + 2.11% | )# | 7/22/2033 | 9,918,000 | 8,991,508 | |||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 13,800,000 | 13,597,692 | ||||||||
UBS Group AG (Switzerland)†(b) | 2.746% (1 yr. CMT + 1.10% | )# | 2/11/2033 | 7,700,000 | 6,091,754 | |||||||
UBS Group AG (Switzerland)†(b) | 5.959% (1 yr. CMT + 2.20% | )# | 1/12/2034 | 5,000,000 | 5,020,997 | |||||||
UniCredit SpA (Italy)†(b) | 5.459% (5 yr. CMT + 4.75% | )# | 6/30/2035 | 3,270,000 | 2,761,648 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50% | )# | 3/2/2033 | 15,461,000 | 13,291,329 | |||||||
Wells Fargo & Co. | 4.897% (SOFR + 2.10% | )# | 7/25/2033 | 9,955,000 | 9,612,111 | |||||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02% | )# | 4/24/2034 | 5,006,000 | 5,015,570 | |||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25% | )# | 6/15/2031 | 2,558,000 | 1,816,180 | |||||||
Westpac Banking Corp. (Australia)(b) | 2.668% (5 yr. CMT + 1.75% | )# | 11/15/2035 | 8,000,000 | 6,169,581 | |||||||
Total | 483,537,718 | |||||||||||
Beverages 0.40% | ||||||||||||
Brown-Forman Corp. | 4.75% | 4/15/2033 | 5,669,000 | 5,686,801 | ||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 6,849,000 | 6,185,597 | ||||||||
Total | 11,872,398 | |||||||||||
Biotechnology 1.28% | ||||||||||||
Amgen, Inc. | 4.05% | 8/18/2029 | 12,566,000 | 11,979,758 | ||||||||
Amgen, Inc. | 4.875% | 3/1/2053 | 12,000,000 | 10,859,566 | ||||||||
Amgen, Inc. | 5.25% | 3/2/2033 | 14,960,000 | 15,019,301 | ||||||||
Total | 37,858,625 | |||||||||||
Chemicals 1.16% | ||||||||||||
Celanese U.S. Holdings LLC | 5.90% | 7/5/2024 | 13,000,000 | 12,988,641 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 14,846,000 | 13,248,365 | ||||||||
International Flavors & Fragrances, Inc.† | 2.30% | 11/1/2030 | 9,975,000 | 7,927,858 | ||||||||
Total | 34,164,864 | |||||||||||
Commercial Services 0.59% | ||||||||||||
Global Payments, Inc. | 5.30% | 8/15/2029 | 16,461,000 | 16,201,263 | ||||||||
Sabre Global, Inc.† | 7.375% | 9/1/2025 | 1,294,000 | 1,095,489 | ||||||||
Total | 17,296,752 |
154 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Computers 0.97% | ||||||||||||
Booz Allen Hamilton, Inc.† | 3.875% | 9/1/2028 | $ | 11,969,000 | $ | 10,743,853 | ||||||
Leidos Holdings, Inc. | 5.95% | 12/1/2040 | 1,325,000 | 1,262,833 | ||||||||
Leidos, Inc. | 4.375% | 5/15/2030 | 6,375,000 | 5,827,791 | ||||||||
Leidos, Inc. | 5.75% | 3/15/2033 | 3,746,000 | 3,722,179 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 6,806,000 | 7,231,715 | ||||||||
Total | 28,788,371 | |||||||||||
Cosmetics/Personal Care 0.48% | ||||||||||||
Haleon U.S. Capital LLC | 3.625% | 3/24/2032 | 15,826,000 | 14,214,264 | ||||||||
Diversified Financial Services 4.48% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Series 3NC1 (Ireland)(b) | 1.75% | 10/29/2024 | 8,000,000 | 7,511,327 | ||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 11,435,000 | 9,786,963 | ||||||||
American Express Co. | 4.42% (SOFR + 1.76% | )# | 8/3/2033 | 8,831,000 | 8,355,189 | |||||||
American Express Co. | 4.989% (SOFR + 2.26% | )# | 5/26/2033 | 13,975,000 | 13,549,561 | |||||||
American Express Co. | 5.043% | # | 5/1/2034 | 14,965,000 | 14,782,341 | |||||||
Aviation Capital Group LLC† | 3.50% | 11/1/2027 | 3,918,000 | 3,500,478 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 3.95% | 7/1/2024 | 10,118,000 | 9,790,036 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 16,000,000 | 14,823,041 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 6.375% | 5/4/2028 | 8,400,000 | 8,214,168 | ||||||||
Capital One Financial Corp. | 1.343% (SOFR + 0.69% | )# | 12/6/2024 | 7,151,000 | 6,934,515 | |||||||
Intercontinental Exchange, Inc. | 4.35% | 6/15/2029 | 9,991,000 | 9,848,498 | ||||||||
LPL Holdings, Inc.† | 4.375% | 5/15/2031 | 13,587,000 | 11,825,891 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 5,550,000 | 5,376,226 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 5,294,000 | 5,045,865 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 3,685,000 | 2,982,446 | ||||||||
Total | 132,326,545 | |||||||||||
Electric 11.25% | ||||||||||||
AEP Texas, Inc. | 5.40% | 6/1/2033 | 3,546,000 | 3,554,400 | ||||||||
AEP Transmission Co. LLC | 5.40% | 3/15/2053 | 9,974,000 | 10,155,821 | ||||||||
AES Corp. | 2.45% | 1/15/2031 | 7,975,000 | 6,391,497 | ||||||||
Atlantica Sustainable Infrastructure PLC (United Kingdom)†(b) | 4.125% | 6/15/2028 | 9,797,000 | 8,774,004 | ||||||||
Baltimore Gas & Electric Co. | 4.55% | 6/1/2052 | 4,563,000 | 4,057,368 |
See Notes to Financial Statements. | 155 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Comision Federal de Electricidad (Mexico)†(b) | 4.688% | 5/15/2029 | $ | 20,000,000 | $ | 17,926,321 | ||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 9,781,000 | 10,060,351 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 5,185,000 | 5,387,889 | ||||||||
DTE Energy Co. | 2.95% | 3/1/2030 | 13,166,000 | 11,511,762 | ||||||||
DTE Energy Co. | 3.40% | 6/15/2029 | 4,398,000 | 3,997,275 | ||||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 14,776,000 | 13,976,036 | ||||||||
Duquesne Light Holdings, Inc.† | 2.775% | 1/7/2032 | 14,523,000 | 11,437,072 | ||||||||
Electricite de France SA (France)†(b) | 6.25% | 5/23/2033 | 24,011,000 | 24,341,758 | ||||||||
Evergy Metro, Inc. | 4.95% | 4/15/2033 | 7,125,000 | 7,027,830 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 6,480,000 | 5,327,808 | ||||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 12,206,000 | 11,067,640 | ||||||||
ITC Holdings Corp.(c) | 5.40% | 6/1/2033 | 9,976,000 | 9,992,170 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 11,045,000 | 8,594,780 | ||||||||
Louisville Gas & Electric Co. | 5.45% | 4/15/2033 | 9,974,000 | 10,198,883 | ||||||||
Minejesa Capital BV (Netherlands)†(b) | 4.625% | 8/10/2030 | 12,000,000 | 10,779,947 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 14,584,000 | 13,046,894 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 9,881,000 | 9,794,680 | ||||||||
Oklahoma Gas & Electric Co. | 5.40% | 1/15/2033 | 7,050,000 | 7,216,539 | ||||||||
Oklahoma Gas & Electric Co. | 5.60% | 4/1/2053 | 9,977,000 | 10,025,461 | ||||||||
Pacific Gas & Electric Co. | 4.55% | 7/1/2030 | 21,283,000 | 19,410,658 | ||||||||
Pacific Gas & Electric Co. | 6.15% | 1/15/2033 | 6,649,000 | 6,566,368 | ||||||||
Pacific Gas & Electric Co. | 6.70% | 4/1/2053 | 4,325,000 | 4,223,604 | ||||||||
Public Service Co. of Colorado | 5.25% | 4/1/2053 | 9,977,000 | 9,878,313 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 21,009,000 | 19,382,262 | ||||||||
Southern Co. | 4.475% | (d) | 8/1/2024 | 11,126,000 | 10,965,314 | |||||||
Virginia Electric & Power Co. | 5.45% | 4/1/2053 | 9,976,000 | 9,798,593 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 18,009,000 | 17,434,317 | ||||||||
Total | 332,303,615 | |||||||||||
Electronics 0.25% | ||||||||||||
Trimble, Inc. | 6.10% | 3/15/2033 | 7,304,000 | 7,400,977 | ||||||||
Energy-Alternate Sources 0.11% | ||||||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 3,154,963 | 3,119,391 | ||||||||
Engineering & Construction 0.91% | ||||||||||||
Cellnex Finance Co. SA (Spain)†(b) | 3.875% | 7/7/2041 | 8,563,000 | 6,298,583 | ||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 10,855,000 | 10,768,349 | ||||||||
Sitios Latinoamerica SAB de CV (Mexico)†(b) | 5.375% | 4/4/2032 | 11,000,000 | 9,874,136 | ||||||||
Total | 26,941,068 |
156 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Food 0.69% | ||||||||||||
Kellogg Co. | 5.25% | 3/1/2033 | $ | 17,955,000 | $ | 18,205,222 | ||||||
McCormick & Co., Inc. | 4.95% | 4/15/2033 | 2,073,000 | 2,030,278 | ||||||||
Total | 20,235,500 | |||||||||||
Gas 1.28% | ||||||||||||
CenterPoint Energy Resources Corp. | 5.40% | 3/1/2033 | 7,159,000 | 7,287,484 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 23,500,000 | 21,203,796 | ||||||||
Spire Missouri, Inc. | 4.80% | 2/15/2033 | 9,250,000 | 9,183,744 | ||||||||
Total | 37,675,024 | |||||||||||
Hand/Machine Tools 0.89% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 8,000,000 | 7,913,221 | ||||||||
Regal Rexnord Corp.† | 6.30% | 2/15/2030 | 18,450,000 | 18,423,986 | ||||||||
Total | 26,337,207 | |||||||||||
Health Care-Products 1.08% | ||||||||||||
Alcon Finance Corp.† | 5.375% | 12/6/2032 | 10,000,000 | 10,170,471 | ||||||||
GE HealthCare Technologies, Inc.† | 5.65% | 11/15/2027 | 21,200,000 | 21,640,653 | ||||||||
Total | 31,811,124 | |||||||||||
Health Care-Services 4.31% | ||||||||||||
Catalent Pharma Solutions, Inc.† | 3.125% | 2/15/2029 | 10,000,000 | 8,149,900 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 31,200,000 | 26,929,968 | ||||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 12,000,000 | 10,141,642 | ||||||||
Elevance Health, Inc. | 4.10% | 5/15/2032 | 9,977,000 | 9,389,437 | ||||||||
Elevance Health, Inc. | 5.125% | 2/15/2053 | 3,581,000 | 3,435,981 | ||||||||
Elevance Health, Inc. | 5.50% | 10/15/2032 | 3,636,000 | 3,760,781 | ||||||||
Fresenius Medical Care U.S. Finance III, Inc.† | 3.00% | 12/1/2031 | 8,000,000 | 6,314,013 | ||||||||
HCA, Inc. | 5.50% | 6/1/2033 | 10,476,000 | 10,461,041 | ||||||||
Humana, Inc. | 3.70% | 3/23/2029 | 21,804,000 | 20,229,661 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 11,457,000 | 12,039,976 | ||||||||
IQVIA, Inc.† | 5.70% | 5/15/2028 | 10,000,000 | 10,062,500 | ||||||||
Molina Healthcare, Inc.† | 4.375% | 6/15/2028 | 7,000,000 | 6,430,768 | ||||||||
Total | 127,345,668 | |||||||||||
Insurance 2.44% | ||||||||||||
Aon Corp. | 8.205% | 1/1/2027 | 5,545,000 | 5,665,077 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 3,049,000 | 2,316,490 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 9,896,000 | 8,599,237 | ||||||||
Brown & Brown, Inc. | 4.20% | 3/17/2032 | 11,975,000 | 10,855,825 | ||||||||
F&G Annuities & Life, Inc.† | 7.40% | 1/13/2028 | 12,525,000 | 12,589,027 | ||||||||
Global Atlantic Fin Co.† | 4.70% (5 yr. CMT + 3.80% | )# | 10/15/2051 | 5,469,000 | 4,256,495 |
See Notes to Financial Statements. | 157 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Intact Financial Corp. (Canada)†(b) | 5.459% | 9/22/2032 | $ | 6,983,000 | $ | 7,010,950 | ||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 10,302,000 | 10,044,067 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 5,103,000 | 6,053,272 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 5,081,000 | 4,674,536 | ||||||||
Total | 72,064,976 | |||||||||||
Internet 1.52% | ||||||||||||
Amazon.com, Inc. | 4.70% | 12/1/2032 | 16,300,000 | 16,536,743 | ||||||||
Netflix, Inc.† | 5.375% | 11/15/2029 | 28,000,000 | 28,221,676 | ||||||||
Total | 44,758,419 | |||||||||||
Lodging 0.27% | ||||||||||||
Hyatt Hotels Corp. | 1.30% | 10/1/2023 | 8,000,000 | 7,878,768 | ||||||||
Machinery-Diversified 0.78% | ||||||||||||
Flowserve Corp. | 2.80% | 1/15/2032 | 8,450,000 | 6,761,543 | ||||||||
nVent Finance Sarl (Luxembourg)(b) | 4.55% | 4/15/2028 | 13,500,000 | 12,754,986 | ||||||||
SPX FLOW, Inc.† | 8.75% | 4/1/2030 | 3,938,000 | 3,392,784 | ||||||||
Total | 22,909,313 | |||||||||||
Media 0.28% | ||||||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 9,551,000 | 8,212,046 | ||||||||
Oil & Gas 10.65% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp.† | 8.25% | 2/15/2026 | 10,000,000 | 9,689,275 | ||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 16,000,000 | 14,726,083 | ||||||||
Baytex Energy Corp. (Canada)†(b) | 8.50% | 4/30/2030 | 5,714,000 | 5,591,471 | ||||||||
Baytex Energy Corp. (Canada)†(b) | 8.75% | 4/1/2027 | 5,000,000 | 5,057,885 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 7,760,000 | 7,134,839 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 9,233,000 | 9,379,805 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 10,000,000 | 9,790,521 | ||||||||
Comstock Resources, Inc.† | 5.875% | 1/15/2030 | 6,000,000 | 5,010,019 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 30,100,000 | 28,697,994 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 12,000,000 | 11,173,295 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 5,000,000 | 4,846,075 | ||||||||
Diamondback Energy, Inc. | 3.125% | 3/24/2031 | 10,000,000 | 8,530,078 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 5,488,000 | 4,961,910 | ||||||||
Diamondback Energy, Inc. | 6.25% | 3/15/2033 | 6,975,000 | 7,246,138 | ||||||||
Earthstone Energy Holdings LLC† | 8.00% | 4/15/2027 | 11,650,000 | 11,351,352 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 4,587,000 | 4,219,077 | ||||||||
Eni SpA (Italy)†(b) | 5.70% | 10/1/2040 | 11,398,000 | 10,277,025 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 16,202,000 | 16,786,082 | ||||||||
Gulfport Energy Corp.† | 8.00% | 5/17/2026 | 2,864,000 | 2,859,890 |
158 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | $ | 7,000,000 | $ | 6,549,677 | ||||||
Matador Resources Co. | 6.875% | 4/15/2028 | 4,167,000 | 4,137,606 | ||||||||
Nabors Industries Ltd.† | 7.25% | 1/15/2026 | 7,000,000 | 6,384,210 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 9,975,000 | 10,273,552 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 7,000,000 | 7,129,640 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 6,500,000 | 6,782,165 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 2,400,000 | 2,767,932 | ||||||||
OGX Austria GmbH (Brazil)†(b)(e) | 8.50% | 6/1/2018 | 1,800,000 | 36 | ||||||||
Ovintiv, Inc. | 6.25% | 7/15/2033 | 14,965,000 | 14,844,187 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 7,362,000 | 7,299,722 | ||||||||
Ovintiv, Inc. | 6.625% | 8/15/2037 | 4,595,000 | 4,581,573 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 16,177,000 | 14,241,179 | ||||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 9,250,000 | 9,009,685 | ||||||||
Precision Drilling Corp. (Canada)†(b) | 6.875% | 1/15/2029 | 3,250,000 | 2,913,928 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 5,000,000 | 4,600,100 | ||||||||
SM Energy Co. | 6.50% | 7/15/2028 | 8,000,000 | 7,510,560 | ||||||||
Tap Rock Resources LLC† | 7.00% | 10/1/2026 | 8,500,000 | 7,974,058 | ||||||||
Vermilion Energy, Inc. (Canada)†(b) | 6.875% | 5/1/2030 | 10,000,000 | 9,111,250 | ||||||||
Vital Energy, Inc.† | 7.75% | 7/31/2029 | 2,750,000 | 2,303,950 | ||||||||
Vital Energy, Inc. | 10.125% | 1/15/2028 | 9,000,000 | 8,739,442 | ||||||||
Total | 314,483,266 | |||||||||||
Oil & Gas Services 0.17% | ||||||||||||
NOV, Inc. | 3.60% | 12/1/2029 | 5,632,000 | 5,046,368 | ||||||||
Packaging & Containers 0.24% | ||||||||||||
General Electric Co. | 8.196% (3 mo. USD LIBOR + 3.33% | )# | – | (f) | 7,150,000 | 7,144,637 | ||||||
Pharmaceuticals 3.46% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 12,050,000 | 10,942,491 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 13,749,000 | 14,567,194 | ||||||||
Bayer U.S. Finance II LLC† | 4.375% | 12/15/2028 | 7,450,000 | 7,174,067 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 6,767,000 | 5,766,479 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 6,000,000 | 5,428,987 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 10,981,000 | 10,163,464 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 11,973,000 | 10,824,576 | ||||||||
CVS Health Corp.(c) | 5.25% | 1/30/2031 | 9,977,000 | 10,024,076 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(b) | 4.75% | 5/19/2033 | 12,487,000 | 12,543,029 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(b) | 5.34% | 5/19/2063 | 14,720,000 | 14,751,580 | ||||||||
Total | 102,185,943 |
See Notes to Financial Statements. | 159 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines 1.53% | ||||||||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | $ | 7,375,000 | $ | 6,556,430 | ||||||
Eastern Gas Transmission & Storage, Inc. | 4.60% | 12/15/2044 | 5,529,000 | 4,674,403 | ||||||||
EIG Pearl Holdings Sarl (Luxembourg)(b) | 3.545% | 8/31/2036 | 10,000,000 | 8,525,760 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 20,258,000 | 19,393,126 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 5,882,000 | 5,918,645 | ||||||||
Total | 45,068,364 | |||||||||||
REITS 2.99% | ||||||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 19,950,000 | 18,415,606 | ||||||||
American Tower Corp. | 5.55% | 7/15/2033 | 3,559,000 | 3,583,905 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 25,500,000 | 22,542,680 | ||||||||
EPR Properties | 3.75% | 8/15/2029 | 5,000,000 | 3,970,797 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 10,000,000 | 8,673,021 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 7,325,000 | 7,082,614 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 25,000,000 | 24,151,585 | ||||||||
Total | 88,420,208 | |||||||||||
Retail 0.64% | ||||||||||||
Lowe’s Cos., Inc. | 5.00% | 4/15/2033 | 19,000,000 | 18,831,384 | ||||||||
Semiconductors 0.64% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 21,000,000 | 18,914,180 | ||||||||
Software 2.75% | ||||||||||||
MSCI, Inc.† | 3.625% | 11/1/2031 | 11,306,000 | 9,451,579 | ||||||||
Oracle Corp. | 5.375% | 7/15/2040 | 15,452,000 | 14,742,255 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 12,298,000 | 12,630,525 | ||||||||
Oracle Corp. | 6.25% | 11/9/2032 | 10,650,000 | 11,269,237 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 17,120,000 | 13,630,386 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 21,630,000 | 19,513,787 | ||||||||
Total | 81,237,769 | |||||||||||
Telecommunications 2.93% | ||||||||||||
AT&T, Inc. | 3.50% | 9/15/2053 | 34,000,000 | 23,623,309 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 10,000,000 | 9,575,711 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 39,425,000 | 42,183,409 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 11,925,000 | 11,068,016 | ||||||||
Total | 86,450,445 | |||||||||||
Trucking & Leasing 0.17% | ||||||||||||
SMBC Aviation Capital Finance DAC (Ireland)†(b) | 5.45% | 5/3/2028 | 5,000,000 | 4,985,787 | ||||||||
Total Corporate Bonds (cost $2,576,923,292) | 2,438,829,251 |
160 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FLOATING RATE LOANS(g) 2.15% | ||||||||||||
Entertainment 0.46% | ||||||||||||
Stars Group Holdings BV 2018 USD Incremental Term Loan (Netherlands)(b) | 7.409% (3 mo. USD LIBOR + 2.25% | ) | 7/21/2026 | $ | 13,718,261 | $ | 13,681,633 | |||||
Financial 0.03% | ||||||||||||
LPL Holdings, Inc. 2019 Term Loan B1 | 6.843% | 11/12/2026 | 848,357 | 841,638 | ||||||||
Health Services 0.08% | ||||||||||||
Catalent Pharma Solutions, Inc. 2021 Term Loan B3 | 7.188% (1 mo. USD LIBOR + 2.00% | ) | 2/22/2028 | 2,476,817 | 2,398,376 | |||||||
Lodging 0.49% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2019 Term Loan B2 | 6.95% (1 mo. USD Term SOFR + 1.75% | ) | 6/22/2026 | 13,365,000 | 13,311,941 | |||||||
Resorts World Las Vegas LLC Term Loan A | 6.66% | 4/16/2024 | 1,087,500 | 1,084,781 | ||||||||
Total | 14,396,722 | |||||||||||
Media 0.37% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B1 | 6.795% - 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 4/30/2025 | 10,797,446 | 10,788,268 | |||||||
Pharmaceuticals 0.34% | ||||||||||||
Horizon Therapeutics USA, Inc. 2021 Term Loan B2 | 6.938% (1 mo. USD LIBOR + 1.75% | ) | 3/15/2028 | 9,964,467 | 9,944,389 | |||||||
Real Estate Investment Trusts 0.13% | ||||||||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.253% (1 mo. USD Term SOFR + 1.00% | ) | 1/31/2025 | 3,911,798 | 3,843,342 | |||||||
Shipbuilding 0.12% | ||||||||||||
MHI Holdings LLC Term Loan B | 10.154% | 9/21/2026 | 3,698,221 | 3,698,221 | ||||||||
Software 0.13% | ||||||||||||
Project Alpha Intermediate Holding, Inc. 2021 Term Loan B | 9.16% | 4/26/2024 | 3,989,796 | 3,976,091 | ||||||||
Total Floating Rate Loans (cost $63,939,832) | 63,568,680 |
See Notes to Financial Statements. | 161 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS(b) 0.04% | ||||||||||||
Sri Lanka | ||||||||||||
Sri Lanka Government International Bonds†(e) (cost $2,663,102) | 5.875% | 7/25/2022 | $ | 2,840,000 | $ | 1,150,182 | ||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.00% | ||||||||||||
Government National Mortgage Association Series 2013-48 Class IO (Cost $223,583) | 0.381% | #(h) | 7/16/2054 | 5,015,230 | 52,439 | |||||||
MUNICIPAL BONDS 1.17% | ||||||||||||
Government 0.64% | ||||||||||||
State of Illinois GO | 5.10% | 6/1/2033 | 19,025,000 | 18,827,437 | ||||||||
Natural Gas 0.53% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.169% | 4/1/2041 | 14,965,000 | 15,737,760 | ||||||||
Total Municipal Bonds (cost $34,289,234) | 34,565,197 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.19% | ||||||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class C† | 6.784% (1 mo. USD Term SOFR + 1.72% | )# | 11/15/2034 | 3,950,000 | 3,053,440 | |||||||
BX Commercial Mortgage Trust Series 2019-IMC Class E† | 7.257% (1 mo. USD LIBOR + 2.15% | )# | 4/15/2034 | 4,000,000 | 3,873,298 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2015-PC1 Class C | 4.293% | #(h) | 7/10/2050 | 3,017,634 | 2,634,330 | |||||||
CS Master Trust Series 2021-AHP Class A† | 9.115% (1 mo. USD Term SOFR + 4.06% | )# | 4/15/2025 | 4,200,000 | 4,191,734 | |||||||
CS Master Trust Series 2021-BLUF Class A† | 9.276% (1 mo. USD LIBOR + 4.18% | )# | 4/15/2023 | (i) | 2,400,000 | 2,290,241 | (j) | |||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.208% (1 mo. USD Term SOFR + 1.15% | )# | 12/15/2036 | 8,100,000 | 7,997,015 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class G† | 9.758% (1 mo. USD LIBOR + 4.65% | )# | 5/15/2026 | 5,160,000 | 4,066,379 | |||||||
GS Mortgage Securities Trust Series 2013-GC12 Class XB | 0.569% | #(h) | 6/10/2046 | 47,400,000 | 71 | |||||||
GS Mortgage Securities Trust Series 2015-GS1 Class XB | 0.179% | #(h) | 11/10/2048 | 30,000,000 | 159,661 | |||||||
HPLY Trust Series 2019-HIT Class A† | 6.107% (1 mo. USD LIBOR + 1.00% | )# | 11/15/2036 | 2,871,310 | 2,836,930 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class XB10† | 0.541% | #(h) | 8/5/2034 | 16,028,000 | 1,913 |
162 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class XB7† | 0.493% | #(h) | 8/5/2034 | $ | 18,308,000 | $ | 2,156 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-C30 Class C | 4.227% | #(h) | 7/15/2048 | 1,674,000 | 1,438,442 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 Class D† | 4.254% | #(h) | 7/15/2046 | 2,255,889 | 779,090 | (j) | ||||||
Wells Fargo Commercial Mortgage Trust Series 2017-C41 Class AS | 3.785% | #(h) | 11/15/2050 | 2,089,000 | 1,907,155 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $39,136,030) | 35,231,855 | |||||||||||
U.S. TREASURY OBLIGATIONS 3.01% | ||||||||||||
U.S. Treasury Bonds | 3.625% | 5/15/2053 | 56,284,000 | 54,168,953 | ||||||||
U.S. Treasury Inflation-Indexed Notes(k) | 0.25% | 1/15/2025 | 36,054,055 | 34,732,931 | ||||||||
Total U.S. Treasury Obligations (cost $88,925,955) | 88,901,884 | |||||||||||
Total Long-Term Investments (cost $2,993,852,266) | 2,837,910,304 | |||||||||||
SHORT-TERM INVESTMENTS 3.01% | ||||||||||||
COMMERCIAL PAPER 1.41% | ||||||||||||
Auto Manufacturers 0.78% | ||||||||||||
General Motors Financial Co., Inc. | 5.476% | 6/1/2023 | 23,134,000 | 23,134,000 | ||||||||
Finance 0.63% | ||||||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 5.882% | 6/1/2023 | 18,428,000 | 18,428,000 | ||||||||
Total Commercial Paper (cost $41,562,000) | 41,562,000 | |||||||||||
REPURCHASE AGREEMENTS 1.60% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $11,538,700 of U.S. Treasury Note at 2.500% due 2/28/2026; $7,622,900 of U.S. Treasury Note at 4.50% due 12/31/2024; value: $18,678,971; proceeds: $18,313,957 (cost $18,312,634) | 18,312,634 | 18,312,634 | ||||||||||
Repurchase Agreement dated 5/31/2023, 5.100% due 6/1/2023 with TD Securities USA LLC collateralized by $30,203,000 of U.S. Treasury Bond at 3.875% due 5/15/2043; value: $29,607,558; proceeds: $29,003,164 (cost $28,999,056) | 28,999,056 | 28,999,056 | ||||||||||
Total Repurchase Agreements (cost $47,311,690) | 47,311,690 | |||||||||||
Total Short-Term Investments (cost $88,873,690) | 88,873,690 | |||||||||||
Total Investments in Securities 99.13% (cost $3,082,725,956) | 2,926,783,994 | |||||||||||
Other Assets and Liabilities – Net(l) 0.87% | 25,625,547 | |||||||||||
Net Assets 100.00% | $ | 2,952,409,541 |
See Notes to Financial Statements. | 163 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
CAD | Canadian Dollar. |
CMT | Constant Maturity Rate. |
IO | Interest Only. |
LIBOR | London Interbank Offered Rate. |
REITS | Real Estate Investment Trusts. |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $1,049,221,122, which represents 35.54% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(d) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(e) | Defaulted (non-income producing security). | |
(f) | Security is perpetual in nature and has no stated maturity. | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(h) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | Maturity date has passed. As of May 31, 2023, an extension is available to June 15, 2024. | |
(j) | Level 3 Investment as described in Note 2(u) 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. | |
(k) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(l) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
Centrally Cleared Interest Rate Swap Contracts at May 31, 2023:
Central Clearingparty | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Value/Unrealized Depreciation | ||||||||
Goldman Sachs(1) | 2.564% | CPI Urban Consumer NSA | 2/10/2028 | $28,838,000 | $ | (187,275 | ) | ||||||
Goldman Sachs(1) | 2.508% | CPI Urban Consumer NSA | 3/24/2028 | 15,000,000 | (84,086 | ) | |||||||
Goldman Sachs(1) | 2.508% | CPI Urban Consumer NSA | 3/24/2028 | 15,000,000 | (65,773 | ) | |||||||
Unrealized Depreciation on Centrally Cleared Interest Rate Swap Contracts | $ | (337,134 | ) |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). |
164 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2023
Forward Foreign Currency Exchange Contracts at May 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||
Canadian dollar | Sell | State Street Bank and Trust | 7/20/2023 | 14,843,000 | $11,047,516 | $10,946,572 | $100,944 |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 10-Year Treasury Note | September 2023 | 131 | Long | $ | 14,951,938 | $ | 14,995,406 | $ | 43,468 | ||||||||||
U.S. 2-Year Treasury Note | September 2023 | 3,163 | Long | 650,848,578 | 651,034,363 | 185,785 | |||||||||||||
U.S. 5-Year Treasury Note | September 2023 | 524 | Short | (57,193,639 | ) | (57,156,938 | ) | 36,701 | |||||||||||
U.S. Long Bond | September 2023 | 1,179 | Long | 149,934,527 | 151,317,281 | 1,382,754 | |||||||||||||
U.S. Ultra Treasury Bond | September 2023 | 2,133 | Long | 287,686,353 | 291,954,375 | 4,268,022 | |||||||||||||
US 10-Year Ultra Treasury Note | June 2023 | 1,930 | Long | 229,146,095 | 230,423,906 | 1,277,811 | |||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 7,194,541 |
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 10-Year Ultra Long Bond | June 2023 | 1,920 | Short | $ | (227,955,108 | ) | $ | (229,230,000 | ) | $ | (1,274,892 | ) | |||||||
U.S. 10-Year Ultra Treasury Bond | September 2023 | 3,838 | Short | (459,859,974 | ) | (462,299,093 | ) | (2,439,119 | ) | ||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (3,714,011 | ) |
See Notes to Financial Statements. | 165 |
Schedule of Investments (unaudited)(concluded)
INCOME FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 175,610,816 | $ | – | $ | 175,610,816 | ||||||||
Corporate Bonds | – | 2,438,829,251 | – | 2,438,829,251 | ||||||||||||
Floating Rate Loans | – | 63,568,680 | – | 63,568,680 | ||||||||||||
Foreign Government Obligations | – | 1,150,182 | – | 1,150,182 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 52,439 | – | 52,439 | ||||||||||||
Municipal Bonds | – | 34,565,197 | – | 34,565,197 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 32,162,524 | 3,069,331 | 35,231,855 | ||||||||||||
U.S. Treasury Obligations | – | 88,901,884 | – | 88,901,884 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 41,562,000 | – | 41,562,000 | ||||||||||||
Repurchase Agreements | – | 47,311,690 | – | 47,311,690 | ||||||||||||
Total | $ | – | $ | 2,923,714,663 | $ | 3,069,331 | $ | 2,926,783,994 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (337,134 | ) | – | (337,134 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 100,944 | – | 100,944 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 7,194,541 | – | – | 7,194,541 | ||||||||||||
Liabilities | (3,714,011 | ) | – | – | (3,714,011 | ) | ||||||||||
Total | $ | 3,480,530 | $ | (236,190 | ) | $ | – | $ | 3,244,340 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period 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 period.
166 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 92.23% | ||||||||||||
ASSET-BACKED SECURITIES 24.97% | ||||||||||||
Automobiles 5.98% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2019-2A Class A† | 3.35% | 9/22/2025 | $ | 8,464,000 | $ | 8,220,498 | ||||||
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A Class D† | 3.34% | 8/20/2026 | 5,000,000 | 4,439,888 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-2 Class A2A | 3.74% | 9/15/2025 | 6,226,580 | 6,157,467 | ||||||||
CarMax Auto Owner Trust Series 2020-2 Class A3 | 1.70% | 11/15/2024 | 3,594 | 3,589 | ||||||||
Carvana Auto Receivables Trust Series 2021-N1 Class A | 0.70% | 1/10/2028 | 225,564 | 212,583 | ||||||||
Carvana Auto Receivables Trust Series 2021-N2 Class A1 | 0.32% | 3/10/2028 | 274,698 | 272,790 | ||||||||
Carvana Auto Receivables Trust Series 2022-P1 Class A3 | 3.35% | 2/10/2027 | 8,885,000 | 8,577,065 | ||||||||
CPS Auto Receivables Trust Series 2019-C Class D† | 3.17% | 6/16/2025 | 17,122 | 17,103 | ||||||||
Credit Acceptance Auto Loan Trust Series 2021-3A Class A† | 1.00% | 5/15/2030 | 1,325,000 | 1,289,380 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 2,393,324 | 2,326,949 | ||||||||
Drive Auto Receivables Trust Series 2019-2 Class D | 3.69% | 8/17/2026 | 306,435 | 305,925 | ||||||||
Drive Auto Receivables Trust Series 2019-4 Class D | 2.70% | 2/16/2027 | 623,284 | 615,418 | ||||||||
Drive Auto Receivables Trust Series 2021-1 Class C | 1.02% | 6/15/2027 | 535,237 | 526,727 | ||||||||
Exeter Automobile Receivables Trust Series 2020-2A Class E† | 7.19% | 9/15/2027 | 15,258,000 | 15,393,531 | ||||||||
Exeter Automobile Receivables Trust Series 2021-2A Class C | 0.98% | 6/15/2026 | 875,217 | 854,306 | ||||||||
Ford Credit Auto Owner Trust Series 2020-C Class A3 | 0.41% | 7/15/2025 | 425,174 | 414,918 | ||||||||
Ford Credit Auto Owner Trust Series 2022-1 Class A† | 3.88% | 11/15/2034 | 8,255,000 | 7,968,916 | ||||||||
Ford Credit Auto Owner Trust Series REV1 2018-1 Class A† | 3.19% | 7/15/2031 | 4,225,000 | 4,074,604 | ||||||||
Ford Credit Auto Owner Trust Series REV2 2019-1 Class A† | 3.52% | 7/15/2030 | 1,143,000 | 1,125,596 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-2 Class A3 | 3.42% | 6/20/2025 | 8,300,000 | 8,139,015 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 3,385,000 | 3,160,949 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class D† | 3.98% | 12/26/2025 | 5,000,000 | 4,675,047 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1 Class A† | 3.63% | 9/14/2027 | 10,899,000 | 10,529,356 |
See Notes to Financial Statements. | 167 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A† | 0.87% | 7/14/2028 | $ | 5,545,000 | $ | 5,213,201 | ||||||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75% | 2/17/2026 | 298,794 | 296,004 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class A2 | 3.98% | 1/15/2025 | 3,149,271 | 3,144,371 | ||||||||
Santander Retail Auto Lease Trust Series 2021-A Class A3† | 0.51% | 7/22/2024 | 1,834,483 | 1,807,742 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class A2A† | 0.32% | 4/15/2025 | 275,863 | 275,011 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class C† | 0.89% | 7/15/2026 | 1,865,000 | 1,778,065 | ||||||||
World Omni Select Auto Trust Series 2019-A Class C | 2.38% | 12/15/2025 | 212,338 | 210,263 | ||||||||
World Omni Select Auto Trust Series 2019-A Class D | 2.59% | 12/15/2025 | 572,000 | 562,178 | ||||||||
Total | 102,588,455 | |||||||||||
Credit Card 1.89% | ||||||||||||
American Express Credit Account Master Trust Series 2022-2 Class A | 3.39% | 5/15/2027 | 9,399,000 | 9,141,908 | ||||||||
BA Credit Card Trust Series 2022-A2 Class A2 | 5.00% | 4/15/2028 | 2,415,000 | 2,428,957 | ||||||||
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A | 3.49% | 5/15/2027 | 14,055,000 | 13,687,342 | ||||||||
Discover Card Execution Note Trust Series 2022-A3 Class A3 | 3.56% | 7/15/2027 | 7,355,000 | 7,164,982 | ||||||||
Total | 32,423,189 | |||||||||||
Other 16.14% | ||||||||||||
ACAM Ltd. Series 2019-FL1 Class A† | 6.261% (1 mo. USD LIBOR + 1.15% | )# | 10/16/2036 | 5,273,000 | 5,186,010 | |||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A† | 6.508% (1 mo. USD LIBOR + 1.40% | )# | 1/15/2037 | 3,290,000 | 3,195,482 | |||||||
Affirm Asset Securitization Trust Series 2021-B Class A† | 1.03% | 8/17/2026 | 3,550,000 | 3,429,766 | ||||||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | 3,707,346 | 3,609,981 | ||||||||
AMMC CLO Ltd. Series 2020-23A Class A1R† | 6.30% (3 mo. USD LIBOR + 1.04% | )# | 10/17/2031 | 15,000,000 | 14,813,886 | |||||||
Anchorage Capital CLO 3-R Ltd. Series 2014-3RA Class A† | 6.323% (3 mo. USD LIBOR + 1.05% | )# | 1/28/2031 | 916,809 | 905,348 |
168 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Anchorage Capital CLO 4-R Ltd. Series 2014-4RA Class A† | 6.323% (3 mo. USD LIBOR + 1.05% | )# | 1/28/2031 | $ | 1,146,639 | $ | 1,140,005 | |||||
Apidos Clo Xxv Series 2016-25A Class A1R† | 6.42% (3 mo. USD LIBOR + 1.17% | )# | 10/20/2031 | 6,970,000 | 6,889,845 | |||||||
Apidos CLO XXXI Series 2019-31A Class A1R† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 4/15/2031 | 5,000,000 | 4,923,005 | |||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 3,101,915 | 2,763,996 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.207% (1 mo. USD LIBOR + 1.10% | )# | 5/15/2036 | 1,980,000 | 1,936,212 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.177% (1 mo. USD LIBOR + 1.07% | )# | 8/15/2034 | 4,960,000 | 4,805,426 | |||||||
Atalaya Equipment Leasing Trust Series 2021-1A Class A2† | 1.23% | 5/15/2026 | 3,208,756 | 3,134,702 | ||||||||
Bain Capital Credit CLO Ltd. Series 2017-1A Class A1R† | 6.22% (3 mo. USD LIBOR + 0.97% | )# | 7/20/2030 | 5,247,011 | 5,192,391 | |||||||
BDS LLC Series 2022-FL11 Class ATS† | 6.873% (1 mo. USD Term SOFR + 1.80% | )# | 3/19/2039 | 6,160,000 | 6,079,227 | |||||||
Benefit Street Partners CLO III Ltd. Series 2013-IIIA Class A1R2† | 6.25% (3 mo. USD LIBOR + 1.00% | )# | 7/20/2029 | 1,202,149 | 1,200,610 | |||||||
BlueMountain CLO Ltd. Series 2013-2A Class A1R† | 6.453% (3 mo. USD LIBOR + 1.18% | )# | 10/22/2030 | 1,049,047 | 1,043,313 | |||||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2029 | 1,134,183 | 1,118,836 | |||||||
BSPRT Issuer Ltd. Series 2021-FL7 Class A† | 6.427% (1 mo. USD LIBOR + 1.32% | )# | 12/15/2038 | 7,600,000 | 7,409,857 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-3RA Class A1A† | 6.342% (3 mo. USD LIBOR + 1.05% | )# | 7/27/2031 | 1,190,199 | 1,180,244 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2031 | 2,062,968 | 2,038,204 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.15% (3 mo. USD LIBOR + 0.90% | )# | 7/20/2029 | 752,410 | 744,007 | |||||||
Cedar Funding V CLO Ltd. Series 2016-5A Class A1R† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 7/17/2031 | 3,400,000 | 3,369,035 |
See Notes to Financial Statements. | 169 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Cedar Funding XI Clo Ltd. Series 2019-11A Class A1R† | 6.513% (3 mo. USD LIBOR + 1.05% | )# | 5/29/2032 | $ | 3,220,000 | $ | 3,180,186 | |||||
Cedar Funding XIV CLO Ltd. Series 2021-14A Class A† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 7/15/2033 | 2,340,000 | 2,309,999 | |||||||
CF Hippolyta Issuer LLC Series 2021-1A Class B1† | 1.98% | 3/15/2061 | 4,617,993 | 3,947,115 | ||||||||
CIFC Funding II Ltd. Series 2013-2A Class A1L2† | 6.262% (3 mo. USD LIBOR + 1.00% | )# | 10/18/2030 | 3,968,834 | 3,931,106 | |||||||
Dell Equipment Finance Trust Series 2021-2 Class A2† | 0.33% | 12/22/2026 | 126,913 | 126,545 | ||||||||
Dryden Senior Loan Fund Series 2017-47A Class A1R† | 6.24% (3 mo. USD LIBOR + 0.98% | )# | 4/15/2028 | 4,947,599 | 4,897,847 | |||||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.223% (3 mo. USD LIBOR + 0.95% | )# | 7/24/2030 | 916,640 | 905,189 | |||||||
Generate CLO 2 Ltd. Series 2A Class AR† | 6.423% (3 mo. USD LIBOR + 1.15% | )# | 1/22/2031 | 1,311,064 | 1,297,693 | |||||||
Greystone CRE Notes Ltd. Series 2021-FL3 Class A† | 6.194% (1 mo. USD Term SOFR + 1.13% | )# | 7/15/2039 | 6,150,000 | 5,982,336 | |||||||
Halcyon Loan Advisors Funding Ltd. Series 2015-2A Class BR† | 6.905% (3 mo. USD LIBOR + 1.65% | )# | 7/25/2027 | 31,605 | 31,675 | |||||||
HGI CRE CLO Ltd. Series 2021-FL2 Class A† | 6.105% (1 mo. USD LIBOR + 1.00% | )# | 9/17/2036 | 6,146,273 | 5,945,148 | |||||||
JFIN CLO Ltd. Series 2013-1A Class A2R† | 7.45% (3 mo. USD LIBOR + 2.20% | )# | 1/20/2030 | 690,295 | 682,963 | |||||||
KKR CLO Ltd. Series 24 Class A1R† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 4/20/2032 | 4,980,000 | 4,906,121 | |||||||
KKR CLO Ltd. Series 30A Class A1R† | 6.28% (3 mo. USD LIBOR + 1.02% | )# | 10/17/2031 | 10,000,000 | 9,871,110 | |||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.178% (1 mo. USD LIBOR + 1.07% | )# | 2/15/2039 | 9,930,000 | 9,582,825 | |||||||
KREF Ltd. Series 2021-FL2 Class AS† | 6.408% (1 mo. USD LIBOR + 1.30% | )# | 2/15/2039 | 4,830,000 | 4,576,425 | |||||||
Lendmark Funding Trust Series 2021-1A Class A† | 5.12% | 7/20/2032 | 5,810,000 | 5,699,396 | ||||||||
Lendmark Funding Trust Series 2021-1A Class B† | 2.47% | 11/20/2031 | 9,200,000 | 7,768,319 | ||||||||
Lendmark Funding Trust Series 2021-2A Class A† | 2.00% | 4/20/2032 | 10,585,000 | 9,109,381 | ||||||||
LFT CRE Ltd. Series 2021-FL1 Class A† | 6.277% (1 mo. USD LIBOR + 1.17% | )# | 6/15/2039 | 2,230,000 | 2,183,527 | |||||||
LFT CRE Ltd. Series 2021-FL1 Class B† | 6.857% (1 mo. USD LIBOR + 1.75% | )# | 6/15/2039 | 3,520,000 | 3,410,633 | (a) |
170 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.173% (3 mo. USD LIBOR + 0.90% | )# | 7/23/2029 | $ | 2,806,845 | $ | 2,776,809 | |||||
Magnetite XXII Ltd. Series 2019-22A Class AR† | 6.32% (3 mo. USD LIBOR + 1.06% | )# | 4/15/2031 | 4,000,000 | 3,949,585 | |||||||
Magnetite Xxix Ltd. Series 2021-29A Class A† | 6.25% (3 mo. USD LIBOR + 0.99% | )# | 1/15/2034 | 1,110,000 | 1,094,485 | |||||||
Mariner Finance Issuance Trust Series 2021-BA Class A† | 2.10% | 11/20/2036 | 3,340,000 | 2,931,815 | ||||||||
Marlette Funding Trust Series 2021-3A Class B† | 1.30% | 12/15/2031 | 5,555,000 | 5,357,273 | ||||||||
MVW Owner Trust Series 2017-1A Class A† | 2.42% | 12/20/2034 | 40,122 | 39,721 | ||||||||
New Economy Assets Phase 1 Sponsor LLC Series 2021-1 Class A1† | 1.91% | 10/20/2061 | 7,070,000 | 6,111,871 | ||||||||
Newark BSL CLO 2 Ltd. Series 2017-1A Class A1R† | 6.225% (3 mo. USD LIBOR + 0.97% | )# | 7/25/2030 | 2,816,539 | 2,789,552 | |||||||
OCP CLO Ltd. Series 2019-17A Class A1R† | 6.29% (3 mo. USD LIBOR + 1.04% | )# | 7/20/2032 | 5,700,000 | 5,601,034 | |||||||
Octagon Investment Partners 32 Ltd. Series 2017-1A Class A1R† | 6.21% (3 mo. USD LIBOR + 0.95% | )# | 7/15/2029 | 4,738,941 | 4,694,381 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.21% (3 mo. USD LIBOR + 0.95% | )# | 7/15/2029 | 673,499 | 668,125 | |||||||
Octagon Investment Partners XXI Ltd. Series 2014-1A Class AAR3† | 6.321% (3 mo. USD LIBOR + 1.00% | )# | 2/14/2031 | 1,960,000 | 1,933,540 | |||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 2,877,780 | 2,845,112 | ||||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 182,988 | 180,094 | ||||||||
OneMain Financial Issuance Trust Series 2019-2A Class A† | 3.14% | 10/14/2036 | 4,282,000 | 3,928,251 | ||||||||
OneMain Financial Issuance Trust Series 2021-3A Class A† | 5.94% | 5/15/2034 | 5,445,000 | 5,483,723 | ||||||||
Orange Lake Timeshare Trust Series 2019-A Class A† | 3.06% | 4/9/2038 | 115,544 | 110,644 | ||||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 5,291,589 | 5,142,319 | ||||||||
PFS Financing Corp. Series 2020-E Class A† | 1.00% | 10/15/2025 | 904,000 | 887,278 | ||||||||
PFS Financing Corp. Series 2020-G Class A† | 0.97% | 2/15/2026 | 647,000 | 623,863 | ||||||||
Romark CLO Ltd. Series 2017-1A Class A1R† | 6.303% (3 mo. USD LIBOR + 1.03% | )# | 10/23/2030 | 7,942,089 | 7,863,456 | |||||||
SCF Equipment Leasing LLC Series 2019-2A Class A2† | 2.47% | 4/20/2026 | 797,361 | 792,292 |
See Notes to Financial Statements. | 171 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
SCF Equipment Leasing LLC Series 2019-2A Class B† | 2.76% | 8/20/2026 | $ | 2,350,000 | $ | 2,279,784 | ||||||
SCF Equipment Leasing LLC Series 2021-1A Class A3† | 0.83% | 8/21/2028 | 1,160,576 | 1,130,125 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class B† | 1.37% | 8/20/2029 | 1,130,000 | 1,043,831 | ||||||||
SCF Equipment Leasing LLC Series 2022-1A Class A3† | 2.92% | 7/20/2029 | 7,240,000 | 6,906,915 | ||||||||
Signal Peak CLO Ltd. Series 2020-8A Class A† | 6.52% (3 mo. USD LIBOR + 1.27% | )# | 4/20/2033 | 6,005,000 | 5,897,038 | |||||||
TCI-Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.29% (3 mo. USD LIBOR + 0.96% | )# | 11/18/2030 | 3,421,914 | 3,391,116 | |||||||
TCI-Flatiron CLO Ltd. Series 2018-1A Class ANR† | 6.359% (3 mo. USD LIBOR + 1.06% | )# | 1/29/2032 | 500,000 | 492,872 | |||||||
TICP CLO IX Ltd. Series 2017-9A Class A† | 6.39% (3 mo. USD LIBOR + 1.14% | )# | 1/20/2031 | 963,080 | 955,144 | |||||||
Upstart Securitization Trust Series 2021-2 Class A† | 0.91% | 6/20/2031 | 90,409 | 89,948 | ||||||||
Upstart Securitization Trust Series 2021-5 Class A† | 1.31% | 11/20/2031 | 2,036,397 | 1,986,026 | ||||||||
Venture 33 CLO Ltd. Series 2018-33A Class A1LR† | 6.32% (3 mo. USD LIBOR + 1.06% | )# | 7/15/2031 | 3,500,000 | 3,454,833 | |||||||
Wind River CLO Ltd. Series 2013-1A Class A1RR† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2030 | 6,961,002 | 6,904,905 | |||||||
Total | 276,792,687 | |||||||||||
Rec Vehicle Loan 0.26% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | 303,806 | 294,603 | ||||||||
Octane Receivables Trust Series 2022-1A Class A2† | 4.18% | 3/20/2028 | 4,296,556 | 4,219,374 | ||||||||
Total | 4,513,977 | |||||||||||
Student Loan 0.70% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-FA Class A† | 1.22% | 7/15/2069 | 522,342 | 467,499 | ||||||||
Navient Private Education Refi Loan Trust Series 2021-CA Class A† | 1.06% | 10/15/2069 | 3,124,106 | 2,724,677 | ||||||||
Navient Private Education Refi Loan Trust Series 2022-A Class A† | 2.23% | 7/15/2070 | 6,153,106 | 5,412,433 | ||||||||
Nelnet Student Loan Trust Series 2021-A Class APT1† | 1.36% | 4/20/2062 | 3,421,865 | 3,083,591 | ||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 5.738% (1 mo. USD LIBOR + 0.60% | )# | 1/25/2046 | 286,860 | 285,253 | |||||||
Total | 11,973,453 | |||||||||||
Total Asset-Backed Securities (cost $444,286,460) | 428,291,761 |
172 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Shares | Fair Value | ||||||||
COMMON STOCKS 0.00% | ||||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Earthstone Energy, Inc. Class A* (cost $0) | 9 | $ | 108 | |||||||||
Principal Amount | ||||||||||||
CORPORATE BONDS 52.31% | ||||||||||||
Agriculture 1.54% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | $ | 5,957,000 | 5,783,493 | |||||||
Imperial Brands Finance PLC (United Kingdom)†(b) | 3.125% | 7/26/2024 | 1,871,000 | 1,806,735 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(b) | 6.125% | 7/27/2027 | 4,954,000 | 5,042,812 | ||||||||
Philip Morris International, Inc. | 5.125% | 11/17/2027 | 1,416,000 | 1,431,428 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 1,850,000 | 1,810,671 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 2.00% | 4/21/2026 | 7,352,000 | 6,542,043 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 4.90% | 4/21/2027 | 4,111,000 | 3,943,038 | ||||||||
Total | 26,360,220 | |||||||||||
Airlines 0.15% | ||||||||||||
Air Canada Pass-Through Trust Series 2015-2B Class B (Canada)†(b) | 5.00% | 6/15/2025 | 1,966,662 | 1,955,290 | ||||||||
British Airways Pass-Through Trust Series 2013-1 Class A (United Kingdom)†(b) | 4.625% | 12/20/2025 | 573,392 | 565,715 | ||||||||
Total | 2,521,005 | |||||||||||
Apparel 0.32% | ||||||||||||
PVH Corp. | 4.625% | 7/10/2025 | 5,561,000 | 5,425,016 | ||||||||
Auto Manufacturers 1.72% | ||||||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 7,843,000 | 7,814,572 | ||||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | 1,378,000 | 1,306,553 | ||||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 2,837,000 | 2,792,981 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 4/6/2026 | 1,204,000 | 1,199,028 | ||||||||
Hyundai Capital America† | 0.80% | 1/8/2024 | 1,383,000 | 1,341,599 | ||||||||
Hyundai Capital America† | 0.875% | 6/14/2024 | 3,034,000 | 2,887,290 | ||||||||
Hyundai Capital America† | 1.00% | 9/17/2024 | 1,088,000 | 1,024,838 | ||||||||
Hyundai Capital America† | 1.25% | 9/18/2023 | 2,272,000 | 2,240,125 | ||||||||
Hyundai Capital America | 3.40% | 6/20/2024 | 6,181,000 | 6,039,280 | ||||||||
Hyundai Capital America† | 5.50% | 3/30/2026 | 1,876,000 | 1,876,886 | ||||||||
Hyundai Capital America† | 5.875% | 4/7/2025 | 960,000 | 965,964 | ||||||||
Total | 29,489,116 |
See Notes to Financial Statements. | 173 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Parts & Equipment 0.04% | ||||||||||||
Clarios Global LP/Clarios U.S. Finance Co.† | 8.50% | 5/15/2027 | $ | 700,000 | $ | 703,114 | ||||||
Banks 20.52% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 4.75% | 7/28/2025 | 5,620,000 | 5,453,445 | ||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 4.80% | 4/18/2026 | 2,000,000 | 1,933,651 | ||||||||
AIB Group PLC (Ireland)†(b) | 4.263% (3 mo. USD LIBOR + 1.87% | )# | 4/10/2025 | 12,000,000 | 11,723,302 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 4.40% | 5/19/2026 | 2,317,000 | 2,219,257 | ||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (Mexico)†(b) | 5.375% | 4/17/2025 | 2,434,000 | 2,425,154 | ||||||||
Bank of America Corp. | 0.523% (SOFR + 0.41% | )# | 6/14/2024 | 2,758,000 | 2,752,272 | |||||||
Bank of America Corp. | 1.197% (SOFR + 1.01% | )# | 10/24/2026 | 6,122,000 | 5,520,900 | |||||||
Bank of America Corp. | 1.53% (SOFR + 0.65% | )# | 12/6/2025 | 2,411,000 | 2,261,067 | |||||||
Bank of America Corp. | 1.734% (SOFR + 0.96% | )# | 7/22/2027 | 1,316,000 | 1,174,172 | |||||||
Bank of America Corp. | 2.456% (3 mo. USD Term SOFR + 1.13% | )# | 10/22/2025 | 6,004,000 | 5,730,155 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33% | )# | 4/2/2026 | 6,858,000 | 6,602,317 | |||||||
Bank of America Corp. | 3.841% (SOFR + 1.11% | )# | 4/25/2025 | 5,123,000 | 5,036,818 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 4,295,000 | 4,186,218 | ||||||||
Bank of America Corp. | 4.948% (SOFR + 2.04% | )# | 7/22/2028 | 5,101,000 | 5,048,931 | |||||||
Bank of Ireland Group PLC (Ireland)†(b) | 2.029% (1 yr. CMT + 1.10% | )# | 9/30/2027 | 5,505,000 | 4,793,154 | |||||||
Bank of Ireland Group PLC (Ireland)†(b) | 4.50% | 11/25/2023 | 5,242,000 | 5,194,749 | ||||||||
Bank of Ireland Group PLC (Ireland)†(b) | 6.253% (1 yr. CMT + 2.65% | )# | 9/16/2026 | 1,715,000 | 1,709,240 | |||||||
Bank of Montreal (Canada)(b) | 3.70% | 6/7/2025 | 3,004,000 | 2,912,290 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 4,100,000 | 3,432,324 | ||||||||
Barclays plc (United Kingdom)(b) | 2.852% (SOFR + 2.71% | )# | 5/7/2026 | 3,150,000 | 2,961,662 | |||||||
Barclays plc (United Kingdom)(b) | 4.836% | 5/9/2028 | 1,142,000 | 1,058,017 | ||||||||
Barclays plc (United Kingdom)(b) | 5.20% | 5/12/2026 | 3,750,000 | 3,641,385 | ||||||||
Barclays plc (United Kingdom)(b) | 5.829% (SOFR + 2.21% | )# | 5/9/2027 | 3,009,000 | 3,003,753 |
174 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
BBVA Bancomer SA† | 4.375% | 4/10/2024 | $ | 1,015,000 | $ | 1,003,982 | ||||||
BNP Paribas SA (France)†(b) | 1.323% (SOFR + 1.00% | )# | 1/13/2027 | 246,000 | 219,562 | |||||||
BNP Paribas SA (France)†(b) | 2.219% (SOFR + 2.07% | )# | 6/9/2026 | 200,000 | 185,735 | |||||||
BNP Paribas SA (France)†(b) | 2.819% (3 mo. USD LIBOR + 1.11% | )# | 11/19/2025 | 5,406,000 | 5,153,262 | |||||||
BNP Paribas SA (France)†(b) | 4.375% | 5/12/2026 | 436,000 | 418,040 | ||||||||
BNP Paribas SA (France)†(b) | 5.125% (1 yr. CMT + 1.45% | )# | 1/13/2029 | 1,856,000 | 1,851,592 | |||||||
BPCE SA (France)†(b) | 2.375% | 1/14/2025 | 696,000 | 655,935 | ||||||||
BPCE SA (France)†(b) | 4.50% | 3/15/2025 | 2,114,000 | 2,040,264 | ||||||||
BPCE SA (France)†(b) | 5.15% | 7/21/2024 | 7,472,000 | 7,316,494 | ||||||||
BPCE SA (France)†(b) | 5.975% (SOFR + 2.10% | )# | 1/18/2027 | 2,788,000 | 2,786,863 | |||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 3.945% | 8/4/2025 | 5,013,000 | 4,858,492 | ||||||||
Citigroup, Inc. | 3.106% (SOFR + 2.84% | )# | 4/8/2026 | 9,576,000 | 9,184,334 | |||||||
Citigroup, Inc. | 3.29% (SOFR + 1.53% | )# | 3/17/2026 | 1,152,000 | 1,108,605 | |||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16% | )# | 4/24/2025 | 2,146,000 | 2,098,032 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37% | )# | 5/24/2025 | 2,053,000 | 2,020,642 | |||||||
Citigroup, Inc. | 4.40% | 6/10/2025 | 3,586,000 | 3,503,896 | ||||||||
Citigroup, Inc. | 5.50% | 9/13/2025 | 6,000,000 | 6,002,394 | ||||||||
Credit Agricole SA (France)†(b) | 4.375% | 3/17/2025 | 2,058,000 | 1,992,748 | ||||||||
Credit Suisse AG | 3.625% | 9/9/2024 | 1,566,000 | 1,500,682 | ||||||||
Credit Suisse Group AG (Switzerland)†(b) | 2.193% (SOFR + 2.04% | )# | 6/5/2026 | 529,000 | 480,551 | |||||||
Credit Suisse Group AG (Switzerland)†(b) | 2.593% (SOFR + 1.56% | )# | 9/11/2025 | 2,557,000 | 2,412,939 | |||||||
Credit Suisse Group AG (Switzerland)†(b) | 4.207% (3 mo. USD LIBOR + 1.24% | )# | 6/12/2024 | 785,000 | 775,658 | |||||||
Danske Bank AS (Denmark)†(b) | 1.226% (1 yr. CMT + 1.00% | )# | 6/22/2024 | 3,037,000 | 3,029,206 | |||||||
Danske Bank AS (Denmark)†(b) | 1.621% (1 yr. CMT + 1.35% | )# | 9/11/2026 | 608,000 | 547,018 | |||||||
Danske Bank AS (Denmark)†(b) | 3.244% (3 mo. USD LIBOR + 1.59% | )# | 12/20/2025 | 11,328,000 | 10,797,867 | |||||||
Danske Bank AS (Denmark)†(b) | 4.298% (1 yr. CMT + 1.75% | )# | 4/1/2028 | 2,565,000 | 2,410,806 |
See Notes to Financial Statements. | 175 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Danske Bank AS (Denmark)†(b) | 5.375% | 1/12/2024 | $ | 16,478,000 | $ | 16,352,427 | ||||||
Discover Bank | 4.25% | 3/13/2026 | 1,275,000 | 1,216,375 | ||||||||
Federation des Caisses Desjardins du Quebec (Canada)†(b) | 5.70% | 3/14/2028 | 2,139,000 | 2,159,102 | ||||||||
First-Citizens Bank & Trust Co. | 3.929% (SOFR + 3.83% | )# | 6/19/2024 | 266,000 | 262,870 | |||||||
Goldman Sachs Group, Inc. | 0.657% (SOFR + 0.51% | )# | 9/10/2024 | 2,758,000 | 2,716,109 | |||||||
Goldman Sachs Group, Inc. | 1.948% (SOFR + 0.91% | )# | 10/21/2027 | 7,434,000 | 6,624,314 | |||||||
Goldman Sachs Group, Inc. | 2.64% (SOFR + 1.11% | )# | 2/24/2028 | 2,467,000 | 2,238,066 | |||||||
Goldman Sachs Group, Inc. | 4.223% (3 mo. USD Term SOFR + 1.56% | )# | 5/1/2029 | 4,000,000 | 3,793,910 | |||||||
Goldman Sachs Group, Inc. | 5.751% (SOFR + 0.70% | )# | 1/24/2025 | 4,991,000 | 4,975,215 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 0.732% (SOFR + 0.53% | )# | 8/17/2024 | 1,219,000 | 1,204,241 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 0.976% (SOFR + 0.71% | )# | 5/24/2025 | 679,000 | 645,272 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD LIBOR + 1.21% | )# | 3/11/2025 | 3,240,000 | 3,180,303 | |||||||
Huntington Bancshares, Inc. | 4.443% (SOFR + 1.97% | )# | 8/4/2028 | 2,177,000 | 2,024,795 | |||||||
Huntington National Bank | 5.699% (SOFR + 1.22% | )# | 11/18/2025 | 4,314,000 | 4,097,221 | |||||||
Intesa Sanpaolo SpA (Italy)†(b) | 3.25% | 9/23/2024 | 3,928,000 | 3,770,928 | ||||||||
Intesa Sanpaolo SpA (Italy)†(b) | 5.017% | 6/26/2024 | 5,928,000 | 5,767,621 | ||||||||
Intesa Sanpaolo SpA (Italy)†(b) | 5.71% | 1/15/2026 | 2,102,000 | 2,002,408 | ||||||||
JPMorgan Chase & Co. | 0.824% (3 mo. USD Term SOFR + 0.54% | )# | 6/1/2025 | 2,899,000 | 2,755,029 | |||||||
JPMorgan Chase & Co. | 4.851% (SOFR + 1.99% | )# | 7/25/2028 | 2,729,000 | 2,716,136 | |||||||
JPMorgan Chase & Co. | 6.012% (SOFR + 0.92% | )# | 2/24/2026 | 3,765,000 | 3,769,511 | |||||||
JPMorgan Chase & Co. | 6.272% (SOFR + 1.18% | )# | 2/24/2028 | 2,527,000 | 2,543,189 | |||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 4.582% | 12/10/2025 | 5,156,000 | 4,923,262 | ||||||||
Macquarie Group Ltd. (Australia)†(b) | 1.201% (SOFR + 0.69% | )# | 10/14/2025 | 6,843,000 | 6,409,591 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 1.34% (SOFR + 1.07% | )# | 1/12/2027 | 403,000 | 360,876 |
176 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | $ | 4,591,000 | $ | 4,375,587 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 4.788% (1 yr. CMT + 1.70% | )# | 7/18/2025 | 3,660,000 | 3,622,158 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 5.063% (1 yr. CMT + 1.55% | )# | 9/12/2025 | 3,503,000 | 3,473,482 | |||||||
Morgan Stanley | 0.79% (SOFR + 0.53% | )# | 5/30/2025 | 3,468,000 | 3,287,940 | |||||||
Morgan Stanley | 0.791% (SOFR + 0.51% | )# | 1/22/2025 | 3,835,000 | 3,711,550 | |||||||
Morgan Stanley | 3.62% (SOFR + 1.16% | )# | 4/17/2025 | 3,253,000 | 3,187,960 | |||||||
NatWest Group PLC (United Kingdom)(b) | 4.269% (3 mo. USD LIBOR + 1.76% | )# | 3/22/2025 | 1,148,000 | 1,128,859 | |||||||
NatWest Markets PLC (United Kingdom)†(b) | 0.80% | 8/12/2024 | 613,000 | 579,307 | ||||||||
NatWest Markets PLC (United Kingdom)†(b) | 3.479% | 3/22/2025 | 3,036,000 | 2,920,163 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 194,000 | 193,543 | ||||||||
Royal Bank of Canada (Canada)(b) | 6.00% | 11/1/2027 | 1,989,000 | 2,062,012 | ||||||||
Santander Holdings USA, Inc. | 2.49% (SOFR + 1.25% | )# | 1/6/2028 | 2,232,000 | 1,952,712 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 1.089% (SOFR + 0.79% | )# | 3/15/2025 | 1,913,000 | 1,826,881 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 2.469% (SOFR + 1.22% | )# | 1/11/2028 | 1,488,000 | 1,307,727 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)†(b) | 4.75% | 9/15/2025 | 3,337,000 | 3,199,206 | ||||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 4.796% (3 mo. USD LIBOR + 1.57% | )# | 11/15/2024 | 5,776,000 | 5,730,843 | |||||||
Societe Generale SA (France)†(b) | 2.226% (1 yr. CMT + 1.05% | )# | 1/21/2026 | 1,992,000 | 1,849,876 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 0.991% (1 yr. CMT + 0.78% | )# | 1/12/2025 | 2,093,000 | 2,024,857 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 1.214% (1 yr. CMT + 0.88% | )# | 3/23/2025 | 200,000 | 192,227 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 2.819% (3 mo. USD LIBOR + 1.21% | )# | 1/30/2026 | 2,530,000 | 2,392,501 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 3.785% (3 mo. USD LIBOR + 1.56% | )# | 5/21/2025 | 1,940,000 | 1,893,976 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 5.20% | 1/26/2024 | 3,559,000 | 3,524,176 | ||||||||
Svenska Handelsbanken AB (Sweden)†(b) | 3.65% | 6/10/2025 | 4,136,000 | 3,995,913 |
See Notes to Financial Statements. | 177 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Truist Financial Corp. | 1.267% (SOFR + 0.61% | )# | 3/2/2027 | $ | 1,503,000 | $ | 1,331,609 | |||||
U.S. Bancorp | 4.548% (SOFR + 1.66% | )# | 7/22/2028 | 2,554,000 | 2,456,444 | |||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 18,374,000 | 18,104,637 | ||||||||
UBS Group AG (Switzerland)†(b) | 1.494% (1 yr. CMT + 0.85% | )# | 8/10/2027 | 1,277,000 | 1,101,758 | |||||||
UBS Group AG (Switzerland)†(b) | 4.488% (1 yr. CMT + 1.55% | )# | 5/12/2026 | 3,442,000 | 3,328,406 | |||||||
UniCredit SpA (Italy)†(b) | 2.569% (1 yr. CMT + 2.30% | )# | 9/22/2026 | 2,520,000 | 2,279,788 | |||||||
UniCredit SpA (Italy)†(b) | 7.83% | 12/4/2023 | 8,170,000 | 8,205,703 | ||||||||
Wells Fargo & Co. | 4.808% (SOFR + 1.98% | )# | 7/25/2028 | 5,134,000 | 5,055,773 | |||||||
Total | 351,936,177 | |||||||||||
Biotechnology 0.36% | ||||||||||||
Amgen, Inc. | 5.15% | 3/2/2028 | 2,293,000 | 2,312,806 | ||||||||
Illumina, Inc. | 5.75% | 12/13/2027 | 1,901,000 | 1,937,126 | ||||||||
Illumina, Inc. | 5.80% | 12/12/2025 | 1,878,000 | 1,900,593 | ||||||||
Total | 6,150,525 | |||||||||||
Chemicals 0.90% | ||||||||||||
Celanese U.S. Holdings LLC | 5.90% | 7/5/2024 | 8,845,000 | 8,837,271 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 2,984,000 | 2,662,880 | ||||||||
Orbia Advance Corp. SAB de CV (Mexico)†(b) | 1.875% | 5/11/2026 | 3,810,000 | 3,437,573 | ||||||||
Sasol Financing USA LLC | 5.875% | 3/27/2024 | 530,000 | 521,307 | ||||||||
Total | 15,459,031 | |||||||||||
Commercial Services 0.65% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(b) | 3.375% | 7/24/2024 | 921,000 | 888,553 | ||||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 827,000 | 787,893 | ||||||||
Sabre Global, Inc.† | 7.375% | 9/1/2025 | 785,000 | 664,574 | ||||||||
Triton Container International Ltd.† | 0.80% | 8/1/2023 | 3,076,000 | 3,026,772 | ||||||||
Triton Container International Ltd.† | 1.15% | 6/7/2024 | 2,518,000 | 2,358,607 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 3,872,000 | 3,409,336 | ||||||||
Total | 11,135,735 | |||||||||||
Computers 0.27% | ||||||||||||
Dell International LLC/EMC Corp. | 6.02% | 6/15/2026 | 4,556,000 | 4,664,658 |
178 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services 4.87% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 3.15% | 2/15/2024 | $ | 1,224,000 | $ | 1,200,248 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.50% | 9/15/2023 | 1,392,000 | 1,385,919 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.875% | 1/16/2024 | 4,400,000 | 4,362,737 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Series 3NC1 (Ireland)(b) | 1.75% | 10/29/2024 | 1,596,000 | 1,498,510 | ||||||||
Air Lease Corp. | 3.00% | 9/15/2023 | 2,000,000 | 1,985,243 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 325,000 | 321,153 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 2,715,000 | 2,693,229 | ||||||||
Aircastle Ltd.† | 5.25% | 8/11/2025 | 6,323,000 | 6,144,188 | ||||||||
Ally Financial, Inc. | 1.45% | 10/2/2023 | 2,223,000 | 2,187,687 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 5,389,000 | 5,216,750 | ||||||||
Ally Financial, Inc. | 5.75% | 11/20/2025 | 5,002,000 | 4,862,228 | ||||||||
American Express Co. | 4.99% | 5/1/2026 | 3,789,000 | 3,781,624 | ||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 346,000 | 309,238 | ||||||||
Aviation Capital Group LLC† | 4.375% | 1/30/2024 | 1,000,000 | 981,992 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 2,287,000 | 2,244,074 | ||||||||
Aviation Capital Group LLC† | 6.25% | 4/15/2028 | 1,239,000 | 1,241,937 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 2,247,000 | 2,081,711 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.125% | 10/1/2023 | 6,298,000 | 6,270,980 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.25% | 5/15/2024 | 1,754,000 | 1,727,291 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 6.375% | 5/4/2028 | 1,671,000 | 1,634,033 | ||||||||
Bread Financial Holdings, Inc.† | 4.75% | 12/15/2024 | 2,934,000 | 2,754,623 | ||||||||
Bread Financial Holdings, Inc.† | 7.00% | 1/15/2026 | 2,186,000 | 1,991,304 | ||||||||
Capital One Financial Corp. | 4.166% (SOFR + 1.37% | )# | 5/9/2025 | 2,893,000 | 2,816,821 | |||||||
Navient Corp. | 5.875% | 10/25/2024 | 5,921,000 | 5,796,642 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 3,263,000 | 3,201,553 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 729,000 | 706,174 | ||||||||
Navient Corp. | 7.25% | 9/25/2023 | 2,000,000 | 1,998,691 | ||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 3,335,000 | 3,248,544 | ||||||||
OneMain Finance Corp. | 6.125% | 3/15/2024 | 3,996,000 | 3,908,422 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(b) | 5.50% | 2/15/2024 | 5,000,000 | 4,947,090 | ||||||||
Total | 83,500,636 |
See Notes to Financial Statements. | 179 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric 4.50% | ||||||||||||
AES Corp.† | 3.30% | 7/15/2025 | $ | 4,791,000 | $ | 4,547,306 | ||||||
Alexander Funding Trust† | 1.841% | 11/15/2023 | 2,465,000 | 2,408,663 | ||||||||
American Electric Power Co., Inc. | 2.031% | 3/15/2024 | 1,223,000 | 1,183,761 | ||||||||
American Electric Power Co., Inc. | 5.75% | 11/1/2027 | 1,263,000 | 1,302,511 | ||||||||
Black Hills Corp. | 5.95% | 3/15/2028 | 1,760,000 | 1,811,326 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 663,000 | 643,533 | ||||||||
CenterPoint Energy, Inc. | 5.74% (SOFR + 0.65% | )# | 5/13/2024 | 4,038,000 | 4,027,488 | |||||||
Cleveland Electric Illuminating Co. | 5.50% | 8/15/2024 | 2,650,000 | 2,654,222 | ||||||||
Comision Federal de Electricidad (Mexico)(b) | 4.75% | 2/23/2027 | 1,025,000 | 980,520 | ||||||||
DTE Energy Co. | 4.875% | 6/1/2028 | 2,218,000 | 2,194,625 | ||||||||
Duke Energy Corp. | 2.65% | 9/1/2026 | 1,650,000 | 1,532,838 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(b) | 7.125% | 2/11/2025 | 1,397,000 | 1,341,837 | ||||||||
Fells Point Funding Trust† | 3.046% | 1/31/2027 | 2,777,000 | 2,584,201 | ||||||||
IPALCO Enterprises, Inc. | 3.70% | 9/1/2024 | 1,500,000 | 1,451,374 | ||||||||
Israel Electric Corp. Ltd. (Israel)†(b) | 6.875% | 6/21/2023 | 1,240,000 | 1,240,096 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 5,530,000 | 5,468,234 | ||||||||
Monongahela Power Co.† | 4.10% | 4/15/2024 | 4,000,000 | 3,915,618 | ||||||||
NextEra Energy Capital Holdings, Inc. | 6.051% | 3/1/2025 | 1,056,000 | 1,068,178 | ||||||||
Niagara Mohawk Power Corp.† | 3.508% | 10/1/2024 | 2,337,000 | 2,253,358 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 4,197,000 | 4,066,759 | ||||||||
Oncor Electric Delivery Co. LLC | 4.30% | 5/15/2028 | 1,192,000 | 1,177,880 | ||||||||
Pacific Gas & Electric Co. | 3.15% | 1/1/2026 | 4,190,729 | 3,920,779 | ||||||||
Pennsylvania Electric Co.† | 5.15% | 3/30/2026 | 1,081,000 | 1,074,658 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 4,587,000 | 4,423,432 | ||||||||
Southern Co. | 5.113% | 8/1/2027 | 2,244,000 | 2,240,693 | ||||||||
System Energy Resources, Inc. | 6.00% | 4/15/2028 | 7,237,000 | 7,354,191 | ||||||||
Trans-Allegheny Interstate Line Co.† | 3.85% | 6/1/2025 | 2,520,000 | 2,446,375 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 3,863,000 | 3,739,728 | ||||||||
Vistra Operations Co. LLC† | 4.875% | 5/13/2024 | 4,211,000 | 4,149,956 | ||||||||
Total | 77,204,140 | |||||||||||
Energy-Alternate Sources 0.03% | ||||||||||||
Greenko Dutch BV (Netherlands)†(b) | 3.85% | 3/29/2026 | 580,920 | 515,340 | ||||||||
Entertainment 0.23% | ||||||||||||
Warnermedia Holdings, Inc. | 3.428% | 3/15/2024 | 2,337,000 | 2,288,455 | ||||||||
Warnermedia Holdings, Inc. | 6.412% | 3/15/2026 | 1,599,000 | 1,602,896 | ||||||||
Total | 3,891,351 |
180 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Forest Products & Paper 0.06% | ||||||||||||
Suzano Austria GmbH (Brazil)†(b) | 5.75% | 7/14/2026 | $ | 984,000 | $ | 998,165 | ||||||
Gas 0.56% | ||||||||||||
Brooklyn Union Gas Co.† | 4.632% | 8/5/2027 | 3,505,000 | 3,389,100 | ||||||||
Centrica PLC (United Kingdom)†(b) | 4.00% | 10/16/2023 | 2,450,000 | 2,434,457 | ||||||||
ONE Gas, Inc. | 1.10% | 3/11/2024 | 1,737,000 | 1,678,267 | ||||||||
Southwest Gas Corp. | 5.80% | 12/1/2027 | 2,002,000 | 2,050,260 | ||||||||
Total | 9,552,084 | |||||||||||
Hand/Machine Tools 0.31% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 1,497,000 | 1,501,280 | ||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 2,206,000 | 2,182,071 | ||||||||
Stanley Black & Decker, Inc. | 6.00% | 3/6/2028 | 1,659,000 | 1,699,295 | ||||||||
Total | 5,382,646 | |||||||||||
Health Care-Products 0.15% | ||||||||||||
GE HealthCare Technologies, Inc.† | 5.60% | 11/15/2025 | 2,500,000 | 2,507,516 | ||||||||
Health Care-Services 0.72% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 2,880,000 | 2,477,174 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 3,076,000 | 2,893,532 | ||||||||
HCA, Inc. | 5.20% | 6/1/2028 | 705,000 | 700,906 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 3,416,000 | 3,390,411 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 610,000 | 605,992 | ||||||||
HCA, Inc. | 5.375% | 2/1/2025 | 611,000 | 607,062 | ||||||||
Humana, Inc. | 5.75% | 3/1/2028 | 1,698,000 | 1,759,973 | ||||||||
Total | 12,435,050 | |||||||||||
Home Builders 0.22% | ||||||||||||
Lennar Corp. | 4.875% | 12/15/2023 | 66,000 | 65,880 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 11/15/2025 | 3,897,000 | 3,796,782 | ||||||||
Total | 3,862,662 | |||||||||||
Housewares 0.04% | ||||||||||||
Newell Brands, Inc. | 4.70% | 4/1/2026 | 725,000 | 673,347 | ||||||||
Insurance 1.47% | ||||||||||||
Aon Corp. | 8.205% | 1/1/2027 | 1,183,000 | 1,208,618 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 1,500,000 | 1,485,641 | ||||||||
CNO Global Funding † | 1.75% | 10/7/2026 | 1,313,000 | 1,172,278 | ||||||||
Equitable Financial Life Global Funding† | 5.45% | 3/3/2028 | 2,416,000 | 2,455,844 | ||||||||
F&G Annuities & Life, Inc.† | 7.40% | 1/13/2028 | 1,438,000 | 1,445,351 |
See Notes to Financial Statements. | 181 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
F&G Global Funding† | 0.90% | 9/20/2024 | $ | 1,368,000 | $ | 1,274,146 | ||||||
F&G Global Funding† | 1.75% | 6/30/2026 | 1,080,000 | 963,913 | ||||||||
F&G Global Funding† | 2.30% | 4/11/2027 | 3,750,000 | 3,356,892 | ||||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 1,032,000 | 964,464 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 3,993,000 | 3,828,272 | ||||||||
Jackson National Life Global Funding† | 1.75% | 1/12/2025 | 1,966,000 | 1,834,457 | ||||||||
Kemper Corp. | 4.35% | 2/15/2025 | 2,101,000 | 2,026,475 | ||||||||
New York Life Global Funding† | 4.70% | 4/2/2026 | 1,899,000 | 1,889,838 | ||||||||
Protective Life Global Funding† | 5.209% | 4/14/2026 | 1,388,000 | 1,381,470 | ||||||||
Total | 25,287,659 | |||||||||||
Internet 0.48% | ||||||||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 1,025,000 | 991,777 | ||||||||
Netflix, Inc. | 4.375% | 11/15/2026 | 3,678,000 | 3,617,659 | ||||||||
Prosus NV (Netherlands)†(b) | 3.257% | 1/19/2027 | 4,000,000 | 3,632,395 | ||||||||
Total | 8,241,831 | |||||||||||
Iron-Steel 0.12% | ||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(b) | 8.75% | 7/15/2026 | 2,230,000 | 2,143,873 | ||||||||
Lodging 0.37% | ||||||||||||
Hyatt Hotels Corp. | 1.30% | 10/1/2023 | 6,396,000 | 6,299,075 | ||||||||
Machinery-Diversified 0.12% | ||||||||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 2,004,000 | 1,976,619 | ||||||||
Media 0.09% | ||||||||||||
FactSet Research Systems, Inc. | 2.90% | 3/1/2027 | 1,732,000 | 1,602,896 | ||||||||
Mining 1.17% | ||||||||||||
Anglo American Capital PLC (United Kingdom)†(b) | 3.625% | 9/11/2024 | 4,500,000 | 4,379,644 | ||||||||
First Quantum Minerals Ltd. (Canada)†(b) | 7.50% | 4/1/2025 | 2,682,000 | 2,679,238 | ||||||||
Glencore Funding LLC† | 1.625% | 4/27/2026 | 596,000 | 539,682 | ||||||||
Glencore Funding LLC† | 4.00% | 4/16/2025 | 1,567,000 | 1,531,777 | ||||||||
Glencore Funding LLC† | 4.00% | 3/27/2027 | 1,097,000 | 1,048,551 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 4,797,000 | 4,723,960 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 5,200,000 | 5,149,018 | ||||||||
Total | 20,051,870 |
182 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas 4.79% | ||||||||||||
Aker BP ASA (Norway)†(b) | 2.00% | 7/15/2026 | $ | 3,429,000 | $ | 3,093,384 | ||||||
Chord Energy Corp.† | 6.375% | 6/1/2026 | 2,978,000 | 2,936,427 | ||||||||
Continental Resources, Inc.† | 2.268% | 11/15/2026 | 4,431,000 | 3,964,419 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 7,356,000 | 7,212,660 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 5,076,000 | 4,775,326 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.625% | 10/15/2025 | 3,360,000 | 3,295,824 | ||||||||
Devon Energy Corp. | 5.25% | 10/15/2027 | 5,729,000 | 5,669,956 | ||||||||
Devon Energy Corp. | 5.875% | 6/15/2028 | 7,055,000 | 7,071,045 | ||||||||
Devon Energy Corp. | 8.25% | 8/1/2023 | 5,532,000 | 5,536,698 | ||||||||
Eni SpA (Italy)†(b) | 4.00% | 9/12/2023 | 660,000 | 655,910 | ||||||||
EQT Corp. | 3.90% | 10/1/2027 | 3,000,000 | 2,790,300 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 7,455,000 | 7,467,375 | ||||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.† | 6.00% | 8/1/2026 | 2,359,000 | 2,286,567 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 3,267,000 | 3,158,636 | ||||||||
OGX Austria GmbH (Brazil)†(b)(c) | 8.50% | 6/1/2018 | 225,000 | 5 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 4.125% | 2/15/2028 | 1,930,000 | 1,805,306 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 2,443,000 | 2,437,748 | ||||||||
PDC Energy, Inc. | 6.125% | 9/15/2024 | 241,000 | 241,096 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 6.49% | 1/23/2027 | 713,000 | 617,649 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 6.875% | 8/4/2026 | 4,629,000 | 4,230,054 | ||||||||
Pioneer Natural Resources Co. | 5.10% | 3/29/2026 | 974,000 | 974,321 | ||||||||
Suncor Energy, Inc. (Canada)(b) | 7.875% | 6/15/2026 | 2,719,000 | 2,895,712 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(b) | 2.625% | 8/15/2025 | 3,500,000 | 3,132,437 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 2,857,000 | 2,751,291 | ||||||||
Vital Energy, Inc. | 9.50% | 1/15/2025 | 3,251,000 | 3,219,036 | ||||||||
Total | 82,219,182 | |||||||||||
Pharmaceuticals 0.53% | ||||||||||||
Bayer U.S. Finance II LLC† | 3.875% | 12/15/2023 | 4,207,000 | 4,163,251 | ||||||||
Bayer U.S. Finance II LLC† | 4.25% | 12/15/2025 | 3,750,000 | 3,642,023 | ||||||||
Bayer U.S. Finance II LLC† | 5.876% (3 mo. USD LIBOR + 1.01% | )# | 12/15/2023 | 1,325,000 | 1,324,497 | |||||||
Total | 9,129,771 | |||||||||||
Pipelines 1.41% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 7,180,000 | 7,189,368 | ||||||||
DCP Midstream Operating LP | 5.375% | 7/15/2025 | 1,361,000 | 1,347,215 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 3.85% | 10/15/2023 | 2,036,000 | 2,017,426 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 3,218,000 | 3,212,320 |
See Notes to Financial Statements. | 183 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | $ | 4,500,000 | $ | 4,567,183 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 6.50% | 7/15/2027 | 5,879,000 | 5,905,296 | ||||||||
Total | 24,238,808 | |||||||||||
REITS 2.21% | ||||||||||||
American Tower Corp. | 3.60% | 1/15/2028 | 4,211,000 | 3,928,642 | ||||||||
American Tower Corp. | 3.65% | 3/15/2027 | 3,421,000 | 3,234,320 | ||||||||
American Tower Corp. | 5.50% | 3/15/2028 | 2,153,000 | 2,176,707 | ||||||||
Crown Castle, Inc. | 5.00% | 1/11/2028 | 1,464,000 | 1,452,788 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 1,256,000 | 1,110,056 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 3,360,000 | 3,035,991 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.25% | 6/1/2025 | 1,275,000 | 1,248,614 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.375% | 6/15/2026 | 1,985,000 | 1,739,166 | ||||||||
Kite Realty Group Trust | 4.00% | 3/15/2025 | 1,755,000 | 1,662,722 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.50% | 2/15/2025 | 6,577,000 | 6,278,630 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.75% | 2/15/2027 | 2,599,000 | 2,410,047 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 2,277,000 | 2,263,859 | ||||||||
Vornado Realty LP | 3.50% | 1/15/2025 | 2,484,000 | 2,300,819 | ||||||||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC† | 3.75% | 9/17/2024 | 5,314,000 | 5,020,461 | ||||||||
Total | 37,862,822 | |||||||||||
Semiconductors 0.70% | ||||||||||||
Microchip Technology, Inc. | 0.972% | 2/15/2024 | 4,530,000 | 4,375,140 | ||||||||
Microchip Technology, Inc. | 2.67% | 9/1/2023 | 1,525,000 | 1,512,034 | ||||||||
Microchip Technology, Inc. | 4.333% | 6/1/2023 | 4,111,000 | 4,111,000 | ||||||||
Qorvo, Inc.† | 1.75% | 12/15/2024 | 1,840,000 | 1,719,811 | ||||||||
SK Hynix, Inc. (South Korea)†(b) | 1.50% | 1/19/2026 | 316,000 | 279,508 | ||||||||
Total | 11,997,493 | |||||||||||
Software 0.30% | ||||||||||||
Oracle Corp. | 2.30% | 3/25/2028 | 2,065,000 | 1,828,011 | ||||||||
Oracle Corp. | 2.50% | 4/1/2025 | 977,000 | 931,826 | ||||||||
Take-Two Interactive Software, Inc. | 3.55% | 4/14/2025 | 455,000 | 440,623 | ||||||||
Take-Two Interactive Software, Inc. | 5.00% | 3/28/2026 | 2,016,000 | 2,008,186 | ||||||||
Total | 5,208,646 | |||||||||||
Telecommunications 0.30% | ||||||||||||
Altice France SA (France)†(b) | 8.125% | 2/1/2027 | 4,300,000 | 3,710,051 | ||||||||
T-Mobile USA, Inc. | 3.75% | 4/15/2027 | 1,559,000 | 1,481,475 | ||||||||
Total | 5,191,526 |
184 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Trucking & Leasing 0.09% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 6.50% | 10/1/2025 | $ | 1,577,000 | $ | 1,533,936 | ||||||
Total Corporate Bonds (cost $937,716,832) | 897,353,541 | |||||||||||
FLOATING RATE LOANS(d) 2.59% | ||||||||||||
Chemicals 0.03% | ||||||||||||
Nutrition & Biosciences, Inc. 3 Year Delayed Draw Term Loan | 6.673% (3 mo. USD Term SOFR + 1.50% | ) | 2/1/2024 | 495,689 | 494,759 | |||||||
Commercial Services 0.54% | ||||||||||||
Moneygram International, Inc. 2021 Term Loan B | 11.75% (PRIME Rate + 3.50% | ) | 7/21/2026 | 9,219,463 | 9,209,414 | |||||||
Food 0.18% | ||||||||||||
US Foods, Inc. 2019 Term Loan B | – | (e) | 9/13/2026 | 3,050,000 | 3,041,643 | |||||||
Lodging 0.25% | ||||||||||||
Resorts World Las Vegas LLC Term Loan A | 6.66% (1 mo. USD LIBOR + 1.50% | ) | 4/16/2024 | 4,400,000 | 4,389,000 | |||||||
Media 1.02% | ||||||||||||
Charter Communications Operating, LLC 2019 Term Loan B1 | 6.903% - 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 4/30/2025 | 15,245,909 | 15,232,950 | |||||||
Univision Communications, Inc. Term Loan C5 | 7.904% (1 mo. USD LIBOR + 2.75% | ) | 3/15/2024 | 2,250,000 | 2,253,510 | |||||||
Total | 17,486,460 | |||||||||||
Pipelines 0.07% | ||||||||||||
Buckeye Partners LP 2021 Term Loan B | 7.284% (1 mo. USD LIBOR + 2.25% | ) | 11/1/2026 | 1,329,412 | 1,314,004 | |||||||
Real Estate Investment Trusts 0.39% | ||||||||||||
American Tower Corp. 2021 First Lien Delayed Draw Term loan | 6.25% (1 mo. USD LIBOR + 1.13% | ) | 12/8/2023 | 4,455,475 | 4,454,094 | |||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.253% (1 mo. USD Term SOFR + 1.00% | ) | 1/31/2025 | 2,245,570 | 2,206,272 | |||||||
Total | 6,660,366 |
See Notes to Financial Statements. | 185 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Software 0.11% | ||||||||||||
Project Alpha Intermediate Holding, Inc. 2021 Term Loan B | 9.16% (1 mo. USD LIBOR + 4.00% | ) | 4/26/2024 | $ | 1,875,686 | $ | 1,869,243 | |||||
Transportation 0.00% | ||||||||||||
XPO Logistics, Inc. 2018 Term Loan B | 6.849% (1 mo. USD LIBOR + 1.75% | ) | 2/24/2025 | 2,814 | 2,815 | |||||||
Total Floating Rate Loans (cost $44,499,261) | 44,467,704 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.02% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 001 Class XA | 2.112% | #(f) | 2/25/2032 | 1,212,182 | 91,122 | |||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 061 Class X1 | 0.153% | #(f) | 11/25/2026 | 13,687,295 | 74,682 | |||||||
Government National Mortgage Association Series 2013-193 Class IO | 0.176% | #(f) | 1/16/2055 | 22,432 | 1,223 | |||||||
Government National Mortgage Association Series 2014-112 Class A | 3.00% | #(f) | 1/16/2048 | 138,824 | 125,389 | |||||||
Government National Mortgage Association Series 2014-15 Class IO | 0.596% | #(f) | 8/16/2054 | 3,519 | 2,729 | (a) | ||||||
Government National Mortgage Association Series 2015-19 Class AD | 2.90% | 10/16/2055 | 17,324 | 16,843 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $358,963) | 311,988 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.08% | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.89% (1 yr. USD LIBOR + 1.64% | )# | 11/1/2043 | 145,401 | 143,514 | |||||||
Federal Home Loan Mortgage Corp. | 4.044% (1 yr. USD LIBOR + 1.78% | )# | 5/1/2036 | 19,480 | 19,652 | |||||||
Federal Home Loan Mortgage Corp. | 4.058% (1 yr. USD LIBOR + 1.78% | )# | 10/1/2038 | 15,080 | 15,277 | |||||||
Federal Home Loan Mortgage Corp. | 4.084% (1 yr. USD LIBOR + 1.72% | )# | 4/1/2037 | 21,243 | 21,433 | |||||||
Federal Home Loan Mortgage Corp. | 4.094% (1 yr. USD LIBOR + 1.79% | )# | 12/1/2036 | 51,824 | 52,570 | |||||||
Federal Home Loan Mortgage Corp. | 4.10% (1 yr. USD LIBOR + 1.66% | )# | 2/1/2038 | 92,562 | 92,991 | |||||||
Federal Home Loan Mortgage Corp. | 4.201% (1 yr. USD LIBOR + 1.95% | )# | 2/1/2037 | 56,182 | 57,074 | |||||||
Federal Home Loan Mortgage Corp. | 4.222% (1 yr. USD LIBOR + 1.92% | )# | 9/1/2036 | 59,894 | 60,859 |
186 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Association | 3.785% (1 yr. USD LIBOR + 1.53% | )# | 10/1/2035 | $ | 63,439 | $ | 64,111 | |||||
Federal National Mortgage Association | 3.898% (1 yr. USD LIBOR + 1.55% | )# | 6/1/2038 | 52,651 | 51,927 | |||||||
Federal National Mortgage Association | 3.937% (1 yr. USD LIBOR + 1.64% | )# | 9/1/2038 | 46,556 | 47,106 | |||||||
Federal National Mortgage Association | 3.938% (1 yr. USD LIBOR + 1.52% | )# | 3/1/2039 | 38,663 | 38,958 | |||||||
Federal National Mortgage Association | 3.953% (1 yr. USD LIBOR + 1.66% | )# | 8/1/2038 | 11,037 | 10,950 | |||||||
Federal National Mortgage Association | 4.042% (1 yr. USD LIBOR + 1.79% | )# | 3/1/2042 | 239,436 | 243,215 | |||||||
Federal National Mortgage Association | 4.052% (1 yr. USD LIBOR + 1.80% | )# | 10/1/2040 | 13,655 | 13,929 | |||||||
Federal National Mortgage Association | 4.062% (1 yr. USD LIBOR + 1.81% | )# | 12/1/2040 | 24,063 | 24,382 | |||||||
Federal National Mortgage Association | 4.067% (1 yr. USD LIBOR + 1.82% | )# | 12/1/2040 | 50,274 | 51,069 | |||||||
Federal National Mortgage Association | 4.145% (1 yr. USD LIBOR + 1.81% | )# | 4/1/2040 | 26,797 | 27,145 | |||||||
Federal National Mortgage Association | 4.186% (1 yr. USD LIBOR + 1.62% (1 yr. CMT + 2.20% | ) )# | 8/1/2037 - 1/1/2038 | 41,118 | 41,760 | |||||||
Federal National Mortgage Association | 4.346% (1 yr. CMT + 2.24% | )# | 3/1/2038 | 3,520 | 3,479 | |||||||
Federal National Mortgage Association | 4.665% (1 yr. USD LIBOR + 1.89% | )# | 12/1/2038 | 22,136 | 22,591 | |||||||
Federal National Mortgage Association | 5.519% (1 yr. USD LIBOR + 1.60% | )# | 10/1/2045 | 38,301 | 39,271 | |||||||
Federal National Mortgage Association | 6.424% (1 yr. USD LIBOR + 1.60% | )# | 12/1/2045 | 198,397 | 202,240 | |||||||
Federal National Mortgage Association | 6.491% (1 yr. USD LIBOR + 1.60% | )# | 12/1/2045 | 50,600 | 51,624 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $1,431,758) | 1,397,127 | |||||||||||
MUNICIPAL BONDS 0.02% | ||||||||||||
Government | ||||||||||||
State of Illinois GO (cost $318,818) | 4.95% | 6/1/2023 | 318,818 | 318,818 |
See Notes to Financial Statements. | 187 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 12.24% | |||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(f) | 12/25/2059 | $ | 96,677 | $ | 90,797 | ||||||
Angel Oak Mortgage Trust Series 2020-6 Class A1† | 1.261% | #(f) | 5/25/2065 | 144,750 | 129,768 | ||||||||
Atrium Hotel Portfolio Trust Series 2017-ATRM Class B† | 6.857% (1 mo. USD LIBOR + 1.75% | )# | 12/15/2036 | 842,000 | 792,666 | ||||||||
BBCMS Mortgage Trust Series 2018-TALL Class A† | 5.98% (1 mo. USD LIBOR + 0.87% | )# | 3/15/2037 | 3,400,000 | 3,060,509 | ||||||||
BBCMS Mortgage Trust Series 2018-TALL Class C† | 6.379% (1 mo. USD LIBOR + 1.27% | )# | 3/15/2037 | 3,350,000 | 2,591,051 | ||||||||
BBCMS Trust Series 2015-VFM Class A1† | 2.466% | 3/10/2036 | 164,073 | 151,830 | |||||||||
BB-UBS Trust Series 2012-TFT Class B† | 3.559% | #(f) | 6/5/2030 | 2,149,000 | 1,907,044 | ||||||||
BB-UBS Trust Series 2012-TFT Class C† | 3.559% | #(f) | 6/5/2030 | 3,000,000 | 2,464,161 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 7/15/2035 | 2,639,902 | 2,568,832 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class C† | 7.007% (1 mo. USD LIBOR + 1.90% | )# | 7/15/2035 | 12,254,000 | 11,656,551 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class D† | 7.357% (1 mo. USD LIBOR + 2.25% | )# | 7/15/2035 | 8,630,000 | 8,133,117 | ||||||||
BWAY Mortgage Trust Series 2013-1515 Class XB† | 0.403% | #(f) | 3/10/2033 | 47,800,000 | 273,340 | ||||||||
BWAY Mortgage Trust Series 2015-1740 Class C† | 3.342% | 1/10/2035 | 3,350,000 | 2,229,510 | |||||||||
BX Commercial Mortgage Trust Series 2019-IMC Class A† | 6.107% (1 mo. USD LIBOR + 1.00% | )# | 4/15/2034 | 5,880,895 | 5,809,209 | ||||||||
BX Commercial Mortgage Trust Series 2019-IMC Class B† | 6.407% (1 mo. USD LIBOR + 1.30% | )# | 4/15/2034 | 7,950,000 | 7,774,559 | ||||||||
BX Trust Series 2021-MFM1 Class A† | 5.874% (1 mo. USD Term SOFR + 0.81% | )# | 1/15/2034 | 126,594 | 123,629 | ||||||||
BXHPP Trust Series 2021-FILM Class A† | 5.757% (1 mo. USD LIBOR + 0.65% | )# | 8/15/2036 | 10,000,000 | 9,398,024 | ||||||||
CFCRE Commercial Mortgage Trust Series 2016-C4 Class XA | 1.605% | #(f) | 5/10/2058 | 853,285 | 29,519 | ||||||||
CFCRE Commercial Mortgage Trust Series 2016-C6 Class XA | 1.083% | #(f) | 11/10/2049 | 2,572,122 | 72,409 | ||||||||
CFCRE Commercial Mortgage Trust Series 2016-C7 Class XA | 0.658% | #(f) | 12/10/2054 | 3,416,500 | 66,107 | ||||||||
Citigroup Commercial Mortgage Trust Series 2014-GC23 Class XB | 0.209% | #(f) | 7/10/2047 | 3,452,000 | 6,982 |
188 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Citigroup Commercial Mortgage Trust Series 2015-GC31 Class XA | 0.333% | #(f) | 6/10/2048 | $ | 5,390,845 | $ | 31,073 | ||||||
COLT Mortgage Loan Trust Series 2021-2 Class A1† | 0.924% | #(f) | 8/25/2066 | 5,518,980 | 4,301,272 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR1 Class B | 4.612% | 5/15/2045 | 1,352,988 | 1,290,287 | |||||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR3 Class B† | 3.922% | 10/15/2045 | 617,000 | 534,917 | |||||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR4 Class XA | 1.182% | #(f) | 10/15/2045 | 989,410 | 10 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2012-LTRT Class A2† | 3.40% | 10/5/2030 | 941,711 | 825,021 | |||||||||
Commercial Mortgage Pass-Through Certificates Series 2013-CR8 Class XA | 0.156% | #(f) | 6/10/2046 | 1,383,803 | 14 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class XA | 0.927% | #(f) | 8/10/2047 | 2,072,736 | 15,258 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2016-CD1 Class XA | 1.365% | #(f) | 8/10/2049 | 787,311 | 24,625 | ||||||||
Credit Suisse Mortgage Capital Certificates Series 2016-NXSR Class XB | 0.177% | #(f) | 12/15/2049 | 20,135,000 | 147,487 | ||||||||
Credit Suisse Mortgage Capital Certificates Series 2020-SPT1 Class A1† | 1.616% | (g) | 4/25/2065 | 41,590 | 40,855 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2014-USA Class X1† | 0.54% | #(f) | 9/15/2037 | 39,135,267 | 359,097 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2017-PFHP Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 12/15/2030 | 502,000 | 478,278 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-ADV Class A† | 6.508% (1 mo. USD LIBOR + 1.40% | )# | 7/15/2038 | 6,130,000 | 5,521,751 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM1 Class A1† | 0.809% | #(f) | 5/25/2065 | 2,125,755 | 1,801,574 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM3 Class A1† | 1.015% | #(f) | 4/25/2066 | 805,006 | 658,803 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM6 Class A1† | 1.174% | #(f) | 7/25/2066 | 3,542,253 | 2,852,828 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM7 Class A3† | 2.064% | #(f) | 10/25/2066 | 862,961 | 712,231 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2022-NQM1 Class A1† | 2.265% | #(f) | 11/25/2066 | 4,722,558 | 4,082,684 | ||||||||
CSAIL Commercial Mortgage Trust Series 2015-C2 Class XB† | Zero Coupon | #(f) | 6/15/2057 | 82,732,000 | 93,572 |
See Notes to Financial Statements. | 189 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
CSAIL Commercial Mortgage Trust Series 2016-C7 Class XA | 0.935% | #(f) | 11/15/2049 | $ | 4,093,192 | $ | 92,002 | ||||||
CSMC Trust Series 2020-AFC1 Class A1† | 2.24% | #(f) | 2/25/2050 | 279,471 | 260,186 | ||||||||
DBGS Mortgage Trust Series 2021-W52 Class A† | 6.503% (1 mo. USD LIBOR + 1.39% | )# | 10/15/2036 | 4,750,000 | 4,444,019 | ||||||||
DBGS Mortgage Trust Series 2021-W52 Class C† | 7.408% (1 mo. USD LIBOR + 2.30% | )# | 10/15/2036 | 9,905,000 | 8,779,701 | ||||||||
DBJPM Mortgage Trust Series 2016-C3 Class XA | 1.423% | #(f) | 8/10/2049 | 9,055,420 | 310,208 | ||||||||
DBWF Mortgage Trust Series 2015-LCM Class A1† | 2.998% | 6/10/2034 | 186,079 | 173,149 | |||||||||
DBWF Mortgage Trust Series 2015-LCM Class XA† | 0.423% | #(f) | 6/10/2034 | 372,157 | 2,572 | ||||||||
DBWF Mortgage Trust Series 2016-85T Class XA† | 0.014% | #(f) | 12/10/2036 | 61,529,000 | 104,260 | ||||||||
Ellington Financial Mortgage Trust Series 2021-1 Class A1† | 0.797% | #(f) | 2/25/2066 | 81,556 | 68,714 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2013-DN1 Class M2 | 12.288% (1 mo. USD LIBOR + 7.15% | )# | 7/25/2023 | 1,221,065 | 1,231,030 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2023-DNA2 Class M1A† | 7.081% (30 day USD SOFR Average + 2.10% | )# | 4/25/2043 | 6,054,168 | 6,087,025 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2013-C01 Class M2 | 10.388% (1 mo. USD LIBOR + 5.25% | )# | 10/25/2023 | 1,817,528 | 1,844,886 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R03 Class 2M1 | 7.473% | 4/25/2043 | 2,063,076 | 2,084,010 | |||||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA5 Class M2† | 6.623% (30 day USD SOFR Average + 1.65% | )# | 1/25/2034 | 3,133,102 | 3,106,950 | ||||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA3 Class M1† | 5.823% (30 day USD SOFR Average + 0.85% | )# | 9/25/2041 | 2,383,006 | 2,309,974 | ||||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA4 Class M1† | 5.923% (30 day USD SOFR Average + 0.95% | )# | 12/25/2041 | 5,811,484 | 5,615,801 | ||||||||
Freddie Mac STACR REMIC Trust Series 2022-DNA4 Class M1A† | 7.173% (30 day USD SOFR Average + 2.20% | )# | 5/25/2042 | 923,632 | 931,888 | ||||||||
Great Wolf Trust Series 2019-WOLF Class B† | 6.508% (1 mo. USD Term SOFR + 1.45% | )# | 12/15/2036 | 3,170,000 | 3,114,445 |
190 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
GS Mortgage Securities Corp. Trust Series 2017-GPTX Class A† | 2.856% | 5/10/2034 | $ | 1,159,000 | $ | 916,769 | |||||||
GS Mortgage Securities Corp. Trust Series 2017-GPTX Class B† | 3.104% | 5/10/2034 | 1,060,000 | 736,700 | |||||||||
GS Mortgage Securities Corp. Trust Series 2017-SLP Class A† | 3.419% | 10/10/2032 | 6,695 | 6,499 | |||||||||
GS Mortgage Securities Corp. Trust Series 2018-RIVR Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 7/15/2035 | 2,355,942 | 2,152,817 | ||||||||
GS Mortgage Securities Corp. Trust Series 2019-70P Class B† | 6.427% (1 mo. USD LIBOR + 1.32% | )# | 10/15/2036 | 1,245,442 | 1,162,990 | ||||||||
GS Mortgage Securities Corp. Trust Series 2021-RENT Class B† | 6.248% (1 mo. USD LIBOR + 1.10% | )# | 11/21/2035 | 15,856,709 | 15,088,324 | ||||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.258% (1 mo. USD LIBOR + 1.15% | )# | 5/15/2026 | 5,000,000 | 4,537,120 | ||||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class H† | 11.008% (1 mo. USD LIBOR + 5.90% | )# | 5/15/2026 | 560,000 | 431,388 | ||||||||
GS Mortgage Securities Trust Series 2015-GS1 Class XA | 0.756% | #(f) | 11/10/2048 | 1,011,453 | 15,595 | ||||||||
HMH Trust Series 2017-NSS Class A† | 3.062% | 7/5/2031 | 974,000 | 917,082 | |||||||||
HMH Trust Series 2017-NSS Class B† | 3.343% | 7/5/2031 | 629,000 | 597,157 | |||||||||
HMH Trust Series 2017-NSS Class C† | 3.787% | 7/5/2031 | 469,000 | 442,912 | |||||||||
HMH Trust Series 2017-NSS Class D† | 4.723% | 7/5/2031 | 618,000 | 575,706 | |||||||||
HONO Mortgage Trust Series 2021-LULU Class A† | 6.257% (1 mo. USD LIBOR + 1.15% | )# | 10/15/2036 | 13,950,000 | 13,376,535 | ||||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class B7† | 4.666% | 8/5/2034 | 1,200,000 | 1,011,964 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2012-WLDN Class A† | 3.905% | 5/5/2030 | 4,430,434 | 3,485,441 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C12 Class XA | 0.239% | #(f) | 7/15/2045 | 100,731 | 1 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class XA | 0.959% | #(f) | 4/15/2046 | 113,390 | 1 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C24 Class XA | 0.847% | #(f) | 11/15/2047 | 2,287,654 | 15,624 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class A† | 3.429% | 6/10/2027 | 5,000,000 | 1,910,000 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XA† | 0.376% | #(f) | 6/10/2027 | 2,906,000 | 4,966 |
See Notes to Financial Statements. | 191 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XB† | 0.034% | #(f) | 6/10/2027 | $ | 1,292,000 | $ | 437 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-C29 Class XA | 0.556% | #(f) | 5/15/2048 | 1,311,703 | 11,280 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP4 Class XA | 0.578% | #(f) | 12/15/2049 | 3,262,745 | 50,201 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-NINE Class A† | 2.854% | #(f) | 9/6/2038 | 4,340,000 | 3,859,202 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2017-JP7 Class XA | 0.985% | #(f) | 9/15/2050 | 7,457,445 | 217,223 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class A† | 6.557% (1 mo. USD LIBOR + 1.45% | )# | 4/15/2031 | 658,000 | 568,923 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class B† | 7.257% (1 mo. USD LIBOR + 2.15% | )# | 4/15/2031 | 449,000 | 381,392 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class C† | 7.657% (1 mo. USD LIBOR + 2.55% | )# | 4/15/2031 | 332,000 | 277,278 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XBFX† | 0.377% | #(f) | 7/5/2033 | 95,152,000 | 10,935 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2020-MKST Class E† | 7.607% (1 mo. USD LIBOR + 2.50% | )# | 12/15/2036 | 5,800,000 | 4,043,632 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2018-AON Class XA† | 0.485% | #(f) | 7/5/2031 | 129,394,000 | 1,294 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2018-AON Class XB† | 0.154% | #(f) | 7/5/2031 | 50,413,000 | 504 | ||||||||
KIND Trust Series 2021-KIND Class A† | 6.124% (1 mo. USD Term SOFR + 1.06% | )# | 8/15/2038 | 6,066,158 | 5,701,776 | ||||||||
LSTAR Commercial Mortgage Trust Series 2016-4 Class XA† | 1.687% | #(f) | 3/10/2049 | 849,264 | 15,080 | ||||||||
LSTAR Commercial Mortgage Trust Series 2016-4 XB Class XB† | 0.655% | #(f) | 3/10/2049 | 19,753,000 | 287,198 | ||||||||
LSTAR Commercial Mortgage Trust Series 2017-5 Class A3† | 4.50% | 3/10/2050 | 1,500,766 | 1,499,028 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-CKSV Class A2† | 3.277% | 10/15/2030 | 2,016,324 | 1,619,774 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 Class XA | 0.546% | #(f) | 7/15/2050 | 5,291,914 | 44,471 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 Class XA | 1.273% | #(f) | 11/15/2049 | 4,014,445 | 129,627 |
192 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Morgan Stanley Capital I Trust Series 2016-UB11 Class XA | 1.439% | #(f) | 8/15/2049 | $ | 3,472,883 | $ | 125,592 | ||||||
MSCG Trust Series 2015-ALDR Class A1† | 2.612% | 6/7/2035 | 155,398 | 147,069 | |||||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(f) | 1/26/2060 | 115,583 | 105,934 | ||||||||
One New York Plaza Trust Series 2020-1NYP Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 1/15/2036 | 5,000,000 | 4,747,101 | ||||||||
One New York Plaza Trust Series 2020-1NYP Class AJ† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 1/15/2036 | 3,250,000 | 3,026,258 | ||||||||
PFP Ltd. Series 2021-7 Class A† | 5.957% (1 mo. USD LIBOR + 0.85% | )# | 4/14/2038 | 528,845 | 522,258 | ||||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(f) | 1/26/2060 | 55,796 | 52,864 | ||||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(f) | 2/25/2050 | 21,181 | 20,109 | ||||||||
Starwood Mortgage Residential Trust Series 2021-2 Class A1† | 0.943% | #(f) | 5/25/2065 | 1,302,342 | 1,162,457 | ||||||||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 Class B† | 3.649% | #(f) | 3/10/2046 | 273,254 | 251,613 | ||||||||
UBS-Barclays Commercial Mortgage Trust Series 2013-C6 Class XA† | 0.78% | #(f) | 4/10/2046 | 376,359 | 4 | ||||||||
VASA Trust Series 2021-VASA Class B† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 7/15/2039 | 6,000,000 | 5,515,033 | ||||||||
Verus Securitization Trust Series 2020-1 Class A1† | 2.417% | (g) | 1/25/2060 | 87,377 | 82,248 | ||||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (g) | 5/25/2065 | 148,600 | 136,666 | ||||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (g) | 5/25/2065 | 137,830 | 125,353 | ||||||||
Verus Securitization Trust Series 2021-1 Class A1† | 0.815% | #(f) | 1/25/2066 | 290,379 | 248,618 | ||||||||
Verus Securitization Trust Series 2021-5 Class A1† | 1.013% | #(f) | 9/25/2066 | 2,886,418 | 2,350,862 | ||||||||
Verus Securitization Trust Series 2021-R2 Class A1† | 0.918% | #(f) | 2/25/2064 | 504,115 | 437,742 | ||||||||
Verus Securitization Trust Series 2021-R3 Class A1† | 1.02% | #(f) | 4/25/2064 | 732,966 | 652,510 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C29 Class XA | 0.59% | #(f) | 6/15/2048 | 3,127,830 | 30,467 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C29 Class XB | 0.014% | #(f) | 6/15/2048 | 58,000,000 | 57,698 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 Class XA | 1.714% | #(f) | 8/15/2049 | 1,606,665 | 64,296 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2016-LC24 Class XB | 0.975% | #(f) | 10/15/2049 | 7,056,835 | 195,378 | ||||||||
WF-RBS Commercial Mortgage Trust Series 2013-C13 Class XA† | 0.737% | #(f) | 5/15/2045 | 769,094 | 49 |
See Notes to Financial Statements. | 193 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
WF-RBS Commercial Mortgage Trust Series 2014-C21 Class XB | 0.643% | #(f) | 8/15/2047 | $ | 15,000,000 | $ | 112,210 | ||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $233,469,614) | 209,937,306 | ||||||||||||
Total Long-Term Investments (cost $1,662,081,706) | 1,582,078,353 | ||||||||||||
SHORT-TERM INVESTMENTS 1.57% | |||||||||||||
U.S. TREASURY OBLIGATIONS 1.01% | |||||||||||||
U.S. Treasury Bills (Cost $17,296,052) | Zero Coupon | 11/24/2023 | 17,745,000 | 17,293,868 | |||||||||
REPURCHASE AGREEMENTS 0.56% | |||||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $4,258,700 of U.S. Treasury Note at 4.000% due 2/15/2026; value: $4,238,904; proceeds: $4,156,027 (cost 4,155,727) | 4,155,727 | 4,155,727 | |||||||||||
Repurchase Agreement dated 5/31/2023, 5.100% due 6/1/2023 with TD Securities USA LLC collateralized by $5,728,000 of U.S. Treasury Bond at 3.875% due 5/15/2043; value: $5,615,074; proceeds: $5,500,451 (cost $5,499,672) | 5,499,672 | 5,499,672 | |||||||||||
Total Repurchase Agreements (cost $9,655,399) | 9,655,399 | ||||||||||||
Total Short-Term Investments (cost $26,951,451) | 26,949,267 | ||||||||||||
Total Investments in Securities 93.80% (cost $1,689,033,157) | 1,609,027,620 | ||||||||||||
Other Assets and Liabilities – Net(h) 6.20% | 106,353,961 | ||||||||||||
Net Assets 100.00% | $ | 1,715,381,581 |
CMT | Constant Maturity Rate. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $962,761,622, which represents 56.13% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
* | Non-income producing security. | |
(a) | Level 3 Investment as described in Note 2(u) 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) | Defaulted (non-income producing security). | |
(d) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. |
194 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
(e) | Interest Rate to be determined. | |
(f) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(g) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(h) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts and swap contracts as follows: |
Centrally Cleared Interest Rate Swap Contracts at May 31, 2023:
Central Clearingparty | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Value/Unrealized Appreciation | ||||||||||
Bank of America(1) | 0.173% | 3-Month USD SOFR Index | 10/21/2025 | $ | 165,637 | $ | 14,650 | ||||||||
Central Clearingparty | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Value/Unrealized Depreciation | ||||||||||
Bank of America(1) FedFunds | 3-Month USD Index | 0.184% | 10/21/2025 | $ | 165,637 | $ | (14,658 | ) |
SOFR | Secured Overnight Financing Rate. |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at May 31, 2023:
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 | Value/Unrealized Appreciation | |||||||||
Bank of America | 0.760% | CPI Urban Consumer NSA | 3/31/2025 | $ | 15,000,000 | $ | 2,423,359 | |||||||
Bank of America | 0.903% | CPI Urban Consumer NSA | 4/7/2025 | 15,000,000 | 2,325,039 | |||||||||
Bank of America | 1.756% | CPI Urban Consumer NSA | 11/15/2024 | 10,000,000 | 1,168,348 | |||||||||
Bank of America | 1.888% | CPI Urban Consumer NSA | 10/2/2029 | 5,000,000 | 702,257 | |||||||||
Bank of America | 1.935% | CPI Urban Consumer NSA | 9/1/2029 | 5,000,000 | 704,253 | |||||||||
Bank of America | 1.953% | CPI Urban Consumer NSA | 10/15/2029 | 7,000,000 | 939,198 | |||||||||
Bank of America | 1.964% | CPI Urban Consumer NSA | 11/27/2029 | 5,000,000 | 660,499 | |||||||||
Bank of America | 1.976% | CPI Urban Consumer NSA | 12/2/2028 | 10,000,000 | 1,260,714 | |||||||||
Bank of America | 1.980% | CPI Urban Consumer NSA | 10/14/2029 | 5,000,000 | 659,727 | |||||||||
Bank of America | 2.085% | CPI Urban Consumer NSA | 12/10/2028 | 10,000,000 | 1,177,568 | |||||||||
Bank of America | 2.107% | CPI Urban Consumer NSA | 2/21/2031 | 5,000,000 | 594,217 | |||||||||
Bank of America | 2.112% | CPI Urban Consumer NSA | 12/8/2029 | 5,000,000 | 596,688 | |||||||||
Bank of America | 2.113% | CPI Urban Consumer NSA | 12/29/2027 | 5,000,000 | 559,824 |
See Notes to Financial Statements. | 195 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
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 | Value/Unrealized Appreciation | |||||||||
Bank of America | 2.119% | CPI Urban Consumer NSA | 2/11/2031 | $ | 15,000,000 | $ | 1,746,064 | |||||||
Bank of America | 2.255% | CPI Urban Consumer NSA | 1/27/2024 | 50,000,000 | 192,168 | |||||||||
Bank of America | 2.269% | CPI Urban Consumer NSA | 10/30/2030 | 10,000,000 | 965,856 | |||||||||
Bank of America | 2.285% | CPI Urban Consumer NSA | 5/31/2028 | 10,000,000 | 898,696 | |||||||||
Bank of America | 2.295% | CPI Urban Consumer NSA | 1/15/2046 | 5,000,000 | 530,625 | |||||||||
Bank of America | 2.310% | CPI Urban Consumer NSA | 6/1/2028 | 10,000,000 | 877,279 | |||||||||
Bank of America | 2.335% | CPI Urban Consumer NSA | 11/17/2036 | 8,000,000 | 764,185 | |||||||||
Bank of America | 2.335% | CPI Urban Consumer NSA | 11/21/2036 | 10,000,000 | 953,772 | |||||||||
Bank of America | 2.341% | CPI Urban Consumer NSA | 8/27/2028 | 10,000,000 | 823,670 | |||||||||
Bank of America | 2.343% | CPI Urban Consumer NSA | 9/11/2028 | 10,000,000 | 825,359 | |||||||||
Bank of America | 2.344% | CPI Urban Consumer NSA | 3/15/2029 | 5,000,000 | 422,001 | |||||||||
Bank of America | 2.345% | CPI Urban Consumer NSA | 8/14/2028 | 10,000,000 | 817,531 | |||||||||
Bank of America | 2.353% | CPI Urban Consumer NSA | 6/6/2028 | 10,000,000 | 832,012 | |||||||||
Bank of America | 2.365% | CPI Urban Consumer NSA | 1/30/2038 | 10,000,000 | 875,070 | |||||||||
Bank of America | 2.365% | CPI Urban Consumer NSA | 9/29/2052 | 31,000,000 | 469,805 | |||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 4/18/2030 | 25,000,000 | 2,059,708 | |||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 2/28/2038 | 5,000,000 | 433,383 | |||||||||
Bank of America | 2.375% | CPI Urban Consumer NSA | 8/9/2028 | 10,000,000 | 786,651 | |||||||||
Bank of America | 2.379% | CPI Urban Consumer NSA | 9/21/2028 | 15,000,000 | 1,187,786 | |||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 7/6/2028 | 10,000,000 | 793,981 | |||||||||
Bank of America | 2.384% | CPI Urban Consumer NSA | 10/1/2028 | 10,000,000 | 790,940 | |||||||||
Bank of America | 2.390% | CPI Urban Consumer NSA | 8/3/2028 | 10,000,000 | 770,023 | |||||||||
Bank of America | 2.393% | CPI Urban Consumer NSA | 5/11/2028 | 10,000,000 | 776,392 | |||||||||
Bank of America | 2.396% | CPI Urban Consumer NSA | 10/9/2028 | 10,000,000 | 781,479 | |||||||||
Bank of America | 2.400% | CPI Urban Consumer NSA | 4/26/2030 | 10,000,000 | 784,662 | |||||||||
Bank of America | 2.408% | CPI Urban Consumer NSA | 5/21/2028 | 5,000,000 | 384,944 |
196 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
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 | Value/Unrealized Appreciation | ||||||||||
Bank of America | 2.410% | CPI Urban Consumer NSA | 3/15/2031 | $ | 5,000,000 | $ | 460,354 | ||||||||
Bank of America | 2.425% | CPI Urban Consumer NSA | 3/16/2031 | 20,000,000 | 1,811,123 | ||||||||||
Bank of America | 2.437% | CPI Urban Consumer NSA | 9/7/2037 | 10,000,000 | 631,160 | ||||||||||
Bank of America | 2.468% | CPI Urban Consumer NSA | 4/28/2031 | 10,000,000 | 845,754 | ||||||||||
Bank of America | 2.477% | CPI Urban Consumer NSA | 6/11/2036 | 10,000,000 | 754,860 | ||||||||||
Bank of America | 2.481% | CPI Urban Consumer NSA | 8/12/2036 | 15,000,000 | 950,987 | ||||||||||
Bank of America | 2.484% | CPI Urban Consumer NSA | 6/25/2030 | 20,000,000 | 1,528,340 | ||||||||||
Bank of America | 2.493% | CPI Urban Consumer NSA | 6/28/2030 | 25,000,000 | 1,879,262 | ||||||||||
Bank of America | 2.496% | CPI Urban Consumer NSA | 3/31/2031 | 15,000,000 | 1,247,385 | ||||||||||
Bank of America | 2.510% | CPI Urban Consumer NSA | 6/30/2030 | 20,000,000 | 1,464,360 | ||||||||||
Bank of America | 2.522% | CPI Urban Consumer NSA | 5/28/2036 | 15,000,000 | 1,070,207 | ||||||||||
Bank of America | 2.559% | CPI Urban Consumer NSA | 6/1/2030 | 20,000,000 | 1,483,158 | ||||||||||
Bank of America | 2.585% | CPI Urban Consumer NSA | 5/12/2036 | 15,000,000 | 959,502 | ||||||||||
Bank of America | 2.593% | CPI Urban Consumer NSA | 5/17/2036 | 10,000,000 | 626,944 | ||||||||||
Bank of America | 3.150% | CPI Urban Consumer NSA | 3/2/2027 | 80,000,000 | 414,674 | ||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 51,443,803 |
See Notes to Financial Statements. | 197 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at May 31, 2023:
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 | Value/Unrealized Depreciation | ||||||||||
Bank of America | 2.500% | CPI Urban Consumer NSA | 10/4/2025 | $ | 50,000,000 | $ | (47,042 | ) | |||||||
Bank of America | 2.578% | CPI Urban Consumer NSA | 10/28/2052 | 10,000,000 | (355,866 | ) | |||||||||
Bank of America | 2.638% | CPI Urban Consumer NSA | 11/15/2051 | 35,000,000 | (143,408 | )(1) | |||||||||
Bank of America | 2.665% | CPI Urban Consumer NSA | 3/9/2052 | 27,000,000 | (752,962 | )(2) | |||||||||
Bank of America | 2.700% | CPI Urban Consumer NSA | 10/15/2024 | 70,000,000 | (175,051 | ) | |||||||||
Bank of America | 2.754% | CPI Urban Consumer NSA | 4/14/2052 | 20,000,000 | (1,128,888 | ) | |||||||||
Bank of America | 2.788% | CPI Urban Consumer NSA | 6/8/2026 | 5,000,000 | (286,006 | ) | |||||||||
Bank of America | 2.850% | CPI Urban Consumer NSA | 10/28/2027 | 30,000,000 | (507,521 | ) | |||||||||
Total Unrealized Depreciation on Centrally Cleared CPI Swap Contracts | $ | (3,396,744 | ) |
(1) | Unrealized depreciation on Centrally Cleared CPI Swap Contract is $195,620, which includes upfront payment of $52,212. Upfront payments paid (received) by Central Clearing Party are presented net of amortization. | |
(2) | Unrealized depreciation on Centrally Cleared CPI Swap Contract is $1,544,736 which includes upfront payment of $791,774. Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
Consumer Price Index (“CPI”) OTC Swap Contracts at May 31, 2023:
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 | Value/Unrealized Appreciation | |||||||||
Bank of America | 1.676% | CPI Urban Consumer NSA | 8/4/2026 | $ | 15,000,000 | $ | 2,305,275 | |||||||
Bank of America | 1.747% | CPI Urban Consumer NSA | 8/22/2026 | 20,000,000 | 2,903,801 | |||||||||
Bank of America | 2.080% | CPI Urban Consumer NSA | 4/22/2025 | 10,000,000 | 1,020,852 | |||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 4/26/2025 | 10,000,000 | 1,009,278 | |||||||||
Bank of America | 2.144% | CPI Urban Consumer NSA | 7/24/2029 | 10,000,000 | 1,151,730 | |||||||||
Bank of America | 2.148% | CPI Urban Consumer NSA | 7/31/2029 | 10,000,000 | 1,149,969 | |||||||||
Bank of America | 2.213% | CPI Urban Consumer NSA | 10/25/2032 | 5,000,000 | 580,225 | |||||||||
Bank of America | 2.275% | CPI Urban Consumer NSA | 1/6/2026 | 20,000,000 | 1,779,493 | |||||||||
Bank of America | 2.298% | CPI Urban Consumer NSA | 4/5/2029 | 5,000,000 | 445,896 | |||||||||
Bank of America | 2.301% | CPI Urban Consumer NSA | 3/28/2029 | 5,000,000 | 444,483 | |||||||||
Bank of America | 2.348% | CPI Urban Consumer NSA | 3/10/2032 | 5,000,000 | 443,407 |
198 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
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 | Value/Unrealized Appreciation | |||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/8/2029 | $ | 10,000,000 | $ | 839,813 | |||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/15/2029 | 10,000,000 | 837,560 | |||||||||
Bank of America | 2.363% | CPI Urban Consumer NSA | 6/21/2027 | 20,000,000 | 1,611,193 | |||||||||
Bank of America | 2.363% | CPI Urban Consumer NSA | 2/1/2038 | 5,000,000 | 440,519 | |||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 1/26/2029 | 5,000,000 | 413,732 | |||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 2/27/2029 | 10,000,000 | 820,958 | |||||||||
Bank of America | 2.376% | CPI Urban Consumer NSA | 2/26/2038 | 5,000,000 | 427,236 | |||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/13/2029 | 10,000,000 | 808,201 | |||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/18/2029 | 10,000,000 | 812,606 | |||||||||
Bank of America | 2.398% | CPI Urban Consumer NSA | 1/24/2029 | 10,000,000 | 791,743 | |||||||||
Bank of America | 2.398% | CPI Urban Consumer NSA | 2/12/2033 | 5,000,000 | 415,357 | |||||||||
Bank of America | 2.590% | CPI Urban Consumer NSA | 6/26/2023 | 40,000,000 | 816,345 | |||||||||
Barclays Bank plc | 1.874% | CPI Urban Consumer NSA | 4/11/2026 | 10,000,000 | 1,350,589 | |||||||||
Barclays Bank plc | 1.944% | CPI Urban Consumer NSA | 3/22/2041 | 5,000,000 | 909,416 | |||||||||
Barclays Bank plc | 1.960% | CPI Urban Consumer NSA | 2/5/2025 | 10,000,000 | 1,002,965 | |||||||||
Barclays Bank plc | 2.128% | CPI Urban Consumer NSA | 6/22/2025 | 10,000,000 | 958,321 | |||||||||
Barclays Bank plc | 2.158% | CPI Urban Consumer NSA | 12/2/2024 | 10,000,000 | 1,000,994 | |||||||||
Barclays Bank plc | 2.159% | CPI Urban Consumer NSA | 11/25/2024 | 15,000,000 | 1,505,804 | |||||||||
Barclays Bank plc | 2.205% | CPI Urban Consumer NSA | 12/9/2024 | 15,000,000 | 1,434,981 | |||||||||
Barclays Bank plc | 2.207% | CPI Urban Consumer NSA | 1/11/2025 | 20,000,000 | 1,884,196 | |||||||||
Barclays Bank plc | 2.223% | CPI Urban Consumer NSA | 12/30/2023 | 30,000,000 | 2,893,739 | |||||||||
Barclays Bank plc | 2.228% | CPI Urban Consumer NSA | 12/5/2024 | 15,000,000 | 1,408,294 | |||||||||
Barclays Bank plc | 2.354% | CPI Urban Consumer NSA | 12/23/2031 | 10,000,000 | 888,131 | |||||||||
Barclays Bank plc | 2.393% | CPI Urban Consumer NSA | 12/13/2031 | 5,000,000 | 415,304 | |||||||||
Barclays Bank plc | 2.410% | CPI Urban Consumer NSA | 2/1/2032 | 10,000,000 | 802,954 | |||||||||
Deutsche Bank AG | 2.465% | CPI Urban Consumer NSA | 11/30/2031 | 5,000,000 | 30,387 |
See Notes to Financial Statements. | 199 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
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 | Value/Unrealized Appreciation | ||||||||||
Deutsche Bank AG | 2.518% | CPI Urban Consumer NSA | 4/17/2026 | $ | 15,000,000 | $ | 311,450 | ||||||||
Goldman Sachs | 1.568% | CPI Urban Consumer NSA | 3/2/2024 | 8,000,000 | 1,232,203 | ||||||||||
Goldman Sachs | 1.649% | CPI Urban Consumer NSA | 3/4/2024 | 5,000,000 | 734,878 | ||||||||||
Goldman Sachs | 2.230% | CPI Urban Consumer NSA | 12/14/2024 | 10,000,000 | 931,416 | ||||||||||
Goldman Sachs | 2.317% | CPI Urban Consumer NSA | 3/16/2029 | 5,000,000 | 439,015 | ||||||||||
Goldman Sachs | 2.350% | CPI Urban Consumer NSA | 12/16/2036 | 10,000,000 | 913,631 | ||||||||||
Goldman Sachs | 2.370% | CPI Urban Consumer NSA | 5/16/2028 | 10,000,000 | 804,605 | ||||||||||
Goldman Sachs | 2.372% | CPI Urban Consumer NSA | 5/3/2030 | 5,000,000 | 410,288 | ||||||||||
Goldman Sachs | 2.378% | CPI Urban Consumer NSA | 4/17/2030 | 5,000,000 | 407,746 | ||||||||||
Goldman Sachs | 2.380% | CPI Urban Consumer NSA | 12/8/2031 | 10,000,000 | 853,501 | ||||||||||
Goldman Sachs | 2.390% | CPI Urban Consumer NSA | 2/7/2032 | 5,000,000 | 415,248 | ||||||||||
J.P. Morgan | 1.950% | CPI Urban Consumer NSA | 10/14/2026 | 10,000,000 | 1,267,221 | ||||||||||
J.P. Morgan | 2.074% | CPI Urban Consumer NSA | 11/21/2023 | 35,000,000 | 2,840,449 | ||||||||||
Unrealized Appreciation on CPI OTC Swap Contracts | $ | 50,317,398 |
Consumer Price Index (“CPI”) OTC Swap Contracts at May 31, 2023:
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 | Value/Unrealized Depreciation | |||||||||
Bank of America | 2.825% | CPI Urban Consumer NSA | 7/22/2023 | $ | 5,000,000 | $ | (249,112 | ) | ||||||
Bank of America | CPI Urban Consumer NSA | 1.645% | 10/1/2025 | 15,000,000 | (2,155,917 | ) | ||||||||
Bank of America | CPI Urban Consumer NSA | 1.813% | 3/31/2026 | 5,000,000 | (699,869 | ) | ||||||||
Barclays Bank plc | 2.945% | CPI Urban Consumer NSA | 3/5/2038 | 15,000,000 | (1,810,664 | ) | ||||||||
Credit Suisse | 2.864% | CPI Urban Consumer NSA | 3/22/2032 | 8,000,000 | (694,521 | ) | ||||||||
Deutsche Bank AG | 2.505% | CPI Urban Consumer NSA | 12/7/2031 | 5,000,000 | (15,976 | ) | ||||||||
Deutsche Bank AG | 2.750% | CPI Urban Consumer NSA | 3/30/2032 | 6,000,000 | (351,326 | ) |
200 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2023
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 | Value/Unrealized Depreciation | |||||||||
Deutsche Bank AG | 3.010% | CPI Urban Consumer NSA | 2/15/2033 | $ | 15,000,000 | $ | (1,692,192 | ) | ||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.618% | 8/25/2023 | 15,000,000 | (2,102,102 | ) | ||||||||
Goldman Sachs | 2.945% | CPI Urban Consumer NSA | 1/16/2038 | 15,000,000 | (1,906,107 | ) | ||||||||
Goldman Sachs | 2.980% | CPI Urban Consumer NSA | 2/7/2033 | 10,000,000 | (1,061,001 | ) | ||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.063% | 12/8/2024 | 15,000,000 | (1,207,050 | ) | ||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 4/5/2032 | 5,000,000 | (373,060 | ) | ||||||||
J.P. Morgan | 2.955% | CPI Urban Consumer NSA | 7/15/2026 | 5,000,000 | (468,551 | ) | ||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.645% | 8/27/2023 | 5,000,000 | (689,307 | ) | ||||||||
Unrealized Depreciation on CPI OTC Swap Contracts | $ | (15,476,755 | ) |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2023 | 3,851 | Long | $ | 792,417,932 | $ | 792,644,113 | $ | 226,181 | |||||||||
U.S. 5-Year Treasury Note | September 2023 | 293 | Short | (31,985,135 | ) | (31,959,890 | ) | 25,245 | ||||||||||
U.S. 10-Year Ultra Treasury Bond | September 2023 | 210 | Long | 25,183,898 | 25,295,156 | 111,258 | ||||||||||||
U.S. Ultra Treasury Bond | September 2023 | 1,002 | Long | 135,143,740 | 137,148,750 | 2,005,010 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 2,367,694 |
See Notes to Financial Statements. | 201 |
Schedule of Investments (unaudited)(concluded)
INFLATION FOCUSED FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 273,382,054 | $ | 3,410,633 | $ | 276,792,687 | ||||||||
Remaining Industries | – | 151,499,074 | – | 151,499,074 | ||||||||||||
Common Stocks | 108 | – | – | 108 | ||||||||||||
Corporate Bonds | – | 897,353,541 | – | 897,353,541 | ||||||||||||
Floating Rate Loans | – | 44,467,704 | – | 44,467,704 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 309,259 | 2,729 | 311,988 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 1,397,127 | – | 1,397,127 | ||||||||||||
Municipal Bonds | – | 318,818 | – | 318,818 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 209,937,306 | – | 209,937,306 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Obligations | – | 17,293,868 | – | 17,293,868 | ||||||||||||
Repurchase Agreements | – | 9,655,399 | – | 9,655,399 | ||||||||||||
Total | $ | 108 | $ | 1,605,614,150 | $ | 3,413,362 | $ | 1,609,027,620 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 14,650 | $ | – | $ | 14,650 | ||||||||
Liabilities | – | (14,658 | ) | – | (14,658 | ) | ||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 51,443,803 | – | 51,443,803 | ||||||||||||
Liabilities | – | (3,396,744 | ) | – | (3,396,744 | ) | ||||||||||
OTC CPI Swap Contracts | ||||||||||||||||
Assets | – | 50,317,398 | – | 50,317,398 | ||||||||||||
Liabilities | – | (15,476,755 | ) | – | (15,476,755 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 2,367,694 | – | – | 2,367,694 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 2,367,694 | $ | 82,887,694 | $ | – | $ | 85,255,388 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period 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 period.
202 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 95.90% | ||||||||||||
ASSET-BACKED SECURITIES 17.14% | ||||||||||||
Automobiles 6.78% | ||||||||||||
Avid Automobile Receivables Trust Series 2021-1 Class C† | 1.55% | 5/15/2026 | $ | 830,000 | $ | 804,308 | ||||||
Avis Budget Rental Car Funding AESOP LLC Series 2018-2A Class A† | 4.00% | 3/20/2025 | 700,000 | 692,126 | ||||||||
CarMax Auto Owner Trust Series 2020-1 Class D | 2.64% | 7/15/2026 | 125,000 | 121,474 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class A3 | 4.75% | 10/15/2027 | 430,000 | 427,867 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class C | 5.19% | 1/16/2029 | 1,450,000 | 1,440,203 | ||||||||
Carvana Auto Receivables Trust Series 2020-P1 Class C | 1.32% | 11/9/2026 | 400,000 | 359,016 | ||||||||
CPS Auto Receivables Trust Series 2022-A Class A† | 0.98% | 4/16/2029 | 215,781 | 213,914 | ||||||||
Credit Acceptance Auto Loan Trust Series 2021-3A Class A† | 1.00% | 5/15/2030 | 825,000 | 802,821 | ||||||||
Drive Auto Receivables Trust Series 2020-2 Class C | 2.28% | 8/17/2026 | 200,687 | 199,752 | ||||||||
First Investors Auto Owner Trust Series 2021-2A Class A† | 0.48% | 3/15/2027 | 314,850 | 305,228 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A2† | 4.06% | 10/15/2025 | 409,276 | 406,015 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 1,400,000 | 1,377,661 | ||||||||
Flagship Credit Auto Trust Series 2022-4 Class A2† | 6.15% | 9/15/2026 | 478,453 | 478,249 | ||||||||
Flagship Credit Auto Trust Series 2022-4 Class A3† | 6.32% | 6/15/2027 | 605,000 | 612,048 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A3† | 5.01% | 8/16/2027 | 975,000 | 964,464 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class A3 | 4.94% | 3/15/2026 | 1,500,000 | 1,490,839 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-1A Class C† | 1.20% | 1/15/2027 | 421,445 | 415,603 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-3A Class B† | 0.78% | 11/17/2025 | 371,398 | 366,336 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-3A Class C† | 1.11% | 9/15/2026 | 460,000 | 434,993 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class A3 | 5.05% | 7/20/2026 | 910,000 | 907,760 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class B | 5.54% | 5/20/2027 | 1,010,000 | 1,006,933 | ||||||||
Hertz Vehicle Financing III LP Series 2021-2A Class A† | 1.68% | 12/27/2027 | 620,000 | 546,562 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 265,000 | 247,460 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1 Class A† | 3.63% | 9/14/2027 | 584,000 | 564,194 |
See Notes to Financial Statements. | 203 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
OneMain Direct Auto Receivables Trust Series 2019-1A Class C† | 4.19% | 11/14/2028 | $ | 753,000 | $ | 710,404 | ||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A† | 0.87% | 7/14/2028 | 340,000 | 319,655 | ||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class B† | 1.26% | 7/14/2028 | 317,000 | 285,689 | ||||||||
PenFed Auto Receivables Owner Trust Series 2022-A Class A3† | 3.96% | 4/15/2026 | 1,275,000 | 1,252,270 | ||||||||
Prestige Auto Receivables Trust Series 2022-1A Class B† | 6.55% | 7/17/2028 | 1,215,000 | 1,223,414 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class C† | 1.29% | 4/15/2026 | 681,000 | 661,621 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class D† | 2.14% | 12/15/2026 | 1,155,000 | 1,106,435 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class B | 4.43% | 3/15/2027 | 1,085,000 | 1,063,706 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class B | 4.72% | 6/15/2027 | 1,505,000 | 1,477,061 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class A3† | 5.21% | 1/18/2028 | 1,260,000 | 1,252,377 | ||||||||
World Omni Automobile Lease Securitization Trust Series 2022-A Class A3 | 3.21% | 2/18/2025 | 400,000 | 391,844 | ||||||||
Total | 24,930,302 | |||||||||||
Credit Card 1.53% | ||||||||||||
American Express Credit Account Master Trust Series 2022-2 Class A | 3.39% | 5/15/2027 | 785,000 | 763,528 | ||||||||
BA Credit Card Trust Series 2022-A2 Class A2 | 5.00% | 4/15/2028 | 765,000 | 769,421 | ||||||||
Capital One Multi-Asset Execution Trust Series 2005-B3 Class B3 | 5.81% (3 mo. USD LIBOR + 0.55% | )# | 5/15/2028 | 1,225,000 | 1,207,888 | |||||||
Continental Finance Credit Card ABS Master Trust Series 2020-1A Class A† | 2.24% | 12/15/2028 | 600,000 | 572,349 | ||||||||
Discover Card Execution Note Trust Series 2022-A4 Class A | 5.03% | 10/15/2027 | 565,000 | 567,943 | ||||||||
Master Credit Card Trust Series 2021-1A Class B† | 0.79% | 11/21/2025 | 1,200,000 | 1,137,728 | ||||||||
Newday Funding Master Issuer PLC Series 2021-1A Class A2† | 6.166% (SOFR + 1.10% | )# | 3/15/2029 | 600,000 | 597,791 | |||||||
Total | 5,616,648 |
204 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other 8.28% | ||||||||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A† | 6.508% (1 mo. USD LIBOR + 1.40% | )# | 1/15/2037 | $ | 670,000 | $ | 650,752 | |||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | 243,238 | 236,850 | ||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 925,000 | 922,968 | ||||||||
AMMC CLO Ltd. Series 2020-23A Class A1R† | 6.30% (3 mo. USD LIBOR + 1.04% | )# | 10/17/2031 | 750,000 | 740,694 | |||||||
Amur Equipment Finance Receivables IX LLC Series 2021-1A Class D† | 2.30% | 11/22/2027 | 675,000 | 623,761 | ||||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 194,617 | 173,415 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.177% (1 mo. USD LIBOR + 1.07% | )# | 8/15/2034 | 460,000 | 445,664 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4 Class A† | 6.457% (1 mo. USD LIBOR + 1.35% | )# | 11/15/2036 | 560,000 | 548,349 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1 Class A† | 6.322% (30 day USD SOFR Average + 1.45% | )# | 1/15/2037 | 1,000,000 | 982,048 | |||||||
Bain Capital Credit CLO Series 2018-2A Class A1† | 6.345% (3 mo. USD LIBOR + 1.08% | )# | 7/19/2031 | 750,000 | 743,271 | |||||||
BDS Ltd. Series 2020-FL5 Class A† | 6.332% (1 mo. USD Term SOFR + 1.26% | )# | 2/16/2037 | 110,417 | 109,262 | |||||||
BDS Ltd. Series 2021-FL7 Class A† | 6.181% (1 mo. USD LIBOR + 1.07% | )# | 6/16/2036 | 500,000 | 487,148 | |||||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2029 | 238,274 | 235,049 | |||||||
BSPRT Issuer Ltd. Series 2021-FL7 Class A† | 6.427% (1 mo. USD LIBOR + 1.32% | )# | 12/15/2038 | 380,000 | 370,493 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-1A Class A1AR† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 4/20/2031 | 750,000 | 738,479 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.15% (3 mo. USD LIBOR + 0.90% | )# | 7/20/2029 | 226,630 | 224,098 | |||||||
Dell Equipment Finance Trust Series 2021-2 Class B† | 0.81% | 12/22/2026 | 460,000 | 438,925 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class C† | 0.94% | 12/22/2026 | 460,000 | 439,015 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class D† | 1.21% | 6/22/2027 | 460,000 | 438,434 | ||||||||
Dryden 53 CLO Ltd. Series 2017-53A Class A† | 6.38% (3 mo. USD LIBOR + 1.12% | )# | 1/15/2031 | 390,716 | 387,190 |
See Notes to Financial Statements. | 205 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Dryden XXVI Senior Loan Fund Series 2013-26A Class AR† | 6.16% (3 mo. USD LIBOR + 0.90% | )# | 4/15/2029 | $ | 225,910 | $ | 223,480 | |||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.223% (3 mo. USD LIBOR + 0.95% | )# | 7/24/2030 | 164,030 | 161,981 | |||||||
Greystone CRE Notes Ltd. Series 2021-FL3 Class A† | 6.194% (1 mo. USD Term SOFR + 1.13% | )# | 7/15/2039 | 460,000 | 447,459 | |||||||
HGI CRE CLO Ltd. Series 2021-FL1 Class A† | 6.155% (1 mo. USD LIBOR + 1.05% | )# | 6/16/2036 | 456,713 | 446,603 | |||||||
HGI CRE CLO Ltd. Series 2021-FL1 Class B† | 6.705% (1 mo. USD LIBOR + 1.60% | )# | 6/16/2036 | 100,000 | 94,646 | |||||||
KKR CLO Ltd. Series 29A Class A† | 6.46% (3 mo. USD LIBOR + 1.20% | )# | 1/15/2032 | 250,000 | 247,685 | |||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.178% (1 mo. USD LIBOR + 1.07% | )# | 2/15/2039 | 360,000 | 347,414 | |||||||
KREF Ltd. Series 2021-FL2 Class AS† | 6.408% (1 mo. USD LIBOR + 1.30% | )# | 2/15/2039 | 360,000 | 341,100 | |||||||
LCM XXII Ltd. Series 22A Class A1R† | 6.41% (3 mo. USD LIBOR + 1.16% | )# | 10/20/2028 | 173,525 | 172,284 | |||||||
Lendmark Funding Trust Series 2022-1A Class B† | 5.62% | 7/20/2032 | 715,000 | 699,800 | ||||||||
LFT CRE Ltd. Series 2021-FL1 Class B† | 6.857% (1 mo. USD LIBOR + 1.75% | )# | 6/15/2039 | 730,000 | 707,319 | (a) | ||||||
LMREC LLC Series 2021-CRE4 Class A† | 6.177% (1 mo. USD LIBOR + 1.05% | )# | 4/22/2037 | 200,888 | 196,804 | |||||||
LoanCore Issuer Ltd. Series 2019-CRE2 Class C† | 7.107% (1 mo. USD LIBOR + 2.00% | )# | 5/15/2036 | 630,000 | 575,281 | (a) | ||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.456% (30 day USD SOFR Average + 1.55% | )# | 1/17/2037 | 560,000 | 550,521 | |||||||
Madison Park Funding LIX Ltd. Series 2021-59A Class A† | 6.402% (3 mo. USD LIBOR + 1.14% | )# | 1/18/2034 | 1,250,000 | 1,234,672 | |||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.173% (3 mo. USD LIBOR + 0.90% | )# | 7/23/2029 | 233,904 | 231,401 | |||||||
Magnetite Xxix Ltd. Series 2021-29A Class A† | 6.25% (3 mo. USD LIBOR + 0.99% | )# | 1/15/2034 | 250,000 | 246,506 | |||||||
Mariner Finance Issuance Trust Series 2022-AA Class A† | 6.45% | 10/20/2037 | 690,000 | 693,215 | ||||||||
Marlette Funding Trust Series 2020-2A Class D† | 4.65% | 9/16/2030 | 342,067 | 335,635 | ||||||||
Marlette Funding Trust Series 2021-1A Class B† | 1.00% | 6/16/2031 | 137,458 | 136,958 | ||||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 1,124,225 | 1,098,509 |
206 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
MF1 Ltd. Series 2021-FL7 Class A† | 6.191% (1 mo. USD LIBOR + 1.08% | )# | 10/16/2036 | $ | 240,000 | $ | 233,400 | |||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.35% (3 mo. USD LIBOR + 1.09% | )# | 10/16/2029 | 338,067 | 335,681 | |||||||
MVW Owner Trust Series 2017-1A Class A† | 2.42% | 12/20/2034 | 121,877 | 120,657 | ||||||||
Newark BSL CLO 1 Ltd. Series 2016-1A Class A1R† | 6.44% (3 mo. USD Term SOFR + 1.36% | )# | 12/21/2029 | 461,009 | 457,396 | |||||||
OCP CLO Ltd. Series 2020-18A Class AR† | 6.34% (3 mo. USD LIBOR + 1.09% | )# | 7/20/2032 | 900,000 | 886,506 | |||||||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R† | 6.25% (3 mo. USD LIBOR + 1.00% | )# | 3/17/2030 | 719,560 | 711,285 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.21% (3 mo. USD LIBOR + 0.95% | )# | 7/15/2029 | 233,854 | 231,988 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 262,282 | 258,135 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class C† | 2.76% | 9/14/2035 | 690,000 | 606,878 | ||||||||
Pagaya AI Debt Selection Trust Series 2021-1 Class A† | 1.18% | 11/15/2027 | 29,778 | 29,653 | ||||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 348,545 | 338,713 | ||||||||
Post Road Equipment Finance Series 2021-1 Class A2† | 4.88% | 11/15/2028 | 848,000 | 825,700 | ||||||||
Post Road Equipment Finance Series 2021-1 Class B† | 1.21% | 2/16/2027 | 800,000 | 781,608 | ||||||||
Rad CLO 2 Ltd. Series 2018-2A Class AR† | 6.34% (3 mo. USD LIBOR + 1.08% | )# | 10/15/2031 | 270,000 | 267,053 | |||||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.63% (3 mo. USD LIBOR + 1.38% | )# | 1/20/2033 | 1,308,000 | 1,293,874 | |||||||
Regatta Funding LP Series 2013-2A Class A1R3† | 6.11% (3 mo. USD LIBOR + 0.85% | )# | 1/15/2029 | 191,761 | 190,510 | |||||||
RR 3 Ltd. Series 2018-3A Class A1R2† | 6.35% (3 mo. USD LIBOR + 1.09% | )# | 1/15/2030 | 642,850 | 638,177 | |||||||
SCF Equipment Leasing LLC Series 2019-2A Class B† | 2.76% | 8/20/2026 | 500,000 | 485,060 | ||||||||
SCF Equipment Leasing LLC Series 2020-1A Class B† | 2.02% | 3/20/2028 | 875,000 | 839,070 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class B† | 1.37% | 8/20/2029 | 1,000,000 | 923,744 | ||||||||
TICP CLO XIV Ltd. Series 2019-14A Class A1R† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 10/20/2032 | 400,000 | 392,328 | |||||||
Upstart Securitization Trust Series 2021-2 Class A† | 0.91% | 6/20/2031 | 61,184 | 60,872 | ||||||||
Verizon Master Trust Series 2022-7 Class A1A | 5.23% | 11/22/2027 | 405,000 | 404,617 | ||||||||
Total | 30,438,043 |
See Notes to Financial Statements. | 207 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Rec Vehicle Loan 0.40% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | $ | 231,636 | $ | 224,619 | ||||||
Octane Receivables Trust Series 2022-1A Class A2† | 4.18% | 3/20/2028 | 226,300 | 222,235 | ||||||||
Octane Receivables Trust Series 2022-2A Class B† | 5.85% | 7/20/2028 | 1,036,000 | 1,027,501 | ||||||||
Total | 1,474,355 | |||||||||||
Student Loan 0.15% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-FA Class A† | 1.22% | 7/15/2069 | 206,732 | 185,026 | ||||||||
Navient Private Education Refi Loan Trust Series 2022-A Class A† | 2.23% | 7/15/2070 | 398,735 | 350,738 | ||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 5.738% (1 mo. USD LIBOR + 0.60% | )# | 1/25/2046 | 10,656 | 10,596 | |||||||
Total | 546,360 | |||||||||||
Total Asset-Backed Securities (cost $64,557,852) | 63,005,708 | |||||||||||
CORPORATE BONDS 61.11% | ||||||||||||
Aerospace/Defense 0.84% | ||||||||||||
Boeing Co. | 1.433% | 2/4/2024 | 1,825,000 | 1,770,671 | ||||||||
Hexcel Corp. | 4.95% | 8/15/2025 | 1,345,000 | 1,326,603 | ||||||||
Total | 3,097,274 | |||||||||||
Agriculture 1.77% | ||||||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 890,000 | 857,847 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(b) | 3.125% | 7/26/2024 | 600,000 | 579,391 | ||||||||
Philip Morris International, Inc. | 4.875% | 2/13/2026 | 247,000 | 246,582 | ||||||||
Philip Morris International, Inc. | 5.00% | 11/17/2025 | 267,000 | 267,541 | ||||||||
Philip Morris International, Inc. | 5.125% | 11/15/2024 | 822,000 | 822,681 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 2,000,000 | 1,957,482 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 2.00% | 4/21/2026 | 1,800,000 | 1,601,697 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 4.90% | 4/21/2027 | 200,000 | 191,829 | ||||||||
Total | 6,525,050 | |||||||||||
Apparel 0.05% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 186,000 | 188,073 | ||||||||
Auto Manufacturers 1.67% | ||||||||||||
Daimler Truck Finance North America LLC† | 5.15% | 1/16/2026 | 150,000 | 150,118 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 4/6/2026 | 218,000 | 217,100 | ||||||||
General Motors Financial Co., Inc. | 5.65% (SOFR + 0.62% | )# | 10/15/2024 | 606,000 | 601,459 |
208 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
General Motors Financial Co., Inc. | 6.291% (SOFR + 1.20% | )# | 11/17/2023 | $ | 666,000 | $ | 666,833 | |||||
Hyundai Capital America† | 1.00% | 9/17/2024 | 400,000 | 376,779 | ||||||||
Hyundai Capital America† | 5.50% | 3/30/2026 | 335,000 | 335,158 | ||||||||
Nissan Motor Acceptance Co. LLC† | 1.125% | 9/16/2024 | 1,500,000 | 1,393,785 | ||||||||
Nissan Motor Acceptance Co. LLC† | 3.875% | 9/21/2023 | 2,400,000 | 2,380,865 | ||||||||
Total | 6,122,097 | |||||||||||
Banks 20.38% | ||||||||||||
AIB Group PLC (Ireland)†(b) | 4.263% (3 mo. USD LIBOR + 1.87% | )# | 4/10/2025 | 3,000,000 | 2,930,825 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 4.40% | 5/19/2026 | 900,000 | 862,033 | ||||||||
Bank of America Corp. | 1.197% (SOFR + 1.01% | )# | 10/24/2026 | 1,500,000 | 1,352,720 | |||||||
Bank of America Corp. | 1.319% (SOFR + 1.15% | )# | 6/19/2026 | 376,000 | 345,092 | |||||||
Bank of America Corp. | 1.53% (SOFR + 0.65% | )# | 12/6/2025 | 118,000 | 110,662 | |||||||
Bank of America Corp. | 1.734% (SOFR + 0.96% | )# | 7/22/2027 | 220,000 | 196,290 | |||||||
Bank of America Corp. | 2.456% (3 mo. USD Term SOFR + 1.13% | )# | 10/22/2025 | 128,000 | 122,162 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33% | )# | 4/2/2026 | 3,765,000 | 3,624,632 | |||||||
Bank of America Corp. | 3.864% (3 mo. USD Term SOFR + 1.20% | )# | 7/23/2024 | 3,418,000 | 3,407,673 | |||||||
Bank of Ireland Group PLC (Ireland)†(b) | 4.50% | 11/25/2023 | 888,000 | 879,996 | ||||||||
Bank of Ireland Group PLC (Ireland)†(b) | 6.253% (1 yr. CMT + 2.65% | )# | 9/16/2026 | 500,000 | 498,321 | |||||||
Bank of Montreal (Canada)(b) | 4.25% | 9/14/2024 | 373,000 | 367,057 | ||||||||
Bank of Montreal (Canada)(b) | 5.20% | 12/12/2024 | 760,000 | 757,047 | ||||||||
Bank of Montreal (Canada)(b) | 5.231% (SOFR + 0.35% | )# | 12/8/2023 | 343,000 | 342,877 | |||||||
Bank of Montreal (Canada)(b)(c) | 5.30% | 6/5/2026 | 463,000 | 463,735 | ||||||||
Bank of New York Mellon | 5.148% | # | 5/22/2026 | 692,000 | 691,303 | |||||||
Bank of New York Mellon Corp. | 4.543% (SOFR + 1.17% | )# | 2/1/2029 | 268,000 | 263,676 | |||||||
Bank of New York Mellon Corp. | 4.947% (SOFR + 1.03% | )# | 4/26/2027 | 207,000 | 206,378 | |||||||
Bank of Nova Scotia (Canada)(b) | 4.75% | 2/2/2026 | 268,000 | 266,303 |
See Notes to Financial Statements. | 209 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Barclays plc (United Kingdom)(b) | 5.829% (SOFR + 2.21% | )# | 5/9/2027 | $ | 580,000 | $ | 578,989 | |||||
BNP Paribas SA (France)†(b) | 4.705% (3 mo. USD LIBOR + 2.24% | )# | 1/10/2025 | 1,200,000 | 1,188,929 | |||||||
BNP Paribas SA (France)†(b) | 5.125% (1 yr. CMT + 1.45% | )# | 1/13/2029 | 259,000 | 258,385 | |||||||
BPCE SA (France)†(b) | 4.50% | 3/15/2025 | 560,000 | 540,467 | ||||||||
BPCE SA (France)†(b) | 4.875% | 4/1/2026 | 200,000 | 193,709 | ||||||||
BPCE SA (France)†(b) | 5.15% | 7/21/2024 | 462,000 | 452,385 | ||||||||
BPCE SA (France)†(b) | 5.70% | 10/22/2023 | 771,000 | 766,089 | ||||||||
BPCE SA (France)†(b) | 5.975% (SOFR + 2.10% | )# | 1/18/2027 | 390,000 | 389,841 | |||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 3.945% | 8/4/2025 | 320,000 | 310,137 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.001% | 4/28/2028 | 468,000 | 463,255 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.144% | 4/28/2025 | 626,000 | 622,630 | ||||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16% | )# | 4/24/2025 | 1,100,000 | 1,075,412 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82% | )# | 1/10/2028 | 1,000,000 | 952,483 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37% | )# | 5/24/2025 | 225,000 | 221,454 | |||||||
Citigroup, Inc. | 5.61% (SOFR + 1.55% | )# | 9/29/2026 | 1,432,000 | 1,443,146 | |||||||
Citizens Bank NA | 4.575% (SOFR + 2.00% | )# | 8/9/2028 | 400,000 | 364,866 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45% | )# | 10/24/2025 | 250,000 | 234,782 | |||||||
Credit Suisse AG | 0.52% | 8/9/2023 | 365,000 | 360,301 | ||||||||
Credit Suisse AG | 5.465% (SOFR + 0.39% | )# | 2/2/2024 | 375,000 | 367,651 | |||||||
Credit Suisse AG | 5.471% (SOFR + 0.38% | )# | 8/9/2023 | 500,000 | 497,303 | |||||||
Credit Suisse Group AG (Switzerland)(b) | 3.80% | 6/9/2023 | 1,000,000 | 999,250 | ||||||||
Danske Bank AS (Denmark)†(b) | 3.244% (3 mo. USD LIBOR + 1.59% | )# | 12/20/2025 | 1,000,000 | 953,202 | |||||||
Danske Bank AS (Denmark)†(b) | 3.773% (1 yr. CMT + 1.45% | )# | 3/28/2025 | 872,000 | 851,743 | |||||||
Danske Bank AS (Denmark)†(b) | 5.375% | 1/12/2024 | 746,000 | 740,315 | ||||||||
Danske Bank AS (Denmark)†(b) | 6.466% (1 yr. CMT + 2.10% | )# | 1/9/2026 | 200,000 | 200,358 |
210 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72% | )# | 9/27/2025 | $ | 1,216,000 | $ | 1,137,596 | |||||
First-Citizens Bank & Trust Co. | 3.929% (SOFR + 3.83% | )# | 6/19/2024 | 837,000 | 827,152 | |||||||
Goldman Sachs Group, Inc. | 2.64% (SOFR + 1.11% | )# | 2/24/2028 | 163,000 | 147,874 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46% | )# | 9/29/2025 | 486,000 | 470,195 | |||||||
Goldman Sachs Group, Inc. | 5.751% (SOFR + 0.70% | )# | 1/24/2025 | 830,000 | 827,375 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD LIBOR + 1.21% | )# | 3/11/2025 | 583,000 | 572,258 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 4.292% (3 mo. USD LIBOR + 1.35% | )# | 9/12/2026 | 900,000 | 870,547 | |||||||
HSBC USA, Inc. | 5.625% | 3/17/2025 | 283,000 | 283,656 | ||||||||
Huntington National Bank | 4.008% (SOFR + 1.21% | )# | 5/16/2025 | 250,000 | 235,863 | |||||||
JPMorgan Chase & Co. | 2.301% (SOFR + 1.16% | )# | 10/15/2025 | 226,000 | 216,033 | |||||||
JPMorgan Chase & Co. | 3.782% (3 mo. USD Term SOFR + 1.60% | )# | 2/1/2028 | 1,600,000 | 1,522,794 | |||||||
JPMorgan Chase & Co. | 3.797% (3 mo. USD Term SOFR + 0.89% | )# | 7/23/2024 | 2,180,000 | 2,173,787 | |||||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98% | )# | 6/14/2025 | 222,000 | 217,646 | |||||||
JPMorgan Chase & Co. | 6.012% (SOFR + 0.92% | )# | 2/24/2026 | 479,000 | 479,574 | |||||||
KeyBank NA | 4.70% | 1/26/2026 | 404,000 | 373,091 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 3.90% | 3/12/2024 | 902,000 | 887,789 | ||||||||
Macquarie Group Ltd. (Australia)†(b) | 1.34% (SOFR + 1.07% | )# | 1/12/2027 | 226,000 | 202,377 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 5.108% (SOFR + 2.21% | )# | 8/9/2026 | 342,000 | 338,469 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 6.207% | 11/22/2024 | 1,288,000 | 1,297,290 | ||||||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | 1,216,000 | 1,158,944 | ||||||||
Manufacturers & Traders Trust Co. | 4.70% | 1/27/2028 | 402,000 | 376,538 | ||||||||
Manufacturers & Traders Trust Co. | 5.40% | 11/21/2025 | 1,009,000 | 983,126 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 0.962% (1 yr. CMT + .45% | )# | 10/11/2025 | 820,000 | 765,822 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 4.788% (1 yr. CMT + 1.70% | )# | 7/18/2025 | 409,000 | 404,771 |
See Notes to Financial Statements. | 211 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 5.063% (1 yr. CMT + 1.55% | )# | 9/12/2025 | $ | 265,000 | $ | 262,767 | |||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 5.719% (1 yr. CMT + 1.08% | )# | 2/20/2026 | 360,000 | 359,956 | |||||||
Morgan Stanley | 2.188% (SOFR + 1.99% | )# | 4/28/2026 | 721,000 | 681,179 | |||||||
Morgan Stanley | 5.05% (SOFR + 1.30% | )# | 1/28/2027 | 836,000 | 833,751 | |||||||
Morgan Stanley | 6.138% (SOFR + 1.77% | )# | 10/16/2026 | 164,000 | 167,632 | |||||||
National Securities Clearing Corp.† | 5.15% | 5/30/2025 | 520,000 | 521,456 | ||||||||
NatWest Group PLC (United Kingdom)(b) | 4.269% (3 mo. USD LIBOR + 1.76% | )# | 3/22/2025 | 1,610,000 | 1,583,155 | |||||||
NatWest Group PLC (United Kingdom)(b) | 4.519% (3 mo. USD LIBOR + 1.55% | )# | 6/25/2024 | 1,181,000 | 1,178,882 | |||||||
NatWest Group PLC (United Kingdom)(b) | 5.847% (1 yr. CMT + 1.35% | )# | 3/2/2027 | 200,000 | 200,697 | |||||||
NatWest Group PLC (United Kingdom)(b) | 6.684% (3 mo. USD LIBOR + 1.55% | )# | 6/25/2024 | 600,000 | 600,058 | |||||||
Nordea Bank Abp (Finland)†(b) | 3.60% | 6/6/2025 | 200,000 | 192,959 | ||||||||
Royal Bank of Canada (Canada)(b) | 4.875% | 1/12/2026 | 1,318,000 | 1,311,936 | ||||||||
Royal Bank of Canada (Canada)(b) | 5.349% (SOFR + 0.34% | )# | 10/7/2024 | 2,000,000 | 1,989,721 | |||||||
Santander Holdings USA, Inc. | 3.50% | 6/7/2024 | 811,000 | 788,451 | ||||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 4.796% (3 mo. USD LIBOR + 1.57% | )# | 11/15/2024 | 500,000 | 496,091 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 6.534% (SOFR + 2.60% | )# | 1/10/2029 | 391,000 | 397,664 | |||||||
Societe Generale SA (France)†(b) | 2.226% (1 yr. CMT + 1.05% | )# | 1/21/2026 | 335,000 | 311,099 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 0.991% (1 yr. CMT + 0.78% | )# | 1/12/2025 | 500,000 | 483,721 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 1.214% (1 yr. CMT + 0.88% | )# | 3/23/2025 | 200,000 | 192,227 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 3.785% (3 mo. USD LIBOR + 1.56% | )# | 5/21/2025 | 733,000 | 715,610 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 5.20% | 1/26/2024 | 236,000 | 233,691 | ||||||||
State Street Corp. | 5.104% (SOFR + 1.13% | )# | 5/18/2026 | 396,000 | 395,139 | |||||||
Toronto-Dominion Bank (Canada)(b) | 4.693% | 9/15/2027 | 1,043,000 | 1,024,131 |
212 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Toronto-Dominion Bank (Canada)(b) | 5.243% (SOFR + 0.35% | )# | 9/10/2024 | $ | 2,000,000 | $ | 1,992,970 | |||||
Truist Financial Corp. | 4.26% (SOFR + 1.46% | )# | 7/28/2026 | 236,000 | 227,000 | |||||||
Truist Financial Corp. | 4.873% (SOFR + 1.44% | )# | 1/26/2029 | 158,000 | 153,047 | |||||||
Truist Financial Corp. | 5.287% (SOFR + 0.40% | )# | 6/9/2025 | 850,000 | 819,811 | |||||||
UBS AG (United Kingdom)†(b) | 0.70% | 8/9/2024 | 842,000 | 792,878 | ||||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 1,109,000 | 1,092,742 | ||||||||
UBS Group AG (Switzerland)†(b) | 4.125% | 9/24/2025 | 470,000 | 451,637 | ||||||||
UBS Group AG (Switzerland)†(b) | 4.488% (1 yr. CMT + 1.55% | )# | 5/12/2026 | 1,755,000 | 1,697,081 | |||||||
UBS Group AG (Switzerland)†(b) | 5.711% (1 yr. CMT + 1.55% | )# | 1/12/2027 | 1,590,000 | 1,577,543 | |||||||
UniCredit SpA (Italy)†(b) | 7.83% | 12/4/2023 | 1,400,000 | 1,406,118 | ||||||||
Wells Fargo & Co. | 4.54% (SOFR + 1.56% | )# | 8/15/2026 | 341,000 | 335,342 | |||||||
Total | 74,954,573 | |||||||||||
Biotechnology 0.54% | ||||||||||||
Amgen, Inc. | 5.15% | 3/2/2028 | 534,000 | 538,612 | ||||||||
Amgen, Inc. | 5.25% | 3/2/2025 | 299,000 | 299,956 | ||||||||
Amgen, Inc. | 5.507% | 3/2/2026 | 534,000 | 534,149 | ||||||||
Illumina, Inc. | 5.75% | 12/13/2027 | 446,000 | 454,476 | ||||||||
Illumina, Inc. | 5.80% | 12/12/2025 | 168,000 | 170,021 | ||||||||
Total | 1,997,214 | |||||||||||
Chemicals 1.38% | ||||||||||||
Celanese U.S. Holdings LLC | 5.90% | 7/5/2024 | 1,469,000 | 1,467,716 | ||||||||
FMC Corp. | 5.15% | 5/18/2026 | 151,000 | 149,549 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 3,636,000 | 3,244,716 | ||||||||
Nutrien Ltd. (Canada)(b) | 5.95% | 11/7/2025 | 198,000 | 201,960 | ||||||||
Total | 5,063,941 | |||||||||||
Commercial Services 0.30% | ||||||||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 551,000 | 524,944 | ||||||||
Triton Container International Ltd.† | 0.80% | 8/1/2023 | 341,000 | 335,543 | ||||||||
Triton Container International Ltd.† | 1.15% | 6/7/2024 | 250,000 | 234,175 | ||||||||
Total | 1,094,662 |
See Notes to Financial Statements. | 213 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Computers 0.38% | ||||||||||||
Dell International LLC/EMC Corp. | 6.02% | 6/15/2026 | $ | 1,350,000 | $ | 1,382,197 | ||||||
Diversified Financial Services 5.11% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.50% | 9/15/2023 | 310,000 | 308,646 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.875% | 1/16/2024 | 1,150,000 | 1,140,261 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b)(c) | 5.75% | 6/6/2028 | 237,000 | 235,149 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Series 3NC1 (Ireland)(b) | 1.75% | 10/29/2024 | 2,000,000 | 1,877,832 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 2,000,000 | 1,976,325 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 232,000 | 230,140 | ||||||||
Aircastle Ltd.† | 5.25% | 8/11/2025 | 309,000 | 300,262 | ||||||||
American Express Co. | 4.90% | 2/13/2026 | 336,000 | 335,831 | ||||||||
American Express Co. | 4.99% | 5/1/2026 | 715,000 | 713,608 | ||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 854,000 | 763,263 | ||||||||
Aviation Capital Group LLC† | 1.95% | 9/20/2026 | 854,000 | 741,948 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 722,000 | 708,448 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 725,000 | 671,669 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.125% | 10/1/2023 | 260,000 | 258,884 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.25% | 5/15/2024 | 1,100,000 | 1,083,250 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.50% | 1/15/2026 | 1,150,000 | 1,107,839 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 6.375% | 5/4/2028 | 321,000 | 313,898 | ||||||||
Capital One Financial Corp. | 1.343% (SOFR + 0.69% | )# | 12/6/2024 | 813,000 | 788,388 | |||||||
Capital One Financial Corp. | 4.166% (SOFR + 1.37% | )# | 5/9/2025 | 1,014,000 | 987,299 | |||||||
Capital One Financial Corp. | 5.571% (SOFR + 0.69% | )# | 12/6/2024 | 1,368,000 | 1,337,948 | |||||||
LPL Holdings, Inc.† | 4.625% | 11/15/2027 | 1,150,000 | 1,067,886 | ||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 823,000 | 801,665 | ||||||||
Radian Group, Inc. | 4.50% | 10/1/2024 | 1,064,000 | 1,034,298 | ||||||||
Total | 18,784,737 | |||||||||||
Electric 7.70% | ||||||||||||
AES Corp.† | 3.30% | 7/15/2025 | 1,100,000 | 1,044,048 | ||||||||
Alexander Funding Trust† | 1.841% | 11/15/2023 | 1,806,000 | 1,764,724 | ||||||||
American Electric Power Co., Inc. | 5.699% | 8/15/2025 | 365,000 | 333,851 | ||||||||
American Electric Power Co., Inc. | 5.75% | 11/1/2027 | 112,000 | 115,504 |
214 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
CenterPoint Energy, Inc. | 5.74% (SOFR + 0.65% | )# | 5/13/2024 | $ | 2,159,000 | $ | 2,153,380 | |||||
Cleco Corporate Holdings LLC | 3.743% | 5/1/2026 | 2,000,000 | 1,895,419 | ||||||||
Cleveland Electric Illuminating Co. | 5.50% | 8/15/2024 | 335,000 | 335,534 | ||||||||
Comision Federal de Electricidad (Mexico)†(b) | 4.875% | 1/15/2024 | 700,000 | 691,668 | ||||||||
Dominion Energy, Inc. | 3.071% | (d) | 8/15/2024 | 1,008,000 | 975,658 | |||||||
Dominion Energy, Inc. | 5.396% (3 mo. USD LIBOR + 0.53% | )# | 9/15/2023 | 500,000 | 499,881 | |||||||
DTE Energy Co. | 4.875% | 6/1/2028 | 436,000 | 431,405 | ||||||||
Duke Energy Corp. | 2.65% | 9/1/2026 | 149,000 | 138,420 | ||||||||
Duke Energy Corp. | 5.00% | 12/8/2025 | 1,077,000 | 1,076,658 | ||||||||
Evergy Missouri West, Inc.† | 5.15% | 12/15/2027 | 843,000 | 846,523 | ||||||||
Eversource Energy | 4.75% | 5/15/2026 | 881,000 | 873,019 | ||||||||
Fells Point Funding Trust† | 3.046% | 1/31/2027 | 900,000 | 837,516 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 750,000 | 732,760 | ||||||||
Florida Power & Light Co. | 4.45% | 5/15/2026 | 746,000 | 742,080 | ||||||||
ITC Holdings Corp. | 3.65% | 6/15/2024 | 1,300,000 | 1,268,717 | ||||||||
ITC Holdings Corp.† | 4.95% | 9/22/2027 | 307,000 | 305,946 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 1,750,000 | 1,730,454 | ||||||||
NextEra Energy Capital Holdings, Inc. | 4.20% | 6/20/2024 | 78,000 | 76,929 | ||||||||
NextEra Energy Capital Holdings, Inc. | 5.482% (SOFR + 0.4% | )# | 11/3/2023 | 360,000 | 359,878 | |||||||
NextEra Energy Capital Holdings, Inc. | 6.051% | 3/1/2025 | 339,000 | 342,909 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 799,000 | 774,206 | ||||||||
Oncor Electric Delivery Co. LLC | 4.30% | 5/15/2028 | 235,000 | 232,216 | ||||||||
Pacific Gas & Electric Co. | 3.15% | 1/1/2026 | 826,592 | 773,346 | ||||||||
Pacific Gas & Electric Co. | 3.75% | 2/15/2024 | 525,000 | 516,065 | ||||||||
Pennsylvania Electric Co.† | 4.15% | 4/15/2025 | 691,000 | 669,840 | ||||||||
Pennsylvania Electric Co.† | 5.15% | 3/30/2026 | 871,000 | 865,890 | ||||||||
Public Service Enterprise Group, Inc. | 5.85% | 11/15/2027 | 345,000 | 356,409 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 897,000 | 865,014 | ||||||||
Southern Co. | 4.475% | (d) | 8/1/2024 | 629,000 | 619,916 | |||||||
System Energy Resources, Inc. | 6.00% | 4/15/2028 | 1,776,000 | 1,804,759 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 903,000 | 874,184 | ||||||||
Wisconsin Public Service Corp. | 5.35% | 11/10/2025 | 372,000 | 375,121 | ||||||||
Total | 28,299,847 |
See Notes to Financial Statements. | 215 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electronics 0.53% | ||||||||||||
Arrow Electronics, Inc. | 6.125% | 3/1/2026 | $ | 173,000 | $ | 173,259 | ||||||
TD SYNNEX Corp. | 1.25% | 8/9/2024 | 1,900,000 | 1,792,618 | ||||||||
Total | 1,965,877 | |||||||||||
Entertainment 0.87% | ||||||||||||
Warnermedia Holdings, Inc. | 3.428% | 3/15/2024 | 2,000,000 | 1,958,455 | ||||||||
Warnermedia Holdings, Inc. | 3.638% | 3/15/2025 | 675,000 | 653,497 | ||||||||
Warnermedia Holdings, Inc. | 3.788% | 3/15/2025 | 170,000 | 164,385 | ||||||||
Warnermedia Holdings, Inc. | 6.412% | 3/15/2026 | 268,000 | 268,653 | ||||||||
Warnermedia Holdings, Inc. | 6.701% | # | 3/15/2024 | 137,000 | 137,518 | |||||||
Total | 3,182,508 | |||||||||||
Gas 1.75% | ||||||||||||
Centrica PLC (United Kingdom)†(b) | 4.00% | 10/16/2023 | 400,000 | 397,462 | ||||||||
East Ohio Gas Co.† | 1.30% | 6/15/2025 | 1,400,000 | 1,289,788 | ||||||||
National Fuel Gas Co. | 5.20% | 7/15/2025 | 750,000 | 742,933 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 900,000 | 893,957 | ||||||||
National Fuel Gas Co. | 5.50% | 10/1/2026 | 241,000 | 237,854 | ||||||||
NiSource, Inc. | 5.25% | 3/30/2028 | 1,571,000 | 1,583,603 | ||||||||
ONE Gas, Inc. | 1.10% | 3/11/2024 | 406,000 | 392,272 | ||||||||
Southwest Gas Corp. | 5.80% | 12/1/2027 | 883,000 | 904,286 | ||||||||
Total | 6,442,155 | |||||||||||
Hand/Machine Tools 0.31% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 829,000 | 831,370 | ||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 307,000 | 303,670 | ||||||||
Total | 1,135,040 | |||||||||||
Health Care-Products 0.41% | ||||||||||||
GE HealthCare Technologies, Inc.† | 5.55% | 11/15/2024 | 800,000 | 799,310 | ||||||||
GE HealthCare Technologies, Inc.† | 5.60% | 11/15/2025 | 724,000 | 726,177 | ||||||||
Total | 1,525,487 | |||||||||||
Health Care-Services 0.83% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 155,000 | 133,320 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 1,720,000 | 1,617,970 | ||||||||
Elevance Health, Inc. | 4.90% | 2/8/2026 | 162,000 | 161,214 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 1,000,000 | 993,245 | ||||||||
HCA, Inc. | 5.20% | 6/1/2028 | 135,000 | 134,216 | ||||||||
Total | 3,039,965 |
216 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance 4.51% | ||||||||||||
Brighthouse Financial Global Funding† | 5.782% (SOFR + 0.76% | )# | 4/12/2024 | $ | 2,027,000 | $ | 2,006,352 | |||||
CNO Global Funding† | 1.65% | 1/6/2025 | 1,109,000 | 1,029,148 | ||||||||
Equitable Financial Life Global Funding† | 1.40% | 7/7/2025 | 801,000 | 733,221 | ||||||||
Equitable Financial Life Global Funding† | 5.45% | 3/3/2028 | 411,000 | 417,778 | ||||||||
F&G Global Funding† | 5.15% | 7/7/2025 | 1,343,000 | 1,311,199 | ||||||||
Fidelity & Guaranty Life Holdings, Inc.† | 5.50% | 5/1/2025 | 1,000,000 | 984,612 | ||||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 707,000 | 660,733 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 2,033,000 | 1,949,130 | ||||||||
Jackson Financial, Inc. | 5.17% | 6/8/2027 | 305,000 | 291,939 | ||||||||
Jackson National Life Global Funding† | 1.75% | 1/12/2025 | 300,000 | 279,927 | ||||||||
Jackson National Life Global Funding† | 5.50% | 1/9/2026 | 1,861,000 | 1,837,889 | ||||||||
Jackson National Life Global Funding† | 6.132% (SOFR + 1.15% | )# | 6/28/2024 | 562,000 | 562,246 | |||||||
Metropolitan Life Global Funding I† | 0.40% | 1/7/2024 | 1,250,000 | 1,213,176 | ||||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 997,000 | 967,817 | ||||||||
New York Life Global Funding† | 4.70% | 4/2/2026 | 339,000 | 337,364 | ||||||||
Protective Life Global Funding† | 5.209% | 4/14/2026 | 250,000 | 248,824 | ||||||||
Protective Life Global Funding† | 5.366% | 1/6/2026 | 1,750,000 | 1,763,885 | ||||||||
Total | 16,595,240 | |||||||||||
Internet 0.89% | ||||||||||||
Amazon.com, Inc. | 4.55% | 12/1/2027 | 1,222,000 | 1,232,262 | ||||||||
Netflix, Inc. | 4.375% | 11/15/2026 | 1,050,000 | 1,032,774 | ||||||||
Netflix, Inc. | 4.875% | 4/15/2028 | 1,000,000 | 992,849 | ||||||||
Total | 3,257,885 | |||||||||||
Lodging 0.39% | ||||||||||||
Hyatt Hotels Corp. | 1.30% | 10/1/2023 | 1,250,000 | 1,231,057 | ||||||||
Hyatt Hotels Corp. | 1.80% | 10/1/2024 | 218,000 | 206,830 | ||||||||
Total | 1,437,887 | |||||||||||
Media 0.26% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.50% | 2/1/2024 | 475,000 | 470,078 | ||||||||
RELX, Inc.† | 6.625% | 10/15/2023 | 500,000 | 499,743 | ||||||||
Total | 969,821 | |||||||||||
Mining 0.66% | ||||||||||||
Glencore Funding LLC† | 4.00% | 4/16/2025 | 776,000 | 758,557 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 1,693,000 | 1,676,401 | ||||||||
Total | 2,434,958 |
See Notes to Financial Statements. | 217 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas 3.61% | ||||||||||||
Continental Resources, Inc.† | 2.268% | 11/15/2026 | $ | 1,800,000 | $ | 1,610,461 | ||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 1,373,000 | 1,346,246 | ||||||||
Devon Energy Corp. | 5.25% | 10/15/2027 | 1,500,000 | 1,484,541 | ||||||||
Devon Energy Corp. | 8.25% | 8/1/2023 | 524,000 | 524,445 | ||||||||
EQT Corp. | 5.678% | 10/1/2025 | 216,000 | 216,045 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 1,670,000 | 1,672,772 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 1,500,000 | 1,544,895 | ||||||||
Ovintiv Exploration, Inc. | 5.375% | 1/1/2026 | 1,300,000 | 1,293,474 | ||||||||
Ovintiv, Inc. | 5.65% | 5/15/2025 | 477,000 | 476,509 | ||||||||
Phillips 66 Co. | 3.55% | 10/1/2026 | 1,250,000 | 1,185,323 | ||||||||
Pioneer Natural Resources Co. | 5.10% | 3/29/2026 | 174,000 | 174,057 | ||||||||
Suncor Energy, Inc. (Canada)(b) | 7.875% | 6/15/2026 | 500,000 | 532,496 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 1,250,000 | 1,203,750 | ||||||||
Total | 13,265,014 | |||||||||||
Pharmaceuticals 1.39% | ||||||||||||
Bayer U.S. Finance II LLC† | 3.875% | 12/15/2023 | 2,000,000 | 1,979,202 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(b) | 4.45% | 5/19/2026 | 1,830,000 | 1,821,060 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(b) | 4.65% | 5/19/2025 | 1,309,000 | 1,306,677 | ||||||||
Total | 5,106,939 | |||||||||||
Pipelines 0.83% | ||||||||||||
DCP Midstream Operating LP | 5.375% | 7/15/2025 | 581,000 | 575,115 | ||||||||
Enbridge, Inc. (Canada)(b) | 5.722% (SOFR + 0.63% | )# | 2/16/2024 | 1,142,000 | 1,140,272 | |||||||
Energy Transfer LP | 5.875% | 1/15/2024 | 500,000 | 500,155 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 3.60% | 11/1/2024 | 700,000 | 679,260 | ||||||||
Williams Cos., Inc. | 5.40% | 3/2/2026 | 144,000 | 145,231 | ||||||||
Total | 3,040,033 | |||||||||||
REITS 1.61% | ||||||||||||
American Tower Corp. | 3.65% | 3/15/2027 | 1,700,000 | 1,607,233 | ||||||||
Crown Castle, Inc. | 5.00% | 1/11/2028 | 205,000 | 203,430 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 3.35% | 9/1/2024 | 337,000 | 326,425 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.25% | 6/1/2025 | 350,000 | 342,757 | ||||||||
Kite Realty Group Trust | 4.00% | 3/15/2025 | 647,000 | 612,981 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.50% | 2/15/2025 | 1,600,000 | 1,527,415 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 1,350,000 | 1,304,185 | ||||||||
Total | 5,924,426 |
218 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Semiconductors 0.49% | ||||||||||||
Marvell Technology, Inc. | 4.20% | 6/22/2023 | $ | 491,000 | $ | 490,581 | ||||||
Microchip Technology, Inc. | 0.972% | 2/15/2024 | 432,000 | 417,232 | ||||||||
Microchip Technology, Inc. | 2.67% | 9/1/2023 | 400,000 | 396,599 | ||||||||
Skyworks Solutions, Inc. | 0.90% | 6/1/2023 | 493,000 | 493,000 | ||||||||
Total | 1,797,412 | |||||||||||
Shipbuilding 0.31% | ||||||||||||
Huntington Ingalls Industries, Inc. | 3.844% | 5/1/2025 | 1,186,000 | 1,149,625 | ||||||||
Software 0.28% | ||||||||||||
Fiserv, Inc. | 5.45% | 3/2/2028 | 286,000 | 290,582 | ||||||||
Oracle Corp. | 2.30% | 3/25/2028 | 358,000 | 316,914 | ||||||||
Oracle Corp. | 2.50% | 4/1/2025 | 53,000 | 50,549 | ||||||||
Take-Two Interactive Software, Inc. | 5.00% | 3/28/2026 | 364,000 | 362,589 | ||||||||
Total | 1,020,634 | |||||||||||
Telecommunications 1.01% | ||||||||||||
Rogers Communications, Inc. (Canada)(b) | 4.10% | 10/1/2023 | 1,625,000 | 1,615,368 | ||||||||
T-Mobile USA, Inc. | 2.625% | 4/15/2026 | 2,250,000 | 2,098,241 | ||||||||
Total | 3,713,609 | |||||||||||
Trucking & Leasing 0.05% | ||||||||||||
SMBC Aviation Capital Finance DAC (Ireland)†(b) | 5.45% | 5/3/2028 | 200,000 | 199,431 | ||||||||
Total Corporate Bonds (cost $226,994,459) | 224,713,611 | |||||||||||
FLOATING RATE LOANS(e) 5.97% | ||||||||||||
Chemicals 0.51% | ||||||||||||
Celanese U.S. Holdings LLC 2022 364-Day Delayed Draw Term Loan | 6.468% | 10/31/2023 | 880,000 | 882,200 | ||||||||
Nutrition & Biosciences, Inc. 3 Year Delayed Draw Term Loan | 6.673% | 2/1/2024 | 1,000,000 | 998,125 | ||||||||
Total | 1,880,325 | |||||||||||
Diversified Financial Services 0.52% | ||||||||||||
Avolon TLB Borrower 1 (US) LLC Term Loan B3 | 6.898% (1 mo. USD LIBOR + 1.75% | ) | 1/15/2025 | 1,000,000 | 997,440 | |||||||
Delos Finance Sarl 2018 Term Loan B (Luxembourg)(b) | 6.909% | ) | 10/6/2023 | 905,089 | 905,750 | |||||||
Total | 1,903,190 |
See Notes to Financial Statements. | 219 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Entertainment 0.49% | ||||||||||||
Stars Group Holdings BV 2018 USD Incremental Term Loan (Netherlands)(b) | 7.409% | ) | 7/21/2026 | $ | 1,808,987 | $ | 1,804,157 | |||||
Health Care Products 1.29% | ||||||||||||
Baxter International, Inc. 2021 Delayed Draw Term Loan Tranche 1 | 6.237% | ) | 9/30/2024 | 1,261,602 | 1,257,660 | |||||||
CVS Health Corp. 364 Day Term Loan | 6.244% (3 mo. USD Term SOFR + 1.25% | ) | 5/1/2024 | 3,500,000 | 3,493,910 | |||||||
Total | 4,751,570 | |||||||||||
Lodging 0.81% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2019 Term Loan B2 | 6.95% | ) | 6/22/2026 | 3,000,000 | 2,988,090 | |||||||
Media 0.76% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B1 | 6.795% - 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 4/30/2025 | 2,795,932 | 2,793,556 | |||||||
Pipelines 0.32% | ||||||||||||
Targa Resources Corp. Term Loan | 6.85% - 6.92% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 7/12/2025 | 1,175,000 | 1,171,328 | |||||||
Real Estate Investment Trusts 0.68% | ||||||||||||
American Tower Corp. 2021 First Lien Delayed Draw Term loan | 6.25% (1 mo. USD LIBOR + 1.13% | ) | 12/8/2023 | 1,048,676 | 1,048,351 | |||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.253% (1 mo. USD Term SOFR + 1.00% | ) | 1/31/2025 | 1,476,388 | 1,450,551 | |||||||
Total | 2,498,902 | |||||||||||
Semiconductors 0.35% | ||||||||||||
Marvell Technology Group Ltd. 2020 3 Year Term Loan A | – | (f) | 12/7/2023 | 1,275,000 | 1,275,803 | |||||||
Software 0.24% | ||||||||||||
Open Text Corporation Term Loan B (Canada)(b) | – | (f) | 5/30/2025 | 900,000 | 899,649 | |||||||
Total Floating Rate Loans (cost $22,046,622) | 21,966,570 |
220 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS(b) 1.05% | ||||||||||||
Sweden | ||||||||||||
Svensk Exportkredit AB (cost $3,891,232) | 4.00% | 7/15/2025 | $ | 3,900,000 | $ | 3,859,107 | ||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.00% | ||||||||||||
Government National Mortgage Association Series 2014-112 Class A (Cost $8,416) | 3.00% | #(g) | 1/16/2048 | 8,329 | 7,523 | |||||||
MUNICIPAL BONDS 0.02% | ||||||||||||
Government | ||||||||||||
State of Illinois GO (cost $82,091) | 4.95% | 6/1/2023 | 82,091 | 82,091 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 6.25% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-6 Class A1† | 1.261% | #(g) | 5/25/2065 | 76,823 | 68,872 | |||||||
Atrium Hotel Portfolio Trust Series 2017-ATRM Class A† | 6.287% | )# | 12/15/2036 | 350,000 | 337,201 | |||||||
BAMLL Commercial Mortgage Securities Trust Series 2013-WBRK Class A† | 3.534% | #(g) | 3/10/2037 | 230,000 | 205,040 | |||||||
BBCMS Mortgage Trust Series 2017-DELC Class A† | 6.082% (1 mo. USD LIBOR + 0.98% | )# | 8/15/2036 | 333,000 | 332,687 | |||||||
BBCMS Mortgage Trust Series 2018-TALL Class A† | 5.98% | )# | 3/15/2037 | 500,000 | 450,075 | |||||||
BBCMS Mortgage Trust Series 2018-TALL Class C† | 6.379% (1 mo. USD LIBOR + 1.27% | )# | 3/15/2037 | 340,000 | 262,972 | |||||||
BBCMS Mortgage Trust Series 2020-C7 Class A2 | 2.021% | 4/15/2053 | 250,000 | 235,513 | ||||||||
Benchmark Mortgage Trust Series 2021 B23 Class A2 | 1.62% | 2/15/2054 | 220,000 | 195,536 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.357% | )# | 7/15/2035 | 940,000 | 914,694 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class C† | 7.007% (1 mo. USD LIBOR + 1.90% | )# | 7/15/2035 | 890,000 | 846,608 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class D† | 7.357% (1 mo. USD LIBOR + 2.25% | )# | 7/15/2035 | 570,000 | 537,182 | |||||||
BX Commercial Mortgage Trust Series 2019-IMC Class A† | 6.107% | )# | 4/15/2034 | 686,000 | 677,638 |
See Notes to Financial Statements. | 221 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Commercial Mortgage Trust Series 2019-IMC Class B† | 6.407% | )# | 4/15/2034 | $ | 800,000 | $ | 782,345 | |||||
BX Commercial Mortgage Trust Series 2020-VKNG Class A† | 6.104% | )# | 10/15/2037 | 512,850 | 504,766 | |||||||
BXHPP Trust Series 2021-FILM Class B† | 6.007% | )# | 8/15/2036 | 460,000 | 422,505 | |||||||
Cantor Commercial Real Estate Lending Series 2019-CF1 Class 65A† | 4.411% | #(g) | 5/15/2052 | 50,000 | 44,055 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class AAB | 2.944% | 2/10/2048 | 2,671 | 2,610 | ||||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class A5 | 3.616% | 2/10/2049 | 100,000 | 94,467 | ||||||||
Citigroup Commercial Mortgage Trust Series 2016-GC37 Class A4 | 3.314% | 4/10/2049 | 225,000 | 211,629 | ||||||||
Citigroup Commercial Mortgage Trust Series 2018-B2 Class A2 | 3.788% | 3/10/2051 | 3,103 | 3,095 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR1 Class B | 4.612% | 5/15/2045 | 178,830 | 170,542 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS3 Class A4 | 3.819% | 6/10/2047 | 107,000 | 103,694 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS6 Class A5 | 3.644% | 12/10/2047 | 17,404 | 16,685 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-DC1 Class A4 | 3.078% | 2/10/2048 | 280,000 | 272,311 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | (d) | 5/25/2065 | 83,579 | 75,704 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-ADV Class A† | 6.508% (1 mo. USD LIBOR + 1.40% | )# | 7/15/2038 | 450,000 | 405,349 | |||||||
DBGS Mortgage Trust Series 2021-W52 Class A† | 6.503% | )# | 10/15/2036 | 730,000 | 682,976 | |||||||
Ellington Financial Mortgage Trust Series 2020-1 Class A1† | 2.006% | #(g) | 5/25/2065 | 16,933 | 16,200 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2023-HQA1 Class M1A† | 6.923% | # | 5/25/2043 | 1,100,000 | 1,100,425 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2023-DNA2 Class M1A† | 7.081% | )# | 4/25/2043 | 874,599 | 879,345 |
222 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2013-C01 Class M2 | 10.388% (1 mo. USD LIBOR + 5.25% | )# | 10/25/2023 | $ | 863,326 | $ | 876,321 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R03 Class 2M1 | 7.473% | 4/25/2043 | 707,340 | 714,518 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R01 Class 1M1† | 5.973% (30 day USD SOFR Average + 1.00% | )# | 12/25/2041 | 460,623 | 457,973 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.381% (30 day USD SOFR Average + 2.40% | )# | 12/25/2042 | 473,382 | 477,024 | |||||||
Fontainebleau Miami Beach Trust Series 2019-FBLU Class A† | 3.144% | 12/10/2036 | 500,000 | 474,672 | ||||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA4 Class M1† | 5.923% | )# | 12/25/2041 | 556,037 | 537,314 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-DNA1 Class M1A† | 5.973% | )# | 1/25/2042 | 750,957 | 738,202 | |||||||
GCAT Trust Series 2020-NQM2 Class A1† | 1.555% | (d) | 4/25/2065 | 40,516 | 36,908 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.208% | )# | 12/15/2036 | 550,000 | 543,007 | |||||||
GS Mortgage Securities Corp. Trust Series 2018-RIVR Class A† | 6.057% | )# | 7/15/2035 | 773,667 | 706,963 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-70P Class XCP† | Zero Coupon | #(g) | 10/15/2036 | 21,863,000 | (h) | 409 | ||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class A† | 6.257% | )# | 8/15/2032 | 385,000 | 377,527 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class B† | 6.607% | )# | 8/15/2032 | 185,000 | 178,221 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class XCP† | Zero Coupon | #(g) | 8/15/2032 | 10,130,600 | (h) | 216 | ||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.258% | )# | 5/15/2026 | 270,000 | 245,004 |
See Notes to Financial Statements. | 223 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Trust Series 2013-GCJ14 Class A5 | 4.243% | 8/10/2046 | $ | 283,056 | $ | 282,432 | ||||||
GS Mortgage Securities Trust Series 2015-GC34 Class A4 | 3.506% | 10/10/2048 | 225,000 | 212,975 | ||||||||
GS Mortgage Securities Trust Series 2016-GS2 Class A4 | 3.05% | 5/10/2049 | 425,000 | 396,623 | ||||||||
HMH Trust Series 2017-NSS Class C† | 3.787% | 7/5/2031 | 28,000 | 26,442 | ||||||||
HONO Mortgage Trust Series 2021-LULU Class A† | 6.257% (1 mo. USD LIBOR + 1.15% | )# | 10/15/2036 | 450,000 | 431,501 | |||||||
Houston Galleria Mall Trust Series 2015-HGLR Class A1A2† | 3.087% | 3/5/2037 | 500,000 | 468,039 | ||||||||
HPLY Trust Series 2019-HIT Class A† | 6.107% (1 mo. USD LIBOR + 1.00% | )# | 11/15/2036 | 141,651 | 139,955 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.377% (1 mo. USD LIBOR + 1.27% | )# | 11/15/2035 | 48,000 | 46,297 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class B† | 6.707% (1 mo. USD LIBOR + 1.60% | )# | 11/15/2035 | 12,000 | 11,466 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class C† | 7.057% (1 mo. USD LIBOR + 1.95% | )# | 11/15/2035 | 12,000 | 11,283 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class A† | 3.884% | 1/5/2034 | 368,000 | 357,818 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-1440 Class B† | 6.857% (1 mo. USD LIBOR + 1.75% | )# | 3/15/2036 | 680,000 | 595,376 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-CKSV Class A2† | 3.277% | 10/15/2030 | 96,475 | 77,501 | ||||||||
MSCG Trust Series 2015-ALDR Class A1† | 2.612% | 6/7/2035 | 17,030 | 16,117 | ||||||||
Natixis Commercial Mortgage Securities Trust Series 2018-285M Class A† | 3.79% | #(g) | 11/15/2032 | 33,200 | 31,052 | |||||||
Ready Capital Mortgage Financing LLC Series 2021-FL6 Class A† | 6.088% (1 mo. USD LIBOR + 0.95% | )# | 7/25/2036 | 617,415 | 598,387 | |||||||
SFO Commercial Mortgage Trust Series 2021-555 Class A† | 6.257% (1 mo. USD LIBOR + 1.15% | )# | 5/15/2038 | 320,000 | 284,201 | |||||||
SMRT Commercial Mortgage Trust Series 2022-MINI Class A† | 6.06% (1 mo. USD Term SOFR + 1.00% | )# | 1/15/2039 | 1,130,000 | 1,097,684 |
224 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal | Fair | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (d) | 5/25/2065 | $ | 42,737 | $ | 39,305 | |||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (d) | 5/25/2065 | 89,229 | 81,151 | |||||||
Verus Securitization Trust Series 2020-INV1 Class A1† | 1.977% | #(g) | 3/25/2060 | 15,301 | 14,873 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(g) | 4/25/2065 | 31,843 | 28,378 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C26 Class AS | 3.58% | 2/15/2048 | 40,000 | 37,649 | ||||||||
WFLD Mortgage Trust Series 2014-MONT Class A† | 3.755% | #(g) | 8/10/2031 | 275,000 | 244,000 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C19 Class A5 | 4.101% | 3/15/2047 | 87,000 | 85,268 | ||||||||
WF-RBS Commercial Mortgage Trust Series 2014-C20 Class A5 | 3.995% | 5/15/2047 | 140,000 | 136,138 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $24,197,196) | 22,968,911 | |||||||||||
U.S. TREASURY OBLIGATIONS 4.36% | ||||||||||||
U.S. Treasury Inflation-Indexed Notes(i) | 0.25% | 1/15/2025 | 2,248,998 | 2,166,588 | ||||||||
U.S. Treasury Notes | 3.50% | 4/30/2028 | 1,375,000 | 1,357,598 | ||||||||
U.S. Treasury Notes | 3.875% | 3/31/2025 | 11,008,000 | 10,881,580 | ||||||||
U.S. Treasury Notes | 3.875% | 4/30/2025 | 1,623,000 | 1,605,439 | ||||||||
Total U.S. Treasury Obligations (cost $16,135,273) | 16,011,205 | |||||||||||
Total Long-Term Investments (cost $357,913,141) | 352,614,726 | |||||||||||
SHORT-TERM INVESTMENTS 4.15% | ||||||||||||
COMMERCIAL PAPER 2.96% | ||||||||||||
Auto Manufacturers 0.08% | ||||||||||||
General Motors Financial Co., Inc. | 5.68% | 8/22/2023 | 310,000 | 306,116 | ||||||||
Chemicals 0.08% | ||||||||||||
FMC Corp. | 6.175% | 7/10/2023 | 284,000 | 282,154 | ||||||||
Electric 0.23% | ||||||||||||
Electricite de France SA | 5.61% | 7/7/2023 | 374,000 | 371,951 | ||||||||
RWE AG | 6.019% | 7/11/2023 | 462,000 | 458,971 | ||||||||
Total | 830,922 | |||||||||||
Equity Real Estate 0.48% | ||||||||||||
Crown Castle, Inc. | 6.009% | 6/8/2023 | 1,759,000 | 1,756,982 | ||||||||
Finance 0.41% | ||||||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.485% | 10/5/2023 | 1,541,000 | 1,509,687 |
See Notes to Financial Statements. | 225 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal | Fair | ||||||||
Health Care-Services 0.37% | ||||||||||||
CommonSpirit Health | 5.934% | 6/14/2023 | $ | 834,000 | $ | 832,254 | ||||||
CommonSpirit Health | 5.935% | 6/22/2023 | 516,000 | 514,254 | ||||||||
Total | 1,346,508 | |||||||||||
Oil & Gas 0.68% | ||||||||||||
Ovintiv, Inc. | 6.093% | 6/16/2023 | 379,000 | 378,060 | ||||||||
Ovintiv, Inc. | 6.167% | 6/9/2023 | 325,000 | 324,563 | ||||||||
Suncor Energy, Inc. | 5.776% | 8/21/2023 | 1,825,000 | 1,801,630 | ||||||||
Total | 2,504,253 | |||||||||||
Pharmaceuticals 0.45% | ||||||||||||
Bayer Corp. | 6.048% | 7/21/2023 | 1,688,000 | 1,674,285 | ||||||||
Pipelines 0.18% | ||||||||||||
Targa Resources Corp. | 6.117% | 6/7/2023 | 670,000 | 669,330 | ||||||||
Total Commercial Paper (cost $10,878,485) | 10,880,237 | |||||||||||
REPURCHASE AGREEMENTS 1.19% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $1,544,000 of U.S. Treasury Note at 0.500% due 2/28/2026; value: $1,400,336; proceeds: $1,372,941 (cost $1,372,841) | 1,372,841 | 1,372,841 | ||||||||||
Repurchase Agreement dated 5/31/2023, 5.100% due 6/1/2023 with TD Securities USA LLC collateralized by $3,124,000 of U.S. Treasury Bond at 3.875% due 5/15/2043; value: $3,062,411; proceeds: $2,999,879 (cost $2,999,472) | 2,999,472 | 2,999,472 | ||||||||||
Total Repurchase Agreement (cost $4,372,313) | 4,372,313 | |||||||||||
Total Short-Term Investments (cost $15,250,798) | 15,252,550 | |||||||||||
Total Investments in Securities 100.05% (cost $373,163,939) | 367,867,276 | |||||||||||
Other Assets and Liabilities – Net(j) (0.05)% | (171,183 | ) | ||||||||||
Net Assets 100.00% | $ | 367,696,093 |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $152,638,565, which represents 41.51% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Level 3 Investment as described in Note 2(u) 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. |
226 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2023
(b) | Foreign security traded in U.S. dollars. | |
(c) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(d) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(f) | Interest Rate to be determined. | |
(g) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(j) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts and swap contracts as follows: |
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at May 31, 2023:
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 | Value/ Unrealized Appreciation | |||||||||
Goldman Sachs | 2.399% | CPI Urban Consumer NSA | 10/4/2023 | $1,248,431 | $ | 9,566 | ||||||||
Goldman Sachs | 4.145% | CPI Urban Consumer NSA | 4/15/2024 | 1,205,569 | 4,143 | |||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 13,709 | ||||||||||||
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 | Value/ Unrealized Depreciation | |||||||||
Goldman Sachs | 2.750% | CPI Urban Consumer NSA | 3/24/2024 | $1,800,000 | $ | (1,545 | ) | |||||||
Goldman Sachs | 2.548% | CPI Urban Consumer NSA | 3/27/2025 | 1,800,000 | (7,263 | ) | ||||||||
Total Unrealized Depreciation on Centrally Cleared CPI Swap Contracts | $ | (8,808 | ) |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2023 | 732 | Long | $ | 150,605,381 | $ | 150,666,188 | $ | 60,807 | |||||||||
U.S. 5-Year Treasury Note | September 2023 | 131 | Short | (14,297,452 | ) | (14,289,234 | ) | 8,218 | ||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 69,025 |
See Notes to Financial Statements. | 227 |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION CORE BOND FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 29,155,443 | $ | 1,282,600 | $ | 30,438,043 | ||||||||
Remaining Industries | – | 32,567,665 | – | 32,567,665 | ||||||||||||
Corporate Bonds | – | 224,713,611 | – | 224,713,611 | ||||||||||||
Floating Rate Loans | – | 21,966,570 | – | 21,966,570 | ||||||||||||
Foreign Government Obligations | – | 3,859,107 | – | 3,859,107 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 7,523 | – | 7,523 | ||||||||||||
Municipal Bonds | – | 82,091 | – | 82,091 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 22,968,911 | – | 22,968,911 | ||||||||||||
U.S. Treasury Obligations | – | 16,011,205 | – | 16,011,205 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 10,880,237 | – | 10,880,237 | ||||||||||||
Repurchase Agreements | – | 4,372,313 | – | 4,372,313 | ||||||||||||
Total | $ | – | $ | 366,584,676 | $ | 1,282,600 | $ | 367,867,276 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 13,709 | $ | – | $ | 13,709 | ||||||||
Liabilities | – | (8,808 | ) | – | (8,808 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 69,025 | – | – | 69,025 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 69,025 | $ | 4,901 | $ | – | $ | 73,926 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period in relation to the Fund’s net assets.
228 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.60% | ||||||||||||
ASSET-BACKED SECURITIES 24.18% | ||||||||||||
Automobiles 8.25% | ||||||||||||
AmeriCredit Automobile Receivables Trust Series 2019-1 Class C | 3.36% | 2/18/2025 | $ | 3,860,234 | $ | 3,854,314 | ||||||
AmeriCredit Automobile Receivables Trust Series 2020-1 Class B | 1.48% | 1/21/2025 | 361,949 | 361,453 | ||||||||
AmeriCredit Automobile Receivables Trust Series 2022-2 Class C | 5.32% | 4/18/2028 | 20,175,000 | 20,056,724 | ||||||||
AmeriCredit Automobile Receivables Trust Series 2023-1 Class A2A | 5.84% | 10/19/2026 | 117,550,000 | 117,539,973 | ||||||||
AmeriCredit Automobile Receivables Trust Series 2023-1 Class A3 | 5.62% | 11/18/2027 | 70,765,000 | 71,012,338 | ||||||||
AmeriCredit Automobile Receivables Trust Series 2023-1 Class B | 5.57% | 3/20/2028 | 27,795,000 | 27,798,258 | ||||||||
AmeriCredit Automobile Receivables Trust Series 2023-1 Class C | 5.80% | 12/18/2028 | 27,200,000 | 27,337,529 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2018-2A Class A† | 4.00% | 3/20/2025 | 22,004,000 | 21,756,486 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2018-2A Class D† | 3.04% | 3/20/2025 | 59,000,000 | 56,431,159 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2020-2A Class A† | 2.02% | 2/20/2027 | 22,560,000 | 20,676,001 | ||||||||
BMW Vehicle Lease Trust Series 2023-1 Class A3 | 5.16% | 11/25/2025 | 37,725,000 | 37,602,556 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-2 Class A2A | 3.74% | 9/15/2025 | 73,970,683 | 73,149,631 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-2 Class A3 | 3.66% | 5/17/2027 | 127,880,000 | 124,479,811 | ||||||||
Capital One Prime Auto Receivables Trust Series 2023-1 Class A2 | 5.20% | 5/15/2026 | 64,275,000 | 63,974,739 | ||||||||
Capital One Prime Auto Receivables Trust Series 2023-1 Class A3 | 4.87% | 2/15/2028 | 72,135,000 | 71,996,082 | ||||||||
CarMax Auto Owner Trust Series 2020-2 Class A3 | 1.70% | 11/15/2024 | 270,216 | 269,802 | ||||||||
CarMax Auto Owner Trust Series 2020-2 Class A4 | 2.05% | 5/15/2025 | 35,731,000 | 35,157,643 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class A3 | 4.75% | 10/15/2027 | 64,375,000 | 64,055,674 | ||||||||
Carvana Auto Receivables Trust Series 2021-N1 Class A | 0.70% | 1/10/2028 | 12,065,367 | 11,371,018 | ||||||||
Carvana Auto Receivables Trust Series 2022-P1 Class A3 | 3.35% | 2/10/2027 | 178,760,000 | 172,564,572 | ||||||||
Carvana Auto Receivables Trust Series 2022-P2 Class A4 | 4.68% | 2/10/2028 | 50,912,000 | 49,277,022 |
See Notes to Financial Statements. | 229 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Carvana Auto Receivables Trust Series 2022-P3 Class A3 | 4.61% | 11/10/2027 | $ | 42,209,000 | $ | 41,152,163 | ||||||
CPS Auto Receivables Trust Series 2019-B Class E† | 5.00% | 3/17/2025 | 2,752,957 | 2,733,549 | ||||||||
CPS Auto Receivables Trust Series 2019-C Class D† | 3.17% | 6/16/2025 | 467,303 | 466,782 | ||||||||
CPS Auto Receivables Trust Series 2020-A Class E† | 4.09% | 12/15/2025 | 11,448,000 | 11,248,488 | ||||||||
Credit Acceptance Auto Loan Trust Series 2021-3A Class A† | 1.00% | 5/15/2030 | 48,200,000 | 46,904,225 | ||||||||
Drive Auto Receivables Trust Series 2019-2 Class D | 3.69% | 8/17/2026 | 11,550,488 | 11,531,293 | ||||||||
Drive Auto Receivables Trust Series 2019-4 Class D | 2.70% | 2/16/2027 | 28,309,824 | 27,952,537 | ||||||||
Drive Auto Receivables Trust Series 2021-1 Class C | 1.02% | 6/15/2027 | 24,299,766 | 23,913,412 | ||||||||
Enterprise Fleet Financing LLC Series 2020-2 Class A2† | 0.61% | 7/20/2026 | 19,713,645 | 19,375,201 | ||||||||
Enterprise Fleet Financing LLC Series 2022-3 Class A2† | 4.38% | 7/20/2029 | 40,650,000 | 39,888,276 | ||||||||
Enterprise Fleet Financing LLC Series 2023-1 Class A2† | 5.51% | 1/22/2029 | 51,400,000 | 51,272,893 | ||||||||
Exeter Automobile Receivables Trust Series 2021-2A Class C | 0.98% | 6/15/2026 | 27,259,352 | 26,608,066 | ||||||||
Exeter Automobile Receivables Trust Series 2021-2A Class D | 1.40% | 4/15/2027 | 9,635,000 | 8,934,358 | ||||||||
Exeter Automobile Receivables Trust Series 2021-3A Class E† | 3.04% | 12/15/2028 | 40,830,000 | 36,661,298 | ||||||||
Exeter Automobile Receivables Trust Series 2022-3A Class A3 | 4.21% | 1/15/2026 | 51,654,120 | 51,420,653 | ||||||||
Exeter Automobile Receivables Trust Series 2022-3A Class B | 4.86% | 12/15/2026 | 51,653,000 | 50,993,112 | ||||||||
First Investors Auto Owners Trust Series 2022-2A Class A† | 6.26% | 7/15/2027 | 101,898,223 | 102,103,334 | ||||||||
Ford Credit Auto Owner Trust Series 2018-2 Class A† | 3.47% | 1/15/2030 | 97,245,000 | 97,012,283 | ||||||||
Ford Credit Auto Owner Trust Series 2020-C Class A3 | 0.41% | 7/15/2025 | 37,237,548 | 36,339,322 | ||||||||
Ford Credit Auto Owner Trust Series 2022-1 Class A† | 3.88% | 11/15/2034 | 115,555,000 | 111,550,349 | ||||||||
Ford Credit Auto Owner Trust Series REV1 2018-1 Class A† | 3.19% | 7/15/2031 | 39,589,000 | 38,179,762 | ||||||||
Ford Credit Auto Owner Trust Series REV1 2021-1 Class A† | 1.37% | 10/17/2033 | 36,875,000 | 33,402,972 | ||||||||
Ford Credit Auto Owner Trust Series REV2 2019-1 Class A† | 3.52% | 7/15/2030 | 89,401,000 | 88,039,762 |
230 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
GLS Auto Receivables Issuer Trust Series 2022-3A Class A2† | 4.59% | 5/15/2026 | $ | 26,977,201 | $ | 26,732,793 | ||||||
GM Financial Automobile Leasing Trust Series 2022-2 Class A3 | 3.42% | 6/20/2025 | 91,915,000 | 90,132,235 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-3 Class A2A | 4.01% | 10/21/2024 | 88,993,607 | 88,402,298 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-3 Class A3 | 4.01% | 9/22/2025 | 121,646,000 | 119,700,807 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class A2A | 5.27% | 6/20/2025 | 42,690,000 | 42,527,176 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class A3 | 5.16% | 4/20/2026 | 59,670,000 | 59,555,654 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class A3 | 5.05% | 7/20/2026 | 35,855,000 | 35,766,721 | ||||||||
Hertz Vehicle Financing III LP Series 2021-2A Class A† | 1.68% | 12/27/2027 | 120,899,000 | 106,578,779 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 91,200,000 | 85,163,518 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class D† | 3.98% | 12/26/2025 | 25,000,000 | 23,375,235 | ||||||||
Honda Auto Receivables Owner Trust Series 2023-1 Class A2 | 5.22% | 10/21/2025 | 38,300,000 | 38,151,415 | ||||||||
Hyundai Auto Lease Securitization Trust Series 2022-C Class A2A† | 4.34% | 1/15/2025 | 60,071,132 | 59,606,110 | ||||||||
LAD Auto Receivables Trust Series 2023-1A Class A2† | 5.68% | 10/15/2026 | 45,450,000 | 45,240,657 | ||||||||
NextGear Floorplan Master Owner Trust Series 2023-1A Class A2† | 5.74% | 3/15/2028 | 97,480,000 | 98,829,825 | ||||||||
Nissan Auto Lease Trust Series 2022-A Class A3 | 3.81% | 5/15/2025 | 77,680,000 | 76,538,329 | ||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A† | 0.87% | 7/14/2028 | 119,845,000 | 112,673,763 | ||||||||
Prestige Auto Receivables Trust Series 2022-1A Class A2† | 5.90% | 7/15/2025 | 53,794,463 | 53,702,237 | ||||||||
Prestige Auto Receivables Trust Series 2022-1A Class A3† | 6.09% | 5/15/2026 | 22,620,000 | 22,559,813 | ||||||||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75% | 2/17/2026 | 21,571,020 | 21,369,544 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class A2 | 3.98% | 1/15/2025 | 21,085,538 | 21,052,737 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class A2 | 4.37% | 5/15/2025 | 59,072,907 | 58,941,245 |
See Notes to Financial Statements. | 231 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class B | 4.72% | 6/15/2027 | $ | 7,500,000 | $ | 7,360,767 | ||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class C | 4.96% | 11/15/2028 | 5,600,000 | 5,501,011 | ||||||||
Santander Retail Auto Lease Trust Series 2021-A Class A3† | 0.51% | 7/22/2024 | 100,295,560 | 98,833,582 | ||||||||
Santander Retail Auto Lease Trust Series 2021-C Class A3† | 0.50% | 3/20/2025 | 19,010,490 | 18,757,135 | ||||||||
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A† | 1.35% | 5/25/2033 | 29,655,000 | 27,524,024 | ||||||||
Tricolor Auto Securitization Trust Series 2023-1A Class A† | 6.48% | 8/17/2026 | 27,532,640 | 27,471,264 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class A2A† | 0.32% | 4/15/2025 | 7,827,892 | 7,803,721 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class C† | 0.89% | 7/15/2026 | 53,150,000 | 50,672,477 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class A2A† | 5.87% | 7/15/2026 | 137,735,000 | 137,492,201 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class B† | 6.14% | 3/15/2028 | 35,330,000 | 35,617,671 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class C† | 4.85% | 9/15/2027 | 23,985,000 | 23,427,152 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class A2A† | 5.51% | 6/15/2026 | 84,460,000 | 84,168,858 | ||||||||
World Omni Select Auto Trust Series 2019-A Class C | 2.38% | 12/15/2025 | 8,348,812 | 8,267,230 | ||||||||
World Omni Select Auto Trust Series 2019-A Class D | 2.59% | 12/15/2025 | 25,464,000 | 25,026,750 | ||||||||
Total | 3,872,931,609 | |||||||||||
Credit Card 1.45% | ||||||||||||
American Express Credit Account Master Trust Series 2022-2 Class A | 3.39% | 5/15/2027 | 97,593,000 | 94,923,529 | ||||||||
BA Credit Card Trust Series 2022-A2 Class A2 | 5.00% | 4/15/2028 | 56,065,000 | 56,389,016 | ||||||||
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A | 3.49% | 5/15/2027 | 153,288,000 | 149,278,216 | ||||||||
Chase Issuance Trust Series 2022-A1 Class A | 3.97% | 9/15/2027 | 31,400,000 | 30,833,199 | ||||||||
Citibank Credit Card Issuance Trust Series 2017-A6 Class A6 | 5.877% (1 mo. USD LIBOR + 0.77% | )# | 5/14/2029 | 26,080,000 | 26,113,432 | |||||||
Discover Card Execution Note Trust Series 2022-A3 Class A3 | 3.56% | 7/15/2027 | 98,691,000 | 96,141,288 |
232 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Credit Card (continued) | ||||||||||||
Discover Card Execution Note Trust Series 2022-A4 Class A | 5.03% | 10/15/2027 | $ | 123,665,000 | $ | 124,309,159 | ||||||
Golden Credit Card Trust Series 2018-4A Class A† | 3.44% | 8/15/2025 | 28,161,000 | 28,029,789 | ||||||||
Newday Funding Master Issuer PLC Series 2021-1A Class A2† | 6.166% (SOFR + 1.10% | )# | 3/15/2029 | 19,600,000 | 19,527,844 | |||||||
Perimeter Master Note Business Trust Series 2019-2A Class A† | 4.23% | 5/15/2024 | 14,756,972 | 14,547,777 | ||||||||
Perimeter Master Note Business Trust Series 2021-1A Class A† | 3.19% | 12/15/2026 | 46,000,000 | 42,781,447 | ||||||||
Total | 682,874,696 | |||||||||||
Other 13.72% | ||||||||||||
ACAM Ltd. Series 2019-FL1 Class A† | 6.404% (1 mo. USD Term SOFR + 1.51% | )# | 11/17/2034 | 5,928,006 | 5,868,726 | |||||||
ACAM Ltd. Series 2019-FL1 Class A† | 6.261% (1 mo. USD LIBOR + 1.15% | )# | 10/16/2036 | 102,830,000 | 101,133,591 | |||||||
ACAM Ltd. Series 2019-FL1 Class AS† | 6.754% (1 mo. USD Term SOFR + 1.86% | )# | 11/17/2034 | 25,000,000 | 24,131,316 | |||||||
Affirm Asset Securitization Trust Series 2021-B Class A† | 1.03% | 8/17/2026 | 89,250,000 | 86,227,210 | ||||||||
Affirm Asset Securitization Trust Series 2022-A Class 1A† | 4.30% | 5/17/2027 | 30,000,000 | 28,608,252 | ||||||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | 14,976,592 | 14,583,266 | ||||||||
AIMCO CLO Series 2018-BA Class AR† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 1/15/2032 | 69,000,000 | 68,281,770 | |||||||
AMMC CLO Ltd. Series 2020-23A Class A1R† | 6.30% (3 mo. USD LIBOR + 1.04% | )# | 10/17/2031 | 116,150,000 | 114,708,854 | |||||||
Anchorage Capital CLO 3-R Ltd. Series 2014-3RA Class A† | 6.323% (3 mo. USD LIBOR + 1.05% | )# | 1/28/2031 | 29,543,918 | 29,174,619 | |||||||
Anchorage Capital CLO 4-R Ltd. Series 2014-4RA Class A† | 6.323% (3 mo. USD LIBOR + 1.05% | )# | 1/28/2031 | 38,681,104 | 38,457,282 | |||||||
Apidos CLO XXII Series 2015-22A Class A1R† | 6.31% (3 mo. USD LIBOR + 1.06% | )# | 4/20/2031 | 79,418,000 | 78,407,239 | |||||||
Apidos CLO XXXI Series 2019-31A Class A1R† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 4/15/2031 | 86,400,000 | 85,069,521 | |||||||
Aqua Finance Trust Series 2019-A Class A† | 3.14% | 7/16/2040 | 10,336,753 | 9,726,270 | ||||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 68,728,102 | 61,240,939 |
See Notes to Financial Statements. | 233 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.207% (1 mo. USD LIBOR + 1.10% | )# | 5/15/2036 | $ | 40,530,000 | $ | 39,633,671 | |||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.177% (1 mo. USD LIBOR + 1.07% | )# | 8/15/2034 | 60,510,000 | 58,624,260 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class AS† | 6.507% (1 mo. USD LIBOR + 1.40% | )# | 8/15/2034 | 18,530,000 | 18,107,051 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4 Class A† | 6.457% (1 mo. USD LIBOR + 1.35% | )# | 11/15/2036 | 138,500,000 | 135,618,369 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1 Class A† | 6.322% (30 day USD SOFR Average + 1.45% | )# | 1/15/2037 | 89,340,000 | 87,736,144 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL2 Class A† | 6.909% (1 mo. USD Term SOFR + 1.85% | )# | 5/15/2037 | 67,630,000 | 66,805,387 | |||||||
ARES L CLO Ltd. Series 2018-50A Class AR† | 6.31% (3 mo. USD LIBOR + 1.05% | )# | 1/15/2032 | 117,390,000 | 115,629,150 | |||||||
Bain Capital Credit CLO Ltd. Series 2017-1A Class A1R† | 6.22% (3 mo. USD LIBOR + 0.97% | )# | 7/20/2030 | 82,071,990 | 81,217,646 | |||||||
Bain Capital Credit CLO Ltd. Series 2020-5A Class A1† | 6.47% (3 mo. USD LIBOR + 1.22% | )# | 1/20/2032 | 72,770,000 | 72,099,406 | |||||||
Ballyrock CLO Ltd. Series 2019-1A Class A1R† | 6.29% (3 mo. USD LIBOR + 1.03% | )# | 7/15/2032 | 138,960,000 | 136,368,292 | |||||||
Barings CLO Ltd. Series 2019-3A Class A1R† | 6.32% (3 mo. USD LIBOR + 1.07% | )# | 4/20/2031 | 7,210,000 | 7,108,431 | |||||||
BDS Ltd. Series 2021-FL7 Class A† | 6.181% (1 mo. USD LIBOR + 1.07% | )# | 6/16/2036 | 54,450,000 | 53,050,431 | |||||||
Benefit Street Partners CLO IV Ltd. Series 2014-IVA Class ARRR† | 6.43% (3 mo. USD LIBOR + 1.18% | )# | 1/20/2032 | 77,740,000 | 76,715,556 | |||||||
Benefit Street Partners CLO V-B Ltd. Series 2018-5BA Class A1A† | 6.34% (3 mo. USD LIBOR + 1.09% | )# | 4/20/2031 | 42,000,000 | 41,480,941 | |||||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2029 | 66,449,765 | 65,550,604 |
234 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
BSPRT Issuer Ltd. Series 2021-FL7 Class A† | 6.427% (1 mo. USD LIBOR + 1.32% | )# | 12/15/2038 | $ | 58,340,000 | $ | 56,880,406 | |||||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2031 | 75,279,242 | 74,375,591 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-1A Class A1AR† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 4/20/2031 | 98,250,000 | 96,740,794 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-2A Class A1R† | 6.30% (3 mo. USD LIBOR + 1.05% | )# | 7/20/2031 | 65,210,000 | 64,393,753 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.15% (3 mo. USD LIBOR + 0.90% | )# | 7/20/2029 | 22,653,887 | 22,400,873 | |||||||
Cedar Funding X CLO Ltd. Series 2019-10A Class AR† | 6.35% (3 mo. USD LIBOR + 1.10% | )# | 10/20/2032 | 10,610,000 | 10,426,855 | |||||||
Cedar Funding XIV CLO Ltd. Series 2021-14A Class A† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 7/15/2033 | 96,630,000 | 95,391,101 | |||||||
CF Hippolyta Issuer LLC Series 2021-1A Class A1† | 1.53% | 3/15/2061 | 37,697,902 | 32,986,441 | ||||||||
CIFC Funding II Ltd. Series 2013-2A Class A1L2† | 6.262% (3 mo. USD LIBOR + 1.00% | )# | 10/18/2030 | 36,810,937 | 36,461,011 | |||||||
CIFC Funding Ltd. Series 2021-4A Class A† | 6.31% (3 mo. USD LIBOR + 1.05% | )# | 7/15/2033 | 46,100,000 | 45,466,125 | |||||||
CNH Equipment Trust Series 2022-B Class A2 | 3.94% | 12/15/2025 | 42,883,710 | 42,541,043 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class A2† | 0.33% | 12/22/2026 | 2,101,925 | 2,095,842 | ||||||||
Dryden 55 CLO Ltd. Series 2018-55A Class A1† | 6.28% (3 mo. USD LIBOR + 1.02% | )# | 4/15/2031 | 20,170,207 | 19,982,545 | |||||||
Dryden CLO Ltd. Series 2019-72A Class AR† | 6.401% (3 mo. USD LIBOR + 1.08% | )# | 5/15/2032 | 61,070,000 | 60,112,611 | |||||||
Dryden Senior Loan Fund Series 2017-47A Class A1R† | 6.24% (3 mo. USD LIBOR + 0.98% | )# | 4/15/2028 | 74,420,129 | 73,671,780 | |||||||
Elmwood CLO X Ltd. Series 2021-3A Class A† | 6.29% (3 mo. USD LIBOR + 1.04% | )# | 10/20/2034 | 64,360,000 | 63,475,436 | |||||||
Fairstone Financial Issuance Trust Series I 2020-1A Class A†(a) | 2.509% | 10/20/2039 | CAD | 35,080,000 | 25,329,688 | |||||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.223% (3 mo. USD LIBOR + 0.95% | )# | 7/24/2030 | $ | 52,383,575 | 51,729,161 | ||||||
Greystone CRE Notes Ltd. Series 2021-FL3 Class A† | 6.194% (1 mo. USD Term SOFR + 1.13% | )# | 7/15/2039 | 98,670,000 | 95,980,011 | |||||||
Greywolf CLO VII Ltd. Series 2018-2A Class A1† | 6.489% (3 mo. USD Term SOFR + 1.44% | )# | 10/20/2031 | 37,250,000 | 36,964,941 |
See Notes to Financial Statements. | 235 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Halcyon Loan Advisors Funding Ltd. Series 2015-2A Class BR† | 6.905% (3 mo. USD LIBOR + 1.65% | )# | 7/25/2027 | $ | 745,212 | $ | 746,865 | |||||
Halcyon Loan Advisors Funding Ltd. Series 2017-2A Class A2† | 6.96% (3 mo. USD LIBOR + 1.70% | )# | 1/17/2030 | 23,027,000 | 22,672,925 | |||||||
HGI CRE CLO Ltd. Series 2021-FL2 Class A† | 6.105% (1 mo. USD LIBOR + 1.00% | )# | 9/17/2036 | 23,657,352 | 22,883,212 | |||||||
HPEFS Equipment Trust Series 2023-1A Class A2† | 5.43% | 8/20/2025 | 91,705,000 | 91,321,481 | ||||||||
JFIN CLO Ltd. Series 2013-1A Class A1NR† | 6.64% (3 mo. USD LIBOR + 1.39% | )# | 1/20/2030 | 42,082,611 | 41,858,524 | |||||||
JFIN CLO Ltd. Series 2013-1A Class A2R† | 7.45% (3 mo. USD LIBOR + 2.20% | )# | 1/20/2030 | 37,290,505 | 36,894,414 | |||||||
KKR CLO Ltd. Series 24 Class A1R† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 4/20/2032 | 130,540,000 | 128,603,419 | |||||||
KKR CLO Ltd. Series 30A Class A1R† | 6.28% (3 mo. USD LIBOR + 1.02% | )# | 10/17/2031 | 18,250,000 | 18,014,776 | |||||||
KKR CLO Ltd. Series 38A Class A1† | 6.306% (3 mo. USD Term SOFR + 1.32% | )# | 4/15/2033 | 38,950,000 | 38,083,506 | |||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.178% (1 mo. USD LIBOR + 1.07% | )# | 2/15/2039 | 74,690,000 | 72,078,673 | |||||||
KREF Ltd. Series 2021-FL2 Class AS† | 6.408% (1 mo. USD LIBOR + 1.30% | )# | 2/15/2039 | 37,030,000 | 35,085,925 | |||||||
LCM XXII Ltd. Series 22A Class A1R† | 6.41% (3 mo. USD LIBOR + 1.16% | )# | 10/20/2028 | 8,155,663 | 8,097,345 | |||||||
Lendmark Funding Trust Series 2021-1A Class A† | 5.12% | 7/20/2032 | 82,215,000 | 80,649,881 | ||||||||
Lendmark Funding Trust Series 2021-2A Class A† | 2.00% | 4/20/2032 | 137,050,000 | 117,944,325 | ||||||||
Lendmark Funding Trust Series 2023-1A Class A† | 5.59% | 5/20/2033 | 36,380,000 | 36,069,890 | ||||||||
LMREC, Inc. Series 2019-CRE3 Class A† | 6.527% (1 mo. USD LIBOR + 1.40% | )# | 12/22/2035 | 24,083,043 | 23,826,786 | |||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.456% (30 day USD SOFR Average + 1.55% | )# | 1/17/2037 | 77,070,000 | 75,765,445 | |||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.173% (3 mo. USD LIBOR + 0.90% | )# | 7/23/2029 | 13,220,240 | 13,078,770 | |||||||
Madison Park Funding XVII Ltd. Series 2015-17A Class AR2† | 6.261% (3 mo. USD LIBOR + 1.00% | )# | 7/21/2030 | 45,666,594 | 45,141,429 | |||||||
Madison Park Funding XXV Ltd. Series 2017-25A Class A1R† | 6.225% (3 mo. USD LIBOR + 0.97% | )# | 4/25/2029 | 52,189,448 | 51,617,760 |
236 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Magnetite VII Ltd. Series 2012-7A Class A1R2† | 6.06% (3 mo. USD LIBOR + 0.80% | )# | 1/15/2028 | $ | 29,580,618 | $ | 29,336,578 | |||||
Magnetite XXII Ltd. Series 2019-22A Class AR† | 6.32% (3 mo. USD LIBOR + 1.06% | )# | 4/15/2031 | 47,750,000 | 47,148,168 | |||||||
Magnetite Xxix Ltd. Series 2021-29A Class A† | 6.25% (3 mo. USD LIBOR + 0.99% | )# | 1/15/2034 | 79,670,000 | 78,556,418 | |||||||
Mariner Finance Issuance Trust Series 2021-BA Class A† | 2.10% | 11/20/2036 | 64,135,000 | 56,296,998 | ||||||||
MF1 LLC Series 2022-FL9 Class A† | 7.223% (1 mo. USD Term SOFR + 2.15% | )# | 6/19/2037 | 89,910,000 | 89,626,783 | |||||||
MF1 Ltd. Series 2021-FL6 Class AS† | 6.561% (1 mo. USD LIBOR + 1.45% | )# | 7/16/2036 | 53,870,000 | 52,765,367 | |||||||
MF1 Ltd. Series 2021-FL7 Class A† | 6.191% (1 mo. USD LIBOR + 1.08% | )# | 10/16/2036 | 51,562,000 | 50,144,045 | |||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.35% (3 mo. USD LIBOR + 1.09% | )# | 10/16/2029 | 27,401,874 | 27,208,475 | |||||||
Mountain View CLO LLC Series 2017-1A Class BR† | 7.01% (3 mo. USD LIBOR + 1.75% | )# | 10/16/2029 | 36,501,623 | 35,871,197 | |||||||
MVW Owner Trust Series 2017-1A Class A† | 2.42% | 12/20/2034 | 2,260,117 | 2,237,487 | ||||||||
New Economy Assets Phase 1 Sponsor LLC Series 2021-1 Class A1† | 1.91% | 10/20/2061 | 70,550,000 | 60,989,036 | ||||||||
New Economy Assets Phase 1 Sponsor LLC Series 2021-1 Class B1† | 2.41% | 10/20/2061 | 28,890,000 | 24,307,364 | ||||||||
Newark BSL CLO 1 Ltd. Series 2016-1A Class A1R† | 6.44% (3 mo. USD Term SOFR + 1.36% | )# | 12/21/2029 | 62,150,606 | 61,663,516 | |||||||
Newark BSL CLO 2 Ltd. Series 2017-1A Class A1R† | 6.225% (3 mo. USD LIBOR + 0.97% | )# | 7/25/2030 | 45,346,274 | 44,911,792 | |||||||
OCP CLO Ltd. Series 2019-17A Class A1R† | 6.29% (3 mo. USD LIBOR + 1.04% | )# | 7/20/2032 | 157,030,000 | 154,303,576 | |||||||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R† | 6.25% (3 mo. USD LIBOR + 1.00% | )# | 3/17/2030 | 33,147,708 | 32,766,509 | |||||||
Octagon Investment Partners 32 Ltd. Series 2017-1A Class A1R† | 6.21% (3 mo. USD LIBOR + 0.95% | )# | 7/15/2029 | 111,905,361 | 110,853,104 | |||||||
Octagon Investment Partners 49 Ltd. Series 2020-5A Class A1† | 6.48% (3 mo. USD LIBOR + 1.22% | )# | 1/15/2033 | 44,600,000 | 44,109,976 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.21% (3 mo. USD LIBOR + 0.95% | )# | 7/15/2029 | 38,501,695 | 38,194,496 |
See Notes to Financial Statements. | 237 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Octagon Investment Partners XXI Ltd. Series 2014-1A Class AAR3† | 6.321% (3 mo. USD LIBOR + 1.00% | )# | 2/14/2031 | $ | 73,440,000 | $ | 72,448,560 | |||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 45,746,671 | 45,227,359 | ||||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 6,699,958 | 6,594,015 | ||||||||
OneMain Financial Issuance Trust Series 2019-2A Class A† | 3.14% | 10/14/2036 | 75,865,000 | 69,597,565 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class A† | 1.75% | 9/14/2035 | 21,084,000 | 18,992,231 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class C† | 2.76% | 9/14/2035 | 14,375,000 | 12,643,300 | ||||||||
OneMain Financial Issuance Trust Series 2021-1A Class A1† | 1.55% | 6/16/2036 | 18,050,000 | 15,802,658 | ||||||||
OneMain Financial Issuance Trust Series 2021-3A Class A† | 5.94% | 5/15/2034 | 105,705,000 | 106,456,742 | ||||||||
Orange Lake Timeshare Trust Series 2019-A Class A† | 3.06% | 4/9/2038 | 4,462,241 | 4,273,040 | ||||||||
OZLM XVII Ltd. Series 2017 17A Class A1† | 6.50% (3 mo. USD LIBOR + 1.25% | )# | 7/20/2030 | 11,925,527 | 11,824,228 | |||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 84,071,085 | 81,699,524 | ||||||||
Perimeter Master Note Business | 2.13% | 5/15/2027 | 90,000,000 | 85,471,224 | ||||||||
PFS Financing Corp. Series 2020-E Class A† | 1.00% | 10/15/2025 | 71,520,000 | 70,197,059 | ||||||||
PFS Financing Corp. Series 2020-G Class A† | 0.97% | 2/15/2026 | 55,841,000 | 53,844,131 | ||||||||
PFS Financing Corp. Series 2023-A Class A† | 5.80% | 3/15/2028 | 90,750,000 | 92,226,956 | ||||||||
Planet Fitness Master Issuer LLC Series 2018-1A Class A2II† | 4.666% | 9/5/2048 | 18,105,845 | 17,444,835 | ||||||||
Prima Capital CRE Securitization Ltd. Series 2013-3A Class C† | 5.00% | 10/24/2035 | 35,011,000 | 33,568,057 | (b) | |||||||
Rad CLO 2 Ltd. Series 2018-2A Class AR† | 6.34% (3 mo. USD LIBOR + 1.08% | )# | 10/15/2031 | 100,220,000 | 99,126,084 | |||||||
Romark CLO Ltd. Series 2017-1A Class A1R† | 6.303% (3 mo. USD LIBOR + 1.03% | )# | 10/23/2030 | 56,835,574 | 56,272,856 | |||||||
SCF Equipment Leasing LLC Series 2019-2A Class A2† | 2.47% | 4/20/2026 | 33,083,275 | 32,872,944 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class A3† | 0.83% | 8/21/2028 | 88,097,381 | 85,785,873 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class B† | 1.37% | 8/20/2029 | 14,900,000 | 13,763,784 | ||||||||
SCF Equipment Leasing LLC Series 2022-1A Class A3† | 2.92% | 7/20/2029 | 111,160,000 | 106,045,951 | ||||||||
SCF Equipment Leasing LLC Series 2022-1A Class B† | 3.22% | 10/21/2030 | 45,560,000 | 42,069,352 | ||||||||
TCI-Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.29% (3 mo. USD LIBOR + 0.96% | )# | 11/18/2030 | 49,780,287 | 49,332,265 |
238 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
TCI-Flatiron CLO Ltd. Series 2018-1A Class ANR† | 6.359% (3 mo. USD LIBOR + 1.06% | )# | 1/29/2032 | $ | 32,300,000 | $ | 31,839,543 | |||||
TICP CLO XIV Ltd. Series 2019-14A Class A1R† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 10/20/2032 | 25,520,000 | 25,030,518 | |||||||
Upstart Securitization Trust Series 2021-2 Class A† | 0.91% | 6/20/2031 | 3,654,823 | 3,636,185 | ||||||||
Upstart Securitization Trust Series 2021-5 Class A† | 1.31% | 11/20/2031 | 19,261,619 | 18,785,179 | ||||||||
Venture 33 CLO Ltd. Series 2018-33A Class A1LR† | 6.32% (3 mo. USD LIBOR + 1.06% | )# | 7/15/2031 | 68,200,000 | 67,319,896 | |||||||
VERDE CLO Ltd. Series 2019-1A Class AR† | 6.36% (3 mo. USD LIBOR + 1.10% | )# | 4/15/2032 | 19,355,000 | 19,060,163 | |||||||
Verizon Master Trust Series 2022-7 Class A1A | 5.23% | 11/22/2027 | 89,315,000 | 89,230,490 | ||||||||
Wind River CLO Ltd. Series 2013-1A Class A1RR† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2030 | 93,228,694 | 92,477,398 | |||||||
Total | 6,441,456,403 | |||||||||||
Rec Vehicle Loan 0.22% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | 12,183,221 | 11,814,159 | ||||||||
Octane Receivables Trust Series 2022-1A Class A2† | 4.18% | 3/20/2028 | 59,799,765 | 58,725,540 | ||||||||
Octane Receivables Trust Series 2023-1A Class A† | 5.87% | 5/21/2029 | 31,867,624 | 31,766,534 | ||||||||
Total | 102,306,233 | |||||||||||
Student Loan 0.54% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-FA Class A† | 1.22% | 7/15/2069 | 40,798,074 | 36,514,521 | ||||||||
Navient Private Education Refi Loan Trust Series 2021-CA Class A† | 1.06% | 10/15/2069 | 103,231,342 | 90,032,802 | ||||||||
Navient Private Education Refi Loan Trust Series 2022-A Class A† | 2.23% | 7/15/2070 | 93,278,739 | 82,050,423 | ||||||||
Nelnet Student Loan Trust Series 2021-A Class APT1† | 1.36% | 4/20/2062 | 40,487,155 | 36,484,729 | ||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 5.738% (1 mo. USD LIBOR + 0.60% | )# | 1/25/2046 | 11,218,234 | 11,155,376 | |||||||
Total | 256,237,851 | |||||||||||
Total Asset-Backed Securities (cost $11,659,216,137) | 11,355,806,792 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.00% | ||||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Earthstone Energy, Inc. Class A* (cost $0) | 430 | 5,164 |
See Notes to Financial Statements. | 239 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
CORPORATE BONDS 51.47% | ||||||||||||
Agriculture 1.71% | ||||||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | $ | 27,255,000 | $ | 26,270,366 | ||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 185,456,000 | 180,054,294 | ||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 20,652,000 | 18,997,140 | ||||||||
BAT International Finance PLC (United Kingdom)†(c) | 3.95% | 6/15/2025 | 26,816,000 | 25,975,513 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(c) | 3.125% | 7/26/2024 | 166,275,000 | 160,563,824 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(c) | 6.125% | 7/27/2027 | 114,046,000 | 116,090,527 | ||||||||
Philip Morris International, Inc. | 4.875% | 2/13/2026 | 35,674,000 | 35,613,580 | ||||||||
Philip Morris International, Inc. | 5.00% | 11/17/2025 | 16,316,000 | 16,349,056 | ||||||||
Philip Morris International, Inc. | 5.125% | 11/17/2027 | 64,789,000 | 65,494,920 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 80,775,000 | 79,057,813 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 2.00% | 4/21/2026 | 47,780,000 | 42,516,162 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 4.90% | 4/21/2027 | 36,422,000 | 34,933,911 | ||||||||
Total | 801,917,106 | |||||||||||
Airlines 0.01% | ||||||||||||
Air Canada Pass-Through Trust Series 2015-2B Class B (Canada)†(c) | 5.00% | 6/15/2025 | 4,463,142 | 4,437,335 | ||||||||
Apparel 0.04% | ||||||||||||
PVH Corp. | 4.625% | 7/10/2025 | 19,872,000 | 19,386,065 | ||||||||
Auto Manufacturers 2.43% | ||||||||||||
Daimler Truck Finance North America LLC† | 5.15% | 1/16/2026 | 19,431,000 | 19,446,248 | ||||||||
Ford Motor Credit Co. LLC | 2.30% | 2/10/2025 | 6,566,000 | 6,134,868 | ||||||||
Ford Motor Credit Co. LLC | 3.37% | 11/17/2023 | 24,000,000 | 23,726,174 | ||||||||
Ford Motor Credit Co. LLC | 3.375% | 11/13/2025 | 32,489,000 | 29,995,382 | ||||||||
Ford Motor Credit Co. LLC | 5.125% | 6/16/2025 | 11,355,000 | 11,019,011 | ||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 157,148,000 | 156,578,401 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 48,531,000 | 49,287,576 | ||||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | 74,459,000 | 70,598,412 | ||||||||
General Motors Financial Co., Inc. | 2.90% | 2/26/2025 | 30,070,000 | 28,663,685 | ||||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 35,702,000 | 35,148,049 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 196,712,000 | 195,998,890 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 4/6/2026 | 29,734,000 | 29,611,216 | ||||||||
Hyundai Capital America† | 0.80% | 1/8/2024 | 99,441,000 | 96,464,168 | ||||||||
Hyundai Capital America† | 0.875% | 6/14/2024 | 84,025,000 | 79,961,942 | ||||||||
Hyundai Capital America† | 1.00% | 9/17/2024 | 24,328,000 | 22,915,670 | ||||||||
Hyundai Capital America† | 1.25% | 9/18/2023 | 98,674,000 | 97,289,658 | ||||||||
Hyundai Capital America† | 1.30% | 1/8/2026 | 39,188,000 | 35,160,087 |
240 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
Hyundai Capital America† | 1.50% | 6/15/2026 | $ | 47,772,000 | $ | 42,414,306 | ||||||
Hyundai Capital America† | 1.80% | 10/15/2025 | 10,345,000 | 9,493,336 | ||||||||
Hyundai Capital America† | 5.50% | 3/30/2026 | 46,107,000 | 46,128,778 | ||||||||
Hyundai Capital America† | 5.875% | 4/7/2025 | 13,781,000 | 13,866,612 | ||||||||
Nissan Motor Co. Ltd. (Japan)†(c) | 3.043% | 9/15/2023 | 38,676,000 | 38,291,113 | ||||||||
Total | 1,138,193,582 | |||||||||||
Auto Parts & Equipment 0.08% | ||||||||||||
Clarios Global LP/Clarios U.S. Finance Co.† | 8.50% | 5/15/2027 | 37,478,000 | 37,644,740 | ||||||||
Banks 19.37% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 4.75% | 7/28/2025 | 91,639,000 | 88,923,184 | ||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 4.80% | 4/18/2026 | 48,000,000 | 46,407,624 | ||||||||
AIB Group PLC (Ireland)†(c) | 4.263% (3 mo. USD LIBOR + 1.87% | )# | 4/10/2025 | 122,186,000 | 119,368,612 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(c) | 4.40% | 5/19/2026 | 25,108,000 | 24,048,812 | ||||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(c) | 4.50% | 3/19/2024 | 12,844,000 | 12,674,090 | ||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (Mexico)†(c) | 5.375% | 4/17/2025 | 23,770,000 | 23,683,610 | ||||||||
Bank of America Corp. | 0.523% (SOFR + 0.41% | )# | 6/14/2024 | 78,938,000 | 78,774,045 | |||||||
Bank of America Corp. | 0.981% (SOFR + 0.91% | )# | 9/25/2025 | 19,293,000 | 18,088,316 | |||||||
Bank of America Corp. | 1.197% (SOFR + 1.01% | )# | 10/24/2026 | 131,403,000 | 118,500,943 | |||||||
Bank of America Corp. | 1.319% (SOFR + 1.15% | )# | 6/19/2026 | 81,286,000 | 74,604,048 | |||||||
Bank of America Corp. | 1.53% (SOFR + 0.65% | )# | 12/6/2025 | 40,584,000 | 38,060,197 | |||||||
Bank of America Corp. | 1.734% (SOFR + 0.96% | )# | 7/22/2027 | 30,964,000 | 27,626,946 | |||||||
Bank of America Corp. | 2.456% (3 mo. USD Term SOFR + 1.13% | )# | 10/22/2025 | 54,308,000 | 51,830,990 | |||||||
Bank of America Corp. | 3.093% (3 mo. USD Term SOFR + 1.09% | )# | 10/1/2025 | 51,089,000 | 49,269,383 | |||||||
Bank of America Corp. | 3.366% (3 mo. USD Term SOFR + 1.07% | )# | 1/23/2026 | 109,555,000 | 105,314,515 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33% | )# | 4/2/2026 | 166,560,000 | 160,350,238 |
See Notes to Financial Statements. | 241 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Bank of America Corp. | 3.841% (SOFR + 1.11% | )# | 4/25/2025 | $ | 71,671,000 | $ | 70,465,309 | |||||
Bank of America Corp. | 3.864% (3 mo. USD Term SOFR + 1.20% | )# | 7/23/2024 | 140,556,000 | 140,131,326 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 97,385,000 | 94,918,471 | ||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 47,000,000 | 45,933,589 | ||||||||
Bank of America Corp. | 4.827% (SOFR + 1.75% | )# | 7/22/2026 | 10,000,000 | 9,896,318 | |||||||
Bank of America Corp. | 4.948% (SOFR + 2.04% | )# | 7/22/2028 | 77,426,000 | 76,635,667 | |||||||
Bank of Ireland Group PLC (Ireland)†(c) | 2.029% (1 yr. CMT + 1.10% | )# | 9/30/2027 | 56,942,000 | 49,578,886 | |||||||
Bank of Ireland Group PLC (Ireland)†(c) | 4.50% | 11/25/2023 | 35,213,000 | 34,895,590 | ||||||||
Bank of Ireland Group PLC (Ireland)†(c) | 6.253% (1 yr. CMT + 2.65% | )# | 9/16/2026 | 28,691,000 | 28,594,635 | |||||||
Bank of Montreal (Canada)(c) | 3.70% | 6/7/2025 | 56,322,000 | 54,602,532 | ||||||||
Bank of Montreal (Canada)(c) | 4.25% | 9/14/2024 | 81,709,000 | 80,407,161 | ||||||||
Bank of Montreal (Canada)(c) | 5.20% | 12/12/2024 | 56,741,000 | 56,520,552 | ||||||||
Bank of Montreal (Canada)(c)(d) | 5.30% | 6/5/2026 | 59,540,000 | 59,634,553 | ||||||||
Bank of New York Mellon | 5.148% | # | 5/22/2026 | 29,455,000 | 29,425,351 | |||||||
Bank of New York Mellon Corp. | 4.414% (SOFR + 1.35% | )# | 7/24/2026 | 22,289,000 | 21,853,827 | |||||||
Bank of New York Mellon Corp. | 4.543% (SOFR + 1.17% | )# | 2/1/2029 | 40,155,000 | 39,507,148 | |||||||
Bank of New York Mellon Corp. | 4.947% (SOFR + 1.03% | )# | 4/26/2027 | 17,917,000 | 17,863,204 | |||||||
Bank of Nova Scotia (Canada)(c) | 4.75% | 2/2/2026 | 40,233,000 | 39,978,179 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 66,202,000 | 55,421,151 | ||||||||
Barclays plc (United Kingdom)(c) | 2.852% (SOFR + 2.71% | )# | 5/7/2026 | 44,123,000 | 41,484,895 | |||||||
Barclays plc (United Kingdom)(c) | 3.932% (3 mo. USD LIBOR + 1.61% | )# | 5/7/2025 | 11,594,000 | 11,348,732 | |||||||
Barclays plc (United Kingdom)(c) | 4.836% | 5/9/2028 | 10,192,000 | 9,442,474 | ||||||||
Barclays plc (United Kingdom)(c) | 5.20% | 5/12/2026 | 93,499,000 | 90,790,893 | ||||||||
Barclays plc (United Kingdom)(c) | 5.829% (SOFR + 2.21% | )# | 5/9/2027 | 77,116,000 | 76,981,536 | |||||||
BBVA Bancomer SA† | 4.375% | 4/10/2024 | 22,165,000 | 21,924,397 | ||||||||
BNP Paribas SA (France)†(c) | 1.323% (SOFR + 1.00% | )# | 1/13/2027 | 20,584,000 | 18,371,809 | |||||||
BNP Paribas SA (France)†(c) | 2.219% (SOFR + 2.07% | )# | 6/9/2026 | 13,505,000 | 12,541,778 |
242 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
BNP Paribas SA (France)†(c) | 2.819% (3 mo. USD LIBOR + 1.11% | )# | 11/19/2025 | $ | 36,837,000 | $ | 35,114,822 | |||||
BNP Paribas SA (France)†(c) | 4.375% | 5/12/2026 | 11,186,000 | 10,725,222 | ||||||||
BNP Paribas SA (France)†(c) | 5.125% (1 yr. CMT + 1.45% | )# | 1/13/2029 | 38,699,000 | 38,607,086 | |||||||
BPCE SA (France)†(c) | 2.375% | 1/14/2025 | 14,304,000 | 13,480,597 | ||||||||
BPCE SA (France)†(c) | 4.50% | 3/15/2025 | 53,678,000 | 51,805,709 | ||||||||
BPCE SA (France)†(c) | 4.875% | 4/1/2026 | 22,232,000 | 21,532,747 | ||||||||
BPCE SA (France)†(c) | 5.15% | 7/21/2024 | 5,000,000 | 4,895,941 | ||||||||
BPCE SA (France)†(c) | 5.975% (SOFR + 2.10% | )# | 1/18/2027 | 58,362,000 | 58,338,193 | |||||||
Canadian Imperial Bank of Commerce (Canada)(c) | 3.945% | 8/4/2025 | 77,817,000 | 75,418,566 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(c) | 5.001% | 4/28/2028 | 62,884,000 | 62,246,461 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(c) | 5.144% | 4/28/2025 | 84,123,000 | 83,670,120 | ||||||||
Citigroup, Inc. | 3.106% (SOFR + 2.84% | )# | 4/8/2026 | 261,002,000 | 250,326,812 | |||||||
Citigroup, Inc. | 3.29% (SOFR + 1.53% | )# | 3/17/2026 | 15,948,000 | 15,347,248 | |||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16% | )# | 4/24/2025 | 84,116,000 | 82,235,805 | |||||||
Citigroup, Inc. | 3.875% | 3/26/2025 | 33,016,000 | 32,068,868 | ||||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82% | )# | 1/10/2028 | 17,272,000 | 16,451,288 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37% | )# | 5/24/2025 | 27,692,000 | 27,255,541 | |||||||
Citigroup, Inc. | 4.40% | 6/10/2025 | 170,806,000 | 166,895,291 | ||||||||
Citigroup, Inc. | 5.50% | 9/13/2025 | 37,065,000 | 37,079,791 | ||||||||
Citigroup, Inc. | 5.61% (SOFR + 1.55% | )# | 9/29/2026 | 12,000,000 | 12,093,405 | |||||||
Citizens Bank NA | 4.575% (SOFR + 2.00% | )# | 8/9/2028 | 50,348,000 | 45,925,708 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45% | )# | 10/24/2025 | 31,438,000 | 29,524,243 | |||||||
Credit Agricole SA (France)†(c) | 4.375% | 3/17/2025 | 89,787,000 | 86,940,151 | ||||||||
Credit Suisse AG | 0.52% | 8/9/2023 | 25,000,000 | 24,678,125 | ||||||||
Credit Suisse AG | 3.625% | 9/9/2024 | 5,668,000 | 5,431,588 | ||||||||
Credit Suisse AG | 5.465% (SOFR + 0.39% | )# | 2/2/2024 | 20,893,000 | 20,483,572 | |||||||
Credit Suisse Group AG (Switzerland)†(c) | 2.193% (SOFR + 2.04% | )# | 6/5/2026 | 42,530,000 | 38,634,847 |
See Notes to Financial Statements. | 243 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Credit Suisse Group AG (Switzerland)†(c) | 2.593% (SOFR + 1.56% | )# | 9/11/2025 | $ | 27,460,000 | $ | 25,912,904 | |||||
Credit Suisse Group AG (Switzerland)(c) | 3.80% | 6/9/2023 | 21,735,000 | 21,718,699 | ||||||||
Credit Suisse Group AG (Switzerland)†(c) | 4.207% (3 mo. USD LIBOR + 1.24% | )# | 6/12/2024 | 17,160,000 | 16,955,796 | |||||||
Danske Bank AS (Denmark)†(c) | 0.976% (1 yr. CMT + .55% | )# | 9/10/2025 | 46,616,000 | 43,470,505 | |||||||
Danske Bank AS (Denmark)†(c) | 1.226% (1 yr. CMT + 1.00% | )# | 6/22/2024 | 51,642,000 | 51,509,472 | |||||||
Danske Bank AS (Denmark)†(c) | 1.621% (1 yr. CMT + 1.35% | )# | 9/11/2026 | 46,515,000 | 41,849,548 | |||||||
Danske Bank AS (Denmark)†(c) | 3.244% (3 mo. USD LIBOR + 1.59% | )# | 12/20/2025 | 137,918,000 | 131,463,647 | |||||||
Danske Bank AS (Denmark)†(c) | 4.298% (1 yr. CMT + 1.75% | )# | 4/1/2028 | 37,345,000 | 35,100,022 | |||||||
Danske Bank AS (Denmark)†(c) | 5.375% | 1/12/2024 | 66,319,000 | 65,813,607 | ||||||||
Danske Bank AS (Denmark)†(c) | 6.466% (1 yr. CMT + 2.10% | )# | 1/9/2026 | 24,918,000 | 24,962,573 | |||||||
Discover Bank | 4.25% | 3/13/2026 | 17,999,000 | 17,171,398 | ||||||||
Federation des Caisses Desjardins du Quebec (Canada)†(c) | 5.70% | 3/14/2028 | 50,861,000 | 51,338,979 | ||||||||
First-Citizens Bank & Trust Co. | 3.929% (SOFR + 3.83% | )# | 6/19/2024 | 30,237,000 | 29,881,230 | |||||||
Goldman Sachs Group, Inc. | 0.657% (SOFR + 0.51% | )# | 9/10/2024 | 78,938,000 | 77,739,023 | |||||||
Goldman Sachs Group, Inc. | 1.948% (SOFR + 0.91% | )# | 10/21/2027 | 122,648,000 | 109,289,591 | |||||||
Goldman Sachs Group, Inc. | 2.64% (SOFR + 1.11% | )# | 2/24/2028 | 38,073,000 | 34,539,877 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46% | )# | 9/29/2025 | 34,934,000 | 33,797,895 | |||||||
Goldman Sachs Group, Inc. | 3.50% | 4/1/2025 | 69,748,000 | 67,386,856 | ||||||||
Goldman Sachs Group, Inc. | 4.223% (3 mo. USD Term SOFR + 1.56% | )# | 5/1/2029 | 70,417,000 | 66,788,946 | |||||||
Goldman Sachs Group, Inc. | 4.387% (SOFR + 1.51% | )# | 6/15/2027 | 24,825,000 | 24,354,404 | |||||||
Goldman Sachs Group, Inc. | 5.751% (SOFR + 0.70% | )# | 1/24/2025 | 77,022,000 | 76,778,403 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 0.732% (SOFR + 0.53% | )# | 8/17/2024 | 29,988,000 | 29,624,930 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 0.976% (SOFR + 0.71% | )# | 5/24/2025 | 22,757,000 | 21,626,592 |
244 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
HSBC Holdings PLC (United Kingdom)(c) | 3.803% (3 mo. USD LIBOR + 1.21% | )# | 3/11/2025 | $ | 82,990,000 | $ | 81,460,909 | |||||
HSBC USA, Inc. | 5.625% | 3/17/2025 | 39,963,000 | 40,055,687 | ||||||||
Huntington Bancshares, Inc. | 4.443% (SOFR + 1.97% | )# | 8/4/2028 | 33,784,000 | 31,421,995 | |||||||
Huntington National Bank | 4.008% (SOFR + 1.21% | )# | 5/16/2025 | 29,134,000 | 27,486,472 | |||||||
Huntington National Bank | 5.699% (SOFR + 1.22% | )# | 11/18/2025 | 80,138,000 | 76,111,066 | |||||||
Intesa Sanpaolo SpA (Italy)†(c) | 3.25% | 9/23/2024 | 20,481,000 | 19,662,008 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.017% | 6/26/2024 | 169,412,000 | 164,828,653 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.71% | 1/15/2026 | 78,550,000 | 74,828,329 | ||||||||
JPMorgan Chase & Co. | 0.768% (SOFR + 0.49% | )# | 8/9/2025 | 78,538,000 | 73,934,071 | |||||||
JPMorgan Chase & Co. | 0.824% (3 mo. USD Term SOFR + 0.54% | )# | 6/1/2025 | 91,927,000 | 87,361,709 | |||||||
JPMorgan Chase & Co. | 3.797% (3 mo. USD Term SOFR + 0.89% | )# | 7/23/2024 | 52,372,000 | 52,222,746 | |||||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98% | )# | 6/14/2025 | 95,901,000 | 94,020,154 | |||||||
JPMorgan Chase & Co. | 4.851% (SOFR + 1.99% | )# | 7/25/2028 | 76,438,000 | 76,077,693 | |||||||
JPMorgan Chase & Co. | 6.012% (SOFR + 0.92% | )# | 2/24/2026 | 57,956,000 | 58,025,433 | |||||||
JPMorgan Chase & Co. | 6.272% (SOFR + 1.18% | )# | 2/24/2028 | 38,901,000 | 39,150,215 | |||||||
Lloyds Banking Group PLC (United Kingdom)(c) | 4.582% | 12/10/2025 | 18,348,000 | 17,519,785 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(c) | 4.65% | 3/24/2026 | 29,589,000 | 28,274,818 | ||||||||
M&T Bank Corp. | 4.553% (SOFR + 1.78% | )# | 8/16/2028 | 43,711,000 | 40,887,770 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 4.875% | 6/10/2025 | 32,811,000 | 31,948,313 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 1.201% (SOFR + 0.69% | )# | 10/14/2025 | 40,033,000 | 37,497,465 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 1.34% (SOFR + 1.07% | )# | 1/12/2027 | 67,569,000 | 60,506,312 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 3.763% (3 mo. USD LIBOR + 1.37% | )# | 11/28/2028 | 29,817,000 | 27,601,663 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 5.108% (SOFR + 2.21% | )# | 8/9/2026 | 83,107,000 | 82,248,958 | |||||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | 202,227,000 | 192,738,343 | ||||||||
Manufacturers & Traders Trust Co. | 4.70% | 1/27/2028 | 60,402,000 | 56,576,300 |
See Notes to Financial Statements. | 245 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 0.953% (1 yr. CMT + .55% | )# | 7/19/2025 | $ | 58,686,000 | $ | 55,410,076 | |||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 0.962% (1 yr. CMT + .45% | )# | 10/11/2025 | 5,000,000 | 4,669,646 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 4.788% (1 yr. CMT + 1.70% | )# | 7/18/2025 | 99,237,000 | 98,210,956 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 5.063% (1 yr. CMT + 1.55% | )# | 9/12/2025 | 58,107,000 | 57,617,361 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 5.719% (1 yr. CMT + 1.08% | )# | 2/20/2026 | 51,520,000 | 51,513,680 | |||||||
Morgan Stanley | 0.79% (SOFR + 0.53% | )# | 5/30/2025 | 94,058,000 | 89,174,470 | |||||||
Morgan Stanley | 0.791% (SOFR + 0.51% | )# | 1/22/2025 | 98,685,000 | 95,508,300 | |||||||
Morgan Stanley | 3.62% (SOFR + 1.16% | )# | 4/17/2025 | 46,263,000 | 45,338,030 | |||||||
Morgan Stanley | 5.05% (SOFR + 1.30% | )# | 1/28/2027 | 21,989,000 | 21,929,837 | |||||||
Morgan Stanley | 5.123% (SOFR + 1.73% | )# | 2/1/2029 | 32,276,000 | 32,133,039 | |||||||
Morgan Stanley | 6.138% (SOFR + 1.77% | )# | 10/16/2026 | 34,700,000 | 35,468,577 | |||||||
National Securities Clearing Corp.† | 5.00% | 5/30/2028 | 15,174,000 | 15,246,629 | ||||||||
NatWest Group PLC (United Kingdom)(c) | 4.269% (3 mo. USD LIBOR + 1.76% | )# | 3/22/2025 | 136,071,000 | 133,802,190 | |||||||
NatWest Group PLC (United Kingdom)(c) | 4.519% (3 mo. USD LIBOR + 1.55% | )# | 6/25/2024 | 24,877,000 | 24,832,391 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.847% (1 yr. CMT + 1.35% | )# | 3/2/2027 | 22,160,000 | 22,237,195 | |||||||
NatWest Markets PLC (United Kingdom)†(c) | 0.80% | 8/12/2024 | 23,409,000 | 22,122,336 | ||||||||
NatWest Markets PLC (United Kingdom)†(c) | 3.479% | 3/22/2025 | 41,245,000 | 39,671,322 | ||||||||
Nordea Bank Abp (Finland)†(c) | 3.60% | 6/6/2025 | 37,771,000 | 36,441,253 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 10,033,000 | 10,009,379 | ||||||||
Royal Bank of Canada (Canada)(c) | 4.24% | 8/3/2027 | 70,098,000 | 68,153,241 | ||||||||
Royal Bank of Canada (Canada)(c) | 4.875% | 1/12/2026 | 59,095,000 | 58,823,111 | ||||||||
Royal Bank of Canada (Canada)(c) | 6.00% | 11/1/2027 | 35,670,000 | 36,979,368 | ||||||||
Santander Holdings USA, Inc. | 2.49% (SOFR + 1.25% | )# | 1/6/2028 | 35,038,000 | 30,653,725 | |||||||
Santander Holdings USA, Inc. | 3.244% | 10/5/2026 | 38,058,000 | 34,559,022 | ||||||||
Santander Holdings USA, Inc. | 3.50% | 6/7/2024 | 33,117,000 | 32,196,221 |
246 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Santander Holdings USA, Inc. | 5.807% (SOFR + 2.33% | )# | 9/9/2026 | $ | 25,410,000 | $ | 25,094,659 | |||||
Santander U.K. Group Holdings PLC (United Kingdom)(c) | 1.089% (SOFR + 0.79% | )# | 3/15/2025 | 13,611,000 | 12,998,265 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(c) | 2.469% (SOFR + 1.22% | )# | 1/11/2028 | 37,697,000 | 33,129,959 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)†(c) | 4.75% | 9/15/2025 | 42,889,000 | 41,117,994 | ||||||||
Santander U.K. Group Holdings PLC (United Kingdom)(c) | 4.796% (3 mo. USD LIBOR + 1.57% | )# | 11/15/2024 | 10,000,000 | 9,921,820 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(c) | 6.534% (SOFR + 2.60% | )# | 1/10/2029 | 58,887,000 | 59,890,715 | |||||||
Societe Generale SA (France)†(c) | 2.226% (1 yr. CMT + 1.05% | )# | 1/21/2026 | 76,944,000 | 71,454,252 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 0.991% (1 yr. CMT + 0.78% | )# | 1/12/2025 | 100,594,000 | 97,318,885 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 1.214% (1 yr. CMT + 0.88% | )# | 3/23/2025 | 10,244,000 | 9,845,879 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 2.819% (3 mo. USD LIBOR + 1.21% | )# | 1/30/2026 | 8,168,000 | 7,724,091 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 5.20% | 1/26/2024 | 15,029,000 | 14,881,944 | ||||||||
State Street Corp. | 5.104% (SOFR + 1.13% | )# | 5/18/2026 | 51,586,000 | 51,473,802 | |||||||
Svenska Handelsbanken AB (Sweden)†(c) | 3.65% | 6/10/2025 | 56,299,000 | 54,392,148 | ||||||||
Toronto-Dominion Bank (Canada)(c) | 3.766% | 6/6/2025 | 90,096,000 | 87,584,260 | ||||||||
Toronto-Dominion Bank (Canada)(c) | 4.693% | 9/15/2027 | 58,711,000 | 57,648,870 | ||||||||
Truist Financial Corp. | 4.26% (SOFR + 1.46% | )# | 7/28/2026 | 70,757,000 | 68,058,704 | |||||||
Truist Financial Corp. | 4.873% (SOFR + 1.44% | )# | 1/26/2029 | 23,640,000 | 22,898,898 | |||||||
U.S. Bancorp | 4.548% (SOFR + 1.66% | )# | 7/22/2028 | 53,941,000 | 51,880,592 | |||||||
U.S. Bancorp | 4.653% (SOFR + 1.23% | )# | 2/1/2029 | 59,954,000 | 57,859,059 | |||||||
UBS AG (United Kingdom)†(c) | 0.70% | 8/9/2024 | 30,000,000 | 28,249,802 | ||||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 176,654,000 | 174,064,252 | ||||||||
UBS Group AG (Switzerland)†(c) | 1.494% (1 yr. CMT + 0.85% | )# | 8/10/2027 | 41,679,000 | 35,959,409 |
See Notes to Financial Statements. | 247 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
UBS Group AG (Switzerland)†(c) | 4.125% | 9/24/2025 | $ | 52,464,000 | $ | 50,414,250 | ||||||
UBS Group AG (Switzerland)†(c) | 4.125% | 4/15/2026 | 48,362,000 | 46,287,391 | ||||||||
UBS Group AG (Switzerland)†(c) | 4.488% (1 yr. CMT + 1.55% | )# | 5/12/2026 | 29,178,000 | 28,215,056 | |||||||
UBS Group AG (Switzerland)†(c) | 4.703% (1 yr. CMT + 2.05% | )# | 8/5/2027 | 12,475,000 | 11,997,982 | |||||||
UBS Group AG (Switzerland)†(c) | 4.751% (1 yr. CMT + 1.75% | )# | 5/12/2028 | 10,000,000 | 9,588,168 | |||||||
UBS Group AG (Switzerland)†(c) | 5.711% (1 yr. CMT + 1.55% | )# | 1/12/2027 | 113,641,000 | 112,750,673 | |||||||
UniCredit SpA (Italy)†(c) | 7.83% | 12/4/2023 | 38,610,000 | 38,778,726 | ||||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | 62,273,000 | 58,619,170 | |||||||
Wells Fargo & Co. | 4.54% (SOFR + 1.56% | )# | 8/15/2026 | 93,715,000 | 92,159,976 | |||||||
Wells Fargo & Co. | 4.808% (SOFR + 1.98% | )# | 7/25/2028 | 77,683,000 | 76,499,334 | |||||||
Total | 9,096,865,367 | |||||||||||
Biotechnology 0.62% | ||||||||||||
Amgen, Inc. | 5.15% | 3/2/2028 | 76,424,000 | 77,084,125 | ||||||||
Amgen, Inc. | 5.25% | 3/2/2025 | 36,098,000 | 36,213,372 | ||||||||
Amgen, Inc. | 5.507% | 3/2/2026 | 76,424,000 | 76,445,309 | ||||||||
Illumina, Inc. | 5.75% | 12/13/2027 | 64,867,000 | 66,099,716 | ||||||||
Illumina, Inc. | 5.80% | 12/12/2025 | 36,106,000 | 36,540,368 | ||||||||
Total | 292,382,890 | |||||||||||
Building Materials 0.13% | ||||||||||||
Vulcan Materials Co. | 5.80% | 3/1/2026 | 60,402,000 | 60,581,830 | ||||||||
Chemicals 0.63% | ||||||||||||
Celanese U.S. Holdings LLC | 5.90% | 7/5/2024 | 150,438,000 | 150,306,552 | ||||||||
FMC Corp. | 5.15% | 5/18/2026 | 19,658,000 | 19,469,072 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 85,736,000 | 76,509,619 | ||||||||
Orbia Advance Corp. SAB de CV (Mexico)†(c) | 1.875% | 5/11/2026 | 36,739,000 | 33,147,763 | ||||||||
Sasol Financing USA LLC | 5.875% | 3/27/2024 | 18,376,000 | 18,074,604 | ||||||||
Total | 297,507,610 | |||||||||||
Commercial Services 0.32% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(c) | 3.375% | 7/24/2024 | 20,115,000 | 19,406,345 | ||||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 15,782,000 | 15,035,700 | ||||||||
Global Payments, Inc. | 4.95% | 8/15/2027 | 23,181,000 | 22,823,406 |
248 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Commercial Services (continued) | ||||||||||||
Sabre Global, Inc.† | 7.375% | 9/1/2025 | $ | 21,246,000 | $ | 17,986,683 | ||||||
Triton Container International Ltd.† | 0.80% | 8/1/2023 | 39,505,000 | 38,872,759 | ||||||||
Triton Container International Ltd.† | 1.15% | 6/7/2024 | 32,498,000 | 30,440,832 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 8,150,000 | 7,176,160 | ||||||||
Total | 151,741,885 | |||||||||||
Computers 0.30% | ||||||||||||
Dell International LLC/EMC Corp. | 4.90% | 10/1/2026 | 19,101,000 | 18,981,219 | ||||||||
Dell International LLC/EMC Corp. | 6.02% | 6/15/2026 | 87,487,000 | 89,573,512 | ||||||||
Hewlett Packard Enterprise Co. | 5.90% | 10/1/2024 | 33,269,000 | 33,364,614 | ||||||||
Total | 141,919,345 | |||||||||||
Distribution/Wholesale 0.07% | ||||||||||||
LKQ Corp.† | 5.75% | 6/15/2028 | 32,183,000 | 32,034,740 | ||||||||
Diversified Financial Services 4.16% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 2.875% | 8/14/2024 | 30,354,000 | 29,169,457 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.15% | 2/15/2024 | 19,000,000 | 18,631,297 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 1/15/2025 | 22,804,000 | 21,813,209 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 4.875% | 1/16/2024 | 27,911,000 | 27,674,625 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c)(d) | 5.75% | 6/6/2028 | 30,450,000 | 30,212,143 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 6.50% | 7/15/2025 | 23,021,000 | 23,202,988 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Series 3NC1 (Ireland)(c) | 1.75% | 10/29/2024 | 62,466,000 | 58,650,321 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 14,901,000 | 14,724,609 | ||||||||
Air Lease Corp. | 5.85% | 12/15/2027 | 29,247,000 | 29,251,034 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 52,900,000 | 52,475,799 | ||||||||
Aircastle Ltd.† | 5.25% | 8/11/2025 | 62,465,000 | 60,698,514 | ||||||||
Ally Financial, Inc. | 1.45% | 10/2/2023 | 11,837,000 | 11,648,966 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 68,920,000 | 66,717,093 | ||||||||
Ally Financial, Inc. | 5.125% | 9/30/2024 | 91,001,000 | 88,912,975 | ||||||||
Ally Financial, Inc. | 5.75% | 11/20/2025 | 142,452,000 | 138,471,422 | ||||||||
American Express Co. | 3.95% | 8/1/2025 | 43,864,000 | 42,821,530 | ||||||||
American Express Co. | 4.90% | 2/13/2026 | 48,359,000 | 48,334,737 |
See Notes to Financial Statements. | 249 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
American Express Co. | 4.99% | 5/1/2026 | $ | 95,939,000 | $ | 95,752,226 | ||||||
American Express Co. | 5.85% | 11/5/2027 | 18,746,000 | 19,493,601 | ||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 84,521,000 | 75,540,692 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 56,550,000 | 55,488,590 | ||||||||
Aviation Capital Group LLC† | 6.25% | 4/15/2028 | 30,432,000 | 30,504,137 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 2.125% | 2/21/2026 | 23,269,000 | 20,482,566 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 3.95% | 7/1/2024 | 20,307,000 | 19,648,771 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 31,030,000 | 28,747,435 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.375% | 5/1/2026 | 19,759,000 | 18,258,460 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.125% | 10/1/2023 | 112,721,000 | 112,237,402 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.25% | 5/15/2024 | 48,720,000 | 47,978,124 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.50% | 1/15/2026 | 20,268,000 | 19,524,943 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 6.375% | 5/4/2028 | 44,844,000 | 43,851,922 | ||||||||
Bread Financial Holdings, Inc.† | 4.75% | 12/15/2024 | 67,956,000 | 63,801,354 | ||||||||
Bread Financial Holdings, Inc.† | 7.00% | 1/15/2026 | 57,232,000 | 52,134,632 | ||||||||
Capital One Financial Corp. | 4.166% (SOFR + 1.37% | )# | 5/9/2025 | 44,309,000 | 43,142,251 | |||||||
Capital One Financial Corp. | 5.571% (SOFR + 0.69% | )# | 12/6/2024 | 51,930,000 | 50,789,198 | |||||||
Navient Corp. | 5.875% | 10/25/2024 | 80,407,000 | 78,718,228 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 100,605,000 | 98,710,467 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 15,905,000 | 15,407,003 | ||||||||
Navient Corp. | 7.25% | 9/25/2023 | 30,672,000 | 30,651,932 | ||||||||
OneMain Finance Corp. | 6.125% | 3/15/2024 | 51,823,000 | 50,687,232 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 5.50% | 2/15/2024 | 120,847,000 | 119,568,202 | ||||||||
Total | 1,954,530,087 | |||||||||||
Electric 4.05% | ||||||||||||
AES Corp.† | 3.30% | 7/15/2025 | 75,993,000 | 72,127,616 | ||||||||
AES Corp. | 5.45% | 6/1/2028 | 50,075,000 | 49,469,174 | ||||||||
Alexander Funding Trust† | 1.841% | 11/15/2023 | 88,422,000 | 86,401,124 | ||||||||
American Electric Power Co., Inc. | 2.031% | 3/15/2024 | 36,211,000 | 35,049,194 | ||||||||
American Electric Power Co., Inc. | 5.699% | 8/15/2025 | 46,726,000 | 42,738,420 | ||||||||
American Electric Power Co., Inc. | 5.75% | 11/1/2027 | 22,943,000 | 23,660,741 | ||||||||
Black Hills Corp. | 5.95% | 3/15/2028 | 42,913,000 | 44,164,458 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 10,755,000 | 10,439,208 | ||||||||
Cleveland Electric Illuminating Co. | 5.50% | 8/15/2024 | 10,475,000 | 10,491,690 | ||||||||
Comision Federal de Electricidad (Mexico)(c) | 4.75% | 2/23/2027 | 15,983,000 | 15,289,418 | ||||||||
Constellation Energy Generation LLC | 5.60% | 3/1/2028 | 40,111,000 | 41,004,584 |
250 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
DTE Energy Co. | 4.22% | 11/1/2024 | $ | 37,572,000 | $ | 36,971,961 | ||||||
DTE Energy Co. | 4.875% | 6/1/2028 | 57,506,000 | 56,899,953 | ||||||||
Duke Energy Corp. | 2.65% | 9/1/2026 | 31,488,000 | 29,252,132 | ||||||||
Duke Energy Corp. | 4.30% | 3/15/2028 | 25,827,000 | 24,992,504 | ||||||||
Duke Energy Corp. | 5.00% | 12/8/2025 | 9,430,000 | 9,427,004 | ||||||||
Electricite de France SA (France)†(c) | 5.70% | 5/23/2028 | 98,145,000 | 99,060,739 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(c) | 7.125% | 2/11/2025 | 31,262,000 | 30,027,557 | ||||||||
Evergy Missouri West, Inc.† | 5.15% | 12/15/2027 | 23,835,000 | 23,934,598 | ||||||||
Eversource Energy | 4.75% | 5/15/2026 | 22,000,000 | 21,800,710 | ||||||||
Exelon Corp. | 5.15% | 3/15/2028 | 39,656,000 | 39,971,810 | ||||||||
Fells Point Funding Trust† | 3.046% | 1/31/2027 | 92,084,946 | 85,691,753 | ||||||||
FirstEnergy Corp. | 2.05% | 3/1/2025 | 71,006,000 | 66,905,483 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 125,751,000 | 122,860,493 | ||||||||
Florida Power & Light Co. | 4.40% | 5/15/2028 | 32,524,000 | 32,287,516 | ||||||||
Florida Power & Light Co. | 4.45% | 5/15/2026 | 30,403,000 | 30,243,255 | ||||||||
IPALCO Enterprises, Inc. | 3.70% | 9/1/2024 | 18,119,000 | 17,531,631 | ||||||||
Israel Electric Corp. Ltd. (Israel)†(c) | 6.875% | 6/21/2023 | 31,698,000 | 31,700,441 | ||||||||
ITC Holdings Corp.† | 4.95% | 9/22/2027 | 30,656,000 | 30,550,749 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 62,463,000 | 61,765,333 | ||||||||
Metropolitan Edison Co.† | 5.20% | 4/1/2028 | 15,000,000 | 15,126,083 | ||||||||
NextEra Energy Capital Holdings, Inc. | 6.051% | 3/1/2025 | 48,224,000 | 48,780,115 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 90,412,000 | 87,606,348 | ||||||||
Oncor Electric Delivery Co. LLC | 4.30% | 5/15/2028 | 30,904,000 | 30,537,913 | ||||||||
Pacific Gas & Electric Co. | 3.15% | 1/1/2026 | 120,471,909 | 112,711,588 | ||||||||
Pacific Gas & Electric Co. | 3.75% | 2/15/2024 | 10,706,000 | 10,523,799 | ||||||||
Public Service Enterprise Group, Inc. | 5.85% | 11/15/2027 | 41,715,000 | 43,094,465 | ||||||||
Southern Co. | 5.113% | 8/1/2027 | 63,530,000 | 63,436,379 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 154,448,000 | 149,519,428 | ||||||||
Vistra Operations Co. LLC† | 4.875% | 5/13/2024 | 59,198,000 | 58,339,848 | ||||||||
Total | 1,902,387,215 | |||||||||||
Electronics 0.05% | ||||||||||||
Arrow Electronics, Inc. | 6.125% | 3/1/2026 | 24,194,000 | 24,230,298 | ||||||||
Energy-Alternate Sources 0.06% | ||||||||||||
Greenko Dutch BV (Netherlands)†(c) | 3.85% | 3/29/2026 | 30,407,120 | 26,974,460 | ||||||||
Entertainment 0.24% | ||||||||||||
Warnermedia Holdings, Inc. | 3.428% | 3/15/2024 | 59,012,000 | 57,786,173 | ||||||||
Warnermedia Holdings, Inc. | 3.638% | 3/15/2025 | 10,000,000 | 9,681,444 |
See Notes to Financial Statements. | 251 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Entertainment (continued) | ||||||||||||
Warnermedia Holdings, Inc. | 6.412% | 3/15/2026 | $ | 37,918,000 | $ | 38,010,384 | ||||||
Warnermedia Holdings, Inc. | 6.701% | # | 3/15/2024 | 7,447,000 | 7,475,131 | |||||||
Total | 112,953,132 | |||||||||||
Food 0.09% | ||||||||||||
NBM U.S. Holdings, Inc.† | 7.00% | 5/14/2026 | 43,000,000 | 41,903,500 | ||||||||
Forest Products & Paper 0.04% | ||||||||||||
Suzano Austria GmbH (Brazil)†(c) | 5.75% | 7/14/2026 | 18,736,000 | 19,005,705 | ||||||||
Gas 0.75% | ||||||||||||
Brooklyn Union Gas Co.† | 4.632% | 8/5/2027 | 54,747,000 | 52,936,672 | ||||||||
CenterPoint Energy Resources Corp. | 5.25% | 3/1/2028 | 24,908,000 | 25,345,799 | ||||||||
National Fuel Gas Co. | 5.20% | 7/15/2025 | 9,650,000 | 9,559,065 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 106,751,000 | 106,034,164 | ||||||||
National Fuel Gas Co. | 5.50% | 10/1/2026 | 31,379,000 | 30,969,374 | ||||||||
NiSource, Inc. | 5.25% | 3/30/2028 | 16,192,000 | 16,321,899 | ||||||||
ONE Gas, Inc. | 1.10% | 3/11/2024 | 22,804,000 | 22,032,938 | ||||||||
Southwest Gas Corp. | 5.45% | 3/23/2028 | 48,059,000 | 48,219,830 | ||||||||
Southwest Gas Corp. | 5.80% | 12/1/2027 | 41,220,000 | 42,213,652 | ||||||||
Total | 353,633,393 | |||||||||||
Hand/Machine Tools 0.39% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 35,742,000 | 35,844,183 | ||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 80,332,000 | 79,460,607 | ||||||||
Stanley Black & Decker, Inc. | 6.00% | 3/6/2028 | 31,710,000 | 32,480,207 | ||||||||
Stanley Black & Decker, Inc. | 6.272% | 3/6/2026 | 33,379,000 | 33,640,894 | ||||||||
Total | 181,425,891 | |||||||||||
Health Care-Products 0.11% | ||||||||||||
GE HealthCare Technologies, Inc.† | 5.55% | 11/15/2024 | 7,900,000 | 7,893,186 | ||||||||
GE HealthCare Technologies, Inc.† | 5.60% | 11/15/2025 | 45,212,000 | 45,347,923 | ||||||||
Total | 53,241,109 | |||||||||||
Health Care-Services 1.05% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 55,420,000 | 47,668,405 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 116,306,000 | 109,406,728 | ||||||||
Elevance Health, Inc. | 4.90% | 2/8/2026 | 24,324,000 | 24,206,031 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 12,641,000 | 12,555,608 | ||||||||
HCA, Inc. | 5.20% | 6/1/2028 | 8,408,000 | 8,359,173 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 191,891,000 | 190,453,564 |
252 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Services (continued) | ||||||||||||
HCA, Inc. | 5.25% | 6/15/2026 | $ | 26,757,000 | $ | 26,581,181 | ||||||
HCA, Inc. | 5.375% | 2/1/2025 | 8,520,000 | 8,465,086 | ||||||||
Humana, Inc. | 5.70% | 3/13/2026 | 32,237,000 | 32,345,183 | ||||||||
Humana, Inc. | 5.75% | 3/1/2028 | 31,220,000 | 32,359,462 | ||||||||
Total | 492,400,421 | |||||||||||
Home Builders 0.08% | ||||||||||||
Lennar Corp. | 4.875% | 12/15/2023 | 15,364,000 | 15,336,174 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 11/15/2025 | 24,292,000 | 23,667,289 | ||||||||
Total | 39,003,463 | |||||||||||
Housewares 0.02% | ||||||||||||
Newell Brands, Inc. | 4.70% | 4/1/2026 | 10,755,000 | 9,988,760 | ||||||||
Insurance 1.82% | ||||||||||||
Aon Corp. | 8.205% | 1/1/2027 | 62,792,000 | 64,151,761 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 90,846,000 | 89,976,368 | ||||||||
CNO Global Funding† | 1.75% | 10/7/2026 | 29,008,000 | 25,899,051 | ||||||||
Corebridge Financial, Inc. | 3.50% | 4/4/2025 | 25,000,000 | 23,880,317 | ||||||||
Equitable Financial Life Global Funding† | 5.45% | 3/3/2028 | 57,392,000 | 58,338,482 | ||||||||
F&G Annuities & Life, Inc.† | 7.40% | 1/13/2028 | 29,967,000 | 30,120,190 | ||||||||
F&G Global Funding† | 0.90% | 9/20/2024 | 31,336,000 | 29,186,144 | ||||||||
F&G Global Funding† | 1.75% | 6/30/2026 | 29,365,000 | 26,208,602 | ||||||||
F&G Global Funding† | 2.30% | 4/11/2027 | 58,675,000 | 52,524,172 | ||||||||
Fidelity & Guaranty Life Holdings, Inc.† | 5.50% | 5/1/2025 | 58,740,000 | 57,836,132 | ||||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 50,588,000 | 47,277,449 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 58,346,000 | 55,938,983 | ||||||||
Jackson Financial, Inc. | 5.17% | 6/8/2027 | 25,281,000 | 24,198,366 | ||||||||
Jackson National Life Global Funding† | 1.75% | 1/12/2025 | 30,601,000 | 28,553,522 | ||||||||
Jackson National Life Global Funding† | 5.50% | 1/9/2026 | 32,581,000 | 32,176,388 | ||||||||
Kemper Corp. | 4.35% | 2/15/2025 | 25,199,000 | 24,305,162 | ||||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 29,100,000 | 28,248,229 | ||||||||
New York Life Global Funding† | 4.70% | 4/2/2026 | 46,622,000 | 46,397,063 | ||||||||
Peachtree Corners Funding Trust† | 3.976% | 2/15/2025 | 21,890,000 | 21,225,118 | ||||||||
Pricoa Global Funding I† | 4.20% | 8/28/2025 | 13,633,000 | 13,331,950 | ||||||||
Protective Life Global Funding† | 5.209% | 4/14/2026 | 34,409,000 | 34,247,118 | ||||||||
Protective Life Global Funding† | 5.366% | 1/6/2026 | 37,830,000 | 38,130,157 | ||||||||
Total | 852,150,724 |
See Notes to Financial Statements. | 253 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Internet 0.75% | ||||||||||||
Amazon.com, Inc. | 4.55% | 12/1/2027 | $ | 41,581,000 | $ | 41,930,191 | ||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 53,808,000 | 52,063,916 | ||||||||
Netflix, Inc. | 4.375% | 11/15/2026 | 116,948,000 | 115,029,363 | ||||||||
Netflix, Inc. | 5.875% | 2/15/2025 | 87,732,000 | 88,585,745 | ||||||||
Prosus NV (Netherlands)†(c) | 3.257% | 1/19/2027 | 60,280,000 | 54,740,199 | ||||||||
Total | 352,349,414 | |||||||||||
Iron-Steel 0.03% | ||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(c) | 8.75% | 7/15/2026 | 14,026,000 | 13,484,288 | ||||||||
Lodging 0.29% | ||||||||||||
Hyatt Hotels Corp. | 1.30% | 10/1/2023 | 101,486,000 | 99,948,079 | ||||||||
Hyatt Hotels Corp. | 1.80% | 10/1/2024 | 39,327,000 | 37,311,901 | ||||||||
Total | 137,259,980 | |||||||||||
Machinery-Diversified 0.27% | ||||||||||||
CNH Industrial NV (United Kingdom)(c) | 4.50% | 8/15/2023 | 48,535,000 | 48,365,575 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.375% | 8/15/2023 | 25,687,000 | 25,606,251 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 52,901,000 | 52,178,207 | ||||||||
Total | 126,150,033 | |||||||||||
Media 0.20% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 3,004,000 | 2,659,141 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.50% | 2/1/2024 | 10,000,000 | 9,896,377 | ||||||||
FactSet Research Systems, Inc. | 2.90% | 3/1/2027 | 26,584,000 | 24,602,415 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 58,370,000 | 56,445,541 | ||||||||
Total | 93,603,474 | |||||||||||
Mining 1.27% | ||||||||||||
Anglo American Capital PLC (United Kingdom)†(c) | 3.625% | 9/11/2024 | 113,828,000 | 110,783,573 | ||||||||
Anglo American Capital PLC (United Kingdom)†(c) | 4.875% | 5/14/2025 | 50,235,000 | 49,554,419 | ||||||||
First Quantum Minerals Ltd. (Canada)†(c) | 7.50% | 4/1/2025 | 56,107,000 | 56,049,210 | ||||||||
Freeport Indonesia PT (Indonesia)†(c) | 4.763% | 4/14/2027 | 31,203,000 | 30,543,347 | ||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | 46,515,000 | 45,896,816 | ||||||||
Glencore Funding LLC† | 1.625% | 4/27/2026 | 42,776,000 | 38,733,975 | ||||||||
Glencore Funding LLC† | 4.00% | 3/27/2027 | 50,850,000 | 48,604,235 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 83,462,000 | 82,191,195 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 93,206,000 | 92,292,180 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.95% | 3/15/2024 | 43,332,000 | 43,258,196 | ||||||||
Total | 597,907,146 |
254 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Miscellaneous Manufacturing 0.03% | ||||||||||||
Parker-Hannifin Corp. | 3.65% | 6/15/2024 | $ | 15,514,000 | $ | 15,217,166 | ||||||
Oil & Gas 3.56% | ||||||||||||
Aker BP ASA (Norway)†(c) | 2.00% | 7/15/2026 | 96,528,000 | 87,080,262 | ||||||||
Continental Resources, Inc.† | 2.268% | 11/15/2026 | 82,515,000 | 73,826,224 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 153,490,000 | 150,499,077 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 80,948,000 | 76,153,087 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.625% | 10/15/2025 | 93,458,000 | 91,672,952 | ||||||||
Devon Energy Corp. | 5.25% | 9/15/2024 | 74,848,000 | 74,580,510 | ||||||||
Devon Energy Corp. | 5.25% | 10/15/2027 | 78,874,000 | 78,061,106 | ||||||||
Devon Energy Corp. | 5.875% | 6/15/2028 | 27,374,000 | 27,436,258 | ||||||||
Devon Energy Corp. | 8.25% | 8/1/2023 | 26,781,000 | 26,803,743 | ||||||||
Eni SpA (Italy)†(c) | 4.00% | 9/12/2023 | 29,551,000 | 29,367,877 | ||||||||
EQT Corp.† | 3.125% | 5/15/2026 | 53,518,000 | 49,603,969 | ||||||||
EQT Corp. | 3.90% | 10/1/2027 | 48,500,000 | 45,109,850 | ||||||||
EQT Corp. | 5.678% | 10/1/2025 | 28,000,000 | 28,005,880 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 103,028,000 | 103,199,026 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 103,210,000 | 99,786,586 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 33,395,000 | 34,394,512 | ||||||||
OGX Austria GmbH (Brazil)†(c)(e) | 8.50% | 6/1/2018 | 31,150,000 | 623 | ||||||||
Ovintiv Exploration, Inc. | 5.375% | 1/1/2026 | 70,306,000 | 69,953,074 | ||||||||
Ovintiv, Inc. | 5.65% | 5/15/2025 | 29,979,000 | 29,948,134 | ||||||||
Ovintiv, Inc. | 5.65% | 5/15/2028 | 43,372,000 | 43,178,468 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 4.125% | 2/15/2028 | 26,480,000 | 24,769,178 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 7.25% | 6/15/2025 | 27,750,000 | 27,686,314 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 45,491,000 | 45,393,194 | ||||||||
PDC Energy, Inc. | 6.125% | 9/15/2024 | 16,511,000 | 16,517,604 | ||||||||
Permian Resources Operating LLC† | 7.75% | 2/15/2026 | 20,369,000 | 20,536,535 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.49% | 1/23/2027 | 14,340,000 | 12,422,285 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.875% | 8/4/2026 | 93,272,000 | 85,233,448 | ||||||||
Pioneer Natural Resources Co. | 5.10% | 3/29/2026 | 23,941,000 | 23,948,896 | ||||||||
Suncor Energy, Inc. (Canada)(c) | 7.875% | 6/15/2026 | 22,444,000 | 23,902,667 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(c) | 2.625% | 8/15/2025 | 60,401,000 | 54,057,808 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 48,216,000 | 46,432,008 | ||||||||
Vital Energy, Inc. | 9.50% | 1/15/2025 | 71,508,000 | 70,804,926 | ||||||||
Total | 1,670,366,081 | |||||||||||
Oil & Gas Services 0.06% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 28,663,000 | 27,933,670 |
See Notes to Financial Statements. | 255 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pharmaceuticals 1.62% | ||||||||||||
Bayer U.S. Finance II LLC† | 3.875% | 12/15/2023 | $ | 138,894,000 | $ | 137,449,639 | ||||||
Bayer U.S. Finance II LLC† | 4.25% | 12/15/2025 | 101,873,000 | 98,939,674 | ||||||||
Bayer U.S. Finance II LLC† | 5.876% (3 mo. USD LIBOR + 1.01% | )# | 12/15/2023 | 125,880,000 | 125,832,247 | |||||||
Cigna Group | 5.685% | 3/15/2026 | 29,031,000 | 29,192,895 | ||||||||
Cigna Group | 6.15% (3 mo. USD LIBOR + 0.89% | )# | 7/15/2023 | 43,170,000 | 43,177,245 | |||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 21,226,000 | 20,694,813 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(c) | 4.45% | 5/19/2026 | 76,148,000 | 75,775,999 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(c) | 4.45% | 5/19/2028 | 61,012,000 | 60,815,098 | ||||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(c) | 4.65% | 5/19/2025 | 170,646,000 | 170,343,240 | ||||||||
Total | 762,220,850 | |||||||||||
Pipelines 1.35% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 176,876,000 | 177,106,777 | ||||||||
DCP Midstream Operating LP | 5.375% | 7/15/2025 | 23,345,000 | 23,108,543 | ||||||||
Energy Transfer LP | 5.875% | 1/15/2024 | 87,329,000 | 87,356,095 | ||||||||
MPLX LP | 4.00% | 2/15/2025 | 14,400,000 | 14,040,052 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 3.60% | 11/1/2024 | 40,469,000 | 39,269,982 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 4.65% | 10/15/2025 | 50,709,000 | 49,875,960 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 134,798,000 | 134,560,080 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 6.50% | 7/15/2027 | 85,876,000 | 86,260,101 | ||||||||
Williams Cos., Inc. | 5.40% | 3/2/2026 | 20,157,000 | 20,329,325 | ||||||||
Total | 631,906,915 | |||||||||||
REITS 1.44% | ||||||||||||
American Tower Corp. | 1.50% | 1/31/2028 | 58,078,000 | 49,251,220 | ||||||||
American Tower Corp. | 1.60% | 4/15/2026 | 9,453,000 | 8,541,324 | ||||||||
American Tower Corp. | 3.60% | 1/15/2028 | 12,874,000 | 12,010,768 | ||||||||
American Tower Corp. | 3.65% | 3/15/2027 | 58,606,000 | 55,407,930 | ||||||||
American Tower Corp. | 5.25% | 7/15/2028 | 32,495,000 | 32,465,562 | ||||||||
American Tower Corp. | 5.50% | 3/15/2028 | 51,310,000 | 51,874,975 | ||||||||
Crown Castle, Inc. | 5.00% | 1/11/2028 | 30,651,000 | 30,416,249 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 33,896,000 | 29,957,381 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 27,038,000 | 24,430,695 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.25% | 6/1/2025 | 25,105,000 | 24,585,444 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.375% | 4/15/2026 | 11,000,000 | 10,694,408 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.375% | 6/15/2026 | 37,910,000 | 33,214,997 | ||||||||
Kilroy Realty LP | 4.375% | 10/1/2025 | 7,275,000 | 6,722,051 |
256 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
REITS (continued) | ||||||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.50% | 2/15/2025 | $ | 77,732,000 | $ | 74,205,639 | ||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.75% | 2/15/2027 | 40,353,000 | 37,419,245 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.50% | 9/1/2026 | 12,193,000 | 11,568,353 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 11,459,000 | 11,070,120 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 54,255,000 | 53,941,889 | ||||||||
Vornado Realty LP | 2.15% | 6/1/2026 | 17,704,000 | 14,548,115 | ||||||||
Vornado Realty LP | 3.50% | 1/15/2025 | 23,249,000 | 21,534,517 | ||||||||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC† | 3.75% | 9/17/2024 | 87,757,000 | 82,909,413 | ||||||||
Total | 676,770,295 | |||||||||||
Savings & Loans 0.12% | ||||||||||||
Nationwide Building Society (United Kingdom)†(c) | 4.00% | 9/14/2026 | 19,128,000 | 17,851,706 | ||||||||
Nationwide Building Society (United Kingdom)†(c) | 6.382% (SOFR + 1.29% | )# | 2/16/2028 | 40,000,000 | 38,662,243 | |||||||
Total | 56,513,949 | |||||||||||
Semiconductors 0.81% | ||||||||||||
Microchip Technology, Inc. | 0.972% | 2/15/2024 | 95,426,000 | 92,163,822 | ||||||||
Microchip Technology, Inc. | 2.67% | 9/1/2023 | 126,267,000 | 125,193,410 | ||||||||
Microchip Technology, Inc. | 4.25% | 9/1/2025 | 53,904,000 | 52,556,948 | ||||||||
Microchip Technology, Inc. | 4.333% | 6/1/2023 | 64,279,000 | 64,279,000 | ||||||||
Qorvo, Inc.† | 1.75% | 12/15/2024 | 30,312,000 | 28,332,020 | ||||||||
SK Hynix, Inc. (South Korea)†(c) | 1.50% | 1/19/2026 | 16,777,000 | 14,839,602 | ||||||||
Total | 377,364,802 | |||||||||||
Shipbuilding 0.06% | ||||||||||||
Huntington Ingalls Industries, Inc. | 3.844% | 5/1/2025 | 28,692,000 | 27,811,998 | ||||||||
Software 0.36% | ||||||||||||
Fidelity National Information Services, Inc. | 4.50% | 7/15/2025 | 23,560,000 | 23,171,942 | ||||||||
Fiserv, Inc. | 5.45% | 3/2/2028 | 25,011,000 | 25,411,665 | ||||||||
Oracle Corp. | 2.30% | 3/25/2028 | 57,698,000 | 51,076,301 | ||||||||
Oracle Corp. | 2.50% | 4/1/2025 | 13,674,000 | 13,041,744 | ||||||||
Oracle Corp. | 4.50% | 5/6/2028 | 16,399,000 | 16,023,180 | ||||||||
Take-Two Interactive Software, Inc. | 3.55% | 4/14/2025 | 7,107,000 | 6,882,434 | ||||||||
Take-Two Interactive Software, Inc. | 5.00% | 3/28/2026 | 34,961,000 | 34,825,502 | ||||||||
Total | 170,432,768 | |||||||||||
Telecommunications 0.52% | ||||||||||||
Altice France SA (France)†(c) | 8.125% | 2/1/2027 | 116,632,000 | 100,630,393 | ||||||||
Sprint LLC | 7.125% | 6/15/2024 | 25,543,000 | 25,828,389 | ||||||||
Sprint LLC | 7.875% | 9/15/2023 | 15,050,000 | 15,108,454 |
See Notes to Financial Statements. | 257 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
T-Mobile USA, Inc. | 2.25% | 2/15/2026 | $ | 58,311,000 | $ | 54,101,943 | ||||||
T-Mobile USA, Inc. | 2.625% | 4/15/2026 | 22,727,000 | 21,194,098 | ||||||||
T-Mobile USA, Inc. | 3.75% | 4/15/2027 | 30,084,000 | 28,587,993 | ||||||||
Total | 245,451,270 | |||||||||||
Toys/Games/Hobbies 0.05% | ||||||||||||
Hasbro, Inc. | 3.00% | 11/19/2024 | 21,329,000 | 20,517,785 | ||||||||
Trucking & Leasing 0.06% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 6.50% | 10/1/2025 | 11,807,000 | 11,484,580 | ||||||||
SMBC Aviation Capital Finance DAC (Ireland)†(c) | 5.45% | 5/3/2028 | 15,179,000 | 15,135,853 | ||||||||
Total | 26,620,433 | |||||||||||
Total Corporate Bonds (cost $25,041,893,352) | 24,168,322,970 | |||||||||||
FLOATING RATE LOANS(f) 4.22% | ||||||||||||
Aerospace 0.02% | ||||||||||||
Jazz Acquisition, Inc. 2019 1st Lien Term Loan | – | (g) | 6/19/2026 | 10,000,000 | 10,007,800 | |||||||
Chemicals 0.43% | ||||||||||||
Nutrition & Biosciences, Inc. 3 Year Delayed Draw Term Loan | 6.673% (3 mo. USD Term SOFR + 1.50% | ) | 2/1/2024 | 75,536,659 | 75,395,028 | |||||||
Nutrition & Biosciences, Inc. 5 Year Delayed Draw Term Loan | 7.048% (3 mo. USD Term SOFR + 1.87% | ) | 1/17/2025 | 101,864,407 | 101,673,411 | |||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(c) | – | (g) | 10/1/2025 | 26,574,097 | 26,529,053 | |||||||
Total | 203,597,492 | |||||||||||
Entertainment 0.14% | ||||||||||||
Stars Group Holdings BV 2018 USD Incremental Term Loan (Netherlands)(c) | 7.409% (3 mo. USD LIBOR + 2.25% | ) | 7/21/2026 | 67,482,506 | 67,302,327 | |||||||
Financial 0.03% | ||||||||||||
LPL Holdings, Inc. 2019 Term Loan B1 | 6.843% (1 mo. USD Term SOFR + 1.75% | ) | 11/12/2026 | 15,333,843 | 15,212,399 | |||||||
Food 0.14% | ||||||||||||
US Foods, Inc. 2019 Term Loan B 2019 Term Loan B | 7.154% (1 mo. USD LIBOR | ) | 9/13/2026 | 64,363,281 | 64,186,925 |
258 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Food Service 0.08% | ||||||||||||
Aramark Services, Inc. 2018 Term Loan B3 | 6.904% (1 mo. USD LIBOR + 1.75% | ) | 3/11/2025 | $ | 36,611,481 | $ | 36,554,367 | |||||
Health Care Products 0.08% | ||||||||||||
Baxter International, Inc. 2021 Delayed Draw Term Loan Tranche 1 | 6.237% (1 mo. USD Term SOFR + 1.13% | ) | 9/30/2024 | 15,806,306 | 15,756,912 | |||||||
Baxter International, Inc. 2021 Delayed Draw Term Loan Tranche 2 | 6.362% (1 mo. USD Term SOFR + 1.25% | ) | 9/30/2026 | 23,181,250 | 22,587,230 | |||||||
Total | 38,344,142 | |||||||||||
Health Care Services 0.08% | ||||||||||||
HCA, Inc. 2021 Term Loan A | – | (g) | 6/30/2026 | 37,700,000 | 37,511,688 | |||||||
Information Technology 0.02% | ||||||||||||
MH Sub I LLC 2020 Incremental Term Loan | – | (g) | 9/13/2024 | 7,599,849 | 7,588,753 | |||||||
Internet 0.56% | ||||||||||||
Comcast Hulu Holdings LLC Term Loan A | 6.029% (1 mo. USD LIBOR + 0.88% | ) | 3/15/2024 | 259,815,091 | 259,004,468 | |||||||
MH Sub I LLC 2017 1st Lien Term Loan | – | (g) | 9/13/2024 | 2,609,576 | 2,609,367 | |||||||
Total | 261,613,835 | |||||||||||
Lodging 0.29% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2019 Term Loan B2 | 6.95% (1 mo. USD Term SOFR + 1.75% | ) | 6/22/2026 | 94,414,424 | 94,039,599 | |||||||
Resorts World Las Vegas LLC Term Loan A | 6.66% (3 mo. USD LIBOR + 1.50% | ) | 4/16/2024 | 25,375,000 | 25,311,562 | |||||||
Wynn Resorts Ltd. 2019 Term Loan A | 6.903% (1 mo. USD Term SOFR + 1.75% | ) | 9/20/2024 | 17,855,676 | 17,677,119 | |||||||
Total | 137,028,280 | |||||||||||
Media 0.60% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B1 | 6.795% - 6.90% (1 mo. USD Term SOFR + 1.75%) (3 mo. USD Term SOFR + 1.75% | ) | 4/30/2025 | 257,526,560 | 257,307,663 | |||||||
Univision Communications, Inc. Term Loan C5 | 7.904% (1 mo. USD LIBOR + 2.75% | ) | 3/15/2024 | 24,877,258 | 24,916,066 | |||||||
Total | 282,223,729 |
See Notes to Financial Statements. | 259 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pharmaceuticals 0.28% | ||||||||||||
Horizon Therapeutics USA, Inc. 2021 Term Loan B2 | 6.938% (1 mo. USD LIBOR + 1.75% | ) | 3/15/2028 | $ | 126,287,775 | $ | 126,033,305 | |||||
Horizon Therapeutics USA, Inc. Term Loan B1 | 7.188% (1 mo. USD LIBOR + 2.25% | ) | 5/22/2026 | 4,678,740 | 4,675,816 | |||||||
Total | 130,709,121 | |||||||||||
Pipelines 0.10% | ||||||||||||
Buckeye Partners LP 2021 Term Loan B | 7.284% (1 mo. USD LIBOR + 2.25% | ) | 11/1/2026 | 49,290,198 | 48,718,925 | |||||||
Real Estate Investment Trusts 0.68% | ||||||||||||
American Tower Corp. 2021 First Lien Delayed Draw Term loan | 6.25% (1 mo. USD LIBOR + 1.13% | ) | 12/8/2023 | 71,504,483 | 71,482,317 | |||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.253% (1 mo. USD Term SOFR + 1.00% | ) | 1/31/2025 | 251,281,186 | 246,883,765 | |||||||
Total | 318,366,082 | |||||||||||
Retail 0.16% | ||||||||||||
Project Alpha Intermediate Holding, Inc. 2021 Term Loan | 7.90% (3 mo. USD Term SOFR + 2.80% | ) | 6/21/2023 | 75,333,333 | 75,359,700 | |||||||
Service 0.13% | ||||||||||||
AppLovin Corp. 2018 Term Loan B | 8.503% (1 mo. USD Term SOFR + 3.35% | ) | 8/15/2025 | 62,254,483 | 62,098,847 | |||||||
Software 0.27% | ||||||||||||
Open Text Corporation Term Loan B (Canada)(c) | 6.904% (3 mo. USD LIBOR | ) | 5/30/2025 | 29,073,753 | 29,062,415 | |||||||
Project Alpha Intermediate Holding, Inc. 2021 Term Loan B | 9.16% (1 mo. USD LIBOR + 4.00% | ) | 4/26/2024 | 96,458,610 | 96,127,274 | |||||||
Total | 125,189,689 | |||||||||||
Transportation 0.01% | ||||||||||||
XPO Logistics, Inc. 2018 Term Loan B | 6.849% (1 mo. USD LIBOR + 1.75% | ) | 2/24/2025 | 5,940,656 | 5,941,013 | |||||||
Utility 0.12% | ||||||||||||
Calpine Construction Finance Co. LP 2017 Term Loan B | 7.154% (1 mo. USD LIBOR + 2.00% | ) | 1/15/2025 | 55,169,412 | 55,139,069 | |||||||
Total Floating Rate Loans (cost $1,991,717,597) | 1,982,694,183 |
260 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.03% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 061 Class X1 | 0.153% | #(h) | 11/25/2026 | $ | 508,179,032 | $ | 2,772,777 | |||||
Government National Mortgage Association Series 2013-193 Class IO | 0.176% | #(h) | 1/16/2055 | 823,814 | 44,915 | |||||||
Government National Mortgage Association Series 2014-112 Class A | 3.00% | #(h) | 1/16/2048 | 7,904,633 | 7,139,625 | |||||||
Government National Mortgage Association Series 2014-15 Class IO | 0.596% | #(h) | 8/16/2054 | 26,393 | 20,471 | (b) | ||||||
Government National Mortgage Association Series 2014-186 Class AP | 2.80% | 4/16/2050 | 2,194,778 | 2,096,414 | ||||||||
Government National Mortgage Association Series 2014-78 Class IO | 0.007% | #(h) | 3/16/2056 | 9,028,521 | 23,197 | |||||||
Government National Mortgage Association Series 2015-19 Class AD | 2.90% | 10/16/2055 | 1,715,027 | 1,667,450 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $15,553,276) | 13,764,849 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.23% | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.89% (1 yr. USD LIBOR + 1.64% | )# | 11/1/2043 | 395,831 | 390,693 | |||||||
Federal Home Loan Mortgage Corp. | 4.044% (1 yr. USD LIBOR + 1.78% | )# | 5/1/2036 | 1,611,276 | 1,625,560 | |||||||
Federal Home Loan Mortgage Corp. | 4.058% (1 yr. USD LIBOR + 1.78% | )# | 10/1/2038 | 1,776,297 | 1,799,544 | |||||||
Federal Home Loan Mortgage Corp. | 4.084% (1 yr. USD LIBOR + 1.72% | )# | 4/1/2037 | 2,883,107 | 2,908,891 | |||||||
Federal Home Loan Mortgage Corp. | 4.094% (1 yr. USD LIBOR + 1.79% | )# | 12/1/2036 | 3,917,871 | 3,974,222 | |||||||
Federal Home Loan Mortgage Corp. | 4.10% (1 yr. USD LIBOR + 1.66% | )# | 2/1/2038 | 1,977,964 | 1,987,127 | |||||||
Federal Home Loan Mortgage Corp. | 4.129% (1 yr. USD LIBOR + 1.88% | )# | 9/1/2035 | 1,205,240 | 1,221,438 | |||||||
Federal Home Loan Mortgage Corp. | 4.142% (1 yr. USD LIBOR + 1.89% | )# | 12/1/2040 | 298,462 | 295,353 | |||||||
Federal Home Loan Mortgage Corp. | 4.166% (1 yr. USD LIBOR + 1.88% | )# | 12/1/2040 | 2,330,642 | 2,356,094 | |||||||
Federal Home Loan Mortgage Corp. | 4.17% (1 yr. USD LIBOR + 1.80% | )# | 6/1/2041 | 1,515,715 | 1,541,467 | |||||||
Federal Home Loan Mortgage Corp. | 4.201% (1 yr. USD LIBOR + 1.95% | )# | 2/1/2037 | 2,284,863 | 2,321,154 |
See Notes to Financial Statements. | 261 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.222% (1 yr. USD LIBOR + 1.92% | )# | 9/1/2036 | $ | 4,506,140 | $ | 4,578,755 | |||||
Federal Home Loan Mortgage Corp. | 4.36% (1 yr. USD LIBOR + 1.84% | )# | 6/1/2042 | 3,494,472 | 3,524,390 | |||||||
Federal Home Loan Mortgage Corp. | 4.395% (1 yr. USD LIBOR + 1.76% | )# | 5/1/2037 | 1,679,387 | 1,698,327 | |||||||
Federal Home Loan Mortgage Corp. | 4.478% (1 yr. CMT + 2.50% | )# | 12/1/2035 | 1,981,319 | 2,023,756 | |||||||
Federal National Mortgage Association | 3.544% (1 yr. USD LIBOR + 1.60% | )# | 11/1/2036 | 473,233 | 469,603 | |||||||
Federal National Mortgage Association | 3.692% (1 yr. USD LIBOR + 1.44% | )# | 12/1/2035 | 4,083,808 | 4,103,599 | |||||||
Federal National Mortgage Association | 3.785% (1 yr. USD LIBOR + 1.53% | )# | 10/1/2035 | 3,195,845 | 3,229,698 | |||||||
Federal National Mortgage Association | 3.787% (1 yr. USD LIBOR + 1.50% | )# | 2/1/2036 | 1,949,857 | 1,965,492 | |||||||
Federal National Mortgage Association | 3.898% (1 yr. USD LIBOR + 1.55% | )# | 6/1/2038 | 657,096 | 648,056 | |||||||
Federal National Mortgage Association | 3.911% (1 yr. USD LIBOR + 1.72% | )# | 6/1/2042 | 1,049,330 | 1,068,588 | |||||||
Federal National Mortgage Association | 3.937% (1 yr. USD LIBOR + 1.64% | )# | 9/1/2038 | 1,917,299 | 1,939,965 | |||||||
Federal National Mortgage Association | 3.938% (1 yr. USD LIBOR + 1.52% | )# | 3/1/2039 | 1,966,702 | 1,981,719 | |||||||
Federal National Mortgage Association | 3.953% (1 yr. USD LIBOR + 1.66% | )# | 8/1/2038 | 817,373 | 810,926 | |||||||
Federal National Mortgage Association | 3.988% (1 yr. USD LIBOR + 1.62% | )# | 4/1/2038 | 2,158,455 | 2,186,238 | |||||||
Federal National Mortgage Association | 4.013% (1 yr. USD LIBOR + 1.80% | )# | 11/1/2040 | 5,208,527 | 5,301,859 | |||||||
Federal National Mortgage Association | 4.016% (1 yr. USD LIBOR + 1.59% | )# | 8/1/2034 | 4,086,808 | 4,129,577 | |||||||
Federal National Mortgage Association | 4.042% (1 yr. USD LIBOR + 1.79% | )# | 3/1/2042 | 2,047,674 | 2,079,987 | |||||||
Federal National Mortgage Association | 4.051% (1 yr. USD LIBOR + 1.81% | )# | 1/1/2042 | 4,166,233 | 4,240,815 | |||||||
Federal National Mortgage Association | 4.052% (1 yr. USD LIBOR + 1.80% | )# | 10/1/2040 | 577,708 | 589,285 | |||||||
Federal National Mortgage Association | 4.06% | 12/1/2036 - 1/1/2041 | 3,190,171 | 3,223,947 | ||||||||
Federal National Mortgage Association | 4.061% (1 yr. USD LIBOR + 1.78% | )# | 1/1/2041 | 4,081,883 | 4,137,529 |
262 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Association | 4.062% (1 yr. USD LIBOR + 1.81% | )# | 12/1/2040 | $ | 1,053,968 | $ | 1,067,916 | |||||
Federal National Mortgage Association | 4.067% (1 yr. USD LIBOR + 1.82% | )# | 12/1/2040 | 2,277,555 | 2,313,581 | |||||||
Federal National Mortgage Association | 4.081% (1 yr. USD LIBOR + 1.63% | )# | 1/1/2038 | 947,868 | 959,126 | |||||||
Federal National Mortgage Association | 4.145% (1 yr. USD LIBOR + 1.81% | )# | 4/1/2040 | 964,191 | 976,696 | |||||||
Federal National Mortgage Association | 4.15% (1 yr. USD LIBOR + 1.74% | )# | 10/1/2036 | 1,873,075 | 1,907,259 | |||||||
Federal National Mortgage Association | 4.155% (1 yr. USD LIBOR + 1.82% | )# | 8/1/2041 | 1,456,865 | 1,481,403 | |||||||
Federal National Mortgage Association | 4.186% | 8/1/2037 - 1/1/2038 | 3,797,312 | 3,842,301 | ||||||||
Federal National Mortgage Association | 4.198% (1 yr. USD LIBOR + 1.59% | )# | 3/1/2038 | 1,872,292 | 1,895,516 | |||||||
Federal National Mortgage Association | 4.201% (1 yr. USD LIBOR + 1.65% | )# | 9/1/2036 | 1,384,649 | 1,400,538 | |||||||
Federal National Mortgage Association | 4.252% (1 yr. USD LIBOR + 1.78% | )# | 10/1/2036 | 1,680,443 | 1,707,918 | |||||||
Federal National Mortgage Association | 4.281% (1 yr. USD LIBOR + 1.75% | )# | 11/1/2038 | 2,683,674 | 2,724,506 | |||||||
Federal National Mortgage Association | 4.346% (1 yr. CMT + 2.24% | )# | 3/1/2038 | 259,680 | 256,658 | |||||||
Federal National Mortgage Association | 4.396% (1 yr. USD LIBOR + 1.84% | )# | 7/1/2040 | 570,288 | 565,919 | |||||||
Federal National Mortgage Association | 4.665% (1 yr. USD LIBOR + 1.89% | )# | 12/1/2038 | 1,327,023 | 1,354,284 | |||||||
Federal National Mortgage Association | 4.858% (1 yr. USD LIBOR + 1.74% | )# | 5/1/2042 | 4,398,965 | 4,446,698 | |||||||
Federal National Mortgage Association | 5.519% (1 yr. USD LIBOR + 1.60% | )# | 10/1/2045 | 1,781,013 | 1,826,145 | |||||||
Federal National Mortgage Association | 6.424% (1 yr. USD LIBOR + 1.60% | )# | 12/1/2045 | 2,415,721 | 2,462,516 | |||||||
Federal National Mortgage Association | 6.491% (1 yr. USD LIBOR + 1.60% | )# | 12/1/2045 | 2,390,017 | 2,438,410 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $110,779,063) | 107,981,044 | |||||||||||
MUNICIPAL BONDS 0.04% | ||||||||||||
Government | ||||||||||||
State of Illinois GO (cost $20,088,795) | 4.95% | 6/1/2023 | 20,088,818 | 20,088,818 |
See Notes to Financial Statements. | 263 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 13.74% | ||||||||||||
1211 Avenue of the Americas Trust Series 2015-1211 Class XA† | 0.242% | #(h) | 8/10/2035 | $ | 214,200,000 | $ | 1,054,378 | |||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(h) | 12/25/2059 | 5,573,540 | 5,234,563 | |||||||
Angel Oak Mortgage Trust Series 2020-6 Class A1† | 1.261% | #(h) | 5/25/2065 | 11,023,853 | 9,882,922 | |||||||
Angel Oak Mortgage Trust Series 2021-4 Class A1† | 1.035% | #(h) | 1/20/2065 | 24,073,197 | 19,280,628 | |||||||
Angel Oak Mortgage Trust Series 2021-6 Class A1† | 1.458% | #(h) | 9/25/2066 | 55,889,301 | 45,058,335 | |||||||
Angel Oak Mortgage Trust Series 2021-7 Class A1† | 1.978% | #(h) | 10/25/2066 | 19,806,110 | 16,731,396 | |||||||
Atrium Hotel Portfolio Trust Series 2017-ATRM Class A† | 6.287% (1 mo. USD LIBOR + 1.18% | )# | 12/15/2036 | 19,170,000 | 18,468,957 | |||||||
Atrium Hotel Portfolio Trust Series 2017-ATRM Class B† | 6.857% (1 mo. USD LIBOR + 1.75% | )# | 12/15/2036 | 30,936,000 | 29,123,407 | |||||||
Atrium Hotel Portfolio Trust Series 2018-ATRM Class B† | 6.537% (1 mo. USD LIBOR + 1.43% | )# | 6/15/2035 | 28,262,000 | 26,960,199 | |||||||
Banc of America Commercial Mortgage Trust Series 2016-UB10 Class XA | 1.728% | #(h) | 7/15/2049 | 46,845,774 | 1,731,471 | |||||||
BBCMS Mortgage Trust Series 2018-TALL Class A† | 5.98% (1 mo. USD LIBOR + 0.87% | )# | 3/15/2037 | 43,808,000 | 39,433,762 | |||||||
BBCMS Mortgage Trust Series 2018-TALL Class E† | 7.695% (1 mo. USD LIBOR + 2.59% | )# | 3/15/2037 | 36,419,000 | 21,977,093 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class A† | 6.13% (1 mo. USD Term SOFR + 1.07% | )# | 11/15/2034 | 62,710,000 | 51,697,666 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.484% (1 mo. USD Term SOFR + 1.42% | )# | 11/15/2034 | 26,023,000 | 20,909,129 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class C† | 6.784% (1 mo. USD Term SOFR + 1.72% | )# | 11/15/2034 | 10,000,000 | 7,730,227 | |||||||
BBCMS Mortgage Trust Series 2020-C7 Class A2 | 2.021% | 4/15/2053 | 13,250,000 | 12,482,176 | ||||||||
BBCMS Trust Series 2015-VFM Class A1† | 2.466% | 3/10/2036 | 12,492,196 | 11,560,032 | ||||||||
BB-UBS Trust Series 2012-SHOW Class A† | 3.43% | 11/5/2036 | 39,264,000 | 36,742,305 | ||||||||
BB-UBS Trust Series 2012-TFT Class A† | 2.892% | 6/5/2030 | 26,998,975 | 24,981,574 | ||||||||
BB-UBS Trust Series 2012-TFT Class B† | 3.559% | #(h) | 6/5/2030 | 7,850,000 | 6,966,169 | |||||||
BB-UBS Trust Series 2012-TFT Class C† | 3.559% | #(h) | 6/5/2030 | 14,354,000 | 11,790,188 | |||||||
BDS Ltd. Series 2021-FL8 Class A† | 6.031% (1 mo. USD LIBOR + 0.92% | )# | 1/18/2036 | 8,913,761 | 8,763,342 | |||||||
Benchmark Mortgage Trust Series 2018-B3 Class A3 | 3.746% | 4/10/2051 | 5,000,000 | 4,822,221 | ||||||||
Benchmark Mortgage Trust Series 2021 B23 Class A2 | 1.62% | 2/15/2054 | 28,550,000 | 25,375,303 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class D† | 7.357% (1 mo. USD LIBOR + 2.25% | )# | 7/15/2035 | 39,450,000 | 37,178,619 |
264 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BHP Trust Series 2019-BXHP Class A† | 6.082% (1 mo. USD LIBOR + 0.98% | )# | 8/15/2036 | $ | 39,526,386 | $ | 39,000,760 | |||||
BWAY Mortgage Trust Series 2013-1515 Class A1† | 2.809% | 3/10/2033 | 3,090,713 | 2,949,408 | ||||||||
BWAY Mortgage Trust Series 2013-1515 Class XB† | 0.403% | #(h) | 3/10/2033 | 103,040,000 | 589,224 | |||||||
BX Commercial Mortgage Trust Series 2019-IMC Class A† | 6.107% (1 mo. USD LIBOR + 1.00% | )# | 4/15/2034 | 3,690,000 | 3,645,020 | |||||||
BX Commercial Mortgage Trust Series 2019-XL Class A† | 6.094% (1 mo. USD Term SOFR + 1.03% | )# | 10/15/2036 | 16,042,785 | 15,940,115 | |||||||
BX Commercial Mortgage Trust Series 2021-ACNT Class A† | 5.958% (1 mo. USD LIBOR + 0.85% | )# | 11/15/2038 | 47,890,000 | 46,470,526 | |||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 5.796% (1 mo. USD LIBOR + 0.69% | )# | 10/15/2038 | 41,322,225 | 39,978,095 | |||||||
BX Commercial Mortgage Trust Series 2023-VLT2 Class A† | 7.34% | # | 6/15/2040 | 24,000,000 | 23,889,288 | |||||||
BX Trust Series 2019-OC11 Class XA† | 0.742% | #(h) | 12/9/2041 | 561,200,000 | 22,257,697 | |||||||
BX Trust Series 2019-RP Class B† | 6.602% (1 mo. USD LIBOR + 1.50% | )# | 6/15/2034 | 17,480,000 | 17,105,316 | |||||||
BX Trust Series 2021-ARIA Class E† | 7.352% (1 mo. USD LIBOR + 2.24% | )# | 10/15/2036 | 185,345,000 | 174,695,188 | |||||||
BX Trust Series 2021-ARIA Class F† | 7.701% (1 mo. USD LIBOR + 2.59% | )# | 10/15/2036 | 69,150,000 | 64,339,013 | |||||||
BX Trust Series 2021-MFM1 Class A† | 5.874% (1 mo. USD Term SOFR + 0.81% | )# | 1/15/2034 | 10,254,142 | 10,013,948 | |||||||
BX Trust Series 2021-RISE Class A† | 5.855% (1 mo. USD LIBOR + 0.75% | )# | 11/15/2036 | 52,700,000 | 50,973,790 | |||||||
BX Trust Series 2022-LBA6 Class A† | 6.059% (1 mo. USD Term SOFR + 1.00% | )# | 1/15/2039 | 46,690,000 | 45,500,227 | |||||||
BX Trust Series 2022-PSB Class A† | 7.51% (1 mo. USD Term SOFR + 2.45% | )# | 8/15/2039 | 50,413,954 | 50,350,175 | |||||||
BXHPP Trust Series 2021-FILM Class A† | 5.757% (1 mo. USD LIBOR + 0.65% | )# | 8/15/2036 | 154,270,000 | 144,983,316 | |||||||
BXHPP Trust Series 2021-FILM Class B† | 6.007% (1 mo. USD LIBOR + 0.90% | )# | 8/15/2036 | 38,250,000 | 35,132,246 | |||||||
BXMT Ltd. Series 2021-FL4 Class A† | 6.157% (1 mo. USD LIBOR + 1.05% | )# | 5/15/2038 | 57,000,000 | 54,256,875 | |||||||
BXP Trust Series 2017-CQHP Class A† | 5.957% (1 mo. USD LIBOR + 0.85% | )# | 11/15/2034 | 41,359,000 | 39,864,497 |
See Notes to Financial Statements. | 265 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Cantor Commercial Real Estate Lending Series 2019-CF1 Class 65A† | 4.411% | #(h) | 5/15/2052 | $ | 5,498,000 | $ | 4,844,256 | |||||
CF Trust Series 2019-BOSS Class A1† | 8.357% (1 mo. USD LIBOR + 3.25% | )# | 12/15/2024 | 63,488,000 | 59,862,029 | |||||||
CFCRE Commercial Mortgage Trust Series 2016-C4 Class XA | 1.605% | #(h) | 5/10/2058 | 58,603,412 | 2,027,385 | |||||||
CFCRE Commercial Mortgage Trust Series 2016-C6 Class XA | 1.083% | #(h) | 11/10/2049 | 144,679,426 | 4,072,914 | |||||||
CFCRE Commercial Mortgage Trust Series 2016-C7 Class XA | 0.658% | #(h) | 12/10/2054 | 135,672,032 | 2,625,145 | |||||||
Citigroup Commercial Mortgage Trust Series 2012-GC8 Class XB† | Zero Coupon | #(h) | 9/10/2045 | 130,629,134 | 1,306 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC19 Class A3 | 3.753% | 3/11/2047 | 3,995,041 | 3,948,613 | ||||||||
Citigroup Commercial Mortgage Trust Series 2014-GC21 Class XA | 1.12% | #(h) | 5/10/2047 | 152,261,147 | 979,770 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC23 Class XB | 0.209% | #(h) | 7/10/2047 | 120,131,000 | 242,989 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class AAB | 2.944% | 2/10/2048 | 2,453,226 | 2,397,604 | ||||||||
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class XA | 1.305% | #(h) | 2/10/2048 | 94,490,783 | 1,453,268 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC31 Class XA | 0.333% | #(h) | 6/10/2048 | 222,298,493 | 1,281,329 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC35 Class XA | 0.72% | #(h) | 11/10/2048 | 150,352,491 | 2,051,891 | |||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class A5 | 3.616% | 2/10/2049 | 16,900,000 | 15,964,918 | ||||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class XA | 1.21% | #(h) | 2/10/2049 | 90,581,165 | 2,197,870 | |||||||
Citigroup Commercial Mortgage Trust Series 2016-GC37 Class A4 | 3.314% | 4/10/2049 | 46,275,000 | 43,524,983 | ||||||||
Citigroup Commercial Mortgage Trust Series 2016-GC37 Class XA | 1.652% | #(h) | 4/10/2049 | 50,921,561 | 1,790,305 | |||||||
Citigroup Commercial Mortgage Trust Series 2018-B2 Class A2 | 3.788% | 3/10/2051 | 2,899,172 | 2,891,107 | ||||||||
COLT Mortgage Loan Trust Series 2021-2 Class A1† | 0.924% | #(h) | 8/25/2066 | 10,961,466 | 8,542,928 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2010-C1 Class D† | 5.792% | #(h) | 7/10/2046 | 10,636,843 | 10,146,970 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR3 Class AM† | 3.416% | 10/15/2045 | 3,831,488 | 3,542,051 |
266 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR4 Class XA | 1.182% | #(h) | 10/15/2045 | $ | 46,993,197 | $ | 470 | |||||
Commercial Mortgage Pass-Through Certificates Series 2013-CR12 Class A3 | 3.765% | 10/10/2046 | 12,591,625 | 12,551,576 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2013-CR8 Class XA | 0.156% | #(h) | 6/10/2046 | 43,164,774 | 432 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR17 Class A5 | 3.977% | 5/10/2047 | 7,751,000 | 7,568,696 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class A4 | 3.532% | 8/10/2047 | 11,256,012 | 10,906,316 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class A5 | 3.796% | 8/10/2047 | 10,150,000 | 9,857,965 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class XA | 0.927% | #(h) | 8/10/2047 | 67,282,373 | 495,272 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR21 Class A3 | 3.528% | 12/10/2047 | 4,269,329 | 4,103,286 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR21 Class XA | 0.842% | #(h) | 12/10/2047 | 92,844,606 | 913,322 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-LC17 Class XA | 0.659% | #(h) | 10/10/2047 | 81,360,187 | 508,680 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS3 Class A3 | 3.546% | 6/10/2047 | 5,773,954 | 5,644,686 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS3 Class A4 | 3.819% | 6/10/2047 | 13,342,000 | 12,929,727 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS5 Class A4 | 3.838% | 9/10/2047 | 25,610,000 | 24,699,265 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS5 Class XA | 0.832% | #(h) | 9/10/2047 | 182,289,768 | 1,427,019 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS6 Class A5 | 3.644% | 12/10/2047 | 16,942,045 | 16,242,289 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-DC1 Class A5 | 3.35% | 2/10/2048 | 33,734,000 | 32,256,100 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-LC21 Class A4 | 3.708% | 7/10/2048 | 17,723,000 | 16,953,554 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-PC1 Class A5 | 3.902% | 7/10/2050 | 45,504,000 | 43,685,619 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-PC1 Class XA† | 0.403% | #(h) | 7/10/2050 | 124,887,274 | 752,308 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2016-CD1 Class XA | 1.365% | #(h) | 8/10/2049 | 98,380,606 | 3,077,129 | |||||||
Credit Suisse Mortgage Capital Certificates Series 2020-SPT1 Class A1† | 1.616% | 4/25/2065 | 3,544,465 | 3,481,789 |
See Notes to Financial Statements. | 267 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2014-USA Class A1† | 3.304% | 9/15/2037 | $ | 8,931,112 | $ | 7,672,505 | ||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2014-USA Class X1† | 0.54% | #(h) | 9/15/2037 | 113,021,624 | 1,037,064 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2017-PFHP Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 12/15/2030 | 18,561,000 | 17,683,902 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | 5/25/2065 | 13,750,128 | 12,454,550 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-4SZN Class A† | 9.027% (1 mo. USD Term SOFR + 3.97% | )# | 11/15/2023 | 115,000,000 | 112,283,688 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-ADV Class A† | 6.508% (1 mo. USD LIBOR + 1.40% | )# | 7/15/2038 | 40,940,000 | 36,877,733 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-AFC1 Class A1† | 0.83% | #(h) | 3/25/2056 | 11,643,688 | 9,035,318 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-GATE Class B† | 7.065% (1 mo. USD LIBOR + 1.96% | )# | 12/15/2036 | 23,751,000 | 22,860,808 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-GATE Class C† | 7.815% (1 mo. USD LIBOR + 2.71% | )# | 12/15/2036 | 11,386,000 | 11,091,582 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-GATE Class D† | 8.665% (1 mo. USD LIBOR + 3.56% | )# | 12/15/2036 | 11,443,000 | 11,148,397 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM1 Class A1† | 0.809% | #(h) | 5/25/2065 | 13,905,482 | 11,784,874 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM3 Class A1† | 1.015% | #(h) | 4/25/2066 | 25,856,793 | 21,160,750 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM5 Class A1† | 0.938% | #(h) | 5/25/2066 | 5,940,991 | 4,699,483 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM6 Class A1† | 1.174% | #(h) | 7/25/2066 | 22,674,077 | 18,261,049 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM7 Class A1† | 1.756% | #(h) | 10/25/2066 | 22,098,885 | 18,576,318 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM7 Class A3† | 2.064% | #(h) | 10/25/2066 | 16,132,186 | 13,314,440 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-SRDC Class A† | 9.253% (1 mo. USD LIBOR + 4.14% | )# | 11/15/2023 | 25,000,000 | 25,229,355 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2022-NQM1 Class A1† | 2.265% | #(h) | 11/25/2066 | 54,390,827 | 47,021,245 |
268 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CS Master Trust Series 2021-AHP Class A† | 9.115% (1 mo. USD Term SOFR + 4.06% | )# | 4/15/2025 | $ | 83,500,000 | $ | 83,335,672 | |||||
CS Master Trust Series 2021-BLUF Class A† | 9.276% (1 mo. USD LIBOR + 4.18% | )# | 4/15/2023 | (i) | 47,600,000 | 45,423,123 | (b) | |||||
CS Master Trust Series 2021-MV Class A† | 9.075% (1 mo. USD Term SOFR + 4.01% | )# | 8/15/2023 | 62,700,000 | 63,226,586 | |||||||
CSAIL Commercial Mortgage Trust Series 2016-C6 Class XA | 1.859% | #(h) | 1/15/2049 | 128,399,728 | 5,201,678 | |||||||
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A5 | 3.502% | 11/15/2049 | 26,777,993 | 24,983,651 | ||||||||
CSAIL Commercial Mortgage Trust Series 2016-C7 Class XA | 0.935% | #(h) | 11/15/2049 | 201,841,034 | 4,536,761 | |||||||
CSAIL Commercial Mortgage Trust Series 2018-C14 Class A2 | 4.261% | 11/15/2051 | 3,831,768 | 3,821,176 | ||||||||
CSMC Trust Series 2020-AFC1 Class A1† | 2.24% | #(h) | 2/25/2050 | 16,489,482 | 15,351,629 | |||||||
CSMC Trust Series 2021-BPNY Class A† | 8.822% (1 mo. USD LIBOR + 3.71% | )# | 8/15/2023 | 64,750,000 | 61,910,674 | |||||||
DBGS Mortgage Trust Series 2021-W52 Class A† | 6.503% (1 mo. USD LIBOR + 1.39% | )# | 10/15/2036 | 71,290,000 | 66,697,712 | |||||||
DBJPM Mortgage Trust Series 2016-C3 Class XA | 1.423% | #(h) | 8/10/2049 | 180,976,189 | 6,199,629 | |||||||
DBUBS Mortgage Trust Series 2011-LC3A Class PM4† | 5.098% | #(h) | 5/10/2044 | 9,200,000 | 6,186,665 | |||||||
DBWF Mortgage Trust Series 2015-LCM Class A1† | 2.998% | 6/10/2034 | 7,726,250 | 7,189,417 | ||||||||
DBWF Mortgage Trust Series 2015-LCM Class XA† | 0.423% | #(h) | 6/10/2034 | 15,267,380 | 105,517 | |||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(h) | 8/25/2066 | 52,238,368 | 44,601,192 | |||||||
Eleven Madison Mortgage Trust Series 2015-11MD Class A† | 3.555% | #(h) | 9/10/2035 | 26,534,000 | 23,825,879 | |||||||
Ellington Financial Mortgage Trust Series 2020-2 Class A1† | 1.178% | #(h) | 10/25/2065 | 8,573,527 | 7,739,786 | |||||||
Ellington Financial Mortgage Trust Series 2021-1 Class A1† | 0.797% | #(h) | 2/25/2066 | 5,244,559 | 4,418,765 | |||||||
Ellington Financial Mortgage Trust Series 2021-3 Class A1† | 1.241% | #(h) | 9/25/2066 | 25,236,791 | 19,877,794 | |||||||
EQUS Mortgage Trust Series 2021-EQAZ Class B† | 6.207% (1 mo. USD LIBOR + 1.10% | )# | 10/15/2038 | 13,670,726 | 13,145,334 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2013-DN1 Class M2 | 12.288% (1 mo. USD LIBOR + 7.15% | )# | 7/25/2023 | 27,107,162 | 27,328,365 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2013-C01 Class M2 | 10.388% (1 mo. USD LIBOR + 5.25% | )# | 10/25/2023 | 16,213,382 | 16,457,429 |
See Notes to Financial Statements. | 269 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R02 Class 2M1† | 5.873% (30 day USD SOFR Average + 0.90% | )# | 11/25/2041 | $ | 21,864,910 | $ | 21,678,441 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R02 Class 2M2† | 6.973% (30 day USD SOFR Average + 2.00% | )# | 11/25/2041 | 18,765,000 | 17,958,114 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R03 Class 2M1 | 7.473% | 4/25/2043 | 48,607,045 | 49,100,261 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R04 Class 1M1† | 7.273%# | 5/25/2043 | 16,195,000 | 16,204,474 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R02 Class 2M1† | 6.173% (30 day USD SOFR Average + 1.20% | )# | 1/25/2042 | 23,802,536 | 23,640,890 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R04 Class 1M1† | 6.973% (30 day USD SOFR Average + 2.00% | )# | 3/25/2042 | 21,106,893 | 21,205,377 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R08 Class 1M1† | 7.523% (30 day USD SOFR Average + 2.55% | )# | 7/25/2042 | 36,403,259 | 36,837,019 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.381% (30 day USD SOFR Average + 2.40% | )# | 12/25/2042 | 23,067,896 | 23,245,376 | |||||||
Fontainebleau Miami Beach Trust Series 2019-FBLU Class A† | 3.144% | 12/10/2036 | 38,308,590 | 36,368,061 | ||||||||
Fontainebleau Miami Beach Trust Series 2019-FBLU Class B† | 3.447% | 12/10/2036 | 16,564,190 | 15,696,780 | ||||||||
Fontainebleau Miami Beach Trust Series 2019-FBLU Class XA† | 0.642% | #(h) | 12/10/2036 | 367,400,000 | 3,335,419 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA6 Class M2† | 6.473% (30 day USD SOFR Average + 1.50% | )# | 10/25/2041 | 27,070,000 | 26,322,124 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA7 Class M1† | 5.823% (30 day USD SOFR Average + 0.85% | )# | 11/25/2041 | 25,240,809 | 24,925,471 |
270 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA7 Class M2† | 6.773% (30 day USD SOFR Average + 1.80% | )# | 11/25/2041 | $ | 46,980,000 | $ | 45,098,841 | |||||
Freddie Mac STACR REMIC Trust Series 2021-HQA3 Class M1† | 5.823% (30 day USD SOFR Average + 0.85% | )# | 9/25/2041 | 61,469,344 | 59,585,481 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA4 Class M1† | 5.923% (30 day USD SOFR Average + 0.95% | )# | 12/25/2041 | 139,143,781 | 134,458,559 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-DNA1 Class M1A† | 5.973% (30 day USD SOFR Average + 1.00% | )# | 1/25/2042 | 42,441,825 | 41,720,946 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-DNA3 Class M1A† | 6.973% (30 day USD SOFR Average + 2.00% | )# | 4/25/2042 | 27,842,122 | 27,987,148 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-DNA4 Class M1A† | 7.173% (30 day USD SOFR Average + 2.20% | )# | 5/25/2042 | 26,760,416 | 26,999,638 | |||||||
Great Wolf Trust Series 2019-WOLF Class B† | 6.508% (1 mo. USD Term SOFR + 1.45% | )# | 12/15/2036 | 14,159,000 | 13,910,859 | |||||||
GS Mortgage Securities Corp. Series Trust 2012-BWTR Class A† | 2.954% | 11/5/2034 | 9,225,000 | 6,244,030 | ||||||||
GS Mortgage Securities Corp. Series Trust 2021-ARDN Class A† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 11/15/2036 | 110,910,000 | 107,723,700 | |||||||
GS Mortgage Securities Corp. Trust Series 2017-GPTX Class A† | 2.856% | 5/10/2034 | 42,390,714 | 33,531,055 | ||||||||
GS Mortgage Securities Corp. Trust Series 2017-GPTX Class B† | 3.104% | 5/10/2034 | 31,044,000 | 21,575,580 | ||||||||
GS Mortgage Securities Corp. Trust Series 2017-SLP Class A† | 3.419% | 10/10/2032 | 64,894 | 62,997 | ||||||||
GS Mortgage Securities Corp. Trust Series 2018-RIVR Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 7/15/2035 | 47,601,011 | 43,496,932 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-70P Class A† | 6.107% (1 mo. USD LIBOR + 1.00% | )# | 10/15/2036 | 80,163,670 | 76,629,166 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-70P Class B† | 6.427% (1 mo. USD LIBOR + 1.32% | )# | 10/15/2036 | 31,297,668 | 29,225,665 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class A† | 6.257% (1 mo. USD LIBOR + 1.15% | )# | 8/15/2032 | 22,000,000 | 21,572,965 |
See Notes to Financial Statements. | 271 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust Series 2021-RNT2 Class A† | 8.207% (1 mo. USD LIBOR + 3.10% | )# | 11/21/2023 | $ | 83,880,910 | $ | 83,676,409 | |||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.258% (1 mo. USD LIBOR + 1.15% | )# | 5/15/2026 | 47,760,000 | 43,338,570 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class G† | 9.758% (1 mo. USD LIBOR + 4.65% | )# | 5/15/2026 | 15,000,000 | 11,820,870 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class H† | 11.008% (1 mo. USD LIBOR + 5.90% | )# | 5/15/2026 | 19,706,000 | 15,180,247 | |||||||
GS Mortgage Securities Trust Series 2011-GC5 Class B† | 5.153% | #(h) | 8/10/2044 | 39,534,760 | 32,333,816 | |||||||
GS Mortgage Securities Trust Series 2012-GCJ9 Class XB† | Zero Coupon | #(h) | 11/10/2045 | 39,174,905 | 392 | |||||||
GS Mortgage Securities Trust Series 2013-GCJ14 Class A5 | 4.243% | 8/10/2046 | 8,349,741 | 8,331,325 | ||||||||
GS Mortgage Securities Trust Series 2014-GC18 Class A4 | 4.074% | 1/10/2047 | 13,252,225 | 13,024,122 | ||||||||
GS Mortgage Securities Trust Series 2014-GC26 Class XA | 0.915% | #(h) | 11/10/2047 | 69,054,176 | 681,689 | |||||||
GS Mortgage Securities Trust Series 2015-GC34 Class A4 | 3.506% | 10/10/2048 | 34,627,000 | 32,776,329 | ||||||||
GS Mortgage Securities Trust Series 2015-GS1 Class XA | 0.756% | #(h) | 11/10/2048 | 89,134,721 | 1,374,342 | |||||||
GS Mortgage Securities Trust Series 2016-GS2 Class A4 | 3.05% | 5/10/2049 | 28,917,000 | 26,986,238 | ||||||||
GS Mortgage Securities Trust Series 2016-GS2 Class XA | 1.728% | #(h) | 5/10/2049 | 160,028,189 | 6,119,366 | |||||||
GS Mortgage Securities Trust Series 2020-GC45 Class A2 | 2.898% | 2/13/2053 | 15,180,000 | 14,383,921 | ||||||||
HMH Trust Series 2017-NSS Class A† | 3.062% | 7/5/2031 | 33,687,000 | 31,718,416 | ||||||||
HMH Trust Series 2017-NSS Class B† | 3.343% | 7/5/2031 | 21,685,000 | 20,587,197 | ||||||||
HMH Trust Series 2017-NSS Class C† | 3.787% | 7/5/2031 | 16,116,000 | 15,219,547 | ||||||||
HMH Trust Series 2017-NSS Class D† | 4.723% | 7/5/2031 | 21,309,000 | 19,850,665 | ||||||||
HONO Mortgage Trust Series 2021-LULU Class A† | 6.257% (1 mo. USD LIBOR + 1.15% | )# | 10/15/2036 | 54,660,000 | 52,413,004 | |||||||
Houston Galleria Mall Trust Series 2015-HGLR Class A1A2† | 3.087% | 3/5/2037 | 54,825,000 | 51,320,476 |
272 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class XA10† | 1.293% | #(h) | 8/5/2034 | $ | 150,785,000 | $ | 21,038 | |||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class A7† | 3.914% | 8/5/2034 | 61,926,000 | 54,911,072 | ||||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class B7† | 4.666% | 8/5/2034 | 5,000,000 | 4,216,515 | ||||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class XA7† | 1.245% | #(h) | 8/5/2034 | 171,661,000 | 23,688 | |||||||
IMT Trust Series 2017-APTS Class AFX† | 3.478% | 6/15/2034 | 1,380,000 | 1,332,602 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2012-WLDN Class A† | 3.905% | 5/5/2030 | 66,414,046 | 52,248,209 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C12 Class XA | 0.239% | #(h) | 7/15/2045 | 2,970,953 | 30 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class XA | 0.959% | #(h) | 4/15/2046 | 8,230,958 | 82 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C24 Class XA | 0.847% | #(h) | 11/15/2047 | 87,048,039 | 594,529 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C25 Class XA | 0.805% | #(h) | 11/15/2047 | 145,673,152 | 1,243,990 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C26 Class XA | 0.927% | #(h) | 1/15/2048 | 127,899,860 | 1,240,117 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class A† | 3.429% | 6/10/2027 | 163,798,100 | 62,570,874 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class B† | 3.771% | 6/10/2027 | 20,772,000 | 3,380,643 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class C† | 3.805% | #(h) | 6/10/2027 | 14,352,000 | 1,032,268 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class D† | 3.805% | #(h) | 6/10/2027 | 25,795,381 | 582,331 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XA† | 0.376% | #(h) | 6/10/2027 | 102,274,000 | 174,758 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XB† | 0.034% | #(h) | 6/10/2027 | 45,476,000 | 15,378 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-C29 Class XA | 0.556% | #(h) | 5/15/2048 | 47,328,419 | 406,991 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP4 Class XA | 0.578% | #(h) | 12/15/2049 | 137,609,392 | 2,117,286 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-NINE Class A† | 2.854% | #(h) | 9/6/2038 | 10,000,000 | 8,892,170 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2017-JP7 Class A3 | 3.379% | 9/15/2050 | 10,000,000 | 9,658,988 |
See Notes to Financial Statements. | 273 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2017-JP7 Class XA | 0.985% | #(h) | 9/15/2050 | $ | 262,388,574 | $ | 7,642,933 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.377% (1 mo. USD LIBOR + 1.27% | )# | 11/15/2035 | 13,730,000 | 13,242,846 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class B† | 6.707% (1 mo. USD LIBOR + 1.60% | )# | 11/15/2035 | 10,053,000 | 9,605,275 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class C† | 7.057% (1 mo. USD LIBOR + 1.95% | )# | 11/15/2035 | 8,746,000 | 8,223,302 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class A† | 6.557% (1 mo. USD LIBOR + 1.45% | )# | 4/15/2031 | 25,048,000 | 21,657,127 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class B† | 7.257% (1 mo. USD LIBOR + 2.15% | )# | 4/15/2031 | 14,359,000 | 12,196,894 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class C† | 7.657% (1 mo. USD LIBOR + 2.55% | )# | 4/15/2031 | 10,408,000 | 8,692,501 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX† | 4.248% | 7/5/2033 | 69,261,000 | 62,582,508 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX† | 1.116% | #(h) | 7/5/2033 | 155,900,000 | 21,015 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class A† | 3.884% | 1/5/2034 | 32,965,000 | 32,052,895 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class B† | 4.235% | 1/5/2034 | 13,737,000 | 13,352,717 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class C† | 4.536% | 1/5/2034 | 12,800,000 | 12,411,621 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class A† | 6.924% (1 mo. USD Term SOFR + 1.86% | )# | 9/15/2029 | 39,509,392 | 39,542,718 | (b) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class B† | 7.824% (1 mo. USD Term SOFR + 2.76% | )# | 9/15/2029 | 15,299,000 | 15,315,616 | (b) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class C† | 8.524% (1 mo. USD Term SOFR + 3.46% | )# | 9/15/2029 | 11,384,000 | 11,388,700 | (b) | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class D† | 9.524% (1 mo. USD Term SOFR + 4.46% | )# | 9/15/2029 | 14,048,000 | 14,043,965 | (b) |
274 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-PCC Class E† | 10.524% (1 mo. USD Term SOFR + 5.46% | )# | 9/15/2029 | $ | 8,338,000 | $ | 8,319,367 | (b) | ||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-UES Class A† | 3.81% | 5/5/2032 | 6,460,000 | 6,273,348 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class A† | 6.408% (1 mo. USD LIBOR + 1.30% | )# | 8/15/2033 | 50,480,000 | 50,411,948 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class B† | 7.558% (1 mo. USD LIBOR + 2.45% | )# | 8/15/2033 | 41,740,000 | 41,782,082 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class C† | 9.058% (1 mo. USD LIBOR + 3.95% | )# | 8/15/2033 | 37,430,000 | 37,418,505 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2022-NLP Class A† | 5.656% (1 mo. USD Term SOFR + 0.60% | )# | 4/15/2037 | 44,293,822 | 42,102,952 | |||||||
JPMBB Commercial Mortgage Securities Trust Series 2015-C30 Class XA | 0.425% | #(h) | 7/15/2048 | 106,423,538 | 806,765 | |||||||
JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A2 | 2.215% | 5/13/2053 | 14,750,000 | 13,341,238 | ||||||||
Key Commercial Mortgage Securities Trust Series 2019-S2 Class A1† | 2.656% | 6/15/2052 | 5,621,583 | 5,411,959 | ||||||||
Key Commercial Mortgage Securities Trust Series 2019-S2 Class X† | 1.423% | #(h) | 6/15/2052 | 115,901,146 | 6,576,236 | |||||||
KIND Trust Series 2021-KIND Class A† | 6.124% (1 mo. USD Term SOFR + 1.06% | )# | 8/15/2038 | 81,908,023 | 76,987,972 | |||||||
KKR Industrial Portfolio Trust Series 2021-KDIP Class A† | 5.724% (1 mo. USD Term SOFR + 0.66% | )# | 12/15/2037 | 11,185,397 | 11,054,398 | |||||||
Ladder Capital Commercial Mortgage Trust Series 2013-GCP Class A1† | 3.575% | 2/15/2036 | 5,118,135 | 4,752,780 | ||||||||
Life Mortgage Trust Series 2022-BMR2 Class A1† | 6.355% (1 mo. USD Term SOFR + 1.30% | )# | 5/15/2039 | 55,580,000 | 54,496,273 | |||||||
LoanCore Issuer Ltd. Series 2019-CRE3 Class AS† | 6.477% (1 mo. USD LIBOR + 1.37% | )# | 4/15/2034 | 5,412,257 | 5,313,505 | |||||||
LSTAR Commercial Mortgage Trust Series 2016-4 Class XA† | 1.687% | #(h) | 3/10/2049 | 59,171,110 | 1,050,678 | |||||||
LSTAR Commercial Mortgage Trust Series 2017-5 Class A3† | 4.50% | 3/10/2050 | 51,919,373 | 51,859,235 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-CKSV Class A2† | 3.277% | 10/15/2030 | 14,775,117 | 11,869,298 |
See Notes to Financial Statements. | 275 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9 Class XA | 0.447% | #(h) | 5/15/2046 | $ | 12,178,548 | $ | 122 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9 Class XB† | 0.161% | #(h) | 5/15/2046 | 107,177,251 | 11,790 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014 C19 Class XA | 0.953% | #(h) | 12/15/2047 | 98,787,282 | 922,802 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C17 Class A4 | 3.443% | 8/15/2047 | 5,784,540 | 5,646,074 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 Class A4 | 3.325% | 5/15/2049 | 18,050,000 | 17,045,602 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 Class XA | 1.512% | #(h) | 5/15/2049 | 108,450,503 | 3,451,448 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 Class XA | 1.273% | #(h) | 11/15/2049 | 225,217,488 | 7,272,295 | |||||||
Morgan Stanley Capital I Trust Series 2015-420 Class A† | 3.727% | 10/12/2050 | 22,353,128 | 20,664,644 | ||||||||
Morgan Stanley Capital I Trust Series 2015-UBS8 Class ASB | 3.626% | 12/15/2048 | 4,432,507 | 4,298,606 | ||||||||
Morgan Stanley Capital I Trust Series 2016-UB11 Class XA | 1.439% | #(h) | 8/15/2049 | 67,759,698 | 2,450,435 | |||||||
Morgan Stanley Capital I Trust Series 2016-UB11 Class XB | 0.882% | #(h) | 8/15/2049 | 121,222,774 | 3,056,632 | |||||||
MSCG Trust Series 2015-ALDR Class A1† | 2.612% | 6/7/2035 | 7,678,141 | 7,266,590 | ||||||||
MTK Mortgage Trust Series 2021-GRNY Class A† | 6.857% (1 mo. USD LIBOR + 1.75% | )# | 12/15/2038 | 68,552,500 | 66,169,741 | |||||||
MTK Mortgage Trust Series 2021-GRNY Class B† | 7.757% (1 mo. USD LIBOR + 2.65% | )# | 12/15/2038 | 22,648,900 | 21,777,987 | |||||||
MTK Mortgage Trust Series 2021-GRNY Class C† | 8.507% (1 mo. USD LIBOR + 3.40% | )# | 12/15/2038 | 9,458,500 | 9,057,569 | |||||||
MTN Commercial Mortgage Trust Series 2022-LPFL Class A† | 6.456% (1 mo. USD Term SOFR + 1.40% | )# | 3/15/2039 | 13,544,000 | 13,344,337 | |||||||
Natixis Commercial Mortgage Securities Trust Series 2018-285M Class A† | 3.79% | #(h) | 11/15/2032 | 47,581,000 | 44,502,029 | |||||||
Natixis Commercial Mortgage Securities Trust Series 2018-285M Class B† | 3.79% | #(h) | 11/15/2032 | 17,029,000 | 15,452,860 | |||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(h) | 1/26/2060 | 6,173,029 | 5,657,720 | |||||||
NYO Commercial Mortgage Trust Series 2021-1290 Class A† | 6.27% (1 mo. USD Term SOFR + 1.21% | )# | 11/15/2038 | 38,850,000 | 35,463,181 | |||||||
One Bryant Park Trust Series 2019-OBP Class A† | 2.516% | 9/15/2054 | 3,520,000 | 2,893,636 |
276 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
One New York Plaza Trust Series 2020-1NYP Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 1/15/2036 | $ | 86,000,000 | $ | 81,650,146 | |||||
One New York Plaza Trust Series 2020-1NYP Class AJ† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 1/15/2036 | 59,595,000 | 55,492,266 | |||||||
Palisades Center Trust Series 2016-PLSD Class A† | 2.713% | 4/13/2033 | 6,735,000 | 3,878,889 | ||||||||
Palisades Center Trust Series 2016-PLSD Class C† | 3.998% | 4/13/2033 | 40,040,000 | 5,385,580 | ||||||||
Palisades Center Trust Series 2016-PLSD Class D† | 4.737% | 4/13/2033 | 34,071,926 | 1,614,549 | ||||||||
PFP Ltd. Series 2021-7 Class A† | 5.957% (1 mo. USD LIBOR + 0.85% | )# | 4/14/2038 | 778,858 | 769,158 | |||||||
Prima Capital CRE Securitization Ltd. Series 2019-7A Class A† | 2.25% | 12/25/2050 | 3,655,179 | 3,670,476 | (b) | |||||||
RBS Commercial Funding, Inc. Trust Series 2013-SMV Class A† | 3.26% | 3/11/2031 | 57,896,000 | 55,007,435 | ||||||||
Ready Capital Mortgage Financing LLC Series 2021-FL6 Class A† | 6.088% (1 mo. USD LIBOR + 0.95% | )# | 7/25/2036 | 68,778,344 | 66,658,648 | |||||||
Ready Capital Mortgage Financing LLC Series 2022-FL8 Class A† | 6.631% (30 day USD SOFR Average + 1.65% | )# | 1/25/2037 | 51,473,306 | 50,674,492 | |||||||
Ready Capital Mortgage Trust Series 2019-5 Class A† | 3.777% | 2/25/2052 | 1,011,132 | 998,817 | ||||||||
ReadyCap Commercial Mortgage Trust Series 2018-4 Class A† | 3.39% | 2/27/2051 | 2,382,229 | 2,285,800 | ||||||||
ReadyCap Commercial Mortgage Trust Series 2019-6 Class A† | 2.833% | 10/25/2052 | 18,785,184 | 17,551,549 | ||||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(h) | 1/26/2060 | 3,268,341 | 3,096,600 | |||||||
SFO Commercial Mortgage Trust Series 2021-555 Class A† | 6.257% (1 mo. USD LIBOR + 1.15% | )# | 5/15/2038 | 60,000,000 | 53,287,728 | |||||||
Shops at Crystals Trust Series 2016-CSTL Class XA† | 0.606% | #(h) | 7/5/2036 | 112,000,000 | 1,772,689 | |||||||
SHOW Trust Series 2022-BIZ Class A† | 8.035% (1 mo. USD Term SOFR + 2.98% | )# | 1/15/2027 | 186,000,000 | 186,413,973 | |||||||
SMRT Commercial Mortgage Trust Series 2022-MINI Class A† | 6.06% (1 mo. USD Term SOFR + 1.00% | )# | 1/15/2039 | 112,590,000 | 109,370,162 | |||||||
SREIT Trust Series 2021-MFP Class A† | 5.838% (1 mo. USD LIBOR + 0.73% | )# | 11/15/2038 | 25,100,000 | 24,284,642 |
See Notes to Financial Statements. | 277 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(h) | 2/25/2050 | $ | 1,251,559 | $ | 1,188,187 | |||||
Starwood Mortgage Residential Trust Series 2021-2 Class A1† | 0.943% | #(h) | 5/25/2065 | 7,580,301 | 6,766,095 | |||||||
UBS Commercial Mortgage Trust Series 2017-C6 Class XA | 1.154% | #(h) | 12/15/2050 | 271,632,332 | 10,515,811 | |||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2 Class XA† | 0.522% | #(h) | 5/10/2063 | 12,165,910 | 122 | |||||||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 Class B† | 3.649% | #(h) | 3/10/2046 | 5,162,708 | 4,753,832 | |||||||
UBS-Barclays Commercial Mortgage Trust Series 2013-C6 Class XA† | 0.78% | #(h) | 4/10/2046 | 8,910,297 | 89 | |||||||
VASA Trust Series 2021-VASA Class B† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 7/15/2039 | 20,502,000 | 18,844,868 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 2.417% | 1/25/2060 | 5,028,963 | 4,733,782 | ||||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | 5/25/2065 | 11,858,271 | 10,905,944 | ||||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | 5/25/2065 | 12,284,555 | 11,172,501 | ||||||||
Verus Securitization Trust Series 2021-1 Class A1† | 0.815% | #(h) | 1/25/2066 | 22,028,113 | 18,860,118 | |||||||
Verus Securitization Trust Series 2021-3 Class A1† | 1.046% | #(h) | 6/25/2066 | 36,096,590 | 30,236,818 | |||||||
Verus Securitization Trust Series 2021-5 Class A1† | 1.013% | #(h) | 9/25/2066 | 32,472,198 | 26,447,199 | |||||||
Verus Securitization Trust Series 2021-R2 Class A1† | 0.918% | #(h) | 2/25/2064 | 7,870,164 | 6,833,965 | |||||||
Verus Securitization Trust Series 2021-R3 Class A1† | 1.02% | #(h) | 4/25/2064 | 23,854,992 | 21,236,484 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2014-LC16 Class A5 | 3.817% | 8/15/2050 | 13,277,000 | 12,899,076 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C29 Class XA | 0.59% | #(h) | 6/15/2048 | 122,363,558 | 1,191,894 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-SG1 Class XA | 0.652% | #(h) | 9/15/2048 | 141,105,040 | 1,561,059 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 Class XA | 1.714% | #(h) | 8/15/2049 | 182,683,012 | 7,310,682 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2016-C32 Class A4 | 3.56% | 1/15/2059 | 18,500,000 | 17,519,951 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2016-C34 Class XA | 2.061% | #(h) | 6/15/2049 | 117,688,245 | 4,400,434 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2017-SMP Class B† | 6.232% (1 mo. USD LIBOR + 1.13% | )# | 12/15/2034 | 16,322,000 | 15,597,228 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2018-C44 Class A2 | 4.178% | 5/15/2051 | 12,053,251 | 11,761,695 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2018-C47 Class A2 | 4.361% | 9/15/2061 | 17,688,788 | 17,528,935 |
278 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WFLD Mortgage Trust Series 2014-MONT Class A† | 3.755% | #(h) | 8/10/2031 | $ | 7,750,000 | $ | 6,876,353 | |||||
WF-RBS Commercial Mortgage Trust Series 2012-C10 Class XA† | 1.151% | #(h) | 12/15/2045 | 2,344,141 | 23 | |||||||
WF-RBS Commercial Mortgage Trust Series 2013-C13 Class XA† | 0.737% | #(h) | 5/15/2045 | 12,390,166 | 793 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C19 Class A4 | 3.829% | 3/15/2047 | 8,371,990 | 8,234,919 | ||||||||
WF-RBS Commercial Mortgage Trust Series 2014-C19 Class A5 | 4.101% | 3/15/2047 | 25,388,286 | 24,882,876 | ||||||||
WF-RBS Commercial Mortgage Trust Series 2014-C20 Class A5 | 3.995% | 5/15/2047 | 9,160,000 | 8,907,305 | ||||||||
WFRBS Commercial Mortgage Trust Series 2014-C21 Class A4 | 3.41% | 8/15/2047 | 12,037,495 | 11,693,786 | ||||||||
WF-RBS Commercial Mortgage Trust Series 2014-C21 Class XB | 0.643% | #(h) | 8/15/2047 | 77,368,500 | 578,771 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C22 Class XA | 0.779% | #(h) | 9/15/2057 | 72,033,379 | 464,846 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C22 Class XB | 0.452% | #(h) | 9/15/2057 | 37,769,102 | 166,161 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $7,178,248,410) | 6,452,358,754 | |||||||||||
U.S. TREASURY OBLIGATIONS 4.69% | ||||||||||||
U.S. Treasury Inflation-Indexed Notes(j) | 0.25% | 1/15/2025 | 325,796,392 | 313,858,281 | ||||||||
U.S. Treasury Notes | 3.875% | 3/31/2025 | 606,625,000 | 599,658,288 | ||||||||
U.S. Treasury Notes | 3.875% | 4/30/2025 | 763,926,000 | 755,660,084 | ||||||||
U.S. Treasury Notes | 4.125% | 1/31/2025 | 539,389,000 | 534,848,439 | ||||||||
Total U.S. Treasury Obligations (cost $2,216,184,843) | 2,204,025,092 | |||||||||||
Total Long-Term Investments (cost $48,233,681,473) | 46,305,047,666 | |||||||||||
SHORT-TERM INVESTMENTS 1.18% | ||||||||||||
COMMERCIAL PAPER 0.79% | ||||||||||||
Auto Manufacturers 0.09% | ||||||||||||
General Motors Financial Co., Inc. | 5.68% | 8/22/2023 | 41,707,000 | 41,184,504 | ||||||||
Chemicals 0.08% | ||||||||||||
FMC Corp. | 6.175% | 7/10/2023 | 38,742,000 | 38,490,177 | ||||||||
Commercial Services 0.01% | ||||||||||||
Global Payments, Inc. | 5.912% | 6/1/2023 | 6,784,000 | 6,784,000 |
See Notes to Financial Statements. | 279 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric 0.19% | ||||||||||||
AES Corp. | 5.983% | 6/1/2023 | $ | 25,207,000 | $ | 25,207,000 | ||||||
RWE AG | 6.019% | 7/11/2023 | 63,045,000 | 62,631,705 | ||||||||
Total | 87,838,705 | |||||||||||
Equity Real Estate 0.05% | ||||||||||||
Crown Castle, Inc. | 6.009% | 6/8/2023 | 25,000,000 | 24,971,320 | ||||||||
Finance 0.22% | ||||||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.184% | 7/20/2023 | 32,000,000 | 31,738,666 | ||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.186% | 7/20/2023 | 45,300,000 | 44,930,050 | ||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.485% | 10/5/2023 | 24,725,000 | 24,222,588 | ||||||||
Total | 100,891,304 | |||||||||||
Oil & Gas 0.15% | ||||||||||||
Ovintiv, Inc. | 6.093% | 6/16/2023 | 51,618,000 | 51,490,030 | ||||||||
Ovintiv, Inc. | 6.167% | 6/9/2023 | 20,000,000 | 19,973,111 | ||||||||
Total | 71,463,141 | |||||||||||
Total Commercial Paper (cost $371,589,031) | 371,623,151 | |||||||||||
REPURCHASE AGREEMENTS 0.39% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $100,151,000 of U.S. Treasury Note at 0.500% due 2/28/2026; $94,282,400 of U.S. Treasury Note at 4.00% due 2/15/2026; value: $184,676,396; proceeds: $181,068,294 (cost $181,055,218) | 181,055,218 | 181,055,218 | ||||||||||
Total Short-Term Investments (cost $552,644,249) | 552,678,369 | |||||||||||
Total Investments in Securities 99.78% (cost $48,786,325,722) | 46,857,726,035 | |||||||||||
Other Assets and Liabilities – Net(k) 0.22% | 104,211,970 | |||||||||||
Net Assets 100.00% | $ | 46,961,938,005 |
CAD | Canadian Dollar. | |
CMT | Constant Maturity Rate. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $22,771,290,155, which represents 48.49% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
* | Non-income producing security. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Level 3 Investment as described in Note 2(u) 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. |
280 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
(c) | Foreign security traded in U.S. dollars. | |
(d) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(e) | Defaulted (non-income producing security). | |
(f) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(g) | Interest Rate to be determined. | |
(h) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | Maturity date has passed. As of May 31, 2023, an extension is available to June 15, 2024. | |
(j) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(k) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
Centrally Cleared Credit Default Swap Contracts on Issuers - Sell Protection at May 31, 2023(1):
Referenced Indexes | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Appreciation(3) | Value | |||||||||||||
Ford Motor Company(4)(5) | Goldman Sachs | 5.000% | 12/20/2023 | $50,000,000 | $ | 624,709 | $ | 447,873 | $ | 1,072,582 | ||||||||||
Ford Motor Company(4)(5) | Goldman Sachs | 5.000% | 12/20/2023 | 25,000,000 | 516,826 | 7,574 | 524,400 | |||||||||||||
$ | 1,141,535 | $ | 455,447 | $ | 1,596,982 |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap contracts agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap contracts 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 contracts less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments paid (received) by Central Clearing Party are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swap Contracts on Indexes amounted to $455,447. Total unrealized depreciation on Credit Default Swap Contracts on Indexes amounted to $0. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | Moody’s Credit Rating: Baa3. |
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at May 31, 2023:
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 | Value/Unrealized Appreciation | ||||||||||
Goldman Sachs | 2.399% | CPI Urban Consumer NSA | 10/4/2023 | $ | 270,511,787 | $ | 2,072,699 | ||||||||
Goldman Sachs | 4.145% | CPI Urban Consumer NSA | 4/15/2024 | 261,224,873 | 897,801 | ||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 2,970,500 | |||||||||||||
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 | Value/Unrealized Depreciation | ||||||||||
Goldman Sachs | 2.548% | CPI Urban Consumer NSA | 3/27/2025 | 245,000,000 | (988,629 | ) | |||||||||
Goldman Sachs | 2.750% | CPI Urban Consumer NSA | 3/24/2024 | 245,000,000 | (210,271 | ) | |||||||||
Total Unrealized Depreciation on Centrally Cleared CPI Swap Contracts | $ | (1,198,900 | ) |
See Notes to Financial Statements. | 281 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Credit Default Swap Contracts on Indexes - Sell Protection at May 31, 2023(1):
Referenced Indexes* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Appreciation/ (Depreciation)(3) | Credit Default Swap Agreements Payable at Fair Value(4) | |||||||||||||
Markit CMBX. NA.A.10 | Morgan Stanley | 2.000% | 11/17/2059 | 15,000,000 | $ | (71,516 | ) | $ | (1,417,205 | ) | $ | (1,488,721 | ) | |||||||
Markit CMBX. NA.A.10 | Morgan Stanley | 2.000% | 11/17/2059 | 25,000,000 | (115,793 | ) | (2,365,409 | ) | (2,481,202 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 3,438,188 | (32,711 | ) | (388,639 | ) | (421,350 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,719,094 | (26,702 | ) | (183,973 | ) | (210,675 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 859,547 | (9,733 | ) | (95,604 | ) | (105,337 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,719,094 | (31,342 | ) | (179,333 | ) | (210,675 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 859,547 | (12,816 | ) | (92,521 | ) | (105,337 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,719,094 | (18,937 | ) | (191,738 | ) | (210,675 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,719,094 | (19,467 | ) | (191,208 | ) | (210,675 | ) | ||||||||||
Markit CMBX. NA.AA.6 | Morgan Stanley | 1.500% | 5/11/2063 | 5,157,281 | (42,937 | ) | (589,088 | ) | (632,025 | ) | ||||||||||
Markit CMBX. NA.AA.7 | Citibank | 1.500% | 1/17/2047 | 34,436,297 | (510,606 | ) | (1,550,317 | ) | (2,060,923 | ) | ||||||||||
Markit CMBX. NA.AA.7 | Citibank | 1.500% | 1/17/2047 | 24,597,355 | (420,607 | ) | (1,051,481 | ) | (1,472,088 | ) | ||||||||||
Markit CMBX. NA.AA.7 | Citibank | 1.500% | 1/17/2047 | 19,677,884 | (297,260 | ) | (880,410 | ) | (1,177,670 | ) | ||||||||||
Markit CMBX. NA.AA.8 | Morgan Stanley | 1.500% | 10/17/2057 | 25,000,000 | (66,097 | ) | (400,173 | ) | (466,270 | ) | ||||||||||
$ | (1,676,524 | ) | $ | (9,577,099 | ) | $ | (11,253,623 | ) |
* | The Referenced Index is for the Credit Default Swap Contracts 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 contracts agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap contracts 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 contracts less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments paid (received) are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swap Contracts on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swap Contracts on Indexes amounted to $9,577,099. | |
(4) | Includes upfront payments paid (received). |
282 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2023
Forward Foreign Currency Exchange Contracts at May 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||
Canadian dollar | Sell | State Street Bank and Trust | 7/20/2023 | 33,790,000 | $25,149,603 | $24,919,804 | $229,799 |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2023 | 109,272 | Long | $22,482,642,592 | $22,491,250,984 | $ 8,608,392 | ||||||||||||
U.S. 5-Year Treasury Note | September 2023 | 34,109 | Short | (3,723,016,467 | ) | (3,720,545,766 | ) | 2,470,701 | ||||||||||
Total Unrealized Appreciation on Futures Contracts | $11,079,093 |
The following is a summary of the inputs used as of May 31, 2023 in valuing the Fund’s investments carried at fair value(1):
Investment Type | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments(2) | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Other | $ | – | $ | 6,407,888,346 | $ | 33,568,057 | $ | 6,441,456,403 | ||||||||
Remaining Industries | – | 4,914,350,389 | – | 4,914,350,389 | ||||||||||||
Common Stocks | 5,164 | – | – | 5,164 | ||||||||||||
Corporate Bonds | – | 24,168,322,970 | – | 24,168,322,970 | ||||||||||||
Floating Rate Loans | – | 1,982,694,183 | – | 1,982,694,183 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 13,744,378 | 20,471 | 13,764,849 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 107,981,044 | – | 107,981,044 | ||||||||||||
Municipal Bonds | – | 20,088,818 | – | 20,088,818 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 6,314,654,789 | 137,703,965 | 6,452,358,754 | ||||||||||||
U.S. Treasury Obligations | – | 2,204,025,092 | – | 2,204,025,092 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 371,623,151 | – | 371,623,151 | ||||||||||||
Repurchase Agreements | – | 181,055,218 | – | 181,055,218 | ||||||||||||
Total | $ | 5,164 | $ | 46,686,428,378 | $ | 171,292,493 | $ | 46,857,726,035 |
See Notes to Financial Statements. | 283 |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION INCOME FUND May 31, 2023
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,596,982 | $ | – | $ | 1,596,982 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 2,970,500 | – | 2,970,500 | ||||||||||||
Liabilities | – | (1,198,900 | ) | – | (1,198,900 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (11,253,623 | ) | – | (11,253,623 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 229,799 | – | 229,799 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 11,079,093 | – | – | 11,079,093 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 11,079,093 | $ | (7,655,242 | ) | $ | – | $ | 3,423,851 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period 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 period.
284 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 109.73% | ||||||||||||
ASSET-BACKED SECURITIES 14.03% | ||||||||||||
Automobiles 4.24% | ||||||||||||
Avid Automobile Receivables Trust Series 2019-1 Class C† | 3.14% | 7/15/2026 | $ | 315,155 | $ | 314,212 | ||||||
BMW Vehicle Lease Trust Series 2023-1 Class A4 | 5.07% | 6/25/2026 | 11,350,000 | 11,309,694 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-1 Class A2 | 2.71% | 6/16/2025 | 1,613,764 | 1,593,091 | ||||||||
Carvana Auto Receivables Trust Series 2019-3A Class E† | 4.60% | 7/15/2026 | 4,236,000 | 4,143,806 | ||||||||
Carvana Auto Receivables Trust Series NP1 2020-N1A Class E† | 5.20% | 7/15/2027 | 9,077,000 | 8,690,389 | ||||||||
CPS Auto Receivables Trust Series 2019-B Class E† | 5.00% | 3/17/2025 | 1,246,696 | 1,237,907 | ||||||||
CPS Auto Receivables Trust Series 2020-A Class E† | 4.09% | 12/15/2025 | 812,000 | 797,849 | ||||||||
Flagship Credit Auto Trust Series 2018-4 Class E† | 5.51% | 3/16/2026 | 9,800,000 | 9,670,011 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 11,120,000 | 10,942,567 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class A3 | 4.94% | 3/15/2026 | 13,850,000 | 13,765,411 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-2 Class A2 | 2.93% | 10/21/2024 | 9,047,268 | 8,964,218 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class A3 | 5.16% | 4/20/2026 | 12,200,000 | 12,176,621 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class B | 5.51% | 1/20/2027 | 10,505,000 | 10,493,627 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class C | 4.74% | 10/16/2028 | 5,884,000 | 5,759,651 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class C | 4.96% | 11/15/2028 | 12,785,000 | 12,559,005 | ||||||||
Tricolor Auto Securitization Trust Series 2021-1A Class E† | 3.23% | 9/15/2026 | 4,270,000 | 4,135,569 | ||||||||
Westlake Automobile Receivables Trust Series 2020-3A Class E† | 3.34% | 6/15/2026 | 8,700,000 | 8,364,447 | ||||||||
Westlake Automobile Receivables Trust Series 2021-1A Class E† | 2.33% | 8/17/2026 | 3,045,000 | 2,867,702 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class C† | 5.74% | 8/15/2028 | 4,415,000 | 4,403,669 | ||||||||
Total | 132,189,446 | |||||||||||
Credit Card 1.40% | ||||||||||||
BA Credit Card Trust Series 2022-A2 Class A2 | 5.00% | 4/15/2028 | 9,150,000 | 9,202,881 | ||||||||
Discover Card Execution Note Trust Series 2022-A3 Class A3 | 3.56% | 7/15/2027 | 10,895,000 | 10,613,524 |
See Notes to Financial Statements. | 285 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Credit Card (continued) | ||||||||||||
Genesis Sales Finance Master Trust Series 2021-AA Class B† | 1.45% | 12/21/2026 | $ | 8,410,000 | $ | 7,843,095 | ||||||
Genesis Sales Finance Master Trust Series 2021-AA Class D† | 2.09% | 12/21/2026 | 4,000,000 | 3,499,058 | ||||||||
Perimeter Master Note Business Trust Series 2019-2A Class A† | 4.23% | 5/15/2024 | 7,083,347 | 6,982,933 | ||||||||
Perimeter Master Note Business Trust Series 2021-1A Class B† | 4.17% | 12/15/2026 | 5,875,000 | 5,498,987 | ||||||||
Total | 43,640,478 | |||||||||||
Other 8.36% | ||||||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 8,430,000 | 8,411,485 | ||||||||
AMMC CLO XIII Ltd. Series 2013-13A Class A2LR† | 6.973% (3 mo. USD LIBOR + 1.70% | )# | 7/24/2029 | 810,000 | 803,521 | |||||||
Apidos CLO XXVI Series 2017-26A Class A2R† | 6.762% (3 mo. USD LIBOR + 1.50% | )# | 7/18/2029 | 3,300,000 | 3,224,421 | |||||||
Apidos CLO XXXV Series 2021-35A Class A† | 6.30% (3 mo. USD LIBOR + 1.05% | )# | 4/20/2034 | 4,660,000 | 4,550,641 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.207% (1 mo. USD LIBOR + 1.10% | )# | 5/15/2036 | 5,850,000 | 5,720,626 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class E† | 8.057% (1 mo. USD LIBOR + 2.95% | )# | 5/15/2036 | 1,930,000 | 1,789,614 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.177% (1 mo. USD LIBOR + 1.07% | )# | 8/15/2034 | 5,910,000 | 5,725,820 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4 Class A† | 6.457% (1 mo. USD LIBOR + 1.35% | )# | 11/15/2036 | 14,060,000 | 13,767,468 | |||||||
Ares XL CLO Ltd. Series 2016-40A Class A1RR† | 6.13% (3 mo. USD LIBOR + 0.87% | )# | 1/15/2029 | 3,335,727 | 3,305,838 | |||||||
Avant Loans Funding Trust Series 2022-REV1 Class A† | 6.54% | 9/15/2031 | 15,210,000 | 15,070,056 | ||||||||
Ballyrock CLO Ltd. Series 2020-2A Class A1R† | 6.26% (3 mo. USD LIBOR + 1.01% | )# | 10/20/2031 | 6,120,000 | 6,042,821 | |||||||
Barings CLO Ltd. Series 2019-3A Class A1R† | 6.32% (3 mo. USD LIBOR + 1.07% | )# | 4/20/2031 | 5,500,000 | 5,422,520 | |||||||
BlueMountain CLO XXXI Ltd. Series 2021-31A Class A1† | 6.415% (3 mo. USD LIBOR + 1.15% | )# | 4/19/2034 | 6,950,000 | 6,785,285 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-1A Class A1AR† | 6.33% (3 mo. USD LIBOR + 1.08% | )# | 4/20/2031 | 7,700,000 | 7,581,721 |
286 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.15% (3 mo. USD LIBOR + 0.90% | )# | 7/20/2029 | $ | 6,835,146 | $ | 6,758,807 | |||||
CIFC Funding V Ltd. Series 2014-5A Class A1R2† | 6.46% (3 mo. USD LIBOR + 1.20% | )# | 10/17/2031 | 3,830,000 | 3,791,110 | |||||||
Consumer Loan Underlying Bond CLUB Credit Trust Series 2019-P2 Class C† | 4.41% | 10/15/2026 | 799,776 | 796,389 | ||||||||
Dryden Senior Loan Fund Series 2017-47A Class BR† | 6.73% (3 mo. USD LIBOR + 1.47% | )# | 4/15/2028 | 12,670,000 | 12,436,625 | |||||||
Fairstone Financial Issuance Trust Series I 2020-1A Class C†(a) | 5.162% | 10/20/2039 | CAD | 20,760,000 | 14,982,540 | |||||||
Fairstone Financial Issuance Trust Series I 2020-1A Class D†(a) | 6.873% | 10/20/2039 | CAD | 2,649,000 | 1,912,148 | |||||||
Galaxy XXI CLO Ltd. Series 2015-21A Class AR† | 6.27% (3 mo. USD LIBOR + 1.02% | )# | 4/20/2031 | $ | 1,970,000 | 1,945,868 | ||||||
Greywolf CLO VII Ltd. Series 2018-2A Class A1† | 6.489% (3 mo. USD Term SOFR + 1.44% | )# | 10/20/2031 | 3,800,000 | 3,770,920 | |||||||
HGI CRE CLO Ltd. Series 2021-FL1 Class C† | 6.805% (1 mo. USD LIBOR + 1.70% | )# | 6/16/2036 | 2,350,000 | 2,180,020 | |||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 11,751,000 | 10,523,961 | ||||||||
Lendmark Funding Trust Series 2021-1A Class A† | 1.90% | 11/20/2031 | 8,300,000 | 7,236,788 | ||||||||
Lendmark Funding Trust Series 2021-2A Class D† | 4.46% | 4/20/2032 | 4,025,000 | 3,056,016 | ||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.456% (30 day USD SOFR Average + 1.55% | )# | 1/17/2037 | 8,100,000 | 7,962,892 | |||||||
Marble Point CLO XVII Ltd. Series 2020-1A Class A† | 6.55% (3 mo. USD LIBOR + 1.30% | )# | 4/20/2033 | 7,154,498 | 7,018,563 | |||||||
Mariner Finance Issuance Trust Series 2021-BA Class E† | 4.68% | 11/20/2036 | 4,100,000 | 3,192,103 | ||||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 13,089,260 | 12,789,852 | ||||||||
MF1 Ltd. Series 2022-FL8 Class A† | 6.273% (30 day USD SOFR Average + 1.35% | )# | 2/19/2037 | 4,610,000 | 4,502,543 | |||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.35% (3 mo. USD LIBOR + 1.09% | )# | 10/16/2029 | 4,469,183 | 4,437,640 | |||||||
Parallel Ltd. Series 2017-1A Class A1R† | 6.28% (3 mo. USD LIBOR + 1.03% | )# | 7/20/2029 | 1,532,480 | 1,520,203 | |||||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.63% (3 mo. USD LIBOR + 1.38% | )# | 1/20/2033 | 8,550,000 | 8,457,660 | |||||||
Rockford Tower CLO Ltd. Series 2018-1A Class A† | 6.479% (3 mo. USD LIBOR + 1.10% | )# | 5/20/2031 | 9,551,309 | 9,403,500 | |||||||
SCF Equipment Leasing LLC Series 2019-2A Class B† | 2.76% | 8/20/2026 | 9,263,000 | 8,986,231 |
See Notes to Financial Statements. | 287 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
SCF Equipment Leasing LLC Series 2021-1A Class D† | 1.93% | 9/20/2030 | $ | 8,430,000 | $ | 7,522,033 | ||||||
SCF Equipment Leasing LLC Series 2021-1A Class E† | 3.56% | 8/20/2032 | 2,800,000 | 2,572,524 | ||||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 9,595,950 | 8,486,807 | ||||||||
Signal Peak CLO Ltd. Series 2020-8A Class A† | 6.52% (3 mo. USD LIBOR + 1.27% | )# | 4/20/2033 | 12,021,647 | 11,805,513 | |||||||
Sunrun Demeter Issuer LLC Series 2021-2A Class A† | 2.27% | 1/30/2057 | 1,705,407 | 1,364,775 | ||||||||
TCW CLO Ltd. Series 2022 1A Class A1† | 6.411% (3 mo. USD Term SOFR + 1.34% | )# | 4/22/2033 | 3,500,000 | 3,441,375 | |||||||
Total | 261,057,243 | |||||||||||
Student Loan 0.03% | ||||||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 5.738% (1 mo. USD LIBOR + 0.60% | )# | 1/25/2046 | 852,588 | 847,811 | |||||||
Total Asset-Backed Securities (cost $453,637,011) | 437,734,978 | |||||||||||
CORPORATE BONDS 44.03% | ||||||||||||
Aerospace/Defense 0.29% | ||||||||||||
Bombardier, Inc. (Canada)†(b) | 6.00% | 2/15/2028 | 6,595,000 | 6,090,939 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 3,334,000 | 2,959,025 | ||||||||
Total | 9,049,964 | |||||||||||
Agriculture 1.16% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 17,009,000 | 16,513,585 | ||||||||
Cargill, Inc.† | 4.00% | 6/22/2032 | 8,575,000 | 8,015,929 | ||||||||
Philip Morris International, Inc. | 5.625% | 11/17/2029 | 6,862,000 | 7,035,457 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 4.90% | 4/21/2027 | 4,776,000 | 4,580,868 | ||||||||
Total | 36,145,839 | |||||||||||
Airlines 0.68% | ||||||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | 3,259,000 | 3,193,117 | ||||||||
American Airlines, Inc.† | 11.75% | 7/15/2025 | 3,068,000 | 3,363,466 | ||||||||
British Airways Pass-Through Trust Series 2020-1 Class A (United Kingdom)†(b) | 4.25% | 5/15/2034 | 6,451,696 | 6,010,003 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 8,298,000 | 8,529,046 | ||||||||
Total | 21,095,632 | |||||||||||
Apparel 0.18% | ||||||||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 3,985,000 | 3,299,939 | ||||||||
PVH Corp. | 7.75% | 11/15/2023 | 2,290,000 | 2,315,518 | ||||||||
Total | 5,615,457 |
288 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Manufacturers 0.25% | ||||||||||||
Ford Motor Co. | 3.25% | 2/12/2032 | $ | 10,339,000 | $ | 7,865,627 | ||||||
Banks 13.11% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 3.324% (5 yr. CMT + 1.90% | )# | 3/13/2037 | 5,400,000 | 4,132,346 | |||||||
Bank of America Corp. | 1.658% (SOFR + 0.91% | )# | 3/11/2027 | 4,792,000 | 4,330,396 | |||||||
Bank of America Corp. | 2.087% (SOFR + 1.06% | )# | 6/14/2029 | 9,122,000 | 7,818,451 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32% | )# | 4/22/2032 | 13,034,000 | 10,779,971 | |||||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23% | )# | 3/15/2025 | 7,498,000 | 7,354,964 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63% | )# | 7/21/2028 | 10,476,000 | 9,773,976 | |||||||
Bank of America Corp. | 3.97% (3 mo. USD Term SOFR + 1.33% | )# | 3/5/2029 | 5,597,000 | 5,284,533 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 2,367,000 | 2,313,294 | ||||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61% | )# | 4/26/2034 | 5,472,000 | 5,443,743 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 6,768,000 | 4,816,474 | ||||||||
BNG Bank NV (Netherlands)†(b) | 3.50% | 5/19/2028 | 21,684,000 | 21,167,162 | ||||||||
BNP Paribas SA (France)†(b) | 4.375% (5 yr. USD Swap + 1.48% | )# | 3/1/2033 | 9,174,000 | 8,395,263 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82% | )# | 1/10/2028 | 13,692,000 | 13,041,399 | |||||||
Citigroup, Inc. | 3.98% (3 mo. USD Term SOFR + 1.60% | )# | 3/20/2030 | 26,656,000 | 24,736,503 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37% | )# | 5/24/2025 | 3,361,000 | 3,308,027 | |||||||
Citizens Bank NA | 4.119% (SOFR + 1.40% | )# | 5/23/2025 | 2,298,000 | 2,150,339 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45% | )# | 10/24/2025 | 2,405,000 | 2,258,598 | |||||||
Danske Bank AS (Denmark)†(b) | 3.773% (1 yr. CMT + 1.45% | )# | 3/28/2025 | 16,133,000 | 15,758,214 | |||||||
Danske Bank AS (Denmark)†(b) | 4.375% | 6/12/2028 | 200,000 | 187,891 | ||||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72% | )# | 9/27/2025 | 6,617,000 | 6,190,355 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25% | )# | 7/21/2032 | 9,100,000 | 7,333,847 |
See Notes to Financial Statements. | 289 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD LIBOR + 1.21% | )# | 3/11/2025 | $ | 6,281,000 | $ | 6,165,273 | |||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26% | )# | 1/25/2033 | 10,975,000 | 9,294,346 | |||||||
JPMorgan Chase & Co. | 3.54% (3 mo. USD Term SOFR + 1.64% | )# | 5/1/2028 | 14,941,000 | 14,115,393 | |||||||
JPMorgan Chase & Co. | 3.782% (3 mo. USD Term SOFR + 1.60% | )# | 2/1/2028 | 11,047,000 | 10,513,939 | |||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 3.90% | 3/12/2024 | 7,879,000 | 7,754,867 | ||||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85% | )# | 1/27/2034 | 8,928,000 | 8,245,492 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 3.624% | 6/3/2030 | 2,821,000 | 2,382,651 | ||||||||
Macquarie Group Ltd. (Australia)†(b) | 2.691% (SOFR + 1.44% | )# | 6/23/2032 | 11,002,000 | 8,785,333 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 4.654% (3 mo. USD LIBOR + 1.73% | )# | 3/27/2029 | 9,640,000 | 9,263,590 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 5.541% (1 yr. CMT + 1.50% | )# | 4/17/2026 | 3,928,000 | 3,923,286 | |||||||
Morgan Stanley | 2.239% (SOFR + 1.18% | )# | 7/21/2032 | 16,565,000 | 13,227,909 | |||||||
Morgan Stanley | 2.484% (SOFR + 1.36% | )# | 9/16/2036 | 6,328,000 | 4,781,404 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.63% | )# | 1/23/2030 | 23,303,000 | 22,390,060 | |||||||
Morgan Stanley | 5.05% (SOFR + 1.30% | )# | 1/28/2027 | 4,719,000 | 4,706,303 | |||||||
Royal Bank of Canada (Canada)(b) | 6.00% | 11/1/2027 | 7,909,000 | 8,199,322 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73% | )# | 8/4/2033 | 5,502,000 | 5,119,380 | |||||||
Toronto-Dominion Bank (Canada)(b) | 4.456% | 6/8/2032 | 5,557,000 | 5,258,425 | ||||||||
U.S. Bancorp | 4.839% (SOFR + 1.60% | )# | 2/1/2034 | 8,230,000 | 7,726,653 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11% | )# | 7/22/2033 | 12,314,000 | 11,163,685 | |||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 9,363,000 | 9,225,738 | ||||||||
UBS Group AG (Switzerland)†(b) | 1.364% (1 yr. CMT + 1.08% | )# | 1/30/2027 | 5,819,000 | 5,123,724 | |||||||
UBS Group AG (Switzerland)†(b) | 1.494% (1 yr. CMT + 0.85% | )# | 8/10/2027 | 6,783,000 | 5,852,172 | |||||||
UBS Group AG (Switzerland)†(b) | 4.703% (1 yr. CMT + 2.05% | )# | 8/5/2027 | 4,487,000 | 4,315,427 |
290 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
UBS Group AG (Switzerland)†(b) | 5.711% (1 yr. CMT + 1.55% | )# | 1/12/2027 | $ | 7,074,000 | $ | 7,018,578 | |||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00% | )# | 4/30/2026 | 7,724,000 | 7,270,799 | |||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10% | )# | 6/2/2028 | 20,155,000 | 18,034,217 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50% | )# | 3/2/2033 | 8,054,000 | 6,923,767 | |||||||
Wells Fargo & Co. | 3.584% (3 mo. USD Term SOFR + 1.57% | )# | 5/22/2028 | 10,914,000 | 10,247,124 | |||||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02% | )# | 4/24/2034 | 5,516,000 | 5,526,545 | |||||||
Total | 409,131,148 | |||||||||||
Biotechnology 0.06% | ||||||||||||
Baxalta, Inc. | 4.00% | 6/23/2025 | 2,070,000 | 2,022,248 | ||||||||
Building Materials 0.29% | ||||||||||||
Griffon Corp. | 5.75% | 3/1/2028 | 3,355,000 | 3,098,159 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 3,380,000 | 3,148,186 | ||||||||
Standard Industries, Inc.† | 4.375% | 7/15/2030 | 3,523,000 | 2,978,348 | ||||||||
Total | 9,224,693 | |||||||||||
Chemicals 0.56% | ||||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 3,972,000 | 3,450,984 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 12,233,000 | 10,916,560 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 3,227,000 | 3,131,963 | ||||||||
Total | 17,499,507 | |||||||||||
Coal 0.10% | ||||||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | 3,791,000 | 3,125,323 | ||||||||
Commercial Services 0.75% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)(b) | 4.00% | 7/30/2027 | 3,580,000 | 3,093,102 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl (Luxembourg)†(b) | 4.625% | 6/1/2028 | 3,637,000 | 2,984,979 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 4.75% | 4/1/2028 | 3,508,000 | 3,131,697 | ||||||||
Garda World Security Corp. (Canada)†(b) | 7.75% | 2/15/2028 | 3,106,000 | 3,118,533 | ||||||||
Global Payments, Inc. | 4.00% | 6/1/2023 | 10,971,000 | 10,971,000 | ||||||||
Total | 23,299,311 |
See Notes to Financial Statements. | 291 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Computers 0.46% | ||||||||||||
International Business Machines Corp.(a) | 1.50% | 5/23/2029 | EUR | 5,649,000 | $ | 5,410,243 | ||||||
International Business Machines Corp.(a) | 3.75% | 2/6/2035 | EUR | 4,656,000 | 4,878,473 | |||||||
Leidos, Inc. | 5.75% | 3/15/2033 | $ | 4,202,000 | 4,175,279 | |||||||
Total | 14,463,995 | |||||||||||
Cosmetics/Personal Care 0.11% | ||||||||||||
Haleon U.S. Capital LLC | 3.625% | 3/24/2032 | 3,778,000 | 3,393,245 | ||||||||
Diversified Financial Services 1.85% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.875% | 1/16/2024 | 2,348,000 | 2,328,115 | ||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 6,919,000 | 5,921,819 | ||||||||
American Express Co. | 4.42% (SOFR + 1.76% | )# | 8/3/2033 | 6,231,000 | 5,895,276 | |||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 4,918,000 | 4,395,465 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 11,453,000 | 11,238,034 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 2.125% | 2/21/2026 | 11,378,000 | 10,015,498 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 5,671,000 | 5,253,842 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 3,127,000 | 2,980,434 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 4,780,000 | 3,868,682 | ||||||||
OneMain Finance Corp. | 5.375% | 11/15/2029 | 3,471,000 | 2,841,743 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(b) | 7.875% | 5/1/2027 | 3,396,000 | 3,068,388 | ||||||||
Total | 57,807,296 | |||||||||||
Electric 4.28% | ||||||||||||
Abu Dhabi National Energy Co. PJSC (United Arab Emirates)(b) | 4.696% | 4/24/2033 | 7,815,000 | 7,818,665 | ||||||||
AEP Texas, Inc. | 5.40% | 6/1/2033 | 3,798,000 | 3,806,997 | ||||||||
AES Corp.† | 3.95% | 7/15/2030 | 6,812,000 | 6,114,747 | ||||||||
Alfa Desarrollo SpA (Chile)†(b) | 4.55% | 9/27/2051 | 5,749,514 | 4,164,114 | ||||||||
Ausgrid Finance Pty. Ltd. (Australia)†(b) | 4.35% | 8/1/2028 | 6,077,000 | 5,804,824 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 3,474,000 | 3,115,988 | ||||||||
CenterPoint Energy Houston Electric LLC | 4.95% | 4/1/2033 | 3,826,000 | 3,844,019 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 5,767,000 | 5,992,663 | ||||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 11,256,000 | 10,646,607 | ||||||||
Duke Energy Indiana LLC | 5.40% | 4/1/2053 | 3,668,000 | 3,648,345 | ||||||||
Electricite de France SA† | 6.25% | 5/23/2033 | 9,711,000 | 9,844,772 | ||||||||
Enel Finance International NV(a) | 0.50% | 6/17/2030 | EUR | 9,430,000 | 7,999,384 |
292 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Eskom Holdings SOC Ltd. (South Africa)(b) | 6.35% | 8/10/2028 | $ | 3,260,000 | $ | 2,954,766 | ||||||
Indiana Michigan Power Co. | 5.625% | 4/1/2053 | 3,692,000 | 3,778,344 | ||||||||
Indianapolis Power & Light Co.† | 5.65% | 12/1/2032 | 9,456,000 | 9,766,440 | ||||||||
Minejesa Capital BV (Netherlands)†(b) | 4.625% | 8/10/2030 | 7,792,000 | 6,999,779 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 3,410,000 | 3,050,597 | ||||||||
Oklahoma Gas & Electric Co. | 5.40% | 1/15/2033 | 4,089,000 | 4,185,592 | ||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia)†(b) | 3.00% | 6/30/2030 | 8,195,000 | 7,033,188 | ||||||||
Southern Co. | 4.475% | (c) | 8/1/2024 | 13,655,000 | 13,457,789 | |||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 9,911,000 | 9,594,731 | ||||||||
Total | 133,622,351 | |||||||||||
Electronics 0.26% | ||||||||||||
Honeywell International, Inc.(a) | 4.125% | 11/2/2034 | EUR | 7,421,000 | 8,065,627 | |||||||
Engineering & Construction 0.15% | ||||||||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | $ | 5,381,000 | 4,725,137 | |||||||
Entertainment 0.55% | ||||||||||||
Cinemark USA, Inc.† | 5.875% | 3/15/2026 | 3,245,000 | 3,087,877 | ||||||||
Jacobs Entertainment, Inc.† | 6.75% | 2/15/2029 | 3,610,000 | 3,173,027 | ||||||||
Warnermedia Holdings, Inc. | 3.428% | 3/15/2024 | 11,093,000 | 10,862,571 | ||||||||
Total | 17,123,475 | |||||||||||
Food 0.11% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 3.50% | 3/15/2029 | 3,949,000 | 3,440,342 | ||||||||
Gas 0.68% | ||||||||||||
CenterPoint Energy Resources Corp. | 4.40% | 7/1/2032 | 7,179,000 | 6,911,218 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 7,186,000 | 7,137,746 | ||||||||
ONE Gas, Inc. | 1.10% | 3/11/2024 | 3,029,000 | 2,926,582 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 4,810,000 | 4,340,011 | ||||||||
Total | 21,315,557 | |||||||||||
Health Care-Products 0.65% | ||||||||||||
GE HealthCare Technologies, Inc.† | 5.65% | 11/15/2027 | 11,685,000 | 11,927,879 | ||||||||
Revvity, Inc. | 0.85% | 9/15/2024 | 8,876,000 | 8,364,401 | ||||||||
Total | 20,292,280 | |||||||||||
Health Care-Services 1.96% | ||||||||||||
Catalent Pharma Solutions, Inc.† | 5.00% | 7/15/2027 | 3,395,000 | 3,091,178 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 19,444,000 | 16,782,894 |
See Notes to Financial Statements. | 293 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Services (continued) | ||||||||||||
Centene Corp. | 4.25% | 12/15/2027 | $ | 4,989,000 | $ | 4,693,052 | ||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 2,498,000 | 2,111,152 | ||||||||
Elevance Health, Inc. | 5.125% | 2/15/2053 | 4,117,000 | 3,950,275 | ||||||||
Elevance Health, Inc. | 5.50% | 10/15/2032 | 7,051,000 | 7,292,978 | ||||||||
Humana, Inc. | 1.35% | 2/3/2027 | 8,740,000 | 7,675,476 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 8,936,000 | 9,390,698 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 3,303,000 | 3,133,753 | ||||||||
Tenet Healthcare Corp.† | 6.75% | 5/15/2031 | 3,071,000 | 3,071,798 | ||||||||
Total | 61,193,254 | |||||||||||
Insurance 0.94% | ||||||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 3,488,000 | 2,650,022 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 9,989,000 | 9,576,912 | ||||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 2,599,000 | 2,522,926 | ||||||||
Metropolitan Life Global Funding I† | 5.15% | 3/28/2033 | 4,836,000 | 4,828,965 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 9,929,000 | 9,680,406 | ||||||||
Total | 29,259,231 | |||||||||||
Internet 1.47% | ||||||||||||
Amazon.com, Inc. | 4.70% | 12/1/2032 | 22,245,000 | 22,568,089 | ||||||||
Netflix, Inc. | 5.875% | 11/15/2028 | 4,150,000 | 4,305,268 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 10,544,000 | 11,187,627 | ||||||||
Prosus NV (Netherlands)†(b) | 3.257% | 1/19/2027 | 8,550,000 | 7,764,245 | ||||||||
Total | 45,825,229 | |||||||||||
Iron-Steel 0.09% | ||||||||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | 2,785,000 | 2,694,404 | ||||||||
Leisure Time 0.38% | ||||||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 4,059,000 | 3,937,256 | ||||||||
NCL Corp. Ltd.† | 5.875% | 2/15/2027 | 3,278,000 | 3,125,037 | ||||||||
Royal Caribbean Cruises Ltd.† | 5.375% | 7/15/2027 | 3,503,000 | 3,231,577 | ||||||||
Royal Caribbean Cruises Ltd.† | 8.25% | 1/15/2029 | 1,561,000 | 1,643,925 | ||||||||
Total | 11,937,795 | |||||||||||
Lodging 0.03% | ||||||||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 1,167,000 | 1,043,255 | ||||||||
Machinery-Diversified 0.52% | ||||||||||||
Chart Industries, Inc.† | 9.50% | 1/1/2031 | 2,951,000 | 3,089,225 | ||||||||
nVent Finance Sarl (Luxembourg)(b) | 4.55% | 4/15/2028 | 13,974,000 | 13,202,828 | ||||||||
Total | 16,292,053 |
294 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media 0.35% | ||||||||||||
DISH Network Corp.† | 11.75% | 11/15/2027 | $ | 2,867,000 | $ | 2,747,221 | ||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 9,354,000 | 8,042,664 | ||||||||
Total | 10,789,885 | |||||||||||
Mining 0.72% | ||||||||||||
Corp. Nacional del Cobre de Chile (Chile)†(b) | 5.125% | 2/2/2033 | 6,150,000 | 6,125,327 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(b) | 4.375% | 4/1/2031 | 5,290,000 | 4,475,572 | ||||||||
Freeport Indonesia PT (Indonesia)(b) | 5.315% | 4/14/2032 | 6,344,000 | 5,970,527 | ||||||||
Glencore Funding LLC† | 4.875% | 3/12/2029 | 5,934,000 | 5,766,385 | ||||||||
Total | 22,337,811 | |||||||||||
Oil & Gas 3.00% | ||||||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 2,119,000 | 2,152,692 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 3,955,000 | 3,872,151 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 3,889,000 | 3,403,672 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 19,772,000 | 18,851,055 | ||||||||
Diamondback Energy, Inc. | 3.125% | 3/24/2031 | 11,675,000 | 9,958,866 | ||||||||
Earthstone Energy Holdings LLC† | 8.00% | 4/15/2027 | 4,578,000 | 4,460,643 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 15,389,000 | 15,943,773 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 1,650,000 | 1,678,479 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 10,419,000 | 10,871,289 | ||||||||
OGX Austria GmbH (Brazil)†(b)(d) | 8.50% | 6/1/2018 | 1,730,000 | 35 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 6,037,000 | 5,985,930 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 6.00% | 2/15/2028 | 3,425,000 | 3,190,216 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 6.70% | 2/16/2032 | 11,050,000 | 8,289,757 | ||||||||
Thaioil Treasury Center Co. Ltd. (Thailand)†(b) | 2.50% | 6/18/2030 | 1,718,000 | 1,412,396 | ||||||||
Vital Energy, Inc. | 9.50% | 1/15/2025 | 3,449,000 | 3,415,089 | ||||||||
Total | 93,486,043 | |||||||||||
Packaging & Containers 0.20% | ||||||||||||
Mauser Packaging Solutions Holding Co.† | 7.875% | 8/15/2026 | 3,095,000 | 3,070,950 | ||||||||
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc.† | 4.375% | 10/15/2028 | 3,606,000 | 3,142,647 | ||||||||
Total | 6,213,597 | |||||||||||
Pharmaceuticals 2.02% | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 3,872,000 | 4,102,420 | ||||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | 3,016,000 | 3,060,561 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 15,529,000 | 13,232,992 | ||||||||
CVS Health Corp. | 1.75% | 8/21/2030 | 6,300,000 | 5,067,958 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 21,067,000 | 19,062,078 |
See Notes to Financial Statements. | 295 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pharmaceuticals (continued) | ||||||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | $ | 5,639,000 | $ | 5,098,120 | ||||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(b) | 4.75% | 5/19/2033 | 13,481,000 | 13,541,489 | ||||||||
Total | 63,165,618 | |||||||||||
Pipelines 1.84% | ||||||||||||
Buckeye Partners LP | 9.293% (3 mo. USD LIBOR + 4.02% | )# | 1/22/2078 | 3,812,000 | 3,266,554 | |||||||
Cheniere Energy Partners LP | 3.25% | 1/31/2032 | 4,113,000 | 3,369,776 | ||||||||
CNX Midstream Partners LP† | 4.75% | 4/15/2030 | 3,860,000 | 3,201,088 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | 4,956,000 | 4,405,921 | ||||||||
EIG Pearl Holdings Sarl (Luxembourg)†(b) | 3.545% | 8/31/2036 | 8,400,000 | 7,161,638 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(b) | 3.25% | 9/30/2040 | 9,000,000 | 7,054,290 | ||||||||
Kinder Morgan Energy Partners LP | 4.25% | 9/1/2024 | 7,507,000 | 7,331,745 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 3,129,000 | 2,588,757 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 8,107,000 | 8,107,072 | ||||||||
TMS Issuer Sarl (Luxembourg)†(b) | 5.78% | 8/23/2032 | 7,362,000 | 7,677,683 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 3,111,000 | 3,130,381 | ||||||||
Total | 57,294,905 | |||||||||||
REITS 1.32% | ||||||||||||
American Tower Corp. | 2.40% | 3/15/2025 | 5,260,000 | 4,989,542 | ||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 2,739,000 | 2,632,314 | ||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 5,139,000 | 4,743,749 | ||||||||
American Tower Corp. | 5.55% | 7/15/2033 | 3,813,000 | 3,839,683 | ||||||||
Crown Castle, Inc. | 2.10% | 4/1/2031 | 5,073,000 | 4,090,742 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 9,417,000 | 8,324,879 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 4,652,000 | 4,034,690 | ||||||||
Trust Fibra Uno (Mexico)†(b) | 4.869% | 1/15/2030 | 3,600,000 | 3,036,889 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 5,519,000 | 5,487,149 | ||||||||
Total | 41,179,637 | |||||||||||
Retail 0.29% | ||||||||||||
Evergreen Acqco 1 LP/TVI, Inc.† | 9.75% | 4/26/2028 | 3,095,000 | 3,099,813 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 3,218,000 | 2,848,855 | ||||||||
SRS Distribution, Inc.† | 4.625% | 7/1/2028 | 3,532,000 | 3,121,035 | ||||||||
Total | 9,069,703 | |||||||||||
Semiconductors 0.14% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 4,997,000 | 4,500,674 |
296 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Software 0.70% | ||||||||||||
Cloud Software Group, Inc.† | 6.50% | 3/31/2029 | $ | 3,433,000 | $ | 3,039,363 | ||||||
Oracle Corp. | 2.875% | 3/25/2031 | 10,577,000 | 8,997,075 | ||||||||
Oracle Corp. | 6.25% | 11/9/2032 | 3,196,000 | 3,381,829 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 7,018,000 | 6,331,380 | ||||||||
Total | 21,749,647 | |||||||||||
Telecommunications 1.33% | ||||||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 5,326,000 | 5,100,024 | ||||||||
Frontier Communications Holdings LLC† | 5.00% | 5/1/2028 | 5,502,000 | 4,613,126 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 5,781,000 | 6,185,473 | ||||||||
Sprint Capital Corp. | 8.75% | 3/15/2032 | 6,302,000 | 7,662,078 | ||||||||
T-Mobile USA, Inc. | 3.50% | 4/15/2025 | 4,634,000 | 4,494,868 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 14,614,000 | 13,563,773 | ||||||||
Total | 41,619,342 | |||||||||||
Trucking & Leasing 0.20% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 6,816,000 | 6,126,611 | ||||||||
Total Corporate Bonds (cost $1,456,596,360) | 1,374,102,748 | |||||||||||
FLOATING RATE LOANS(e) 0.77% | ||||||||||||
Entertainment 0.11% | ||||||||||||
Stars Group Holdings BV 2018 USD Incremental Term Loan (Netherlands)(b) | 7.409% (3 mo. USD LIBOR + 2.25% | ) | 7/21/2026 | 3,398,637 | 3,389,563 | |||||||
Financial 0.03% | ||||||||||||
LPL Holdings, Inc. 2019 Term Loan B1 | 6.843% | 11/12/2026 | 953,126 | 945,577 | ||||||||
Lodging 0.24% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2019 Term Loan B2 | 6.95% (1 mo. USD Term SOFR + 1.75% | ) | 6/22/2026 | 7,750,000 | 7,719,233 | |||||||
Media 0.39% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B1 | 6.795% – 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 4/30/2025 | 7,628,602 | 7,622,117 |
See Notes to Financial Statements. | 297 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media (continued) | ||||||||||||
Charter Communications Operating, LLC 2019 Term Loan B2 | 6.795% – 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 2/1/2027 | $ | 4,588,114 | $ | 4,503,532 | |||||
Total | 12,125,649 | |||||||||||
Total Floating Rate Loans (cost $24,310,562) | 24,180,022 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(b) 4.04% | ||||||||||||
Canada 1.15% | ||||||||||||
Province of Quebec | 3.625% | 4/13/2028 | 36,497,000 | 35,743,426 | ||||||||
Costa Rica 0.20% | ||||||||||||
Costa Rica Government International Bonds† | 6.55% | 4/3/2034 | 6,190,000 | 6,262,733 | ||||||||
Japan 0.46% | ||||||||||||
Japan International Cooperation Agency | 4.00% | 5/23/2028 | 14,504,000 | 14,295,383 | ||||||||
Mexico 0.24% | ||||||||||||
Mexico Government International Bonds | 4.875% | 5/19/2033 | 7,890,000 | 7,551,131 | ||||||||
Panama 0.24% | ||||||||||||
Panama Government International Bonds | 2.252% | 9/29/2032 | 9,666,000 | 7,446,972 | ||||||||
Saudi Arabia 0.14% | ||||||||||||
Saudi Government International Bonds† | 4.875% | 7/18/2033 | 4,391,000 | 4,431,226 | ||||||||
Senegal 0.09% | ||||||||||||
Senegal Government International Bonds† | 6.25% | 5/23/2033 | 3,380,000 | 2,704,473 | ||||||||
South Africa 0.09% | ||||||||||||
Republic of South Africa Government International Bonds | 5.875% | 4/20/2032 | 3,320,000 | 2,862,205 | ||||||||
Sri Lanka 0.05% | ||||||||||||
Sri Lanka Government International Bonds†(d) | 5.875% | 7/25/2022 | 4,250,000 | 1,721,223 | ||||||||
Sweden 1.38% | ||||||||||||
Kommuninvest I Sverige AB† | 4.25% | 12/10/2025 | 17,555,000 | 17,492,920 | ||||||||
Svensk Exportkredit AB | 4.00% | 7/15/2025 | 25,883,000 | 25,611,607 | ||||||||
Total | 43,104,527 | |||||||||||
Total Foreign Government Obligations (cost $129,813,990) | 126,123,299 |
298 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.74% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 001 Class XA | 2.112% | #(f) | 2/25/2032 | $ | 15,082,773 | $ | 1,133,800 | |||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 145 Class A2 | 2.58% | 5/25/2032 | 11,436,000 | 9,947,016 | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series G07 Class A2 | 3.123% | #(f) | 8/25/2032 | 13,216,000 | 11,988,915 | |||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $22,928,627) | 23,069,731 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 27.23% | ||||||||||||
Federal Home Loan Bank | 5.08% (SOFR + 2.00% | )# | 9/19/2023 | 39,755,000 | 39,784,592 | |||||||
Federal Home Loan Mortgage Corp. | 2.50% | 11/1/2050 – 5/1/2052 | 20,692,074 | 17,863,697 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 2/1/2046 | 5,844,114 | 5,496,771 | ||||||||
Federal Home Loan Mortgage Corp. | 4.50% | 8/1/2052 | 14,858,897 | 14,580,503 | ||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 – 8/1/2052 | 31,535,824 | 31,375,601 | ||||||||
Federal National Mortgage Association | 2.00% | 6/1/2051 – 11/1/2051 | 24,620,443 | 20,350,581 | ||||||||
Federal National Mortgage Association | 2.50% | 8/1/2050 – 5/1/2052 | 162,953,725 | 141,301,496 | ||||||||
Federal National Mortgage Association | 3.00% | 12/1/2048 – 1/1/2051 | 30,583,726 | 27,707,139 | ||||||||
Federal National Mortgage Association | 3.50% | 7/1/2045 – 4/1/2052 | 21,660,705 | 20,155,519 | ||||||||
Federal National Mortgage Association | 4.00% | 5/1/2052 – 6/1/2052 | 25,332,922 | 24,205,471 | ||||||||
Federal National Mortgage Association | 5.00% | 7/1/2052 – 8/1/2052 | 22,511,973 | 22,427,040 | ||||||||
Government National Mortgage Association(g) | 3.00% | TBA | 49,582,000 | 44,673,189 | ||||||||
Government National Mortgage Association(g) | 3.50% | TBA | 9,275,000 | 8,612,345 | ||||||||
Government National Mortgage Association(g) | 4.00% | TBA | 30,398,000 | 28,918,472 | ||||||||
Government National Mortgage Association(g) | 4.50% | TBA | 38,619,000 | 37,544,155 | ||||||||
Government National Mortgage Association(g) | 5.00% | TBA | 73,103,000 | 72,194,432 | ||||||||
Government National Mortgage Association(g) | 5.50% | TBA | 65,712,000 | 65,665,797 | ||||||||
Government National Mortgage Association(g) | 6.00% | TBA | 53,164,000 | 53,649,952 | ||||||||
Government National Mortgage Association(g) | 6.50% | TBA | 39,758,000 | 40,425,810 | ||||||||
Uniform Mortgage-Backed Security(g) | 2.00% | TBA | 18,036,000 | 14,855,266 |
See Notes to Financial Statements. | 299 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Uniform Mortgage-Backed Security(g) | 4.00% | TBA | $ | 17,930,000 | $ | 16,952,255 | ||||||
Uniform Mortgage-Backed Security(g) | 5.00% | TBA | 18,089,000 | 18,043,071 | ||||||||
Uniform Mortgage-Backed Security(g) | 5.50% | TBA | 50,534,000 | 50,652,386 | ||||||||
Uniform Mortgage-Backed Security(g) | 6.00% | TBA | 18,029,000 | 18,238,869 | ||||||||
Uniform Mortgage-Backed Security(g) | 6.50% | TBA | 13,665,000 | 13,979,936 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $864,425,396) | 849,654,345 | |||||||||||
MUNICIPAL BONDS 0.26% | ||||||||||||
Government 0.10% | ||||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 1.95% | 8/1/2034 | 4,200,000 | 3,170,084 | ||||||||
Natural Gas 0.16% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.102% | 4/1/2035 | 4,692,000 | 4,814,446 | ||||||||
Total Municipal Bonds (cost $8,910,470) | 7,984,530 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 9.07% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(f) | 12/25/2059 | 404,066 | 379,491 | |||||||
Angel Oak Mortgage Trust Series 2021-3 Class A1† | 1.068% | #(f) | 5/25/2066 | 4,616,176 | 3,823,974 | |||||||
Angel Oak Mortgage Trust Series 2022-3 Class A1† | 4.00% | 1/25/2067 | 6,598,777 | 6,187,674 | ||||||||
Bank Series 2021-BN35 Class A5 | 2.285% | 6/15/2064 | 3,126,000 | 2,543,689 | ||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class A† | 6.13% (1 mo. USD Term SOFR + 1.07% | )# | 11/15/2034 | 4,168,000 | 3,436,069 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.484% (1 mo. USD Term SOFR + 1.42% | )# | 11/15/2034 | 1,832,000 | 1,471,987 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.357% (1 mo. USD LIBOR + 1.25% | )# | 7/15/2035 | 6,580,000 | 6,402,857 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class C† | 7.007% (1 mo. USD LIBOR + 1.90% | )# | 7/15/2035 | 3,965,000 | 3,771,685 | |||||||
BMO Mortgage Trust Series 2023-C5 Class A4(h) | 5.494% | 6/15/2056 | 5,881,000 | 6,011,246 | ||||||||
BRAVO Residential Funding Trust Series 2021-NQM2 Class A1† | 0.97% | #(f) | 3/25/2060 | 8,445,609 | 7,882,669 | |||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 5.796% (1 mo. USD LIBOR + 0.69% | )# | 10/15/2038 | 2,939,540 | 2,843,923 | |||||||
BX Trust Series 2021-ARIA Class E† | 7.352% (1 mo. USD LIBOR + 2.24% | )# | 10/15/2036 | 11,205,000 | 10,561,167 |
300 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Trust Series 2021-LBA Class AJV† | 5.975% (1 mo. USD Term SOFR + 0.91% | )# | 2/15/2036 | $ | 2,464,000 | $ | 2,385,137 | |||||
CF Trust Series 2019-BOSS Class A1† | 8.357% (1 mo. USD LIBOR + 3.25% | )# | 12/15/2024 | 4,660,000 | 4,393,855 | |||||||
CIM Trust Series 2021-J3 Class A1† | 2.50% | #(f) | 6/25/2051 | 10,889,311 | 8,872,974 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC25 Class XB | 0.157% | #(f) | 10/10/2047 | 50,626,000 | 131,405 | |||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class D† | 2.85% | 2/10/2049 | 5,370,000 | 2,045,767 | ||||||||
COMM Mortgage Trust Series 2014-CR17 Class AM | 4.174% | 5/10/2047 | 7,400,000 | 7,163,156 | ||||||||
COMM Mortgage Trust Series 2015-LC21 Class AM | 4.043% | #(f) | 7/10/2048 | 6,234,000 | 5,858,039 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class XA | 0.927% | #(f) | 8/10/2047 | 3,144,782 | 23,149 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS4 Class D† | 4.712% | #(f) | 8/10/2047 | 12,450,000 | 8,803,337 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2015-DC1 Class D† | 4.295% | #(f) | 2/10/2048 | 4,293,000 | 3,136,455 | |||||||
Credit Suisse Mortgage Capital Certificates Series 2020-SPT1 Class A1† | 1.616% | (c) | 4/25/2065 | 517,240 | 508,094 | |||||||
CS Master Trust Series 2021-AHP Class A† | 9.115% (1 mo. USD Term SOFR + 4.06% | )# | 4/15/2025 | 5,700,000 | 5,688,782 | |||||||
CS Master Trust Series 2021-BLUF Class A† | 9.276% (1 mo. USD LIBOR + 4.18% | )# | 4/15/2023 | (i) | 3,300,000 | 3,149,082 | (j) | |||||
CSMC Trust Series 2020-AFC1 Class A1† | 2.24% | #(f) | 2/25/2050 | 1,196,019 | 1,113,488 | |||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(f) | 8/25/2066 | 1,970,002 | 1,681,990 | |||||||
EQUS Mortgage Trust Series 2021-EQAZ Class A† | 5.862% (1 mo. USD LIBOR + 0.75% | )# | 10/15/2038 | 3,241,935 | 3,140,516 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2022-HQA2 Class M1A† | 7.623% (30 day USD SOFR Average + 2.65% | )# | 7/25/2042 | 6,132,539 | 6,227,977 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2023-DNA2 Class M1A† | 7.081% (30 day USD SOFR Average + 2.10% | )# | 4/25/2043 | 7,404,937 | 7,445,125 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R02 Class 1M2† | 8.323% (30 day USD SOFR Average + 3.35% | )# | 1/25/2043 | 6,575,000 | 6,664,253 |
See Notes to Financial Statements. | 301 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2021-R01 Class 1M2† | 6.523% (30 day USD SOFR Average + 1.55% | )# | 10/25/2041 | $ | 7,027,000 | $ | 6,873,150 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R02 Class 1M1† | 7.273% (30 day USD SOFR Average + 2.30% | )# | 1/25/2043 | 5,946,557 | 5,988,722 | |||||||
Flagstar Mortgage Trust Series 2021-3INV Class A2† | 2.50% | #(f) | 6/25/2051 | 7,968,253 | 6,492,798 | |||||||
Flagstar Mortgage Trust Series 2021-7 Class A1† | 2.50% | #(f) | 8/25/2051 | 6,871,923 | 5,599,472 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA3 Class M2† | 7.073% (30 day USD SOFR Average + 2.10% | )# | 10/25/2033 | 7,725,000 | 7,586,619 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA6 Class M2† | 6.473% (30 day USD SOFR Average + 1.50% | )# | 10/25/2041 | 6,110,000 | 5,941,196 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-DNA7 Class M2† | 6.773% (30 day USD SOFR Average + 1.80% | )# | 11/25/2041 | 6,260,000 | 6,009,339 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-DNA4 Class M1B† | 8.323% (30 day USD SOFR Average + 3.35% | )# | 5/25/2042 | 5,655,000 | 5,718,447 | |||||||
GCAT Trust Series 2023-NQM1 Class A1† | 4.25% | #(f) | 10/25/2057 | 11,973,414 | 11,163,331 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.208% (1 mo. USD Term SOFR + 1.15% | )# | 12/15/2036 | 4,660,000 | 4,600,752 | |||||||
GS Mortgage Securities Corp. Trust Series 2018-RIVR Class A† | 6.057% (1 mo. USD LIBOR + 0.95% | )# | 7/15/2035 | 4,372,469 | 3,995,482 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class G† | 9.758% (1 mo. USD LIBOR + 4.65% | )# | 5/15/2026 | 7,288,000 | 5,743,367 | |||||||
GS Mortgage Securities Corp. Trust Series 2022-ECI Class A† | 7.254% (1 mo. USD Term SOFR + 2.19% | )# | 8/15/2039 | 4,290,000 | 4,289,815 | |||||||
GS Mortgage Securities Trust Series 2014-GC26 Class C | 4.514% | #(f) | 11/10/2047 | 135,000 | 108,686 | (j) | ||||||
GS Mortgage Securities Trust Series 2021-PJ2 Class A2† | 2.50% | #(f) | 7/25/2051 | 5,761,570 | 4,709,066 | |||||||
GS Mortgage Securities Trust Series 2021-PJ8 Class A2† | 2.50% | #(f) | 1/25/2052 | 7,945,988 | 6,474,655 | |||||||
GS Mortgage Securities Trust Series 2023-PJ1 Class A4† | 3.50% | #(f) | 2/25/2053 | 6,089,151 | 5,339,789 |
302 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class XB10† | 0.541% | #(f) | 8/5/2034 | $ | 19,156,000 | $ | 2,286 | |||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class XB7† | 0.493% | #(f) | 8/5/2034 | 22,024,000 | 2,594 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.377% (1 mo. USD LIBOR + 1.27% | )# | 11/15/2035 | 3,436,000 | 3,314,087 | |||||||
JP Morgan Mortgage Trust Series 2021-13 Class A3† | 2.50% | #(f) | 4/25/2052 | 6,111,924 | 4,980,199 | |||||||
JP Morgan Mortgage Trust Series 2021-INV8 Class A2† | 3.00% | #(f) | 5/25/2052 | 5,715,551 | 4,856,932 | |||||||
KIND Trust Series 2021-KIND Class D† | 7.474% (1 mo. USD Term SOFR + 2.41% | )# | 8/15/2038 | 3,256,464 | 2,948,269 | |||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(f) | 1/26/2060 | 450,543 | 412,932 | |||||||
Ready Capital Mortgage Financing LLC Series 2021-FL6 Class C† | 7.038% (1 mo. USD LIBOR + 1.90% | )# | 7/25/2036 | 6,320,000 | 6,055,421 | |||||||
Ready Capital Mortgage Financing LLC Series 2022-FL8 Class A† | 6.631% (30 day USD SOFR Average + 1.65% | )# | 1/25/2037 | 12,133,266 | 11,944,970 | |||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(f) | 1/26/2060 | 237,186 | 224,723 | |||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(f) | 2/25/2050 | 90,633 | 86,044 | |||||||
Starwood Mortgage Residential Trust Series 2020-3 Class A1† | 1.486% | #(f) | 4/25/2065 | 2,461,151 | 2,279,212 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 2.417% | (c) | 1/25/2060 | 737,764 | 694,460 | |||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (c) | 5/25/2065 | 3,292,273 | 2,994,241 | |||||||
Verus Securitization Trust Series 2021-2 Class A1† | 1.031% | #(f) | 2/25/2066 | 5,886,347 | 5,054,092 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(f) | 4/25/2065 | 1,760,539 | 1,568,966 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 Class D† | 4.254% | #(f) | 7/15/2046 | 3,865,000 | 1,334,810 | (j) | ||||||
Wells Fargo Mortgage Backed Securities Trust Series 2021-INV2 Class A2† | 2.50% | #(f) | 9/25/2051 | 4,489,230 | 3,669,153 | |||||||
WFRBS Commercial Mortgage Trust Series 2014-C23 Class XA | 0.549% | #(f) | 10/15/2057 | 51,371,119 | 254,677 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $300,440,892) | 283,061,766 |
See Notes to Financial Statements. | 303 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 9.56% | ||||||||||||
U.S. Treasury Bonds | 2.25% | 5/15/2041 | $ | 13,990,000 | $ | 10,829,954 | ||||||
U.S. Treasury Bonds | 3.625% | 5/15/2053 | 63,421,000 | 61,037,758 | ||||||||
U.S. Treasury Bonds | 3.875% | 5/15/2043 | 49,448,000 | 48,563,345 | ||||||||
U.S. Treasury Inflation-Indexed Bonds(k) | 1.50% | 2/15/2053 | 31,604,570 | 30,668,778 | ||||||||
U.S. Treasury Notes | 3.375% | 5/15/2033 | 22,362,000 | 21,885,060 | ||||||||
U.S. Treasury Notes | 3.50% | 4/30/2028 | 30,735,000 | 30,346,010 | ||||||||
U.S. Treasury Notes | 3.875% | 3/31/2025 | 32,972,000 | 32,593,337 | ||||||||
U.S. Treasury Notes | 3.875% | 4/30/2025 | 63,080,000 | 62,397,455 | ||||||||
Total U.S. Treasury Obligations (cost $300,372,308) | 298,321,697 | |||||||||||
Total Long-Term Investments (cost $3,561,435,616) | 3,424,233,116 | |||||||||||
SHORT-TERM INVESTMENTS 4.33% | ||||||||||||
U.S. TREASURY OBLIGATIONS 1.89% | ||||||||||||
U.S. Treasury Bills | Zero Coupon | 6/20/2023 | 28,450,000 | 28,373,216 | ||||||||
U.S. Treasury Bills | Zero Coupon | 11/24/2023 | 31,244,000 | 30,449,682 | ||||||||
Total U.S. Treasury Obligations (cost $58,831,228) | 58,822,898 | |||||||||||
REPURCHASE AGREEMENTS 2.44% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 5.080% due 6/1/2023 with Barclays Bank plc collateralized by $50,890,000 of U.S. Treasury Bond at 3.750% due 5/31/2030; value: $50,999,414; proceeds: $50,006,480 (cost $49,999,425) | 49,999,425 | 49,999,425 | ||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $29,501,300 of U.S. Treasury Note at 0.500% due 2/28/2026; value: $26,756,296; proceeds: $26,233,507 (cost $26,231,613) | 26,231,613 | 26,231,613 | ||||||||||
Total Repurchase Agreements (cost $76,231,038) | 76,231,038 | |||||||||||
Total Short-Term Investments (cost $135,062,266) | 135,053,936 | |||||||||||
Total Investments in Securities 114.06% (cost $3,696,497,882) | 3,559,287,052 | |||||||||||
Other Assets and Liabilities – Net(l) (14.06)% | (438,773,862 | ) | ||||||||||
Net Assets 100.00% | $ | 3,120,513,190 |
CAD | Canadian Dollar. | |
EUR | Euro. | |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight Financing Rate. |
304 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
† | 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 May 31, 2023, the total value of Rule 144A securities was $1,134,853,168, which represents 36.37% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(d) | Defaulted (non-income producing security). | |
(e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(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) | Securities purchased on a when-issued basis (See Note 2(j)). | |
(i) | Maturity date has passed. As of May 31, 2023, an extension is available to June 15, 2024. | |
(j) | Level 3 Investment as described in Note 2(u) 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. | |
(k) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(l) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
Centrally Cleared Credit Default Swap Contracts on Indexes - Sell Protection at May 31, 2023(1):
Referenced Indexes | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Depreciation(3) | Value | |||||||||||||||||
Markit CDX.NA.HY.S40(4)(5) | Goldman Sachs | 5.000% | 6/20/2028 | $61,840,000 | $716,605 | $(56,973) | $659,632 |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap contracts agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap contracts 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 contracts less the recovery value of the referenced obligation or underlying securities. |
(2) | Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
(3) | Total unrealized appreciation on Credit Default Swap Contracts on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swap Contracts on Indexes amounted to $56,973. |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swap Contracts on Indexes, which is comprised of a basket of high yield securities. |
Forward Foreign Currency Exchange Contracts at May 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 7/20/2023 | 22,582,000 | $16,807,586 | $16,654,011 | $153,575 |
See Notes to Financial Statements. | 305 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2023
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||||
Euro | Buy | Morgan Stanley | 6/13/2023 | 8,396,000 | $ | 9,193,039 | $ | 8,980,077 | $ | (212,962 | ) | |||||||||||
Euro | Buy | State Street Bank and Trust | 6/13/2023 | 6,336,000 | 6,846,883 | 6,776,771 | (70,112 | ) | ||||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 39,400,000 | 41,918,448 | 42,140,905 | (222,457 | ) | ||||||||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (505,531 | ) |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2023 | 690 | Long | $ | 78,754,288 | $ | 78,983,438 | $ | 229,150 | |||||||||
U.S. 2-Year Treasury Note | September 2023 | 1,598 | Long | 328,381,249 | 328,913,345 | 532,096 | ||||||||||||
U.S. Long Bond | September 2023 | 1,314 | Long | 167,102,603 | 168,643,687 | 1,541,084 | ||||||||||||
U.S. Ultra Treasury Bond | September 2023 | 1,216 | Long | 164,006,775 | 166,440,000 | 2,433,225 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 4,735,555 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Bobl | September 2023 | 89 | Short | EUR | (10,399,415 | ) | EUR | (10,453,940 | ) | $ | (58,282 | ) | ||||||
Euro-Bund | September 2023 | 123 | Short | (16,634,469 | ) | (16,644,360 | ) | (10,572 | ) | |||||||||
U.S. 10-Year Ultra Treasury Bond | September 2023 | 1,479 | Short | $ | (177,199,186 | ) | $ | (178,150,172 | ) | (950,986 | ) | |||||||
Total Unrealized Depreciation on Futures Contracts | $ | (1,019,840 | ) |
306 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
TOTAL RETURN FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 437,734,978 | $ | – | $ | 437,734,978 | ||||||||
Corporate Bonds | – | 1,374,102,748 | – | 1,374,102,748 | ||||||||||||
Floating Rate Loans | – | 24,180,022 | – | 24,180,022 | ||||||||||||
Foreign Government Obligations | – | 126,123,299 | – | 126,123,299 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 23,069,731 | – | 23,069,731 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 849,654,345 | – | 849,654,345 | ||||||||||||
Municipal Bonds | – | 7,984,530 | – | 7,984,530 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 278,469,188 | 4,592,578 | 283,061,766 | ||||||||||||
U.S. Treasury Obligations | – | 298,321,697 | – | 298,321,697 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Obligations | – | 58,822,898 | – | 58,822,898 | ||||||||||||
Repurchase Agreements | – | 76,231,038 | – | 76,231,038 | ||||||||||||
Total | $ | – | $ | 3,554,694,474 | $ | 4,592,578 | $ | 3,559,287,052 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 659,632 | $ | – | $ | 659,632 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 153,575 | – | 153,575 | ||||||||||||
Liabilities | – | (505,531 | ) | – | (505,531 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 4,735,555 | – | – | 4,735,555 | ||||||||||||
Liabilities | (1,019,840 | ) | – | – | (1,019,840 | ) | ||||||||||
Total | $ | 3,715,715 | $ | 307,676 | $ | – | $ | 4,023,391 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period 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 period.
See Notes to Financial Statements. | 307 |
Schedule of Investments (unaudited)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 80.87% | ||||||||||||
ASSET-BACKED SECURITIES 25.31% | ||||||||||||
Automobiles 12.63% | ||||||||||||
Ally Auto Receivables Trust Series 2022-3 Class A2 | 5.29% | 6/16/2025 | $ | 23,240,000 | $ | 23,169,013 | ||||||
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A Class A† | 1.19% | 1/15/2027 | 3,381,057 | 3,282,926 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2019-3A Class A† | 2.36% | 3/20/2026 | 7,545,000 | 7,133,850 | ||||||||
BMW Vehicle Lease Trust Series 2023-1 Class A2 | 5.27% | 2/25/2025 | 26,145,000 | 26,049,579 | ||||||||
Capital One Prime Auto Receivables Trust Series 2023-1 Class A2 | 5.20% | 5/15/2026 | 13,445,000 | 13,382,192 | ||||||||
CarMax Auto Owner Trust Series 2020-2 Class A3 | 1.70% | 11/15/2024 | 102,070 | 101,914 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class A2A | 5.23% | 1/15/2026 | 17,650,000 | 17,564,228 | ||||||||
Carvana Auto Receivables Trust Series 2020-P1 Class A3 | 0.44% | 6/9/2025 | 2,491,854 | 2,477,731 | ||||||||
Carvana Auto Receivables Trust Series 2021-N1 Class B | 1.09% | 1/10/2028 | 11,573,033 | 10,843,559 | ||||||||
Carvana Auto Receivables Trust Series 2022-P3 Class A2 | 4.42% | 12/10/2025 | 15,636,980 | 15,528,516 | ||||||||
CPS Auto Receivables Trust Series 2021-D Class A† | 0.61% | 10/15/2025 | 2,704,744 | 2,694,854 | ||||||||
CPS Auto Receivables Trust Series 2022-A Class A† | 0.98% | 4/16/2029 | 5,412,445 | 5,365,615 | ||||||||
CPS Auto Receivables Trust Series 2022-C Class A† | 4.18% | 4/15/2030 | 12,092,214 | 11,982,625 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 33,939,064 | 32,997,825 | ||||||||
Exeter Automobile Receivables Trust Series 2022-4A Class A2 | 3.99% | 8/15/2024 | 1,847,733 | 1,846,184 | ||||||||
Exeter Automobile Receivables Trust Series 2022-4A Class A3 | 4.33% | 2/17/2026 | 19,895,000 | 19,811,027 | ||||||||
Exeter Automobile Receivables Trust Series 2022-6A Class A2 | 5.73% | 11/17/2025 | 6,868,026 | 6,859,578 | ||||||||
First Investors Auto Owner Trust Series 2021-2A Class A† | 0.48% | 3/15/2027 | 41,748,008 | 40,472,143 | ||||||||
First Investors Auto Owners Trust Series 2022-2A Class A† | 6.26% | 7/15/2027 | 19,806,535 | 19,846,404 |
308 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Flagship Credit Auto Trust Series 2021-2 Class B† | 0.93% | 6/15/2027 | $ | 10,000,000 | $ | 9,632,052 | ||||||
Flagship Credit Auto Trust Series 2022-2 Class A2† | 3.28% | 8/15/2025 | 30,318,504 | 30,125,059 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A2† | 4.06% | 10/15/2025 | 16,415,799 | 16,285,005 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A2† | 5.38% | 12/15/2026 | 11,000,000 | 10,926,142 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class A2A | 5.19% | 6/15/2025 | 8,500,000 | 8,462,354 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class A3 | 4.94% | 3/15/2026 | 48,600,000 | 48,303,175 | ||||||||
Foursight Capital Automobile Receivables Trust Series 2021-2 Class A3† | 0.81% | 5/15/2026 | 6,818,438 | 6,687,734 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-1A Class C† | 1.20% | 1/15/2027 | 9,466,304 | 9,335,073 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-3A Class B† | 0.78% | 11/17/2025 | 25,452,850 | 25,105,968 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-3A Class C† | 1.11% | 9/15/2026 | 25,348,000 | 23,970,004 | ||||||||
GLS Auto Receivables Trust Series 2021-2A Class B† | 0.77% | 9/15/2025 | 7,106,401 | 7,061,847 | ||||||||
GLS Auto Receivables Trust Series 2021-2A Class C† | 1.08% | 6/15/2026 | 21,660,000 | 20,961,259 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class A2A | 5.27% | 6/20/2025 | 8,335,000 | 8,303,209 | ||||||||
GM Financial Consumer Automobile Receivables Trust Series 2023-1 Class A2A | 5.19% | 3/16/2026 | 39,385,000 | 39,233,742 | ||||||||
Hertz Vehicle Financing III LLC Series 2022-1A Class A† | 1.99% | 6/25/2026 | 12,150,000 | 11,333,309 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 27,730,000 | 25,894,565 | ||||||||
Honda Auto Receivables Owner Trust Series 2022-2 Class A2 | 3.81% | 3/18/2025 | 56,210,674 | 55,719,297 | ||||||||
Honda Auto Receivables Owner Trust Series 2022-C Class A2A | 3.83% | 8/15/2025 | 50,741,196 | 50,226,315 | ||||||||
Hyundai Auto Lease Securitization Trust Series 2023-A Class A2A† | 5.20% | 4/15/2025 | 8,900,000 | 8,862,566 | ||||||||
Mercedes-Benz Auto Receivables Trust Series 2023-1 Class A2 | 5.09% | 1/15/2026 | 7,100,000 | 7,070,690 |
See Notes to Financial Statements. | 309 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
NextGear Floorplan Master Owner Trust Series 2023-1A Class A1† | 5.972% (30 day USD SOFR Average + 1.10% | )# | 3/15/2028 | $ | 19,850,000 | $ | 19,878,779 | |||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A† | 0.87% | 7/14/2028 | 34,360,000 | 32,303,980 | ||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class B† | 1.26% | 7/14/2028 | 34,347,000 | 30,954,430 | ||||||||
PenFed Auto Receivables Owner Trust Series 2022-A Class A2† | 3.83% | 12/16/2024 | 5,024,529 | 4,994,700 | ||||||||
Santander Consumer Auto Receivables Trust Series 2021-AA Class A3† | 0.33% | 10/15/2025 | 8,149,897 | 8,050,851 | ||||||||
Santander Drive Auto Receivables Trust Series 2021-2 Class C | 0.90% | 6/15/2026 | 10,761,476 | 10,596,048 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-2 Class A3 | 2.98% | 10/15/2026 | 56,461,285 | 55,732,178 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-3 Class A2 | 2.76% | 3/17/2025 | 2,321,339 | 2,318,101 | ||||||||
Santander Retail Auto Lease Trust Series 2021-A Class B† | 0.92% | 3/20/2026 | 24,305,000 | 23,443,448 | ||||||||
Santander Retail Auto Lease Trust Series 2021-B Class B† | 0.84% | 6/20/2025 | 4,900,000 | 4,700,153 | ||||||||
Santander Retail Auto Lease Trust Series 2021-C Class A3† | 0.50% | 3/20/2025 | 13,383,722 | 13,205,356 | ||||||||
Santander Retail Auto Lease Trust Series 2021-C Class C† | 1.11% | 3/20/2026 | 14,400,000 | 13,689,297 | ||||||||
Santander Retail Auto Lease Trust Series 2022-A Class A2† | 0.97% | 3/20/2025 | 13,476,642 | 13,280,022 | ||||||||
Tesla Auto Lease Trust Series 2021-A Class A3† | 0.56% | 3/20/2025 | 34,346,798 | 33,943,227 | ||||||||
Tesla Auto Lease Trust Series 2021-A Class B† | 1.02% | 3/20/2025 | 22,250,000 | 21,702,016 | ||||||||
Tricolor Auto Securitization Trust Series 2022-1A Class A† | 3.30% | 2/18/2025 | 8,946,120 | 8,873,738 | ||||||||
Tricolor Auto Securitization Trust Series 2023-1A Class A† | 6.48% | 8/17/2026 | 5,772,973 | 5,760,104 | ||||||||
Volkswagen Auto Lease Trust Series 2022-A Class A3 | 3.44% | 7/21/2025 | 39,700,000 | 38,899,136 | ||||||||
Westlake Automobile Receivables Trust Series 2021-1A Class C† | 0.95% | 3/16/2026 | 87,800,000 | 85,611,357 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class D† | 1.23% | 12/15/2026 | 30,025,000 | 27,869,403 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class A2A† | 5.87% | 7/15/2026 | 28,300,000 | 28,250,113 |
310 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
World Omni Automobile Lease Securitization Trust Series 2022-A Class A3 | 3.21% | 2/18/2025 | $ | 23,900,000 | $ | 23,412,701 | ||||||
Total | 1,192,378,266 | |||||||||||
Other 12.46% | ||||||||||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | 16,287,907 | 15,860,143 | ||||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 19,739,925 | 17,589,479 | ||||||||
Atalaya Equipment Leasing Trust Series 2021-1A Class A2† | 1.23% | 5/15/2026 | 11,583,956 | 11,316,614 | ||||||||
Atrium IX Series 9A Class AR2† | 6.453% (3 mo. USD LIBOR + 0.99% | )# | 5/28/2030 | 39,925,422 | 39,419,634 | |||||||
Avant Loans Funding Trust Series 2021-REV1 Class A† | 1.21% | 7/15/2030 | 6,050,000 | 5,915,968 | ||||||||
BDS Ltd. Series 2020-FL5 Class A† | 6.332% (1 mo. USD Term SOFR + 1.26% | )# | 2/16/2037 | 2,657,379 | 2,629,573 | |||||||
Benefit Street Partners CLO V-B Ltd. Series 2018-5BA Class A1A† | 6.34% (3 mo. USD LIBOR + 1.09% | )# | 4/20/2031 | 15,000,000 | 14,814,622 | |||||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.23% (3 mo. USD LIBOR + 0.98% | )# | 7/20/2029 | 57,185,684 | 56,411,880 | |||||||
CBAM Ltd. Series 2019-9A Class A† | 6.54% (3 mo. USD LIBOR + 1.28% | )# | 2/12/2030 | 19,522,113 | 19,382,373 | |||||||
Dell Equipment Finance Trust Series 2021-2 Class A2† | 0.33% | 12/22/2026 | 587,891 | 586,189 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class B† | 0.81% | 12/22/2026 | 10,880,000 | 10,381,540 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class C† | 0.94% | 12/22/2026 | 7,370,000 | 7,033,786 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class D† | 1.21% | 6/22/2027 | 6,980,000 | 6,652,759 | ||||||||
Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.301% (3 mo. USD LIBOR + 0.98% | )# | 5/15/2030 | 12,953,227 | 12,864,567 | |||||||
FS Rialto Series 2021-FL2 Class A† | 6.325% (1 mo. USD LIBOR + 1.22% | )# | 5/16/2038 | 13,660,000 | 13,247,890 | |||||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.223% (3 mo. USD LIBOR + 0.95% | )# | 7/24/2030 | 48,244,221 | 47,641,518 | |||||||
Galaxy XXIII CLO Ltd. Series 2017-23A Class AR† | 6.143% (3 mo. USD LIBOR + 0.87% | )# | 4/24/2029 | 44,542,888 | 44,123,497 |
See Notes to Financial Statements. | 311 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
GreatAmerica Leasing Receivables Funding LLC Series 2021-2 Class A4† | 1.04% | 9/15/2027 | $ | 14,000,000 | $ | 12,759,653 | ||||||
HGI CRE CLO Ltd. Series 2021-FL1 Class A† | 6.155% (1 mo. USD LIBOR + 1.05% | )# | 6/16/2036 | 16,985,004 | 16,608,994 | |||||||
HGI CRE CLO Ltd. Series 2021-FL1 Class B† | 6.705% (1 mo. USD LIBOR + 1.60% | )# | 6/16/2036 | 6,990,000 | 6,615,764 | |||||||
HPEFS Equipment Trust Series 2023-1A Class A2† | 5.43% | 8/20/2025 | 18,725,000 | 18,646,690 | ||||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.178% (1 mo. USD LIBOR + 1.07% | )# | 2/15/2039 | 36,710,000 | 35,426,537 | |||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 21,770,000 | 19,496,777 | ||||||||
LFT CRE Ltd. Series 2021-FL1 Class A† | 6.277% (1 mo. USD LIBOR + 1.17% | )# | 6/15/2039 | 30,570,000 | 29,932,925 | |||||||
LFT CRE Ltd. Series 2021-FL1 Class B† | 6.857% (1 mo. USD LIBOR + 1.75% | )# | 6/15/2039 | 41,120,000 | 39,842,392 | (a) | ||||||
LMREC LLC Series 2021-CRE4 Class A† | 6.177% (1 mo. USD LIBOR + 1.05% | )# | 4/22/2037 | 9,309,438 | 9,120,168 | |||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.173% (3 mo. USD LIBOR + 0.90% | )# | 7/23/2029 | 56,136,898 | 55,536,177 | |||||||
Madison Park Funding XVII Ltd. Series 2015-17A Class AR2† | 6.261% (3 mo. USD LIBOR + 1.00% | )# | 7/21/2030 | 48,607,338 | 48,048,354 | |||||||
Marlette Funding Trust Series 2021-1A Class B† | 1.00% | 6/16/2031 | 1,060,013 | 1,056,156 | ||||||||
Marlette Funding Trust Series 2021-2A Class B† | 1.06% | 9/15/2031 | 6,608,533 | 6,489,590 | ||||||||
Marlette Funding Trust Series 2021-3A Class B† | 1.30% | 12/15/2031 | 38,745,000 | 37,365,891 | ||||||||
MF1 Ltd. Series 2021-FL6 Class A† | 6.211% (1 mo. USD LIBOR + 1.10% | )# | 7/16/2036 | 44,800,000 | 43,596,000 | |||||||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R† | 6.25% (3 mo. USD LIBOR + 1.00% | )# | 3/17/2030 | 65,566,262 | 64,812,250 | |||||||
Octagon Investment Partners 31 LLC Series 2017-1A Class AR† | 6.30% (3 mo. USD LIBOR + 1.05% | )# | 7/20/2030 | 46,563,852 | 46,120,462 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.21% (3 mo. USD LIBOR + 0.95% | )# | 7/15/2029 | 56,124,920 | 55,677,108 | |||||||
Pagaya AI Debt Selection Trust Series 2021-1 Class A† | 1.18% | 11/15/2027 | 3,830,003 | 3,813,967 | ||||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 23,267,459 | 22,611,107 | ||||||||
PFS Financing Corp. Series 2020-E Class A† | 1.00% | 10/15/2025 | 41,275,000 | 40,511,516 | ||||||||
Post Road Equipment Finance Series 2021-1 Class A2† | 0.74% | 12/15/2026 | 4,155,363 | 4,126,151 |
312 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Regatta Funding LP Series 2013-2A Class A1R3† | 6.11% (3 mo. USD LIBOR + 0.85% | )# | 1/15/2029 | $ | 35,955,260 | $ | 35,720,701 | |||||
Regatta VIII Funding Ltd. Series 2017-1A Class A† | 6.51% (3 mo. USD LIBOR + 1.25% | )# | 10/17/2030 | 16,237,143 | 16,085,292 | |||||||
TCI-Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.29% (3 mo. USD LIBOR + 0.96% | )# | 11/18/2030 | 42,773,919 | 42,388,954 | |||||||
Theorem Funding Trust Series 2021-1A Class A† | 1.21% | 12/15/2027 | 680,529 | 674,333 | ||||||||
Verizon Master Trust Series 2022-1 Class A | 1.04% | 1/20/2027 | 118,400,000 | 117,699,368 | ||||||||
Verizon Master Trust Series 2022-7 Class A1A | 5.23% | 11/22/2027 | 19,900,000 | 19,881,171 | ||||||||
Total | 1,176,536,480 | |||||||||||
Rec Vehicle Loan 0.06% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | 5,854,890 | 5,677,530 | ||||||||
Student Loan 0.16% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-EA Class A† | 1.69% | 5/15/2069 | 17,215,514 | 15,513,197 | ||||||||
Total Asset-Backed Securities (cost $2,438,551,965) | 2,390,105,473 | |||||||||||
CORPORATE BONDS 44.96% | ||||||||||||
Aerospace/Defense 0.32% | ||||||||||||
Boeing Co. | 1.433% | 2/4/2024 | 30,630,000 | 29,718,169 | ||||||||
Agriculture 0.34% | ||||||||||||
Philip Morris International, Inc. | 5.125% | 11/15/2024 | 31,580,000 | 31,606,142 | ||||||||
Auto Manufacturers 2.95% | ||||||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 36,347,000 | 36,215,237 | ||||||||
General Motors Financial Co., Inc. | 5.65% (SOFR + 0.62% | )# | 10/15/2024 | 44,943,000 | 44,606,195 | |||||||
General Motors Financial Co., Inc. | 6.291% (SOFR + 1.20% | )# | 11/17/2023 | 41,986,000 | 42,038,512 | |||||||
Hyundai Capital America† | 0.80% | 1/8/2024 | 99,652,000 | 96,668,852 | ||||||||
Hyundai Capital America† | 1.25% | 9/18/2023 | 15,532,000 | 15,314,094 | ||||||||
Hyundai Capital America† | 3.40% | 6/20/2024 | 9,066,000 | 8,858,132 | ||||||||
Mercedes-Benz Finance North America LLC† | 5.906% (SOFR + 0.93% | )# | 3/30/2025 | 35,099,000 | 35,232,681 | |||||||
Total | 278,933,703 |
See Notes to Financial Statements. | 313 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks 27.85% | ||||||||||||
ANZ New Zealand International Ltd. (United Kingdom)†(b) | 5.691% (SOFR + 0.60% | )# | 2/18/2025 | $ | 17,916,000 | $ | 17,851,830 | |||||
Bank of America Corp. | 2.015% (3 mo. USD Term SOFR + 0.9% | )# | 2/13/2026 | 20,717,000 | 19,438,055 | |||||||
Bank of America Corp. | 2.456% (3 mo. USD Term SOFR + 1.13% | )# | 10/22/2025 | 10,000,000 | 9,543,896 | |||||||
Bank of America Corp. | 3.093% (3 mo. USD Term SOFR + 1.09% | )# | 10/1/2025 | 43,877,000 | 42,314,250 | |||||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23% | )# | 3/15/2025 | 30,943,000 | 30,352,716 | |||||||
Bank of America Corp. | 3.841% (SOFR + 1.11% | )# | 4/25/2025 | 27,670,000 | 27,204,519 | |||||||
Bank of America Corp. | 3.864% (3 mo. USD Term SOFR + 1.20% | )# | 7/23/2024 | 95,073,000 | 94,785,747 | |||||||
Bank of America Corp. | 5.751% (SOFR + 0.66% | )# | 2/4/2025 | 45,370,000 | 45,251,572 | |||||||
Bank of Ireland Group PLC (Ireland)†(b) | 4.50% | 11/25/2023 | 69,084,000 | 68,461,277 | ||||||||
Bank of Montreal (Canada)(b) | 5.20% | 12/12/2024 | 24,987,000 | 24,889,922 | ||||||||
Bank of Montreal (Canada)(b) | 5.231% (SOFR + 0.35% | )# | 12/8/2023 | 17,097,000 | 17,090,885 | |||||||
Bank of Montreal (Canada)(b) | 5.591% (SOFR + 0.71% | )# | 3/8/2024 | 53,961,000 | 54,006,203 | |||||||
Bank of Nova Scotia (Canada)(b) | 5.25% | 12/6/2024 | 44,634,000 | 44,547,218 | ||||||||
Bank of Nova Scotia (Canada)(b) | 5.471% (SOFR + 0.55% | )# | 9/15/2023 | 67,842,000 | 67,887,474 | |||||||
Barclays plc (United Kingdom)(b) | 3.932% (3 mo. USD LIBOR + 1.61% | )# | 5/7/2025 | 11,592,000 | 11,346,774 | |||||||
BBVA Bancomer SA† | 4.375% | 4/10/2024 | 2,496,000 | 2,468,906 | ||||||||
BNP Paribas SA (France)†(b) | 2.819% (3 mo. USD LIBOR + 1.11% | )# | 11/19/2025 | 29,231,000 | 27,864,412 | |||||||
BNP Paribas SA (France)†(b) | 4.705% (3 mo. USD LIBOR + 2.24% | )# | 1/10/2025 | 25,820,000 | 25,581,796 | |||||||
BPCE SA (France)†(b) | 4.625% | 7/11/2024 | 13,498,000 | 13,214,155 | ||||||||
BPCE SA (France)†(b) | 5.15% | 7/21/2024 | 34,141,000 | 33,430,461 | ||||||||
BPCE SA (France)†(b) | 5.598% (SOFR + 0.57% | )# | 1/14/2025 | 27,056,000 | 26,882,399 | |||||||
BPCE SA (France)†(b) | 5.70% | 10/22/2023 | 51,130,000 | 50,804,309 | ||||||||
BPCE SA (France)†(b) | 6.394% (3 mo. USD LIBOR + 1.24% | )# | 9/12/2023 | 18,134,000 | 18,163,023 | |||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.144% | 4/28/2025 | 17,058,000 | 16,966,167 |
314 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.453% (SOFR + 0.42% | )# | 10/18/2024 | $ | 13,509,000 | $ | 13,461,496 | |||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16% | )# | 4/24/2025 | 63,196,000 | 61,783,417 | |||||||
Commonwealth Bank of Australia (Australia)†(b) | 5.648% (SOFR + 0.75% | )# | 3/13/2026 | 43,886,000 | 43,811,882 | |||||||
Credit Suisse AG | 0.52% | 8/9/2023 | 22,364,000 | 22,076,064 | ||||||||
Credit Suisse AG | 5.471% (SOFR + 0.38% | )# | 8/9/2023 | 13,500,000 | 13,427,187 | |||||||
Credit Suisse Group AG (Switzerland)(b) | 3.80% | 6/9/2023 | 27,000,000 | 26,979,750 | ||||||||
Credit Suisse Group AG (Switzerland)†(b) | 4.207% (3 mo. USD LIBOR + 1.24% | )# | 6/12/2024 | 23,000,000 | 22,726,300 | |||||||
Danske Bank AS (Denmark)†(b) | 1.226% (1 yr. CMT + 1.00% | )# | 6/22/2024 | 24,463,000 | 24,400,221 | |||||||
Danske Bank AS (Denmark)†(b) | 3.875% | 9/12/2023 | 45,195,000 | 44,873,738 | ||||||||
Danske Bank AS (Denmark)†(b) | 5.375% | 1/12/2024 | 73,404,000 | 72,844,615 | ||||||||
Danske Bank AS (Denmark)†(b) | 6.214% (3 mo. USD LIBOR + 1.06% | )# | 9/12/2023 | 2,800,000 | 2,800,818 | |||||||
DNB Bank ASA (Norway)†(b) | 2.968% (SOFR + 0.81% | )# | 3/28/2025 | 22,826,000 | 22,278,979 | |||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72% | )# | 9/27/2025 | 9,804,000 | 9,171,867 | |||||||
First-Citizens Bank & Trust Co. | 3.929% (SOFR + 3.83% | )# | 6/19/2024 | 16,597,000 | 16,401,719 | |||||||
Goldman Sachs Group, Inc. | 5.538% (SOFR + 0.49% | )# | 10/21/2024 | 63,161,000 | 62,690,888 | |||||||
Goldman Sachs Group, Inc. | 5.751% (SOFR + 0.70% | )# | 1/24/2025 | 22,699,000 | 22,627,210 | |||||||
Goldman Sachs Group, Inc. | 6.311% (SOFR + 1.39% | )# | 3/15/2024 | 23,098,000 | 23,225,629 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD LIBOR + 1.21% | )# | 3/11/2025 | 76,119,000 | 74,716,507 | |||||||
Intesa Sanpaolo SpA (Italy)(b) | 5.25% | 1/12/2024 | 33,000,000 | 32,820,537 | ||||||||
JPMorgan Chase & Co. | 3.797% (3 mo. USD Term SOFR + 0.89% | )# | 7/23/2024 | 113,585,000 | 113,261,296 | |||||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98% | )# | 6/14/2025 | 23,567,000 | 23,104,795 | |||||||
JPMorgan Chase & Co. | 5.546% (SOFR + 1.07% | )# | 12/15/2025 | 70,914,000 | 71,030,824 | |||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 3.87% (1 yr. CMT + 3.50% | )# | 7/9/2025 | 10,446,000 | 10,196,499 |
See Notes to Financial Statements. | 315 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 3.90% | 3/12/2024 | $ | 24,884,000 | $ | 24,491,956 | ||||||
Macquarie Group Ltd. (Australia)†(b) | 6.207% | 11/22/2024 | 63,562,000 | 64,020,439 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 6.465% | # | 4/17/2026 | 35,250,000 | 35,473,111 | |||||||
Morgan Stanley | 3.62% (SOFR + 1.16% | )# | 4/17/2025 | 55,387,000 | 54,279,607 | |||||||
Morgan Stanley | 5.52% (SOFR + 0.46% | )# | 1/25/2024 | 94,617,000 | 94,550,255 | |||||||
Morgan Stanley | 5.687% (SOFR + 0.63% | )# | 1/24/2025 | 54,477,000 | 54,236,138 | |||||||
National Securities Clearing Corp.† | 5.15% | 5/30/2025 | 13,477,000 | 13,514,747 | ||||||||
NatWest Group PLC (United Kingdom)(b) | 4.269% (3 mo. USD LIBOR + 1.76% | )# | 3/22/2025 | 73,255,000 | 72,033,567 | |||||||
NatWest Group PLC (United Kingdom)(b) | 4.519% (3 mo. USD LIBOR + 1.55% | )# | 6/25/2024 | 82,684,000 | 82,535,732 | |||||||
NatWest Markets PLC (United Kingdom)†(b) | 5.621% (SOFR + 0.53% | )# | 8/12/2024 | 22,842,000 | 22,711,428 | |||||||
NatWest Markets PLC (United Kingdom)†(b) | 6.409% (SOFR + 1.45% | )# | 3/22/2025 | 40,000,000 | 40,058,351 | |||||||
Royal Bank of Canada (Canada)(b) | 4.95% | 4/25/2025 | 39,524,000 | 39,292,062 | ||||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 1.089% (SOFR + 0.79% | )# | 3/15/2025 | 12,444,000 | 11,883,800 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 4.796% (3 mo. USD LIBOR + 1.57% | )# | 11/15/2024 | 50,488,000 | 50,093,286 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 3.785% (3 mo. USD LIBOR + 1.56% | )# | 5/21/2025 | 27,701,000 | 27,043,828 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 5.20% | 1/26/2024 | 30,000,000 | 29,706,456 | ||||||||
Toronto-Dominion Bank (Canada)(b) | 3.766% | 6/6/2025 | 21,896,000 | 21,285,573 | ||||||||
Toronto-Dominion Bank (Canada)(b) | 4.285% | 9/13/2024 | 63,599,000 | 62,660,689 | ||||||||
Toronto-Dominion Bank (Canada)(b) | 5.243% (SOFR + 0.35% | )# | 9/10/2024 | 4,700,000 | 4,683,479 | |||||||
Truist Financial Corp. | 3.75% | 12/6/2023 | 7,129,000 | 7,048,889 | ||||||||
Truist Financial Corp. | 5.287% (SOFR + 0.40% | )# | 6/9/2025 | 25,087,000 | 24,195,984 | |||||||
UBS AG (United Kingdom)†(b) | 0.70% | 8/9/2024 | 24,006,000 | 22,605,491 | ||||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 36,443,000 | 35,908,746 | ||||||||
UBS Group AG (Switzerland)†(b) | 1.008% (1 yr. CMT + .83% | )# | 7/30/2024 | 11,381,000 | 11,271,652 | |||||||
UBS Group AG (Switzerland)†(b) | 4.488% (1 yr. CMT + 1.55% | )# | 5/12/2026 | 33,697,000 | 32,584,918 | |||||||
UniCredit SpA (Italy)†(b) | 7.83% | 12/4/2023 | 69,639,000 | 69,943,324 | ||||||||
Total | 2,629,173,712 |
316 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Biotechnology 0.10% | ||||||||||||
Amgen, Inc. | 5.25% | 3/2/2025 | $ | 8,920,000 | $ | 8,948,509 | ||||||
Commercial Services 0.08% | ||||||||||||
Triton Container International Ltd.† | 0.80% | 8/1/2023 | 7,430,000 | 7,311,090 | ||||||||
Computers 0.24% | ||||||||||||
Hewlett Packard Enterprise Co. | 5.90% | 10/1/2024 | 23,009,000 | 23,075,127 | ||||||||
Diversified Financial Services 2.34% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.50% | 9/15/2023 | 24,000,000 | 23,895,160 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.875% | 1/16/2024 | 45,000,000 | 44,618,900 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 8,000,000 | 7,935,849 | ||||||||
American Express Co. | 5.786% (SOFR + 0.93% | )# | 3/4/2025 | 36,253,000 | 36,358,855 | |||||||
Aviation Capital Group LLC† | 4.375% | 1/30/2024 | 18,412,000 | 18,080,428 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 3.95% | 7/1/2024 | 9,147,000 | 8,850,510 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.125% | 10/1/2023 | 21,534,000 | 21,441,614 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.25% | 5/15/2024 | 37,973,000 | 37,394,773 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(b) | 5.50% | 2/15/2024 | 22,918,000 | 22,675,483 | ||||||||
Total | 221,251,572 | |||||||||||
Electric 3.25% | ||||||||||||
American Electric Power Co., Inc. | 5.699% | 8/15/2025 | 9,376,000 | 8,575,856 | ||||||||
American Electric Power Co., Inc. | 5.779% (3 mo. USD LIBOR + 0.48% | )# | 11/1/2023 | 32,614,000 | 32,593,465 | |||||||
CenterPoint Energy, Inc. | 5.74% (SOFR + 0.65% | )# | 5/13/2024 | 43,573,000 | 43,459,570 | |||||||
Comision Federal de Electricidad (Mexico)†(b) | 4.875% | 1/15/2024 | 30,753,000 | 30,386,945 | ||||||||
Dominion Energy, Inc. | 5.396% (3 mo. USD LIBOR + 0.53% | )# | 9/15/2023 | 33,869,000 | 33,860,975 | |||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 14,500,000 | 14,338,045 | ||||||||
Monongahela Power Co.† | 4.10% | 4/15/2024 | 13,665,000 | 13,376,729 | ||||||||
NextEra Energy Capital Holdings, Inc. | 2.94% | 3/21/2024 | 41,295,000 | 40,439,457 | ||||||||
NextEra Energy Capital Holdings, Inc. | 4.20% | 6/20/2024 | 4,898,000 | 4,830,741 | ||||||||
NextEra Energy Capital Holdings, Inc. | 5.482% (SOFR + 0.4% | )# | 11/3/2023 | 57,251,000 | 57,231,566 | |||||||
NextEra Energy Capital Holdings, Inc. | 6.051% | 3/1/2025 | 10,037,000 | 10,152,746 | ||||||||
Saudi Electricity Global Sukuk Co. 3 (Saudi Arabia)†(b) | 4.00% | 4/8/2024 | 18,106,000 | 17,881,033 | ||||||||
Total | 307,127,128 |
See Notes to Financial Statements. | 317 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Products 1.01% | ||||||||||||
GE HealthCare Technologies, Inc.† | 5.55% | 11/15/2024 | $ | 50,475,000 | $ | 50,431,463 | ||||||
Thermo Fisher Scientific, Inc. | 5.423% (SOFR + 0.39% | )# | 10/18/2023 | 31,586,000 | 31,556,899 | |||||||
Thermo Fisher Scientific, Inc. | 5.563% (SOFR + 0.53% | )# | 10/18/2024 | 13,647,000 | 13,660,993 | |||||||
Total | 95,649,355 | |||||||||||
Insurance 1.78% | ||||||||||||
Brighthouse Financial Global Funding† | 5.782% (SOFR + 0.76% | )# | 4/12/2024 | 32,460,000 | 32,129,353 | |||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 37,195,000 | 34,760,906 | ||||||||
GA Global Funding Trust† | 5.398% (SOFR + 0.50% | )# | 9/13/2024 | 7,486,000 | 7,323,242 | |||||||
GA Global Funding Trust† | 6.382% (SOFR + 1.36% | )# | 4/11/2025 | 45,784,000 | 44,807,378 | |||||||
Jackson National Life Global Funding† | 6.132% (SOFR + 1.15% | )# | 6/28/2024 | 49,131,000 | 49,152,502 | |||||||
Total | 168,173,381 | |||||||||||
Lodging 0.11% | ||||||||||||
Hyatt Hotels Corp. | 1.80% | 10/1/2024 | 11,059,000 | 10,492,342 | ||||||||
Media 0.69% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.949% (3 mo. USD LIBOR + 1.65% | )# | 2/1/2024 | 65,224,000 | 65,464,182 | |||||||
Mining 1.03% | ||||||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 42,858,000 | 42,205,438 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 55,531,000 | 54,986,557 | ||||||||
Total | 97,191,995 | |||||||||||
Miscellaneous Manufacturing 0.21% | ||||||||||||
Parker-Hannifin Corp. | 3.65% | 6/15/2024 | 19,759,000 | 19,380,945 | ||||||||
Oil & Gas 0.10% | ||||||||||||
Ovintiv, Inc. | 5.65% | 5/15/2025 | 9,308,000 | 9,298,417 | ||||||||
Pharmaceuticals 1.10% | ||||||||||||
AstraZeneca PLC (United Kingdom)(b) | 5.995% (3 mo. USD LIBOR + 0.67% | )# | 8/17/2023 | 7,157,000 | 7,154,956 | |||||||
Bayer U.S. Finance II LLC† | 5.876% (3 mo. USD LIBOR + 1.01% | )# | 12/15/2023 | 14,368,000 | 14,362,549 |
318 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pharmaceuticals (continued) | ||||||||||||
Cigna Group | 6.15% (3 mo. USD LIBOR + 0.89% | )# | 7/15/2023 | $ | 30,112,000 | $ | 30,117,054 | |||||
Pfizer Investment Enterprises Pte. Ltd. (Singapore)(b) | 4.65% | 5/19/2025 | 52,333,000 | 52,240,151 | ||||||||
Total | 103,874,710 | |||||||||||
Pipelines 0.80% | ||||||||||||
Enbridge, Inc. (Canada)(b) | 5.722% (SOFR + 0.63% | )# | 2/16/2024 | 31,647,000 | 31,599,097 | |||||||
TransCanada PipeLines Ltd. (Canada)(b) | 6.407% (SOFR + 1.52% | )# | 3/9/2026 | 43,659,000 | 43,737,061 | |||||||
Total | 75,336,158 | |||||||||||
Semiconductors 0.31% | ||||||||||||
Marvell Technology, Inc. | 4.20% | 6/22/2023 | 29,372,000 | 29,346,915 | ||||||||
Telecommunications 0.35% | ||||||||||||
AT&T, Inc. | 5.615% (SOFR + 0.64% | )# | 3/25/2024 | 33,143,000 | 33,143,587 | |||||||
Total Corporate Bonds (cost $4,282,030,285) | 4,244,497,139 | |||||||||||
FLOATING RATE LOANS(c) 4.50% | ||||||||||||
Chemicals 0.86% | ||||||||||||
Celanese U.S. Holdings LLC 2022 364-Day Delayed Draw Term Loan | 6.468% | 10/31/2023 | 13,786,667 | 13,821,133 | ||||||||
Nutrition & Biosciences, Inc. 3 Year Delayed Draw Term Loan | 6.673% | 2/1/2024 | 67,148,254 | 67,022,351 | ||||||||
Total | 80,843,484 | |||||||||||
Diversified Financial Services 0.28% | ||||||||||||
Delos Finance Sarl 2018 Term Loan B (Luxembourg)(b) | 6.909% (3 mo. USD LIBOR + 1.75% | ) | 10/6/2023 | 26,436,322 | 26,455,620 | |||||||
Health Care Products 0.92% | ||||||||||||
Baxter International, Inc. 2021 | ||||||||||||
Delayed Draw Term Loan Tranche 1 | 6.237% (1 mo. USD Term SOFR + 1.13% | ) | 9/30/2024 | 40,583,199 | 40,456,377 | |||||||
CVS Health Corp. 364 Day Term Loan | 6.244% (3 mo. USD Term SOFR + 1.25% | ) | 5/1/2024 | 47,000,000 | 46,918,220 | |||||||
Total | 87,374,597 |
See Notes to Financial Statements. | 319 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media 1.02% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B1 | 6.795% – 6.90% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 4/30/2025 | $ | 96,857,827 | $ | 96,775,498 | |||||
Pipelines 0.26% | ||||||||||||
Targa Resources Corp. Term Loan | 6.85% – 6.92% (1 mo. USD Term SOFR + 1.75% (3 mo. USD Term SOFR + 1.75% | ) ) | 7/12/2025 | 24,400,000 | 24,323,750 | |||||||
Real Estate Investment Trusts 0.68% | ||||||||||||
American Tower Corp. 2021 First Lien Delayed Draw Term loan | 6.25% (1 mo. USD LIBOR + 1.13% | ) | 12/8/2023 | 24,629,929 | 24,622,294 | |||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.253% (1 mo. USD Term SOFR + 1.00% | ) | 1/31/2025 | 40,000,000 | 39,300,000 | |||||||
Total | 63,922,294 | |||||||||||
Semiconductors 0.48% | ||||||||||||
Marvell Technology Group Ltd. 2020 3 Year Term Loan A(b) | – | (d) | 12/7/2023 | 45,275,000 | 45,303,523 | |||||||
Total Floating Rate Loans (cost $426,331,069) | 424,998,766 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.22% | ||||||||||||
BBCMS Mortgage Trust Series 2017-DELC Class A† | 6.082% (1 mo. USD LIBOR + 0.98% | )# | 8/15/2036 | 4,680,000 | 4,675,607 | |||||||
BX Trust Series 2021-ARIA Class A† | 6.006% (1 mo. USD LIBOR + 0.90% | )# | 10/15/2036 | 9,304,000 | 9,011,336 | |||||||
BXHPP Trust Series 2021-FILM Class A† | 5.757% (1 mo. USD LIBOR + 0.65% | )# | 8/15/2036 | 29,800,000 | 28,006,111 | |||||||
BXMT Ltd. Series 2020-FL2 Class A† | 6.081% (1 mo. USD Term SOFR + 1.01% | )# | 2/15/2038 | 36,086,237 | 34,372,141 | |||||||
BXMT Ltd. Series 2021-FL4 Class A† | 6.157% (1 mo. USD LIBOR + 1.05% | )# | 5/15/2038 | 27,035,000 | 25,733,941 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R02 Class 2M1† | 5.873% (30 day USD SOFR Average + 0.90% | )# | 11/25/2041 | 15,288,014 | 15,157,635 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2021-R01 Class 1M1† | 5.723% (30 day USD SOFR Average + 0.75% | )# | 10/25/2041 | 6,494,797 | 6,468,841 |
320 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R02 Class 2M1† | 6.173% (30 day USD SOFR Average + 1.20% | )# | 1/25/2042 | $ | 21,068,549 | $ | 20,925,471 | |||||
Freddie Mac STACR REMIC Trust Series 2021-DNA6 Class M1† | 5.773% (30 day USD SOFR Average + 0.80% | )# | 10/25/2041 | 2,223,208 | 2,213,960 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA2 Class M1† | 5.673% (30 day USD SOFR Average + 0.70% | )# | 12/25/2033 | 3,055,106 | 3,040,295 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA3 Class M1† | 5.823% (30 day USD SOFR Average + 0.85% | )# | 9/25/2041 | 12,970,072 | 12,572,576 | |||||||
Freddie Mac STACR REMIC Trust Series 2021-HQA4 Class M1† | 5.923% (30 day USD SOFR Average + 0.95% | )# | 12/25/2041 | 10,923,437 | 10,555,625 | |||||||
Freddie Mac STACR REMIC Trust Series 2022-DNA1 Class M1A† | 5.973% (30 day USD SOFR Average + 1.00% | )# | 1/25/2042 | 27,307,531 | 26,843,709 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.208% (1 mo. USD Term SOFR + 1.15% | )# | 12/15/2036 | 14,400,000 | 14,216,916 | |||||||
GS Mortgage Securities Corp. Trust Series 2018-HULA Class A† | 6.03% (1 mo. USD LIBOR + 0.92% | )# | 7/15/2025 | 15,002,270 | 14,789,057 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-RENT Class A† | 5.848% (1 mo. USD LIBOR + 0.70% | )# | 11/21/2035 | 24,496,195 | 23,182,403 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.258% (1 mo. USD LIBOR + 1.15% | )# | 5/15/2026 | 40,000,000 | 36,296,960 | |||||||
Hilton Orlando Trust Series 2018-ORL Class A† | 6.127% (1 mo. USD LIBOR + 1.02% | )# | 12/15/2034 | 36,955,000 | 36,459,474 | |||||||
KIND Trust Series 2021-KIND Class A† | 6.124% (1 mo. USD Term SOFR + 1.06% | )# | 8/15/2038 | 24,572,407 | 23,096,391 | |||||||
PFP Ltd. Series 2021-7 Class A† | 5.957% (1 mo. USD LIBOR + 0.85% | )# | 4/14/2038 | 8,170,222 | 8,068,468 | |||||||
VASA Trust Series 2021-VASA Class A† | 6.007% (1 mo. USD LIBOR + 0.90% | )# | 7/15/2039 | 45,750,000 | 42,736,951 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $415,515,877) | 398,423,868 | |||||||||||
U.S. TREASURY OBLIGATIONS 1.88% | ||||||||||||
U.S. Treasury Notes (cost $178,725,640) | 3.875% | 3/31/2025 | 179,386,000 | 177,325,863 | ||||||||
Total Long-Term Investments (cost $7,741,154,836) | 7,635,351,109 |
See Notes to Financial Statements. | 321 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 20.38% | ||||||||||||
COMMERCIAL PAPER 17.21% | ||||||||||||
Agriculture 1.73% | ||||||||||||
BAT International Finance PLC | 5.416% | 7/28/2023 | $ | 30,932,000 | $ | 30,677,326 | ||||||
BAT International Finance PLC | 6.177% | 6/23/2023 | 29,346,000 | 29,238,398 | ||||||||
BAT International Finance PLC | 6.178% | 6/27/2023 | 104,000,000 | 103,549,334 | ||||||||
Total | 163,465,058 | |||||||||||
Auto Manufacturers 0.97% | ||||||||||||
General Motors Financial Co., Inc. | 5.68% | 8/21/2023 | 34,900,000 | 34,421,920 | ||||||||
General Motors Financial Co., Inc. | 5.891% | 7/12/2023 | 22,208,000 | 22,065,098 | ||||||||
General Motors Financial Co., Inc. | 5.893% | 7/10/2023 | 14,750,000 | 14,659,718 | ||||||||
General Motors Financial Co., Inc. | 5.895% | 7/12/2023 | 20,496,000 | 20,364,114 | ||||||||
Total | 91,510,850 | |||||||||||
Beverages 0.44% | ||||||||||||
Bacardi-Martini BV | Zero Coupon | 41,296,000 | 41,163,535 | |||||||||
Chemicals 0.99% | ||||||||||||
FMC Corp. | 6.062% | 6/23/2023 | 42,206,000 | 42,052,534 | ||||||||
FMC Corp. | 6.065% | 6/26/2023 | 41,883,000 | 41,709,942 | ||||||||
International Flavors & Fragrances, Inc. | 5.937% | 6/5/2023 | 9,300,000 | 9,293,955 | ||||||||
Total | 93,056,431 | |||||||||||
Commercial Services 0.51% | ||||||||||||
Global Payments, Inc. | 5.912% | 6/1/2023 | 13,233,000 | 13,233,000 | ||||||||
Global Payments, Inc. | 5.996% | 6/1/2023 | 11,435,000 | 11,435,000 | ||||||||
Quanta Services, Inc. | 5.939% | 6/2/2023 | 16,528,000 | 16,525,314 | ||||||||
Quanta Services, Inc. | 5.941% | 6/2/2023 | 7,180,000 | 7,178,834 | ||||||||
Total | 48,372,148 | |||||||||||
Cosmetics/Personal Care 0.26% | ||||||||||||
Haleon U.K. Capital PLC | 5.506% | 6/1/2023 | 24,694,000 | 24,694,000 | ||||||||
Diversified Financial Services 0.27% | ||||||||||||
Aviation Capital Group LLC | 5.918% | 6/2/2023 | 25,950,000 | 25,945,819 | ||||||||
Electric 0.37% | ||||||||||||
RWE AG | 6.02% | 7/24/2023 | 34,914,000 | 34,613,303 | ||||||||
Equity Real Estate 0.49% | ||||||||||||
Crown Castle, Inc. | 6.009% | 6/8/2023 | 46,006,000 | 45,953,221 |
322 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Finance 1.89% | ||||||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.134% | 7/27/2023 | $ | 104,280,000 | $ | 103,314,830 | ||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.485% | 10/5/2023 | 76,435,000 | 74,881,841 | ||||||||
Total | 178,196,671 | |||||||||||
Gas 0.48% | ||||||||||||
National Fuel Gas Co. | 5.996% | 6/8/2023 | 6,827,000 | 6,819,168 | ||||||||
WGL Holdings, Inc. | 5.946% | 6/2/2023 | 8,800,000 | 8,798,570 | ||||||||
WGL Holdings, Inc. | 6.00% | 6/12/2023 | 10,000,000 | 9,981,972 | ||||||||
WGL Holdings, Inc. | 6.001% | 6/13/2023 | 20,000,000 | 19,960,667 | ||||||||
Total | 45,560,377 | |||||||||||
Health Care-Services 1.55% | ||||||||||||
CommonSpirit Health | 5.934% | 6/14/2023 | 68,800,000 | 68,655,903 | ||||||||
CommonSpirit Health | 5.935% | 6/22/2023 | 49,173,000 | 49,006,631 | ||||||||
CommonSpirit Health | 5.935% | 6/29/2023 | 28,908,000 | 28,777,593 | ||||||||
Total | 146,440,127 | |||||||||||
Oil & Gas 1.07% | ||||||||||||
Canadian Natural Resources Ltd. | 5.971% | 6/21/2023 | 32,864,000 | 32,756,827 | ||||||||
Ovintiv, Inc. | 6.093% | 6/16/2023 | 31,161,000 | 31,083,746 | ||||||||
Ovintiv, Inc. | 6.167% | 6/9/2023 | 8,800,000 | 8,788,169 | ||||||||
Ovintiv, Inc. | 6.189% | 6/20/2023 | 28,221,000 | 28,130,889 | ||||||||
Total | 100,759,631 | |||||||||||
Pharmaceuticals 1.37% | ||||||||||||
Bayer Corp. | 6.048% | 7/21/2023 | 127,068,000 | 126,035,573 | ||||||||
Bayer Corp. | 6.059% | 9/14/2023 | 3,901,000 | 3,836,240 | ||||||||
Total | 129,871,813 | |||||||||||
Pipelines 1.74% | ||||||||||||
Energy Transfer LP | 5.831% | 6/1/2023 | 114,932,000 | 114,932,000 | ||||||||
Targa Resources Corp. | 6.061% | 6/23/2023 | 32,335,000 | 32,217,426 | ||||||||
Targa Resources Corp. | 6.117% | 6/7/2023 | 17,659,000 | 17,641,341 | ||||||||
Total | 164,790,767 | |||||||||||
Retail 1.75% | ||||||||||||
AutoNation, Inc. | 5.90% | 6/14/2023 | 50,000,000 | 49,895,278 | ||||||||
AutoNation, Inc. | 5.949% | 6/5/2023 | 39,300,000 | 39,274,455 | ||||||||
Walgreens Boots Alliance, Inc. | 6.119% | 7/6/2023 | 76,175,000 | 75,730,646 | ||||||||
Total | 164,900,379 |
See Notes to Financial Statements. | 323 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Telecommunications 1.33% | ||||||||||||
AT&T, Inc. | 5.837% | 12/19/2023 | $ | 83,444,000 | $ | 80,716,656 | ||||||
Rogers Communications, Inc. | 6.125% | 6/27/2023 | 44,750,000 | 44,557,700 | ||||||||
Total | 125,274,356 | |||||||||||
Total Commercial Paper (cost $1,624,672,654) | 1,624,568,486 | |||||||||||
U.S. TREASURY OBLIGATIONS 2.87% | ||||||||||||
U.S. Treasury Bills | Zero Coupon | 10/19/2023 | 180,000,000 | 176,347,750 | ||||||||
U.S. Treasury Bills | Zero Coupon | 11/24/2023 | 97,192,000 | 94,721,084 | ||||||||
Total U.S. Treasury Obligations (cost $271,184,042) | 271,068,834 | |||||||||||
REPURCHASE AGREEMENTS 0.30% | ||||||||||||
Repurchase Agreement dated 5/31/2023, 2.600% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $31,931,200 of U.S. Treasury Note at 0.500% due 2/28/2026; value: $28,960,101; proceeds: $28,394,264 (cost $28,392,213) | 28,392,213 | 28,392,213 | ||||||||||
Total Short-Term Investments (cost $1,924,248,909) | 1,924,029,533 | |||||||||||
Total Investments in Securities 101.25% (cost $9,665,403,745) | 9,559,380,642 | |||||||||||
Other Assets and Liabilities – Net(e) (1.25)% | (118,311,726 | ) | ||||||||||
Net Assets 100.00% | $ | 9,441,068,916 |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
SOFR | Secured Overnight 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 May 31, 2023, the total value of Rule 144A securities was $3,694,927,887, which represents 39.14% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2023. | |
(a) | Level 3 Investment as described in Note 2(u) 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) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2023. | |
(d) | Interest Rate to be determined. | |
(e) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts as follows: |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||
U.S. 2-Year Treasury Note | September 2023 | 4,114 | Long | $846,535,879 | $846,776,911 | $241,032 |
324 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
ULTRA SHORT BOND FUND May 31, 2023
The following is a summary of the inputs used as of May 31, 2023 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 | $ | – | $ | 1,136,694,088 | $ | 39,842,392 | $ | 1,176,536,480 | ||||||||
Remaining Industries | – | 1,213,568,993 | – | 1,213,568,993 | ||||||||||||
Corporate Bonds | – | 4,244,497,139 | – | 4,244,497,139 | ||||||||||||
Floating Rate Loans | – | 424,998,766 | – | 424,998,766 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 398,423,868 | – | 398,423,868 | ||||||||||||
U.S. Treasury Obligations | – | 177,325,863 | – | 177,325,863 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 1,624,568,486 | – | 1,624,568,486 | ||||||||||||
U.S. Treasury Obligations | – | 271,068,834 | – | 271,068,834 | ||||||||||||
Repurchase Agreements | – | 28,392,213 | – | 28,392,213 | ||||||||||||
Total | $ | – | $ | 9,519,538,250 | $ | 39,842,392 | $ | 9,559,380,642 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 241,032 | $ | – | $ | – | $ | 241,032 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 241,032 | $ | – | $ | – | $ | 241,032 |
(1) | Refer to Note 2(u) 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. When applicable, 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 period 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 period.
See Notes to Financial Statements. | 325 |
Statements of Assets and Liabilities (unaudited)
May 31, 2023
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 699,948,830 | $ | 3,276,226,177 | $ | 1,521,690,547 | ||||||
Investments in securities, at fair value including $0, $0, $0, $0, $55,104,940, $0, $0 and $0, respectively, of securities loaned | $ | 694,191,402 | $ | 3,212,590,926 | $ | 1,500,008,614 | ||||||
Cash | 103,077 | 500,553 | 500 | |||||||||
Cash at brokers for forwards, swap contracts and TBA collateral | – | – | – | |||||||||
Deposits with brokers for futures collateral | – | 11,547,869 | 5,482,772 | |||||||||
Deposits with brokers for forwards, swap contracts and TBA collateral | – | 4,279,000 | 5,501,425 | |||||||||
Foreign cash, at value (cost $0, $63,630, $23,763, $0, $453,911, $731,890, $48,149 and $3, respectively) | – | 66,181 | 24,658 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 3,291,396 | 738,239,570 | 360,010,355 | |||||||||
Interest and dividends | 3,047,694 | 15,135,840 | 9,968,709 | |||||||||
Capital shares sold | 304,191 | 6,438,729 | 4,700,231 | |||||||||
From advisor (See Note 3) | – | 50,977 | – | |||||||||
Variation Margin for futures contracts | – | 1,771,895 | 771,916 | |||||||||
Variation margin receivable for centrally cleared swap contracts agreements | – | – | – | |||||||||
Securities lending income receivable | – | – | – | |||||||||
Total return swap contracts, at fair value including upfront payment of $0, $0, $0, $0, $(2,456), $0, $0 and $0, respectively) | – | – | – | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 499,299 | – | 5,271 | |||||||||
Unrealized appreciation on OTC CPI swap contracts | – | – | – | |||||||||
Prepaid expenses and other assets | 107,422 | 278,927 | 239,064 | |||||||||
Total assets | 701,544,481 | 3,990,900,467 | 1,886,713,515 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 4,463,896 | 1,270,019,991 | 621,548,987 | |||||||||
Capital shares reacquired | 1,051,939 | 3,589,433 | 4,416,400 | |||||||||
Management fee | 422,701 | 492,082 | 291,995 | |||||||||
Trustees’ fees | 115,156 | 178,757 | 14,185 | |||||||||
12b-1 distribution plan | 33,325 | 137,580 | 36,703 | |||||||||
Fund administration | 24,154 | 89,923 | 41,714 | |||||||||
To brokers for forwards, swap contracts and TBA collateral | – | – | – | |||||||||
Variation margin for futures contracts | – | – | – | |||||||||
Variation margin payable for centrally cleared swap contract agreements | – | – | 97,784 | |||||||||
To broker | – | – | – | |||||||||
To bank | – | – | – | |||||||||
Payable for collateral due to broker for securities lending | – | – | – | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 44,181 | 358,910 | 183,341 |
326 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 7,330,956 | $ | 5,271,590,747 | $ | 4,458,022,441 | $ | 3,082,725,956 | $ | 1,689,033,157 | |||||||||
$ | 6,818,090 | $ | 5,119,417,889 | $ | 4,165,144,224 | $ | 2,926,783,994 | $ | 1,609,027,620 | |||||||||
23,258 | – | – | 17 | 2,629,317 | ||||||||||||||
– | 1,300,000 | – | – | 25,905,000 | ||||||||||||||
22,530 | – | 5,630,903 | 15,384,810 | 12,424,185 | ||||||||||||||
5,265 | 6,828,133 | 10,461,344 | 1,813,302 | 46,856,694 | ||||||||||||||
– | 452,798 | 733,474 | 48,272 | – | ||||||||||||||
– | 215,071,865 | 32,201,029 | – | 10,017,697 | ||||||||||||||
76,310 | 51,370,562 | 72,938,580 | 31,765,179 | 12,775,795 | ||||||||||||||
42,177 | 7,604,972 | 8,296,009 | 12,992,588 | 1,168,302 | ||||||||||||||
18,345 | – | – | – | – | ||||||||||||||
881 | – | – | 1,921,479 | 2,386,449 | ||||||||||||||
– | – | 662,924 | – | – | ||||||||||||||
– | 129,415 | – | – | – | ||||||||||||||
– | 4,429,479 | – | – | – | ||||||||||||||
– | 439,579 | 755,209 | 100,944 | – | ||||||||||||||
– | – | – | – | 50,317,398 | ||||||||||||||
84,748 | 187,894 | 179,512 | 154,168 | 116,607 | ||||||||||||||
7,091,604 | 5,407,232,586 | 4,297,003,208 | 2,990,964,753 | 1,773,625,064 | ||||||||||||||
66,008 | 287,064,562 | 20,272,220 | 29,335,143 | 3,221,926 | ||||||||||||||
3,119 | 20,981,287 | 12,793,586 | 6,275,701 | 8,031,315 | ||||||||||||||
2,337 | 2,007,062 | 1,956,785 | 933,559 | 458,323 | ||||||||||||||
1,130 | 937,918 | 718,012 | 427,335 | 120,817 | ||||||||||||||
853 | 1,318,446 | 410,178 | 315,256 | 252,297 | ||||||||||||||
234 | 174,631 | 146,351 | 98,269 | 61,110 | ||||||||||||||
– | 1,300,000 | – | – | 25,905,000 | ||||||||||||||
– | – | 945,017 | – | – | ||||||||||||||
– | 765,807 | – | 123,170 | 3,668,133 | ||||||||||||||
– | – | 911,403 | – | – | ||||||||||||||
– | 148,811 | 2,174 | – | – | ||||||||||||||
– | 56,904,050 | – | – | – | ||||||||||||||
– | 836,789 | 2,992,687 | – | – |
See Notes to Financial Statements. | 327 |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2023
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
LIABILITIES: | ||||||||||||
Unrealized depreciation on OTC CPI swap contracts | $ | – | $ | – | $ | – | ||||||
Unrealized depreciation on unfunded commitments | – | – | – | |||||||||
Distributions payable | – | 37,414 | 16,042 | |||||||||
Accrued expenses and other liabilities | 281,961 | 268,425 | 44,448 | |||||||||
Total liabilities | 6,437,313 | 1,275,172,515 | 626,691,599 | |||||||||
NET ASSETS | $ | 695,107,168 | $ | 2,715,727,952 | $ | 1,260,021,916 | ||||||
COMPOSITION OF NET ASSETS: | ||||||||||||
Paid-in capital | $ | 942,078,619 | $ | 3,042,376,719 | $ | 1,346,895,438 | ||||||
Total distributable earnings (loss) | (246,971,451 | ) | (326,648,767 | ) | (86,873,522 | ) | ||||||
Net Assets | $ | 695,107,168 | $ | 2,715,727,952 | $ | 1,260,021,916 | ||||||
Net Assets by class: | ||||||||||||
Class A Shares | $ | 175,698,603 | $ | 580,849,080 | $ | 125,406,871 | ||||||
Class C Shares | $ | 35,309,196 | $ | 23,877,670 | $ | 11,228,739 | ||||||
Class F Shares | $ | 46,794,107 | $ | 76,487,920 | $ | 47,960,719 | ||||||
Class F3 Shares | $ | 16,640,341 | $ | 456,650,537 | $ | 94,897,365 | ||||||
Class I Shares | $ | 389,777,269 | $ | 1,520,279,483 | $ | 976,059,434 | ||||||
Class P Shares | $ | 34,957 | $ | – | $ | – | ||||||
Class R2 Shares | $ | 75,726 | $ | 363,072 | $ | – | ||||||
Class R3 Shares | $ | 18,417,939 | $ | 5,939,663 | $ | 227,760 | ||||||
Class R4 Shares | $ | 477,531 | $ | 8,916,444 | $ | 284,537 | ||||||
Class R5 Shares | $ | 1,602,716 | $ | 1,816,496 | $ | 10,178 | ||||||
Class R6 Shares | $ | 10,278,783 | $ | 40,547,587 | $ | 3,946,313 | ||||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||||||
Class A Shares | 14,523,341 | 62,314,951 | 9,786,467 | |||||||||
Class C Shares | 2,953,408 | 2,573,522 | 875,902 | |||||||||
Class F Shares | 3,863,483 | 8,206,549 | 3,745,906 | |||||||||
Class F3 Shares | 1,356,953 | 48,995,011 | 7,405,835 | |||||||||
Class I Shares | 31,915,898 | 163,198,723 | 76,232,285 | |||||||||
Class P Shares | 2,816 | – | – | |||||||||
Class R2 Shares | 6,108 | 38,942 | – | |||||||||
Class R3 Shares | 1,533,751 | 637,214 | 17,778 | |||||||||
Class R4 Shares | 39,474 | 956,828 | 22,202 | |||||||||
Class R5 Shares | 131,270 | 194,844 | 794 | |||||||||
Class R6 Shares | 837,868 | 4,352,892 | 307,895 | |||||||||
Net Asset Value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||||||
Class A Shares-Net asset value | $12.10 | $9.32 | $12.81 | |||||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $12.38 | $9.53 | $13.10 | |||||||||
Class C Shares-Net asset value | $11.96 | $9.28 | $12.82 | |||||||||
Class F Shares-Net asset value | $12.11 | $9.32 | $12.80 | |||||||||
Class F3 Shares-Net asset value | $12.26 | $9.32 | $12.81 | |||||||||
Class I Shares-Net asset value | $12.21 | $9.32 | $12.80 | |||||||||
Class P Shares-Net asset value | $12.41 | $ – | $ – | |||||||||
Class R2 Shares-Net asset value | $12.40 | $9.32 | $ – | |||||||||
Class R3 Shares-Net asset value | $12.01 | $9.32 | $12.81 | |||||||||
Class R4 Shares-Net asset value* | $12.10 | $9.32 | $12.82 | |||||||||
Class R5 Shares-Net asset value | $12.21 | $9.32 | $12.82 | |||||||||
Class R6 Shares-Net asset value | $12.27 | $9.32 | $12.82 |
* Net asset value may not recalculate due to rounding of fractional shares.
328 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | – | $ | – | $ | – | $ | – | $ | 15,476,755 | |||||||||
– | 184,023 | – | – | – | ||||||||||||||
11,013 | 4,828,919 | 1,644,536 | 579,669 | 169,494 | ||||||||||||||
38,895 | 4,766,207 | 1,321,263 | 467,110 | 878,313 | ||||||||||||||
123,589 | 382,218,512 | 44,114,212 | 38,555,212 | 58,243,483 | ||||||||||||||
$ | 6,968,015 | $ | 5,025,014,074 | $ | 4,252,888,996 | $ | 2,952,409,541 | $ | 1,715,381,581 | |||||||||
$ | 8,498,754 | $ | 7,056,687,970 | $ | 5,291,066,241 | $ | 3,502,925,874 | $ | 2,191,736,601 | |||||||||
(1,530,739 | ) | (2,031,673,896 | ) | (1,038,177,245 | ) | (550,516,333 | ) | (476,355,020 | ) | |||||||||
$ | 6,968,015 | $ | 5,025,014,074 | $ | 4,252,888,996 | $ | 2,952,409,541 | $ | 1,715,381,581 | |||||||||
$ | 2,243,692 | $ | 1,565,624,297 | $ | 754,505,468 | $ | 982,928,168 | $ | 322,251,414 | |||||||||
$ | 338,927 | $ | 363,555,856 | $ | 146,195,249 | $ | 42,599,949 | $ | 68,488,847 | |||||||||
$ | 1,209,986 | $ | 331,299,122 | $ | 231,527,413 | $ | 64,595,057 | $ | 103,120,586 | |||||||||
$ | 1,368,970 | $ | 114,217,092 | $ | 582,686,062 | $ | 1,010,362,839 | $ | 185,459,625 | |||||||||
$ | 240,178 | $ | 2,531,678,536 | $ | 1,660,600,415 | $ | 747,235,639 | $ | 1,021,462,706 | |||||||||
$ | – | $ | – | $ | – | $ | – | $ | – | |||||||||
$ | 22,999 | $ | 822,831 | $ | 4,669,984 | $ | 1,155,199 | $ | 273,126 | |||||||||
$ | 93,513 | $ | 77,486,106 | $ | 83,188,459 | $ | 50,287,699 | $ | 567,699 | |||||||||
$ | 23,244 | $ | 1,742,618 | $ | 67,480,157 | $ | 6,142,187 | $ | 2,322,524 | |||||||||
$ | 23,425 | $ | 2,585,144 | $ | 185,841,511 | $ | 1,963,750 | $ | 1,898,945 | |||||||||
$ | 1,403,081 | $ | 36,002,472 | $ | 536,194,278 | $ | 45,139,054 | $ | 9,536,109 | |||||||||
271,544 | 198,580,455 | 123,857,544 | 408,267,837 | 27,951,930 | ||||||||||||||
41,007 | 46,074,165 | 24,128,199 | 17,621,288 | 5,933,335 | ||||||||||||||
146,109 | 42,047,560 | 38,053,469 | 26,851,319 | 8,931,792 | ||||||||||||||
165,638 | 14,465,480 | 95,203,560 | 419,711,204 | 16,071,198 | ||||||||||||||
29,078 | 320,847,310 | 271,331,375 | 310,146,319 | 88,636,641 | ||||||||||||||
– | – | – | – | – | ||||||||||||||
2,783 | 104,268 | 762,180 | 476,408 | 23,806 | ||||||||||||||
11,319 | 9,822,210 | 13,578,441 | 20,820,745 | 49,274 | ||||||||||||||
2,812 | 221,024 | 11,079,373 | 2,548,895 | 201,572 | ||||||||||||||
2,834 | 327,359 | 30,388,231 | 815,422 | 164,955 | ||||||||||||||
169,765 | 4,561,439 | 87,594,332 | 18,747,524 | 827,800 | ||||||||||||||
$8.26 | $7.88 | $6.09 | $2.41 | $11.53 | ||||||||||||||
$8.45 | $8.06 | $6.23 | $2.47 | $11.80 | ||||||||||||||
$8.27 | $7.89 | $6.06 | $2.42 | $11.54 | ||||||||||||||
$8.28 | $7.88 | $6.08 | $2.41 | $11.55 | ||||||||||||||
$8.26 | $7.90 | $6.12 | $2.41 | $11.54 | ||||||||||||||
$8.26 | $7.89 | $6.12 | $2.41 | $11.52 | ||||||||||||||
$ – | $ – | $ – | $ – | $ – | ||||||||||||||
$8.26 | $7.89 | $6.13 | $2.42 | $11.47 | ||||||||||||||
$8.26 | $7.89 | $6.13 | $2.42 | $11.52 | ||||||||||||||
$8.26 | $7.88 | $6.09 | $2.41 | $11.52 | ||||||||||||||
$8.27 | $7.90 | $6.12 | $2.41 | $11.51 | ||||||||||||||
$8.26 | $7.89 | $6.12 | $2.41 | $11.52 |
See Notes to Financial Statements. | 329 |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2023
Short Duration Core Bond Fund | Short Duration Income Fund | ||||||||
ASSETS: | |||||||||
Investments in securities, at cost | $ | 373,163,939 | $ | 48,786,325,722 | |||||
Investments in securities, at fair value | $ | 367,867,276 | $ | 46,857,726,035 | |||||
Cash | – | 8,483,675 | |||||||
Deposits with brokers for futures collateral | 1,063,589 | 159,012,883 | |||||||
Deposits with brokers for forwards, swap contracts and TBA collateral | 69,103 | 63,223,270 | |||||||
Foreign cash, at value (cost $0, $56,705, $163,643 and $329, respectively) | – | 56,857 | |||||||
Receivables: | |||||||||
Interest and dividends | 2,746,422 | 356,055,117 | |||||||
Capital shares sold | 1,021,832 | 54,443,336 | |||||||
Investment securities sold | 345,250 | 168,085,642 | |||||||
Variation Margin for futures contracts | 188,949 | 23,222,558 | |||||||
From advisor (See Note 3) | 40,290 | – | |||||||
Unrealized appreciation on forward foreign currency exchange contracts | – | 229,799 | |||||||
Prepaid expenses and other assets | 146,928 | 300,068 | |||||||
Total assets | 373,489,639 | 47,690,839,240 | |||||||
LIABILITIES: | |||||||||
Payables: | |||||||||
Investment securities purchased | 4,298,743 | 490,873,124 | |||||||
Capital shares reacquired | 1,233,639 | 172,919,588 | |||||||
Management fee | 92,710 | 10,214,942 | |||||||
To bank | 42,402 | – | |||||||
12b-1 distribution plan | 21,060 | 6,704,392 | |||||||
Fund administration | 12,361 | 1,614,007 | |||||||
Trustees’ fees | 5,813 | 5,238,462 | |||||||
Variation margin payable for centrally cleared swap contract agreements | 3,943 | 517,805 | |||||||
Credit default swap contract agreements payable, at fair value (including upfront payments of $0, $1,676,524, $0 and $0, respectively) | – | 11,253,623 | |||||||
Unrealized depreciation on forward foreign currency exchange contracts | – | – | |||||||
Distributions payable | 27,666 | 23,013,348 | |||||||
Accrued expenses and other liabilities | 55,209 | 6,551,944 | |||||||
Total liabilities | 5,793,546 | 728,901,235 | |||||||
NET ASSETS | $ | 367,696,093 | $ | 46,961,938,005 | |||||
COMPOSITION OF NET ASSETS: | |||||||||
Paid-in capital | $ | 387,311,030 | $ | 55,834,602,548 | |||||
Total distributable earnings (loss) | (19,614,937 | ) | (8,872,664,543 | ) | |||||
Net Assets | $ | 367,696,093 | $ | 46,961,938,005 |
330 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 3,696,497,882 | $ | 9,665,403,745 | |||
$ | 3,559,287,052 | $ | 9,559,380,642 | |||
864 | 1,619 | |||||
15,239,836 | 5,965,300 | |||||
15,563,122 | – | |||||
167,740 | 319 | |||||
21,512,196 | 52,157,642 | |||||
9,571,320 | 33,720,212 | |||||
723,434,247 | 57,281,719 | |||||
2,166,228 | 1,317,781 | |||||
33,433 | – | |||||
153,575 | – | |||||
114,456 | 130,814 | |||||
4,347,244,069 | 9,709,956,048 | |||||
1,212,046,727 | 223,450,785 | |||||
5,454,949 | 37,672,206 | |||||
741,973 | 1,371,304 | |||||
– | – | |||||
216,511 | 494,885 | |||||
105,996 | 322,660 | |||||
401,813 | 1,206,622 | |||||
5,579,184 | – | |||||
– | – | |||||
505,531 | – | |||||
896,758 | 2,438,692 | |||||
781,437 | 1,929,978 | |||||
1,226,730,879 | 268,887,132 | |||||
$ | 3,120,513,190 | $ | 9,441,068,916 | |||
$ | 3,772,424,610 | $ | 9,741,447,503 | |||
(651,911,420 | ) | (300,378,587 | ) | |||
$ | 3,120,513,190 | $ | 9,441,068,916 |
See Notes to Financial Statements. | 331 |
Statements of Assets and Liabilities (unaudited)(concluded)
May 31, 2023
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 77,456,694 | $ | 8,461,815,814 | ||||
Class A1 Shares | $ | – | $ | – | ||||
Class C Shares | $ | 5,098,412 | $ | 1,860,232,680 | ||||
Class F Shares | $ | 28,383,505 | $ | 2,479,487,117 | ||||
Class F3 Shares | $ | 37,212,587 | $ | 4,937,676,182 | ||||
Class I Shares | $ | 218,269,083 | $ | 27,583,298,760 | ||||
Class P Shares | $ | – | $ | – | ||||
Class R2 Shares | $ | – | $ | 6,683,619 | ||||
Class R3 Shares | $ | 590,424 | $ | 341,400,496 | ||||
Class R4 Shares | $ | 20,215 | $ | 147,738,992 | ||||
Class R5 Shares | $ | 11,307 | $ | 60,495,218 | ||||
Class R6 Shares | $ | 653,866 | $ | 1,083,109,127 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||
Class A Shares | 8,489,195 | 2,206,014,333 | ||||||
Class A1 Shares | – | – | ||||||
Class C Shares | 559,062 | 482,017,165 | ||||||
Class F Shares | 3,112,981 | 646,323,121 | ||||||
Class F3 Shares | 4,081,848 | 1,285,708,084 | ||||||
Class I Shares | 23,936,898 | 7,197,259,925 | ||||||
Class P Shares | – | – | ||||||
Class R2 Shares | – | 1,741,699 | ||||||
Class R3 Shares | 64,759 | 88,912,666 | ||||||
Class R4 Shares | 2,216 | 38,442,315 | ||||||
Class R5 Shares | 1,240 | 15,800,144 | ||||||
Class R6 Shares | 71,702 | 282,530,662 | ||||||
Net Asset Value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $9.12 | $3.84 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $9.33 | $3.93 | ||||||
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 | $9.12 | $3.86 | ||||||
Class F Shares-Net asset value | $9.12 | $3.84 | ||||||
Class F3 Shares-Net asset value | $9.12 | $3.84 | ||||||
Class I Shares-Net asset value | $9.12 | $3.83 | ||||||
Class P Shares-Net asset value | $ – | $ – | ||||||
Class R2 Shares-Net asset value | $ – | $3.84 | ||||||
Class R3 Shares-Net asset value | $9.12 | $3.84 | ||||||
Class R4 Shares-Net asset value | $9.12 | $3.84 | ||||||
Class R5 Shares-Net asset value | $9.12 | $3.83 | ||||||
Class R6 Shares-Net asset value | $9.12 | $3.83 |
332 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 970,370,387 | $ | 4,090,148,092 | |||
$ | – | $ | 3,311,344 | |||
$ | 30,742,365 | $ | – | |||
$ | 88,683,264 | $ | 470,185,113 | |||
$ | 758,125,300 | $ | 714,391,864 | |||
$ | 1,000,644,733 | $ | 4,100,734,620 | |||
$ | 511,439 | $ | – | |||
$ | 1,235,657 | $ | – | |||
$ | 27,888,397 | $ | – | |||
$ | 30,394,448 | $ | – | |||
$ | 19,945,421 | $ | 176,355 | |||
$ | 191,971,779 | $ | 62,121,528 | |||
110,851,680 | 414,352,528 | |||||
– | 335,352 | |||||
3,514,626 | – | |||||
10,132,827 | 47,629,465 | |||||
86,565,945 | 72,376,248 | |||||
114,084,248 | 415,442,536 | |||||
58,140 | – | |||||
141,199 | – | |||||
3,186,549 | – | |||||
3,472,258 | – | |||||
2,278,028 | 17,863 | |||||
21,910,038 | 6,291,341 | |||||
$8.75 | $ 9.87 | |||||
$8.95 | $ – | |||||
$ – | $ 9.87 | |||||
$ – | $10.02 | |||||
$8.75 | $ – | |||||
$8.75 | $ 9.87 | |||||
$8.76 | $ 9.87 | |||||
$8.77 | $ 9.87 | |||||
$8.80 | $ – | |||||
$8.75 | $ – | |||||
$8.75 | $ – | |||||
$8.75 | $ – | |||||
$8.76 | $ 9.87 | |||||
$8.76 | $ 9.87 |
See Notes to Financial Statements. | 333 |
Statements of Operations (unaudited)
For the Six Months Ended May 31, 2023
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Investment income: | ||||||||||||
Dividends | $ | 1,716,890 | $ | – | $ | – | ||||||
Securities lending net income | 897 | – | – | |||||||||
Interest and other (net of foreign withholding taxes of $0, $7,140, $1,169, $16, $0, $11,877, $6,896 and $0, respectively) | 10,730,682 | 54,034,192 | 25,695,742 | |||||||||
Total investment income | 12,448,469 | 54,034,192 | 25,695,742 | |||||||||
Expenses: | ||||||||||||
Management fee | 2,726,431 | 2,630,676 | 1,425,635 | |||||||||
12b-1 distribution plan–Class A | 190,471 | 507,050 | 113,259 | |||||||||
12b-1 distribution plan–Class C | 160,303 | 87,603 | 38,357 | |||||||||
12b-1 distribution plan–Class F | 42,265 | 41,910 | 47,488 | |||||||||
12b-1 distribution plan–Class P | 79 | – | – | |||||||||
12b-1 distribution plan–Class R2 | 226 | 1,110 | – | |||||||||
12b-1 distribution plan–Class R3 | 48,644 | 14,742 | 483 | |||||||||
12b-1 distribution plan–Class R4 | 650 | 10,549 | 366 | |||||||||
Shareholder servicing | 397,395 | 608,495 | 264,293 | |||||||||
Fund administration | 155,796 | 476,272 | 203,662 | |||||||||
Registration | 106,931 | 125,831 | 128,370 | |||||||||
Reports to shareholders | 37,460 | 54,972 | 12,844 | |||||||||
Professional | 33,949 | 36,665 | 31,230 | |||||||||
Trustees’ fees | 10,524 | 27,417 | 10,362 | |||||||||
Custody | 9,734 | 23,162 | 13,272 | |||||||||
Interest paid from Interfund Lending (See Note 11) | – | – | – | |||||||||
Other | 54,436 | 81,338 | 38,966 | |||||||||
Gross expenses | 3,975,294 | 4,727,792 | 2,328,587 | |||||||||
Expense reductions (See Note 9) | (9,454 | ) | (16,673 | ) | (11,946 | ) | ||||||
Fees waived and expenses reimbursed (See Note 3) | (9,734 | ) | (23,162 | ) | (13,272 | ) | ||||||
Shareholder servicing reimbursed–Class I (See Note 3) | – | (262,554 | ) | – | ||||||||
Net expenses | 3,956,106 | 4,425,403 | 2,303,369 | |||||||||
Net investment income | 8,492,363 | 49,608,789 | 23,392,373 | |||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on investments | (33,889,988 | ) | (11,556,675 | ) | (6,739,248 | ) | ||||||
Net realized gain (loss) on futures contracts | – | (5,970,900 | ) | (4,762,994 | ) | |||||||
Net realized gain (loss) on forward foreign currency exchange contracts | (1,194,015 | ) | (765,917 | ) | (235,559 | ) | ||||||
Net realized gain (loss) on swap contracts | – | 789,421 | 931,196 | |||||||||
Net realized gain (loss) on foreign currency related transactions | 246,525 | 407,431 | 185,484 | |||||||||
Net change in unrealized appreciation/depreciation on investments | 4,966,468 | 12,389,607 | 30,940 | |||||||||
Net change in unrealized appreciation/depreciation on futures contracts | – | 1,154,978 | 1,331,203 | |||||||||
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | 1,539,948 | (24,390 | ) | (70,961 | ) |
334 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | – | $ | 4,181,264 | $ | 278,975 | $ | – | $ | – | |||||||||
– | 594,610 | 11,253 | – | – | ||||||||||||||
149,725 | 248,680,352 | 153,121,540 | 69,441,266 | 39,612,266 | ||||||||||||||
149,725 | 253,456,226 | 153,411,768 | 69,441,266 | 39,612,266 | ||||||||||||||
13,850 | 13,149,769 | 11,924,026 | 5,164,588 | 3,169,277 | ||||||||||||||
1,960 | 1,726,797 | 775,677 | 971,058 | 388,839 | ||||||||||||||
2,825 | 1,698,966 | 646,017 | 182,489 | 367,148 | ||||||||||||||
576 | 281,349 | 164,873 | 42,938 | 89,747 | ||||||||||||||
– | – | – | – | – | ||||||||||||||
70 | 3,203 | 14,161 | 3,423 | 573 | ||||||||||||||
229 | 192,582 | 211,272 | 120,700 | 1,370 | ||||||||||||||
29 | 2,125 | 91,052 | 7,605 | 2,576 | ||||||||||||||
1,936 | 2,448,080 | 2,077,350 | 809,759 | 935,996 | ||||||||||||||
1,385 | 1,146,707 | 894,087 | 543,641 | 424,905 | ||||||||||||||
76,990 | 254,738 | 146,316 | 144,139 | 132,591 | ||||||||||||||
1,208 | 176,883 | 159,771 | 112,606 | 104,656 | ||||||||||||||
30,274 | 69,196 | 58,709 | 49,530 | 54,091 | ||||||||||||||
240 | 76,293 | 56,143 | 32,074 | 29,622 | ||||||||||||||
2,976 | 58,516 | 60,468 | 19,887 | 32,392 | ||||||||||||||
– | – | 10,548 | – | – | ||||||||||||||
5,106 | 295,787 | 164,793 | 67,060 | 677,921 | ||||||||||||||
139,654 | 21,580,991 | 17,455,263 | 8,271,497 | 6,411,704 | ||||||||||||||
(58 | ) | (77,815 | ) | (42,531 | ) | (22,654 | ) | (24,724 | ) | |||||||||
(118,126 | ) | (58,516 | ) | (60,468 | ) | (19,887 | ) | (32,392 | ) | |||||||||
– | – | – | – | – | ||||||||||||||
21,470 | 21,444,660 | 17,352,264 | 8,228,956 | 6,354,588 | ||||||||||||||
128,255 | 232,011,566 | 136,059,504 | 61,212,310 | 33,257,678 | ||||||||||||||
(260,788 | ) | (110,744,920 | ) | (201,017,580 | ) | (48,965,392 | ) | (34,150,374 | ) | |||||||||
(24,321 | ) | 10,952,698 | (4,345,225 | ) | (12,885,329 | ) | (3,500,576 | ) | ||||||||||
– | (1,749,861 | ) | (7,454,425 | ) | (275,180 | ) | – | |||||||||||
1,667 | 8,573,259 | 3,413,275 | 133,644 | 35,274,157 | ||||||||||||||
– | 1,091,138 | 2,082,280 | 43,054 | – | ||||||||||||||
282,685 | 88,892,476 | 135,668,223 | 64,230,057 | 57,218,285 | ||||||||||||||
7,244 | – | (529,629 | ) | 3,844,371 | (1,989,923 | ) | ||||||||||||
– | 547,930 | 3,089,328 | 356,299 | – |
See Notes to Financial Statements. | 335 |
Statements of Operations (unaudited)(continued)
For the Six Months Ended May 31, 2023
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net change in unrealized appreciation/depreciation on swap contracts | $ | – | $ | – | $ | (87,461 | ) | |||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 11,773 | (21,120 | ) | (9,249 | ) | |||||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | – | – | |||||||||
Net realized and unrealized gain (loss) | (28,319,289 | ) | (3,597,565 | ) | (9,426,649 | ) | ||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (19,826,926 | ) | $ | 46,011,224 | $ | 13,965,724 |
336 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | (333 | ) | $ | 378,015 | $ | (5,106,634 | ) | $ | (337,134 | ) | $ | (60,020,506 | ) | |||||
– | (345,189 | ) | 38,720 | (110 | ) | (3 | ) | |||||||||||
– | 374,505 | – | – | – | ||||||||||||||
6,154 | (2,029,949 | ) | (74,161,667 | ) | 6,144,280 | (7,168,940 | ) | |||||||||||
$ | 134,409 | $ | 229,981,617 | $ | 61,897,837 | $ | 67,356,590 | $ | 26,088,738 |
See Notes to Financial Statements. | 337 |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended May 31, 2023
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Investment income: | ||||||||
Interest and other (net of foreign withholding taxes of $712, $70,193, $7,369 and $12,167, respectively) | $ | 7,855,508 | $ | 1,026,567,141 | ||||
Interest earned from Interfund Lending (See Note 11) | – | 342 | ||||||
IRS compliance fee for foreign withholding tax claims | – | 1,792 | ||||||
Total investment income | 7,855,508 | 1,026,569,275 | ||||||
Expenses: | ||||||||
Management fee | 499,855 | 61,743,940 | ||||||
12b-1 distribution plan–Class A | 74,531 | 8,953,119 | ||||||
12b-1 distribution plan–Class A1 | – | – | ||||||
12b-1 distribution plan–Class C | 21,440 | 8,249,691 | ||||||
12b-1 distribution plan–Class F | 15,041 | 2,060,395 | ||||||
12b-1 distribution plan–Class P | – | – | ||||||
12b-1 distribution plan–Class R2 | – | 18,586 | ||||||
12b-1 distribution plan–Class R3 | 1,457 | 876,950 | ||||||
12b-1 distribution plan–Class R4 | 17 | 183,242 | ||||||
Shareholder servicing | 134,742 | 17,796,156 | ||||||
Registration | 127,294 | 692,878 | ||||||
Fund administration | 66,647 | 9,759,359 | ||||||
Professional | 31,059 | 210,689 | ||||||
Custody | 8,711 | 273,268 | ||||||
Reports to shareholders | 6,619 | 1,109,547 | ||||||
Trustees’ fees | 3,667 | 567,641 | ||||||
Other | 17,325 | 504,880 | ||||||
Gross expenses | 1,008,405 | 113,000,341 | ||||||
Expense reductions (See Note 9) | (4,057 | ) | (579,005 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (239,945 | ) | (273,268 | ) | ||||
Shareholder servicing reimbursed–Class I (See Note 3) | – | – | ||||||
Net expenses | 764,403 | 112,148,068 | ||||||
Net investment income | 7,091,105 | 914,421,207 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on investments | (454,562 | ) | (157,735,318 | ) | ||||
Net realized gain (loss) on futures contracts | (796,335 | ) | (93,109,898 | ) | ||||
Net realized gain (loss) on forward foreign currency exchange contracts | – | (50,930,298 | ) | |||||
Net realized gain (loss) on swap contracts | 429 | 2,193,654 | ||||||
Net realized gain (loss) on foreign currency related transactions | – | (449,508 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | 1,652,452 | 475,556,782 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | (123,585 | ) | (29,872,872 | ) | ||||
Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts | – | 29,213,046 | ||||||
Net change in unrealized appreciation/depreciation on swap contracts | (3,984 | ) | (5,126,867 | ) | ||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | – | (333 | ) | |||||
Net realized and unrealized gain (loss) | 274,415 | 169,738,388 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 7,365,520 | $ | 1,084,159,595 |
338 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 70,750,639 | $ | 213,552,479 | |||
2,946 | 2,643 | |||||
– | – | |||||
70,753,585 | 213,555,122 | |||||
4,282,036 | 8,670,185 | |||||
972,409 | 3,408,449 | |||||
– | 4,544 | |||||
134,214 | – | |||||
93,951 | 412,281 | |||||
1,159 | – | |||||
3,694 | – | |||||
70,227 | – | |||||
37,931 | – | |||||
1,280,966 | 3,190,391 | |||||
119,626 | 293,517 | |||||
611,719 | 2,040,044 | |||||
41,213 | 67,721 | |||||
29,192 | 61,126 | |||||
124,684 | 159,807 | |||||
37,168 | 133,226 | |||||
112,913 | 243,370 | |||||
7,953,102 | 18,684,661 | |||||
(28,451 | ) | (126,854 | ) | |||
(29,192 | ) | (61,126 | ) | |||
(171,955 | ) | – | ||||
7,723,504 | 18,496,681 | |||||
63,030,081 | 195,058,441 | |||||
(38,644,056 | ) | (49,470,947 | ) | |||
(6,596,093 | ) | (8,427,692 | ) | |||
(1,474,866 | ) | – | ||||
(4,222,387 | ) | – | ||||
640,055 | – | |||||
41,803,003 | 136,557,293 | |||||
2,831,435 | (505,327 | ) | ||||
498,736 | – | |||||
5,503,901 | – | |||||
(31,533 | ) | (10 | ) | |||
308,195 | 78,153,317 | |||||
$ | 63,338,276 | $ | 273,211,758 |
See Notes to Financial Statements. | 339 |
Statements of Changes in Net Assets
Convertible Fund | |||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||
Operations: | |||||||||
Net investment income | $ | 8,492,363 | $ | 17,285,710 | |||||
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swap contracts and foreign currency related transactions | (34,837,478 | ) | (200,227,473 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swaps contracts and translation of assets and liabilities denominated in foreign currencies | 6,518,189 | (107,628,371 | ) | ||||||
Net increase (decrease) in net assets resulting from operations | (19,826,926 | ) | (290,570,134 | ) | |||||
Distributions to shareholders: | |||||||||
Class A | (3,704,023 | ) | (56,563,619 | ) | |||||
Class C | (624,642 | ) | (12,002,250 | ) | |||||
Class F | (2,042,884 | ) | (119,406,126 | ) | |||||
Class F3 | (363,948 | ) | (5,597,825 | ) | |||||
Class I | (8,195,537 | ) | (42,873,939 | ) | |||||
Class P | (596 | ) | (6,769 | ) | |||||
Class R2 | (1,221 | ) | (14,226 | ) | |||||
Class R3 | (341,411 | ) | (5,675,187 | ) | |||||
Class R4 | (9,651 | ) | (145,517 | ) | |||||
Class R5 | (30,647 | ) | (307,889 | ) | |||||
Class R6 | (308,172 | ) | (3,510,782 | ) | |||||
Total distributions to shareholders | (15,622,732 | ) | (246,104,129 | ) | |||||
Capital share transactions (See Note 16): | |||||||||
Net proceeds from sales of shares | 178,598,373 | 937,344,775 | |||||||
Reinvestment of distributions | 14,265,367 | 221,444,923 | |||||||
Cost of shares reacquired | (402,650,176 | ) | (1,289,981,030 | ) | |||||
Net increase (decrease) in net assets resulting from capital share transactions | (209,786,436 | ) | (131,191,332 | ) | |||||
Net increase (decrease) in net assets | (245,236,094 | ) | (667,865,595 | ) | |||||
NET ASSETS: | |||||||||
Beginning of period | $ | 940,343,262 | $ | 1,608,208,857 | |||||
End of period | $ | 695,107,168 | $ | 940,343,262 |
340 | See Notes to Financial Statements. |
Core Fixed Income Fund | Core Plus Bond Fund | |||||||||||||||||
For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||||||||||
$ | 49,608,789 | $ | 45,202,392 | $ | 23,392,373 | $ | 14,247,279 | |||||||||||
(17,096,640 | ) | (218,595,530 | ) | (10,621,121 | ) | (48,095,882 | ) | |||||||||||
13,499,075 | (91,678,089 | ) | 1,194,472 | (23,031,313 | ) | |||||||||||||
46,011,224 | (265,071,227 | ) | 13,965,724 | (56,879,916 | ) | |||||||||||||
(10,546,810 | ) | (16,573,308 | ) | (2,679,546 | ) | (2,779,601 | ) | |||||||||||
(383,926 | ) | (564,037 | ) | (185,692 | ) | (131,337 | ) | |||||||||||
(1,773,970 | ) | (5,697,594 | ) | (2,242,833 | ) | (6,146,191 | ) | |||||||||||
(8,848,912 | ) | (13,022,012 | ) | (1,800,611 | ) | (1,406,782 | ) | |||||||||||
(28,930,099 | ) | (24,435,779 | ) | (18,110,803 | ) | (6,169,249 | ) | |||||||||||
– | – | – | – | |||||||||||||||
(6,925 | ) | (12,525 | ) | – | – | |||||||||||||
(113,534 | ) | (197,394 | ) | (4,342 | ) | (4,769 | ) | |||||||||||
(173,272 | ) | (267,625 | ) | (6,817 | ) | (10,410 | ) | |||||||||||
(42,037 | ) | (52,412 | ) | (252 | ) | (396 | ) | |||||||||||
(838,903 | ) | (1,124,724 | ) | (85,219 | ) | (101,117 | ) | |||||||||||
(51,658,388 | ) | (61,947,410 | ) | (25,116,115 | ) | (16,749,852 | ) | |||||||||||
1,112,332,707 | 1,098,594,679 | 909,985,988 | 852,606,397 | |||||||||||||||
51,422,607 | 61,392,570 | 25,034,722 | 16,621,339 | |||||||||||||||
(600,807,873 | ) | (722,290,231 | ) | (336,134,111 | ) | (529,424,233 | ) | |||||||||||
562,947,441 | 437,697,018 | 598,886,599 | 339,803,503 | |||||||||||||||
557,300,277 | 110,678,381 | 587,736,208 | 266,173,735 | |||||||||||||||
$ | 2,158,427,675 | $ | 2,047,749,294 | $ | 672,285,708 | $ | 406,111,973 | |||||||||||
$ | 2,715,727,952 | $ | 2,158,427,675 | $ | 1,260,021,916 | $ | 672,285,708 |
See Notes to Financial Statements. | 341 |
Statements of Changes in Net Assets (continued)
Corporate Bond Fund | |||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||
Operations: | |||||||||
Net investment income | $ | 128,255 | $ | 193,814 | |||||
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swap contracts and foreign currency related transactions | (283,442 | ) | (544,426 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swap contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 289,596 | (965,500 | ) | ||||||
Net increase (decrease) in net assets resulting from operations | 134,409 | (1,316,112 | ) | ||||||
Distributions to shareholders: | |||||||||
Class A | (41,294 | ) | (100,211 | ) | |||||
Class C | (12,241 | ) | (21,477 | ) | |||||
Class F | (24,696 | ) | (118,345 | ) | |||||
Class F3 | (30,652 | ) | (85,109 | ) | |||||
Class I | (3,555 | ) | (6,561 | ) | |||||
Class P | – | – | |||||||
Class R2 | (440 | ) | (1,273 | ) | |||||
Class R3 | (1,778 | ) | (3,758 | ) | |||||
Class R4 | (484 | ) | (1,371 | ) | |||||
Class R5 | (517 | ) | (1,450 | ) | |||||
Class R6 | (31,389 | ) | (86,866 | ) | |||||
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 | (147,046 | ) | (426,421 | ) | |||||
Capital share transactions (See Note 16): | |||||||||
Net proceeds from sales of shares | 1,430,660 | 1,445,810 | |||||||
Reinvestment of distributions | 83,296 | 248,459 | |||||||
Cost of shares reacquired | (1,294,302 | ) | (4,821,175 | ) | |||||
Net increase (decrease) in net assets resulting from capital share transactions | 219,654 | (3,126,906 | ) | ||||||
Net increase (decrease) in net assets | 207,017 | (4,869,439 | ) | ||||||
NET ASSETS: | |||||||||
Beginning of period | $ | 6,760,998 | $ | 11,630,437 | |||||
End of period | $ | 6,968,015 | $ | 6,760,998 |
342 | See Notes to Financial Statements. |
Floating Rate Fund | High Yield Fund | |||||||||||||||||
For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||||||||||
$ | 232,011,566 | $ | 356,243,384 | $ | 136,059,504 | $ | 310,849,423 | |||||||||||
(91,877,686 | ) | (263,245,087 | ) | (207,321,675 | ) | (484,187,775 | ) | |||||||||||
89,847,737 | (251,123,347 | ) | 133,160,008 | (590,171,990 | ) | |||||||||||||
229,981,617 | (158,125,050 | ) | 61,897,837 | (763,510,342 | ) | |||||||||||||
(67,849,241 | ) | (92,169,705 | ) | (24,027,136 | ) | (51,030,954 | ) | |||||||||||
(14,591,739 | ) | (19,096,986 | ) | (4,385,704 | ) | (10,152,499 | ) | |||||||||||
(21,915,393 | ) | (86,019,818 | ) | (10,220,618 | ) | (73,034,610 | ) | |||||||||||
(5,937,985 | ) | (9,656,542 | ) | (18,588,111 | ) | (36,104,232 | ) | |||||||||||
(110,525,671 | ) | (137,145,318 | ) | (54,505,672 | ) | (97,943,279 | ) | |||||||||||
– | – | – | (897 | ) | ||||||||||||||
(39,736 | ) | (43,750 | ) | (136,799 | ) | (273,365 | ) | |||||||||||
(2,921,302 | ) | (3,120,946 | ) | (2,491,960 | ) | (5,276,393 | ) | |||||||||||
(66,620 | ) | (105,696 | ) | (2,235,861 | ) | (4,522,242 | ) | |||||||||||
(96,126 | ) | (111,390 | ) | (6,639,725 | ) | (13,415,768 | ) | |||||||||||
(2,773,715 | ) | (3,926,998 | ) | (18,274,471 | ) | (34,928,129 | ) | |||||||||||
– | – | – | (1,846,382 | ) | ||||||||||||||
– | – | – | (367,334 | ) | ||||||||||||||
– | – | – | (2,642,510 | ) | ||||||||||||||
– | – | – | (1,306,309 | ) | ||||||||||||||
– | – | – | (3,543,748 | ) | ||||||||||||||
– | – | – | (32 | ) | ||||||||||||||
– | – | – | (9,891 | ) | ||||||||||||||
– | – | – | (190,908 | ) | ||||||||||||||
– | – | – | (163,622 | ) | ||||||||||||||
– | – | – | (485,404 | ) | ||||||||||||||
– | – | – | (1,263,756 | ) | ||||||||||||||
(226,717,528 | ) | (351,397,149 | ) | (141,506,057 | ) | (338,502,264 | ) | |||||||||||
910,347,697 | 7,983,304,563 | 835,069,694 | 2,878,099,913 | |||||||||||||||
197,179,985 | 303,246,251 | 131,998,720 | 317,039,838 | |||||||||||||||
(2,565,195,735 | ) | (8,203,729,429 | ) | (1,332,121,701 | ) | (4,663,902,869 | ) | |||||||||||
(1,457,668,053 | ) | 82,821,385 | (365,053,287 | ) | (1,468,763,118 | ) | ||||||||||||
(1,454,403,964 | ) | (426,700,814 | ) | (444,661,507 | ) | (2,570,775,724 | ) | |||||||||||
$ | 6,479,418,038 | $ | 6,906,118,852 | $ | 4,697,550,503 | $ | 7,268,326,227 | |||||||||||
$ | 5,025,014,074 | $ | 6,479,418,038 | $ | 4,252,888,996 | $ | 4,697,550,503 |
See Notes to Financial Statements. | 343 |
Statements of Changes in Net Assets (continued)
Income Fund | |||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||
Operations: | |||||||||
Net investment income | $ | 61,212,310 | $ | 94,603,981 | |||||
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swap contracts and foreign currency related transactions | (61,949,203 | ) | (282,449,567 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swap contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 68,093,483 | (285,852,308 | ) | ||||||
Net increase (decrease) in net assets resulting from operations | 67,356,590 | (473,697,894 | ) | ||||||
Distributions to shareholders: | |||||||||
Class A | (22,821,728 | ) | (61,769,431 | ) | |||||
Class C | (920,339 | ) | (3,189,861 | ) | |||||
Class F | (2,036,974 | ) | (18,636,742 | ) | |||||
Class F3 | (22,977,035 | ) | (53,890,395 | ) | |||||
Class I | (14,647,871 | ) | (15,773,712 | ) | |||||
Class R2 | (24,560 | ) | (63,027 | ) | |||||
Class R3 | (1,063,526 | ) | (2,734,526 | ) | |||||
Class R4 | (141,501 | ) | (257,918 | ) | |||||
Class R5 | (40,509 | ) | (271,026 | ) | |||||
Class R6 | (1,110,455 | ) | (3,209,166 | ) | |||||
Total distributions to shareholders | (65,784,498 | ) | (159,795,804 | ) | |||||
Capital share transactions (See Note 16): | |||||||||
Net proceeds from sales of shares | 836,977,707 | 1,137,446,596 | |||||||
Reinvestment of distributions | 62,560,308 | 150,507,166 | |||||||
Cost of shares reacquired | (450,525,361 | ) | (1,329,956,952 | ) | |||||
Net increase (decrease) in net assets resulting from capital share transactions | 449,012,654 | (42,003,190 | ) | ||||||
Net increase (decrease) in net assets | 450,584,746 | (675,496,888 | ) | ||||||
NET ASSETS: | |||||||||
Beginning of period | $ | 2,501,824,795 | $ | 3,177,321,683 | |||||
End of period | $ | 2,952,409,541 | $ | 2,501,824,795 |
344 | See Notes to Financial Statements. |
Inflation Focused Fund | Short Duration Core Bond Fund | |||||||||||||||||
For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||||||||||
$ | 33,257,678 | $ | 77,915,962 | $ | 7,091,105 | $ | 4,527,347 | |||||||||||
(2,376,793 | ) | (177,008,360 | ) | (1,250,468 | ) | (8,695,866 | ) | |||||||||||
(4,792,147 | ) | (40,178,298 | ) | 1,524,883 | (6,379,611 | ) | ||||||||||||
26,088,738 | (139,270,696 | ) | 7,365,520 | (10,548,130 | ) | |||||||||||||
(8,166,410 | ) | (17,567,509 | ) | (1,655,052 | ) | (1,283,096 | ) | |||||||||||
(1,405,301 | ) | (2,421,356 | ) | (96,219 | ) | (85,553 | ) | |||||||||||
(3,918,378 | ) | (30,578,500 | ) | (677,423 | ) | (1,536,849 | ) | |||||||||||
(5,537,549 | ) | (11,574,025 | ) | (830,122 | ) | (345,144 | ) | |||||||||||
(26,740,870 | ) | (49,925,281 | ) | (4,351,113 | ) | (3,328,168 | ) | |||||||||||
(3,601 | ) | (3,001 | ) | – | – | |||||||||||||
(10,567 | ) | (11,573 | ) | (11,963 | ) | (9,657 | ) | |||||||||||
(42,167 | ) | (52,651 | ) | (303 | ) | (299 | ) | |||||||||||
(11,509 | ) | (13,710 | ) | (260 | ) | (328 | ) | |||||||||||
(218,859 | ) | (440,059 | ) | (17,428 | ) | (26,265 | ) | |||||||||||
(46,055,211 | ) | (112,587,665 | ) | (7,639,883 | ) | (6,615,359 | ) | |||||||||||
314,351,682 | 3,576,490,242 | 220,787,077 | 336,428,557 | |||||||||||||||
44,828,700 | 110,112,850 | 7,430,996 | 6,264,354 | |||||||||||||||
(1,274,813,821 | ) | (4,517,782,175 | ) | (95,522,816 | ) | (273,856,258 | ) | |||||||||||
(915,633,439 | ) | (831,179,083 | ) | 132,695,257 | 68,836,653 | |||||||||||||
(935,599,912 | ) | (1,083,037,444 | ) | 132,420,894 | 51,673,164 | |||||||||||||
$ | 2,650,981,493 | $ | 3,734,018,937 | $ | 235,275,199 | $ | 183,602,035 | |||||||||||
$ | 1,715,381,581 | $ | 2,650,981,493 | $ | 367,696,093 | $ | 235,275,199 |
See Notes to Financial Statements. | 345 |
Statements of Changes in Net Assets (concluded)
Short Duration Income Fund | |||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||
Operations: | |||||||||
Net investment income | $ | 914,421,207 | $ | 1,266,197,127 | |||||
Net realized gain (loss) on investments, futures contracts, forward foreign currency exchange contracts, swap contracts and foreign currency related transactions | (300,031,368 | ) | (1,913,324,071 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward foreign currency exchange contracts, swap contracts, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 469,769,756 | (2,353,694,325 | ) | ||||||
Net increase (decrease) in net assets resulting from operations | 1,084,159,595 | (3,000,821,269 | ) | ||||||
Distributions to shareholders: | |||||||||
Class A | (190,157,679 | ) | (333,489,534 | ) | |||||
Class A1 | – | – | |||||||
Class C | (36,468,518 | ) | (62,222,924 | ) | |||||
Class F | (87,779,393 | ) | (413,364,645 | ) | |||||
Class F3 | (115,365,388 | ) | (173,531,776 | ) | |||||
Class I | (601,987,090 | ) | (701,837,319 | ) | |||||
Class P | – | – | |||||||
Class R2 | (119,543 | ) | (217,975 | ) | |||||
Class R3 | (6,932,382 | ) | (10,136,275 | ) | |||||
Class R4 | (3,083,726 | ) | (4,676,483 | ) | |||||
Class R5 | (1,397,893 | ) | (1,976,912 | ) | |||||
Class R6 | (24,788,367 | ) | (32,917,410 | ) | |||||
Total distributions to shareholders | (1,068,079,979 | ) | (1,734,371,253 | ) | |||||
Capital share transactions (See Note 16): | |||||||||
Net proceeds from sales of shares | 11,028,795,988 | 39,496,673,430 | |||||||
Reinvestment of distributions | 932,522,283 | 1,500,233,564 | |||||||
Cost of shares reacquired | (15,574,651,795 | ) | (48,557,667,513 | ) | |||||
Net increase (decrease) in net assets resulting from capital share transactions | (3,613,333,524 | ) | (7,560,760,519 | ) | |||||
Net increase (decrease) in net assets | (3,597,253,908 | ) | (12,295,953,041 | ) | |||||
NET ASSETS: | |||||||||
Beginning of period | $ | 50,559,191,913 | $ | 62,855,144,954 | |||||
End of period | $ | 46,961,938,005 | $ | 50,559,191,913 |
346 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||||||||||||||
For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||||||||||
$ | 63,030,081 | $ | 94,305,952 | $ | 195,058,441 | $ | 185,172,280 | |||||||||||
(50,297,347 | ) | (403,032,699 | ) | (57,898,639 | ) | (82,437,217 | ) | |||||||||||
50,605,542 | (220,832,760 | ) | 136,051,956 | (218,077,196 | ) | |||||||||||||
63,338,276 | (529,559,507 | ) | 273,211,758 | (115,342,133 | ) | |||||||||||||
(20,804,305 | ) | (41,063,513 | ) | (84,813,414 | ) | (94,086,125 | ) | |||||||||||
– | – | (66,316 | ) | (75,197 | ) | |||||||||||||
(606,633 | ) | (1,438,131 | ) | – | – | |||||||||||||
(4,044,423 | ) | (22,666,054 | ) | (15,056,190 | ) | (32,900,215 | ) | |||||||||||
(16,808,708 | ) | (31,015,832 | ) | (14,133,056 | ) | (12,931,462 | ) | |||||||||||
(19,526,933 | ) | (22,739,909 | ) | (79,512,850 | ) | (50,640,992 | ) | |||||||||||
(10,372 | ) | (20,248 | ) | – | – | |||||||||||||
(23,888 | ) | (45,801 | ) | – | – | |||||||||||||
(559,067 | ) | (1,102,609 | ) | – | – | |||||||||||||
(641,861 | ) | (1,293,563 | ) | – | – | |||||||||||||
(477,154 | ) | (2,576,467 | ) | (2,881 | ) | (2,567 | ) | |||||||||||
(4,368,835 | ) | (8,550,658 | ) | (1,205,857 | ) | (1,211,271 | ) | |||||||||||
(67,872,179 | ) | (132,512,785 | ) | (194,790,564 | ) | (191,847,829 | ) | |||||||||||
643,063,372 | 1,096,644,953 | 3,086,379,168 | 10,131,846,342 | |||||||||||||||
63,170,906 | 124,569,301 | 180,389,355 | 177,839,732 | |||||||||||||||
(559,547,472 | ) | (1,731,640,699 | ) | (5,082,267,482 | ) | (16,117,603,459 | ) | |||||||||||
146,686,806 | (510,426,445 | ) | (1,815,498,959 | ) | (5,807,917,385 | ) | ||||||||||||
142,152,903 | (1,172,498,737 | ) | (1,737,077,765 | ) | (6,115,107,347 | ) | ||||||||||||
$ | 2,978,360,287 | $ | 4,150,859,024 | $ | 11,178,146,681 | $ | 17,293,254,028 | |||||||||||
$ | 3,120,513,190 | $ | 2,978,360,287 | $ | 9,441,068,916 | $ | 11,178,146,681 |
See Notes to Financial Statements. | 347 |
Financial Highlights (unaudited)
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 12.64 | $ 0.13 | $ (0.44 | ) | $ (0.31 | ) | $ (0.23 | ) | $ | – | $ (0.23 | ) | ||||||||||||||||
11/30/2022 | 19.24 | 0.20 | (3.77 | ) | (3.57 | ) | (0.31 | ) | (2.72 | ) | (3.03 | ) | ||||||||||||||||
11/30/2021 | 20.52 | 0.09 | 1.68 | 1.77 | (0.19 | ) | (2.86 | ) | (3.05 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.49 | 0.09 | (0.43 | ) | (0.34 | ) | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||
11/30/2022 | 19.04 | 0.10 | (3.72 | ) | (3.62 | ) | (0.21 | ) | (2.72 | ) | (2.93 | ) | ||||||||||||||||
11/30/2021 | 20.37 | (0.04 | ) | 1.66 | 1.62 | (0.09 | ) | (2.86 | ) | (2.95 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.65 | 0.13 | (0.43 | ) | (0.30 | ) | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||
11/30/2022 | 19.25 | 0.19 | (3.75 | ) | (3.56 | ) | (0.32 | ) | (2.72 | ) | (3.04 | ) | ||||||||||||||||
11/30/2021 | 20.52 | 0.11 | 1.68 | 1.79 | (0.20 | ) | (2.86 | ) | (3.06 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.81 | 0.15 | (0.46 | ) | (0.31 | ) | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||
11/30/2022 | 19.44 | 0.24 | (3.81 | ) | (3.57 | ) | (0.34 | ) | (2.72 | ) | (3.06 | ) | ||||||||||||||||
11/30/2021 | 20.68 | 0.15 | 1.69 | 1.84 | (0.22 | ) | (2.86 | ) | (3.08 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.76 | 0.14 | (0.45 | ) | (0.31 | ) | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||
11/30/2022 | 19.39 | 0.25 | (3.82 | ) | (3.57 | ) | (0.34 | ) | (2.72 | ) | (3.06 | ) | ||||||||||||||||
11/30/2021 | 20.66 | 0.13 | 1.68 | 1.81 | (0.22 | ) | (2.86 | ) | (3.08 | ) | ||||||||||||||||||
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 | ) |
348 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 12.10 | (2.44 | )(d) | 1.11 | (e) | 1.11 | (e) | 2.10 | (e) | $ | 175,699 | 60 | (d) | |||||||||||||
12.64 | (21.50 | ) | 1.07 | 1.07 | 1.44 | 215,259 | 165 | |||||||||||||||||||
19.24 | 8.83 | 1.03 | 1.03 | 0.47 | 365,551 | 154 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.96 | (2.79 | )(d) | 1.74 | (e) | 1.74 | (e) | 1.47 | (e) | 35,309 | 60 | (d) | |||||||||||||||
12.49 | (21.95 | ) | 1.73 | 1.74 | 0.76 | 42,136 | 165 | |||||||||||||||||||
19.04 | 8.08 | 1.70 | 1.70 | (0.19 | ) | 79,104 | 154 | |||||||||||||||||||
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 | ||||||||||||||||||||
12.11 | (2.40 | )(d) | 1.01 | (e) | 1.01 | (e) | 2.13 | (e) | 46,794 | 60 | (d) | |||||||||||||||
12.65 | (21.43 | ) | 0.97 | 0.98 | 1.34 | 137,175 | 165 | |||||||||||||||||||
19.25 | 8.98 | 0.93 | 0.93 | 0.59 | 804,859 | 154 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.26 | (2.38 | )(d) | 0.81 | (e) | 0.81 | (e) | 2.40 | (e) | 16,640 | 60 | (d) | |||||||||||||||
12.81 | (21.25 | ) | 0.79 | 0.79 | 1.70 | 19,538 | 165 | |||||||||||||||||||
19.44 | 9.18 | 0.75 | 0.75 | 0.77 | 37,889 | 154 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.21 | (2.39 | )(d) | 0.91 | (e) | 0.91 | (e) | 2.30 | (e) | 389,777 | 60 | (d) | |||||||||||||||
12.76 | (21.33 | ) | 0.86 | 0.87 | 1.86 | 487,218 | 165 | |||||||||||||||||||
19.39 | 9.02 | 0.82 | 0.82 | 0.68 | 259,180 | 154 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 349 |
Financial Highlights (unaudited)(continued)
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 12.97 | $ 0.12 | $ (0.46 | ) | $ (0.34 | ) | $ (0.22 | ) | $ | – | $ (0.22 | ) | ||||||||||||||||
11/30/2022 | 19.65 | 0.17 | (3.86 | ) | (3.69 | ) | (0.27 | ) | (2.72 | ) | (2.99 | ) | ||||||||||||||||
11/30/2021 | 20.88 | 0.05 | 1.70 | 1.75 | (0.12 | ) | (2.86 | ) | (2.98 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.95 | 0.11 | (0.45 | ) | (0.34 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
11/30/2022 | 19.63 | 0.15 | (3.86 | ) | (3.71 | ) | (0.25 | ) | (2.72 | ) | (2.97 | ) | ||||||||||||||||
11/30/2021 | 20.88 | 0.02 | 1.71 | 1.73 | (0.12 | ) | (2.86 | ) | (2.98 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.55 | 0.11 | (0.44 | ) | (0.33 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
11/30/2022 | 19.12 | 0.16 | (3.75 | ) | (3.59 | ) | (0.26 | ) | (2.72 | ) | (2.98 | ) | ||||||||||||||||
11/30/2021 | 20.41 | 0.04 | 1.66 | 1.70 | (0.13 | ) | (2.86 | ) | (2.99 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.64 | 0.13 | (0.44 | ) | (0.31 | ) | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||
11/30/2022 | 19.24 | 0.19 | (3.77 | ) | (3.58 | ) | (0.30 | ) | (2.72 | ) | (3.02 | ) | ||||||||||||||||
11/30/2021 | 20.52 | 0.09 | 1.67 | 1.76 | (0.18 | ) | (2.86 | ) | (3.04 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.76 | 0.14 | (0.45 | ) | (0.31 | ) | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||
11/30/2022 | 19.39 | 0.24 | (3.81 | ) | (3.57 | ) | (0.34 | ) | (2.72 | ) | (3.06 | ) | ||||||||||||||||
11/30/2021 | 20.65 | 0.14 | 1.68 | 1.82 | (0.22 | ) | (2.86 | ) | (3.08 | ) | ||||||||||||||||||
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 | ) |
350 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 12.41 | (2.65 | )(d) | 1.36 | (e) | 1.36 | (e) | 1.86 | (e) | $ | 35 | 60 | (d) | |||||||||||||
12.97 | (21.65 | ) | 1.32 | 1.32 | 1.24 | 36 | 165 | |||||||||||||||||||
19.65 | 8.57 | 1.27 | 1.27 | 0.23 | 43 | 154 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.40 | (2.65 | )(d) | 1.51 | (e) | 1.51 | (e) | 1.71 | (e) | 76 | 60 | (d) | |||||||||||||||
12.95 | (21.80 | ) | 1.46 | 1.47 | 1.09 | 76 | 165 | |||||||||||||||||||
19.63 | 8.43 | 1.42 | 1.42 | 0.10 | 94 | 154 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.01 | (2.60 | )(d) | 1.41 | (e) | 1.41 | (e) | 1.81 | (e) | 18,418 | 60 | (d) | |||||||||||||||
12.55 | (21.73 | ) | 1.37 | 1.38 | 1.12 | 20,448 | 165 | |||||||||||||||||||
19.12 | 8.52 | 1.33 | 1.33 | 0.19 | 36,483 | 154 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.10 | (2.46 | )(d) | 1.16 | (e) | 1.16 | (e) | 2.06 | (e) | 478 | 60 | (d) | |||||||||||||||
12.64 | (21.54 | ) | 1.12 | 1.12 | 1.40 | 609 | 165 | |||||||||||||||||||
19.24 | 8.80 | 1.08 | 1.08 | 0.44 | 919 | 154 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.21 | (2.39 | )(d) | 0.91 | (e) | 0.91 | (e) | 2.32 | (e) | 1,603 | 60 | (d) | |||||||||||||||
12.76 | (21.32 | ) | 0.86 | 0.87 | 1.70 | 1,578 | 165 | |||||||||||||||||||
19.39 | 9.08 | 0.83 | 0.83 | 0.69 | 1,905 | 154 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 351 |
Financial Highlights (unaudited)(continued)
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 12.81 | $ 0.15 | $ (0.45 | ) | $ (0.30 | ) | $ (0.24 | ) | $ | – | $ (0.24 | ) | ||||||||||||||||
11/30/2022 | 19.44 | 0.24 | (3.81 | ) | (3.57 | ) | (0.34 | ) | (2.72 | ) | (3.06 | ) | ||||||||||||||||
11/30/2021 | 20.69 | 0.15 | 1.68 | 1.83 | (0.22 | ) | (2.86 | ) | (3.08 | ) | ||||||||||||||||||
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 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
352 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 12.27 | (2.30 | )(d) | 0.81 | (e) | 0.81 | (e) | 2.41 | (e) | $ | 10,279 | 60 | (d) | |||||||||||||
12.81 | (21.26 | ) | 0.79 | 0.80 | 1.75 | 16,269 | 165 | |||||||||||||||||||
19.44 | 9.12 | 0.75 | 0.75 | 0.79 | 22,182 | 154 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 353 |
Financial Highlights (unaudited)(continued)
CORE FIXED INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 9.34 | $ 0.19 | $ (0.02 | ) | $ 0.17 | $ (0.19 | ) | $ | – | $ (0.19 | ) | |||||||||||||||||
11/30/2022 | 11.14 | 0.21 | (1.70 | ) | (1.49 | ) | (0.27 | ) | (0.04 | ) | (0.31 | ) | ||||||||||||||||
11/30/2021 | 11.69 | 0.11 | (0.15 | ) | (0.04 | ) | (0.14 | ) | (0.37 | ) | (0.51 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.30 | 0.16 | (0.01 | ) | 0.15 | (0.17 | ) | – | (0.17 | ) | ||||||||||||||||||
11/30/2022 | 11.08 | 0.15 | (1.69 | ) | (1.54 | ) | (0.20 | ) | (0.04 | ) | (0.24 | ) | ||||||||||||||||
11/30/2021 | 11.63 | 0.04 | (0.15 | ) | (0.11 | ) | (0.07 | ) | (0.37 | ) | (0.44 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.34 | 0.19 | (0.01 | ) | 0.18 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 11.13 | 0.19 | (1.66 | ) | (1.47 | ) | (0.28 | ) | (0.04 | ) | (0.32 | ) | ||||||||||||||||
11/30/2021 | 11.68 | 0.12 | (0.15 | ) | (0.03 | ) | (0.15 | ) | (0.37 | ) | (0.52 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.34 | 0.20 | (0.01 | ) | 0.19 | (0.21 | ) | – | (0.21 | ) | ||||||||||||||||||
11/30/2022 | 11.13 | 0.24 | (1.70 | ) | (1.46 | ) | (0.29 | ) | (0.04 | ) | (0.33 | ) | ||||||||||||||||
11/30/2021 | 11.69 | 0.14 | (0.16 | ) | (0.02 | ) | (0.17 | ) | (0.37 | ) | (0.54 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.33 | 0.20 | – | (f) | 0.20 | (0.21 | ) | – | (0.21 | ) | ||||||||||||||||||
11/30/2022 | 11.13 | 0.26 | (1.73 | ) | (1.47 | ) | (0.29 | ) | (0.04 | ) | (0.33 | ) | ||||||||||||||||
11/30/2021 | 11.68 | 0.14 | (0.15 | ) | (0.01 | ) | (0.17 | ) | (0.37 | ) | (0.54 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.34 | 0.17 | (0.01 | ) | 0.16 | (0.18 | ) | – | (0.18 | ) | ||||||||||||||||||
11/30/2022 | 11.14 | 0.17 | (1.70 | ) | (1.53 | ) | (0.23 | ) | (0.04 | ) | (0.27 | ) | ||||||||||||||||
11/30/2021 | 11.69 | 0.07 | (0.15 | ) | (0.08 | ) | (0.10 | ) | (0.37 | ) | (0.47 | ) | ||||||||||||||||
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 | ) |
354 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 9.32 | 1.87 | (d) | 0.55 | (e) | 0.55 | (e) | 3.98 | (e) | $ | 580,849 | 279 | (d) | |||||||||||||
9.34 | (13.54 | ) | 0.57 | 0.57 | 2.14 | 476,618 | 541 | |||||||||||||||||||
11.14 | (0.30 | ) | 0.58 | 0.58 | 1.01 | 646,894 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.28 | 1.56 | (d) | 1.16 | (e) | 1.16 | (e) | 3.38 | (e) | 23,878 | 279 | (d) | |||||||||||||||
9.30 | (13.97 | ) | 1.19 | 1.19 | 1.50 | 19,226 | 541 | |||||||||||||||||||
11.08 | (0.96 | ) | 1.22 | 1.22 | 0.38 | 29,523 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.32 | 1.92 | (d) | 0.45 | (e) | 0.45 | (e) | 4.05 | (e) | 76,488 | 279 | (d) | |||||||||||||||
9.34 | (13.37 | ) | 0.48 | 0.48 | 1.89 | 81,612 | 541 | |||||||||||||||||||
11.13 | (0.21 | ) | 0.48 | 0.48 | 1.11 | 342,050 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.32 | 2.00 | (d) | 0.30 | (e) | 0.30 | (e) | 4.23 | (e) | 456,651 | 279 | (d) | |||||||||||||||
9.34 | (13.23 | ) | 0.31 | 0.31 | 2.43 | 362,923 | 541 | |||||||||||||||||||
11.13 | (0.12 | ) | 0.30 | 0.30 | 1.28 | 442,421 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.32 | 2.10 | (d) | 0.31 | (e) | 0.35 | (e) | 4.22 | (e) | 1,520,279 | 279 | (d) | |||||||||||||||
9.33 | (13.34 | ) | 0.33 | 0.37 | 2.68 | 1,165,866 | 541 | |||||||||||||||||||
11.13 | (0.07 | ) | 0.34 | 0.38 | 1.25 | 534,313 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.32 | 1.67 | (d) | 0.95 | (e) | 0.95 | (e) | 3.58 | (e) | 363 | 279 | (d) | |||||||||||||||
9.34 | (13.88 | ) | 0.97 | 0.98 | 1.65 | 368 | 541 | |||||||||||||||||||
11.14 | (0.70 | ) | 0.98 | 0.98 | 0.60 | 850 | 492 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 355 |
Financial Highlights (unaudited)(continued)
CORE FIXED INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 9.34 | $ 0.17 | $ (0.01 | ) | $ 0.16 | $ (0.18 | ) | $ | – | $ (0.18 | ) | |||||||||||||||||
11/30/2022 | 11.14 | 0.18 | (1.70 | ) | (1.52 | ) | (0.24 | ) | (0.04 | ) | (0.28 | ) | ||||||||||||||||
11/30/2021 | 11.69 | 0.08 | (0.15 | ) | (0.07 | ) | (0.11 | ) | (0.37 | ) | (0.48 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.34 | 0.18 | (0.01 | ) | 0.17 | (0.19 | ) | – | (0.19 | ) | ||||||||||||||||||
11/30/2022 | 11.13 | 0.21 | (1.70 | ) | (1.49 | ) | (0.26 | ) | (0.04 | ) | (0.30 | ) | ||||||||||||||||
11/30/2021 | 11.68 | 0.11 | (0.15 | ) | (0.04 | ) | (0.14 | ) | (0.37 | ) | (0.51 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.34 | 0.20 | (0.02 | ) | 0.18 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 11.14 | 0.25 | (1.72 | ) | (1.47 | ) | (0.29 | ) | (0.04 | ) | (0.33 | ) | ||||||||||||||||
11/30/2021 | 11.69 | 0.13 | (0.14 | ) | (0.01 | ) | (0.17 | ) | (0.37 | ) | (0.54 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.34 | 0.20 | (0.01 | ) | 0.19 | (0.21 | ) | – | (0.21 | ) | ||||||||||||||||||
11/30/2022 | 11.13 | 0.25 | (1.71 | ) | (1.46 | ) | (0.29 | ) | (0.04 | ) | (0.33 | ) | ||||||||||||||||
11/30/2021 | 11.68 | 0.14 | (0.15 | ) | (0.01 | ) | (0.17 | ) | (0.37 | ) | (0.54 | ) | ||||||||||||||||
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 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Amount less than $0.01. |
356 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 9.32 | 1.72 | (d) | 0.85 | (e) | 0.85 | (e) | 3.68 | (e) | $ | 5,940 | 279 | (d) | |||||||||||||
9.34 | (13.80 | ) | 0.87 | 0.88 | 1.79 | 5,914 | 541 | |||||||||||||||||||
11.14 | (0.60 | ) | 0.88 | 0.88 | 0.71 | 9,264 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.32 | 1.85 | (d) | 0.60 | (e) | 0.60 | (e) | 3.94 | (e) | 8,916 | 279 | (d) | |||||||||||||||
9.34 | (13.50 | ) | 0.62 | 0.62 | 2.10 | 8,047 | 541 | |||||||||||||||||||
11.13 | (0.36 | ) | 0.63 | 0.63 | 0.96 | 10,587 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.32 | 1.98 | (d) | 0.35 | (e) | 0.35 | (e) | 4.19 | (e) | 1,816 | 279 | (d) | |||||||||||||||
9.34 | (13.36 | ) | 0.37 | 0.37 | 2.51 | 1,782 | 541 | |||||||||||||||||||
11.14 | (0.10 | ) | 0.38 | 0.38 | 1.20 | 1,443 | 492 | |||||||||||||||||||
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 | |||||||||||||||||||
9.32 | 2.11 | (d) | 0.30 | (e) | 0.30 | (e) | 4.24 | (e) | 40,548 | 279 | (d) | |||||||||||||||
9.34 | (13.32 | ) | 0.31 | 0.31 | 2.52 | 36,072 | 541 | |||||||||||||||||||
11.13 | (0.03 | ) | 0.30 | 0.30 | 1.29 | 30,405 | 492 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 357 |
Financial Highlights (unaudited)(continued)
CORE PLUS BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $12.87 | $0.28 | $(0.04 | ) | $ 0.24 | $(0.30 | ) | $ – | $(0.30 | ) | ||||||||||||||||||
11/30/2022 | 15.38 | 0.40 | (2.44 | ) | (2.04 | ) | (0.46 | ) | (0.01 | ) | (0.47 | ) | ||||||||||||||||
11/30/2021 | 15.78 | 0.33 | (0.14 | ) | 0.19 | (0.42 | ) | (0.17 | ) | (0.59 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.87 | 0.24 | (0.03 | ) | 0.21 | (0.26 | ) | – | (0.26 | ) | ||||||||||||||||||
11/30/2022 | 15.38 | 0.31 | (2.44 | ) | (2.13 | ) | (0.37 | ) | (0.01 | ) | (0.38 | ) | ||||||||||||||||
11/30/2021 | 15.78 | 0.23 | (0.14 | ) | 0.09 | (0.32 | ) | (0.17 | ) | (0.49 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.86 | 0.28 | (0.03 | ) | 0.25 | (0.31 | ) | – | (0.31 | ) | ||||||||||||||||||
11/30/2022 | 15.36 | 0.39 | (2.40 | ) | (2.01 | ) | (0.48 | ) | (0.01 | ) | (0.49 | ) | ||||||||||||||||
11/30/2021 | 15.76 | 0.34 | (0.14 | ) | 0.20 | (0.43 | ) | (0.17 | ) | (0.60 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.87 | 0.30 | (0.04 | ) | 0.26 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 15.37 | 0.44 | (2.42 | ) | (1.98 | ) | (0.51 | ) | (0.01 | ) | (0.52 | ) | ||||||||||||||||
11/30/2021 | 15.77 | 0.36 | (0.13 | ) | 0.23 | (0.46 | ) | (0.17 | ) | (0.63 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.86 | 0.30 | (0.04 | ) | 0.26 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 15.37 | 0.47 | (2.48 | ) | (2.01 | ) | (0.49 | ) | (0.01 | ) | (0.50 | ) | ||||||||||||||||
11/30/2021 | 15.77 | 0.37 | (0.15 | ) | 0.22 | (0.45 | ) | (0.17 | ) | (0.62 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.86 | 0.27 | (0.04 | ) | 0.23 | (0.28 | ) | – | (0.28 | ) | ||||||||||||||||||
11/30/2022 | 15.37 | 0.36 | (2.44 | ) | (2.08 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | ||||||||||||||||
11/30/2021 | 15.77 | 0.28 | (0.14 | ) | 0.14 | (0.37 | ) | (0.17 | ) | (0.54 | ) | |||||||||||||||||
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 | ) |
358 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$12.81 | 1.90 | (d) | 0.62 | (e) | 0.62 | (e) | 4.39 | (e) | $ | 125,407 | 261 | (d) | ||||||||||||||
12.87 | (13.38 | ) | 0.68 | 0.69 | 2.93 | 92,635 | 407 | |||||||||||||||||||
15.38 | 1.23 | 0.68 | 0.73 | 2.12 | 76,162 | 258 | ||||||||||||||||||||
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 | |||||||||||||||||||
12.82 | 1.65 | (d) | 1.27 | (e) | 1.27 | (e) | 3.77 | (e) | 11,229 | 261 | (d) | |||||||||||||||
12.87 | (13.94 | ) | 1.33 | 1.34 | 2.23 | 5,380 | 407 | |||||||||||||||||||
15.38 | 0.57 | 1.33 | 1.38 | 1.50 | 5,550 | 258 | ||||||||||||||||||||
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 | |||||||||||||||||||
12.80 | 1.95 | (d) | 0.52 | (e) | 0.52 | (e) | 4.41 | (e) | 47,961 | 261 | (d) | |||||||||||||||
12.86 | (13.25 | ) | 0.58 | 0.59 | 2.78 | 111,760 | 407 | |||||||||||||||||||
15.36 | 1.32 | 0.58 | 0.62 | 2.18 | 274,812 | 258 | ||||||||||||||||||||
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 | |||||||||||||||||||
12.81 | 2.02 | (d) | 0.38 | (e) | 0.38 | (e) | 4.64 | (e) | 94,897 | 261 | (d) | |||||||||||||||
12.87 | (13.06 | ) | 0.39 | 0.40 | 3.22 | 47,207 | 407 | |||||||||||||||||||
15.37 | 1.51 | 0.38 | 0.43 | 2.32 | 34,554 | 258 | ||||||||||||||||||||
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 | |||||||||||||||||||
12.80 | 2.00 | (d) | 0.42 | (e) | 0.42 | (e) | 4.62 | (e) | 976,059 | 261 | (d) | |||||||||||||||
12.86 | (13.21 | ) | 0.48 | 0.48 | 3.58 | 411,464 | 407 | |||||||||||||||||||
15.37 | 1.42 | 0.48 | 0.54 | 2.40 | 13,423 | 258 | ||||||||||||||||||||
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 | |||||||||||||||||||
12.81 | 1.83 | (d) | 0.91 | (e) | 0.91 | (e) | 4.13 | (e) | 228 | 261 | (d) | |||||||||||||||
12.86 | (13.64 | ) | 0.98 | 0.99 | 2.60 | 155 | 407 | |||||||||||||||||||
15.37 | 0.93 | 0.98 | 1.03 | 1.84 | 159 | 258 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 359 |
Financial Highlights (unaudited)(continued)
CORE PLUS BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | $12.87 | $0.28 | $(0.03 | ) | $ 0.25 | $(0.30 | ) | $ – | $(0.30 | ) | ||||||||||||||||||
11/30/2022 | 15.37 | 0.38 | (2.41 | ) | (2.03 | ) | (0.46 | ) | (0.01 | ) | (0.47 | ) | ||||||||||||||||
11/30/2021 | 15.77 | 0.32 | (0.14 | ) | 0.18 | (0.41 | ) | (0.17 | ) | (0.58 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.87 | 0.30 | (0.03 | ) | 0.27 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 15.38 | 0.43 | (2.44 | ) | (2.01 | ) | (0.49 | ) | (0.01 | ) | (0.50 | ) | ||||||||||||||||
11/30/2021 | 15.77 | 0.36 | (0.13 | ) | 0.23 | (0.45 | ) | (0.17 | ) | (0.62 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 12.87 | 0.30 | (0.03 | ) | 0.27 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 15.38 | 0.46 | (2.46 | ) | (2.00 | ) | (0.50 | ) | (0.01 | ) | (0.51 | ) | ||||||||||||||||
11/30/2021 | 15.78 | 0.38 | (0.14 | ) | 0.24 | (0.47 | ) | (0.17 | ) | (0.64 | ) | |||||||||||||||||
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 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
360 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$12.82 | 1.95 | (d) | 0.67 | (e) | 0.67 | (e) | 4.33 | (e) | $ | 285 | 261 | (d) | ||||||||||||||
12.87 | (13.36 | ) | 0.73 | 0.74 | 2.76 | 295 | 407 | |||||||||||||||||||
15.37 | 1.18 | 0.73 | 0.77 | 2.06 | 379 | 258 | ||||||||||||||||||||
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 | |||||||||||||||||||
12.82 | 2.08 | (d) | 0.39 | (e) | 0.39 | (e) | 4.60 | (e) | 10 | 261 | (d) | |||||||||||||||
12.87 | (13.19 | ) | 0.46 | 0.46 | 3.09 | 10 | 407 | |||||||||||||||||||
15.38 | 1.49 | 0.48 | 0.50 | 2.35 | 11 | 258 | ||||||||||||||||||||
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 | |||||||||||||||||||
12.82 | 2.10 | (d) | 0.38 | (e) | 0.38 | (e) | 4.63 | (e) | 3,946 | 261 | (d) | |||||||||||||||
12.87 | (13.12 | ) | 0.39 | 0.40 | 3.42 | 3,380 | 407 | |||||||||||||||||||
15.38 | 1.53 | 0.38 | 0.44 | 2.44 | 1,061 | 258 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 361 |
Financial Highlights (unaudited)(continued)
CORPORATE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 8.26 | $0.15 | $ 0.02 | $ 0.17 | $(0.17 | ) | $ – | $(0.17 | ) | |||||||||||||||||||
11/30/2022 | 10.39 | 0.24 | (1.88 | ) | (1.64 | ) | (0.31 | ) | (0.18 | ) | (0.49 | ) | ||||||||||||||||
11/30/2021 | 10.78 | 0.21 | (0.11 | ) | 0.10 | (0.31 | ) | (0.18 | ) | (0.49 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.26 | 0.13 | 0.03 | 0.16 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
11/30/2022 | 10.38 | 0.18 | (1.87 | ) | (1.69 | ) | (0.25 | ) | (0.18 | ) | (0.43 | ) | ||||||||||||||||
11/30/2021 | 10.77 | 0.15 | (0.12 | ) | 0.03 | (0.24 | ) | (0.18 | ) | (0.42 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.28 | 0.16 | 0.02 | 0.18 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2022 | 10.40 | 0.24 | (1.86 | ) | (1.62 | ) | (0.32 | ) | (0.18 | ) | (0.50 | ) | ||||||||||||||||
11/30/2021 | 10.79 | 0.23 | (0.12 | ) | 0.11 | (0.32 | ) | (0.18 | ) | (0.50 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.26 | 0.16 | 0.03 | 0.19 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
11/30/2022 | 10.39 | 0.26 | (1.88 | ) | (1.62 | ) | (0.33 | ) | (0.18 | ) | (0.51 | ) | ||||||||||||||||
11/30/2021 | 10.78 | 0.24 | (0.11 | ) | 0.13 | (0.34 | ) | (0.18 | ) | (0.52 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.26 | 0.16 | 0.02 | 0.18 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2022 | 10.38 | 0.26 | (1.87 | ) | (1.61 | ) | (0.33 | ) | (0.18 | ) | (0.51 | ) | ||||||||||||||||
11/30/2021 | 10.77 | 0.24 | (0.12 | ) | 0.12 | (0.33 | ) | (0.18 | ) | (0.51 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.26 | 0.14 | 0.02 | 0.16 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2022 | 10.39 | 0.20 | (1.88 | ) | (1.68 | ) | (0.27 | ) | (0.18 | ) | (0.45 | ) | ||||||||||||||||
11/30/2021 | 10.77 | 0.18 | (0.11 | ) | 0.07 | (0.27 | ) | (0.18 | ) | (0.45 | ) | |||||||||||||||||
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 | ) |
362 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 8.26 | 2.11 | (d) | 0.68 | (e) | 4.12 | (e) | 3.65 | (e) | $ | 2,244 | 84 | (d) | |||||||||||||
8.26 | (16.19 | ) | 0.68 | 3.85 | 2.63 | 1,521 | 115 | |||||||||||||||||||
10.39 | 0.95 | 0.68 | 2.67 | 2.06 | 2,547 | 111 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.27 | 1.81 | (d) | 1.29 | (e) | 4.62 | (e) | 3.00 | (e) | 339 | 84 | (d) | |||||||||||||||
8.26 | (16.64 | ) | 1.32 | 4.51 | 2.03 | 1,035 | 115 | |||||||||||||||||||
10.38 | 0.29 | 1.35 | 3.35 | 1.43 | 547 | 111 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.28 | 2.16 | (d) | 0.58 | (e) | 3.99 | (e) | 3.75 | (e) | 1,210 | 84 | (d) | |||||||||||||||
8.28 | (15.98 | ) | 0.58 | 3.68 | 2.66 | 1,181 | 115 | |||||||||||||||||||
10.40 | 1.06 | 0.58 | 2.58 | 2.17 | 4,660 | 111 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.26 | 2.24 | (d) | 0.42 | (e) | 3.84 | (e) | 3.91 | (e) | 1,369 | 84 | (d) | |||||||||||||||
8.26 | (15.99 | ) | 0.44 | 3.60 | 2.92 | 1,368 | 115 | |||||||||||||||||||
10.39 | 1.20 | 0.44 | 2.45 | 2.32 | 1,770 | 111 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.26 | 2.21 | (d) | 0.48 | (e) | 3.98 | (e) | 3.88 | (e) | 240 | 84 | (d) | |||||||||||||||
8.26 | (15.94 | ) | 0.48 | 3.70 | 2.88 | 98 | 115 | |||||||||||||||||||
10.38 | 1.16 | 0.48 | 2.48 | 2.28 | 146 | 111 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.26 | 1.90 | (d) | 1.08 | (e) | 4.51 | (e) | 3.26 | (e) | 23 | 84 | (d) | |||||||||||||||
8.26 | (16.52 | ) | 1.08 | 4.29 | 2.28 | 23 | 115 | |||||||||||||||||||
10.39 | 0.65 | 1.08 | 3.08 | 1.68 | 29 | 111 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 363 |
Financial Highlights (unaudited)(continued)
CORPORATE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 8.26 | $0.14 | $ 0.02 | $ 0.16 | $(0.16 | ) | $ – | $(0.16 | ) | |||||||||||||||||||
11/30/2022 | 10.38 | 0.22 | (1.88 | ) | (1.66 | ) | (0.28 | ) | (0.18 | ) | (0.46 | ) | ||||||||||||||||
11/30/2021 | 10.77 | 0.19 | (0.12 | ) | 0.07 | (0.28 | ) | (0.18 | ) | (0.46 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.26 | 0.15 | 0.02 | 0.17 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2022 | 10.39 | 0.23 | (1.88 | ) | (1.65 | ) | (0.30 | ) | (0.18 | ) | (0.48 | ) | ||||||||||||||||
11/30/2021 | 10.78 | 0.21 | (0.11 | ) | 0.10 | (0.31 | ) | (0.18 | ) | (0.49 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.26 | 0.16 | 0.03 | 0.19 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2022 | 10.39 | 0.26 | (1.88 | ) | (1.62 | ) | (0.33 | ) | (0.18 | ) | (0.51 | ) | ||||||||||||||||
11/30/2021 | 10.78 | 0.24 | (0.12 | ) | 0.12 | (0.33 | ) | (0.18 | ) | (0.51 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.26 | 0.16 | 0.03 | 0.19 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
11/30/2022 | 10.39 | 0.26 | (1.88 | ) | (1.62 | ) | (0.33 | ) | (0.18 | ) | (0.51 | ) | ||||||||||||||||
11/30/2021 | 10.78 | 0.24 | (0.11 | ) | 0.13 | (0.34 | ) | (0.18 | ) | (0.52 | ) | |||||||||||||||||
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 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
364 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 8.26 | 1.96 | (d) | 0.98 | (e) | 4.41 | (e) | 3.35 | (e) | $ | 94 | 84 | (d) | |||||||||||||
8.26 | (16.36 | ) | 0.98 | 4.30 | 2.47 | 88 | 115 | |||||||||||||||||||
10.38 | 0.65 | 0.98 | 2.98 | 1.78 | 69 | 111 | ||||||||||||||||||||
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 | ||||||||||||||||||
8.26 | 2.08 | (d) | 0.73 | (e) | 4.17 | (e) | 3.59 | (e) | 23 | 84 | (d) | |||||||||||||||
8.26 | (16.23 | ) | 0.73 | 3.95 | 2.62 | 23 | 115 | |||||||||||||||||||
10.39 | 0.91 | 0.73 | 2.73 | 2.04 | 29 | 111 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.27 | 2.33 | (d) | 0.48 | (e) | 3.91 | (e) | 3.83 | (e) | 23 | 84 | (d) | |||||||||||||||
8.26 | (16.02 | ) | 0.48 | 3.69 | 2.87 | 23 | 115 | |||||||||||||||||||
10.39 | 1.16 | 0.48 | 2.48 | 2.28 | 29 | 111 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.26 | 2.24 | (d) | 0.42 | (e) | 3.84 | (e) | 3.90 | (e) | 1,403 | 84 | (d) | |||||||||||||||
8.26 | (15.99 | ) | 0.44 | 3.61 | 2.92 | 1,400 | 115 | |||||||||||||||||||
10.39 | 1.20 | 0.44 | 2.45 | 2.32 | 1,804 | 111 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 365 |
Financial Highlights (unaudited)(continued)
FLOATING RATE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Return of capital | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $7.89 | $0.32 | $(0.02 | ) | $ 0.30 | $(0.31 | ) | $ – | $(0.31 | ) | ||||||||||||||||||
11/30/2022 | 8.37 | 0.37 | (0.48 | ) | (0.11 | ) | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||
11/30/2021 | 8.20 | 0.33 | 0.16 | 0.49 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.89 | 0.29 | – | (f) | 0.29 | (0.29 | ) | – | (0.29 | ) | ||||||||||||||||||
11/30/2022 | 8.37 | 0.32 | (0.48 | ) | (0.16 | ) | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||
11/30/2021 | 8.20 | 0.27 | 0.17 | 0.44 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.88 | 0.32 | – | (f) | 0.32 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 8.36 | 0.35 | (0.45 | ) | (0.10 | ) | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||
11/30/2021 | 8.19 | 0.33 | 0.17 | 0.50 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.90 | 0.33 | (0.01 | ) | 0.32 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 8.38 | 0.40 | (0.49 | ) | (0.09 | ) | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||
11/30/2021 | 8.21 | 0.35 | 0.17 | 0.52 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.89 | 0.33 | (0.01 | ) | 0.32 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 8.37 | 0.41 | (0.50 | ) | (0.09 | ) | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||
11/30/2021 | 8.20 | 0.34 | 0.17 | 0.51 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.90 | 0.30 | (0.01 | ) | 0.29 | (0.30 | ) | – | (0.30 | ) | ||||||||||||||||||
11/30/2022 | 8.38 | 0.35 | (0.49 | ) | (0.14 | ) | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||
11/30/2021 | 8.20 | 0.29 | 0.18 | 0.47 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
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 | ) |
366 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$7.88 | 3.86 | (d) | 0.82 | (e) | 0.82 | (e) | 8.06 | (e) | $ | 1,565,624 | 38 | (d) | ||||||||||||||
7.89 | (1.31 | ) | 0.80 | 0.80 | 4.60 | 1,882,335 | 85 | |||||||||||||||||||
8.37 | 6.07 | 0.79 | 0.79 | 3.87 | 1,981,600 | 87 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.89 | 3.67 | (d) | 1.46 | (e) | 1.46 | (e) | 7.41 | (e) | 363,556 | 38 | (d) | |||||||||||||||
7.89 | (1.93 | ) | 1.43 | 1.43 | 3.96 | 441,112 | 85 | |||||||||||||||||||
8.37 | 5.42 | 1.41 | 1.41 | 3.26 | 499,850 | 87 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.88 | 4.05 | (d) | 0.71 | (e) | 0.71 | (e) | 8.00 | (e) | 331,299 | 38 | (d) | |||||||||||||||
7.88 | (1.22 | ) | 0.69 | 0.69 | 4.24 | 869,845 | 85 | |||||||||||||||||||
8.36 | 6.17 | 0.69 | 0.69 | 3.96 | 2,999,065 | 87 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.90 | 4.14 | (d) | 0.54 | (e) | 0.54 | (e) | 8.30 | (e) | 114,217 | 38 | (d) | |||||||||||||||
7.90 | (1.04 | ) | 0.53 | 0.53 | 4.95 | 178,268 | 85 | |||||||||||||||||||
8.38 | 6.34 | 0.53 | 0.53 | 4.12 | 137,808 | 87 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.89 | 4.10 | (d) | 0.61 | (e) | 0.61 | (e) | 8.26 | (e) | 2,531,679 | 38 | (d) | |||||||||||||||
7.89 | (1.11 | ) | 0.60 | 0.60 | 5.05 | 2,954,554 | 85 | |||||||||||||||||||
8.37 | 6.28 | 0.59 | 0.59 | 4.06 | 1,133,927 | 87 | ||||||||||||||||||||
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 | |||||||||||||||||||
7.89 | 3.66 | (d) | 1.21 | (e) | 1.21 | (e) | 7.65 | (e) | 823 | 38 | (d) | |||||||||||||||
7.90 | (1.70 | ) | 1.20 | 1.20 | 4.28 | 1,086 | 85 | |||||||||||||||||||
8.38 | 5.78 | 1.19 | 1.19 | 3.48 | 965 | 87 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 367 |
Financial Highlights (unaudited)(continued)
FLOATING RATE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Return of capital | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 7.89 | $ 0.31 | $ (0.01 | ) | $ 0.30 | $ | (0.30 | ) | $ | – | $ (0.30 | ) | ||||||||||||||||
11/30/2022 | 8.37 | 0.36 | (0.49 | ) | (0.13 | ) | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||
11/30/2021 | 8.20 | 0.30 | 0.17 | 0.47 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.89 | 0.32 | (0.02 | ) | 0.30 | (0.31 | ) | – | (0.31 | ) | ||||||||||||||||||
11/30/2022 | 8.37 | 0.36 | (0.47 | ) | (0.11 | ) | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||
11/30/2021 | 8.20 | 0.32 | 0.17 | 0.49 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.90 | 0.33 | (0.01 | ) | 0.32 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 8.38 | 0.39 | (0.48 | ) | (0.09 | ) | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||
11/30/2021 | 8.21 | 0.34 | 0.17 | 0.51 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 7.90 | 0.33 | (0.02 | ) | 0.31 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2022 | 8.38 | 0.39 | (0.48 | ) | (0.09 | ) | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||
11/30/2021 | 8.20 | 0.35 | 0.18 | 0.53 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
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 | ) |
(a) | Calculated using average shares outstanding during the period. | |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. | |
(c) | Unaudited. | |
(d) | Not annualized. | |
(e) | Annualized. | |
(f) | Amount less than $0.01. |
368 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 7.89 | 3.84 | (d) | 1.12 | (e) | 1.12 | (e) | 7.78 | (e) | $ | 77,486 | 38 | (d) | |||||||||||||
7.89 | (1.60 | ) | 1.10 | 1.10 | 4.48 | 76,898 | 85 | |||||||||||||||||||
8.37 | 5.76 | 1.09 | 1.09 | 3.58 | 51,915 | 87 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.88 | 3.84 | (d) | 0.87 | (e) | 0.87 | (e) | 8.03 | (e) | 1,743 | 38 | (d) | |||||||||||||||
7.89 | (1.36 | ) | 0.84 | 0.84 | 4.36 | 1,746 | 85 | |||||||||||||||||||
8.37 | 6.02 | 0.84 | 0.84 | 3.83 | 2,680 | 87 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.90 | 4.10 | (d) | 0.62 | (e) | 0.62 | (e) | 8.30 | (e) | 2,585 | 38 | (d) | |||||||||||||||
7.90 | (1.11 | ) | 0.60 | 0.60 | 4.73 | 2,123 | 85 | |||||||||||||||||||
8.38 | 6.28 | 0.59 | 0.59 | 4.08 | 2,975 | 87 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.89 | 4.01 | (d) | 0.54 | (e) | 0.54 | (e) | 8.31 | (e) | 36,002 | 38 | (d) | |||||||||||||||
7.90 | (1.04 | ) | 0.53 | 0.53 | 4.83 | 71,452 | 85 | |||||||||||||||||||
8.38 | 6.48 | 0.53 | 0.53 | 4.15 | 95,334 | 87 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 369 |
Financial Highlights (unaudited)(continued)
HIGH YIELD FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Return of capital | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 6.20 | $ 0.18 | $ (0.10 | ) | $ 0.08 | $ (0.19 | ) | $ – | $ (0.19 | ) | ||||||||||||||||||
11/30/2022 | �� | 7.43 | 0.35 | (1.20 | ) | (0.85 | ) | (0.37 | ) | (0.01 | ) | (0.38 | ) | |||||||||||||||
11/30/2021 | 7.30 | 0.35 | 0.14 | 0.49 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
11/30/2020 | 7.37 | 0.36 | (0.05 | )(f) | 0.31 | (0.38 | ) | – | (0.38 | ) | ||||||||||||||||||
11/30/2019 | 7.13 | 0.40 | 0.25 | 0.65 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2018 | 7.71 | 0.41 | (0.56 | ) | (0.15 | ) | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.17 | 0.16 | (0.10 | ) | 0.06 | (0.17 | ) | – | (0.17 | ) | ||||||||||||||||||
11/30/2022 | 7.39 | 0.31 | (1.19 | ) | (0.88 | ) | (0.33 | ) | (0.01 | ) | (0.34 | ) | ||||||||||||||||
11/30/2021 | 7.27 | 0.30 | 0.13 | 0.43 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
11/30/2020 | 7.33 | 0.32 | (0.04 | )(f) | 0.28 | (0.34 | ) | – | (0.34 | ) | ||||||||||||||||||
11/30/2019 | 7.09 | 0.35 | 0.26 | 0.61 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2018 | 7.67 | 0.36 | (0.56 | ) | (0.20 | ) | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.19 | 0.18 | (0.10 | ) | 0.08 | (0.19 | ) | – | (0.19 | ) | ||||||||||||||||||
11/30/2022 | 7.42 | 0.36 | (1.20 | ) | (0.84 | ) | (0.38 | ) | (0.01 | ) | (0.39 | ) | ||||||||||||||||
11/30/2021 | 7.30 | 0.35 | 0.14 | 0.49 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2020 | 7.36 | 0.37 | (0.04 | )(f) | 0.33 | (0.39 | ) | – | (0.39 | ) | ||||||||||||||||||
11/30/2019 | 7.12 | 0.40 | 0.26 | 0.66 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2018 | 7.70 | 0.42 | (0.56 | ) | (0.14 | ) | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.23 | 0.19 | (0.10 | ) | 0.09 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 7.46 | 0.37 | (1.20 | ) | (0.83 | ) | (0.39 | ) | (0.01 | ) | (0.40 | ) | ||||||||||||||||
11/30/2021 | 7.34 | 0.37 | 0.13 | 0.50 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2020 | 7.41 | 0.37 | (0.03 | )(f) | 0.34 | (0.41 | ) | – | (0.41 | ) | ||||||||||||||||||
11/30/2019 | 7.16 | 0.42 | 0.27 | 0.69 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2018 | 7.75 | 0.43 | (0.56 | ) | (0.13 | ) | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.23 | 0.19 | (0.10 | ) | 0.09 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 7.46 | 0.36 | (1.19 | ) | (0.83 | ) | (0.39 | ) | (0.01 | ) | (0.40 | ) | ||||||||||||||||
11/30/2021 | 7.34 | 0.36 | 0.14 | 0.50 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2020 | 7.40 | 0.37 | (0.03 | )(f) | 0.34 | (0.40 | ) | – | (0.40 | ) | ||||||||||||||||||
11/30/2019 | 7.16 | 0.41 | 0.26 | 0.67 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2018 | 7.74 | 0.43 | (0.56 | ) | (0.13 | ) | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.24 | 0.17 | (0.10 | ) | 0.07 | (0.18 | ) | – | (0.18 | ) | ||||||||||||||||||
11/30/2022 | 7.47 | 0.33 | (1.20 | ) | (0.87 | ) | (0.35 | ) | (0.01 | ) | (0.36 | ) | ||||||||||||||||
11/30/2021 | 7.35 | 0.32 | 0.13 | 0.45 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
11/30/2020 | 7.41 | 0.34 | (0.04 | )(f) | 0.30 | (0.36 | ) | – | (0.36 | ) | ||||||||||||||||||
11/30/2019 | 7.17 | 0.37 | 0.26 | 0.63 | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||||
11/30/2018 | 7.76 | 0.38 | (0.57 | ) | (0.19 | ) | (0.40 | ) | – | (0.40 | ) |
370 | 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 (%) | ||||||||||||||||||||
$ | 6.09 | 1.31 | (d) | 0.92 | (e) | 0.92 | (e) | 5.96 | (e) | $ | 754,505 | 40 | (d) | |||||||||||||
6.20 | (11.62 | ) | 0.89 | 0.90 | 5.24 | 799,529 | 106 | |||||||||||||||||||
7.43 | 6.74 | 0.88 | 0.88 | 4.59 | 1,089,069 | 113 | ||||||||||||||||||||
7.30 | 4.65 | 0.90 | 0.90 | 5.15 | 1,134,235 | 126 | ||||||||||||||||||||
7.37 | 9.37 | 0.91 | 0.91 | 5.42 | 1,218,731 | 86 | ||||||||||||||||||||
7.13 | (2.03 | ) | 0.90 | 0.90 | 5.48 | 1,126,386 | 107 | |||||||||||||||||||
6.06 | 0.99 | (d) | 1.54 | (e) | 1.54 | (e) | 5.33 | (e) | 146,195 | 40 | (d) | |||||||||||||||
6.17 | (12.12 | ) | 1.52 | 1.52 | 4.61 | 166,372 | 106 | |||||||||||||||||||
7.39 | 5.94 | 1.50 | 1.50 | 3.96 | 258,441 | 113 | ||||||||||||||||||||
7.27 | 4.14 | 1.53 | 1.53 | 4.55 | 287,145 | 126 | ||||||||||||||||||||
7.33 | 8.72 | 1.53 | 1.53 | 4.81 | 376,682 | 86 | ||||||||||||||||||||
7.09 | (2.70 | ) | 1.55 | 1.55 | 4.84 | 410,469 | 107 | |||||||||||||||||||
6.08 | 1.36 | (d) | 0.82 | (e) | 0.82 | (e) | 5.98 | (e) | 231,527 | 40 | (d) | |||||||||||||||
6.19 | (11.56 | ) | 0.79 | 0.80 | 5.22 | 456,720 | 106 | |||||||||||||||||||
7.42 | 6.70 | 0.77 | 0.77 | 4.68 | 2,239,174 | 113 | ||||||||||||||||||||
7.30 | 4.89 | 0.80 | 0.80 | 5.24 | 2,097,727 | 126 | ||||||||||||||||||||
7.36 | 9.48 | 0.81 | 0.81 | 5.52 | 2,144,680 | 86 | ||||||||||||||||||||
7.12 | (1.95 | ) | 0.80 | 0.80 | 5.58 | 2,082,549 | 107 | |||||||||||||||||||
6.12 | 1.47 | (d) | 0.61 | (e) | 0.61 | (e) | 6.27 | (e) | 582,686 | 40 | (d) | |||||||||||||||
6.23 | (11.29 | ) | 0.60 | 0.60 | 5.54 | 558,736 | 106 | |||||||||||||||||||
7.46 | 6.90 | 0.59 | 0.59 | 4.88 | 737,768 | 113 | ||||||||||||||||||||
7.34 | 4.97 | 0.60 | 0.60 | 5.31 | 1,984,689 | 126 | ||||||||||||||||||||
7.41 | 9.82 | 0.62 | 0.62 | 5.72 | 555,795 | 86 | ||||||||||||||||||||
7.16 | (1.85 | ) | 0.60 | 0.60 | 5.77 | 507,646 | 107 | |||||||||||||||||||
6.12 | 1.42 | (d) | 0.72 | (e) | 0.72 | (e) | 6.15 | (e) | 1,660,600 | 40 | (d) | |||||||||||||||
6.23 | (11.37 | ) | 0.69 | 0.70 | 5.46 | 1,753,902 | 106 | |||||||||||||||||||
7.46 | 6.80 | 0.67 | 0.67 | 4.78 | 1,759,013 | 113 | ||||||||||||||||||||
7.34 | 5.00 | 0.70 | 0.70 | 5.30 | 1,664,193 | 126 | ||||||||||||||||||||
7.40 | 9.57 | 0.71 | 0.71 | 5.61 | 1,610,253 | 86 | ||||||||||||||||||||
7.16 | (1.82 | ) | 0.70 | 0.70 | 5.66 | 1,412,203 | 107 | |||||||||||||||||||
6.13 | 1.12 | (d) | 1.32 | (e) | 1.32 | (e) | 5.56 | (e) | 4,670 | 40 | (d) | |||||||||||||||
6.24 | (11.88 | ) | 1.29 | 1.30 | 4.85 | 4,736 | 106 | |||||||||||||||||||
7.47 | 6.17 | 1.27 | 1.28 | 4.19 | 6,381 | 113 | ||||||||||||||||||||
7.35 | 4.39 | 1.31 | 1.31 | 4.81 | 6,662 | 126 | ||||||||||||||||||||
7.41 | 8.93 | 1.30 | 1.30 | 5.05 | 11,284 | 86 | ||||||||||||||||||||
7.17 | (2.50 | ) | 1.29 | 1.29 | 5.10 | 14,435 | 107 |
See Notes to Financial Statements. | 371 |
Financial Highlights (unaudited)(continued)
HIGH YIELD FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Return of capital | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 6.24 | $ 0.18 | $ (0.11 | ) | $ 0.07 | $ (0.18 | ) | $ | – | $ (0.18 | ) | |||||||||||||||||
11/30/2022 | 7.47 | 0.33 | (1.20 | ) | (0.87 | ) | (0.35 | ) | (0.01 | ) | (0.36 | ) | ||||||||||||||||
11/30/2021 | 7.35 | 0.32 | 0.14 | 0.46 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2020 | 7.41 | 0.34 | (0.04 | )(f) | 0.30 | (0.36 | ) | – | (0.36 | ) | ||||||||||||||||||
11/30/2019 | 7.17 | 0.38 | 0.25 | 0.63 | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||||
11/30/2018 | 7.75 | 0.39 | (0.56 | ) | (0.17 | ) | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.20 | 0.18 | (0.10 | ) | 0.08 | (0.19 | ) | – | (0.19 | ) | ||||||||||||||||||
11/30/2022 | 7.43 | 0.35 | (1.20 | ) | (0.85 | ) | (0.37 | ) | (0.01 | ) | (0.38 | ) | ||||||||||||||||
11/30/2021 | 7.30 | 0.34 | 0.14 | 0.48 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2020 | 7.37 | 0.36 | (0.05 | )(f) | 0.31 | (0.38 | ) | – | (0.38 | ) | ||||||||||||||||||
11/30/2019 | 7.12 | 0.39 | 0.27 | 0.66 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2018 | 7.71 | 0.41 | (0.57 | ) | (0.16 | ) | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.23 | 0.19 | (0.10 | ) | 0.09 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 7.46 | 0.36 | (1.19 | ) | (0.83 | ) | (0.39 | ) | (0.01 | ) | (0.40 | ) | ||||||||||||||||
11/30/2021 | 7.33 | 0.36 | 0.15 | 0.51 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2020 | 7.40 | 0.38 | (0.05 | )(f) | 0.33 | (0.40 | ) | – | (0.40 | ) | ||||||||||||||||||
11/30/2019 | 7.15 | 0.41 | 0.27 | 0.68 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2018 | 7.74 | 0.43 | (0.57 | ) | (0.14 | ) | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 6.23 | 0.19 | (0.10 | ) | 0.09 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 7.46 | 0.37 | (1.20 | ) | (0.83 | ) | (0.39 | ) | (0.01 | ) | (0.40 | ) | ||||||||||||||||
11/30/2021 | 7.34 | 0.37 | 0.13 | 0.50 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2020 | 7.41 | 0.38 | (0.04 | )(f) | 0.34 | (0.41 | ) | – | (0.41 | ) | ||||||||||||||||||
11/30/2019 | 7.16 | 0.42 | 0.27 | 0.69 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2018 | 7.75 | 0.43 | (0.56 | ) | (0.13 | ) | (0.46 | ) | – | (0.46 | ) |
(a) | Calculated using average shares outstanding during the period. | |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. | |
(c) | Unaudited. | |
(d) | Not annualized. | |
(e) | Annualized. | |
(f) | 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. |
372 | 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 (%) | ||||||||||||||||||||
$ | 6.13 | 1.17 | (d) | 1.22 | (e) | 1.22 | (e) | 5.66 | (e) | $ | 83,188 | 40 | (d) | |||||||||||||
6.24 | (11.80 | ) | 1.19 | 1.20 | 4.94 | 85,877 | 106 | |||||||||||||||||||
7.47 | 6.27 | 1.17 | 1.18 | 4.29 | 113,623 | 113 | ||||||||||||||||||||
7.35 | 4.49 | 1.20 | 1.20 | 4.87 | 114,737 | 126 | ||||||||||||||||||||
7.41 | 9.03 | 1.21 | 1.21 | 5.14 | 117,517 | 86 | ||||||||||||||||||||
7.17 | (2.28 | ) | 1.20 | 1.20 | 5.20 | 107,532 | 107 | |||||||||||||||||||
6.09 | 1.28 | (d) | 0.97 | (e) | 0.97 | (e) | 5.90 | (e) | 67,480 | 40 | (d) | |||||||||||||||
6.20 | (11.67 | ) | 0.94 | 0.95 | 5.20 | 76,122 | 106 | |||||||||||||||||||
7.43 | 6.69 | 0.92 | 0.93 | 4.54 | 96,477 | 113 | ||||||||||||||||||||
7.30 | 4.61 | 0.95 | 0.95 | 5.11 | 113,046 | 126 | ||||||||||||||||||||
7.37 | 9.48 | 0.96 | 0.96 | 5.38 | 109,351 | 86 | ||||||||||||||||||||
7.12 | (2.21 | ) | 0.95 | 0.95 | 5.45 | 91,526 | 107 | |||||||||||||||||||
6.12 | 1.58 | (d) | 0.72 | (e) | 0.72 | (e) | 6.16 | (e) | 185,842 | 40 | (d) | |||||||||||||||
6.23 | (11.52 | ) | 0.69 | 0.70 | 5.45 | 213,656 | 106 | |||||||||||||||||||
7.46 | 6.95 | 0.67 | 0.68 | 4.80 | 267,722 | 113 | ||||||||||||||||||||
7.33 | 4.87 | 0.70 | 0.70 | 5.37 | 256,527 | 126 | ||||||||||||||||||||
7.40 | 9.73 | 0.71 | 0.71 | 5.64 | 289,988 | 86 | ||||||||||||||||||||
7.15 | (1.94 | ) | 0.70 | 0.70 | 5.70 | 266,231 | 107 | |||||||||||||||||||
6.12 | 1.47 | (d) | 0.61 | (e) | 0.61 | (e) | 6.26 | (e) | 536,194 | 40 | (d) | |||||||||||||||
6.23 | (11.29 | ) | 0.60 | 0.60 | 5.55 | 581,901 | 106 | |||||||||||||||||||
7.46 | 6.90 | 0.58 | 0.59 | 4.88 | 700,615 | 113 | ||||||||||||||||||||
7.34 | 4.97 | 0.61 | 0.61 | 5.45 | 643,491 | 126 | ||||||||||||||||||||
7.41 | 9.82 | 0.62 | 0.62 | 5.71 | 620,871 | 86 | ||||||||||||||||||||
7.16 | (1.84 | ) | 0.60 | 0.61 | 5.78 | 451,009 | 107 |
See Notes to Financial Statements. | 373 |
Financial Highlights (unaudited)(continued)
INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 2.40 | $ 0.05 | $ 0.02 | $ 0.07 | $ (0.06 | ) | $ | – | $ (0.06 | ) | ||||||||||||||||||
11/30/2022 | 2.99 | 0.09 | (0.53 | ) | (0.44 | ) | (0.10 | ) | (0.05 | ) | (0.15 | ) | ||||||||||||||||
11/30/2021 | 3.01 | 0.08 | (0.01 | ) | 0.07 | (0.09 | ) | – | (0.09 | ) | ||||||||||||||||||
11/30/2020 | 2.90 | 0.09 | 0.13 | 0.22 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.24 | 0.34 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.18 | ) | (0.08 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.41 | 0.05 | 0.01 | 0.06 | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||||
11/30/2022 | 3.00 | 0.07 | (0.53 | ) | (0.46 | ) | (0.08 | ) | (0.05 | ) | (0.13 | ) | ||||||||||||||||
11/30/2021 | 3.02 | 0.06 | (0.01 | ) | 0.05 | (0.07 | ) | – | (0.07 | ) | ||||||||||||||||||
11/30/2020 | 2.92 | 0.07 | 0.12 | 0.19 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
11/30/2019 | 2.69 | 0.08 | 0.25 | 0.33 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2018 | 2.87 | 0.08 | (0.16 | ) | (0.08 | ) | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.40 | 0.05 | 0.02 | 0.07 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2022 | 2.99 | 0.08 | (0.52 | ) | (0.44 | ) | (0.10 | ) | (0.05 | ) | (0.15 | ) | ||||||||||||||||
11/30/2021 | 3.01 | 0.08 | (0.01 | ) | 0.07 | (0.09 | ) | – | (0.09 | ) | ||||||||||||||||||
11/30/2020 | 2.91 | 0.09 | 0.12 | 0.21 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.26 | 0.36 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.40 | 0.06 | 0.01 | 0.07 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2022 | 2.99 | 0.09 | (0.52 | ) | (0.43 | ) | (0.11 | ) | (0.05 | ) | (0.16 | ) | ||||||||||||||||
11/30/2021 | 3.01 | 0.08 | – | 0.08 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2020 | 2.90 | 0.10 | 0.12 | 0.22 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2019 | 2.67 | 0.11 | 0.24 | 0.35 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.40 | 0.06 | 0.01 | 0.07 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2022 | 2.99 | 0.09 | (0.53 | ) | (0.44 | ) | (0.10 | ) | (0.05 | ) | (0.15 | ) | ||||||||||||||||
11/30/2021 | 3.01 | 0.08 | – | 0.08 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2020 | 2.91 | 0.10 | 0.11 | 0.21 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.26 | 0.36 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) |
374 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 2.41 | 2.80 | (d) | 0.74 | (e) | 0.74 | (e) | 4.37 | (e) | $ | 982,928 | 62 | (d) | |||||||||||||
2.40 | (15.22 | ) | 0.74 | 0.75 | 3.29 | 967,719 | 158 | |||||||||||||||||||
2.99 | 2.38 | 0.73 | 0.73 | 2.53 | 1,275,012 | 112 | ||||||||||||||||||||
3.01 | 7.65 | 0.76 | 0.76 | 3.11 | 1,229,762 | 112 | ||||||||||||||||||||
2.90 | 13.02 | 0.77 | 0.77 | 3.53 | 1,054,889 | 108 | ||||||||||||||||||||
2.67 | (2.78 | ) | 0.77 | 0.81 | 3.46 | 836,525 | 117 | |||||||||||||||||||
2.42 | 2.49 | (d) | 1.35 | (e) | 1.35 | (e) | 3.75 | (e) | 42,600 | 62 | (d) | |||||||||||||||
2.41 | (15.68 | ) | 1.37 | 1.37 | 2.61 | 45,245 | 158 | |||||||||||||||||||
3.00 | 1.74 | 1.36 | 1.36 | 1.90 | 81,240 | 112 | ||||||||||||||||||||
3.02 | 6.60 | 1.38 | 1.38 | 2.53 | 107,888 | 112 | ||||||||||||||||||||
2.92 | 12.26 | 1.38 | 1.38 | 2.93 | 162,000 | 108 | ||||||||||||||||||||
2.69 | (3.00 | ) | 1.39 | 1.43 | 2.82 | 166,762 | 117 | |||||||||||||||||||
2.41 | 2.85 | (d) | 0.64 | (e) | 0.64 | (e) | 4.40 | (e) | 64,595 | 62 | (d) | |||||||||||||||
2.40 | (15.14 | ) | 0.64 | 0.64 | 3.08 | 111,920 | 158 | |||||||||||||||||||
2.99 | 2.48 | 0.63 | 0.63 | 2.62 | 570,553 | 112 | ||||||||||||||||||||
3.01 | 7.38 | 0.66 | 0.66 | 3.20 | 570,685 | 112 | ||||||||||||||||||||
2.91 | 13.09 | 0.67 | 0.67 | 3.61 | 591,492 | 108 | ||||||||||||||||||||
2.67 | (2.33 | ) | 0.67 | 0.71 | 3.55 | 434,593 | 117 | |||||||||||||||||||
2.41 | 2.94 | (d) | 0.46 | (e) | 0.46 | (e) | 4.64 | (e) | 1,010,363 | 62 | (d) | |||||||||||||||
2.40 | (14.98 | ) | 0.46 | 0.46 | 3.59 | 849,235 | 158 | |||||||||||||||||||
2.99 | 2.66 | 0.45 | 0.45 | 2.79 | 985,589 | 112 | ||||||||||||||||||||
3.01 | 7.95 | 0.47 | 0.47 | 3.38 | 722,882 | 112 | ||||||||||||||||||||
2.90 | 13.33 | 0.49 | 0.49 | 3.79 | 586,822 | 108 | ||||||||||||||||||||
2.67 | (2.51 | ) | 0.47 | 0.51 | 3.75 | 394,646 | 117 | |||||||||||||||||||
2.41 | 2.90 | (d) | 0.53 | (e) | 0.53 | (e) | 4.59 | (e) | 747,236 | 62 | (d) | |||||||||||||||
2.40 | (15.05 | ) | 0.54 | 0.55 | 3.72 | 429,047 | 158 | |||||||||||||||||||
2.99 | 2.58 | 0.53 | 0.53 | 2.73 | 135,925 | 112 | ||||||||||||||||||||
3.01 | 7.49 | 0.56 | 0.56 | 3.33 | 155,970 | 112 | ||||||||||||||||||||
2.91 | 13.63 | 0.57 | 0.57 | 3.73 | 184,515 | 108 | ||||||||||||||||||||
2.67 | (2.59 | ) | 0.57 | 0.60 | 3.66 | 165,736 | 117 |
See Notes to Financial Statements. | 375 |
Financial Highlights (unaudited)(continued)
INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 2.42 | $ 0.05 | $ | – | (f) | $ 0.05 | $ (0.05 | ) | $ | – | $ (0.05 | ) | ||||||||||||||||
11/30/2022 | 3.01 | 0.08 | (0.53 | ) | (0.45 | ) | (0.09 | ) | (0.05 | ) | (0.14 | ) | ||||||||||||||||
11/30/2021 | 3.03 | 0.06 | – | 0.06 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
11/30/2020 | 2.93 | 0.08 | 0.11 | 0.19 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
11/30/2019 | 2.70 | 0.09 | 0.24 | 0.33 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2018 | 2.88 | 0.09 | (0.17 | ) | (0.08 | ) | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.41 | 0.05 | 0.01 | 0.06 | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||||
11/30/2022 | 3.00 | 0.08 | (0.53 | ) | (0.45 | ) | (0.09 | ) | (0.05 | ) | (0.14 | ) | ||||||||||||||||
11/30/2021 | 3.02 | 0.07 | (0.01 | ) | 0.06 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
11/30/2020 | 2.91 | 0.08 | 0.13 | 0.21 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2019 | 2.68 | 0.09 | 0.24 | 0.33 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2018 | 2.87 | 0.09 | (0.18 | ) | (0.09 | ) | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.40 | 0.05 | 0.02 | 0.07 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2022 | 2.99 | 0.09 | (0.53 | ) | (0.44 | ) | (0.10 | ) | (0.05 | ) | (0.15 | ) | ||||||||||||||||
11/30/2021 | 3.01 | 0.08 | (0.01 | ) | 0.07 | (0.09 | ) | – | (0.09 | ) | ||||||||||||||||||
11/30/2020 | 2.90 | 0.09 | 0.12 | 0.21 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.24 | 0.34 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.18 | ) | (0.08 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.40 | 0.06 | 0.01 | 0.07 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2022 | 2.99 | 0.09 | (0.53 | ) | (0.44 | ) | (0.10 | ) | (0.05 | ) | (0.15 | ) | ||||||||||||||||
11/30/2021 | 3.01 | 0.08 | – | 0.08 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2020 | 2.91 | 0.10 | 0.11 | 0.21 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2019 | 2.68 | 0.11 | 0.24 | 0.35 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.16 | ) | (0.06 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 2.40 | 0.06 | 0.01 | 0.07 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2022 | 2.99 | 0.09 | (0.52 | ) | (0.43 | ) | (0.11 | ) | (0.05 | ) | (0.16 | ) | ||||||||||||||||
11/30/2021 | 3.01 | 0.08 | – | 0.08 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2020 | 2.90 | 0.10 | 0.12 | 0.22 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2019 | 2.67 | 0.11 | 0.24 | 0.35 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) |
(a) | Calculated using average shares outstanding during the period. | |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. | |
(c) | Unaudited. | |
(d) | Not annualized. | |
(e) | Annualized. | |
(f) | Amount less than $0.01. |
376 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 2.42 | 2.17 | (d) | 1.14 | (e) | 1.14 | (e) | 3.97 | (e) | $ | 1,155 | 62 | (d) | |||||||||||||
2.42 | (15.43 | ) | 1.14 | 1.15 | 2.90 | 1,107 | 158 | |||||||||||||||||||
3.01 | 1.98 | 1.13 | 1.13 | 2.14 | 1,350 | 112 | ||||||||||||||||||||
3.03 | 6.83 | 1.16 | 1.16 | 2.73 | 1,730 | 112 | ||||||||||||||||||||
2.93 | 12.47 | 1.17 | 1.17 | 3.17 | 1,285 | 108 | ||||||||||||||||||||
2.70 | (2.76 | ) | 1.17 | 1.21 | 3.05 | 1,667 | 117 | |||||||||||||||||||
2.42 | 2.64 | (d) | 1.04 | (e) | 1.04 | (e) | 4.07 | (e) | 50,288 | 62 | (d) | |||||||||||||||
2.41 | (15.41 | ) | 1.04 | 1.05 | 3.00 | 47,036 | 158 | |||||||||||||||||||
3.00 | 2.08 | 1.03 | 1.03 | 2.23 | 56,410 | 112 | ||||||||||||||||||||
3.02 | 7.32 | 1.06 | 1.06 | 2.83 | 53,114 | 112 | ||||||||||||||||||||
2.91 | 12.65 | 1.07 | 1.07 | 3.24 | 55,317 | 108 | ||||||||||||||||||||
2.68 | (3.05 | ) | 1.07 | 1.11 | 3.16 | 50,016 | 117 | |||||||||||||||||||
2.41 | 2.77 | (d) | 0.79 | (e) | 0.79 | (e) | 4.32 | (e) | 6,142 | 62 | (d) | |||||||||||||||
2.40 | (15.26 | ) | 0.79 | 0.80 | 3.38 | 5,992 | 158 | |||||||||||||||||||
2.99 | 2.33 | 0.78 | 0.78 | 2.50 | 4,501 | 112 | ||||||||||||||||||||
3.01 | 7.60 | 0.81 | 0.81 | 3.07 | 9,205 | 112 | ||||||||||||||||||||
2.90 | 12.97 | 0.82 | 0.82 | 3.46 | 9,218 | 108 | ||||||||||||||||||||
2.67 | (2.83 | ) | 0.82 | 0.85 | 3.44 | 5,363 | 117 | |||||||||||||||||||
2.41 | 2.90 | (d) | 0.54 | (e) | 0.54 | (e) | 4.58 | (e) | 1,964 | 62 | (d) | |||||||||||||||
2.40 | (15.05 | ) | 0.54 | 0.55 | 3.31 | 1,559 | 158 | |||||||||||||||||||
2.99 | 2.59 | 0.53 | 0.53 | 2.73 | 6,309 | 112 | ||||||||||||||||||||
3.01 | 7.50 | 0.56 | 0.56 | 3.32 | 6,548 | 112 | ||||||||||||||||||||
2.91 | 13.21 | 0.57 | 0.57 | 3.73 | 6,099 | 108 | ||||||||||||||||||||
2.68 | (2.23 | ) | 0.58 | 0.62 | 3.54 | 4,048 | 117 | |||||||||||||||||||
2.41 | 2.94 | (d) | 0.46 | (e) | 0.46 | (e) | 4.64 | (e) | 45,139 | 62 | (d) | |||||||||||||||
2.40 | (14.98 | ) | 0.46 | 0.46 | 3.59 | 42,966 | 158 | |||||||||||||||||||
2.99 | 2.67 | 0.45 | 0.45 | 2.81 | 60,434 | 112 | ||||||||||||||||||||
3.01 | 7.95 | 0.48 | 0.48 | 3.40 | 55,981 | 112 | ||||||||||||||||||||
2.90 | 13.34 | 0.49 | 0.49 | 3.81 | 52,133 | 108 | ||||||||||||||||||||
2.67 | (2.50 | ) | 0.47 | 0.51 | 3.77 | 33,975 | 117 |
See Notes to Financial Statements. | 377 |
Financial Highlights (unaudited)(continued)
INFLATION FOCUSED FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
5/31/2023(c) | $11.65 | $0.17 | $(0.06 | ) | $ | 0.11 | $(0.23 | ) | $11.53 | |||||||||||||||
11/30/2022 | 12.44 | 0.25 | (0.68 | ) | (0.43 | ) | (0.36 | ) | 11.65 | |||||||||||||||
11/30/2021 | 11.33 | 0.13 | 1.28 | 1.41 | (0.30 | ) | 12.44 | |||||||||||||||||
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 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
5/31/2023(c) | 11.67 | 0.13 | (0.08 | ) | 0.05 | (0.18 | ) | 11.54 | ||||||||||||||||
11/30/2022 | 12.46 | 0.16 | (0.68 | ) | (0.52 | ) | (0.27 | ) | 11.67 | |||||||||||||||
11/30/2021 | 11.35 | 0.05 | 1.29 | 1.34 | (0.23 | ) | 12.46 | |||||||||||||||||
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 | ||||||||||||||||
Class F | ||||||||||||||||||||||||
5/31/2023(c) | 11.67 | 0.18 | (0.07 | ) | 0.11 | (0.23 | ) | 11.55 | ||||||||||||||||
11/30/2022 | 12.46 | 0.23 | (0.65 | ) | (0.42 | ) | (0.37 | ) | 11.67 | |||||||||||||||
11/30/2021 | 11.35 | 0.14 | 1.29 | 1.43 | (0.32 | ) | 12.46 | |||||||||||||||||
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 | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||
5/31/2023(c) | 11.66 | 0.19 | (0.07 | ) | 0.12 | (0.24 | ) | 11.54 | ||||||||||||||||
11/30/2022 | 12.45 | 0.29 | (0.69 | ) | (0.40 | ) | (0.39 | ) | 11.66 | |||||||||||||||
11/30/2021 | 11.34 | 0.14 | 1.30 | 1.44 | (0.33 | ) | 12.45 | |||||||||||||||||
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 | ||||||||||||||||
Class I | ||||||||||||||||||||||||
5/31/2023(c) | 11.65 | 0.19 | (0.08 | ) | 0.11 | (0.24 | ) | 11.52 | ||||||||||||||||
11/30/2022 | 12.44 | 0.29 | (0.69 | ) | (0.40 | ) | (0.39 | ) | 11.65 | |||||||||||||||
11/30/2021 | 11.34 | 0.16 | 1.27 | 1.43 | (0.33 | ) | 12.44 | |||||||||||||||||
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 | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||
5/31/2023(c) | 11.60 | 0.15 | (0.08 | ) | 0.07 | (0.20 | ) | 11.47 | ||||||||||||||||
11/30/2022 | 12.38 | 0.23 | (0.70 | ) | (0.47 | ) | (0.31 | ) | 11.60 | |||||||||||||||
11/30/2021 | 11.30 | 0.11 | 1.23 | 1.34 | (0.26 | ) | 12.38 | |||||||||||||||||
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 |
378 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
1.05 | (d) | 0.74 | (e) | 0.74 | (e) | 3.02 | (e) | $ | 322,251 | 10 | (d) | |||||||||||
(3.51 | ) | 0.66 | 0.67 | 2.02 | 472,591 | 67 | ||||||||||||||||
12.59 | 0.64 | 0.64 | 1.06 | 560,624 | 97 | |||||||||||||||||
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 | |||||||||||||||||
0.61 | (d) | 1.45 | (e) | 1.45 | (e) | 2.31 | (e) | 68,489 | 10 | (d) | ||||||||||||
(4.20 | ) | 1.40 | 1.40 | 1.34 | 94,132 | 67 | ||||||||||||||||
11.85 | 1.31 | 1.31 | 0.39 | 92,580 | 97 | |||||||||||||||||
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 | |||||||||||||||||
1.10 | (d) | 0.64 | (e) | 0.64 | (e) | 3.09 | (e) | 103,121 | 10 | (d) | ||||||||||||
(3.40 | ) | 0.54 | 0.55 | 1.83 | 284,593 | 67 | ||||||||||||||||
12.68 | 0.54 | 0.54 | 1.11 | 1,818,238 | 97 | |||||||||||||||||
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 | |||||||||||||||||
1.20 | (d) | 0.45 | (e) | 0.45 | (e) | 3.31 | (e) | 185,460 | 10 | (d) | ||||||||||||
(3.23 | ) | 0.38 | 0.39 | 2.39 | 308,596 | 67 | ||||||||||||||||
12.86 | 0.38 | 0.38 | 1.17 | 236,951 | 97 | |||||||||||||||||
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 | |||||||||||||||||
1.07 | (d) | 0.54 | (e) | 0.54 | (e) | 3.21 | (e) | 1,021,463 | 10 | (d) | ||||||||||||
(3.31 | ) | 0.47 | 0.48 | 2.37 | 1,476,955 | 67 | ||||||||||||||||
12.73 | 0.44 | 0.45 | 1.32 | 1,006,157 | 97 | |||||||||||||||||
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 | |||||||||||||||||
0.85 | (d) | 1.14 | (e) | 1.14 | (e) | 2.64 | (e) | 273 | 10 | (d) | ||||||||||||
(3.92 | ) | 1.08 | 1.09 | 1.97 | 169 | 67 | ||||||||||||||||
11.96 | 1.07 | 1.07 | 0.96 | — | 97 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 379 |
Financial Highlights (unaudited)(continued)
INFLATION FOCUSED FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||
5/31/2023(c) | $11.65 | $0.16 | $(0.08 | ) | $0.08 | $(0.21 | ) | $11.52 | ||||||||||||||||
11/30/2022 | 12.44 | 0.22 | (0.69 | ) | (0.47 | ) | (0.32 | ) | 11.65 | |||||||||||||||
11/30/2021 | 11.34 | 0.11 | 1.26 | 1.37 | (0.27 | ) | 12.44 | |||||||||||||||||
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 | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||
5/31/2023(c) | 11.65 | 0.17 | (0.08 | ) | 0.09 | (0.22 | ) | 11.52 | ||||||||||||||||
11/30/2022 | 12.44 | 0.24 | (0.68 | ) | (0.44 | ) | (0.35 | ) | 11.65 | |||||||||||||||
11/30/2021 | 11.34 | 0.15 | 1.25 | 1.40 | (0.30 | ) | 12.44 | |||||||||||||||||
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 | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||
5/31/2023(c) | 11.64 | 0.19 | (0.08 | ) | 0.11 | (0.24 | ) | 11.51 | ||||||||||||||||
11/30/2022 | 12.43 | 0.29 | (0.70 | ) | (0.41 | ) | (0.38 | ) | 11.64 | |||||||||||||||
11/30/2021 | 11.33 | 0.17 | 1.26 | 1.43 | (0.33 | ) | 12.43 | |||||||||||||||||
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 | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||
5/31/2023(c) | 11.64 | 0.19 | (0.07 | ) | 0.12 | (0.24 | ) | 11.52 | ||||||||||||||||
11/30/2022 | 12.43 | 0.27 | (0.67 | ) | (0.40 | ) | (0.39 | ) | 11.64 | |||||||||||||||
11/30/2021 | 11.34 | 0.18 | 1.25 | 1.43 | (0.34 | ) | 12.43 | |||||||||||||||||
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 | ||||||||||||||||
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | 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. |
380 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
0.90 | (d) | 1.03 | (e) | 1.03 | (e) | 2.73 | (e) | $ | 568 | 10 | (d) | |||||||||||
(3.88 | ) | 0.97 | 0.97 | 1.81 | 462 | 67 | ||||||||||||||||
12.17 | 0.94 | 0.95 | 0.90 | 402 | 97 | |||||||||||||||||
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 | |||||||||||||||||
0.94 | (d) | 0.79 | (e) | 0.79 | (e) | 2.99 | (e) | 2,323 | 10 | (d) | ||||||||||||
(3.55 | ) | 0.72 | 0.72 | 1.97 | 1,682 | 67 | ||||||||||||||||
12.46 | 0.70 | 0.70 | 1.21 | 2,020 | 97 | |||||||||||||||||
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 | |||||||||||||||||
1.07 | (d) | 0.51 | (e) | 0.51 | (e) | 3.29 | (e) | 1,899 | 10 | (d) | ||||||||||||
(3.32 | ) | 0.48 | 0.48 | 2.42 | 473 | 67 | ||||||||||||||||
12.75 | 0.45 | 0.45 | 1.40 | 304 | 97 | |||||||||||||||||
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 | |||||||||||||||||
1.20 | (d) | 0.45 | (e) | 0.45 | (e) | 3.29 | (e) | 9,536 | 10 | (d) | ||||||||||||
(3.24 | ) | 0.38 | 0.39 | 2.25 | 11,328 | 67 | ||||||||||||||||
12.71 | 0.39 | 0.40 | 1.52 | 16,742 | 97 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 381 |
Financial Highlights (unaudited)(continued)
SHORT DURATION CORE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | Total return(b) (%) | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $9.12 | $0.19 | $0.01 | $0.20 | $(0.20 | ) | $9.12 | 2.22 | (d) | |||||||||||||||||||
11/30/2022 | 9.77 | 0.18 | (0.58 | ) | (0.40 | ) | (0.25 | ) | 9.12 | (4.16 | ) | |||||||||||||||||
11/30/2021 | 9.89 | 0.07 | (0.02 | ) | 0.05 | (0.17 | ) | 9.77 | 0.48 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.14 | 0.10 | 0.24 | (0.24 | ) | 9.89 | 2.46 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.24 | 0.23 | 0.47 | (0.30 | ) | 9.89 | 4.87 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.22 | (0.12 | ) | 0.10 | (0.30 | ) | 9.72 | 1.04 | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.11 | 0.16 | 0.02 | 0.18 | (0.17 | ) | 9.12 | 2.01 | (d) | |||||||||||||||||||
11/30/2022 | 9.76 | 0.11 | (0.58 | ) | (0.47 | ) | (0.18 | ) | 9.11 | (4.79 | ) | |||||||||||||||||
11/30/2021 | 9.89 | – | (f) | (0.03 | ) | (0.03 | ) | (0.10 | ) | 9.76 | (0.29 | ) | ||||||||||||||||
11/30/2020 | 9.89 | 0.09 | 0.08 | 0.17 | (0.17 | ) | 9.89 | 1.76 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.17 | 0.23 | 0.40 | (0.23 | ) | 9.89 | 4.15 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.14 | (0.11 | ) | 0.03 | (0.23 | ) | 9.72 | 0.27 | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.11 | 0.19 | 0.03 | 0.22 | (0.21 | ) | 9.12 | 2.38 | (d) | |||||||||||||||||||
11/30/2022 | 9.76 | 0.14 | (0.53 | ) | (0.39 | ) | (0.26 | ) | 9.11 | (4.06 | ) | |||||||||||||||||
11/30/2021 | 9.89 | 0.08 | (0.03 | ) | 0.05 | (0.18 | ) | 9.76 | 0.48 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.16 | 0.09 | 0.25 | (0.25 | ) | 9.89 | 2.54 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.24 | 0.24 | 0.48 | (0.31 | ) | 9.89 | 4.97 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.23 | (0.12 | ) | 0.11 | (0.31 | ) | 9.72 | 1.14 | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.11 | 0.20 | 0.02 | 0.22 | (0.21 | ) | 9.12 | 2.47 | (d) | |||||||||||||||||||
11/30/2022 | 9.76 | 0.26 | (0.64 | ) | (0.38 | ) | (0.27 | ) | 9.11 | (3.91 | ) | |||||||||||||||||
11/30/2021 | 9.88 | 0.10 | (0.02 | ) | 0.08 | (0.20 | ) | 9.76 | 0.80 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.37 | (0.11 | ) | 0.26 | (0.27 | ) | 9.88 | 2.65 | |||||||||||||||||||
11/30/2019 | 9.72 | 0.27 | 0.22 | 0.49 | (0.32 | ) | 9.89 | 5.13 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.11 | ) | 0.13 | (0.33 | ) | 9.72 | 1.34 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.11 | 0.20 | 0.02 | 0.22 | (0.21 | ) | 9.12 | 2.43 | (d) | |||||||||||||||||||
11/30/2022 | 9.77 | 0.19 | (0.58 | ) | (0.39 | ) | (0.27 | ) | 9.11 | (4.06 | ) | |||||||||||||||||
11/30/2021 | 9.89 | 0.09 | (0.02 | ) | 0.07 | (0.19 | ) | 9.77 | 0.68 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.16 | 0.10 | 0.26 | (0.26 | ) | 9.89 | 2.65 | ||||||||||||||||||||
11/30/2019 | 9.71 | 0.24 | 0.26 | 0.50 | (0.32 | ) | 9.89 | 5.18 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.13 | ) | 0.11 | (0.32 | ) | 9.71 | 1.14 |
382 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
0.60 | (e) | 0.74 | (e) | 4.11 | (e) | $ | 77,457 | 58 | (d) | |||||||||
0.60 | 0.79 | 1.88 | 44,849 | 176 | ||||||||||||||
0.60 | 0.79 | 0.71 | 47,227 | 220 | ||||||||||||||
0.60 | 1.00 | 1.47 | 32,022 | 351 | ||||||||||||||
0.60 | 1.81 | 2.47 | 8,032 | 136 | ||||||||||||||
0.60 | 3.11 | 2.21 | 3,844 | 177 | ||||||||||||||
1.24 | (e) | 1.39 | (e) | 3.44 | (e) | 5,098 | 58 | (d) | ||||||||||
1.26 | 1.46 | 1.18 | 4,445 | 176 | ||||||||||||||
1.28 | 1.47 | 0.04 | 4,026 | 220 | ||||||||||||||
1.28 | 1.71 | 0.90 | 4,334 | 351 | ||||||||||||||
1.29 | 2.54 | 1.77 | 2,238 | 136 | ||||||||||||||
1.39 | 3.88 | 1.42 | 1,083 | 177 | ||||||||||||||
0.50 | (e) | 0.64 | (e) | 4.17 | (e) | 28,384 | 58 | (d) | ||||||||||
0.50 | 0.68 | 1.46 | 19,105 | 176 | ||||||||||||||
0.50 | 0.69 | 0.81 | 104,324 | 220 | ||||||||||||||
0.50 | 0.91 | 1.58 | 82,951 | 351 | ||||||||||||||
0.50 | 1.46 | 2.40 | 29,007 | 136 | ||||||||||||||
0.50 | 3.00 | 2.32 | 4,212 | 177 | ||||||||||||||
0.32 | (e) | 0.47 | (e) | 4.37 | (e) | 37,213 | 58 | (d) | ||||||||||
0.33 | 0.49 | 2.83 | 29,952 | 176 | ||||||||||||||
0.34 | 0.52 | 1.02 | 514 | 220 | ||||||||||||||
0.36 | 1.06 | 3.78 | 12 | 351 | ||||||||||||||
0.36 | 1.64 | 2.72 | 1,612 | 136 | ||||||||||||||
0.32 | 2.87 | 2.47 | 1,533 | 177 | ||||||||||||||
0.40 | (e) | 0.54 | (e) | 4.30 | (e) | 218,269 | 58 | (d) | ||||||||||
0.40 | 0.59 | 2.08 | 135,395 | 176 | ||||||||||||||
0.40 | 0.59 | 0.89 | 26,463 | 220 | ||||||||||||||
0.40 | 0.80 | 1.63 | 4,402 | 351 | ||||||||||||||
0.40 | 1.35 | 2.49 | 1,821 | 136 | ||||||||||||||
0.40 | 2.88 | 2.42 | 127 | 177 |
See Notes to Financial Statements. | 383 |
Financial Highlights (unaudited)(continued)
SHORT DURATION CORE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | Total return(b) (%) | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | $9.11 | $0.17 | $0.03 | $0.20 | $(0.19 | ) | $9.12 | 2.18 | (d) | |||||||||||||||||||
11/30/2022 | 9.76 | 0.19 | (0.62 | ) | (0.43 | ) | (0.22 | ) | 9.11 | (4.45 | ) | |||||||||||||||||
11/30/2021 | 9.89 | 0.04 | (0.03 | ) | 0.01 | (0.14 | ) | 9.76 | 0.09 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.13 | 0.08 | 0.21 | (0.21 | ) | 9.89 | 2.16 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.21 | 0.23 | 0.44 | (0.27 | ) | 9.89 | 4.56 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.19 | (0.12 | ) | 0.07 | (0.27 | ) | 9.72 | 0.75 | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.11 | 0.19 | 0.02 | 0.21 | (0.20 | ) | 9.12 | 2.30 | (d) | |||||||||||||||||||
11/30/2022 | 9.77 | 0.16 | (0.58 | ) | (0.42 | ) | (0.24 | ) | 9.11 | (4.31 | ) | |||||||||||||||||
11/30/2021 | 9.89 | 0.07 | (0.03 | ) | 0.04 | (0.16 | ) | 9.77 | 0.44 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.18 | 0.05 | 0.23 | (0.23 | ) | 9.89 | 2.41 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.24 | 0.22 | 0.46 | (0.29 | ) | 9.89 | 4.82 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.21 | (0.11 | ) | 0.10 | (0.30 | ) | 9.72 | 1.00 | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.11 | 0.20 | 0.02 | 0.22 | (0.21 | ) | 9.12 | 2.43 | (d) | |||||||||||||||||||
11/30/2022 | 9.77 | 0.18 | (0.58 | ) | (0.40 | ) | (0.26 | ) | 9.11 | (4.07 | ) | |||||||||||||||||
11/30/2021 | 9.89 | 0.09 | (0.02 | ) | 0.07 | (0.19 | ) | 9.77 | 0.68 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.20 | 0.06 | 0.26 | (0.26 | ) | 9.89 | 2.66 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.26 | 0.23 | 0.49 | (0.32 | ) | 9.89 | 5.08 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.23 | (0.11 | ) | 0.12 | (0.32 | ) | 9.72 | 1.25 | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.11 | 0.20 | 0.02 | 0.22 | (0.21 | ) | 9.12 | 2.47 | (d) | |||||||||||||||||||
11/30/2022 | 9.76 | 0.19 | (0.57 | ) | (0.38 | ) | (0.27 | ) | 9.11 | (3.90 | ) | |||||||||||||||||
11/30/2021 | 9.89 | 0.10 | (0.04 | ) | 0.06 | (0.19 | ) | 9.76 | 0.65 | |||||||||||||||||||
11/30/2020 | 9.89 | 0.21 | 0.06 | 0.27 | (0.27 | ) | 9.89 | 2.75 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.27 | 0.22 | 0.49 | (0.32 | ) | 9.89 | 5.13 | ||||||||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.11 | ) | 0.13 | (0.33 | ) | 9.72 | 1.34 | |||||||||||||||||||
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Amount less than $0.01. |
384 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
0.90 | (e) | 1.05 | (e) | 3.78 | (e) | $ | 590 | 58 | (d) | |||||||||
0.90 | 1.12 | 2.03 | 582 | 176 | ||||||||||||||
0.90 | 1.09 | 0.42 | 61 | 220 | ||||||||||||||
0.90 | 1.34 | 1.32 | 98 | 351 | ||||||||||||||
0.90 | 2.14 | 2.17 | 76 | 136 | ||||||||||||||
0.90 | 3.42 | 1.92 | 49 | 177 | ||||||||||||||
0.65 | (e) | 0.75 | (e) | 4.08 | (e) | 20 | 58 | (d) | ||||||||||
0.65 | 0.80 | 1.71 | 11 | 176 | ||||||||||||||
0.65 | 0.81 | 0.67 | 12 | 220 | ||||||||||||||
0.65 | 1.11 | 1.81 | 12 | 351 | ||||||||||||||
0.65 | 1.95 | 2.42 | 27 | 136 | ||||||||||||||
0.65 | 3.13 | 2.14 | 25 | 177 | ||||||||||||||
0.40 | (e) | 0.49 | (e) | 4.27 | (e) | 11 | 58 | (d) | ||||||||||
0.40 | 0.57 | 1.95 | 11 | 176 | ||||||||||||||
0.40 | 0.57 | 0.90 | 12 | 220 | ||||||||||||||
0.40 | 0.87 | 2.06 | 12 | 351 | ||||||||||||||
0.40 | 1.69 | 2.67 | 27 | 136 | ||||||||||||||
0.40 | 2.88 | 2.39 | 26 | 177 | ||||||||||||||
0.32 | (e) | 0.47 | (e) | 4.31 | (e) | 654 | 58 | (d) | ||||||||||
0.33 | 0.49 | 2.04 | 925 | 176 | ||||||||||||||
0.34 | 0.52 | 0.98 | 963 | 220 | ||||||||||||||
0.36 | 0.81 | 2.17 | 911 | 351 | ||||||||||||||
0.36 | 1.63 | 2.72 | 1,961 | 136 | ||||||||||||||
0.32 | 2.87 | 2.48 | 1,653 | 177 | ||||||||||||||
See Notes to Financial Statements. | 385 |
Financial Highlights (unaudited)(continued)
SHORT DURATION INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | Total return(b) (%) | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $3.84 | $0.07 | $0.01 | $0.08 | $(0.08 | ) | $3.84 | 2.14 | (d) | |||||||||||||||||||
11/30/2022 | 4.16 | 0.08 | (0.28 | ) | (0.20 | ) | (0.12 | ) | 3.84 | (4.90 | ) | |||||||||||||||||
11/30/2021 | 4.20 | 0.07 | (0.01 | ) | 0.06 | (0.10 | ) | 4.16 | 1.40 | |||||||||||||||||||
11/30/2020 | 4.21 | 0.09 | 0.02 | (f) | 0.11 | (0.12 | ) | 4.20 | 2.76 | |||||||||||||||||||
11/30/2019 | 4.14 | 0.12 | 0.10 | 0.22 | (0.15 | ) | 4.21 | 5.48 | ||||||||||||||||||||
11/30/2018 | 4.26 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | 4.14 | 0.96 | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.86 | 0.06 | 0.01 | 0.07 | (0.07 | ) | 3.86 | 1.83 | (d) | |||||||||||||||||||
11/30/2022 | 4.19 | 0.06 | (0.30 | ) | (0.24 | ) | (0.09 | ) | 3.86 | (5.69 | ) | |||||||||||||||||
11/30/2021 | 4.22 | 0.04 | – | 0.04 | (0.07 | ) | 4.19 | 0.99 | ||||||||||||||||||||
11/30/2020 | 4.23 | 0.07 | 0.02 | (f) | 0.09 | (0.10 | ) | 4.22 | 2.10 | |||||||||||||||||||
11/30/2019 | 4.17 | 0.10 | 0.09 | 0.19 | (0.13 | ) | 4.23 | 4.57 | ||||||||||||||||||||
11/30/2018 | 4.29 | 0.09 | (0.08 | ) | 0.01 | (0.13 | ) | 4.17 | 0.35 | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.83 | 0.07 | 0.02 | 0.09 | (0.08 | ) | 3.84 | 2.46 | (d) | |||||||||||||||||||
11/30/2022 | 4.16 | 0.08 | (0.29 | ) | (0.21 | ) | (0.12 | ) | 3.83 | (5.05 | ) | |||||||||||||||||
11/30/2021 | 4.19 | 0.07 | – | 0.07 | (0.10 | ) | 4.16 | 1.74 | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.01 | (f) | 0.11 | (0.13 | ) | 4.19 | 2.62 | |||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | 5.58 | ||||||||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.08 | ) | 0.04 | (0.16 | ) | 4.14 | 1.06 | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.84 | 0.07 | 0.02 | 0.09 | (0.09 | ) | 3.84 | 2.28 | (d) | |||||||||||||||||||
11/30/2022 | 4.17 | 0.10 | (0.30 | ) | (0.20 | ) | (0.13 | ) | 3.84 | (4.87 | ) | |||||||||||||||||
11/30/2021 | 4.20 | 0.08 | – | 0.08 | (0.11 | ) | 4.17 | 1.91 | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.02 | (f) | 0.12 | (0.13 | ) | 4.20 | 3.03 | |||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | 5.75 | ||||||||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | 4.14 | 1.22 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.83 | 0.07 | 0.02 | 0.09 | (0.09 | ) | 3.83 | 2.25 | (d) | |||||||||||||||||||
11/30/2022 | 4.16 | 0.10 | (0.30 | ) | (0.20 | ) | (0.13 | ) | 3.83 | (4.95 | ) | |||||||||||||||||
11/30/2021 | 4.19 | 0.07 | 0.01 | (f) | 0.08 | (0.11 | ) | 4.16 | 1.85 | |||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.01 | (f) | 0.11 | (0.13 | ) | 4.19 | 2.97 | |||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | 5.44 | ||||||||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.06 | ) | 0.06 | (0.17 | ) | 4.14 | 1.40 | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.84 | 0.06 | 0.01 | 0.07 | (0.07 | ) | 3.84 | 1.94 | (d) | |||||||||||||||||||
11/30/2022 | 4.16 | 0.07 | (0.29 | ) | (0.22 | ) | (0.10 | ) | 3.84 | (5.28 | ) | |||||||||||||||||
11/30/2021 | 4.20 | 0.05 | (0.01 | ) | 0.04 | (0.08 | ) | 4.16 | 1.00 | |||||||||||||||||||
11/30/2020 | 4.21 | 0.08 | 0.02 | (f) | 0.10 | (0.11 | ) | 4.20 | 2.36 | |||||||||||||||||||
11/30/2019 | 4.14 | 0.11 | 0.10 | 0.21 | (0.14 | ) | 4.21 | 5.07 | ||||||||||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.08 | ) | 0.02 | (0.14 | ) | 4.14 | 0.56 | |||||||||||||||||||
386 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
0.59 | (e) | 0.59 | (e) | 3.62 | (e) | $ | 8,461,816 | 32 | (d) | |||||||||
0.58 | 0.58 | 2.10 | 9,589,050 | 75 | ||||||||||||||
0.58 | 0.58 | 1.55 | 13,355,736 | 84 | ||||||||||||||
0.59 | 0.59 | 2.22 | 12,733,693 | 102 | ||||||||||||||
0.60 | 0.60 | 2.92 | 11,693,022 | 57 | ||||||||||||||
0.59 | 0.59 | 2.70 | 8,735,221 | 71 | ||||||||||||||
1.21 | (e) | 1.21 | (e) | 3.00 | (e) | 1,860,233 | 32 | (d) | ||||||||||
1.22 | 1.22 | 1.45 | 2,170,217 | 75 | ||||||||||||||
1.23 | 1.23 | 0.91 | 3,379,490 | 84 | ||||||||||||||
1.24 | 1.24 | 1.62 | 3,914,470 | 102 | ||||||||||||||
1.22 | 1.22 | 2.31 | 4,914,970 | 57 | ||||||||||||||
1.23 | 1.23 | 2.07 | 4,912,225 | 71 | ||||||||||||||
0.49 | (e) | 0.49 | (e) | 3.65 | (e) | 2,479,487 | 32 | (d) | ||||||||||
0.48 | 0.48 | 1.96 | 6,132,794 | 75 | ||||||||||||||
0.48 | 0.48 | 1.65 | 26,865,299 | 84 | ||||||||||||||
0.49 | 0.49 | 2.33 | 23,546,579 | 102 | ||||||||||||||
0.50 | 0.50 | 3.02 | 23,128,477 | 57 | ||||||||||||||
0.49 | 0.49 | 2.80 | 15,833,169 | 71 | ||||||||||||||
0.32 | (e) | 0.32 | (e) | 3.90 | (e) | 4,937,676 | 32 | (d) | ||||||||||
0.31 | 0.32 | 2.41 | 5,143,625 | 75 | ||||||||||||||
0.31 | 0.31 | 1.81 | 5,139,001 | 84 | ||||||||||||||
0.33 | 0.33 | 2.48 | 4,425,861 | 102 | ||||||||||||||
0.34 | 0.34 | 3.19 | 4,087,351 | 57 | ||||||||||||||
0.32 | 0.32 | 2.95 | 3,709,795 | 71 | ||||||||||||||
0.39 | (e) | 0.39 | (e) | 3.84 | (e) | 27,583,299 | 32 | (d) | ||||||||||
0.38 | 0.38 | 2.51 | 25,868,734 | 75 | ||||||||||||||
0.38 | 0.38 | 1.74 | 12,428,298 | 84 | ||||||||||||||
0.39 | 0.39 | 2.44 | 9,762,949 | 102 | ||||||||||||||
0.40 | 0.40 | 3.12 | 10,281,839 | 57 | ||||||||||||||
0.39 | 0.39 | 2.90 | 7,315,707 | 71 | ||||||||||||||
0.99 | (e) | 0.99 | (e) | 3.23 | (e) | 6,684 | 32 | (d) | ||||||||||
0.98 | 0.98 | 1.70 | 6,312 | 75 | ||||||||||||||
0.98 | 0.98 | 1.17 | 9,901 | 84 | ||||||||||||||
0.99 | 0.99 | 1.85 | 13,909 | 102 | ||||||||||||||
1.00 | 1.00 | 2.55 | 18,031 | 57 | ||||||||||||||
0.99 | 0.99 | 2.30 | 20,433 | 71 | ||||||||||||||
See Notes to Financial Statements. | 387 |
Financial Highlights (unaudited)(continued)
SHORT DURATION INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | Total return(b) (%) | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | $3.84 | $0.06 | $0.02 | $0.08 | $(0.08 | ) | $3.84 | 1.99 | (d) | |||||||||||||||||||
11/30/2022 | 4.17 | 0.07 | (0.29 | ) | (0.22 | ) | (0.11 | ) | 3.84 | (5.18 | ) | |||||||||||||||||
11/30/2021 | 4.20 | 0.05 | 0.01 | (f) | 0.06 | (0.09 | ) | 4.17 | 1.10 | |||||||||||||||||||
11/30/2020 | 4.21 | 0.08 | 0.02 | (f) | 0.10 | (0.11 | ) | 4.20 | 2.46 | |||||||||||||||||||
11/30/2019 | 4.14 | 0.11 | 0.10 | 0.21 | (0.14 | ) | 4.21 | 5.17 | ||||||||||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.07 | ) | 0.03 | (0.15 | ) | 4.14 | 0.67 | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.84 | 0.07 | 0.01 | 0.08 | (0.08 | ) | 3.84 | 2.12 | (d) | |||||||||||||||||||
11/30/2022 | 4.17 | 0.08 | (0.30 | ) | (0.22 | ) | (0.11 | ) | 3.84 | (5.23 | ) | |||||||||||||||||
11/30/2021 | 4.20 | 0.07 | – | 0.07 | (0.10 | ) | 4.17 | 1.67 | ||||||||||||||||||||
11/30/2020 | 4.22 | 0.09 | 0.01 | (f) | 0.10 | (0.12 | ) | 4.20 | 2.47 | |||||||||||||||||||
11/30/2019 | 4.15 | 0.12 | 0.10 | 0.22 | (0.15 | ) | 4.22 | 5.43 | ||||||||||||||||||||
11/30/2018 | 4.27 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | 4.15 | 0.93 | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.83 | 0.07 | 0.02 | 0.09 | (0.09 | ) | 3.83 | 2.24 | (d) | |||||||||||||||||||
11/30/2022 | 4.15 | 0.09 | (0.29 | ) | (0.20 | ) | (0.12 | ) | 3.83 | (4.79 | ) | |||||||||||||||||
11/30/2021 | 4.19 | 0.08 | (0.01 | ) | 0.07 | (0.11 | ) | 4.15 | 1.67 | |||||||||||||||||||
11/30/2020 | 4.20 | 0.10 | 0.02 | (f) | 0.12 | (0.13 | ) | 4.19 | 2.97 | |||||||||||||||||||
11/30/2019 | 4.13 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.20 | 5.70 | ||||||||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | 4.13 | 1.16 | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 3.83 | 0.07 | 0.02 | 0.09 | (0.09 | ) | 3.83 | 2.28 | (d) | |||||||||||||||||||
11/30/2022 | 4.16 | 0.10 | (0.30 | ) | (0.20 | ) | (0.13 | ) | 3.83 | (4.89 | ) | |||||||||||||||||
11/30/2021 | 4.19 | 0.08 | – | 0.08 | (0.11 | ) | 4.16 | 1.91 | ||||||||||||||||||||
11/30/2020 | 4.21 | 0.10 | 0.01 | (f) | 0.11 | (0.13 | ) | 4.19 | 2.79 | |||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | 5.76 | ||||||||||||||||||||
11/30/2018 | 4.26 | 0.13 | (0.08 | ) | 0.05 | (0.17 | ) | 4.14 | 1.23 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | 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 years ended November 30, 2020 and 2021, 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. |
388 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
0.89 | (e) | 0.89 | (e) | 3.33 | (e) | $ | 341,400 | 32 | (d) | |||||||||
0.88 | 0.88 | 1.84 | 358,357 | 75 | ||||||||||||||
0.88 | 0.88 | 1.26 | 410,131 | 84 | ||||||||||||||
0.89 | 0.89 | 1.94 | 384,845 | 102 | ||||||||||||||
0.90 | 0.90 | 2.64 | 367,328 | 57 | ||||||||||||||
0.89 | 0.89 | 2.41 | 318,477 | 71 | ||||||||||||||
0.64 | (e) | 0.64 | (e) | 3.58 | (e) | 147,739 | 32 | (d) | ||||||||||
0.63 | 0.63 | 2.10 | 146,587 | 75 | ||||||||||||||
0.63 | 0.63 | 1.58 | 168,338 | 84 | ||||||||||||||
0.64 | 0.64 | 2.18 | 166,524 | 102 | ||||||||||||||
0.65 | 0.65 | 2.88 | 147,772 | 57 | ||||||||||||||
0.64 | 0.64 | 2.68 | 105,445 | 71 | ||||||||||||||
0.39 | (e) | 0.39 | (e) | 3.83 | (e) | 60,495 | 32 | (d) | ||||||||||
0.38 | 0.38 | 2.37 | 65,954 | 75 | ||||||||||||||
0.38 | 0.38 | 1.83 | 63,717 | 84 | ||||||||||||||
0.39 | 0.39 | 2.45 | 69,901 | 102 | ||||||||||||||
0.40 | 0.40 | 3.14 | 70,274 | 57 | ||||||||||||||
0.39 | 0.39 | 2.94 | 45,264 | 71 | ||||||||||||||
0.32 | (e) | 0.32 | (e) | 3.90 | (e) | 1,083,109 | 32 | (d) | ||||||||||
0.31 | 0.32 | 2.42 | 1,077,561 | 75 | ||||||||||||||
0.31 | 0.31 | 1.82 | 1,035,235 | 84 | ||||||||||||||
0.33 | 0.33 | 2.50 | 896,878 | 102 | ||||||||||||||
0.34 | 0.34 | 3.19 | 857,139 | 57 | ||||||||||||||
0.33 | 0.33 | 3.00 | 551,235 | 71 |
See Notes to Financial Statements. | 389 |
Financial Highlights (unaudited)(continued)
TOTAL RETURN FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $ | 8.76 | $ | 0.17 | $ | 0.01 | $ | 0.18 | $ | (0.19 | ) | $ | – | $ | (0.19 | ) | ||||||||||||
11/30/2022 | 10.54 | 0.25 | (1.68 | ) | (1.43 | ) | (0.29 | ) | (0.06 | ) | (0.35 | ) | ||||||||||||||||
11/30/2021 | 10.91 | 0.19 | (0.12 | ) | 0.07 | (0.21 | ) | (0.23 | ) | (0.44 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.76 | 0.15 | – | (f) | 0.15 | (0.16 | ) | – | (0.16 | ) | ||||||||||||||||||
11/30/2022 | 10.53 | 0.18 | (1.66 | ) | (1.48 | ) | (0.23 | ) | (0.06 | ) | (0.29 | ) | ||||||||||||||||
11/30/2021 | 10.90 | 0.12 | (0.11 | ) | 0.01 | (0.15 | ) | (0.23 | ) | (0.38 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.76 | 0.18 | – | (f) | 0.18 | (0.19 | ) | – | (0.19 | ) | ||||||||||||||||||
11/30/2022 | 10.54 | 0.24 | (1.66 | ) | (1.42 | ) | (0.30 | ) | (0.06 | ) | (0.36 | ) | ||||||||||||||||
11/30/2021 | 10.91 | 0.20 | (0.12 | ) | 0.08 | (0.22 | ) | (0.23 | ) | (0.45 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.77 | 0.19 | – | (f) | 0.19 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 10.54 | 0.28 | (1.68 | ) | (1.40 | ) | (0.31 | ) | (0.06 | ) | (0.37 | ) | ||||||||||||||||
11/30/2021 | 10.91 | 0.22 | (0.11 | ) | 0.11 | (0.25 | ) | (0.23 | ) | (0.48 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.78 | 0.19 | – | (f) | 0.19 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 10.56 | 0.28 | (1.69 | ) | (1.41 | ) | (0.31 | ) | (0.06 | ) | (0.37 | ) | ||||||||||||||||
11/30/2021 | 10.93 | 0.22 | (0.12 | ) | 0.10 | (0.24 | ) | (0.23 | ) | (0.47 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.81 | 0.16 | 0.01 | 0.17 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2022 | 10.59 | 0.22 | (1.68 | ) | (1.46 | ) | (0.26 | ) | (0.06 | ) | (0.32 | ) | ||||||||||||||||
11/30/2021 | 10.96 | 0.16 | (0.11 | ) | 0.05 | (0.19 | ) | (0.23 | ) | (0.42 | ) | |||||||||||||||||
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 | ) |
390 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ 8.75 | 2.04 | (d) | 0.66 | (e) | 0.66 | (e) | 3.96 | (e) | $ | 970,370 | 226 | (d) | ||||||||||||||
8.76 | (13.78 | ) | 0.65 | 0.65 | 2.60 | 973,820 | 461 | |||||||||||||||||||
10.54 | 0.68 | 0.64 | 0.64 | 1.79 | 1,300,031 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.75 | 1.85 | (d) | 1.27 | (e) | 1.27 | (e) | 3.35 | (e) | 30,742 | 226 | (d) | |||||||||||||||
8.76 | (14.32 | ) | 1.27 | 1.27 | 1.95 | 34,393 | 461 | |||||||||||||||||||
10.53 | 0.04 | 1.28 | 1.28 | 1.16 | 59,759 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.75 | 2.09 | (d) | 0.56 | (e) | 0.56 | (e) | 4.03 | (e) | 88,683 | 226 | (d) | |||||||||||||||
8.76 | (13.69 | ) | 0.55 | 0.55 | 2.45 | 234,058 | 461 | |||||||||||||||||||
10.54 | 0.78 | 0.54 | 0.54 | 1.88 | 1,059,760 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.76 | 2.20 | (d) | 0.36 | (e) | 0.36 | (e) | 4.27 | (e) | 758,125 | 226 | (d) | |||||||||||||||
8.77 | (13.42 | ) | 0.35 | 0.35 | 2.91 | 707,783 | 461 | |||||||||||||||||||
10.54 | 0.97 | 0.35 | 0.35 | 2.07 | 881,986 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.77 | 2.16 | (d) | 0.42 | (e) | 0.46 | (e) | 4.21 | (e) | 1,000,645 | 226 | (d) | |||||||||||||||
8.78 | (13.53 | ) | 0.41 | 0.45 | 3.06 | 762,733 | 461 | |||||||||||||||||||
10.56 | 0.92 | 0.40 | 0.44 | 2.02 | 433,258 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.80 | 2.03 | (d) | 0.91 | (e) | 0.91 | (e) | 3.71 | (e) | 511 | 226 | (d) | |||||||||||||||
8.81 | (14.01 | ) | 0.90 | 0.90 | 2.33 | 515 | 461 | |||||||||||||||||||
10.59 | 0.43 | 0.89 | 0.89 | 1.53 | 710 | 393 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 391 |
Financial Highlights (unaudited)(continued)
TOTAL RETURN FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 8.76 | $0.16 | $ – | (f) | $ 0.16 | $(0.17 | ) | $ – | $(0.17 | ) | ||||||||||||||||||
11/30/2022 | 10.54 | 0.21 | (1.68 | ) | (1.47 | ) | (0.25 | ) | (0.06 | ) | (0.31 | ) | ||||||||||||||||
11/30/2021 | 10.90 | 0.15 | (0.11 | ) | 0.04 | (0.17 | ) | (0.23 | ) | (0.40 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.76 | 0.16 | 0.01 | 0.17 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2022 | 10.54 | 0.22 | (1.68 | ) | (1.46 | ) | (0.26 | ) | (0.06 | ) | (0.32 | ) | ||||||||||||||||
11/30/2021 | 10.90 | 0.16 | (0.11 | ) | 0.05 | (0.18 | ) | (0.23 | ) | (0.41 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.76 | 0.17 | 0.01 | 0.18 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
11/30/2022 | 10.54 | 0.24 | (1.68 | ) | (1.44 | ) | (0.28 | ) | (0.06 | ) | (0.34 | ) | ||||||||||||||||
11/30/2021 | 10.91 | 0.18 | (0.11 | ) | 0.07 | (0.21 | ) | (0.23 | ) | (0.44 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.76 | 0.18 | 0.02 | 0.20 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
11/30/2022 | 10.54 | 0.26 | (1.68 | ) | (1.42 | ) | (0.30 | ) | (0.06 | ) | (0.36 | ) | ||||||||||||||||
11/30/2021 | 10.91 | 0.21 | (0.11 | ) | 0.10 | (0.24 | ) | (0.23 | ) | (0.47 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | 8.77 | 0.19 | – | (f) | 0.19 | (0.20 | ) | – | (0.20 | ) | ||||||||||||||||||
11/30/2022 | 10.55 | 0.28 | (1.69 | ) | (1.41 | ) | (0.31 | ) | (0.06 | ) | (0.37 | ) | ||||||||||||||||
11/30/2021 | 10.92 | 0.22 | (0.11 | ) | 0.11 | (0.25 | ) | (0.23 | ) | (0.48 | ) | |||||||||||||||||
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 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Amount less than $0.01. |
392 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ 8.75 | 1.84 | (d) | 1.06 | (e) | 1.06 | (e) | 3.57 | (e) | $ 1,236 | 226 | (d) | |||||||||||||||
8.76 | (14.12 | ) | 1.05 | 1.05 | 2.18 | 1,199 | 461 | |||||||||||||||||||
10.54 | 0.37 | 1.04 | 1.04 | 1.39 | 1,768 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.75 | 1.89 | (d) | 0.96 | (e) | 0.96 | (e) | 3.67 | (e) | 27,888 | 226 | (d) | |||||||||||||||
8.76 | (14.03 | ) | 0.95 | 0.95 | 2.30 | 27,760 | 461 | |||||||||||||||||||
10.54 | 0.47 | 0.95 | 0.95 | 1.50 | 37,846 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.75 | 2.02 | (d) | 0.71 | (e) | 0.71 | (e) | 3.92 | (e) | 30,394 | 226 | (d) | |||||||||||||||
8.76 | (13.82 | ) | 0.70 | 0.70 | 2.54 | 30,002 | 461 | |||||||||||||||||||
10.54 | 0.63 | 0.69 | 0.69 | 1.74 | 44,058 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.76 | 2.26 | (d) | 0.46 | (e) | 0.46 | (e) | 4.16 | (e) | 19,945 | 226 | (d) | |||||||||||||||
8.76 | (13.61 | ) | 0.45 | 0.45 | 2.74 | 22,290 | 461 | |||||||||||||||||||
10.54 | 0.88 | 0.44 | 0.44 | 1.99 | 78,822 | 393 | ||||||||||||||||||||
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 | |||||||||||||||||||
8.76 | 2.19 | (d) | 0.36 | (e) | 0.36 | (e) | 4.27 | (e) | 191,972 | 226 | (d) | |||||||||||||||
8.77 | (13.50 | ) | 0.35 | 0.35 | 2.90 | 183,807 | 461 | |||||||||||||||||||
10.55 | 0.97 | 0.35 | 0.35 | 2.08 | 252,862 | 393 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 393 |
Financial Highlights (unaudited)(continued)
ULTRA SHORT BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | Total return(b) (%) | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 9.80 | $0.18 | $ 0.07 | $ 0.25 | $(0.18 | ) | $ 9.87 | 2.62 | (d) | |||||||||||||||||||
11/30/2022 | 10.00 | 0.12 | (0.18 | ) | (0.06 | ) | (0.14 | ) | 9.80 | (0.62 | ) | |||||||||||||||||
11/30/2021 | 10.04 | 0.03 | (0.03 | ) | – | (f) | (0.04 | ) | 10.00 | (0.03 | ) | |||||||||||||||||
11/30/2020 | 10.03 | 0.11 | 0.01 | (g) | 0.12 | (0.11 | ) | 10.04 | 1.25 | |||||||||||||||||||
11/30/2019 | 10.00 | 0.24 | 0.03 | 0.27 | (0.24 | ) | 10.03 | 2.87 | ||||||||||||||||||||
11/30/2018 | 10.01 | 0.21 | (0.02 | ) | 0.19 | (0.20 | ) | 10.00 | 1.84 | |||||||||||||||||||
Class A1 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.80 | 0.18 | 0.07 | 0.25 | (0.18 | ) | 9.87 | 2.67 | (d) | |||||||||||||||||||
11/30/2022 | 10.00 | 0.09 | (0.16 | ) | (0.07 | ) | (0.13 | ) | 9.80 | (0.72 | ) | |||||||||||||||||
11/30/2021 | 10.04 | 0.02 | (0.03 | ) | (0.01 | ) | (0.03 | ) | 10.00 | (0.13 | ) | |||||||||||||||||
11/30/2020 | 10.03 | 0.07 | 0.04 | (g) | 0.11 | (0.10 | ) | 10.04 | 1.15 | |||||||||||||||||||
7/31/2019 to 11/30/2019(h) | 10.02 | 0.05 | 0.03 | 0.08 | (0.07 | ) | 10.03 | 0.79 | (d) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.80 | 0.18 | 0.08 | 0.26 | (0.19 | ) | 9.87 | 2.64 | (d) | |||||||||||||||||||
11/30/2022 | 10.00 | 0.10 | (0.16 | ) | (0.06 | ) | (0.14 | ) | 9.80 | (0.57 | ) | |||||||||||||||||
11/30/2021 | 10.04 | 0.04 | (0.04 | ) | – | (f) | (0.04 | ) | 10.00 | 0.02 | ||||||||||||||||||
11/30/2020 | 10.03 | 0.11 | 0.02 | (g) | 0.13 | (0.12 | ) | 10.04 | 1.30 | |||||||||||||||||||
11/30/2019 | 10.00 | 0.25 | 0.03 | 0.28 | (0.25 | ) | 10.03 | 2.82 | ||||||||||||||||||||
11/30/2018 | 10.01 | 0.22 | (0.02 | ) | 0.20 | (0.21 | ) | 10.00 | 1.98 | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.80 | 0.20 | 0.07 | 0.27 | (0.20 | ) | 9.87 | 2.72 | (d) | |||||||||||||||||||
11/30/2022 | 10.00 | 0.15 | (0.19 | ) | (0.04 | ) | (0.16 | ) | 9.80 | (0.43 | ) | |||||||||||||||||
11/30/2021 | 10.04 | 0.05 | (0.03 | ) | 0.02 | (0.06 | ) | 10.00 | 0.16 | |||||||||||||||||||
11/30/2020 | 10.03 | 0.11 | 0.03 | (g) | 0.14 | (0.13 | ) | 10.04 | 1.45 | |||||||||||||||||||
11/30/2019 | 10.00 | 0.26 | 0.03 | 0.29 | (0.26 | ) | 10.03 | 2.97 | ||||||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.02 | ) | 0.21 | (0.22 | ) | 10.00 | 2.13 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.80 | 0.19 | 0.07 | 0.26 | (0.19 | ) | 9.87 | 2.69 | (d) | |||||||||||||||||||
11/30/2022 | 10.00 | 0.18 | (0.23 | ) | (0.05 | ) | (0.15 | ) | 9.80 | (0.47 | ) | |||||||||||||||||
11/30/2021 | 10.04 | 0.05 | (0.04 | ) | 0.01 | (0.05 | ) | 10.00 | 0.12 | |||||||||||||||||||
11/30/2020 | 10.03 | 0.13 | 0.01 | (g) | 0.14 | (0.13 | ) | 10.04 | 1.40 | |||||||||||||||||||
11/30/2019 | 9.99 | 0.26 | 0.04 | 0.30 | (0.26 | ) | 10.03 | 3.03 | ||||||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.03 | ) | 0.20 | (0.22 | ) | 9.99 | 1.99 | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(c) | 9.80 | 0.19 | 0.07 | 0.26 | (0.19 | ) | 9.87 | 2.70 | (d) | |||||||||||||||||||
11/30/2022 | 10.00 | 0.10 | (0.15 | ) | (0.05 | ) | (0.15 | ) | 9.80 | (0.47 | ) | |||||||||||||||||
11/30/2021 | 10.04 | 0.05 | (0.04 | ) | 0.01 | (0.05 | ) | 10.00 | 0.12 | |||||||||||||||||||
11/30/2020 | 10.03 | 0.13 | 0.01 | (g) | 0.14 | (0.13 | ) | 10.04 | 1.41 | |||||||||||||||||||
11/30/2019 | 10.00 | 0.26 | 0.03 | 0.29 | (0.26 | ) | 10.03 | 2.94 | ||||||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.02 | ) | 0.21 | (0.22 | ) | 10.00 | 2.11 |
394 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
0.44 | (e) | 0.44 | (e) | 3.75 | (e) | $ | 4,090,148 | 24 | (d) | |||||||||
0.43 | 0.44 | 1.18 | 5,193,143 | 48 | ||||||||||||||
0.43 | 0.43 | 0.34 | 10,038,159 | 72 | ||||||||||||||
0.42 | 0.45 | 1.14 | 12,300,460 | 93 | ||||||||||||||
0.41 | 0.48 | 2.39 | 11,938,003 | 46 | ||||||||||||||
0.40 | 0.49 | 2.11 | 6,688,131 | 23 | ||||||||||||||
0.54 | (e) | 0.54 | (e) | 3.66 | (e) | 3,311 | 24 | (d) | ||||||||||
0.54 | 0.54 | 0.95 | 3,869 | 48 | ||||||||||||||
0.53 | 0.53 | 0.24 | 13,240 | 72 | ||||||||||||||
0.52 | 0.54 | 0.74 | 19,403 | 93 | ||||||||||||||
0.48 | (e) | 0.55 | (e) | 1.56 | (e) | 2,860 | 46 | |||||||||||
0.39 | (e) | 0.39 | (e) | 3.68 | (e) | 470,185 | 24 | (d) | ||||||||||
0.39 | 0.39 | 1.03 | 1,280,935 | 48 | ||||||||||||||
0.38 | 0.38 | 0.38 | 5,349,686 | 72 | ||||||||||||||
0.37 | 0.40 | 1.15 | 7,109,132 | 93 | ||||||||||||||
0.36 | 0.43 | 2.47 | 6,539,665 | 46 | ||||||||||||||
0.35 | 0.44 | 2.18 | 4,603,442 | 23 | ||||||||||||||
0.24 | (e) | 0.24 | (e) | 3.97 | (e) | 714,392 | 24 | (d) | ||||||||||
0.24 | 0.24 | 1.52 | 759,273 | 48 | ||||||||||||||
0.24 | 0.24 | 0.53 | 519,235 | 72 | ||||||||||||||
0.25 | 0.26 | 1.13 | 804,537 | 93 | ||||||||||||||
0.22 | 0.29 | 2.62 | 282,582 | 46 | ||||||||||||||
0.22 | 0.30 | 2.27 | 271,727 | 23 | ||||||||||||||
0.29 | (e) | 0.29 | (e) | 3.93 | (e) | 4,100,735 | 24 | (d) | ||||||||||
0.28 | 0.28 | 1.80 | 3,872,022 | 48 | ||||||||||||||
0.28 | 0.28 | 0.49 | 1,285,378 | 72 | ||||||||||||||
0.27 | 0.30 | 1.35 | 1,258,215 | 93 | ||||||||||||||
0.26 | 0.33 | 2.56 | 1,803,798 | 46 | ||||||||||||||
0.25 | 0.35 | 2.32 | 1,291,802 | 23 | ||||||||||||||
0.29 | (e) | 0.29 | (e) | 3.94 | (e) | 176 | 24 | (d) | ||||||||||
0.28 | 0.29 | 1.05 | 131 | 48 | ||||||||||||||
0.28 | 0.28 | 0.49 | 592 | 72 | ||||||||||||||
0.27 | 0.30 | 1.31 | 784 | 93 | ||||||||||||||
0.26 | 0.33 | 2.63 | 1,369 | 46 | ||||||||||||||
0.25 | 0.35 | 2.29 | 1,716 | 23 |
See Notes to Financial Statements. | 395 |
Financial Highlights (unaudited)(concluded)
ULTRA SHORT BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net asset value, end of period | Total return(b) (%) | ||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(c) | $ 9.80 | $0.19 | $ 0.08 | $ 0.27 | $(0.20 | ) | $ 9.87 | 2.72 | (d) | |||||||||||||||||||
11/30/2022 | 10.00 | 0.15 | (0.19 | ) | (0.04 | ) | (0.16 | ) | 9.80 | (0.43 | ) | |||||||||||||||||
11/30/2021 | 10.04 | 0.05 | (0.03 | ) | 0.02 | (0.06 | ) | 10.00 | 0.16 | |||||||||||||||||||
11/30/2020 | 10.03 | 0.12 | 0.02 | (g) | 0.14 | (0.13 | ) | 10.04 | 1.45 | |||||||||||||||||||
11/30/2019 | 10.00 | 0.26 | 0.03 | 0.29 | (0.26 | ) | 10.03 | 2.96 | ||||||||||||||||||||
11/30/2018 | 10.01 | 0.24 | (0.03 | ) | 0.21 | (0.22 | ) | 10.00 | 2.13 |
(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) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Amount less than $0.01. |
(g) | 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. |
(h) | Commenced on July 31, 2019. |
396 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
0.24 | (e) | 0.24 | (e) | 3.96 | (e) | $ | 62,122 | 24 | (d) | |||||||||
0.24 | 0.24 | 1.52 | 68,773 | 48 | ||||||||||||||
0.24 | 0.24 | 0.54 | 86,964 | 72 | ||||||||||||||
0.25 | 0.26 | 1.17 | 65,008 | 93 | ||||||||||||||
0.22 | 0.29 | 2.55 | 11,572 | 46 | ||||||||||||||
0.23 | 0.30 | 2.35 | 7,075 | 23 |
See Notes to Financial Statements. | 397 |
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 May 31, 2023. This report covers the following twelve funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes at May 31, 2023: |
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, 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. Class C shares automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a |
398
Notes to Financial Statements (continued)
business day, the next business day thereafter) following the eighth anniversary of the month on which the purchase order was accepted, provided that the Funds 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 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”), the Board has designated the determination of fair value of the Funds’ portfolio investments to Lord, Abbett & Co. LLC (“Lord Abbett”) as its valuation designee. Accordingly, Lord Abbett is responsible for, among other things, assessing and managing valuation risks, establishing, applying and testing fair value methodologies, and evaluating pricing services. Lord Abbett has formed a Pricing Committee that performs these responsibilities on behalf of Lord Abbett, administers the pricing and valuation of portfolio investments and ensures that prices utilized reasonably reflect fair value. Among other things, these procedures allow Lord Abbett, subject to Board oversight, 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. When valuing foreign equity securities that meet certain criteria, the Board has approved the use of an independent fair valuation service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that correlate to the fair-valued 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 ask prices. 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 ask prices is used. 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. 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, 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 |
399
Notes to Financial Statements (continued)
use observable inputs such as yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof periodically reviews reports that may include fair value determinations made by the Pricing Committee, related market activity, inputs and assumptions, and retrospective comparison of prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Investments in open-end money market mutual funds are valued at their NAV as of the close of each business day.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, if applicable, in 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, 2019 through November 30, 2022. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon each Fund’s 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), if applicable, 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, if applicable, 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 |
400
Notes to Financial Statements (continued)
operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. | |
Each Fund uses 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 exposure to changes in foreign currency exchange rates on 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), if applicable, is included in Net change in unrealized appreciation/depreciation on forward 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 forward foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain (loss) on forward foreign currency exchange contracts in each Fund’s Statement of Operations. |
(h) | Futures Contracts–Each Fund may purchase and sell futures contracts to manage cash, to adjust exposure to the direction of interest rates or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
(i) | 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. |
(j) | 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 |
401
Notes to Financial Statements (continued)
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. | |
(k) | TBA Sale Commitments–Each Fund may enter into TBA sale commitments to hedge its positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities, according to the procedures described under “Investment Valuation” above. The contract is adjusted to market value daily and the change in market value is recorded by each Fund as unrealized appreciation (depreciation). If the TBA sale (purchase) commitment is closed through the acquisition of an offsetting purchase (sale) commitment, each Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
(l) | 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. |
(m) | 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. |
(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 a 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 period ended May 31, 2023, the Funds did not invest in reverse repurchase agreements. | |
(o) | Floating Rate Loans–Each Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. Each Fund records an |
402
Notes to Financial Statements (continued)
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, if any, on the Statements of Assets and Liabilities represents mark to market of the unfunded portion of each Fund’s floating rate notes. | |
As of May 31, 2023, the following Fund had unfunded loan commitments: |
Floating Rate Fund | ||||||||||||||||
Borrower | | Principal Amount | | | Market Value | | | Cost | | | Unrealized Appreciation/ Depreciation | | ||||
ABG Intermediate Holdings 2 LLC 2023 Delayed Draw Term Loan | $ | 1,351,308 | $ | 1,324,559 | $ | 1,351,308 | $ | (26,749 | ) | |||||||
Athenahealth Group, Inc. 2022 Delayed Draw Term Loan | 3,972,647 | 3,754,151 | 3,916,999 | (162,848 | ) | |||||||||||
Dermatology Intermediate Holdings III, Inc 2022 Delayed Draw Term Loan | 47,657 | 46,465 | 47,150 | (685 | ) | |||||||||||
Tank Holding Corp. 2023 Incremental Delayed Draw Term Loan | 2,609,502 | 2,537,741 | 2,531,482 | 6,259 | ||||||||||||
$ | 7,981,114 | $ | 7,662,916 | $ | 7,846,939 | $ | (184,023 | ) |
(p) | Inflation-Linked Derivatives–Each Fund may invest in inflation-linked derivatives, such as Consumer Price Index Swap Contract Agreements (“CPI swap contracts”). A CPI swap contract is a contract in which one party agrees to pay a fixed rate in exchange for a variable rate, which is the rate of change in the CPI during the life of the contract. Payments are based on a notional amount of principal. The Fund will normally enter into CPI swap contracts on a zero coupon basis, meaning that the floating rate will be based on the cumulative CPI during the life of the contract, and the fixed rate will compound until the swap contract’s maturity date, at which point the payments are netted. The swap contracts are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on swap contracts in the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap contract is recorded in realized gain (loss) and |
403
Notes to Financial Statements (continued)
is included in Net realized gain (loss) on swap contracts in the Fund’s Statement of Operations. Daily changes in valuation of centrally cleared CPI swap contracts, 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 swap contracts, there was minimal counterparty risk to the Fund, since such CPI swap contracts entered into were traded through a central clearinghouse, which guarantees against default. | |
(q) | Credit Default Swap Contracts–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 makes periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. | |
These credit default swap contracts may have as a reference obligation corporate or sovereign issuers or credit indexes. These credit indexes are comprised of a basket of securities representing a particular sector of the market. | |
Credit default swap contracts 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 contract 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 contract 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 contract 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 contract agreement. The value and credit rating of each credit default swap contract where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap contract. As the value of the swap contract 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 contract 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 contract agreements entered into by a Fund for the same referenced entity or entities. | |
Entering into credit default swap contracts 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 |
404
Notes to Financial Statements (continued)
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 contract is based. For the centrally cleared credit default swap contracts, there was minimal counterparty risk to the Funds, since such credit default swap contracts entered into were traded through a central clearinghouse, which guarantees against default. | |
(r) | Interest Rate Swap Contracts–Each Fund may enter into interest rate swap contract agreements. Pursuant to interest rate swap contract agreements, a Fund either makes floating-rate payments to the counterparty (or Central counterparty clearing house (“CCP”) in the case of centrally cleared swap contracts) based on a benchmark interest rate in exchange for fixed-rate payments or a Fund makes fixed-rate payments to the counterparty or CCP in 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 swap contracts, 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 contract 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 contract counterparty. In the case of centrally cleared swap contracts, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates. |
(s) | Total Return Swap Contracts–Each Fund may enter into total return swap contract 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 contract. If the value of the asset underlying a total return swap contract declines over the term of the swap contract, each Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
(t) | 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 Statements 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 |
405
Notes to Financial Statements (continued)
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. | |
(u) | 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 as of May 31, 2023 and, if applicable, Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments. | |
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. 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 provides 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 accrued daily and payable monthly.
406
Notes to Financial Statements (continued)
The management fee is based on each Fund’s average daily net assets at the following annual rates:
Convertible Fund | Core Fixed Income Fund | |||
First $1 billion | .70% | First $1 billion | .24% | |
Next $1 billion | .60% | Next $1 billion | .21% | |
Over $2 billion | .57% | Over $2 billion | .20% | |
Core Plus Bond Fund | Corporate Bond Fund | |||
First $4 billion | .28% | First $2 billion | .40% | |
Next $11 billion | .26% | Over $2 billion | .35% | |
Over $15 billion | .25% | |||
Floating Rate Fund | High Yield Fund | |||
First $1 billion | .50% | First $1 billion | .60% | |
Over $1 billion | .45% | Next $1 billion | .55% | |
Over $2 billion | .50% | |||
Income Fund | Inflation Focused Fund | |||
First $3 billion | .38% | First $2 billion | .30% | |
Next $7 billion | .35% | Next $3 billion | .28% | |
Over $10 billion | .34% | Over $5 billion | .26% | |
Short Duration Core Bond Fund | Short Duration Income Fund | |||
First $1 billion | .30% | First $1 billion | .35% | |
Next $1 billion | .25% | Next $1 billion | .30% | |
Over $2 billion | .20% | Over $2 billion | .25% | |
Total Return Fund | Ultra Short Bond Fund | .17% | ||
First $4 billion | .28% | |||
Next $11 billion | .26% | |||
Over $15 billion | .25% |
For the six months ended May 31, 2023, the effective management fee, net of any applicable waivers, was at the following annualized rate of each Fund’s average daily net assets:
Net Effective Management Fee | |
Convertible Fund | .70% |
Core Fixed Income Fund | .22% |
Core Plus Bond Fund | .28% |
Corporate Bond Fund | .00% |
Floating Rate Fund | .46% |
High Yield Fund | .53% |
Income Fund | .38% |
Inflation Focused Fund | .30% |
Short Duration Core Bond Fund | .16% |
Short Duration Income Fund | .25% |
Total Return Fund | .28% |
Ultra Short Bond Fund | .17% |
407
Notes to Financial Statements (continued)
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets. The fund administration fee is accrued daily and payable monthly. Lord Abbett voluntarily waived the following administration fees during the six months ended May 31, 2023:
Fund | Fund Administration Fee | ||
Convertible Fund | $ | 9,734 | |
Core Fixed Income Fund | 23,162 | ||
Core Plus Bond Fund | 13,272 | ||
Corporate Bond Fund | 2,976 | ||
Floating Rate Fund | 58,516 | ||
High Yield Fund | 60,468 | ||
Income Fund | 19,887 | ||
Inflation Focused Fund | 32,392 | ||
Short Duration Core Bond Fund | 8,711 | ||
Short Duration Income Fund | 273,268 | ||
Total Return Fund | 29,192 | ||
Ultra Short Bond Fund | 61,126 |
For the six months ended May 31, 2023 and continuing through March 31, 2024, 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 certain of the Funds’ expenses, to the following annual rates:
Effective April 1, 2023 | Prior to April 1, 2023 | ||||||||
Classes | Classes | ||||||||
Fund | A,C,F,I,R2,R3, R4 and R5 | F3 and R6 | A,C,F,I,R2,R3, R4 and R5 | F3 and R6 | |||||
Core Plus Bond Fund | .48% | .40% | .48% | .39% | |||||
Corporate Bond Fund | .48% | .38% | .48% | .44% | |||||
Short Duration Core Bond Fund | .40% | .30% | .40% | .33% |
For the six months ended May 31, 2023 and continuing through March 31, 2024, 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 .04% of each Fund’s average daily net assets.
All contractual management fee waivers and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only on 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 distribution and service fees are accrued daily and payable monthly. 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 | 0.15% | 0.25% | (4) | 0.25% | – | 0.25% | 0.25% | 0.25% | 0.25% | |||||||||||||||||
Distribution | 0.05% | (3) | – | 0.75% | 0.10% | 0.20% | 0.35% | 0.25% | – |
* | The Funds may designate a portion of the aggregate fee to service activities for the purposes of calculating Financial Industry Regulatory Authority, Inc. sales charge limitation. |
(1) | The 12b-1 fee 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 for one year or more. All Class C shareholders of a Fund will bear 12b-1 fees at the same rate. |
(2) | The Class F share Rule 12b-1 fees 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. |
408
Notes to Financial Statements (continued)
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended May 31, 2023:
Distributor Commissions | Dealers’ Concessions | ||||||
Convertible Fund | $ | 2,829 | $ | 20,511 | |||
Core Fixed Income Fund | 37,896 | 411,242 | |||||
Core Plus Bond Fund | 14,462 | 134,558 | |||||
Corporate Bond Fund | 419 | 2,579 | |||||
Floating Rate Fund | 24,474 | 255,182 | |||||
High Yield Fund | 20,387 | 146,675 | |||||
Income Fund | 43,288 | 404,597 | |||||
Inflation Focused Fund | 2,428 | 13,921 | |||||
Short Duration Core Bond Fund | 5,913 | 57,890 | |||||
Short Duration Income Fund | 169,923 | 1,781,401 | |||||
Total Return Fund | 31,006 | 232,001 | |||||
Ultra Short Bond Fund | – | 1,025 |
Distributor received the following amount of CDSCs for the six months ended May 31, 2023:
Class A | Class C | ||||||
Convertible Fund | $ | 8 | $ | 1,121 | |||
Core Fixed Income Fund | 8,425 | 2,912 | |||||
Core Plus Bond Fund | 1,567 | 1,235 | |||||
Corporate Bond Fund | – | – | |||||
Floating Rate Fund | 137,662 | 23,127 | |||||
High Yield Fund | 4,602 | 7,332 | |||||
Income Fund | 13,022 | 831 | |||||
Inflation Focused Fund | 115,923 | 6,394 | |||||
Short Duration Core Bond Fund | – | – | |||||
Short Duration Income Fund | 170,603 | 55,010 | |||||
Total Return Fund | 3,095 | 307 | |||||
Ultra Short Bond Fund | 1,147 | – |
Other Related Parties
As of May 31, 2023, the percentages of Convertible Fund’s, Core Fixed Income Fund’s, High Yield Fund’s, Income Fund’s, Inflation Focused Fund’s, Short Duration Income Fund’s and Ultra Short Bond Fund’s outstanding shares owned by each Fund that invests principally in affiliated mutual funds managed by Lord Abbett (“Fund of Funds”) were as follows:
Fund of Funds | Convertible Fund | Core Fixed Income Fund | High Yield Fund | Income Fund | Inflation Focused Fund | Short Duration Income Fund | Ultra Short Bond | |||||||||||||||||||||
Lord Abbett Multi-Asset Balanced Opportunity | 3.04% | 12.18% | 2.94% | 1.32% | 4.50% | 0.04% | 1.83% | |||||||||||||||||||||
Lord Abbett Multi-Asset Income Fund | 0.41% | 10.99% | 1.84% | 0.60% | 3.10% | 0.02% | 0.92% |
One Trustee and certain of the Trust’s officers have an interest in Lord Abbett.
409
Notes to Financial Statements (continued)
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared daily and paid monthly for Core Fixed Income Fund, Core Plus Bond Fund, Corporate Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Core Bond Fund, Short Duration Income Fund, Total Return Fund and Ultra Short Bond Fund and declared and paid quarterly for Convertible Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the six months ended May 31, 2023 and fiscal year ended November 30, 2022 was as follows:
Convertible Fund | Core Fixed Income Fund | ||||||||||||||
Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 15,622,732 | $ | 114,268,357 | $ | 51,658,388 | $ | 54,463,362 | |||||||
Net long-term capital gains | – | 131,835,772 | – | 7,484,048 | |||||||||||
Total distributions paid | $ | 15,622,732 | $ | 246,104,129 | $ | 51,658,388 | $ | 61,947,410 | |||||||
Core Plus Bond Fund | Corporate Bond Fund | ||||||||||||||
Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 25,116,115 | $ | 16,665,257 | $ | 147,046 | $ | 250,609 | |||||||
Net long-term capital gains | – | 84,595 | – | 175,812 | |||||||||||
Total distributions paid | $ | 25,116,115 | $ | 16,749,852 | $ | 147,046 | $ | 426,421 | |||||||
Floating Rate Fund | High Yield Fund | ||||||||||||||
Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 226,717,528 | $ | 351,397,149 | $ | 141,506,057 | $ | 326,682,368 | |||||||
Net long-term capital gains | – | – | – | – | |||||||||||
Tax return of capital | – | – | – | 11,819,896 | |||||||||||
Total distributions paid | $ | 226,717,528 | $ | 351,397,149 | $ | 141,506,057 | $ | 338,502,264 |
410
Notes to Financial Statements (continued)
Income Fund | Inflation Focused Fund | ||||||||||||||
Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 65,784,498 | $ | 109,569,895 | $ | 46,055,211 | $ | 112,587,665 | |||||||
Net long-term capital gains | – | 50,225,909 | – | – | |||||||||||
Total distributions paid | $ | 65,784,498 | $ | 159,795,804 | $ | 46,055,211 | $ | 112,587,665 | |||||||
Short Duration Core Bond Fund | Short Duration Income Fund | ||||||||||||||
Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 7,639,883 | $ | 6,615,359 | $ | 1,068,079,979 | $ | 1,734,371,253 | |||||||
Net long-term capital gains | – | – | – | – | |||||||||||
Total distributions paid | $ | 7,639,883 | $ | 6,615,359 | $ | 1,068,079,979 | $ | 1,734,371,253 | |||||||
Total Return Fund | Ultra Short Bond Fund | ||||||||||||||
Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | Six Months Ended 05/31/2023 (unaudited) | Year Ended 11/30/2022 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 67,872,179 | $ | 108,256,354 | $ | 194,790,564 | $ | 191,847,829 | |||||||
Net long-term capital gains | – | 24,256,431 | – | – | |||||||||||
Total distributions paid | $ | 67,872,179 | $ | 132,512,785 | $ | 194,790,564 | $ | 191,847,829 |
As of May 31, 2023, the following funds had capital losses, which will carry forward indefinitely:
Indefinite | |||
Convertible Fund | $ | 201,385,694 | |
Core Fixed Income Fund | 226,822,149 | ||
Core Plus Bond Fund | 49,540,218 | ||
Corporate Bond Fund | 653,174 | ||
Floating Rate Fund | 1,751,021,834 | ||
High Yield Fund | 481,086,791 | ||
Income Fund | 298,180,953 | ||
Inflation Focused Fund | 401,850,697 | ||
Short Duration Core Bond Fund | 10,639,393 | ||
Short Duration Income Fund | 4,923,003,112 | ||
Total Return Fund | 427,117,640 | ||
Ultra Short Bond Fund | 135,863,175 |
411
Notes to Financial Statements (continued)
As of May 31, 2023, the aggregate unrealized security gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:
Convertible Fund | Core Fixed Income Fund | |||||||
Tax cost | $ | 708,171,244 | $ | 3,293,218,517 | ||||
Gross unrealized gain | 23,661,056 | 10,664,305 | ||||||
Gross unrealized loss | (37,185,780 | ) | (89,857,576 | ) | ||||
Net unrealized security gain/(loss) | $ | (13,524,724 | ) | $ | (79,193,271 | ) | ||
Core Plus Bond Fund | Corporate Bond Fund | |||||||
Tax cost | $ | 1,525,467,528 | $ | 7,397,713 | ||||
Gross unrealized gain | 6,643,116 | 31,653 | ||||||
Gross unrealized loss | (30,381,439 | ) | (608,256 | ) | ||||
Net unrealized security gain/(loss) | $ | (23,738,323 | ) | $ | (576,603 | ) | ||
Floating Rate Fund | High Yield Fund | |||||||
Tax cost | $ | 5,284,687,805 | $ | 4,487,300,866 | ||||
Gross unrealized gain | 42,105,453 | 37,082,658 | ||||||
Gross unrealized loss | (198,166,267 | ) | (358,009,139 | ) | ||||
Net unrealized security gain/(loss) | $ | (156,060,814 | ) | $ | (320,926,481 | ) | ||
Income Fund | Inflation Focused Fund | |||||||
Tax cost | $ | 3,105,749,249 | $ | 1,751,774,385 | ||||
Gross unrealized gain | 17,200,219 | 42,827,239 | ||||||
Gross unrealized loss | (192,921,134 | ) | (100,318,616 | ) | ||||
Net unrealized security gain/(loss) | $ | (175,720,915 | ) | $ | (57,491,377 | ) | ||
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Tax cost | $ | 375,111,533 | $ | 50,270,917,099 | ||||
Gross unrealized gain | 592,444 | 54,709,679 | ||||||
Gross unrealized loss | (7,762,775 | ) | (3,464,476,892 | ) | ||||
Net unrealized security gain/(loss) | $ | (7,170,331 | ) | $ | (3,409,767,213 | ) | ||
Total Return Fund | Ultra Short Bond Fund | |||||||
Tax cost | $ | 3,722,248,081 | $ | 9,666,150,729 | ||||
Gross unrealized gain | 15,265,881 | 4,464,045 | ||||||
Gross unrealized loss | (174,203,519 | ) | (110,993,100 | ) | ||||
Net unrealized security gain/(loss) | $ | (158,937,638 | ) | $ | (106,529,055 | ) |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities, certain distributions, amortization of premium, other financial instruments and wash sales.
412
Notes to Financial Statements (continued)
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2023 were as follows:
U.S. Government Purchases | Non-U.S. Government Purchases | U.S. Government Sales | Non-U.S. Government Sales | ||||||||||||
Convertible Fund | $ | - | $ | 427,096,508 | $ | - | $ | 669,119,319 | |||||||
Core Fixed Income Fund | 7,040,582,404 | 1,021,029,511 | 6,887,125,383 | 599,786,087 | |||||||||||
Core Plus Bond Fund | 2,857,275,022 | 789,540,606 | 2,736,652,678 | 281,077,926 | |||||||||||
Corporate Bond Fund | 2,850,867 | 2,926,618 | 2,997,661 | 2,646,533 | |||||||||||
Floating Rate Fund | - | 1,995,558,456 | - | 3,333,428,198 | |||||||||||
High Yield Fund | - | 1,770,277,217 | - | 2,152,304,774 | |||||||||||
Income Fund | 551,421,915 | 1,338,914,392 | 761,337,359 | 880,132,699 | |||||||||||
Inflation Focused Fund | 44,648,088 | 156,295,967 | 43,160,874 | 922,588,202 | |||||||||||
Short Duration Core Bond Fund | 108,947,480 | 172,758,219 | 100,752,435 | 71,520,477 | |||||||||||
Short Duration Income Fund | 4,862,000,077 | 9,923,836,980 | 5,285,420,594 | 10,728,688,724 | |||||||||||
Total Return Fund | 6,642,826,244 | 1,018,991,963 | 6,701,994,023 | 1,024,983,066 | |||||||||||
Ultra Short Bond Fund | 381,557,964 | 1,659,729,646 | 435,890,684 | 4,015,482,694 |
Each Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Lord Abbett funds or client accounts pursuant to procedures approved by the Board in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at a fair market price in compliance with provisions of the Rule. For the six months ended May 31, 2023, the following Fund engaged in cross-trades:
Fund | Sales | Gain (Loss | ) | |||||
High Yield Fund | $ | 4,088,600 | $ | (164,006 | ) |
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund except for Corporate Bond Fund, Inflation Focused Fund, Short Duration Core Bond Fund and Ultra Short Bond Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2023 (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 for collateral.
Each Fund except for Convertible Fund entered into U.S. Treasury futures contracts for the six months ended May 31, 2023 (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.
413
Notes to Financial Statements (continued)
Inflation Focused Fund, Short Duration Core Bond Fund and Short Duration Income Fund entered into CPI swap contracts for the six months ended May 31, 2023 (as described in Note 2(p)) to speculate the rate of inflation in the U.S. economy. The Fund’s use of CPI swap contracts 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 swap contracts. For the centrally cleared CPI swap contracts, there is minimal counterparty credit risk to the Fund since these CPI swap contracts are traded through a central clearinghouse. As a counterparty to all centrally cleared CPI swap contracts, the clearinghouse guarantees CPI swap contracts against default.
All Funds except Convertible Fund, Inflation Focused Fund, Short Duration Core Bond Fund and Ultra Short Bond Fund entered into credit default swap contracts for the six months ended May 31, 2023 (as described in Note 2(q)) for investment purposes, to economically hedge credit risk or for speculative purposes. Credit default swap contracts 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 contract’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 swap contracts, there is minimal counterparty credit risk to the Funds since these credit default swap contracts are traded through a central clearinghouse. As a counterparty to all centrally cleared credit default swap contracts, the clearinghouse guarantees credit default swap contracts against default.
Floating Rate Fund entered into total return swap contracts on indexes for the six months ended May 31, 2023 (as described in note 2(s)) to hedge credit risk. The Fund may enter into total return swap contracts 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 its counterparty.
All Funds except Convertible Fund, Corporate Bond Fund, and Ultra Short Bond Fund entered into interest rate swap contracts for the six months ended May 31, 2023 (as described in Note 2(r)) in order to enhance returns or hedge against interest rate risk. Interest rate swap contracts 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 contract 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 contract’s maturity date, at which point the payments would be netted.
High Yield Fund entered into options on indexes for the six months ended May 31, 2023 (as described in Note 2(t)) to obtain exposure to an issuer (the Reference Entity). The Fund’s 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 Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the notional value of the contract.
414
Notes to Financial Statements (continued)
As of May 31, 2023, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate each Fund’s use of derivative instruments:
Convertible Fund | |||||||||||
Asset Derivatives | Foreign Currency Contracts | ||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 499,299 | |||||||||
Liability Derivatives | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | 44,181 | |||||||||
Core Fixed Income Fund | |||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | |||||||||
Futures Contracts(3) | $ | 2,306,171 | – | ||||||||
Liability Derivatives | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $358,910 | |||||||||
Futures Contracts(3) | $ | 512,941 | – | ||||||||
Core Plus Bond Fund | |||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 453,540 | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 5,271 | – | |||||||
Futures Contracts(3) | $ | 1,931,552 | – | – | |||||||
Liability Derivatives | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 183,341 | – | |||||||
Futures Contracts(3) | $ | 486,431 | – | – | |||||||
Corporate Bond Fund | |||||||||||
Asset Derivatives | Interest Rate Contracts | ||||||||||
Futures Contracts(3) | $ | 10,005 | |||||||||
Liability Derivatives | |||||||||||
Futures Contracts(3) | $ | 6,985 | |||||||||
Floating Rate Fund | |||||||||||
Asset Derivatives | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | ||||||||
Centrally Cleared Interest Rate Swap Contracts(4) | – | $ | 6,314,652 | – | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | – | $ | 439,579 | |||||||
Total Return Swap Contracts(5) | $ | 4,429,479 | – | – | |||||||
Liability Derivatives | |||||||||||
Centrally Cleared Interest Rate Swap Contracts(4) | – | $ | 1,137,819 | – | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | – | $ | 836,789 |
415
Notes to Financial Statements (continued)
High Yield Fund | |||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 1,412,427 | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 755,209 | – | |||||||
Futures Contracts(3) | $ | 2,083,611 | – | – | |||||||
Liability Derivatives | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 2,992,687 | – | |||||||
Futures Contracts(3) | $ | 28,399 | – | – | |||||||
Income Fund | |||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 100,944 | ||||||||
Futures Contracts(3) | $ | 7,194,541 | – | ||||||||
Liability Derivatives | |||||||||||
Centrally Cleared Interest Rate Swap Contracts(4) | $ | 337,134 | – | ||||||||
Futures Contracts(3) | $ | 3,714,011 | – | ||||||||
Inflation Focused Fund | |||||||||||
Asset Derivatives | Interest Rate Contracts | Inflation Linked Contracts | |||||||||
Centrally Cleared CPI Swap Contracts(4) | – | $ | 51,443,803 | ||||||||
Centrally Cleared Interest Rate Swap Contracts(4) | $ | 14,650 | – | ||||||||
CPI Swap Contracts(6) | – | $ | 50,317,398 | ||||||||
Futures Contracts(3) | $ | 2,367,694 | – | ||||||||
Liability Derivatives | |||||||||||
Centrally Cleared CPI Swap Contracts(4) | – | $ | 3,396,744 | ||||||||
Centrally Cleared Interest Rate Swap Contracts(4) | $ | 14,658 | – | ||||||||
CPI Swap Contracts(7) | – | $ | 15,476,755 | ||||||||
Short Duration Core Bond Fund | |||||||||||
Asset Derivatives | Interest Rate Contracts | Inflation Linked Contracts | |||||||||
Centrally Cleared CPI Swap Contracts(4) | – | $ | 13,709 | ||||||||
Futures Contracts(3) | $ | 69,025 | – | ||||||||
Liability Derivatives | |||||||||||
Centrally Cleared CPI Swap Contracts(4) | – | $ | 8,808 |
416
Notes to Financial Statements (continued)
Short Duration Income Fund | |||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Inflation Linked Contracts | |||||||||||
Centrally Cleared CPI Swap Contracts(4) | – | – | – | $ | 2,970,500 | ||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 1,596,982 | – | ||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 229,799 | – | – | ||||||||||
Futures Contracts(3) | $ | 11,079,093 | – | – | – | ||||||||||
Liability Derivatives | |||||||||||||||
Centrally Cleared CPI Swap Contracts(4) | – | – | – | $ | 1,198,900 | ||||||||||
Credit Default Swap Contracts(8) | – | – | $ | 11,253,623 | – | ||||||||||
Total Return Fund | |||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 153,575 | – | |||||||||||
Futures Contracts(3) | $ | 4,735,555 | – | – | |||||||||||
Liability Derivatives | |||||||||||||||
Centrally Cleared Credit Default Swap Contracts(4) | – | – | $ | 659,632 | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 505,531 | – | |||||||||||
Futures Contracts(3) | $ | 1,019,840 | – | – | |||||||||||
Ultra Short Bond Fund | |||||||||||||||
Asset Derivatives | Interest Rate Contracts | ||||||||||||||
Futures Contracts(3) | $ | 241,032 |
(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 contracts, at fair value. |
(6) | Statements of Assets and Liabilities location: Unrealized appreciation on CPI swap contracts. |
(7) | Statements of Assets and Liabilities location: Unrealized depreciation on CPI swap contracts. |
(8) | Statements of Assets and Liabilities location: Credit default swap contract agreements payable, at fair value. |
417
Notes to Financial Statements (continued)
Transactions in derivative investments for the six months ended May 31, 2023 were as follows:
Convertible Fund | ||||
Foreign Currency Contracts | ||||
Net Realized Gain (Loss) | ||||
Forward Foreign Currency Exchange Contracts(1) | $ | (1,194,015 | ) | |
Net Change in Unrealized Appreciation/ Depreciation | ||||
Forward Foreign Currency Exchange Contracts(2) | $ | 1,539,948 | ||
Average Number of Contracts/Notional Amounts* | ||||
Forward Foreign Currency Exchange Contracts(3) | $ | 62,096,800 |
Core Fixed Income Fund | ||||||||||||
Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 47,781 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (765,917 | ) | – | |||||||
Futures Contracts(5) | $ | (5,970,900 | ) | – | – | |||||||
CPI/Interest Rate Swap Contracts(4) | $ | 741,640 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (24,390 | ) | – | |||||||
Futures Contracts(6) | $ | 1,154,978 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
CPI/Interest Rate Swap Contracts(3) | $ | 91,284,286 | – | – | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 37,153,274 | – | ||||||||
Futures Contracts(7) | 2,677 | – | – | |||||||||
Core Plus Bond Fund | ||||||||||||
Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
CPI/Interest Rate Swap Contracts(4) | $ | 355,279 | – | – | ||||||||
Credit Default Swap Contracts(4) | – | – | $ | 575,917 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (235,559 | ) | – | |||||||
Futures Contracts(5) | $ | (4,762,994 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(8) | – | – | $ | (87,461 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (70,961 | ) | – | |||||||
Futures Contracts(6) | $ | 1,331,203 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
CPI/Interest Rate Swap Contracts(3) | $ | 42,557,857 | – | – | ||||||||
Credit Default Swap Contracts(3) | – | – | $ | 42,059,429 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 15,919,936 | – | ||||||||
Futures Contracts(7) | 1,596 | – | – |
418
Notes to Financial Statements (continued)
Corporate Bond Fund | ||||||||||||||||
Inflation Linked/ Interest Rate Contracts | Credit Contracts | |||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | $ | 1,667 | |||||||||||||
Futures Contracts(5) | $ | (24,321 | ) | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(8) | – | $ | (333 | ) | ||||||||||||
Futures Contracts(6) | $ | 7,244 | – | |||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | $ | 176,571 | |||||||||||||
Futures Contracts(7) | 31 | – | ||||||||||||||
Floating Rate Fund | ||||||||||||||||
Equity Contracts | Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
CPI/Interest Rate Swap Contracts(4) | – | $ | 4,955,814 | – | – | |||||||||||
Credit Default Swap Contracts(4) | – | – | – | $ | (321,735 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | – | $ | (1,749,861 | ) | – | ||||||||||
Futures Contracts(5) | – | $ | 10,952,698 | – | – | |||||||||||
Total Return Swap Contracts(4) | $ | 3,939,180 | – | – | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
CPI/Interest Rate Swap Contracts(8) | – | $ | 580,929 | – | – | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | – | $ | 547,930 | – | |||||||||||
Total Return Swap Contracts(8) | $ | (202,914 | ) | – | – | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
CPI/Interest Rate Swap Contracts(3) | – | $ | 373,887,143 | – | – | |||||||||||
Credit Default Swap Contracts(3) | – | – | – | $ | 11,612,429 | |||||||||||
Total Return Swap Contracts(3) | $ | 1,870,580 | – | – | – | |||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | – | $ | 70,789,206 | – |
419
Notes to Financial Statements (continued)
High Yield Fund | ||||||||||||||||
Equity Contracts | Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
CPI/Interest Rate Swap Contracts(4) | – | $ | 3,605,225 | – | – | |||||||||||
Credit Default Swap Contracts(4) | – | – | – | $ | (191,950 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | – | $ | (7,454,425 | ) | – | ||||||||||
Futures Contracts(5) | – | $ | (4,345,225 | ) | – | – | ||||||||||
Purchased Options(9) | $ | (224,884 | ) | – | – | – | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
CPI/Interest Rate Swap Contracts(8) | – | $ | (2,881,674 | ) | – | – | ||||||||||
Credit Default Swap Contracts(8) | – | – | – | $ | (2,224,960 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | – | $ | 3,089,328 | – | |||||||||||
Futures Contracts(6) | – | $ | (529,629 | ) | – | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
CPI/Interest Rate Swap Contracts(3) | – | 483,830,221 | – | – | ||||||||||||
Credit Default Swap Contracts(3) | – | – | – | $ | 132,328,143 | |||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | – | $ | 238,573,385 | – | |||||||||||
Futures Contracts(7) | – | 12,159 | – | – | ||||||||||||
Purchased Options(7) | $ | 44,657 | – | – | – | |||||||||||
Income Fund | ||||||||||||||||
Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 133,644 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (275,180 | ) | – | |||||||||||
Futures Contracts(5) | $ | (12,885,329 | ) | – | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
CPI/Interest Rate Swap Contracts(8) | $ | (337,134 | ) | – | – | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 356,299 | – | ||||||||||||
Futures Contracts(6) | $ | 3,844,371 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
CPI/Interest Rate Swap Contracts(3) | $ | 25,216,286 | – | – | ||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 23,071,429 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 11,019,530 | – | ||||||||||||
Futures Contracts(7) | 12,010 | – | – |
420
Notes to Financial Statements (continued)
Inflation Focused Fund | ||||
Inflation Linked/ Interest Rate Contracts | ||||
Net Realized Gain (Loss) | ||||
CPI/Interest Rate Swap Contracts(4) | $ | 35,274,157 | ||
Futures Contracts(5) | $ | (3,500,576 | ) | |
Net Change in Unrealized Appreciation/Depreciation | ||||
CPI/Interest Rate Swap Contracts(8) | $ | (60,020,506 | ) | |
Futures Contracts(6) | $ | (1,989,923 | ) | |
Average Number of Contracts/Notional Amounts* | ||||
CPI/Interest Rate Swap Contracts(3) | $ | 2,060,045,560 | ||
Futures Contracts(7) | 6,382 |
Short Duration Core Bond Fund | ||||
Inflation Linked/ Interest Rate Contracts | ||||
Net Realized Gain (Loss) | ||||
CPI/Interest Rate Swap Contracts(4) | $ | 429 | ||
Futures Contracts(5) | $ | (796,335 | ) | |
Net Change in Unrealized Appreciation/Depreciation | ||||
CPI/Interest Rate Swap Contracts(8) | $ | (3,984 | ) | |
Futures Contracts(6) | $ | (123,585 | ) | |
Average Number of Contracts/Notional Amounts* | ||||
CPI/Interest Rate Swap Contracts(3) | $ | 3,996,857 | ||
Futures Contracts(7) | 627 |
Short Duration Income Fund | ||||||||||||
Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 2,193,654 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (50,930,298 | ) | – | |||||||
Futures Contracts(5) | $ | (93,109,898 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
CPI/Interest Rate Swap Contracts(8) | $ | (153,519 | ) | – | – | |||||||
Credit Default Swap Contracts(8) | – | – | $ | (4,973,348 | ) | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 29,213,046 | – | ||||||||
Futures Contracts(6) | $ | (29,872,872 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
CPI/Interest Rate Swap Contracts(3) | $ | 741,736,660 | – | – | ||||||||
Credit Default Swap Contracts(3) | – | – | $ | 240,377,069 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 192,738,851 | – | ||||||||
Futures Contracts(7) | 120,602 | – | – |
421
Notes to Financial Statements (continued)
Total Return Fund | ||||||||||||
Inflation Linked/ Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
CPI/Interest Rate Swaps Contracts(4) | $ | 471,729 | – | – | ||||||||
Credit Default Swap Contracts(4) | – | – | $ | (4,694,116 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (1,474,866 | ) | – | |||||||
Futures Contracts(5) | $ | (6,596,093 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(8) | – | – | $ | 5,503,901 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 498,736 | – | ||||||||
Futures Contracts(6) | $ | 2,831,435 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
CPI/Interest Rate Swap Contracts(3) | $ | 122,754,857 | – | – | ||||||||
Credit Default Swap Contracts(3) | – | – | $ | 76,460,143 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 69,494,725 | – | ||||||||
Futures Contracts(7) | 5,930 | – | – |
Ultra Short Bond Fund | ||||
Inflation Linked/ Interest Rate Contracts | ||||
Net Realized Gain (Loss) | ||||
Futures Contracts(5) | $ | (8,427,692 | ) | |
Net Change in Unrealized Appreciation/Depreciation | ||||
Futures Contracts(6) | $ | (505,327 | ) | |
Average Number of Contracts/Notional Amounts* | ||||
Futures Contracts(7) | 2,178 |
* | Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2023. |
(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 futures contracts. |
(7) | Amount represents number of contracts. |
(8) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(9) | Statements of Operations location: Net realized gain (loss) on investments includes options purchased. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board 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 the counterparty. A master netting agreement is an agreement between a fund and the 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
422
Notes to Financial Statements (continued)
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 | $ 499,299 | $ – | $ 499,299 | |||||
Repurchase Agreements | 22,371,389 | – | 22,371,389 | |||||
Total | $22,870,688 | $ – | $22,870,688 |
Net Amount 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) | ||||||||||||||
Goldman Sachs | $ 2,228 | $ – | $ – | $ – | $2,228 | ||||||||||||||
Fixed Income Clearing Corp. | 22,371,389 | – | – | (22,371,389 | ) | – | |||||||||||||
State Street Bank and Trust | 497,071 | (44,181 | ) | (452,890 | ) | – | – | ||||||||||||
Total | $22,870,688 | $(44,181 | ) | $(452,890 | ) | $(22,371,389 | ) | $2,228 |
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 | $44,181 | $ – | $44,181 | |||||
Total | $44,181 | $ – | $44,181 |
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 | $44,181 | $(44,181 | ) | $ – | $ – | $ – | |||||||||||||
Total | $44,181 | $(44,181 | ) | $ – | $ – | $ – |
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 | $57,941,829 | $ – | $57,941,829 | |||||
Total | $57,941,829 | $ – | $57,941,829 |
423
Notes to Financial Statements (continued)
Net Amount of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | ||||||||||||||
Barclays Bank plc | $34,999,598 | $ – | $ – | $ | (34,999,598 | ) | $ – | ||||||||||||
Fixed Income Clearing Corp. | 22,942,231 | – | – | (22,942,231 | ) | – | |||||||||||||
Total | $57,941,829 | $ – | $ – | $ | (57,941,829 | ) | $ – |
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 | $358,910 | $ – | $358,910 | ||||||
Total | $358,910 | $ – | $358,910 |
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 | $152,823 | $ – | $ – | $ – | $152,823 | ||||||||||||||
State Street Bank and Trust | 206,087 | – | (206,087 | ) | – | – | |||||||||||||
Total | $358,910 | $ – | $(206,087 | ) | $ – | $152,823 |
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 | ||||||||
Forward Foreign Currency Exchange Contracts | $ 5,271 | $ – | $ 5,271 | ||||||||
Repurchase Agreements | 36,669,426 | – | 36,669,426 | ||||||||
Total | $36,674,697 | $ – | $36,674,697 |
Net Amount of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | ||||||||||||||
Barclays Bank plc | $24,999,713 | $ – | $ – | $ | (24,999,713 | ) | $ – | ||||||||||||
Fixed Income Clearing Corp. | 11,669,713 | – | – | (11,669,713 | ) | – | |||||||||||||
State Street Bank and Trust | 5,271 | (5,271 | ) | – | – | – | |||||||||||||
Total | $36,674,697 | $(5,271 | ) | $ – | $ | (36,669,426 | ) | $ – |
424
Notes to Financial Statements (continued)
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $183,341 | $ – | $183,341 | ||||||
Total | $183,341 | $ – | $183,341 |
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 | $ 91,973 | $ – | $ – | $ – | $91,973 | ||||||||||||||
State Street Bank and Trust | 91,368 | (5,271 | ) | (86,097 | ) | – | – | ||||||||||||
Total | $183,341 | $(5,271 | ) | $(86,097 | ) | $ – | $91,973 |
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 Agreements | $44,166 | $ – | $44,166 | ||||||
Total | $44,166 | $ – | $44,166 |
Net Amount 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) | ||||||||||||||
TD Securities USA LLC | $44,166 | $ – | $ – | $(44,166 | ) | $ – | |||||||||||||
Total | $44,166 | $ – | $ – | $(44,166 | ) | $ – |
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 | $ 439,579 | $ – | $ 439,579 | ||||||
Total Return Swap Contracts | 4,429,479 | – | 4,429,479 | ||||||
Repurchase Agreements | 451,753,051 | – | 451,753,051 | ||||||
Total | $456,622,109 | $ – | $456,622,109 |
425
Notes to Financial Statements (continued)
Net Amount of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | ||||||||||||||
Barclays Bank plc | $330,555,307 | $ – | $ | – | $ | (329,999,153 | ) | $ | 556,154 | ||||||||||
Fixed Income Clearing Corp. | 121,753,898 | – | – | (121,753,898 | ) | – | |||||||||||||
Morgan Stanley | 3,931,613 | (443,111 | ) | (1,300,000 | ) | – | 2,188,502 | ||||||||||||
Standard Chartered Bank | 58,121 | – | – | – | 58,121 | ||||||||||||||
State Street Bank and Trust | 254,244 | (254,244 | ) | – | – | – | |||||||||||||
Toronto Dominion Bank | 68,926 | – | – | – | 68,926 | ||||||||||||||
Total | $456,622,109 | $(697,355 | ) | $ | (1,300,000 | ) | $ | (451,753,051 | ) | $ | 2,871,703 |
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 | $836,789 | $ – | $836,789 | ||||||
Total | $836,789 | $ – | $836,789 |
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 | Securities Collateral Pledged | Net Amount | ||||||||||||||
Bank of America | $ | 18,236 | $ | – | $ | – | $ | – | $18,236 | ||||||||||
Morgan Stanley | 443,111 | (443,111 | ) | – | – | – | |||||||||||||
State Street Bank and Trust | 375,442 | (254,244 | ) | (121,198 | ) | – | – | ||||||||||||
Total | $ | 836,789 | $ | (697,355 | ) | $ | (121,198 | ) | $ | – | $18,236 |
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 | $ 755,209 | $ – | $ 755,209 | ||||||
Repurchase Agreements | 9,898,117 | – | 9,898,117 | ||||||
Total | $10,653,326 | $ – | $10,653,326 |
Net Amount 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. | $ | 9,898,117 | $ | – | $ | – | $ | (9,898,117 | ) | $ | – | ||||||||
Morgan Stanley | 300,821 | (300,821 | ) | – | – | – | |||||||||||||
State Street Bank and Trust | 405,797 | (405,797 | ) | – | – | – | |||||||||||||
Toronto Dominion Bank | 48,591 | (48,591 | ) | – | – | – | |||||||||||||
Total | $ | 10,653,326 | $ | (755,209 | ) | $ | – | $ | (9,898,117 | ) | $ | – |
426
Notes to Financial Statements (continued)
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $2,992,687 | $ – | $2,992,687 | ||||||
Total | $2,992,687 | $ – | $2,992,687 |
Net Amounts of Liabilities Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Securities Collateral Pledged(a) | Net Amount(c) | ||||||||||||||
J.P. Morgan | $ | 37,363 | $ | – | $ | – | $ | – | $ | 37,363 | |||||||||
Morgan Stanley | 1,965,593 | (300,821 | ) | (1,470,000 | ) | – | 194,772 | ||||||||||||
State Street Bank and Trust | 863,541 | (405,797 | ) | (457,744 | ) | – | – | ||||||||||||
Toronto Dominion Bank | 126,190 | (48,591 | ) | – | – | 77,599 | |||||||||||||
Total | $ | 2,992,687 | $ | (755,209 | ) | $ | (1,927,744 | ) | $ | – | $ | 309,734 |
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 | $ 100,944 | $ – | $ 100,944 | ||||||
Repurchase Agreements | 47,311,690 | – | 47,311,690 | ||||||
Total | $47,412,634 | $ – | $47,412,634 |
Net Amount 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. | $ | 18,312,634 | $ | – | $ | – | $ | (18,312,634 | ) | $ | – | ||||||||
State Street Bank and Trust | 100,944 | – | – | – | 100,944 | ||||||||||||||
TD Securities USA LLC | 28,999,056 | – | – | (28,999,056 | ) | – | |||||||||||||
Total | $ | 47,412,634 | $ | – | $ | – | $ | (47,311,690 | ) | $ | 100,944 |
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 | $50,317,398 | $ – | $ | 50,317,398 | ||||||
Repurchase Agreements | 9,655,399 | – | 9,655,399 | |||||||
Total | $59,972,797 | $ – | $ | 59,972,797 |
427
Notes to Financial Statements (continued)
Net Amount 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 | $ | 22,269,672 | $ | (3,104,898 | ) | $ | (3,180,000 | ) | $ | (15,984,774 | ) | $ | – | ||||||
Barclays Bank plc | 16,455,688 | (1,810,664 | ) | (14,645,024 | ) | – | – | ||||||||||||
Deutsche Bank AG | 341,837 | (341,837 | ) | – | – | – | |||||||||||||
Goldman Sachs | 7,142,531 | (4,174,158 | ) | (2,968,373 | ) | – | – | ||||||||||||
Fixed Income Clearing Corp. | 4,155,727 | – | (4,155,727 | ) | – | ||||||||||||||
J.P. Morgan | 4,107,670 | (1,530,918 | ) | (2,576,752 | ) | – | – | ||||||||||||
TD Securities USA LLC | 5,499,672 | – | – | (5,499,672 | ) | $ | – | ||||||||||||
Total | $ | 59,972,797 | $ | (10,962,475 | ) | $ | (23,370,149 | ) | $ | (25,640,173 | ) | $ | – |
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 | $ | 15,476,755 | $ – | $ | 15,476,755 | ||||||
Total | $ | 15,476,755 | $ – | $ | 15,476,755 |
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 | $ | 3,104,898 | $ | (3,104,898 | ) | $ | – | $ | – | $ | – | ||||||||
Barclays Bank plc | 1,810,664 | (1,810,664 | ) | – | – | – | |||||||||||||
Credit Suisse | 694,521 | – | (694,521 | ) | – | – | |||||||||||||
Deutsche Bank AG | 4,161,596 | (341,837 | ) | (3,630,000 | ) | – | 189,759 | ||||||||||||
Goldman Sachs | 4,174,158 | (4,174,158 | ) | – | – | – | |||||||||||||
J.P. Morgan | 1,530,918 | (1,530,918 | ) | – | – | – | |||||||||||||
Total | $ | 15,476,755 | $ | (10,962,475 | ) | $ | (4,324,521 | ) | $ | – | $ | 189,759 |
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 Agreements | $4,372,313 | $ – | $4,372,313 | |||||||
Total | $4,372,313 | $ – | $4,372,313 |
Net Amount 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. | $1,372,841 | $ | – | $ | – | $ | (1,372,841 | ) | $ | – | |||||||||
TD Securities USA LLC | 2,999,472 | – | �� | – | (2,999,472 | ) | – | ||||||||||||
Total | $4,372,313 | $ | – | $ | – | $ | (4,372,313 | ) | $ | – |
428
Notes to Financial Statements (continued)
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 | |||||||
Forward Foreign Currency Exchange Contracts | $ | 229,799 | $ – | $ | 229,799 | |||||
Repurchase Agreements | 181,055,218 | – | 181,055,218 | |||||||
Total | $ | 181,285,017 | $ – | $ | 181,285,017 |
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) | ||||||||||||||
State Street Bank and Trust | $ | 229,799 | $ | – | $ | – | $ | (229,799 | ) | $ | – | ||||||||
Fixed Income Clearing Corp. | 181,055,218 | – | – | (181,055,218 | ) | – | |||||||||||||
Total | $ | 181,285,017 | $ | – | $ | – | $ | (181,285,017 | ) | $ | – |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||
Credit Default Swap Contracts | $ | 11,253,623 | $ – | $ | 11,253,623 | |||||
Total | $ | 11,253,623 | $ – | $ | 11,253,623 |
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 | $ | 6,185,405 | $ | – | $ | (6,148,279 | ) | $ | – | $ | 37,126 | ||||||||
Morgan Stanley | 5,068,218 | – | (4,890,000 | ) | – | 178,218 | |||||||||||||
Total | $ | 11,253,623 | $ | – | $ | (11,038,279 | ) | $ | – | $ | 215,344 |
Total Return Fund | ||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||
Forward Foreign Currency Exchange Contracts | $ | 153,575 | $ – | $ | 153,575 | |||||
Repurchase Agreements | 76,231,038 | – | 76,231,038 | |||||||
Total | $ | 76,384,613 | $ – | $ | 76,384,613 |
Net Amount 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) | ||||||||||||||
State Street Bank and Trust | $ | 153,575 | $ | (153,575 | ) | $ | – | $ | – | $ | – | ||||||||
Barclays Bank plc | 49,999,425 | – | – | (49,999,425 | ) | – | |||||||||||||
Fixed Income Clearing Corp. | 26,231,613 | – | – | (23,231,613 | ) | – | |||||||||||||
Total | $ | 76,384,613 | $ | (153,575 | ) | $ | – | $ | (73,231,038 | ) | $ | – |
429
Notes to Financial Statements (continued)
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||
Forward Foreign Currency Exchange Contracts | $505,531 | $ – | $505,531 | |||||||
Total | $505,531 | $ – | $505,531 |
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 | $212,962 | $ | – | $ | – | $ | – | $ | 212,962 | ||||||||||
State Street Bank and Trust | 292,569 | (153,575 | ) | (138,994 | ) | – | – | ||||||||||||
Total | $505,531 | $ | (153,575 | ) | $ | (138,994 | ) | $ | – | $ | 212,962 |
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 Agreements | $ | 28,392,213 | $ – | $ | 28,392,213 | |||||
Total | $ | 28,392,213 | $ – | $ | 28,392,213 |
Net Amount 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. | $ | 28,392,213 | $ | – | $ | – | $ | (28,392,213 | ) | $ | – | ||||||||
Total | $ | 28,392,213 | $ | – | $ | – | $ | (28,392,213 | ) | $ | – |
(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 May 31, 2023. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of May 31, 2023. |
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 may elect to defer receipt of a 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 in the Statements of Operations and in Trustees’ fees payable in the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
430
Notes to Financial Statements (continued)
9. | EXPENSE REDUCTIONS |
The Trust has entered into an arrangement with its prior transfer agent and its custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses. The arrangement with the Funds’ prior transfer agent was discontinued effective March 6, 2023.
10. | LINE OF CREDIT |
For the period ended May 31, 2023, 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 $1.625 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, $700 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
For the period ended May 31, 2023, the Participating Funds also entered into an additional uncommitted line of credit facility with SSB for $330 million (the “Bilateral Facility”). 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), or $250 million based on past borrowings and likelihood of future borrowings, among other factors.
These credit facilities are to be used for temporary or emergency purposes as additional sources of liquidity to satisfy redemptions.
For the six months ended May 31, 2023, the Funds did not utilize the Syndicated Facility or Bilateral Facility.
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 that participate in the Interfund Lending Program to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
For the six months ended May 31, 2023, the following Funds participated as a lender in the Interfund Lending Program. For the period in which the loan was outstanding, the average amount loaned, interest rate and interest income were as follows:
Fund | Average Amount Loaned | Average Interest Rate | Interest Income* | |||||||||
Short Duration Income Fund | $ | 3,199,835 | 3.90 | % | $ | 342 | ||||||
Total Return Fund | 27,574,125 | 3.90 | % | 2,946 | ||||||||
Ultra Short Bond Fund | 24,735,697 | 3.90 | % | 2,643 |
* | Statements of Operations location: Interest earned from Interfund Lending. |
431
Notes to Financial Statements (continued)
For the six months ended May 31, 2023, the following Fund participated as a borrower in the Interfund Lending Program. For the period which the loan was outstanding, the average amount borrowed, interest rate and interest expense were as follows:
Fund | Average Amount Borrowed | Average Interest Rate | Interest Expense* | |||||||||
High Yield Fund | $ | 33,766,144 | 3.70 | % | $ | 10,548 |
* | Statements of Operations location: Interest paid from Interfund Lending. |
12. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
13. | REDEMPION IN-KIND |
During the six months ended May 31, 2023, a shareholder of Core Fixed Income Fund redeemed its Fund shares in exchange for portfolio securities “redemption in-kind.” As a result of the redemption in-kind, the Fund realized a net loss of $1,297,732.
14. | SECURITIES LENDING AGREEMENT |
The Funds 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 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 the borrower becomes 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 net income on each Fund’s Statement 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 Citibank, N.A.; 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 May 31, 2023, the market value of securities loaned and collateral received were as follows:
Funds | Market Value of Securities Loaned | Collateral Received(1) | ||||||
Floating Rate Fund | $55,104,940 | $ | 56,904,050 |
(1) | Statements of Assets and Liabilities location: Payable for collateral due to broker for securities lending. |
432
Notes to Financial Statements (continued)
15. | 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 the 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.
Certain instruments in which the Funds may invest have historically relied upon LIBOR. As of June 30, 2023, the administrator of LIBOR ceased publication of U.S. dollar LIBOR settings. The LIBOR transition could have adverse impacts on newly issued financial instruments and existing financial instruments which referenced LIBOR and lead to significant short-term and long-term uncertainty and market instability.
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 negative effects 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.
433
Notes to Financial Statements (continued)
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 swap contracts are greater than if the Funds invested directly in the reference obligation because they are subject to liquidity risk, counterparty risk, and credit risk at both the counterparty and underlying issuer levels in addition to the risks associated with investing in derivatives discussed above.
Each Fund’s exposure to inflation-linked investments, such as Treasury Inflation Protected Securities, may be vulnerable to changes in expectations of inflation or interest rates and there is no guarantee that the Fund’s use of these instruments will be successful.
The Funds are subject to the risks of investing in floating rate or adjustable rate senior loans, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities. The senior loans in which Core Fixed Income Fund, Core Plus Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Income Fund and Total Return Fund may invest may consist primarily of senior loans that are rated below investment grade or, if unrated, deemed by Lord Abbett to be equivalent to below investment grade securities. Below investment grade senior loans, as in the case of high- yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market. In addition, Floating Rate Fund may invest up to 20% of its total assets in senior loans that are not secured by any specific collateral.
Each Fund is subject to the risk of investing in securities issued or guaranteed by the U.S. Government or its agencies and instrumentalities (such as the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), or the Federal Home Loan Mortgage Corporation (“Freddie Mac”). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. Government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. Government and no assurance can be given that the U.S. Government would provide financial support to its agencies and instrumentalities if not required to do so by law. Consequently, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation.
434
Notes to Financial Statements (continued)
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) 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 their investment strategies and achieving their investment objectives.
In March 2023, the shut-down of certain financial institutions raised economic concerns over disruption in the U.S. banking system. There can be no certainty that the actions taken by the U.S. government to strengthen public confidence in the U.S. banking system will be effective in mitigating the effects of financial institution failures on the economy and restoring public confidence in the U.S. banking system objective.
The impact of the COVID-19 outbreak, and the effects of other infectious illness outbreaks, epidemics, or pandemics, may be short term or may continue for an extended period of time. For example, a global pandemic or other widespread health crises 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. Health crises caused by outbreaks of disease may also exacerbate other pre-existing political, social, and economic risks in certain countries or globally. 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.
435
Notes to Financial Statements (continued)
16. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Convertible Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,037,598 | $ | 12,772,965 | 3,668,180 | $ | 52,194,955 | ||||||||||
Reinvestment of distributions | 281,791 | 3,419,095 | 3,378,312 | 53,195,057 | ||||||||||||
Shares reacquired | (3,823,528 | ) | (46,984,680 | ) | (9,020,187 | ) | (127,903,328 | ) | ||||||||
Decrease | (2,504,139 | ) | $ | (30,792,620 | ) | (1,973,695 | ) | $ | (22,513,316 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 178,439 | $ | 2,172,280 | 322,259 | $ | 4,379,761 | ||||||||||
Reinvestment of distributions | 45,424 | 545,425 | 636,311 | 9,937,068 | ||||||||||||
Shares reacquired | (643,071 | ) | (7,819,607 | ) | (1,740,227 | ) | (24,006,878 | ) | ||||||||
Decrease | (419,208 | ) | $ | (5,101,902 | ) | (781,657 | ) | $ | (9,690,049 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 650,893 | $ | 8,040,928 | 13,820,522 | $ | 196,159,598 | ||||||||||
Reinvestment of distributions | 167,216 | 2,028,746 | 6,405,541 | 101,491,359 | ||||||||||||
Shares reacquired | (7,796,503 | ) | (96,319,776 | ) | (51,200,001 | ) | (730,959,444 | ) | ||||||||
Decrease | (6,978,394 | ) | $ | (86,250,102 | ) | (30,973,938 | ) | $ | (433,308,487 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 88,388 | $ | 1,104,121 | 359,365 | $ | 5,258,844 | ||||||||||
Reinvestment of distributions | 29,616 | 363,948 | 351,230 | 5,597,825 | ||||||||||||
Shares reacquired | (286,666 | ) | (3,566,296 | ) | (1,134,115 | ) | (16,737,049 | ) | ||||||||
Decrease | (168,662 | ) | $ | (2,098,227 | ) | (423,520 | ) | $ | (5,880,380 | ) | ||||||
Class I Shares | ||||||||||||||||
Shares sold | 12,271,215 | $ | 152,941,617 | 49,775,855 | $ | 674,840,083 | ||||||||||
Reinvestment of distributions | 593,059 | 7,261,667 | 2,697,058 | 42,082,968 | ||||||||||||
Shares reacquired | (19,135,748 | ) | (239,242,615 | ) | (27,649,623 | ) | (376,150,751 | ) | ||||||||
Increase (decrease) | (6,271,474 | ) | $ | (79,039,331 | ) | 24,823,290 | $ | 340,772,300 | ||||||||
Class P Shares | ||||||||||||||||
Shares sold | 154 | $ | 1,949 | 2,774 | $ | 41,444 | ||||||||||
Reinvestment of distributions | 48 | 596 | 420 | 6,769 | ||||||||||||
Shares reacquired | (132 | ) | (1,666 | ) | (2,661 | ) | (39,857 | ) | ||||||||
Increase | 70 | $ | 879 | 533 | $ | 8,356 |
436
Notes to Financial Statements (continued)
Convertible Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 140 | $ | 1,763 | 284 | $ | 3,747 | ||||||||||
Reinvestment of distributions | 98 | 1,221 | 882 | 14,226 | ||||||||||||
Shares reacquired | (6 | ) | (78 | ) | (65 | ) | (1,136 | ) | ||||||||
Increase | 232 | $ | 2,906 | 1,101 | $ | 16,837 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 72,201 | $ | 888,133 | 165,205 | $ | 2,354,762 | ||||||||||
Reinvestment of distributions | 28,333 | 341,411 | 362,290 | 5,675,187 | ||||||||||||
Shares reacquired | (196,118 | ) | (2,384,508 | ) | (806,358 | ) | (11,276,191 | ) | ||||||||
Decrease | (95,584 | ) | $ | (1,154,964 | ) | (278,863 | ) | $ | (3,246,242 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 3,557 | $ | 43,742 | 14,500 | $ | 189,457 | ||||||||||
Reinvestment of distributions | 796 | 9,651 | 9,242 | 145,517 | ||||||||||||
Shares reacquired | (13,059 | ) | (161,686 | ) | (23,312 | ) | (299,872 | ) | ||||||||
Increase (decrease) | (8,706 | ) | $ | (108,293 | ) | 430 | $ | 35,102 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 16,121 | $ | 198,402 | 32,340 | $ | 441,471 | ||||||||||
Reinvestment of distributions | 2,504 | 30,647 | 19,447 | 307,889 | ||||||||||||
Shares reacquired | (11,030 | ) | (136,218 | ) | (26,392 | ) | (375,987 | ) | ||||||||
Increase | 7,595 | $ | 92,831 | 25,395 | $ | 373,373 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 34,943 | $ | 432,473 | 97,757 | $ | 1,480,653 | ||||||||||
Reinvestment of distributions | 21,391 | 262,960 | 188,091 | 2,991,058 | ||||||||||||
Shares reacquired | (488,261 | ) | (6,033,046 | ) | (156,870 | ) | (2,230,537 | ) | ||||||||
Increase (decrease) | (431,927 | ) | $ | (5,337,613 | ) | 128,978 | $ | 2,241,174 | ||||||||
Core Fixed Income Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 16,716,159 | $ | 156,782,963 | 7,983,844 | $ | 79,171,039 | ||||||||||
Reinvestment of distributions | 1,106,558 | 10,388,492 | 1,624,232 | 16,235,835 | ||||||||||||
Shares reacquired | (6,533,699 | ) | (61,532,281 | ) | (16,675,809 | ) | (166,825,814 | ) | ||||||||
Increase (decrease) | 11,289,018 | $ | 105,639,174 | (7,067,733 | ) | $ | (71,418,940 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 955,600 | $ | 8,960,918 | 209,742 | $ | 2,030,753 | ||||||||||
Reinvestment of distributions | 41,029 | 383,349 | 55,551 | 554,256 | ||||||||||||
Shares reacquired | (490,860 | ) | (4,590,572 | ) | (860,927 | ) | (8,689,309 | ) | ||||||||
Increase (decrease) | 505,769 | $ | 4,753,695 | (595,634 | ) | $ | (6,104,300 | ) |
437
Notes to Financial Statements (continued)
Core Fixed Income Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class F Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,866,625 | $ | 65,022,950 | 5,431,605 | $ | 55,828,643 | ||||||||||
Reinvestment of distributions | 188,364 | 1,767,519 | 541,591 | 5,587,000 | ||||||||||||
Shares reacquired | (7,587,026 | ) | (71,287,007 | ) | (27,957,750 | ) | (283,679,345 | ) | ||||||||
Decrease | (532,037 | ) | $ | (4,496,538 | ) | (21,984,554 | ) | $ | (222,263,702 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 13,666,714 | $ | 128,579,094 | 9,055,906 | $ | 90,468,747 | ||||||||||
Reinvestment of distributions | 942,633 | 8,848,291 | 1,304,325 | 13,021,600 | ||||||||||||
Shares reacquired | (4,469,484 | ) | (42,075,299 | ) | (11,238,255 | ) | (112,500,431 | ) | ||||||||
Increase (decrease) | 10,139,863 | $ | 95,352,086 | (878,024 | ) | $ | (9,010,084 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 79,270,187 | $ | 745,860,466 | 89,078,605 | $ | 854,619,064 | ||||||||||
Reinvestment of distributions | 3,079,835 | 28,904,676 | 2,497,857 | 24,407,212 | ||||||||||||
Shares reacquired | (44,043,753 | ) | (418,658,017 | ) | (14,694,486 | ) | (141,477,363 | ) | ||||||||
Increase | 38,306,269 | $ | 356,107,125 | 76,881,976 | $ | 737,548,913 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 6,879 | $ | 64,842 | 5,986 | $ | 61,235 | ||||||||||
Reinvestment of distributions | 715 | 6,716 | 1,189 | 12,063 | ||||||||||||
Shares reacquired | (8,067 | ) | (75,325 | ) | (44,068 | ) | (475,899 | ) | ||||||||
Decrease | (473 | ) | $ | (3,767 | ) | (36,893 | ) | $ | (402,601 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 38,719 | $ | 363,204 | 65,126 | $ | 658,614 | ||||||||||
Reinvestment of distributions | 12,047 | 113,097 | 19,403 | 194,748 | ||||||||||||
Shares reacquired | (46,645 | ) | (437,242 | ) | (283,192 | ) | (2,896,469 | ) | ||||||||
Increase (decrease) | 4,121 | $ | 39,059 | (198,663 | ) | $ | (2,043,107 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 162,113 | $ | 1,526,237 | 183,925 | $ | 1,823,973 | ||||||||||
Reinvestment of distributions | 15,151 | 142,204 | 22,104 | 220,929 | ||||||||||||
Shares reacquired | (82,109 | ) | (774,190 | ) | (295,359 | ) | (2,980,738 | ) | ||||||||
Increase (decrease) | 95,155 | $ | 894,251 | (89,330 | ) | $ | (935,836 | ) | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 30,875 | $ | 292,197 | 81,507 | $ | 811,749 | ||||||||||
Reinvestment of distributions | 4,478 | 42,037 | 5,310 | 52,411 | ||||||||||||
Shares reacquired | (31,294 | ) | (291,777 | ) | (25,600 | ) | (253,843 | ) | ||||||||
Increase | 4,059 | $ | 42,457 | 61,217 | $ | 610,317 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 516,602 | $ | 4,879,836 | 1,273,264 | $ | 13,120,862 | ||||||||||
Reinvestment of distributions | 88,051 | 826,226 | 111,919 | 1,106,516 | ||||||||||||
Shares reacquired | (115,939 | ) | (1,086,163 | ) | (252,669 | ) | (2,511,020 | ) | ||||||||
Increase | 488,714 | $ | 4,619,899 | 1,132,514 | $ | 11,716,358 |
438
Notes to Financial Statements (continued)
Core Plus Bond Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,860,546 | $ | 50,004,426 | 6,332,557 | $ | 85,426,871 | ||||||||||
Reinvestment of distributions | 206,779 | 2,670,114 | 204,159 | 2,767,652 | ||||||||||||
Shares reacquired | (1,479,222 | ) | (19,133,793 | ) | (4,291,916 | ) | (57,862,160 | ) | ||||||||
Increase | 2,588,103 | $ | 33,540,747 | 2,244,800 | $ | 30,332,363 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 574,082 | $ | 7,447,789 | 170,105 | $ | 2,277,502 | ||||||||||
Reinvestment of distributions | 14,331 | 185,230 | 9,616 | 130,960 | ||||||||||||
Shares reacquired | (130,442 | ) | (1,692,305 | ) | (122,652 | ) | (1,731,862 | ) | ||||||||
Increase | 457,971 | $ | 5,940,714 | 57,069 | $ | 676,600 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 3,303,810 | $ | 42,886,742 | 11,286,814 | $ | 157,775,120 | ||||||||||
Reinvestment of distributions | 173,665 | 2,239,897 | 442,365 | 6,142,420 | ||||||||||||
Shares reacquired | (8,424,039 | ) | (108,498,007 | ) | (20,925,406 | ) | (289,537,215 | ) | ||||||||
Decrease | (4,946,564 | ) | $ | (63,371,368 | ) | (9,196,227 | ) | $ | (125,619,675 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 4,252,656 | $ | 55,105,042 | 2,631,256 | $ | 35,906,730 | ||||||||||
Reinvestment of distributions | 134,524 | 1,737,154 | 96,212 | 1,305,130 | ||||||||||||
Shares reacquired | (649,662 | ) | (8,384,249 | ) | (1,306,828 | ) | (18,083,092 | ) | ||||||||
Increase | 3,737,518 | $ | 48,457,947 | 1,420,640 | $ | 19,128,768 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 58,148,201 | $ | 753,628,207 | 42,933,029 | $ | 567,820,945 | ||||||||||
Reinvestment of distributions | 1,403,222 | 18,106,015 | 471,192 | 6,158,900 | ||||||||||||
Shares reacquired | (15,313,547 | ) | (198,066,983 | ) | (12,283,104 | ) | (161,399,289 | ) | ||||||||
Increase | 44,237,876 | $ | 573,667,239 | 31,121,117 | $ | 412,580,556 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 8,016 | $ | 103,238 | 1,692 | $ | 23,111 | ||||||||||
Reinvestment of distributions | 334 | 4,310 | 350 | 4,768 | ||||||||||||
Shares reacquired | (2,650 | ) | (34,598 | ) | (316 | ) | (4,321 | ) | ||||||||
Increase | 5,700 | $ | 72,950 | 1,726 | $ | 23,558 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 4,349 | $ | 56,529 | 10,807 | $ | 146,191 | ||||||||||
Reinvestment of distributions | 524 | 6,763 | 755 | 10,365 | ||||||||||||
Shares reacquired | (5,569 | ) | (72,357 | ) | (13,313 | ) | (182,077 | ) | ||||||||
Decrease | (696 | ) | $ | (9,065 | ) | (1,751 | ) | $ | (25,521 | ) | ||||||
Class R5 Shares | ||||||||||||||||
Shares sold | – | $ | – | 61 | $ | 924 | ||||||||||
Reinvestment of distributions | 2 | 19 | 2 | 27 | ||||||||||||
Shares reacquired | (5 | ) | (59 | ) | (2 | ) | (31 | ) | ||||||||
Increase (decrease) | (3 | ) | $ | (40 | ) | 61 | $ | 920 |
439
Notes to Financial Statements (continued)
Core Plus Bond Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class R6 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 58,164 | $ | 754,015 | 231,711 | $ | 3,229,003 | ||||||||||
Reinvestment of distributions | 6,598 | 85,220 | 7,582 | 101,117 | ||||||||||||
Shares reacquired | (19,436 | ) | (251,760 | ) | (45,720 | ) | (624,186 | ) | ||||||||
Increase | 45,326 | $ | 587,475 | 193,573 | $ | 2,705,934 |
Corporate Bond Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 109,856 | $ | 918,170 | 33,434 | $ | 286,069 | ||||||||||
Reinvestment of distributions | 4,893 | 40,783 | 10,463 | 98,495 | ||||||||||||
Shares reacquired | (27,316 | ) | (226,181 | ) | (104,977 | ) | (1,006,564 | ) | ||||||||
Increase (decrease) | 87,433 | $ | 732,772 | (61,080 | ) | $ | (622,000 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,683 | $ | 89,173 | 84,415 | $ | 690,940 | ||||||||||
Reinvestment of distributions | 1,466 | 12,197 | 2,286 | 21,410 | ||||||||||||
Shares reacquired | (96,416 | ) | (794,475 | ) | (14,126 | ) | (130,732 | ) | ||||||||
Increase (decrease) | (84,267 | ) | $ | (693,105 | ) | 72,575 | $ | 581,618 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 21,867 | $ | 182,691 | 44,251 | $ | 420,843 | ||||||||||
Reinvestment of distributions | 2,957 | 24,695 | 12,336 | 117,770 | ||||||||||||
Shares reacquired | (21,412 | ) | (177,292 | ) | (361,828 | ) | (3,545,742 | ) | ||||||||
Increase (decrease) | 3,412 | $ | 30,094 | (305,241 | ) | $ | (3,007,129 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares reacquired | – | – | (4,812 | ) | (50,000 | ) | ||||||||||
Decrease | – | $ | – | (4,812 | ) | $ | (50,000 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 28,401 | $ | 234,277 | 503 | $ | 4,369 | ||||||||||
Reinvestment of distributions | 427 | 3,556 | 710 | 6,561 | ||||||||||||
Shares reacquired | (11,572 | ) | (95,939 | ) | (3,432 | ) | (31,659 | ) | ||||||||
Increase (decrease) | 17,256 | $ | 141,894 | (2,219 | ) | $ | (20,729 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 2 | $ | 11 | 6 | $ | 53 | ||||||||||
Reinvestment of distributions | – | 1 | – | 4 | ||||||||||||
Shares reacquired | (13 | ) | (107 | ) | – | (1 | ) | |||||||||
Increase (decrease) | (11 | ) | $ | (95 | ) | 6 | $ | 56 |
440
Notes to Financial Statements (continued)
Corporate Bond Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 565 | $ | 4,687 | 4,289 | $ | 37,774 | ||||||||||
Reinvestment of distributions | 159 | 1,327 | 272 | 2,458 | ||||||||||||
Shares reacquired | (22 | ) | (183 | ) | (582 | ) | (4,840 | ) | ||||||||
Increase | 702 | $ | 5,831 | 3,979 | $ | 35,392 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | – | $ | – | 152 | $ | 1,503 | ||||||||||
Reinvestment of distributions | – | – | – | 4 | ||||||||||||
Shares reacquired | – | – | (152 | ) | (1,448 | ) | ||||||||||
Increase | – | $ | – | – | $ | 59 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 198 | $ | 1,651 | 480 | $ | 4,259 | ||||||||||
Reinvestment of distributions | 88 | 737 | 191 | 1,757 | ||||||||||||
Shares reacquired | (15 | ) | (125 | ) | (4,834 | ) | (50,189 | ) | ||||||||
Increase (decrease) | 271 | $ | 2,263 | (4,163 | ) | $ | (44,173 | ) | ||||||||
Floating Rate Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 17,220,142 | $ | 136,475,416 | 102,052,143 | $ | 839,575,385 | ||||||||||
Reinvestment of distributions | 7,512,785 | 59,547,929 | 9,905,887 | 79,634,564 | ||||||||||||
Shares reacquired | (64,809,783 | ) | (513,007,492 | ) | (110,101,330 | ) | (891,871,334 | ) | ||||||||
Increase (decrease) | (40,076,856 | ) | $ | (316,984,147 | ) | 1,856,700 | $ | 27,338,615 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,151,294 | $ | 17,046,025 | 9,426,215 | $ | 78,778,850 | ||||||||||
Reinvestment of distributions | 1,667,106 | 13,222,299 | 2,131,330 | 17,140,316 | ||||||||||||
Shares reacquired | (13,625,389 | ) | (107,995,681 | ) | (15,360,831 | ) | (124,247,909 | ) | ||||||||
Decrease | (9,806,989 | ) | $ | (77,727,357 | ) | (3,803,286 | ) | $ | (28,328,743 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 5,908,616 | $ | 46,822,342 | 223,099,706 | $ | 1,853,820,570 | ||||||||||
Reinvestment of distributions | 2,713,539 | 21,491,423 | 9,226,633 | 74,744,905 | ||||||||||||
Shares reacquired | (76,936,718 | ) | (611,476,663 | ) | (480,709,494 | ) | (3,931,866,774 | ) | ||||||||
Decrease | (68,314,563 | ) | $ | (543,162,898 | ) | (248,383,155 | ) | $ | (2,003,301,299 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 1,335,497 | $ | 10,604,803 | 18,937,737 | $ | 156,939,617 | ||||||||||
Reinvestment of distributions | 742,948 | 5,898,792 | 1,200,025 | 9,641,078 | ||||||||||||
Shares reacquired | (10,181,582 | ) | (80,875,748 | ) | (14,011,424 | ) | (112,670,636 | ) | ||||||||
Increase (decrease) | (8,103,137 | ) | $ | (64,372,153 | ) | 6,126,338 | $ | 53,910,059 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 85,886,579 | $ | 683,287,208 | 606,334,430 | $ | 4,988,180,905 | ||||||||||
Reinvestment of distributions | 11,512,245 | 91,307,370 | 14,338,287 | 114,879,226 | ||||||||||||
Shares reacquired | (150,824,980 | ) | (1,195,279,279 | ) | (381,811,809 | ) | (3,079,125,145 | ) | ||||||||
Increase (decrease) | (53,426,156 | ) | $ | (420,684,701 | ) | 238,860,908 | $ | 2,023,934,986 |
441
Notes to Financial Statements (continued)
Floating Rate Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 14,935 | $ | 118,965 | 25,158 | $ | 206,172 | ||||||||||
Reinvestment of distributions | 4,984 | 39,560 | 5,436 | 43,684 | ||||||||||||
Shares reacquired | (53,210 | ) | (423,160 | ) | (8,214 | ) | (65,996 | ) | ||||||||
Increase (decrease) | (33,291 | ) | $ | (264,635 | ) | 22,380 | $ | 183,860 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,138,232 | $ | 9,012,288 | 6,095,753 | $ | 50,054,168 | ||||||||||
Reinvestment of distributions | 367,995 | 2,918,705 | 389,365 | 3,118,181 | ||||||||||||
Shares reacquired | (1,427,825 | ) | (11,323,212 | ) | (2,942,038 | ) | (23,586,626 | ) | ||||||||
Increase | 78,402 | $ | 607,781 | 3,543,080 | $ | 29,585,723 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 14,165 | $ | 112,425 | 172,529 | $ | 1,434,239 | ||||||||||
Reinvestment of distributions | 6,929 | 54,912 | 9,318 | 75,092 | ||||||||||||
Shares reacquired | (21,420 | ) | (169,197 | ) | (280,786 | ) | (2,279,710 | ) | ||||||||
Decrease | (326 | ) | $ | (1,860 | ) | (98,939 | ) | $ | (770,379 | ) | ||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 110,227 | $ | 874,040 | 168,199 | $ | 1,388,342 | ||||||||||
Reinvestment of distributions | 12,107 | 96,126 | 13,630 | 110,026 | ||||||||||||
Shares reacquired | (63,770 | ) | (507,491 | ) | (268,056 | ) | (2,201,364 | ) | ||||||||
Increase (decrease) | 58,564 | $ | 462,675 | (86,227 | ) | $ | (702,996 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 755,239 | $ | 5,994,185 | 1,575,475 | $ | 12,926,315 | ||||||||||
Reinvestment of distributions | 327,771 | 2,602,869 | 478,628 | 3,859,179 | ||||||||||||
Shares reacquired | (5,570,654 | ) | (44,137,812 | ) | (4,385,292 | ) | (35,813,935 | ) | ||||||||
Decrease | (4,487,644 | ) | $ | (35,540,758 | ) | (2,331,189 | ) | $ | (19,028,441 | ) | ||||||
High Yield Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 12,272,487 | $ | 75,901,106 | 39,440,803 | $ | 260,445,358 | ||||||||||
Reinvestment of distributions | 3,497,357 | 21,550,220 | 7,218,196 | 47,786,513 | ||||||||||||
Shares reacquired | (20,842,782 | ) | (128,773,764 | ) | (64,361,448 | ) | (424,379,451 | ) | ||||||||
Decrease | (5,072,938 | ) | $ | (31,322,438 | ) | (17,702,449 | ) | $ | (116,147,580 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,787,715 | $ | 11,013,964 | 2,030,320 | $ | 13,570,137 | ||||||||||
Reinvestment of distributions | 688,742 | 4,222,296 | 1,520,744 | 10,043,719 | ||||||||||||
Shares reacquired | (5,321,021 | ) | (32,681,539 | ) | (11,560,838 | ) | (76,407,206 | ) | ||||||||
Decrease | (2,844,564 | ) | $ | (17,445,279 | ) | (8,009,774 | ) | $ | (52,793,350 | ) |
442
Notes to Financial Statements (continued)
High Yield Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class F Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,636,727 | $ | 34,817,284 | 56,823,712 | $ | 386,605,104 | ||||||||||
Reinvestment of distributions | 1,606,274 | 9,889,445 | 10,597,812 | 71,936,934 | ||||||||||||
Shares reacquired | (42,929,091 | ) | (265,504,158 | ) | (295,526,821 | ) | (1,961,441,232 | ) | ||||||||
Decrease | (35,686,090 | ) | $ | (220,797,429 | ) | (228,105,297 | ) | $ | (1,502,899,194 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 14,039,081 | $ | 87,157,067 | 16,179,231 | $ | 109,046,931 | ||||||||||
Reinvestment of distributions | 2,965,043 | 18,358,113 | 5,519,954 | 36,722,323 | ||||||||||||
Shares reacquired | (11,478,006 | ) | (71,243,164 | ) | (30,890,134 | ) | (209,533,180 | ) | ||||||||
Increase (decrease) | 5,526,118 | $ | 34,272,016 | (9,190,949 | ) | $ | (63,763,926 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 82,168,335 | $ | 511,152,137 | 278,827,578 | $ | 1,852,879,716 | ||||||||||
Reinvestment of distributions | 8,135,232 | 50,360,226 | 14,236,856 | 94,205,619 | ||||||||||||
Shares reacquired | (100,504,111 | ) | (622,412,343 | ) | (247,331,271 | ) | (1,645,980,484 | ) | ||||||||
Increase (decrease) | (10,200,544 | ) | $ | (60,899,980 | ) | 45,733,163 | $ | 301,104,851 | ||||||||
Class P Shares | ||||||||||||||||
Shares sold | – | $ | – | 168 | $ | 1,221 | ||||||||||
Reinvestment of distributions | – | – | 129 | 928 | ||||||||||||
Shares reacquired | – | – | (6,107 | ) | (41,708 | ) | ||||||||||
Decrease | – | $ | – | (5,810 | ) | $ | (39,559 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 40,703 | $ | 252,595 | 189,604 | $ | 1,256,868 | ||||||||||
Reinvestment of distributions | 21,181 | 131,321 | 40,826 | 271,789 | ||||||||||||
Shares reacquired | (59,031 | ) | (368,330 | ) | (325,361 | ) | (2,187,907 | ) | ||||||||
Increase (decrease) | 2,853 | $ | 15,586 | (94,931 | ) | $ | (659,250 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 787,267 | $ | 4,887,193 | 2,577,736 | $ | 18,263,802 | ||||||||||
Reinvestment of distributions | 401,735 | 2,490,809 | 817,828 | 5,452,301 | ||||||||||||
Shares reacquired | (1,380,537 | ) | (8,586,219 | ) | (4,838,182 | ) | (32,376,889 | ) | ||||||||
Decrease | (191,535 | ) | $ | (1,208,217 | ) | (1,442,618 | ) | $ | (8,660,786 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 1,272,684 | $ | 7,860,816 | 3,179,168 | $ | 21,434,373 | ||||||||||
Reinvestment of distributions | 262,525 | 1,617,827 | 511,880 | 3,387,723 | ||||||||||||
Shares reacquired | (2,732,923 | ) | (16,885,302 | ) | (4,406,344 | ) | (29,826,596 | ) | ||||||||
Decrease | (1,197,714 | ) | $ | (7,406,659 | ) | (715,296 | ) | $ | (5,004,500 | ) | ||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 3,625,079 | $ | 22,308,561 | 5,542,118 | $ | 37,229,844 | ||||||||||
Reinvestment of distributions | 1,068,683 | 6,612,926 | 2,051,835 | 13,617,167 | ||||||||||||
Shares reacquired | (8,625,939 | ) | (53,597,686 | ) | (9,180,667 | ) | (61,136,182 | ) | ||||||||
Decrease | (3,932,177 | ) | $ | (24,676,199 | ) | (1,586,714 | ) | $ | (10,289,171 | ) |
443
Notes to Financial Statements (continued)
High Yield Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class R6 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 12,857,547 | $ | 79,718,971 | 26,766,823 | $ | 177,366,559 | ||||||||||
Reinvestment of distributions | 2,707,500 | 16,765,537 | 5,059,481 | 33,614,822 | ||||||||||||
Shares reacquired | (21,356,884 | ) | (132,069,196 | ) | (32,324,269 | ) | (220,592,034 | ) | ||||||||
Decrease | (5,791,837 | ) | $ | (35,584,688 | ) | (497,965 | ) | $ | (9,610,653 | ) |
Income Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 49,116,149 | $ | 119,362,039 | 62,162,447 | $ | 163,171,323 | ||||||||||
Reinvestment of distributions | 8,804,046 | 21,333,502 | 21,383,847 | 57,306,353 | ||||||||||||
Shares reacquired | (52,693,353 | ) | (127,747,931 | ) | (107,377,317 | ) | (278,873,448 | ) | ||||||||
Increase (decrease) | 5,226,842 | $ | 12,947,610 | (23,831,023 | ) | $ | (58,395,772 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,514,004 | $ | 6,132,755 | 2,384,413 | $ | 6,078,219 | ||||||||||
Reinvestment of distributions | 362,645 | 882,331 | 1,134,455 | 3,094,483 | ||||||||||||
Shares reacquired | (4,021,405 | ) | (9,791,774 | ) | (11,840,076 | ) | (30,742,970 | ) | ||||||||
Decrease | (1,144,756 | ) | $ | (2,776,688 | ) | (8,321,208 | ) | $ | (21,570,268 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 15,122,422 | $ | 36,766,508 | 22,785,665 | $ | 61,854,861 | ||||||||||
Reinvestment of distributions | 830,891 | 2,012,082 | 6,068,003 | 16,901,651 | ||||||||||||
Shares reacquired | (35,732,946 | ) | (87,098,382 | ) | (173,225,894 | ) | (468,252,316 | ) | ||||||||
Decrease | (19,779,633 | ) | $ | (48,319,792 | ) | (144,372,226 | ) | $ | (389,495,804 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 107,004,352 | $ | 260,028,212 | 120,809,572 | $ | 322,249,738 | ||||||||||
Reinvestment of distributions | 9,480,905 | 22,975,738 | 20,213,329 | 53,886,517 | ||||||||||||
Shares reacquired | (50,511,298 | ) | (122,677,825 | ) | (117,293,655 | ) | (302,914,934 | ) | ||||||||
Increase | 65,973,959 | $ | 160,326,125 | 23,729,246 | $ | 73,221,321 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 164,890,697 | $ | 401,986,709 | 209,085,480 | $ | 550,134,265 | ||||||||||
Reinvestment of distributions | 5,598,371 | 13,589,912 | 5,763,915 | 14,757,067 | ||||||||||||
Shares reacquired | (38,895,497 | ) | (94,497,250 | ) | (81,771,323 | ) | (207,493,671 | ) | ||||||||
Increase | 131,593,571 | $ | 321,079,371 | 133,078,072 | $ | 357,397,661 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 14,598 | $ | 35,767 | 32,128 | $ | 88,739 | ||||||||||
Reinvestment of distributions | 9,785 | 23,889 | 22,698 | 61,333 | ||||||||||||
Shares reacquired | (5,574 | ) | (13,707 | ) | (45,976 | ) | (122,867 | ) | ||||||||
Increase | 18,809 | $ | 45,949 | 8,850 | $ | 27,205 |
444
Notes to Financial Statements (continued)
Income Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,075,785 | $ | 5,037,426 | 3,074,544 | $ | 8,557,053 | ||||||||||
Reinvestment of distributions | 436,894 | 1,063,037 | 1,018,563 | 2,734,020 | ||||||||||||
Shares reacquired | (1,219,527 | ) | (2,969,243 | ) | (3,391,650 | ) | (8,825,962 | ) | ||||||||
Increase | 1,293,152 | $ | 3,131,220 | 701,457 | $ | 2,465,111 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 170,911 | $ | 414,822 | 1,520,949 | $ | 3,907,241 | ||||||||||
Reinvestment of distributions | 12,752 | 30,941 | 32,168 | 85,947 | ||||||||||||
Shares reacquired | (128,099 | ) | (309,328 | ) | (566,383 | ) | (1,448,474 | ) | ||||||||
Increase | 55,564 | $ | 136,435 | 986,734 | $ | 2,544,714 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 217,866 | $ | 531,489 | 439,432 | $ | 1,178,940 | ||||||||||
Reinvestment of distributions | 15,441 | 37,411 | 34,193 | 90,960 | ||||||||||||
Shares reacquired | (67,024 | ) | (162,923 | ) | (1,935,157 | ) | (4,976,467 | ) | ||||||||
Increase (decrease) | 166,283 | $ | 405,977 | (1,461,532 | ) | $ | (3,706,567 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,768,122 | $ | 6,681,980 | 7,796,735 | $ | 20,226,217 | ||||||||||
Reinvestment of distributions | �� | 252,348 | 611,465 | 594,866 | 1,588,835 | |||||||||||
Shares reacquired | (2,166,950 | ) | (5,256,998 | ) | (10,735,749 | ) | (26,305,843 | ) | ||||||||
Increase (decrease) | 853,520 | $ | 2,036,447 | (2,344,148 | ) | $ | (4,490,791 | ) | ||||||||
Inflation Focused Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,845,378 | $ | 21,415,603 | 22,268,421 | $ | 274,298,360 | ||||||||||
Reinvestment of distributions | 689,349 | 8,006,672 | 1,432,330 | 17,289,484 | ||||||||||||
Shares reacquired | (15,136,770 | ) | (176,099,018 | ) | (28,198,666 | ) | (339,889,525 | ) | ||||||||
Decrease | (12,602,043 | ) | $ | (146,676,743 | ) | (4,497,915 | ) | $ | (48,301,681 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 250,596 | $ | 2,915,043 | 3,489,212 | $ | 43,047,772 | ||||||||||
Reinvestment of distributions | 118,593 | 1,379,225 | 195,789 | 2,359,080 | ||||||||||||
Shares reacquired | (2,503,732 | ) | (29,175,869 | ) | (3,048,228 | ) | (36,376,882 | ) | ||||||||
Increase (decrease) | (2,134,543 | ) | $ | (24,881,601 | ) | 636,773 | $ | 9,029,970 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 872,726 | $ | 10,168,833 | 67,756,340 | $ | 838,867,342 | ||||||||||
Reinvestment of distributions | 332,939 | 3,870,998 | 2,442,648 | 29,939,325 | ||||||||||||
Shares reacquired | (16,655,839 | ) | (194,025,263 | ) | (191,685,285 | ) | (2,342,798,021 | ) | ||||||||
Decrease | (15,450,174 | ) | $ | (179,985,432 | ) | (121,486,297 | ) | $ | (1,473,991,354 | ) |
445
Notes to Financial Statements (continued)
Inflation Focused Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class F3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 780,249 | $ | 9,087,257 | 23,296,467 | $ | 287,008,170 | ||||||||||
Reinvestment of distributions | 476,229 | 5,537,019 | 961,563 | 11,574,025 | ||||||||||||
Shares reacquired | (11,641,524 | ) | (135,612,788 | ) | (16,826,750 | ) | (201,317,101 | ) | ||||||||
Increase (decrease) | (10,385,046 | ) | $ | (120,988,512 | ) | 7,431,280 | $ | 97,265,094 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 22,593,889 | $ | 262,690,339 | 174,660,252 | $ | 2,127,952,647 | ||||||||||
Reinvestment of distributions | 2,225,275 | 25,835,096 | 4,047,123 | 48,560,681 | ||||||||||||
Shares reacquired | (62,977,453 | ) | (732,267,859 | ) | (132,788,305 | ) | (1,587,370,932 | ) | ||||||||
Increase (decrease) | (38,158,289 | ) | $ | (443,742,424 | ) | 45,919,070 | $ | 589,142,396 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 9,899 | $ | 114,939 | 16,925 | $ | 204,829 | ||||||||||
Reinvestment of distributions | 312 | 3,601 | 251 | 2,968 | ||||||||||||
Shares reacquired | (977 | ) | (11,203 | ) | (2,628 | ) | (32,071 | ) | ||||||||
Increase | 9,234 | $ | 107,337 | 14,548 | $ | 175,726 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 17,669 | $ | 204,913 | 11,924 | $ | 146,407 | ||||||||||
Reinvestment of distributions | 907 | 10,534 | 964 | 11,568 | ||||||||||||
Shares reacquired | (8,969 | ) | (104,654 | ) | (5,526 | ) | (66,975 | ) | ||||||||
Increase | 9,607 | $ | 110,793 | 7,362 | $ | 91,000 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 68,546 | $ | 795,403 | 29,188 | $ | 346,200 | ||||||||||
Reinvestment of distributions | 2,890 | 33,561 | 3,248 | 39,103 | ||||||||||||
Shares reacquired | (14,310 | ) | (165,578 | ) | (50,448 | ) | (607,982 | ) | ||||||||
Increase (decrease) | 57,126 | $ | 663,386 | (18,012 | ) | $ | (222,679 | ) | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 140,816 | $ | 1,639,878 | 40,343 | $ | 491,893 | ||||||||||
Reinvestment of distributions | 924 | 10,693 | 856 | 10,222 | ||||||||||||
Shares reacquired | (17,462 | ) | (202,339 | ) | (24,996 | ) | (299,791 | ) | ||||||||
Increase | 124,278 | $ | 1,448,232 | 16,203 | $ | 202,324 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 457,654 | $ | 5,319,474 | 338,028 | $ | 4,126,622 | ||||||||||
Reinvestment of distributions | 12,182 | 141,301 | 27,006 | 326,394 | ||||||||||||
Shares reacquired | (614,916 | ) | (7,149,250 | ) | (738,633 | ) | (9,022,895 | ) | ||||||||
Decrease | (145,080 | ) | $ | (1,688,475 | ) | (373,599 | ) | $ | (4,569,879 | ) |
446
Notes to Financial Statements (continued)
Short Duration Core Bond Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,178,013 | $ | 56,500,457 | 6,403,922 | $ | 59,524,202 | ||||||||||
Reinvestment of distributions | 179,765 | 1,646,061 | 137,792 | 1,279,326 | ||||||||||||
Shares reacquired | (2,787,056 | ) | (25,531,524 | ) | (6,457,288 | ) | (59,720,479 | ) | ||||||||
Increase | 3,570,722 | $ | 32,614,994 | 84,426 | $ | 1,083,049 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 209,169 | $ | 1,913,775 | 457,372 | $ | 4,270,467 | ||||||||||
Reinvestment of distributions | 10,011 | 91,587 | 8,953 | 83,030 | ||||||||||||
Shares reacquired | (147,815 | ) | (1,352,487 | ) | (390,899 | ) | (3,644,705 | ) | ||||||||
Increase | 71,365 | $ | 652,875 | 75,426 | $ | 708,792 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,013,273 | $ | 18,410,250 | 3,627,701 | $ | 34,474,797 | ||||||||||
Reinvestment of distributions | 73,306 | 670,706 | 161,195 | 1,517,970 | ||||||||||||
Shares reacquired | (1,070,019 | ) | (9,815,432 | ) | (12,377,499 | ) | (116,115,585 | ) | ||||||||
Increase (decrease) | 1,016,560 | $ | 9,265,524 | (8,588,603 | ) | $ | (80,122,818 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 1,741,217 | $ | 15,943,350 | 3,616,311 | $ | 33,376,004 | ||||||||||
Reinvestment of distributions | 90,718 | 829,974 | 37,695 | 345,144 | ||||||||||||
Shares reacquired | (1,037,334 | ) | (9,499,770 | ) | (419,407 | ) | (3,842,017 | ) | ||||||||
Increase | 794,601 | $ | 7,273,554 | 3,234,599 | $ | 29,879,131 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 13,954,914 | $ | 127,756,014 | 21,479,031 | $ | 203,967,439 | ||||||||||
Reinvestment of distributions | 455,074 | 4,163,520 | 323,371 | 3,002,962 | ||||||||||||
Shares reacquired | (5,331,254 | ) | (48,775,714 | ) | (9,653,659 | ) | (90,247,232 | ) | ||||||||
Increase | 9,078,734 | $ | 83,143,820 | 12,148,743 | $ | 116,723,169 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 11,136 | $ | 101,807 | 70,174 | $ | 654,719 | ||||||||||
Reinvestment of distributions | 1,308 | 11,963 | 1,050 | 9,657 | ||||||||||||
Shares reacquired | (11,595 | ) | (105,800 | ) | (13,534 | ) | (123,739 | ) | ||||||||
Increase | 849 | $ | 7,970 | 57,690 | $ | 540,637 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 970 | $ | 8,916 | – | $ | – | ||||||||||
Reinvestment of distributions | 6 | 57 | – | – | ||||||||||||
Shares reacquired | – | (2 | ) | – | – | |||||||||||
Increase | 976 | $ | 8,971 | – | $ | – | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 16,666 | $ | 152,508 | 17,221 | $ | 160,929 | ||||||||||
Reinvestment of distributions | 1,872 | 17,128 | 2,821 | 26,265 | ||||||||||||
Shares reacquired | (48,319 | ) | (442,087 | ) | (17,212 | ) | (162,501 | ) | ||||||||
Increase (decrease) | (29,781 | ) | $ | (272,451 | ) | 2,830 | $ | 24,693 |
447
Notes to Financial Statements (continued)
Short Duration Income Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 185,856,100 | $ | 716,177,258 | 490,607,745 | $ | 1,963,200,375 | ||||||||||
Reinvestment of distributions | 43,227,747 | 166,503,798 | 73,945,545 | 292,377,093 | ||||||||||||
Shares reacquired | (523,138,771 | ) | (2,015,159,894 | ) | (1,274,291,499 | ) | (5,070,978,902 | ) | ||||||||
Decrease | (294,054,924 | ) | $ | (1,132,478,838 | ) | (709,738,209 | ) | $ | (2,815,401,434 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 20,880,924 | $ | 80,941,778 | 50,330,721 | $ | 202,641,707 | ||||||||||
Reinvestment of distributions | 8,603,384 | 33,339,349 | 14,230,438 | 56,577,940 | ||||||||||||
Shares reacquired | (109,855,773 | ) | (425,753,376 | ) | (309,426,259 | ) | (1,238,564,491 | ) | ||||||||
Decrease | (80,371,465 | ) | $ | (311,472,249 | ) | (244,865,100 | ) | $ | (979,344,844 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 162,505,137 | $ | 626,412,505 | 1,568,855,724 | $ | 6,337,768,151 | ||||||||||
Reinvestment of distributions | 22,325,299 | 85,941,267 | 91,866,479 | 366,514,517 | ||||||||||||
Shares reacquired | (1,137,804,042 | ) | (4,384,750,335 | ) | (6,522,252,791 | ) | (26,108,886,894 | ) | ||||||||
Decrease | (952,973,606 | ) | $ | (3,672,396,563 | ) | (4,861,530,588 | ) | $ | (19,404,604,226 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 207,748,511 | $ | 801,717,934 | 680,026,268 | $ | 2,725,996,746 | ||||||||||
Reinvestment of distributions | 27,780,354 | 107,098,196 | 40,420,017 | 159,685,720 | ||||||||||||
Shares reacquired | (289,220,906 | ) | (1,115,609,530 | ) | (614,627,147 | ) | (2,438,248,185 | ) | ||||||||
Increase (decrease) | (53,692,041 | ) | $ | (206,793,400 | ) | 105,819,138 | $ | 447,434,281 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 2,215,480,854 | $ | 8,532,313,101 | 6,901,169,782 | $ | 27,454,118,771 | ||||||||||
Reinvestment of distributions | 131,652,730 | 506,217,731 | 147,751,134 | 579,429,805 | ||||||||||||
Shares reacquired | (1,899,755,575 | ) | (7,313,510,810 | ) | (3,288,581,346 | ) | (12,943,262,670 | ) | ||||||||
Increase | 447,378,009 | $ | 1,725,020,022 | 3,760,339,570 | $ | 15,090,285,906 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 272,449 | $ | 1,051,664 | 354,528 | $ | 1,418,626 | ||||||||||
Reinvestment of distributions | 27,710 | 106,727 | 49,607 | 195,880 | ||||||||||||
Shares reacquired | (203,706 | ) | (783,289 | ) | (1,137,216 | ) | (4,476,566 | ) | ||||||||
Increase (decrease) | 96,453 | $ | 375,102 | (733,081 | ) | $ | (2,862,060 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 4,717,740 | $ | 18,193,366 | 16,752,343 | $ | 67,016,218 | ||||||||||
Reinvestment of distributions | 1,796,445 | 6,925,554 | 2,563,596 | 10,127,569 | ||||||||||||
Shares reacquired | (10,938,103 | ) | (42,163,949 | ) | (24,449,922 | ) | (97,446,789 | ) | ||||||||
Decrease | (4,423,918 | ) | $ | (17,045,029 | ) | (5,133,983 | ) | $ | (20,303,002 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 5,844,010 | $ | 22,575,559 | 16,279,331 | $ | 65,283,533 | ||||||||||
Reinvestment of distributions | 644,301 | 2,484,984 | 949,088 | 3,749,715 | ||||||||||||
Shares reacquired | (6,191,857 | ) | (23,921,652 | ) | (19,490,244 | ) | (77,319,388 | ) | ||||||||
Increase (decrease) | 296,454 | $ | 1,138,891 | (2,261,825 | ) | $ | (8,286,140 | ) |
448
Notes to Financial Statements (continued)
Short Duration Income Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,658,855 | $ | 6,378,719 | 7,366,090 | $ | 29,208,887 | ||||||||||
Reinvestment of distributions | 360,031 | 1,384,396 | 473,092 | 1,860,216 | ||||||||||||
Shares reacquired | (3,445,170 | ) | (13,264,726 | ) | (5,964,672 | ) | (23,708,173 | ) | ||||||||
Increase (decrease) | (1,426,284 | ) | $ | (5,501,611 | ) | 1,874,510 | $ | 7,360,930 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 57,898,287 | $ | 223,034,104 | 164,135,242 | $ | 650,020,416 | ||||||||||
Reinvestment of distributions | 5,854,256 | 22,520,281 | 7,529,849 | 29,715,109 | ||||||||||||
Shares reacquired | (62,307,938 | ) | (239,734,234 | ) | (139,519,261 | ) | (554,775,455 | ) | ||||||||
Increase | 1,444,605 | $ | 5,820,151 | 32,145,830 | $ | 124,960,070 |
Total Return Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 10,532,356 | $ | 93,080,051 | 14,228,110 | $ | 133,168,928 | ||||||||||
Reinvestment of distributions | 2,241,327 | 19,752,478 | 4,103,051 | 38,953,806 | ||||||||||||
Shares reacquired | (13,059,444 | ) | (115,398,121 | ) | (30,547,930 | ) | (286,337,421 | ) | ||||||||
Decrease | (285,761 | ) | $ | (2,565,592 | ) | (12,216,769 | ) | $ | (114,214,687 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 434,468 | $ | 3,835,073 | 378,154 | $ | 3,549,253 | ||||||||||
Reinvestment of distributions | 64,086 | 564,340 | 142,128 | 1,358,434 | ||||||||||||
Shares reacquired | (912,073 | ) | (8,037,473 | ) | (2,266,905 | ) | (21,200,363 | ) | ||||||||
Decrease | (413,519 | ) | $ | (3,638,060 | ) | (1,746,623 | ) | $ | (16,292,676 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,466,938 | $ | 21,786,945 | 10,394,306 | $ | 100,480,992 | ||||||||||
Reinvestment of distributions | 417,361 | 3,677,765 | 2,110,774 | 20,601,043 | ||||||||||||
Shares reacquired | (19,466,877 | ) | (172,158,725 | ) | (86,350,774 | ) | (826,335,367 | ) | ||||||||
Decrease | (16,582,578 | ) | $ | (146,694,015 | ) | (73,845,694 | ) | $ | (705,253,332 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 13,568,213 | $ | 119,940,207 | 16,533,652 | $ | 156,710,513 | ||||||||||
Reinvestment of distributions | 1,905,732 | 16,801,959 | 3,269,704 | 31,013,961 | ||||||||||||
Shares reacquired | (9,645,950 | ) | (85,219,745 | ) | (22,715,218 | ) | (214,115,018 | ) | ||||||||
Increase (decrease) | 5,827,995 | $ | 51,522,421 | (2,911,862 | ) | $ | (26,390,544 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 40,775,610 | $ | 361,434,661 | 66,474,053 | $ | 622,399,434 | ||||||||||
Reinvestment of distributions | 1,933,555 | 17,076,662 | 2,223,353 | 20,683,532 | ||||||||||||
Shares reacquired | (15,499,260 | ) | (137,152,621 | ) | (22,853,408 | ) | (209,265,780 | ) | ||||||||
Increase | 27,209,905 | $ | 241,358,702 | 45,843,998 | $ | 433,817,186 |
449
Notes to Financial Statements (continued)
Total Return Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class P Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,677 | $ | 14,876 | 4,293 | $ | 41,278 | ||||||||||
Reinvestment of distributions | 1,171 | 10,371 | 2,116 | 20,248 | ||||||||||||
Shares reacquired | (3,237 | ) | (28,931 | ) | (14,962 | ) | (142,881 | ) | ||||||||
Decrease | (389 | ) | $ | (3,684 | ) | (8,553 | ) | $ | (81,355 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 5,989 | $ | 52,729 | 12,145 | $ | 115,184 | ||||||||||
Reinvestment of distributions | 2,709 | 23,868 | 4,465 | 42,426 | ||||||||||||
Shares reacquired | (4,342 | ) | (38,014 | ) | (47,595 | ) | (464,350 | ) | ||||||||
Increase (decrease) | 4,356 | $ | 38,583 | (30,985 | ) | $ | (306,740 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 409,598 | $ | 3,610,762 | 488,238 | $ | 4,650,109 | ||||||||||
Reinvestment of distributions | 63,142 | 556,359 | 115,568 | 1,098,695 | ||||||||||||
Shares reacquired | (455,000 | ) | (4,013,186 | ) | (1,026,780 | ) | (9,608,266 | ) | ||||||||
Increase (decrease) | 17,740 | $ | 153,935 | (422,974 | ) | $ | (3,859,462 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 732,837 | $ | 6,461,545 | 1,078,982 | $ | 10,187,678 | ||||||||||
Reinvestment of distributions | 40,185 | 354,097 | 63,283 | 601,435 | ||||||||||||
Shares reacquired | (724,820 | ) | (6,396,615 | ) | (1,898,691 | ) | (18,141,072 | ) | ||||||||
Increase (decrease) | 48,202 | $ | 419,027 | (756,426 | ) | $ | (7,351,959 | ) | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 289,052 | $ | 2,546,465 | 1,308,996 | $ | 12,912,920 | ||||||||||
Reinvestment of distributions | 34,221 | 301,687 | 238,298 | 2,277,634 | ||||||||||||
Shares reacquired | (588,600 | ) | (5,196,272 | ) | (6,480,259 | ) | (57,182,494 | ) | ||||||||
Decrease | (265,327 | ) | $ | (2,348,120 | ) | (4,932,965 | ) | $ | (41,991,940 | ) | ||||||
Class R6 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,424,077 | $ | 30,300,058 | 5,495,944 | $ | 52,428,664 | ||||||||||
Reinvestment of distributions | 459,232 | 4,051,320 | 833,626 | 7,918,087 | ||||||||||||
Shares reacquired | (2,930,810 | ) | (25,907,769 | ) | (9,342,952 | ) | (88,847,687 | ) | ||||||||
Increase (decrease) | 952,499 | $ | 8,443,609 | (3,013,382 | ) | $ | (28,500,936 | ) | ||||||||
Ultra Short Bond Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 50,383,971 | $ | 496,577,381 | 201,031,660 | $ | 1,996,294,785 | ||||||||||
Reinvestment of distributions | 8,524,149 | 84,078,228 | 9,489,914 | 93,398,466 | ||||||||||||
Shares reacquired | (174,469,654 | ) | (1,719,171,203 | ) | (684,513,149 | ) | (6,767,649,390 | ) | ||||||||
Decrease | (115,561,534 | ) | $ | (1,138,515,594 | ) | (473,991,575 | ) | $ | (4,677,956,139 | ) |
450
Notes to Financial Statements (concluded)
Ultra Short Bond Fund | Six Months Ended May 31, 2023 (unaudited | ) | Year Ended November 30, 2022 | |||||||||||||
Class A1 Shares | ||||||||||||||||
Shares sold | 10,555 | $ | 104,238 | 168,930 | $ | 1,675,747 | ||||||||||
Reinvestment of distributions | 6,722 | 66,316 | 7,631 | 75,197 | ||||||||||||
Shares reacquired | (76,635 | ) | (756,310 | ) | (1,105,431 | ) | (10,955,420 | ) | ||||||||
Decrease | (59,358 | ) | $ | (585,756 | ) | (928,870 | ) | $ | (9,204,476 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 23,435,448 | $ | 230,640,496 | 160,865,643 | $ | 1,596,579,072 | ||||||||||
Reinvestment of distributions | 1,479,515 | 14,586,889 | 3,159,355 | 31,160,512 | ||||||||||||
Shares reacquired | (107,965,157 | ) | (1,064,840,221 | ) | (568,248,109 | ) | (5,626,812,931 | ) | ||||||||
Decrease | (83,050,194 | ) | $ | (819,612,836 | ) | (404,223,111 | ) | $ | (3,999,073,347 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 27,556,312 | $ | 271,705,204 | 86,723,432 | $ | 861,857,028 | ||||||||||
Reinvestment of distributions | 1,124,886 | 11,095,148 | 932,686 | 9,172,907 | ||||||||||||
Shares reacquired | (33,787,064 | ) | (332,873,767 | ) | (62,099,912 | ) | (613,524,756 | ) | ||||||||
Increase (decrease) | (5,105,866 | ) | $ | (50,073,415 | ) | 25,556,206 | $ | 257,505,179 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 210,664,456 | $ | 2,076,525,101 | 573,124,802 | $ | 5,656,176,028 | ||||||||||
Reinvestment of distributions | 7,032,602 | 69,376,614 | 4,360,373 | 42,819,447 | ||||||||||||
Shares reacquired | (197,399,063 | ) | (1,945,552,816 | ) | (310,913,480 | ) | (3,061,132,979 | ) | ||||||||
Increase | 20,297,995 | $ | 200,348,899 | 266,571,695 | $ | 2,637,862,496 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 4,697 | $ | 46,370 | 2,809 | $ | 27,469 | ||||||||||
Reinvestment of distributions | 292 | 2,877 | 254 | 2,509 | ||||||||||||
Shares reacquired | (539 | ) | (5,314 | ) | (48,874 | ) | (485,552 | ) | ||||||||
Increase (decrease) | 4,450 | $ | 43,933 | (45,811 | ) | $ | (455,574 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,092,100 | $ | 10,780,378 | 1,947,328 | $ | 19,236,213 | ||||||||||
Reinvestment of distributions | 119,967 | 1,183,283 | 123,031 | 1,210,694 | ||||||||||||
Shares reacquired | (1,936,496 | ) | (19,067,851 | ) | (3,749,329 | ) | (37,042,431 | ) | ||||||||
Decrease | (724,429 | ) | $ | (7,104,190 | ) | (1,678,970 | ) | $ | (16,595,524 | ) |
451
(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)
Approval of Advisory Contract
The Board, including all of the Trustees who are not “interested persons” of the Company or of Lord Abbett, as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”), annually considers whether to approve the continuation of the existing management agreement between each Fund and Lord Abbett (the “Agreement”). In connection with its most recent approval, the Board reviewed materials relating specifically to the Agreement, as well as numerous materials received throughout the course of the year, including information about each Fund’s investment performance compared to the performance of an appropriate benchmark. Before making its decision as to each Fund, the Board had the opportunity to ask questions and request further information, taking into account its knowledge of Lord Abbett gained through its meetings and discussions. The Independent Trustees also met with their independent legal counsel in various private sessions at which no representatives of management were present.
The materials received by the Board as to each Fund included, but were not limited to: (1) information provided by Broadridge Financial Solutions (“Broadridge”) regarding the investment performance of the Fund compared to the investment performance of certain funds with similar investment styles as determined by Broadridge, based, in part, on the Fund’s Morningstar category (the “performance peer group”), and the investment performance of one or more appropriate benchmarks; (2) information provided by Broadridge regarding the expense ratios, contractual and actual management fee rates, and other expense components for the Fund and certain funds in the same Morningstar category, with generally the same or similar share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability to Lord Abbett of providing management and administrative services to the Funds; (8) information provided by Lord Abbett regarding the investment management fee schedules for Lord Abbett’s other advisory clients maintaining accounts with a similar investment strategy as the Fund (for each Fund other than Corporate Bond Fund, Income Fund, and Inflation Focused Fund); and (9) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.
Investment Management and Related Services Generally. The Board considered the services provided by Lord Abbett to each Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to each Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other. After reviewing these and related factors, the Board
452
Approval of Advisory Contract (continued)
concluded that each Fund was likely to continue to benefit from the nature, extent and quality of the investment services provided by Lord Abbett under the Agreement.
Investment Performance. The Board reviewed each Fund’s investment performance in relation to that of its performance peer group and one or more appropriate benchmarks as of various periods ended June 30, 2022. As to Convertible Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-year period and above the median of the performance peer group for the three-, five-, and ten-year periods. As to Core Fixed Income Fund and Floating Rate Fund, the Board observed that the Funds’ investment performance was above the median of the performance peer group for the one-year period and below the median for the three-, five-, and ten-year periods. As to Total Return Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-, three-, five-, and ten-year periods. As to Core Plus Bond Fund, the Board observed that the Fund’s investment performance was equal to the median of the performance peer group for the one- and three-year periods, and above the median of the performance peer group for the five-year period. As to Corporate Bond Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-year period and equal to the median for the three- and five-year periods. As to Short Duration Core Bond Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-year period and below the median for the three- and five-year periods. As to Ultra Short Bond Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-, three- and five-year periods. As to High Yield Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-, three-, and five-year periods, but above the median of the performance peer group for the ten-year period. As to Income Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-, three-, five-, and ten-year periods. As to Short Duration Income Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-year period, equal to the performance peer group median for the three-year period and above the performance peer group median for the five- and ten-year periods. As to Inflation Focused Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-, three-, and five-year periods and below the median of the performance peer group for the ten-year period. The Board observed that the Fund outperformed both of its benchmarks for the three-, five-, and ten-year periods and outperformed one of its benchmarks for the one-year period but underperformed its other benchmark for the one-year period. The Board further considered Lord Abbett’s performance and reputation generally, the performance of other Lord Abbett-managed funds overseen by the Board, and the willingness of Lord Abbett to take steps intended to improve performance when appropriate. After reviewing these and other factors, including those described below, the Board concluded that each Fund’s Agreement should be continued.
Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to each Fund, in light of its investment objective and discipline, and other services provided to each Fund by Lord Abbett. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining personnel.
453
Approval of Advisory Contract (continued)
Nature and Quality of Other Services. The Board considered the nature, quality, and extent of compliance, administrative, and other services performed by Lord Abbett and the nature and extent of Lord Abbett’s supervision of third-party service providers, including each Fund’s transfer agent and custodian.
Expenses. The Board considered the expense level of each Fund, including the contractual and actual management fee rates, and the expense levels of the Fund’s expense peer group. It also considered how each of the expense level and the actual management fee rates of each Fund related to those of the expense peer group and the amount and nature of the fees paid by shareholders. As to Convertible Fund, the Board observed that the net total expense ratio and management fee of the Fund were both above the median of the expense peer group. As to Corporate Bond Fund and Inflation Focused Fund, the Board observed that the net total expense ratio was below the median of the expense peer group and the management fee was equal to the peer group median. As to High Yield Fund, the Board observed that the net total expense ratio was below the median of the expense peer group and the management fee was above the peer group median. As to each other Fund, the Board observed that the net total expense ratio and the management fee were both below the peer group median. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that the management fees paid by each Fund were reasonable in light of all of the factors it considered, including the nature, quality and extent of services provided by Lord Abbett.
Profitability. As to each Fund, the Board considered the level of Lord Abbett’s operating margin in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. It considered whether each Fund was profitable to Lord Abbett in connection with the Fund’s operation, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund. The Board considered Lord Abbett’s profit margins excluding Lord Abbett’s marketing and distribution expenses. The Board also considered Lord Abbett’s profit margins, without those exclusions, in comparison with available industry data and how those profit margins could affect Lord Abbett’s ability to recruit and retain personnel. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified personnel to provide services to each Fund. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that Lord Abbett’s profitability with respect to each Fund was not excessive.
Economies of Scale. As to each Fund, the Board considered the extent to which there had been economies of scale in managing the Fund, whether the Fund’s shareholders had appropriately benefited from such economies of scale, and whether there was potential for realization of any further economies of scale. The Board also considered information provided by Lord Abbett regarding how it shares any potential economies of scale through its investments in its businesses supporting the Funds. The Board also considered each Fund’s existing management fee schedule, noting one or more contractual breakpoints in the level of management fee for each Fund other than Ultra Short Bond Fund, and, with respect to Core Plus Bond Fund, Corporate Bond Fund, and Short Duration Core Bond Fund, the Fund’s expense limitation agreement. Based on these considerations, the Board concluded that any economies of scale were adequately addressed in respect of each Fund.
454
Approval of Advisory Contract (concluded)
Other Benefits to Lord Abbett. As to each Fund, the Board considered the amount and nature of the fees paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services, such as the fee that Lord Abbett receives from each Fund for providing administrative services to the Fund. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with each Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares of the Lord Abbett Funds. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also noted that Lord Abbett, as disclosed in the prospectus of each Fund, has entered into revenue sharing arrangements with certain entities that distribute shares of the Lord Abbett Funds. The Board also took into consideration the investment research that Lord Abbett receives as a result of client brokerage transactions.
Alternative Arrangements. As to each Fund, the Board considered whether, instead of approving continuation of the Agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the Agreement was in the best interests of each Fund and its shareholders and voted unanimously to approve the continuation of the Agreement on behalf of each Fund. As to each Fund, in considering whether to approve the continuation of the Agreement, the Board did not identify any single factor as paramount or controlling. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. This summary does not discuss in detail all matters considered.
455
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 17, 2023 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 April 1, 2022 through March 31, 2023. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: no Fund breached 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 the Funds’ 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 Funds Service Center, P.O. Box 534489, Pittsburgh, PA 15253-4489 (regular mail) or 500 Ross Street 154-0520, Attention: 534489, Pittsburgh, PA 15252 (overnight mail).
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.
456
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Investment Trust
Lord Abbett Convertible Fund
Lord Abbett Core Fixed Income Fund
Lord Abbett Core Plus Bond Fund
Lord Abbett Corporate Bond Fund
Lord Abbett Floating Rate Fund
Lord Abbett High Yield Fund
Lord Abbett Income Fund
Lord Abbett Inflation Focused Fund
Lord Abbett Short Duration Core Bond Fund
Lord Abbett Short Duration Income Fund
Lord Abbett Total Return Fund
Lord Abbett Ultra Short Bond Fund | LAIT-3 (07/23) | ||
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Multi-Asset Balanced Opportunity Fund
Multi-Asset Income Fund
For the six-month period ended May 31, 2023
Table of Contents
Lord Abbett Multi-Asset Balanced Opportunity Fund
and Lord Abbett Multi-Asset Income Fund
Semiannual Report
For the six-month period ended May 31, 2023
From left to right: James L.L. Tullis, Independent Chair of the Lord Abbett Funds and Douglas B. Sieg, Trustee, President and Chief Executive Officer of the Lord Abbett Funds. | Dear Shareholders: We are pleased to provide you with this semiannual report for the Funds for the six-month period ended May 31, 2023. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Douglas B. Sieg Trustee, President and Chief Executive Officer |
1
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 through May 31, 2023).
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 titled “Expenses Paid During Period 12/1/22 – 5/31/23” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the applicable table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
Multi-Asset Balanced Opportunity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period†# | |||||||||||
12/1/22 | 5/31/23 | 12/1/22 - 5/31/23 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 992.50 | $ | 2.53 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.39 | $ | 2.57 | |||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 989.40 | $ | 6.25 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.65 | $ | 6.34 | |||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.20 | $ | 1.79 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.14 | $ | 1.82 | |||||||
Class F3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.90 | $ | 0.89 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,024.03 | $ | 0.91 | |||||||
Class I | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.80 | $ | 1.29 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.64 | $ | 1.31 | |||||||
Class P | |||||||||||||
Actual | $ | 1,000.00 | $ | 991.60 | $ | 3.48 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.44 | $ | 3.53 | |||||||
Class R2 | |||||||||||||
Actual | $ | 1,000.00 | $ | 991.00 | $ | 4.27 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.64 | $ | 4.33 | |||||||
Class R3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 991.40 | $ | 3.72 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.19 | $ | 3.78 | |||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.50 | $ | 2.53 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.39 | $ | 2.57 | |||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.80 | $ | 1.29 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.64 | $ | 1.31 | |||||||
Class R6 | |||||||||||||
Actual | $ | 1,000.00 | $ | 994.90 | $ | 0.90 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,024.03 | $ | 0.91 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.51% for Class A, 1.26% for Class C, 0.36% for Class F, 0.18% for Class F3, 0.26% for Class I, 0.70% for Class P, 0.86% for Class R2, 0.75% 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 182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Balanced Opportunity Fund invests. |
3
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2023
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 1.11 | % | ||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 17.26 | % | ||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 19.21 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 3.90 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 18.31 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 9.20 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 6.53 | % | ||
Lord Abbett Investment Trust-Income Fund-Class I | 2.03 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 4.03 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 4.53 | % | ||
Lord Abbett Securities Trust-International Value Fund Class I | 3.88 | % | ||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 0.90 | % | ||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 9.03 | % | ||
Repurchase Agreements | 0.08 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments, which excludes derivatives. |
4
Multi-Asset Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period†# | |||||||||||
12/1/22 | 5/31/23 | 12/1/22 - 5/31/23 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.20 | $ | 2.49 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.44 | $ | 2.52 | |||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 996.80 | $ | 6.22 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.70 | $ | 6.29 | |||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.90 | $ | 1.75 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.19 | $ | 1.77 | |||||||
Class F3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.20 | $ | 0.95 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.98 | $ | 0.96 | |||||||
Class I | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.50 | $ | 1.25 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.68 | $ | 1.26 | |||||||
Class R2 | |||||||||||||
Actual | $ | 1,000.00 | $ | 998.50 | $ | 4.24 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.69 | $ | 4.28 | |||||||
Class R3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 999.70 | $ | 3.74 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.19 | $ | 3.78 | |||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.20 | $ | 2.49 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.44 | $ | 2.52 | |||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.50 | $ | 1.25 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.68 | $ | 1.26 | |||||||
Class R6 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.20 | $ | 0.95 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.98 | $ | 0.96 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.50% for Class A, 1.25% for Class C, 0.35% for Class F, 0.19% for Class F3, 0.25% for Class I, 0.85% for Class R2, 0.75% for Class R3, 0.50% for Class R4, 0.25% for Class R5 and 0.19% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Income Fund invests. |
5
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2023
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 0.32 | % | ||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 33.95 | % | ||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 10.58 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 3.36 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 10.40 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 4.50 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 8.92 | % | ||
Lord Abbett Investment Trust-Income Fund-Class I | 2.03 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 6.04 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 4.98 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 3.95 | % | ||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 0.97 | % | ||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 9.92 | % | ||
Repurchase Agreements | 0.08 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments, which excludes derivatives. |
6
Schedule of Investments (unaudited)
MULTI-ASSET BALANCED OPPORTUNITY FUND May 31, 2023
Investments | Shares | Fair Value | ||||||
LONG-TERM INVESTMENTS 99.65% | ||||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b) 99.65% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 1,737,462 | $ | 21,214,407 | |||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 35,507,528 | 330,930,157 | ||||||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I(e) | 21,009,863 | 368,302,903 | ||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(f) | 18,975,963 | 74,765,293 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I*(g) | 29,794,244 | 350,976,200 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(h) | 6,008,921 | 176,301,734 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(i) | 20,465,689 | 125,250,018 | ||||||
Lord Abbett Investment Trust-Income Fund-Class I(j) | 16,157,952 | 38,940,664 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(k) | 6,697,123 | 77,150,851 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(l) | 6,612,427 | 86,887,294 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(m) | 10,547,594 | 74,466,016 | ||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(j) | 4,501,550 | 17,240,937 | ||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund(n) | 17,532,923 | 173,049,950 | ||||||
Total Investments in Underlying Funds (cost 2,046,196,068) | 1,915,476,424 | |||||||
OPTIONS PURCHASED 0.05% (cost $569,031) | 862,118 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS 0.08% | ||||||||
REPURCHASE AGREEMENTS 0.08% | ||||||||
Repurchase Agreement dated 5/31/2023, 2.60% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $1,711,000 of U.S. Treasury Note at 0.50% due 2/28/2026; value: $1,551,797; proceeds: $1,521,469 (cost $1,521,359) | $ | 1,521,359 | 1,521,359 | |||||
Total Investments in Securities 99.78% (cost $2,048,286,458) | 1,917,859,901 | |||||||
Other Assets and Liabilities – Net(o) 0.22% | 4,274,516 | |||||||
Net Assets 100.00% | $ | 1,922,134,417 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 12). | |
(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 current income and capital appreciation. | |
(f) | Fund investment objective is to seek high total return. | |
(g) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(h) | Fund investment objective is to seek capital appreciation. |
See Notes to Financial Statements. | 7 |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET BALANCED OPPORTUNITY FUND May 31, 2023
(i) | Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. | |
(j) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(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 long-term capital appreciation. | |
(m) | Fund investment objective is to seek a high level of total return. | |
(n) | Fund investment objective is to seek current income consistent with the preservation of capital. | |
(o) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts and options purchased as follows: |
OTC Options Purchased at May 31, 2023:
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value | ||||||||||||||
EUR vs. USD, Put | Bank of America | 37,675,000 | 8/18/2023 | $1.075 | $37,675,000 | $ | 545,549 | |||||||||||||
EUR vs. USD, Put | Goldman Sachs | 37,675,000 | 8/18/2023 | 1.06 | 37,675,000 | 316,569 | ||||||||||||||
Total OTC Options Purchased | $ | 862,118 |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
E-Mini Russell 1000 Index | June 2023 | 942 | Short | $(102,789,631 | ) | $(107,877,840 | ) | $(5,088,209 | ) |
The following is a summary of the inputs used as of May 31, 2023 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Investments in Underlying Funds | $ | 1,915,476,424 | $ | – | $ | – | $ | 1,915,476,424 | ||||||||
OTC Options Purchased | – | 862,118 | – | 862,118 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 1,521,359 | – | 1,521,359 | ||||||||||||
Total | $ | 1,915,476,424 | $ | 2,383,477 | $ | – | $ | 1,917,859,901 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | (5,088,209 | ) | – | – | (5,088,209 | ) | ||||||||||
Total | $ | (5,088,209 | ) | $ | – | $ | – | $ | (5,088,209 | ) |
(1) | Refer to Note 2(m) for a description of fair value measurements and the three-tier hierarchy of inputs. | ||
(2) | See Schedule of Investments for fair values in each investment in Underlying Funds. When applicable, 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 period in relation to the Fund’s net assets.
8 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
MULTI-ASSET INCOME FUND May 31, 2023
Investments | Shares | Fair Value | ||||||
LONG-TERM INVESTMENTS 99.64% | ||||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b) 99.64% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 233,317 | �� | $ | 2,848,801 | ||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 32,037,112 | 298,585,880 | ||||||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I(e) | 5,309,362 | 93,073,119 | ||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(f) | 7,509,352 | 29,586,848 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I*(g) | 7,761,591 | 91,431,545 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(h) | 1,347,754 | 39,543,102 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(i) | 12,812,226 | 78,410,820 | ||||||
Lord Abbett Investment Trust-Income Fund-Class I(j) | 7,403,197 | 17,841,704 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(k) | 4,609,902 | 53,106,068 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(l) | 3,334,466 | 43,814,888 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(m) | 4,920,511 | 34,738,807 | ||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(j) | 2,230,693 | 8,543,553 | ||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund(n) | 8,839,488 | 87,245,750 | ||||||
Total Investments in Underlying Funds (cost 948,733,449) | 878,770,885 | |||||||
OPTIONS PURCHASED 0.05% (cost $261,671) | 396,449 | |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS 0.08% | ||||||||
REPURCHASE AGREEMENTS 0.08% | ||||||||
Repurchase Agreement dated 5/31/2023, 2.60% due 6/1/2023 with Fixed Income Clearing Corp. collateralized by $741,500 of U.S. Treasury Note at 4.625% due 3/15/2026; value: $758,176; proceeds: $743,317 (cost $743,263) | $ | 743,263 | 743,263 | |||||
Total Investments in Securities 99.77% (cost $949,738,383) | 879,910,597 | |||||||
Other Assets and Liabilities – Net(0) 0.23% | 2,017,573 | |||||||
Net Assets 100.00% | $ | 881,928,170 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 12). | |
(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 current income and capital appreciation. | |
(f) | Fund investment objective is to seek high total return. | |
(g) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(h) | Fund investment objective is to seek capital appreciation. |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET INCOME FUND May 31, 2023
(i) | Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. | |
(j) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(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 long-term capital appreciation. | |
(m) | Fund investment objective is to seek a high level of total return. | |
(n) | Fund investment objective is to seek current income consistent with the preservation of capital. | |
(o) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts and options purchased as follows: |
OTC Options Purchased at May 31, 2023:
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value | ||||||||||||||
EUR vs. USD, Put | Bank of America | 17,325,000 | 8/18/2023 | $1.075 | $17,325,000 | $ | 250,873 | |||||||||||||
EUR vs. USD, Put | Goldman Sachs | 17,325,000 | 8/18/2023 | 1.06 | 17,325,000 | 145,576 | ||||||||||||||
Total OTC Options Purchased | $ | 396,449 |
Futures Contracts at May 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
E-Mini Russell 1000 Index | June 2023 | 441 | Short | $(48,117,593 | ) | $(50,503,320 | ) | $(2,385,727 | ) |
The following is a summary of the inputs used as of May 31, 2023 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Investments in Underlying Funds | $ | 878,770,885 | $ | – | $ | – | $ | 878,770,885 | ||||||||
OTC Options Purchased | – | 396,449 | – | 396,449 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 743,263 | – | 743,263 | ||||||||||||
Total | $ | 878,770,885 | $ | 1,139,712 | $ | – | $ | 879,910,597 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | (2,385,727 | ) | – | – | (2,385,727 | ) | ||||||||||
Total | $ | (2,385,727 | ) | $ | – | $ | – | $ | (2,385,727 | ) |
(1) | Refer to Note 2(m) for a description of fair value measurements and the three-tier hierarchy of inputs. | ||
(2) | See Schedule of Investments for fair values in each in each investment in Underlying Funds. When applicable, 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 period in relation to the Fund’s net assets.
10 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)
May 31, 2023
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 2,090,390 | $ | 1,004,934 | ||||
Investments in Underlying Funds, at cost | 2,046,196,068 | 948,733,449 | ||||||
Investments in securities, at fair value | $ | 2,383,477 | $ | 1,139,712 | ||||
Investments in Underlying Funds, at value | 1,915,476,424 | 878,770,885 | ||||||
Cash | 3 | 3 | ||||||
Deposits with brokers for futures collateral | 6,782,400 | 3,175,200 | ||||||
Foreign cash, at value (cost $312 and $0, respectively) | 35 | – | ||||||
Receivables: | ||||||||
Interest and dividends | 3,452,102 | 2,349,135 | ||||||
Investments in Underlying Funds sold | 1,268,994 | 589,403 | ||||||
Variation margin for futures contracts | 590,689 | 273,854 | ||||||
Capital shares sold | 499,457 | 159,296 | ||||||
Prepaid expenses and other assets | 75,698 | 87,025 | ||||||
Total assets | 1,930,529,279 | 886,544,513 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investments in Underlying Funds purchased | 3,441,517 | 2,344,265 | ||||||
Capital shares reacquired | 2,976,416 | 1,285,937 | ||||||
Premiums for OTC options purchased | 569,031 | 261,671 | ||||||
Trustees’ fees | 375,728 | 169,161 | ||||||
12b-1 distribution plan | 318,487 | 203,152 | ||||||
Management fee | 165,445 | 76,234 | ||||||
Fund administration | 66,179 | 30,494 | ||||||
Foreign currency overdraft (cost $0 and $259, respectively) | – | 395 | ||||||
Distributions payable | 73,372 | 86,419 | ||||||
Accrued expenses | 408,687 | 158,615 | ||||||
Total liabilities | 8,394,862 | 4,616,343 | ||||||
NET ASSETS | $ | 1,922,134,417 | $ | 881,928,170 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 2,248,688,813 | $ | 1,059,294,930 | ||||
Total distributable earnings (loss) | (326,554,396 | ) | (177,366,760 | ) | ||||
Net Assets | $ | 1,922,134,417 | $ | 881,928,170 |
See Notes to Financial Statements. | 11 |
Statements of Assets and Liabilities (unaudited)(concluded)
May 31, 2023
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 1,690,693,595 | $ | 673,884,864 | ||||
Class C Shares | $ | 85,351,854 | $ | 64,079,999 | ||||
Class F Shares | $ | 10,760,462 | $ | 22,896,781 | ||||
Class F3 Shares | $ | 41,760 | $ | 533,899 | ||||
Class I Shares | $ | 66,276,820 | $ | 102,315,060 | ||||
Class P Shares | $ | 443,909 | $ | – | ||||
Class R2 Shares | $ | 605,993 | $ | 216,577 | ||||
Class R3 Shares | $ | 47,312,809 | $ | 14,908,799 | ||||
Class R4 Shares | $ | 11,027,195 | $ | 2,655,287 | ||||
Class R5 Shares | $ | 128,172 | $ | 38,114 | ||||
Class R6 Shares | $ | 9,491,848 | $ | 398,790 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||
Class A Shares | 166,833,307 | 46,785,697 | ||||||
Class C Shares | 8,494,425 | 4,365,261 | ||||||
Class F Shares | 1,061,769 | 1,589,619 | ||||||
Class F3 Shares | 4,101 | 37,202 | ||||||
Class I Shares | 6,540,273 | 7,152,753 | ||||||
Class P Shares | 44,079 | – | ||||||
Class R2 Shares | 57,996 | 14,561 | ||||||
Class R3 Shares | 4,679,240 | 1,034,891 | ||||||
Class R4 Shares | 1,088,026 | 184,350 | ||||||
Class R5 Shares | 12,617 | 2,663 | ||||||
Class R6 Shares | 933,424 | 27,791 | ||||||
Net Asset Value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $10.13 | $14.40 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $10.36 | $14.73 | ||||||
Class C Shares-Net asset value | $10.05 | $14.68 | ||||||
Class F Shares-Net asset value | $10.13 | $14.40 | ||||||
Class F3 Shares-Net asset value | $10.18 | $14.35 | ||||||
Class I Shares-Net asset value | $10.13 | $14.30 | ||||||
Class P Shares-Net asset value | $10.07 | $ – | ||||||
Class R2 Shares-Net asset value | $10.45 | $14.87 | ||||||
Class R3 Shares-Net asset value | $10.11 | $14.41 | ||||||
Class R4 Shares-Net asset value | $10.14 | $14.40 | ||||||
Class R5 Shares-Net asset value | $10.16 | $14.31 | ||||||
Class R6 Shares-Net asset value | $10.17 | $14.35 |
12 | See Notes to Financial Statements. |
Statements of Operations (unaudited)
For the Six Months Ended May 31, 2023
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
Investment income: | ||||||||
Dividends received from Underlying Funds | $ | 26,058,597 | $ | 16,329,464 | ||||
Interest and other | 12,083 | 12,288 | ||||||
Total investment income | 26,070,680 | 16,341,752 | ||||||
Expenses: | ||||||||
Management fee | 995,493 | 467,678 | ||||||
12b-1 distribution plan-Class A | 2,167,580 | 871,861 | ||||||
12b-1 distribution plan-Class C | 558,348 | 397,818 | ||||||
12b-1 distribution plan-Class F | 9,024 | 16,408 | ||||||
12b-1 distribution plan-Class P | 970 | – | ||||||
12b-1 distribution plan-Class R2 | 1,784 | 588 | ||||||
12b-1 distribution plan-Class R3 | 107,314 | 37,152 | ||||||
12b-1 distribution plan-Class R4 | 14,185 | 3,226 | ||||||
Shareholder servicing | 910,067 | 363,307 | ||||||
Fund administration | 398,197 | 187,071 | ||||||
Registration | 98,535 | 86,877 | ||||||
Reports to shareholders | 56,635 | 27,868 | ||||||
Trustees’ fees | 24,942 | 11,823 | ||||||
Professional | 23,952 | 20,319 | ||||||
Custody | 15,677 | 10,861 | ||||||
Other | 19,358 | 12,273 | ||||||
Gross expenses | 5,402,061 | 2,515,130 | ||||||
Expense reductions (See Note 9) | (26,922 | ) | (12,712 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (15,677 | ) | (10,861 | ) | ||||
Net expenses | 5,359,462 | 2,491,557 | ||||||
Net investment income | 20,711,218 | 13,850,195 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Capital gain distributions received from Underlying Funds | 17,228,073 | 4,750,158 | ||||||
Net realized gain (loss) on Investment in Underlying Funds | (15,204,164 | ) | (15,431,344 | ) | ||||
Net realized gain (loss) on investments | (9,850,391 | ) | (4,851,702 | ) | ||||
Net realized gain (loss) on futures contracts | 3,069,337 | 956,321 | ||||||
Net realized gain (loss) on OTC written options | 2,157,400 | 1,062,600 | ||||||
Net realized gain (loss) on swap contracts | 256,231 | 120,039 | ||||||
Net realized gain (loss) on foreign currency related transactions | 27,952 | 12,722 | ||||||
Net change in unrealized appreciation/depreciation in Underlying Funds | (30,561,402 | ) | 471,679 | |||||
Net change in unrealized appreciation/depreciation on investments | 7,647,423 | 3,757,070 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | (7,562,043 | ) | (2,771,683 | ) | ||||
Net change in unrealized appreciation/depreciation on OTC written options | (1,579,407 | ) | (777,917 | ) | ||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (9,618 | ) | (5,023 | ) | ||||
Net realized and unrealized gain (loss) | (34,380,609 | ) | (12,707,080 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (13,669,391 | ) | $ | 1,143,115 |
See Notes to Financial Statements. | 13 |
Statements of Changes in Net Assets
Multi-Asset Balanced Opportunity Fund | |||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||
Operations: | |||||||||
Net investment income | $ | 20,711,218 | $ | 40,175,203 | |||||
Capital gain distributions received from Underlying Funds | 17,228,073 | 62,067,168 | |||||||
Net realized gain (loss) on investments in Underlying Funds | (15,204,138 | ) | (220,957,287 | ) | |||||
Net realized gain (loss) on investments | (9,850,391 | ) | 21,407,889 | ||||||
Net realized gain (loss) on futures contracts, OTC written options, swap contracts and foreign currency related transactions | 5,510,894 | 13,063,073 | |||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | (30,561,402 | ) | (231,377,339 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | 7,647,423 | (7,354,336 | ) | ||||||
Net change in unrealized appreciation/depreciation on futures contracts, OTC written options and translation of assets and liabilities denominated in foreign currencies | (9,151,068 | ) | 2,219,790 | ||||||
Net increase (decrease) in net assets resulting from operations | (13,669,391 | ) | (320,755,839 | ) | |||||
Distributions to shareholders: | |||||||||
Class A | (17,534,529 | ) | (376,950,615 | ) | |||||
Class C | (675,786 | ) | (35,233,972 | ) | |||||
Class F | (188,336 | ) | (13,384,274 | ) | |||||
Class F3 | (479 | ) | (9,534 | ) | |||||
Class I | (711,390 | ) | (7,352,561 | ) | |||||
Class P | (4,072 | ) | (131,807 | ) | |||||
Class R2 | (4,768 | ) | (109,320 | ) | |||||
Class R3 | (388,922 | ) | (7,935,705 | ) | |||||
Class R4 | (115,273 | ) | (2,366,576 | ) | |||||
Class R5 | (1,465 | ) | (31,169 | ) | |||||
Class R6 | (108,067 | ) | (2,014,555 | ) | |||||
Total distributions to shareholders | (19,733,087 | ) | (445,520,088 | ) | |||||
Capital share transactions (See Note 14): | |||||||||
Net proceeds from sales of shares | 192,895,345 | 214,390,151 | |||||||
Reinvestment of distributions | 19,204,825 | 435,509,274 | |||||||
Cost of shares reacquired | (345,604,254 | ) | (515,617,581 | ) | |||||
Net increase (decrease) in net assets resulting from capital share transactions | (133,504,084 | ) | 134,281,844 | ||||||
Net decrease in net assets | (166,906,562 | ) | (631,994,083 | ) | |||||
NET ASSETS: | |||||||||
Beginning of period | $ | 2,089,040,979 | $ | 2,721,035,062 | |||||
End of period | $ | 1,922,134,417 | $ | 2,089,040,979 |
14 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (concluded)
Multi-Asset Income Fund | |||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2023 (unaudited) | For the Year Ended November 30, 2022 | |||||||
Operations: | |||||||||
Net investment income | $ | 13,850,195 | $ | 24,897,129 | |||||
Capital gain distributions received from Underlying Funds | 4,750,158 | 22,234,766 | |||||||
Net realized gain (loss) on investments in Underlying Funds | (15,431,344 | ) | (89,250,281 | ) | |||||
Net realized gain (loss) on investments | (4,851,702 | ) | 10,544,335 | ||||||
Net realized gain (loss) on futures contracts, OTC written options, swap contracts and foreign currency related transactions | 2,151,682 | 3,874,921 | |||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 471,679 | (112,509,860 | ) | ||||||
Net change in unrealized appreciation/depreciation on investments | 3,757,070 | (3,622,292 | ) | ||||||
Net change in unrealized appreciation/depreciation on futures contracts, OTC written options and translation of assets and liabilities denominated in foreign currencies | (3,554,623 | ) | 301,741 | ||||||
Net increase (decrease) in net assets resulting from operations | 1,143,115 | (143,529,541 | ) | ||||||
Distributions to shareholders: | |||||||||
Class A | (10,243,762 | ) | (44,987,167 | ) | |||||
Class C | (801,309 | ) | (7,748,205 | ) | |||||
Class F | (478,537 | ) | (7,965,508 | ) | |||||
Class F3 | (8,634 | ) | (74,975 | ) | |||||
Class I | (1,717,308 | ) | (3,300,072 | ) | |||||
Class P | – | – | |||||||
Class R2 | (2,462 | ) | (7,125 | ) | |||||
Class R3 | (200,477 | ) | (995,718 | ) | |||||
Class R4 | (38,014 | ) | (145,589 | ) | |||||
Class R5 | (640 | ) | (2,930 | ) | |||||
Class R6 | (6,326 | ) | (60,472 | ) | |||||
Total distributions to shareholders | (13,497,469 | ) | (65,287,761 | ) | |||||
Capital share transactions (See Note 14): | |||||||||
Net proceeds from sales of shares | 79,042,626 | 203,614,810 | |||||||
Reinvestment of distributions | 12,749,678 | 60,622,463 | |||||||
Cost of shares reacquired | (197,413,324 | ) | (341,971,796 | ) | |||||
Net increase (decrease) in net assets resulting from capital share transactions | (105,621,020 | ) | (77,734,523 | ) | |||||
Net decrease in net assets | (117,975,374 | ) | (286,551,825 | ) | |||||
NET ASSETS: | |||||||||
Beginning of period | $ | 999,903,544 | $ | 1,286,455,369 | |||||
End of period | $ | 881,928,170 | $ | 999,903,544 |
See Notes to Financial Statements. | 15 |
Financial Highlights (unaudited)
MULTI-ASSET BALANCED OPPORTUNITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2023(d) | $ | 10.30 | $ | 0.11 | $ | (0.18 | ) | $ | (0.07 | ) | $ | (0.10 | ) | $ | – | $ | (0.10 | ) | ||||||||||
11/30/2022 | 14.01 | 0.19 | (1.60 | ) | (1.41 | ) | (0.89 | ) | (1.41 | ) | (2.30 | ) | ||||||||||||||||
11/30/2021 | 13.15 | 0.22 | 1.42 | 1.64 | (0.51 | ) | (0.27 | ) | (0.78 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.21 | 0.07 | (0.17 | ) | (0.10 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
11/30/2022 | 13.90 | 0.11 | (1.58 | ) | (1.47 | ) | (0.81 | ) | (1.41 | ) | (2.22 | ) | ||||||||||||||||
11/30/2021 | 13.06 | 0.11 | 1.41 | 1.52 | (0.41 | ) | (0.27 | ) | (0.68 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.30 | 0.12 | (0.18 | ) | (0.06 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
11/30/2022 | 14.01 | 0.21 | (1.61 | ) | (1.40 | ) | (0.90 | ) | (1.41 | ) | (2.31 | ) | ||||||||||||||||
11/30/2021 | 13.15 | 0.24 | 1.42 | 1.66 | (0.53 | ) | (0.27 | ) | (0.80 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.35 | 0.12 | (0.17 | ) | (0.05 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
11/30/2022 | 14.05 | 0.23 | (1.60 | ) | (1.37 | ) | (0.92 | ) | (1.41 | ) | (2.33 | ) | ||||||||||||||||
11/30/2021 | 13.18 | 0.17 | 1.52 | 1.69 | (0.55 | ) | (0.27 | ) | (0.82 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.30 | 0.12 | (0.17 | ) | (0.05 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
11/30/2022 | 14.00 | 0.22 | (1.60 | ) | (1.38 | ) | (0.91 | ) | (1.41 | ) | (2.32 | ) | ||||||||||||||||
11/30/2021 | 13.15 | 0.25 | 1.41 | 1.66 | (0.54 | ) | (0.27 | ) | (0.81 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.24 | 0.10 | (0.18 | ) | (0.08 | ) | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||
11/30/2022 | 13.93 | 0.18 | (1.60 | ) | (1.42 | ) | (0.86 | ) | (1.41 | ) | (2.27 | ) | ||||||||||||||||
11/30/2021 | 13.08 | 0.19 | 1.41 | 1.60 | (0.48 | ) | (0.27 | ) | (0.75 | ) | ||||||||||||||||||
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 | ) |
16 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 10.13 | (0.75 | )(e) | 0.51 | (f) | 0.51 | (f) | 2.12 | (f) | $ | 1,690,694 | 8 | (e) | |||||||||||||
10.30 | (12.00 | ) | 0.50 | 0.51 | 1.79 | 1,808,434 | 104 | |||||||||||||||||||
14.01 | 12.89 | 0.49 | 0.49 | 1.56 | 2,293,947 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.05 | (1.06 | )(e) | 1.26 | (f) | 1.26 | (f) | 1.40 | (f) | 85,352 | 8 | (e) | |||||||||||||||
10.21 | (12.62 | ) | 1.25 | 1.26 | 1.02 | 135,989 | 104 | |||||||||||||||||||
13.90 | 12.01 | 1.24 | 1.24 | 0.78 | 223,713 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.13 | (0.68 | )(e) | 0.36 | (f) | 0.36 | (f) | 2.36 | (f) | 10,760 | 8 | (e) | |||||||||||||||
10.30 | (11.88 | ) | 0.35 | 0.36 | 1.89 | 27,902 | 104 | |||||||||||||||||||
14.01 | 13.06 | 0.34 | 0.34 | 1.73 | 84,162 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.18 | (0.61 | )(e) | 0.18 | (f) | 0.18 | (f) | 2.44 | (f) | 42 | 8 | (e) | |||||||||||||||
10.35 | (11.64 | ) | 0.17 | 0.18 | 2.15 | 42 | 104 | |||||||||||||||||||
14.05 | 13.25 | 0.17 | 0.17 | 1.18 | 58 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.13 | (0.62 | )(e) | 0.26 | (f) | 0.26 | (f) | 2.34 | (f) | 66,277 | 8 | (e) | |||||||||||||||
10.30 | (11.78 | ) | 0.25 | 0.26 | 2.07 | 56,783 | 104 | |||||||||||||||||||
14.00 | 13.26 | 0.24 | 0.24 | 1.81 | 41,327 | 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 | |||||||||||||||||||
10.07 | (0.84 | )(e) | 0.70 | (f) | 0.70 | (f) | 1.92 | (f) | 444 | 8 | (e) | |||||||||||||||
10.24 | (12.17 | ) | 0.70 | 0.71 | 1.63 | 340 | 104 | |||||||||||||||||||
13.93 | 12.72 | 0.69 | 0.69 | 1.37 | 820 | 47 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 17 |
Financial Highlights (unaudited)(concluded)
MULTI-ASSET BALANCED OPPORTUNITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2023(d) | $ | 10.62 | $ | 0.09 | $ | (0.18 | ) | (0.09 | ) | $ | (0.08 | ) | $ | – | $ | (0.08 | ) | |||||||||||
11/30/2022 | 14.36 | 0.16 | (1.64 | ) | (1.48 | ) | (0.85 | ) | (1.41 | ) | (2.26 | ) | ||||||||||||||||
11/30/2021 | 13.46 | 0.18 | 1.45 | 1.63 | (0.46 | ) | (0.27 | ) | (0.73 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.28 | 0.09 | (0.17 | ) | (0.08 | ) | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||
11/30/2022 | 13.98 | 0.17 | (1.60 | ) | (1.43 | ) | (0.86 | ) | (1.41 | ) | (2.27 | ) | ||||||||||||||||
11/30/2021 | 13.12 | 0.18 | 1.42 | 1.60 | (0.47 | ) | (0.27 | ) | (0.74 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.30 | 0.11 | (0.17 | ) | (0.06 | ) | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||
11/30/2022 | 14.01 | 0.19 | (1.60 | ) | (1.41 | ) | (0.89 | ) | (1.41 | ) | (2.30 | ) | ||||||||||||||||
11/30/2021 | 13.15 | 0.21 | 1.43 | 1.64 | (0.51 | ) | (0.27 | ) | (0.78 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.33 | 0.12 | (0.17 | ) | (0.05 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
11/30/2022 | 14.03 | 0.22 | (1.60 | ) | (1.38 | ) | (0.91 | ) | (1.41 | ) | (2.32 | ) | ||||||||||||||||
11/30/2021 | 13.17 | 0.25 | 1.42 | 1.67 | (0.54 | ) | (0.27 | ) | (0.81 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2023(d) | 10.33 | 0.12 | (0.16 | ) | (0.04 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
11/30/2022 | 14.04 | 0.23 | (1.61 | ) | (1.38 | ) | (0.92 | ) | (1.41 | ) | (2.33 | ) | ||||||||||||||||
11/30/2021 | 13.17 | 0.26 | 1.43 | 1.69 | (0.55 | ) | (0.27 | ) | (0.82 | ) | ||||||||||||||||||
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 | ) |
(a) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(d) | Unaudited. |
(e) | Not annualized. |
(f) | Annualized. |
18 | 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 (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 10.45 | (0.90 | )(e) | 0.86 | (f) | 0.86 | (f) | 1.76 | (f) | $ | 606 | 8 | (e) | |||||||||||||
10.62 | (12.29 | ) | 0.85 | 0.86 | 1.44 | 593 | 104 | |||||||||||||||||||
14.36 | 12.55 | 0.84 | 0.84 | 1.23 | 686 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.11 | (0.86 | )(e) | 0.75 | (f) | 0.75 | (f) | 1.83 | (f) | 47,313 | 8 | (e) | |||||||||||||||
10.28 | (12.17 | ) | 0.75 | 0.76 | 1.53 | 37,063 | 104 | |||||||||||||||||||
13.98 | 12.62 | 0.74 | 0.74 | 1.30 | 49,825 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.14 | (0.65 | )(e) | 0.51 | (f) | 0.51 | (f) | 2.12 | (f) | 11,027 | 8 | (e) | |||||||||||||||
10.30 | (12.00 | ) | 0.50 | 0.51 | 1.79 | 11,617 | 104 | |||||||||||||||||||
14.01 | 12.88 | 0.49 | 0.49 | 1.54 | 14,343 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.16 | (0.62 | )(e) | 0.26 | (f) | 0.26 | (f) | 2.39 | (f) | 128 | 8 | (e) | |||||||||||||||
10.33 | (11.69 | ) | 0.25 | 0.26 | 2.08 | 158 | 104 | |||||||||||||||||||
14.03 | 13.15 | 0.24 | 0.24 | 1.78 | 186 | 47 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.17 | (0.51 | )(e) | 0.18 | (f) | 0.18 | (f) | 2.44 | (f) | 9,492 | 8 | (e) | |||||||||||||||
10.33 | (11.73 | ) | 0.17 | 0.18 | 2.12 | 10,119 | 104 | |||||||||||||||||||
14.04 | 13.26 | 0.17 | 0.17 | 1.88 | 11,969 | 47 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 19 |
Financial Highlights (unaudited)
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Net investment income | Net asset value, end of period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
5/31/2023(d) | $ | 14.60 | $ | 0.22 | $ | (0.21 | ) | $ | 0.01 | $ | (0.21 | ) | $ | 14.40 | ||||||||||
11/30/2022 | 17.39 | 0.35 | (2.24 | ) | (1.89 | ) | (0.90 | ) | 14.60 | |||||||||||||||
11/30/2021 | 16.47 | 0.32 | 1.21 | 1.53 | (0.61 | ) | 17.39 | |||||||||||||||||
11/30/2020 | 15.02 | 0.33 | 1.43 | 1.76 | (0.31 | ) | 16.47 | |||||||||||||||||
11/30/2019 | 14.34 | 0.40 | 0.78 | 1.18 | (0.50 | ) | 15.02 | |||||||||||||||||
11/30/2018 | 15.08 | 0.36 | (0.62 | ) | (0.26 | ) | (0.48 | ) | 14.34 | |||||||||||||||
Class C | ||||||||||||||||||||||||
5/31/2023(d) | 14.87 | 0.17 | (0.21 | ) | (0.04 | ) | (0.15 | ) | 14.68 | |||||||||||||||
11/30/2022 | 17.68 | 0.24 | (2.27 | ) | (2.03 | ) | (0.78 | ) | 14.87 | |||||||||||||||
11/30/2021 | 16.74 | 0.18 | 1.23 | 1.41 | (0.47 | ) | 17.68 | |||||||||||||||||
11/30/2020 | 15.25 | 0.22 | 1.47 | 1.69 | (0.20 | ) | 16.74 | |||||||||||||||||
11/30/2019 | 14.55 | 0.30 | 0.79 | 1.09 | (0.39 | ) | 15.25 | |||||||||||||||||
11/30/2018 | 15.29 | 0.26 | (0.63 | ) | (0.37 | ) | (0.37 | ) | 14.55 | |||||||||||||||
Class F | ||||||||||||||||||||||||
5/31/2023(d) | 14.60 | 0.23 | (0.21 | ) | 0.02 | (0.22 | ) | 14.40 | ||||||||||||||||
11/30/2022 | 17.39 | 0.37 | (2.24 | ) | (1.87 | ) | (0.92 | ) | 14.60 | |||||||||||||||
11/30/2021 | 16.47 | 0.34 | 1.22 | 1.56 | (0.64 | ) | 17.39 | |||||||||||||||||
11/30/2020 | 15.02 | 0.35 | 1.43 | 1.78 | (0.33 | ) | 16.47 | |||||||||||||||||
11/30/2019 | 14.34 | 0.42 | 0.78 | 1.20 | (0.52 | ) | 15.02 | |||||||||||||||||
11/30/2018 | 15.08 | 0.38 | (0.62 | ) | (0.24 | ) | (0.50 | ) | 14.34 | |||||||||||||||
Class F3 | ||||||||||||||||||||||||
5/31/2023(d) | 14.54 | 0.24 | (0.20 | ) | 0.04 | (0.23 | ) | 14.35 | ||||||||||||||||
11/30/2022 | 17.32 | 0.41 | (2.25 | ) | (1.84 | ) | (0.94 | ) | 14.54 | |||||||||||||||
11/30/2021 | 16.40 | 0.37 | 1.21 | 1.58 | (0.66 | ) | 17.32 | |||||||||||||||||
11/30/2020 | 14.95 | 0.39 | 1.40 | 1.79 | (0.34 | ) | 16.40 | |||||||||||||||||
11/30/2019 | 14.27 | 0.44 | 0.78 | 1.22 | (0.54 | ) | 14.95 | |||||||||||||||||
11/30/2018 | 15.00 | 0.40 | (0.61 | ) | (0.21 | ) | (0.52 | ) | 14.27 | |||||||||||||||
Class I | ||||||||||||||||||||||||
5/31/2023(d) | 14.50 | 0.23 | (0.20 | ) | 0.03 | (0.23 | ) | 14.30 | ||||||||||||||||
11/30/2022 | 17.28 | 0.39 | (2.23 | ) | (1.84 | ) | (0.94 | ) | 14.50 | |||||||||||||||
11/30/2021 | 16.37 | 0.36 | 1.20 | 1.56 | (0.65 | ) | 17.28 | |||||||||||||||||
11/30/2020 | 14.93 | 0.36 | 1.42 | 1.78 | (0.34 | ) | 16.37 | |||||||||||||||||
11/30/2019 | 14.26 | 0.44 | 0.77 | 1.21 | (0.54 | ) | 14.93 | |||||||||||||||||
11/30/2018 | 14.99 | 0.40 | (0.61 | ) | (0.21 | ) | (0.52 | ) | 14.26 | |||||||||||||||
Class R2 | ||||||||||||||||||||||||
5/31/2023(d) | 15.06 | 0.20 | (0.20 | ) | – | (g) | (0.19 | ) | 14.87 | |||||||||||||||
11/30/2022 | 17.92 | 0.31 | (2.32 | ) | (2.01 | ) | (0.85 | ) | 15.06 | |||||||||||||||
11/30/2021 | 16.95 | 0.26 | 1.25 | 1.51 | (0.54 | ) | 17.92 | |||||||||||||||||
11/30/2020 | 15.44 | 0.29 | 1.47 | 1.76 | (0.25 | ) | 16.95 | |||||||||||||||||
11/30/2019 | 14.73 | 0.35 | 0.81 | 1.16 | (0.45 | ) | 15.44 | |||||||||||||||||
11/30/2018 | 15.47 | 0.32 | (0.63 | ) | (0.31 | ) | (0.43 | ) | 14.73 |
20 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||
Total return(c) (%) | Total expenses after waivers and/or reimbursements (%) | Total expenses (%) | Net investment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
0.02 | (e) | 0.50 | (f) | 0.50 | (f) | 3.00 | (f) | $ | 673,885 | 8 | (e) | |||||||||||
(11.23 | ) | 0.49 | 0.50 | 2.30 | 734,968 | 83 | ||||||||||||||||
9.43 | 0.48 | 0.49 | 1.81 | 855,806 | 40 | |||||||||||||||||
12.33 | 0.50 | 0.50 | 2.19 | 745,462 | 75 | |||||||||||||||||
8.50 | 0.50 | 0.50 | 2.74 | 678,178 | 27 | |||||||||||||||||
(1.79 | ) | 0.50 | 0.50 | 2.43 | 716,679 | 41 | ||||||||||||||||
(0.32 | )(e) | 1.25 | (f) | 1.25 | (f) | 2.26 | (f) | 64,080 | 8 | (e) | ||||||||||||
(11.92 | ) | 1.25 | 1.25 | 1.50 | 92,856 | 83 | ||||||||||||||||
8.66 | 1.23 | 1.24 | 1.03 | 188,842 | 40 | |||||||||||||||||
11.46 | 1.25 | 1.25 | 1.44 | 240,404 | 75 | |||||||||||||||||
7.70 | 1.25 | 1.25 | 2.00 | 340,786 | 27 | |||||||||||||||||
(2.51 | ) | 1.25 | 1.25 | 1.69 | 410,332 | 41 | ||||||||||||||||
0.09 | (e) | 0.35 | (f) | 0.35 | (f) | 3.20 | (f) | 22,897 | 8 | (e) | ||||||||||||
(11.10 | ) | 0.34 | 0.35 | 2.35 | 54,006 | 83 | ||||||||||||||||
9.59 | 0.33 | 0.34 | 1.95 | 176,727 | 40 | |||||||||||||||||
12.49 | 0.35 | 0.35 | 2.35 | 165,707 | 75 | |||||||||||||||||
8.66 | 0.35 | 0.35 | 2.91 | 200,060 | 27 | |||||||||||||||||
(1.64 | ) | 0.35 | 0.35 | 2.57 | 227,804 | 41 | ||||||||||||||||
0.22 | (e) | 0.19 | (f) | 0.19 | (f) | 3.30 | (f) | 534 | 8 | (e) | ||||||||||||
(10.98 | ) | 0.18 | 0.18 | 2.59 | 541 | 83 | ||||||||||||||||
9.76 | 0.17 | 0.18 | 2.11 | 1,735 | 40 | |||||||||||||||||
12.68 | 0.18 | 0.18 | 2.61 | 2,013 | 75 | |||||||||||||||||
8.83 | 0.19 | 0.19 | 3.01 | 3,527 | 27 | |||||||||||||||||
(1.47 | ) | 0.18 | 0.18 | 2.70 | 4,077 | 41 | ||||||||||||||||
0.15 | (e) | 0.25 | (f) | 0.25 | (f) | 3.23 | (f) | 102,315 | 8 | (e) | ||||||||||||
(11.02 | ) | 0.24 | 0.25 | 2.65 | 98,929 | 83 | ||||||||||||||||
9.70 | 0.23 | 0.24 | 2.05 | 37,860 | 40 | |||||||||||||||||
12.61 | 0.25 | 0.25 | 2.45 | 35,613 | 75 | |||||||||||||||||
8.75 | 0.25 | 0.25 | 3.03 | 43,319 | 27 | |||||||||||||||||
(1.48 | ) | 0.25 | 0.25 | 2.70 | 54,171 | 41 | ||||||||||||||||
(0.15 | )(e) | 0.85 | (f) | 0.85 | (f) | 2.62 | (f) | 217 | 8 | (e) | ||||||||||||
(11.54 | ) | 0.84 | 0.85 | 2.00 | 174 | 83 | ||||||||||||||||
9.06 | 0.83 | 0.83 | 1.46 | 140 | 40 | |||||||||||||||||
11.97 | 0.85 | 0.85 | 1.87 | 124 | 75 | |||||||||||||||||
8.10 | 0.85 | 0.85 | 2.36 | 138 | 27 | |||||||||||||||||
(2.09 | ) | 0.84 | 0.84 | 2.08 | 122 | 41 |
See Notes to Financial Statements. | 21 |
Financial Highlights (unaudited)(concluded)
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Net investment income | Net asset value, end of period | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||
5/31/2023(d) | $ | 14.60 | $ | 0.20 | $ | (0.20 | ) | $ | – | (g) | $ | (0.19 | ) | $ | 14.41 | |||||||||
11/30/2022 | 17.39 | 0.31 | (2.24 | ) | (1.93 | ) | (0.86 | ) | 14.60 | |||||||||||||||
11/30/2021 | 16.47 | 0.27 | 1.21 | 1.48 | (0.56 | ) | 17.39 | |||||||||||||||||
11/30/2020 | 15.02 | 0.29 | 1.43 | 1.72 | (0.27 | ) | 16.47 | |||||||||||||||||
11/30/2019 | 14.34 | 0.35 | 0.80 | 1.15 | (0.47 | ) | 15.02 | |||||||||||||||||
11/30/2018 | 15.08 | 0.33 | (0.63 | ) | (0.30 | ) | (0.44 | ) | 14.34 | |||||||||||||||
Class R4 | ||||||||||||||||||||||||
5/31/2023(d) | 14.60 | 0.22 | (0.21 | ) | 0.01 | (0.21 | ) | 14.40 | ||||||||||||||||
11/30/2022 | 17.39 | 0.35 | (2.24 | ) | (1.89 | ) | (0.90 | ) | 14.60 | |||||||||||||||
11/30/2021 | 16.47 | 0.31 | 1.22 | 1.53 | (0.61 | ) | 17.39 | |||||||||||||||||
11/30/2020 | 15.02 | 0.33 | 1.43 | 1.76 | (0.31 | ) | 16.47 | |||||||||||||||||
11/30/2019 | 14.34 | 0.38 | 0.80 | 1.18 | (0.50 | ) | 15.02 | |||||||||||||||||
11/30/2018 | 15.08 | 0.34 | (0.60 | ) | (0.26 | ) | (0.48 | ) | 14.34 | |||||||||||||||
Class R5 | ||||||||||||||||||||||||
5/31/2023(d) | 14.51 | 0.24 | (0.21 | ) | 0.03 | (0.23 | ) | 14.31 | ||||||||||||||||
11/30/2022 | 17.28 | 0.39 | (2.22 | ) | (1.83 | ) | (0.94 | ) | 14.51 | |||||||||||||||
11/30/2021 | 16.38 | 0.36 | 1.19 | 1.55 | (0.65 | ) | 17.28 | |||||||||||||||||
11/30/2020 | 14.93 | 0.36 | 1.43 | 1.79 | (0.34 | ) | 16.38 | |||||||||||||||||
11/30/2019 | 14.26 | 0.42 | 0.79 | 1.21 | (0.54 | ) | 14.93 | |||||||||||||||||
11/30/2018 | 14.99 | 0.39 | (0.60 | ) | (0.21 | ) | (0.52 | ) | 14.26 | |||||||||||||||
Class R6 | ||||||||||||||||||||||||
5/31/2023(d) | 14.54 | 0.24 | (0.20 | ) | 0.04 | (0.23 | ) | 14.35 | ||||||||||||||||
11/30/2022 | 17.32 | 0.40 | (2.24 | ) | (1.84 | ) | (0.94 | ) | 14.54 | |||||||||||||||
11/30/2021 | 16.40 | 0.37 | 1.21 | 1.58 | (0.66 | ) | 17.32 | |||||||||||||||||
11/30/2020 | 14.95 | 0.38 | 1.41 | 1.79 | (0.34 | ) | 16.40 | |||||||||||||||||
11/30/2019 | 14.27 | 0.44 | 0.78 | 1.22 | (0.54 | ) | 14.95 | |||||||||||||||||
11/30/2018 | 15.00 | 0.38 | (0.59 | ) | (0.21 | ) | (0.52 | ) | 14.27 |
(a) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(d) | Unaudited. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Amount is less than $0.01. |
22 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||
Total return(c) (%) | Total expenses after waivers and/or reimbursements (%) | Total expenses (%) | Net investment income (loss) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
(0.03 | )(e) | 0.75 | (f) | 0.75 | (f) | 2.74 | (f) | $ | 14,909 | 8 | (e) | |||||||||||
(11.46 | ) | 0.74 | 0.75 | 2.02 | 14,878 | 83 | ||||||||||||||||
9.15 | 0.73 | 0.74 | 1.56 | 20,699 | 40 | |||||||||||||||||
12.04 | 0.75 | 0.75 | 1.94 | 19,031 | 75 | |||||||||||||||||
8.24 | 0.75 | 0.75 | 2.41 | 21,508 | 27 | |||||||||||||||||
(2.03 | ) | 0.74 | 0.74 | 2.20 | 18,400 | 41 | ||||||||||||||||
0.02 | (e) | 0.50 | (f) | 0.50 | (f) | 2.98 | (f) | 2,655 | 8 | (e) | ||||||||||||
(11.23 | ) | 0.49 | 0.50 | 2.29 | 2,489 | 83 | ||||||||||||||||
9.43 | 0.48 | 0.49 | 1.80 | 3,435 | 40 | |||||||||||||||||
12.33 | 0.50 | 0.50 | 2.18 | 2,988 | 75 | |||||||||||||||||
8.50 | 0.50 | 0.50 | 2.62 | 2,421 | 27 | |||||||||||||||||
(1.77 | ) | 0.49 | 0.49 | 2.31 | 1,756 | 41 | ||||||||||||||||
0.15 | (e) | 0.25 | (f) | 0.25 | (f) | 3.29 | (f) | 38 | 8 | (e) | ||||||||||||
(11.02 | ) | 0.24 | 0.24 | 2.56 | 47 | 83 | ||||||||||||||||
9.76 | 0.23 | 0.23 | 2.06 | 53 | 40 | |||||||||||||||||
12.61 | 0.24 | 0.24 | 2.42 | 47 | 75 | |||||||||||||||||
8.75 | 0.24 | 0.24 | 2.89 | 36 | 27 | |||||||||||||||||
(1.55 | ) | 0.24 | 0.24 | 2.64 | 28 | 41 | ||||||||||||||||
0.22 | (e) | 0.19 | (f) | 0.19 | (f) | 3.27 | (f) | 399 | 8 | (e) | ||||||||||||
(10.98 | ) | 0.18 | 0.19 | 2.62 | 1,015 | 83 | ||||||||||||||||
9.76 | 0.17 | 0.18 | 2.11 | 1,159 | 40 | |||||||||||||||||
12.68 | 0.18 | 0.18 | 2.55 | 1,030 | 75 | |||||||||||||||||
8.83 | 0.19 | 0.19 | 3.02 | 2,873 | 27 | |||||||||||||||||
(1.47 | ) | 0.18 | 0.18 | 2.58 | 2,807 | 41 |
See Notes to Financial Statements. | 23 |
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. Class C shares 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 the 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 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”), the Board has designated the determination of fair value of the Funds’ portfolio investments to Lord Abbett as its valuation designee. Accordingly, Lord Abbett is responsible for, among other things, assessing and managing valuation risks, establishing, applying and testing fair value methodologies, and evaluating pricing services. Lord Abbett has formed a Pricing Committee that performs these responsibilities on behalf of Lord Abbett, administers |
24
Notes to Financial Statements (continued)
the pricing and valuation of portfolio investments and ensures that prices utilized reasonably reflect fair value. Among other things, these procedures allow Lord Abbett, subject to Board oversight, 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 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 ask prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Options and options on swaps (“swaptions”) are valued daily using independent pricing services or quotations from broker/dealers to the extent available. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available.
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof periodically reviews reports that may include fair value determinations made by the Pricing Committee, related market activity, inputs and assumptions, and retrospective comparison of prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee.
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(c) | Investment Income–Dividend income and capital gain distributions are recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income in 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, 2019 through November 30, 2022. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon each Fund’s jurisdiction. |
25
Notes to Financial Statements (continued)
(e) | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. In addition, Class F3 and R6 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) | 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), if applicable, 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, if applicable, 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. |
Each Fund uses 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 exposure to changes in foreign currency exchange rates on 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), if applicable, is included in Net change in unrealized appreciation/depreciation on forward 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 forward foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain (loss) on forward 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 the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
(i) | Credit Default Swap Contracts–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 |
26
Notes to Financial Statements (continued)
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 makes periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred.
These credit default swap contracts may have as a reference obligation corporate or sovereign issuers or credit indexes. These credit indexes are comprised of a basket of securities representing a particular sector of the market.
Credit default swap contracts 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 contract 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 contract 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 contract 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 contract agreement. The value and credit rating of each credit default swap contract where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap contract. As the value of the swap contract 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 contract 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 contract agreements entered into by a Fund for the same referenced entity or entities.
Entering into credit default swap contracts 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 contract is based. For the centrally cleared credit default swap contracts, there was minimal counterparty risk to the Funds, since such credit default swap contracts entered into were traded through a central clearinghouse, which guarantees against default.
27
Notes to Financial Statements (continued)
(j) | 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 each Fund is recorded as a liability in the Statements 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, each 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 each 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. Each 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 each Fund pays a premium whether or not the option is exercised. Additionally, each 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 in each Fund’s Statement of Operations. | |
(k) | Total Return Swap Contracts–Each Fund may enter into total return swap contract 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 contract. If the value of the asset underlying a total return swap contract declines over the term of the swap contract, each Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
(l) | 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. |
28
Notes to Financial Statements (continued)
(m) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
● | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
● | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
● | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing each Fund’s investments and other financial instruments as of May 31, 2023 and, if applicable, Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments.
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. 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 provides 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 accrued daily and payable monthly.
The management fee is based on each Fund’s average daily net assets at an annual rate of .10%.
For the six months ended May 31, 2023, the effective management fee, net of any applicable waivers, was at the following annualized rate of each Fund’s average daily net assets:
Net Effective Management Fee | |
Multi-Asset Balanced Opportunity Fund | .10% |
Multi-Asset Income Fund | .10% |
29
Notes to Financial Statements (continued)
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets. The fund administration fee is accrued daily and payable monthly. Lord Abbett voluntarily waived the following administration fees during the six months ended May 31, 2023:
Fund | Fund Administration Fee | |
Multi-Asset Balanced Opportunity Fund | $15,677 | |
Multi-Asset Income Fund | 10,861 | |
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 distribution and service fees are accrued daily and payable monthly. 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 | 0.25% | 0.25% | – | 0.25% | 0.25% | 0.25% | 0.25% | ||||||
Distribution | – | 0.75% | 0.10% | 0.20% | 0.35% | 0.25% | – | ||||||
* | The Funds may designate a portion of the aggregate fees attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. sales charge limitations. |
(1) | The Class F share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Funds’ prospectus. |
Class F3, Class I, Class R5 and Class R6 shares do not have a distribution plan.
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended May 31, 2023:
Distributor Commissions | Dealers’ Concessions | |||
Multi-Asset Balanced Opportunity Fund | $46,285 | $323,059 | ||
Multi-Asset Income Fund | 11,870 | 88,700 |
Distributor received the following amount of CDSCs for the six months ended May 31, 2023:
Class A | Class C | |||
Multi-Asset Balanced Opportunity Fund | $7,964 | $2,255 | ||
Multi-Asset Income Fund | 6,430 | 940 |
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
30
Notes to Financial Statements (continued)
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 that exceed earnings and profits for tax purposes are reported as a tax return of capital.
The tax character of distributions paid during the six months ended May 31, 2023 and fiscal year ended November 30, 2022 was as follows:
Multi-Asset Balanced Opportunity Fund | ||||||||
Six Months Ended 5/31/23 (unaudited) | Year Ended 11/30/22 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 19,733,087 | $ | 173,818,814 | ||||
Net long-term capital gains | – | 271,701,274 | ||||||
Total distributions paid | $ | 19,733,087 | $ | 445,520,088 | ||||
Multi-Asset Income Fund | ||||||||
Six Months Ended 5/31/23 (unaudited) | Year Ended 11/30/22 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $13,497,469 | $65,287,761 | ||||||
Net long-term capital gains | – | – | ||||||
Total distributions paid | $13,497,469 | $65,287,761 |
As of May 31, 2023, the following funds had capital losses, which will carry forward indefinitely:
Indefinite | ||
Multi-Asset Balanced Opportunity Fund | $146,985,239 | |
Multi-Asset Income Fund | 74,482,310 |
As of May 31, 2023, the aggregate unrealized security gains and losses on investments and other financial instruments, if any, based on cost for U.S. federal income tax purposes were as follows:
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
Tax cost | $ | 2,088,639,011 | $ | 966,483,136 | ||||
Gross unrealized gain | 7,373,638 | 1,070,658 | ||||||
Gross unrealized loss | (182,378,839 | ) | (89,632,475 | ) | ||||
Net unrealized security gain/(loss) | $ | (175,005,201 | ) | $ | (88,561,817 | ) |
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 six months ended May 31, 2023 were as follows:
Purchases | Sales | |||
Multi-Asset Balanced Opportunity Fund | $154,415,634 | $285,310,231 | ||
Multi-Asset Income Fund | 71,970,502 | 178,402,504 |
There were no purchases or sales of U.S. Government securities for the six months ended May 31, 2023.
31
Notes to Financial Statements (continued)
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
The Funds may enter into forward foreign currency exchange contracts (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.
The Funds entered into domestic index futures contracts for the six months ended May 31, 2023 (as described in Note 2(h)) 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 options on indexes for the six months ended May 31, 2023 (as described in Note 2(j)) 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 credit default swap contracts for the six months ended May 31, 2023 (as described in Note 2(i)) for investment purposes, to economically hedge credit risk or for speculative purposes. Credit default swap contracts 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 contract 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 contract’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.
32
Notes to Financial Statements (continued)
As of May 31, 2023, 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 | Equity Contracts | |||||
Purchased Options(1) | $862,118 | ||||||
Liability Derivatives | |||||||
Futures Contracts(2) | $5,088,209 | ||||||
Multi-Asset Income Fund | |||||||
Asset Derivatives | Foreign Currency Contracts | Equity Contracts | |||||
Purchased Options(1) | $396,449 | ||||||
Liability Derivatives | |||||||
Futures Contracts(2) | $2,385,727 |
(1) | Statements of Assets and Liabilities location: included in Investments in securities. |
(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. |
Transactions in derivative instruments for the six months ended May 31, 2023, were as follows:
Multi-Asset Balanced Opportunity Fund | |||||||||||
Equity Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Net Realized Gain (Loss) | |||||||||||
Credit Default Swaps Contracts(1) | – | – | $ | 256,231 | |||||||
Futures Contracts(2) | $ | 3,069,337 | – | – | |||||||
OTC Purchased Options(3) | $ | (9,850,391 | ) | – | – | ||||||
OTC Written Options(4) | $ | 2,157,400 | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | |||||||||||
Futures Contracts(5) | $ | (7,562,043 | ) | – | – | ||||||
OTC Purchased Options(6) | $ | 7,354,336 | $ | 293,087 | – | ||||||
OTC Written Options(7) | $ | (1,579,407 | ) | – | – | ||||||
Average Number of Contracts/Notional Amounts* | |||||||||||
Credit Default Swap Contracts(8) | – | – | $ | 2,836,143 | |||||||
Futures Contracts(9) | 778 | – | – | ||||||||
OTC Purchased Options(8) | $ | 48,085 | $ | 11,505,948 | – | ||||||
OTC Written Options(8) | $ | 33,021 | – | – |
33
Notes to Financial Statements (continued)
Multi-Asset Income Fund | |||||||||||
Equity Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Net Realized Gain (Loss) | |||||||||||
Credit Default Swaps Contracts(1) | – | – | $ | 120,039 | |||||||
Futures Contracts(2) | $ | 956,321 | – | – | |||||||
OTC Purchase Options(3) | $ | (4,851,702 | ) | – | – | ||||||
OTC Written Options(4) | $ | 1,062,600 | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | |||||||||||
Futures Contracts(5) | $ | (2,771,683 | ) | – | – | ||||||
OTC Purchased Options(6) | $ | 3,622,292 | $ | 134,778 | – | ||||||
OTC Written Options(7) | $ | (777,917 | ) | – | – | ||||||
Average Number of Contracts/Notional Amounts* | |||||||||||
Credit Default Swap Contracts(8) | – | – | $ | 1,346,714 | |||||||
Futures Contracts(9) | 378 | – | – | ||||||||
OTC Purchased Options(8) | $ | 23,684 | $ | 5,291,056 | – | ||||||
OTC Written Options(8) | $ | 16,264 | – | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2023. |
(1) | Statements of Operations location: Net realized gain(loss) on swap contracts. |
(2) | Statements of Operations location: Net realized gain(loss) on futures contracts. |
(3) | Statements of Operations location: Net realized gain(loss) on investments includes options purchased. |
(4) | Statements of Operations location: Net realized gain(loss) on OTC written options. |
(5) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on investments includes options purchased. |
(7) | Statements of Operations location: Net change in unrealized appreciation/depreciation on OTC written options. |
(8) | Amount represents notional amounts in U.S. dollars. |
(9) | Amount represents number of contracts. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board 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 the counterparty. A master netting agreement is an agreement between a fund and the 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 | ||||||||
OTC Options Purchased | $ | 862,118 | $ | – | $ | 862,118 | |||||
Repurchase Agreements | $ | 1,521,359 | $ | – | $ | 1,521,359 | |||||
Total | $ | 2,383,477 | $ | – | $ | 2,383,477 |
34
Notes to Financial Statements (continued)
Net Amount | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Bank of America | $ | 545,549 | $ | – | $ | – | $ | – | $ | 545,549 | |||||||||
Goldman Sachs | $ | 316,569 | $ | – | $ | – | $ | – | $ | 316,569 | |||||||||
Fixed Income Clearing Corp. | $ | 1,521,359 | $ | – | $ | – | $ | (1,521,359 | ) | $ | – | ||||||||
Total | $ | 2,383,477 | $ | – | $ | – | $ | (1,521,359 | ) | $ | 862,118 |
Multi-Asset Income Fund | |||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
OTC Options Purchased | $ | 396,449 | $ – | $ | 396,449 | ||||||
Repurchase Agreements | $ | 743,263 | $ – | $ | 743,263 | ||||||
Total | $ | 1,139,712 | $ – | $ | 1,139,712 |
Net Amount | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Bank of America | $ | 250,873 | $ | – | $ | – | $ | – | $ | 250,873 | |||||||||
Goldman Sachs | $ | 145,576 | $ | – | $ | – | $ | – | $ | 145,576 | |||||||||
Fixed Income Clearing Corp. | $ | 743,263 | $ | – | $ | – | $ | (743,263 | ) | $ | – | ||||||||
Total | $ | 1,139,712 | $ | – | $ | – | $ | (743,263 | ) | $ | 396,449 |
(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 May 31, 2023. |
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 may elect to defer receipt of a 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 in the Statements of Operations and in Trustees’ fees payable in 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 prior transfer agent and its custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses. The arrangement with the Funds’ prior transfer agent was discontinued effective March 6, 2023.
35
Notes to Financial Statements (continued)
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 that participate in the Interfund Lending Program to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
For the six months ended May 31, 2023, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
11. | 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.
12. | TRANSACTIONS WITH AFFILIATED ISSUERS |
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund had the following transactions with affiliated issuers during the for the six months ended May 31, 2023:
Multi-Asset Balanced Opportunity Fund | |||||||||||||||||||||||||||||||
Affiliated Issuer | Value at 11/30/2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss | ) | Change in Appreciation (Depreciation | ) | Value at 5/31/2023 | Shares as of 5/31/2023 | Dividend Income | |||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | $ | 86,596,052 | $ | 1,074,975 | $ | (64,510,599 | ) | $ | (2,685,940 | ) | $ | 739,919 | $ | 21,214,407 | 1,737,462 | $ | 1,074,976 | ||||||||||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 336,026,112 | 7,403,361 | (12,189,190 | ) | (2,563,655 | ) | 2,253,529 | 330,930,157 | 35,507,528 | 7,403,361 | |||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 390,857,691 | 20,551,095 | (17,570,000 | ) | 18,213,872 | (a) | (26,521,682 | ) | 368,302,903 | 21,009,863 | 2,078,480 | ||||||||||||||||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 79,837,486 | 1,928,683 | (6,662,000 | ) | (2,223,052 | ) | 1,884,176 | 74,765,293 | 18,975,963 | 1,928,683 | |||||||||||||||||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 376,143,288 | 15,636,883 | (17,465,000 | ) | 972,000 | (24,310,971 | ) | 350,976,200 | 29,794,244 | – | |||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 171,305,666 | 6,768,146 | (9,215,000 | ) | (5,274,465 | ) | 12,717,387 | 176,301,734 | 6,008,921 | – | |||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund-Class I | 152,624,937 | 4,497,615 | (29,647,050 | ) | (3,199,167 | ) | 973,683 | 125,250,018 | 20,465,689 | 4,497,615 | |||||||||||||||||||||
Lord Abbett Investment Trust-Income Fund-Class I | – | 41,428,907 | (1,665,699 | ) | (23,369 | ) | (799,175 | ) | 38,940,664 | 16,157,952 | 662,903 | ||||||||||||||||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 79,340,291 | 25,795,323 | (26,982,835 | ) | (983,161 | ) | (18,767 | ) | 77,150,851 | 6,697,123 | 1,591,613 | ||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 87,011,638 | 1,887,443 | (1,487,000 | ) | (207,619 | ) | (317,168 | ) | 86,887,294 | 6,612,427 | 1,887,443 | ||||||||||||||||||||
Lord Abbett Securities Trust-International Value Fund-Class I | 73,728,784 | 818,204 | (1,424,000 | ) | (113,283 | ) | 1,456,311 | 74,466,016 | 10,547,594 | 818,203 | |||||||||||||||||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | – | 21,610,413 | (4,180,363 | ) | (23,530 | ) | (165,583 | ) | 17,240,937 | 4,501,550 | 294,431 | ||||||||||||||||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 258,664,644 | 5,014,585 | (92,311,496 | ) | 135,278 | 1,546,939 | 173,049,950 | 17,532,923 | 3,820,889 | ||||||||||||||||||||||
Total | $ | 2,023,909 | $ | (30,561,402 | ) | $ | 1,915,476,424 | $ | 26,058,597 |
(a) | Includes $17,228,073 of distributed capital gains. |
36
Notes to Financial Statements (continued)
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||
Net | Change in | Shares | |||||||||||||||||||||||||||||
Value at | Purchases | Proceeds | Realized | Appreciation | Value at | as of | Dividend | ||||||||||||||||||||||||
Affiliated Issuer | 11/30/2022 | at Cost | from Sales | Gain (Loss | ) | (Depreciation | ) | 5/31/2023 | 5/31/2023 | Income | |||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | $ | 38,707,231 | $ | 448,731 | $ | (35,649,226 | ) | $ | (1,364,251 | ) | $ | 706,316 | $ | 2,848,801 | 233,317 | $ | 448,731 | ||||||||||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 307,364,715 | 6,749,848 | (15,271,457 | ) | (2,965,620 | ) | 2,708,394 | 298,585,880 | 32,037,112 | 6,749,847 | |||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 106,682,889 | 6,512,553 | (12,922,000 | ) | 5,308,975 | (a) | (7,759,140 | ) | 93,073,119 | 5,309,362 | 552,424 | ||||||||||||||||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 33,375,023 | 773,239 | (4,437,329 | ) | (893,043 | ) | 768,958 | 29,586,848 | 7,509,352 | 773,239 | |||||||||||||||||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 113,700,699 | 1,209,971 | (16,863,479 | ) | 1,779,120 | (8,394,766 | ) | 91,431,545 | 7,761,591 | – | |||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 48,233,031 | 700,000 | (10,606,153 | ) | (8,059,102 | ) | 9,275,326 | 39,543,102 | 1,347,754 | – | |||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund-Class I | 104,317,957 | 2,939,851 | (27,468,988 | ) | (4,751,374 | ) | 3,373,374 | 78,410,820 | 12,812,226 | 2,939,851 | |||||||||||||||||||||
Lord Abbett Income Fund-Class I | – | 19,494,825 | (1,265,514 | ) | (21,509 | ) | (366,098 | ) | 17,841,704 | 7,403,197 | 307,438 | ||||||||||||||||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 56,956,034 | 11,330,789 | (14,517,544 | ) | 105,246 | (768,457 | ) | 53,106,068 | 4,609,902 | 1,153,953 | |||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 44,225,320 | 959,329 | (1,114,000 | ) | (44,939 | ) | (210,822 | ) | 43,814,888 | 3,334,466 | 959,329 | ||||||||||||||||||||
Lord Abbett Securities Trust-International Value Fund-Class I | 34,676,436 | 384,821 | (966,000 | ) | 151,909 | 491,641 | 34,738,807 | 4,920,511 | 384,821 | ||||||||||||||||||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | – | 9,993,948 | (1,359,476 | ) | (5,516 | ) | (85,403 | ) | 8,543,553 | 2,230,693 | 144,190 | ||||||||||||||||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 111,923,216 | 10,472,597 | (35,961,337 | ) | 78,918 | 732,356 | 87,245,750 | 8,839,488 | 1,915,641 | ||||||||||||||||||||||
Total | $ | (10,681,186 | ) | $ | 471,679 | $ | 878,770,885 | $ | 16,329,464 |
(a) | Includes $4,750,158 of distributed captial gains. |
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.
37
Notes to Financial Statements (continued)
Certain instruments in which the Funds may invest have historically relied upon LIBOR. As of June 30, 2023, the administrator of LIBOR ceased publication of U.S. dollar LIBOR settings. The LIBOR transition could have adverse impacts on newly issued financial instruments and existing financial instruments which referenced LIBOR and lead to significant short-term and long-term uncertainty and market instability.
Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund are subject to the general risks and considerations associated with investing in fixed income securities. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when rates fall, such prices tend to rise. Longer- term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to an Underlying Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which one or more of the Underlying Funds may invest. Some issuers, particularly of high- yield bonds, may default as to principal and/or interest payments after an Underlying Fund purchases their securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Underlying Fund. High-yield bonds are subject to greater price fluctuations, as well as additional risks. The market for below investment grade securities may be less liquid due to such factors as interest rate sensitivity, negative perceptions of the junk bond markets generally, and less secondary market liquidity. This may make such securities more difficult to sell at an acceptable price, especially during periods of financial distress, increased market volatility, or significant market decline.
Each Fund is subject to the general risks and considerations associated with equity investing. The value of an investment will fluctuate in response to movements in the equity securities market in general, a particular industry or sector, or to the changing prospects of individual companies in which the Underlying Funds invest. If an Underlying Fund’s assessment of market conditions or companies held in the Underlying Fund fails to produce the intended result, a Fund could suffer losses or produce poor performance relative to other funds, even in a rising market. Each Fund’s investment exposure to foreign (which may include emerging market) companies generally is subject to the risk that the value of securities issued by foreign companies may be adversely affected by political, economic and social volatility and subject to less government supervision, lack of transparency, or inadequate regulatory and accounting standards, inadequate exchange control regulations, foreign taxes, higher transaction and other costs, and delays in settlement. The cost of a Fund’s potential use of forward currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing. The Underlying Fund’s investments in emerging market companies generally are subject to more risks than investments in developed market companies.
Because Multi-Asset Income Fund will be more heavily invested in fixed income funds than equity funds, it will be more affected by the risks associated with fixed income securities. Given Multi-Asset Balanced Opportunity Fund’s more balanced allocation among fixed income funds and equity funds, it will be affected by risks associated with both equity and fixed income investments.
Each Fund may invest in derivatives, either directly or through its Underlying Funds. Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities and other investments. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, heightened counterparty risk, credit risk, and volatility. Illiquid securities may lower the Funds’ returns since the
38
Notes to Financial Statements (continued)
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) 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 their investment strategies and achieving their investment objectives.
In March 2023, the shut-down of certain financial institutions raised economic concerns over disruption in the U.S. banking system. There can be no certainty that the actions taken by the U.S. government to strengthen public confidence in the U.S. banking system will be effective in mitigating the effects of financial institution failures on the economy and restoring public confidence in the U.S. banking system objective.
The impact of the COVID-19 outbreak, and the effects of other infectious illness outbreaks, epidemics, or pandemics, may be short term or may continue for an extended period of time. For example, a global pandemic or other widespread health crises could again 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. Health crises caused by outbreaks of disease may also exacerbate other pre-existing political, social, and economic risks in certain countries or globally. 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.
39
Notes to Financial Statements (continued)
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of capital stock were as follows:
Multi-Asset Balanced Opportunity Fund | Six Months Ended May 31, 2023 (unaudited) | Year Ended November 30, 2022 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 13,341,044 | $ | 137,615,308 | 13,313,208 | $ | 147,197,515 | ||||||||||
Reinvestment of distributions | 1,695,820 | 17,233,291 | 31,082,801 | 369,954,171 | ||||||||||||
Shares reacquired | (23,747,665 | ) | (243,713,274 | ) | (32,627,437 | ) | (355,145,139 | ) | ||||||||
Increase (decrease) | (8,710,801 | ) | $ | (88,864,675 | ) | 11,768,572 | $ | 162,006,547 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,566,735 | $ | 16,177,880 | 966,551 | $ | 10,594,011 | ||||||||||
Reinvestment of distributions | 67,088 | 673,985 | 2,959,000 | 35,106,865 | ||||||||||||
Shares reacquired | (6,456,101 | ) | (65,494,625 | ) | (6,700,556 | ) | (71,880,282 | ) | ||||||||
Decrease | (4,822,278 | ) | $ | (48,642,760 | ) | (2,775,005 | ) | $ | (26,179,406 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 73,380 | $ | 748,296 | 599,800 | $ | 6,838,279 | ||||||||||
Reinvestment of distributions | 17,977 | 182,362 | 1,103,077 | 13,196,069 | ||||||||||||
Shares reacquired | (1,737,985 | ) | (17,662,632 | ) | (5,003,453 | ) | (54,841,556 | ) | ||||||||
Decrease | (1,646,628 | ) | $ | (16,731,974 | ) | (3,300,576 | ) | $ | (34,807,208 | ) | ||||||
Class I Shares | ||||||||||||||||
Shares sold | 2,102,602 | $ | 21,374,961 | 3,900,170 | $ | 42,013,944 | ||||||||||
Reinvestment of distributions | 54,037 | 549,608 | 483,757 | 5,715,991 | ||||||||||||
Shares reacquired | (1,128,763 | ) | (11,478,365 | ) | (1,822,561 | ) | (18,487,539 | ) | ||||||||
Increase | 1,027,876 | $ | 10,446,204 | 2,561,366 | $ | 29,242,396 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 11,801 | $ | 118,913 | 10,022 | $ | 105,141 | ||||||||||
Reinvestment of distributions | 403 | 4,072 | 11,085 | 131,807 | ||||||||||||
Shares reacquired | (1,290 | ) | (13,201 | ) | (46,820 | ) | (526,811 | ) | ||||||||
Increase (decrease) | 10,914 | $ | 109,784 | (25,713 | ) | $ | (289,863 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 2,046 | $ | 21,508 | 3,052 | $ | 33,902 | ||||||||||
Reinvestment of distributions | 455 | 4,768 | 8,897 | 109,251 | ||||||||||||
Shares reacquired | (310 | ) | (3,283 | ) | (3,921 | ) | (42,728 | ) | ||||||||
Increase | 2,191 | $ | 22,993 | 8,028 | $ | 100,425 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,506,956 | $ | 15,475,806 | 364,549 | $ | 4,006,659 | ||||||||||
Reinvestment of distributions | 38,328 | 388,715 | 667,120 | 7,933,931 | ||||||||||||
Shares reacquired | (471,596 | ) | (4,797,210 | ) | (990,069 | ) | (10,713,995 | ) | ||||||||
Increase | 1,073,688 | $ | 11,067,311 | 41,600 | $ | 1,226,595 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 98,871 | $ | 1,006,804 | 196,398 | $ | 2,140,551 | ||||||||||
Reinvestment of distributions | 11,285 | 114,714 | 198,384 | 2,360,324 | ||||||||||||
Shares reacquired | (149,708 | ) | (1,530,066 | ) | (291,102 | ) | (3,100,878 | ) | ||||||||
Increase (decrease) | (39,552 | ) | $ | (408,548 | ) | 103,680 | $ | 1,399,997 |
40
Notes to Financial Statements (continued)
Multi-Asset Balanced Opportunity Fund | Six Months Ended May 31, 2023 (unaudited) | Year Ended November 30, 2022 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 368 | $ | 3,773 | 11,469 | $ | 130,262 | ||||||||||
Reinvestment of distributions | 144 | 1,465 | 2,618 | 31,169 | ||||||||||||
Shares reacquired | (3,242 | ) | (32,677 | ) | (11,998 | ) | (137,609 | ) | ||||||||
Increase (decrease) | (2,730 | ) | $ | (27,439 | ) | 2,089 | $ | 23,822 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 34,472 | $ | 352,096 | 113,969 | $ | 1,329,887 | ||||||||||
Reinvestment of distributions | 5,083 | 51,845 | 81,491 | 969,696 | ||||||||||||
Shares reacquired | (85,290 | ) | (878,921 | ) | (68,917 | ) | (741,044 | ) | ||||||||
Increase (decrease) | (45,735 | ) | $ | (474,980 | ) | 126,543 | $ | 1,558,539 | ||||||||
Multi-Asset Income Fund | Six Months Ended May 31, 2023 (unaudited) | Year Ended November 30, 2022 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,966,016 | $ | 43,120,838 | 5,289,095 | $ | 82,211,859 | ||||||||||
Reinvestment of distributions | 673,271 | 9,754,592 | 2,583,273 | 41,898,843 | ||||||||||||
Shares reacquired | (7,207,754 | ) | (104,587,143 | ) | (6,736,769 | ) | (102,712,873 | ) | ||||||||
Increase (decrease) | (3,568,467 | ) | $ | (51,711,713 | ) | 1,135,599 | $ | 21,397,829 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 132,293 | $ | 1,976,077 | 389,221 | $ | 6,283,009 | ||||||||||
Reinvestment of distributions | 54,080 | 797,497 | 454,115 | 7,646,011 | ||||||||||||
Shares reacquired | (2,066,920 | ) | (30,557,704 | ) | (5,276,072 | ) | (82,082,981 | ) | ||||||||
Decrease | (1,880,547 | ) | $ | (27,784,130 | ) | (4,432,736 | ) | $ | (68,153,961 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 47,147 | $ | 688,477 | 849,785 | $ | 13,295,963 | ||||||||||
Reinvestment of distributions | 32,034 | 463,702 | 417,182 | 6,884,819 | ||||||||||||
Shares reacquired | (2,189,362 | ) | (31,967,887 | ) | (7,732,186 | ) | (118,851,678 | ) | ||||||||
Decrease | (2,110,181 | ) | $ | (30,815,708 | ) | (6,465,219 | ) | $ | (98,670,896 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 598 | 8,635 | 4,537 | 74,975 | ||||||||||||
Shares reacquired | (598 | ) | (8,635 | ) | (67,513 | ) | (1,076,907 | ) | ||||||||
Decrease | – | $ | – | (62,976 | ) | $ | (1,001,932 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 2,146,946 | $ | 31,112,864 | 6,489,944 | $ | 98,414,444 | ||||||||||
Reinvestment of distributions | 102,770 | 1,479,248 | 187,230 | 2,915,241 | ||||||||||||
Shares reacquired | (1,921,485 | ) | (27,749,722 | ) | (2,043,881 | ) | (29,674,290 | ) | ||||||||
Increase | 328,231 | $ | 4,842,390 | 4,633,293 | $ | 71,655,395 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 3,001 | $ | 45,015 | 3,310 | $ | 50,512 | ||||||||||
Reinvestment of distributions | 165 | 2,462 | 427 | 7,125 | ||||||||||||
Shares reacquired | (131 | ) | (1,956 | ) | (5 | ) | (75 | ) | ||||||||
Increase | 3,035 | $ | 45,521 | 3,732 | $ | 57,562 |
41
Notes to Financial Statements (concluded)
Multi-Asset Income Fund | Six Months Ended May 31, 2023 (unaudited) | Year Ended November 30, 2022 | ||||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 122,154 | $ | 1,774,886 | 175,744 | $ | 2,649,388 | ||||||||||
Reinvestment of distributions | 13,835 | 200,476 | 60,939 | 995,718 | ||||||||||||
Shares reacquired | (120,283 | ) | (1,750,539 | ) | (407,800 | ) | (6,226,183 | ) | ||||||||
Increase (decrease) | 15,706 | $ | 224,823 | (171,117 | ) | $ | (2,581,077 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 21,216 | $ | 307,482 | 37,734 | $ | 588,100 | ||||||||||
Reinvestment of distributions | 2,623 | 38,014 | 8,989 | 145,521 | ||||||||||||
Shares reacquired | (10,053 | ) | (146,300 | ) | (73,740 | ) | (1,212,791 | ) | ||||||||
Increase (decrease) | 13,786 | $ | 199,196 | (27,017 | ) | $ | (479,170 | ) | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 91 | $ | 1,295 | 72 | $ | 1,113 | ||||||||||
Reinvestment of distributions | 31 | 449 | 134 | 2,154 | ||||||||||||
Shares reacquired | (705 | ) | (10,022 | ) | (17 | ) | (265 | ) | ||||||||
Increase (decrease) | (583 | ) | $ | (8,278 | ) | 189 | $ | 3,002 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,089 | $ | 15,692 | 7,808 | $ | 120,422 | ||||||||||
Reinvestment of distributions | 319 | 4,603 | 3,244 | 52,056 | ||||||||||||
Shares reacquired | (43,431 | ) | (633,416 | ) | (8,169 | ) | (133,753 | ) | ||||||||
Increase (decrease) | (42,023 | ) | $ | (613,121 | ) | 2,883 | $ | 38,725 |
42
Investments in Underlying Funds
The Funds invests in Underlying Funds managed by Lord Abbett. As of May 31, 2023, each Fund’s long-term investments were allocated among the Underlying Funds as follows:
Multi-Asset Balanced Opportunity Fund’s Investments:
Underlying Fund Name | % |
Lord Abbett Investment Trust-Convertible Fund-Class I | 1.11% |
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 17.28% |
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 19.23% |
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 3.90% |
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 18.32% |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 9.20% |
Lord Abbett Investment Trust-High Yield Fund-Class I | 6.54% |
Lord Abbett Investment Trust-Income Fund-Class I | 2.03% |
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 4.03% |
Lord Abbett Securities Trust-International Equity Fund-Class I | 4.54% |
Lord Abbett Securities Trust-International Value Fund-Class I | 3.89% |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 0.90% |
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 9.03% |
Total | 100.00% |
Multi-Asset Income Fund’s Investments: | |
Underlying Fund Name | % |
Lord Abbett Investment Trust-Convertible Fund-Class I | 0.32% |
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 33.98% |
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 10.59% |
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 3.37% |
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 10.41% |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 4.50% |
Lord Abbett Investment Trust-High Yield Fund-Class I | 8.92% |
Lord Abbett Investment Trust-Income Fund-Class I | 2.03% |
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 6.04% |
Lord Abbett Securities Trust-International Equity Fund-Class I | 4.99% |
Lord Abbett Securities Trust-International Value Fund-Class I | 3.95% |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 0.97% |
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 9.93% |
Total | 100.00% |
Lord Abbett Investment Trust-Convertible Fund | |
Ten Largest Holdings | % of Investments |
Canopy Growth Corp., 4.250%, 7/15/2023 | 6.19% |
Western Digital Corp., 1.500%, 2/1/2024 | 4.07% |
Okta, Inc., 0.125%, 9/1/2025 | 4.04% |
Shopify, Inc., 0.125%, 11/1/2025 | 3.65% |
Palo Alto Networks, Inc., 0.375%, 6/1/2025 | 3.45% |
Uber Technologies, Inc., 12/15/2025 | 2.88% |
GDS Holdings Ltd., 2.000%, 6/1/2025 | 2.83% |
Bentley Systems, Inc., 0.125%, 1/15/2026 | 2.67% |
Bank of America Corp., 7.250%, 1/1/2099 | 2.35% |
Sea Ltd., 0.250%, 9/15/2026 | 2.30% |
43
Investments in Underlying Funds (continued)
Holdings by Sector | % of Investments |
Basic Materials | 0.59% |
Communications | 27.29% |
Consumer, Cyclical | 4.39% |
Consumer, Non-cyclical | 29.32% |
Energy | 2.85% |
Financial | 3.53% |
Industrial | 6.39% |
Technology | 17.02% |
Utilities | 5.40% |
Repurchase Agreements | 3.22% |
Total | 100.00% |
Lord Abbett Investment Trust-Core Fixed Income Fund | |
Ten Largest Holdings | % of Investments |
U.S. Treasury Bonds, 3.875%, 5/15/2043 | 3.93% |
U.S. Treasury Notes, 3.500%, 4/30/2028 | 3.49% |
U.S. Treasury Bonds, 3.625%, 5/15/2053 | 2.50% |
U.S. Treasury Notes, 3.875%, 3/31/2025 | 2.35% |
Government National Mortgage Association, TBA, 5.000%, 7/20/2053 | 2.01% |
Government National Mortgage Association, TBA, 6.000%, 7/20/2053 | 1.85% |
Government National Mortgage Association, TBA, 5.500%, 7/20/2053 | 1.71% |
Federal Home Loan Bank, 5.110%, 8/29/2023 | 1.37% |
Uniform Mortgage-Backed Security, TBA, 5.500%, 7/15/2053 | 1.33% |
Government National Mortgage Association, TBA, 6.500%, 7/20/2053 | 1.32% |
Holdings by Sector | % of Investments |
Asset Backed Securities | 11.51% |
Basic Materials | 0.48% |
Consumer Cyclical | 1.72% |
Communications | 2.26% |
Consumer Non-cyclical | 5.85% |
Energy | 3.32% |
Financial | 14.46% |
Foreign Government | 2.96% |
Industrial | 0.59% |
Mortgage-Backed Securities | 32.46% |
Technology | 0.99% |
U.S. Government | 17.11% |
Utilities | 4.49% |
Repurchase Agreements | 1.80% |
Total | 100.00% |
44
Investments in Underlying Funds (continued)
Lord Abbett Research Fund, Inc.-Dividend Growth Fund
Ten Largest Holdings | % of Investments |
Microsoft Corp. | 7.49% |
Apple, Inc. | 4.01% |
Master Card, Inc. | 4.00% |
Exxon Mobil Corp. | 3.22% |
NVIDIA Corp. | 3.22% |
NextEra Energy, Inc. | 2.98% |
UnitedHealth Group, Inc. | 2.96% |
Morgan Stanley | 2.64% |
AbbVie, Inc. | 2.59% |
Walmart, Inc. | 2.39% |
Holdings by Sector | % of Investments |
Communication Services | 1.04% |
Consumer Discretionary | 9.81% |
Consumer Staples | 7.28% |
Energy | 3.71% |
Financials | 18.08% |
Health Care | 15.91% |
Industrials | 10.64% |
Information Technology | 23.93% |
Materials | 4.26% |
Real Estate | 1.26% |
Utilities | 2.97% |
Repurchase Agreements | 1.11% |
Total | 100.00% |
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund | |
Ten Largest Holdings | % of Investments |
Oman Government International Bond, 4.750%, 6/15/2026 | 2.15% |
Indonesia Government International Bond, 1.850%, 3/12/2031 | 1.84% |
Saudi International Bond, 3.450%, 2/2/2061 | 1.64% |
Philippine Government International Bond, 2.650%, 12/10/2045 | 1.64% |
Republic of Turkey, 4.250%, 4/14/2026 | 1.59% |
Republic of Nigeria, 6.500%, 11/28/2027 | 1.58% |
United Mexican States, 2.659%, 5/24/2031 | 1.49% |
Abu Dhabi Government International Bond, 1.700%, 3/2/2031 | 1.44% |
KSA Sukuk Ltd., 5.268%, 10/25/2028 | 1.44% |
State of Qatar, 4.000%, 3/14/2029 | 1.41% |
45
Investments in Underlying Funds (continued)
Holdings by Sector | % of Investments |
Basic Materials | 1.29% |
Communications | 0.77% |
Consumer, Non-cyclical | 0.31% |
Energy | 16.05% |
Financial | 4.21% |
Foreign Government | 70.54% |
Industrial | 0.36% |
Utilities | 6.35% |
Repurchase Agreements | 0.12% |
Total | 100.00% |
Lord Abbett Securities Trust-Fundamental Equity Fund | |
Ten Largest Holdings | % of Investments |
JPMorgan Chase & Co. | 3.35% |
Alphabet, Inc. | 2.72% |
Microsoft Corp. | 2.41% |
Shell PLC | 2.35% |
UnitedHealth Group, Inc. | 2.34% |
Adobe, Inc. | 2.32% |
Raytheon Technologies Corp. | 2.25% |
Allstate Corp. | 2.07% |
Parker-Hannifin Corp. | 2.04% |
AbbVie, Inc. | 2.01% |
Holdings by Sector | % of Investments |
Communication Services | 5.91% |
Consumer Discretionary | 6.68% |
Consumer Staples | 5.55% |
Energy | 7.82% |
Financials | 22.99% |
Health Care | 15.87% |
Industrials | 15.42% |
Information Technology | 11.88% |
Materials | 2.17% |
Real Estate | 3.06% |
Utilities | 2.26% |
Repurchase Agreements | 0.39% |
Total | 100.00% |
46
Investments in Underlying Funds (continued)
Lord Abbett Securities Trust-Growth Leaders Fund
Ten Largest Holdings | % of Investments |
NVIDIA Corp. | 9.30% |
Apple, Inc. | 8.17% |
Microsoft Corp. | 6.72% |
Alphabet, Inc. | 3.99% |
Meta Platforms, Inc. | 2.87% |
Shopify, Inc. | 2.51% |
Arista Networks, Inc. | 2.41% |
Netflix, Inc. | 2.24% |
Advanced Micro Devices, Inc. | 2.09% |
MercadoLibre, Inc. | 1.93% |
Holdings by Sector | % of Investments |
Communication Services | 12.91% |
Consumer Discretionary | 12.85% |
Financials | 3.08% |
Health Care | 14.47% |
Industrials | 5.09% |
Information Technology | 50.64% |
Repurchase Agreements | 0.96% |
Total | 100.00% |
Lord Abbett Investment Trust-High Yield Fund | |
Ten Largest Holdings | % of Investments |
Tenet Healthcare Corp., 4.375%, 1/15/2030 | 0.78% |
Ford Motor Credit Co. LLC, 2.900%, 2/10/2029 | 0.70% |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/1/2028 | 0.65% |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/1/2030 | 0.64% |
Medline Borrower LP, 3.875%, 4/1/2029 | 0.57% |
TransDigm, Inc., 4.625%, 1/15/2029 | 0.50% |
Perrigo Finance Unlimited Co., 4.400%, 6/15/2030 | 0.49% |
Ford Motor Credit Co. LLC, 4.000%, 11/13/2030 | 0.47% |
Altice France SA, 5.125%, 7/15/2029 | 0.46% |
Molina Healthcare, Inc., 3.875%, 11/15/2030 | 0.45% |
Holdings by Sector | % of Investments |
Basic Materials | 6.09% |
Communications | 7.28% |
Consumer Cyclical | 25.28% |
Consumer Non-cyclical | 16.40% |
Diversified | 0.35% |
Energy | 16.60% |
Financial | 5.34% |
Foreign Government | 0.10% |
Industrial | 13.78% |
Mortgage Backed Securities | 0.43% |
Technology | 3.71% |
Utilities | 4.40% |
Repurchase Agreements | 0.24% |
Total | 100.00% |
47
Investments in Underlying Funds (continued)
Lord Abbett Investment Trust-Income Fund
Ten Largest Holdings | % of Investments |
U.S. Treasury Bonds, 3.625%, 5/15/2053 | 1.85% |
Sprint Capital Corp. 6.88%, 11/15/2028 | 1.44% |
U.S. Treasury Inflation-Indexed Notes, 0.250%, 1/15/2025 | 1.19% |
JP Morgan Chase & Co., 4.912%, 7/25/2033 | 1.11% |
BAT Capital Corp., 7.75%, 10/16/2032 | 1.06% |
Bank of America Corp., 2.687%, 4/22/2032 | 1.02% |
Continental Resources, Inc., 5.75%, 1/15/2031 | 0.99% |
Netflix, Inc., 5.375%, 11/15/2029 | 0.98% |
Centene Corp., 3.375%, 2/15/203 | 0.92% |
Electricite de France SA, 6.25%, 5/23/2033 | 0.83% |
Holdings by Sector | % of Investments |
Asset Backed Securities | 6.00% |
Basic Materials | 1.17% |
Communications | 5.13% |
Consumer Cyclical | 3.37% |
Consumer Non-cyclical | 16.79% |
Energy | 12.56% |
Financial | 26.86% |
Industrial | 3.23% |
Mortgage Securities | 1.20% |
Technology | 4.54% |
U.S. Government | 4.26% |
Utilities | 13.27% |
Repurchase Agreements | 1.62% |
Total | 100.00% |
Lord Abbett Investment Trust-Inflation Focused Fund | |
Ten Largest Holdings | % of Investments |
UBS AG, 5.125%, 5/15/2024 | 1.13% |
U.S. Treasury Bills, Zero Coupon, 11/24/2023 | 1.07% |
Danske Bank AS, 5.375%, 1/12/2024 | 1.02% |
Exeter Automobile Receivables Trust Series 2020-2A, 7.190%, 9/15/2027 | 0.96% |
Charter Communications Operating, LLC, 6.903%, 4/30/2025 | 0.95% |
GS Mortgage Securities Corp. Trust Series 2021-RENT, 6.248%, 11/21/2035 | 0.94% |
AMMC CLO Ltd. Series 2020-23A, 6.300%, 10/17/2031 | 0.92% |
Capital One Multi-Asset Execution Trust Series 2022-A2, 3.490%, 5/15/2027 | 0.85% |
HONO Mortgage Trust Series 2021-LULU, 6.257%, 10/15/2036 | 0.83% |
AIB Group PLC, 4.263%, 4/10/2025 | 0.73% |
48
Investments in Underlying Funds (continued)
Holdings by Sector | % of Investments |
Asset Backed Securities | 26.62% |
Basic Materials | 2.43% |
Communications | 2.02% |
Consumer, Cyclical | 3.56% |
Consumer, Non-cyclical | 4.97% |
Energy | 6.73% |
Financial | 31.40% |
Industrial | 0.55% |
Mortgage Securities | 13.15% |
Technology | 1.48% |
U.S. Government | 1.10% |
Utilities | 5.39% |
Repurchase Agreements | 0.60% |
Total | 100.00% |
Lord Abbett Securities Trust-International Equity Fund | |
Ten Largest Holdings | % of Investments |
Taiwan Semiconductor Manufacturing Co. Ltd. | 2.85% |
Novo Nordisk AS | 2.65% |
LVMH Moet Hennessy Louis Vuitton SE | 2.46% |
ASML Holding NV | 2.32% |
AstraZeneca PLC | 1.99% |
Shell PLC | 1.93% |
L’Oreal SA | 1.84% |
Sony Group Corp. | 1.78% |
Schneider Electric SE | 1.62% |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1.54% |
Holdings by Sector | % of Investments |
Communication Services | 4.08% |
Consumer Discretionary | 14.33% |
Consumer Staples | 10.92% |
Energy | 4.46% |
Financials | 14.90% |
Health Care | 12.63% |
Industrials | 15.25% |
Information Technology | 13.33% |
Materials | 4.82% |
Real Estate | 0.49% |
Utilities | 1.86% |
Repurchase Agreements | 2.93% |
Total | 100.00% |
49
Investments in Underlying Funds (continued)
Lord Abbett Securities Trust-International Value Fund
Ten Largest Holdings | % of Investments |
Shell PLC | 4.11% |
Novartis AG | 3.24% |
Sanofi | 2.99% |
BHP Group Ltd. | 2.65% |
Orange SA | 2.64% |
Sumitomo Mitsui Financial Group, Inc. | 2.31% |
Toyota Motor Corp. | 2.25% |
Asahi Group Holdings Ltd. | 2.18% |
Unilever PLC | 2.13% |
Imperial Brands PLC | 2.10% |
Holdings by Sector | % of Investments |
Communication Services | 3.55% |
Consumer Discretionary | 9.68% |
Consumer Staples | 9.93% |
Energy | 8.46% |
Financials | 23.95% |
Health Care | 10.48% |
Industrials | 15.27% |
Information Technology | 3.26% |
Materials | 6.34% |
Real Estate | 0.90% |
Utilities | 4.66% |
Repurchase Agreements | 3.52% |
Total | 100.00% |
Lord Abbett Investment Trust-Short Duration Income Fund | |
Ten Largest Holdings | % of Investments |
U.S. Treasury Notes, 3.875%, 4/30/2025 | 1.61% |
U.S. Treasury Notes, 3.875%, 3/31/2025 | 1.28% |
U.S. Treasury Notes, 4.125%, 1/31/2025 | 1.14% |
U.S. Treasury Inflation-Indexed Notes, 0.250%, 1/15/2025 | 0.67% |
Comcast Hulu Holdings LLC, 6.029%, 3/15/2024 | 0.55% |
Charter Communications Operating LLC, 6.795%, 4/30/2025 | 0.55% |
Citigroup, Inc., 3.106%, 4/8/2026 | 0.53% |
Invitation Homes Operating Partnership LP, 6.253%, 1/31/2025 | 0.53% |
General Motors Financial Co., Inc., 5.100%, 1/17/2024 | 0.42% |
Manufacturers & Traders Trust Co., 4.650%, 1/27/2026 | 0.41% |
50
Investments in Underlying Funds (concluded)
Holdings by Sector | % of Investments |
Asset Backed Securities | 24.05% |
Basic Materials | 2.41% |
Communications | 2.67% |
Consumer, Cyclical | 3.99% |
Consumer, Non-cyclical | 6.12% |
Energy | 5.47% |
Financial | 27.95% |
Government | 4.75% |
Industrial | 1.19% |
Mortgage Securities | 14.22% |
Technology | 1.87% |
Utilities | 4.93% |
Repurchase Agreements | 0.39% |
Total | 100.00% |
Lord Abbett Investment Trust-Ultra Short Bond Fund | |
Ten Largest Holdings | % of Investments |
U.S. Treasury Notes, 3.875%, 3/31/2025 | 1.86% |
U.S. Treasury Bills, Zero Coupon, 10/19/2023 | 1.84% |
Bayer Corp. 6.05%, 4/21/2023 | 1.32% |
Verizon Master Trust Series 2022-1 A, 1.04%, 1/20/2027 | 1.23% |
Energy Transfer LP, 5.83%, 6/1/2023 | 1.20% |
JPMorgan Chase & Co., 3.80%, 7/24/2023 | 1.18% |
BAT International Finance PLC, 6.178%, 6/27/2023 | 1.08% |
Brookfield Infrastructure Holdings Canada, Inc., | 1.08% |
Charter Communications Operating LLC, 6.949%, 2/1/2024 | 1.01% |
Hyundai Capital America, 0.80%, 1/20/2024 | 1.01% |
Holdings by Sector | % of Investments |
Asset-Backed Securities | 24.88% |
Basic Materials | 2.84% |
Communications | 3.35% |
Consumer Cyclical | 5.27% |
Consumer Discretionary | 0.70% |
Consumer Non Cyclical | 8.53% |
Energy | 3.02% |
Financial | 36.40% |
Industrial | 1.02% |
Mortgage-Backed Securities | 4.29% |
Technology | 1.02% |
U.S. Government | 4.69% |
Utilities | 3.69% |
Repurchase Agreements | 0.30% |
Total | 100% |
51
Approval of Advisory Contract
The Board, including all of the Trustees who are not “interested persons” of the Company or of Lord Abbett, as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”), annually considers whether to approve the continuation of the existing management agreement between each Fund and Lord Abbett (the “Agreement”). In connection with its most recent approval, the Board reviewed materials relating specifically to the Agreement, as well as numerous materials received throughout the course of the year, including information about each Fund’s investment performance compared to the performance of an appropriate benchmark. Before making its decision as to each Fund, the Board had the opportunity to ask questions and request further information, taking into account its knowledge of Lord Abbett gained through its meetings and discussions. The Independent Trustees also met with their independent legal counsel in various private sessions at which no representatives of management were present.
The materials received by the Board as to each Fund included, but were not limited to: (1) information provided by Broadridge Financial Solutions (“Broadridge”) regarding the investment performance of the Fund compared to the investment performance of certain funds with similar investment styles as determined by Broadridge, based, in part, on the Fund’s Morningstar category (the “performance peer group”), and the investment performance of one or more appropriate benchmarks; (2) information provided by Broadridge regarding the expense ratios, contractual and actual management fee rates, and other expense components for the Fund and certain funds-of-funds in the same Morningstar category, with generally the same or similar share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability to Lord Abbett of providing management and administrative services to the Funds; and (8) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.
Investment Management and Related Services Generally. The Board considered the services provided by Lord Abbett to each Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to each Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other. After reviewing these and related factors, the Board concluded that each Fund was likely to continue to benefit from the nature, extent and quality of the investment services provided by Lord Abbett under the Agreement.
Investment Performance. The Board reviewed each Fund’s investment performance in relation to that of its performance peer group and one or more appropriate benchmarks as of various periods ended June 30, 2022. As to Multi-Asset Balanced Opportunity Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-, and five-year periods, above the median of the performance peer group for the three-year period, and equal to the median for the ten-year period. As to Multi-Asset Income Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-year period, and above the median of the performance peer group for the three-, five-, and ten-year periods. With respect to each Fund, the Board took into account actions taken by Lord Abbett to attempt to improve
52
Approval of Advisory Contract (continued)
fund performance of other Lord Abbett Funds, which would benefit the Funds through their investments in those Funds. The Board took into account changes to each Fund’s portfolio management teams. The Board further considered Lord Abbett’s performance and reputation generally, the performance of other Lord Abbett-managed funds overseen by the Board, and the willingness of Lord Abbett to take steps intended to improve performance when appropriate. After reviewing these and other factors, including those described below, the Board concluded that each Fund’s Agreement should be continued.
Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to each Fund, in light of its investment objective and discipline, and other services provided to each Fund by Lord Abbett. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining personnel.
Nature and Quality of Other Services. The Board considered the nature, quality, and extent of compliance, administrative, and other services performed by Lord Abbett and the nature and extent of Lord Abbett’s supervision of third party service providers, including each Fund’s transfer agent and custodian.
Expenses. The Board considered the expense level of each Fund, including the contractual and actual management fee rates, and the expense levels of the Fund’s expense peer group. It also considered how each of the expense level and the actual management fee rates of each Fund related to those of the expense peer group and the amount and nature of the fees paid by shareholders. As to each Fund, the Board observed that while the net total expense ratio of the Fund was above the median of the expense peer group, the Fund’s actual management fee (excluding underlying fund fees) was equal to the median of the expense peer group. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that the management fees paid by each Fund were reasonable in light of all of the factors it considered including the nature, quality and extent of services provided by Lord Abbett.
Profitability. As to each Fund, the Board considered the level of Lord Abbett’s operating margin in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. It considered whether each Fund was profitable to Lord Abbett in connection with the Fund’s operation, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund. The Board considered Lord Abbett’s profit margins excluding Lord Abbett’s marketing and distribution expenses. The Board also considered Lord Abbett’s profit margins, without those exclusions, in comparison with available industry data and how those profit margins could affect Lord Abbett’s ability to recruit and retain personnel. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified personnel to provide services to each Fund. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that Lord Abbett’s profitability with respect to each Fund was not excessive.
Economies of Scale. As to each Fund, the Board considered the extent to which there had been economies of scale in managing the Fund, whether the Fund’s shareholders had appropriately benefited from such economies of scale, and whether there was potential for realization of any further economies of scale. The Board also considered information provided by Lord Abbett regarding how it shares any potential economies of scale through its investments in its businesses supporting the Funds. The Board also considered each Fund’s existing management fee schedule. Based on these considerations, the Board concluded that any economies of scale were adequately addressed in respect of each Fund.
53
Approval of Advisory Contract (concluded)
Other Benefits to Lord Abbett. As to each Fund, the Board considered the amount and nature of the fees paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services, such as the fee that Lord Abbett receives from each Fund for providing administrative services to the Fund. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with each Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares of the Lord Abbett Funds. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also considered that Lord Abbett accrues certain benefits from sponsoring funds that invest in other Lord Abbett Funds and the fees that Lord Abbett receives from the underlying Funds. The Board also noted that Lord Abbett, as disclosed in the prospectus of each Fund, has entered into revenue sharing arrangements with certain entities that distribute shares of the Lord Abbett Funds. The Board also took into consideration the investment research that Lord Abbett receives as a result of client brokerage transactions.
Alternative Arrangements. As to each Fund, the Board considered whether, instead of approving continuation of the Agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the Agreement was in the best interests of each Fund and its shareholders and voted unanimously to approve the continuation of the Agreement on behalf of each Fund. As to each Fund, in considering whether to approve the continuation of the Agreement, the Board did not identify any single factor as paramount or controlling. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. This summary does not discuss in detail all matters considered.
54
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 17, 2023 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 April 1, 2022 through March 31, 2023. Lord Abbett reported that the Program operated effectively during the period. In particular, Lord Abbett reported that: no Fund breached 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 the Funds’ 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 Funds Service Center, P.O. Box 534489, Pittsburgh, PA 15253-4489 (regular mail) or 500 Ross Street 154-0520, Attention: 534489, Pittsburgh, PA 15252 (overnight mail).
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.
55
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-3 (07/23) |
Item 2: | Code of Ethics. |
Not applicable. | |
Item 3: | Audit Committee Financial Expert. |
Not applicable. | |
Item 4: | Principal Accountant Fees and Services. |
Not applicable. | |
Item 5: | Audit Committee of Listed Registrants. |
Not applicable. | |
Item 6: | Investments. |
The Schedule of Investments is included as part of the Reports to Shareholders under Item 1. | |
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) | Code of Ethics. Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
LORD ABBETT INVESTMENT TRUST
By: | /s/ Douglas B. Sieg | |
Douglas B. Sieg | ||
President and Chief Executive Officer |
Date: July 26, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Douglas B. Sieg | |
Douglas B. Sieg | ||
President and Chief Executive Officer |
Date: July 26, 2023
By: | /s/ Michael J. Hebert | |
Michael J. Hebert | ||
Chief Financial Officer and Treasurer |
Date: July 26, 2023