Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Convertible Fund
Core Fixed Income Fund
Core Plus Bond Fund
Corporate Bond Fund
Floating Rate Fund
High Yield Fund
Income Fund
Inflation Focused Fund
Multi-Asset Balanced Opportunity Fund
Multi-Asset Income Fund
Short Duration Core Bond Fund
Short Duration Income Fund
Total Return Fund
Ultra Short Bond Fund
For the period ended February 29, 2024
Schedule of Investments (unaudited)
CONVERTIBLE FUND February 29, 2024
Investments | Shares | Fair Value | |||||||||||
LONG-TERM INVESTMENTS 95.57% | |||||||||||||
COMMON STOCKS 0.28% | |||||||||||||
Pharmaceuticals | |||||||||||||
Canopy Growth Corp. (Canada)*(a) (cost $4,835,551) | 495,344 | $ | 1,629,683 | ||||||||||
Interest Rate | Maturity Date | Principal Amount‡ | |||||||||||
CONVERTIBLE BONDS 89.23% | |||||||||||||
Aerospace/Defense 1.03% | |||||||||||||
Safran SA | Zero Coupon | 4/1/2028 | EUR | 2,677,100 | 6,026,564 | ||||||||
Biotechnology 6.81% | |||||||||||||
Apellis Pharmaceuticals, Inc. | 3.50% | 9/15/2026 | $ | 1,135,000 | 1,923,761 | ||||||||
BioMarin Pharmaceutical, Inc. | 0.599% | 8/1/2024 | 20,734,000 | 20,421,347 | |||||||||
Bridgebio Pharma, Inc. | 2.25% | 2/1/2029 | 9,948,000 | 8,246,892 | |||||||||
Guardant Health, Inc. | Zero Coupon | 11/15/2027 | 7,963,000 | 5,409,703 | |||||||||
Insmed, Inc. | 0.75% | 6/1/2028 | 3,422,000 | 3,729,980 | |||||||||
Total | 39,731,683 | ||||||||||||
Commercial Services 3.76% | |||||||||||||
Euronet Worldwide, Inc. | 0.75% | 3/15/2049 | 22,695,000 | 21,957,412 | |||||||||
Computers 10.36% | |||||||||||||
CyberArk Software Ltd. (Israel)(a) | Zero Coupon | 11/15/2024 | 4,268,000 | 7,251,332 | |||||||||
Lumentum Holdings, Inc. | 0.25% | 3/15/2024 | 20,143,000 | 20,098,685 | |||||||||
Seagate HDD Cayman (Cayman Islands)†(a) | 3.50% | 6/1/2028 | 8,969,000 | 11,281,780 | |||||||||
Super Micro Computer, Inc.† | Zero Coupon | 3/1/2029 | 7,463,000 | 7,625,250 | |||||||||
Western Digital Corp.† | 3.00% | 11/15/2028 | 7,906,000 | 10,455,685 | |||||||||
Zscaler, Inc. | 0.125% | 7/1/2025 | 2,300,000 | 3,788,100 | |||||||||
Total | 60,500,832 | ||||||||||||
Diversified Financial Services 0.44% | |||||||||||||
Coinbase Global, Inc. | 0.50% | 6/1/2026 | 2,585,000 | 2,574,660 | |||||||||
Electric 1.79% | |||||||||||||
CenterPoint Energy, Inc.† | 4.25% | 8/15/2026 | 5,235,000 | 5,187,885 | |||||||||
Duke Energy Corp.† | 4.125% | 4/15/2026 | 5,325,000 | 5,237,138 | |||||||||
Total | 10,425,023 | ||||||||||||
See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electronics 0.81% | ||||||||||||
Advanced Energy Industries, Inc.† | 2.50% | 9/15/2028 | $ | 4,643,000 | $ | 4,734,612 | ||||||
Energy-Alternate Sources 1.47% | ||||||||||||
Enphase Energy, Inc. | Zero Coupon | 3/1/2028 | 9,810,000 | 8,558,400 | ||||||||
Engineering & Construction 1.53% | ||||||||||||
Fluor Corp.† | 1.125% | 8/15/2029 | 4,225,000 | 4,373,931 | ||||||||
Granite Construction, Inc.† | 3.75% | 5/15/2028 | 3,570,000 | 4,546,395 | ||||||||
Total | 8,920,326 | |||||||||||
Entertainment 2.65% | ||||||||||||
DraftKings Holdings, Inc. | Zero Coupon | 3/15/2028 | 4,320,000 | 3,687,120 | ||||||||
Live Nation Entertainment, Inc. | 2.00% | 2/15/2025 | 10,955,000 | 11,805,284 | ||||||||
Total | 15,492,404 | |||||||||||
Environmental Control 1.19% | ||||||||||||
Tetra Tech, Inc.† | 2.25% | 8/15/2028 | 6,460,000 | 6,918,505 | ||||||||
Health Care-Products 7.40% | ||||||||||||
Glaukos Corp. | 2.75% | 6/15/2027 | 4,034,000 | 6,803,341 | ||||||||
Natera, Inc. | 2.25% | 5/1/2027 | 3,160,000 | 7,187,025 | ||||||||
NuVasive, Inc. | 0.375% | 3/15/2025 | 12,295,000 | 11,600,332 | ||||||||
Repligen Corp.† | 1.00% | 12/15/2028 | 4,650,000 | 5,429,193 | ||||||||
Shockwave Medical, Inc.† | 1.00% | 8/15/2028 | 5,365,000 | 6,057,085 | ||||||||
TransMedics Group, Inc.† | 1.50% | 6/1/2028 | 5,475,000 | 6,146,600 | ||||||||
Total | 43,223,576 | |||||||||||
Internet 22.43% | ||||||||||||
Airbnb, Inc. | Zero Coupon | 3/15/2026 | 6,675,000 | 6,120,711 | ||||||||
Booking Holdings, Inc. | 0.75% | 5/1/2025 | 2,065,000 | 3,817,772 | ||||||||
Lyft, Inc.† | 0.625% | 3/1/2029 | 2,985,000 | 3,074,550 | ||||||||
MakeMyTrip Ltd. (India)(a) | Zero Coupon | 2/15/2028 | 1,875,000 | 3,095,625 | ||||||||
Match Group Financeco 2, Inc.† | 0.875% | 6/15/2026 | 8,000,000 | 7,281,751 | ||||||||
Okta, Inc. | 0.125% | 9/1/2025 | 30,320,000 | 29,329,208 | ||||||||
Palo Alto Networks, Inc. | 0.375% | 6/1/2025 | 3,172,000 | 9,917,258 | ||||||||
PDD Holdings, Inc. (Ireland)(a) | Zero Coupon | 12/1/2025 | 6,485,000 | 6,339,694 | ||||||||
Shopify, Inc. (Canada)(a) | 0.125% | 11/1/2025 | 16,528,000 | 15,701,600 | ||||||||
Spotify USA, Inc. | Zero Coupon | 3/15/2026 | 6,495,000 | 5,881,222 | ||||||||
Uber Technologies, Inc. | Zero Coupon | 12/15/2025 | 16,106,000 | 18,418,033 | ||||||||
Wayfair, Inc. | 1.00% | 8/15/2026 | 4,275,000 | 3,832,877 | ||||||||
Wayfair, Inc. | 3.25% | 9/15/2027 | 4,050,000 | 4,911,550 | ||||||||
Zillow Group, Inc. | 2.75% | 5/15/2025 | 11,930,000 | 13,180,370 | ||||||||
Total | 130,902,221 |
2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Leisure Time 2.65% | ||||||||||||
Carnival Corp. | 5.75% | 12/1/2027 | $ | 2,200,000 | $ | 3,256,000 | ||||||
Royal Caribbean Cruises Ltd. | 6.00% | 8/15/2025 | 4,815,000 | 12,232,507 | ||||||||
Total | 15,488,507 | |||||||||||
Miscellaneous Manufacturing 0.61% | ||||||||||||
Axon Enterprise, Inc. | 0.50% | 12/15/2027 | 2,500,000 | 3,586,250 | ||||||||
Oil & Gas 0.53% | ||||||||||||
Pioneer Natural Resources Co. | 0.25% | 5/15/2025 | 1,210,000 | 3,077,152 | ||||||||
Pharmaceuticals 2.53% | ||||||||||||
Dexcom, Inc.† | 0.375% | 5/15/2028 | 10,408,000 | 10,158,208 | ||||||||
Neurocrine Biosciences, Inc. | 2.25% | 5/15/2024 | 2,690,000 | 4,624,110 | ||||||||
Total | 14,782,318 | |||||||||||
REITS 4.01% | ||||||||||||
COPT Defense Properties LP† | 5.25% | 9/15/2028 | 14,007,000 | 14,476,235 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | Zero Coupon | 5/1/2025 | 8,753,000 | 8,942,610 | ||||||||
Total | 23,418,845 | |||||||||||
Retail 2.78% | ||||||||||||
ANLLIAN Capital Ltd. | Zero Coupon | 2/5/2025 | EUR | 7,800,000 | 8,463,957 | |||||||
Freshpet, Inc.† | 3.00% | 4/1/2028 | $ | 4,400,000 | 7,751,700 | |||||||
Total | 16,215,657 | |||||||||||
Semiconductors 1.01% | ||||||||||||
ON Semiconductor Corp.† | 0.50% | 3/1/2029 | 5,791,000 | 5,872,074 | ||||||||
Software 13.44% | ||||||||||||
Akamai Technologies, Inc. | 0.125% | 5/1/2025 | 3,736,000 | 4,487,188 | ||||||||
Bill Holdings, Inc. | Zero Coupon | 4/1/2027 | 24,670,000 | 20,587,115 | ||||||||
Datadog, Inc. | 0.125% | 6/15/2025 | 5,154,000 | 7,684,614 | ||||||||
Five9, Inc. | 0.50% | 6/1/2025 | 7,894,000 | 7,403,793 | ||||||||
Five9, Inc.† | 1.00% | 3/15/2029 | 6,000,000 | 6,162,000 | ||||||||
Guidewire Software, Inc. | 1.25% | 3/15/2025 | 5,575,000 | 6,503,238 | ||||||||
HubSpot, Inc. | 0.375% | 6/1/2025 | 2,505,000 | 5,527,283 | ||||||||
MicroStrategy, Inc. | 0.75% | 12/15/2025 | 800,000 | 2,076,400 | ||||||||
MongoDB, Inc. | 0.25% | 1/15/2026 | 4,508,000 | 9,680,930 | ||||||||
RingCentral, Inc. | Zero Coupon | 3/15/2026 | 9,250,000 | 8,313,437 | ||||||||
Total | 78,425,998 | |||||||||||
Total Convertible Bonds (cost $479,985,623) | 520,833,019 |
See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND February 29, 2024
Investments | Dividend Rate |
Shares | Fair Value | |||||||||
CONVERTIBLE PREFERRED STOCKS 5.84% | ||||||||||||
Commercial Banks 3.65% | ||||||||||||
Bank of America Corp. | 7.25% | 17,954 | $ | 21,302,959 | ||||||||
Financial Services 1.92% | ||||||||||||
Apollo Global Management, Inc. | Zero Coupon | 175,125 | 11,199,244 | |||||||||
Machinery 0.27% | ||||||||||||
Chart Industries, Inc. | 6.75% | 27,471 | 1,589,620 | |||||||||
Total Convertible Preferred Stocks (cost $33,407,150) | 34,091,823 | |||||||||||
OPTIONS PURCHASED 0.23% (cost $1,331,756) | 1,314,194 | |||||||||||
Total Long-Term Investments (cost $519,560,080) | 557,869,439 | |||||||||||
Principal Amount‡ | ||||||||||||
SHORT-TERM INVESTMENTS 1.27% | ||||||||||||
REPURCHASE AGREEMENTS 1.27% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $8,687,700 of U.S. Treasury Note at 1.000% due 7/31/2028; value: $7,544,859; proceeds: $7,397,466 (cost $7,396,891) | $ | 7,396,891 | 7,396,891 | |||||||||
Total Investments in Securities 96.84% (cost $526,956,971) | 565,265,610 | |||||||||||
Other Assets and Liabilities – Net(b) 3.16% | 18,443,975 | |||||||||||
Net Assets 100.00% | $ | 583,709,585 |
EUR | Euro. | |
REITS | Real Estate Investment Trusts. | |
‡ | Principal amount in denominated in U.S dollars unless otherwise noted. | |
* | 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 February 29, 2024, the total value of Rule 144A securities was $141,713,187, which represents 24.28% of net assets. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
CONVERTIBLE FUND February 29, 2024
OTC Options Purchased at February 29, 2024:
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value | ||||||||||||
Draft King Inc. Call | Goldman Sachs | 25,000 | 5/17/2024 | $ | 55.00 | $ | 25,000 | $ | 24,688 | |||||||||
Draft King Inc. Call | UBS AG | 314,000 | 8/16/2024 | 55.00 | 314,000 | 734,006 | ||||||||||||
Spotify Call | UBS AG | 55,000 | 7/19/2024 | 300.00 | 55,000 | 555,500 | ||||||||||||
Total OTC Options Purchased | $ | 1,314,194 |
Forward Foreign Currency Exchange Contracts at February 29, 2024:
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 | 5/22/2024 | 14,546,000 | $ | 15,773,997 | $ | 15,771,960 | $2,037 | |||||||||||
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 | 5/22/2024 | 1,962,000 | $ | 2,130,436 | $ | 2,127,360 | $(3,076 | ) |
The following is a summary of the inputs used as of February 29, 2024 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 | $ | 1,629,683 | $ | – | $ | – | $ | 1,629,683 | ||||||||
Convertible Bonds | – | 520,833,019 | – | 520,833,019 | ||||||||||||
Convertible Preferred Stocks | – | 34,091,823 | – | 34,091,823 | ||||||||||||
OTC Options Purchased | – | 1,314,194 | – | 1,314,194 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 7,396,891 | – | 7,396,891 | ||||||||||||
Total | $ | 1,629,683 | $ | 563,635,927 | $ | – | $ | 565,265,610 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 2,037 | $ | – | $ | 2,037 | ||||||||
Liabilities | – | (3,076 | ) | – | (3,076 | ) | ||||||||||
Total | $ | – | $ | (1,039 | ) | $ | – | $ | (1,039 | ) |
(1) | Refer to Note 2(b) 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 Schedule of Investments. | 5 |
Schedule of Investments (unaudited)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 116.75% | ||||||||||||
ASSET-BACKED SECURITIES 16.27% | ||||||||||||
Automobiles 4.35% | ||||||||||||
Ally Auto Receivables Trust Series 2023-1 Class A3 | 5.46% | 5/15/2028 | $ | 7,970,000 | $ | 8,014,595 | ||||||
AmeriCredit Automobile Receivables Trust Series 2022-2 Class A2A | 4.20% | 12/18/2025 | 1,685,126 | 1,682,237 | ||||||||
BMW Vehicle Lease Trust Series 2023-2 Class A3 | 5.99% | 9/25/2026 | 14,790,000 | 14,919,560 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-1 Class A2 | 2.71% | 6/16/2025 | 758,483 | 757,738 | ||||||||
Citizens Auto Receivables Trust Series 2023-1 Class A3† | 5.84% | 1/18/2028 | 7,990,000 | 8,072,626 | ||||||||
Citizens Auto Receivables Trust Series 2023-2 Class A3† | 5.83% | 2/15/2028 | 15,720,000 | 15,911,498 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 655,967 | 651,547 | ||||||||
Exeter Automobile Receivables Trust Series 2023-3A Class A2 | 6.11% | 9/15/2025 | 7,065,448 | 7,070,101 | ||||||||
Exeter Automobile Receivables Trust Series 2023-3A Class D | 6.68% | 4/16/2029 | 7,080,000 | 7,179,039 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 11,117,319 | 11,040,652 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A3† | 5.01% | 8/16/2027 | 6,510,000 | 6,468,466 | ||||||||
Ford Credit Auto Owner Trust Series 2018-1 Class A† | 3.19% | 7/15/2031 | 15,365,000 | 15,071,802 | ||||||||
GLS Auto Receivables Issuer Trust Series 2023-1A Class A2† | 5.98% | 8/17/2026 | 3,973,990 | 3,976,583 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class B | 5.54% | 5/20/2027 | 7,300,000 | 7,282,658 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class F† | 7.03% | 8/15/2028 | 5,049,000 | 5,052,702 | ||||||||
Santander Drive Auto Receivables Trust 2023-2 Class C | 5.47% | 12/16/2030 | 8,825,000 | 8,797,394 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class B | 4.43% | 3/15/2027 | 7,854,000 | 7,781,851 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class B | 4.72% | 6/15/2027 | 13,900,000 | 13,781,643 | ||||||||
Santander Drive Auto Receivables Trust Series 2024-1 Class A3 | 5.25% | 4/17/2028 | 12,735,000 | 12,736,156 | ||||||||
Westlake Automobile Receivables Trust Series 2020-3A Class E† | 3.34% | 6/15/2026 | 3,980,000 | 3,929,475 |
6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class A3† | 5.21% | 1/18/2028 | $ | 8,310,000 | $ | 8,285,366 | ||||||
Total | 168,463,689 | |||||||||||
Credit Card 2.40% | ||||||||||||
Capital One Multi-Asset Execution Trust Series 2005-B3 Class B3 | 6.126% (3 mo. USD Term SOFR + 0.81%) | # | 5/15/2028 | 7,818,000 | 7,779,704 | |||||||
Capital One Multi-Asset Execution Trust Series 2022-A1 Class A1 | 2.80% | 3/15/2027 | 38,640,000 | 37,696,577 | ||||||||
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A | 3.49% | 5/15/2027 | 29,855,000 | 29,254,601 | ||||||||
Continental Finance Credit Card ABS Master Trust Series 2020-1A Class A† | 2.24% | 12/15/2028 | 7,046,945 | 6,955,425 | ||||||||
World Financial Network Credit Card Master Trust Series 2023-A Class A | 5.02% | 3/15/2030 | 11,265,000 | 11,199,372 | ||||||||
Total | 92,885,679 | |||||||||||
Home Equity 0.13% | ||||||||||||
Towd Point Mortgage Trust Series 2024-CES1 Class A1A† | 5.848% | #(a) | 1/25/2064 | 4,807,214 | 4,836,456 | |||||||
Other 9.11% | ||||||||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A† | 6.836% (1 mo. USD Term SOFR + 1.51%) | # | 1/15/2037 | 7,585,590 | 7,538,180 | |||||||
Affirm Asset Securitization Trust Series 2022-A Class A† | 4.30% | 5/17/2027 | 9,545,000 | 9,473,865 | ||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 9,415,000 | 9,475,489 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 4,490,000 | 4,557,460 | ||||||||
Affirm Asset Securitization Trust Series 2024-A Class A† | 5.61% | 2/15/2029 | 2,885,000 | 2,881,717 | ||||||||
Apidos CLO XII Series 2013-12A Class BR† | 6.976% (3 mo. USD Term SOFR + 1.66%) | # | 4/15/2031 | 4,490,000 | 4,476,248 | |||||||
Apidos CLO XXIV Series 2016-24A Class A1AL† | 6.529% (3 mo. USD Term SOFR + 1.21%) | # | 10/20/2030 | 5,952,411 | 5,954,792 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.532% (1 mo. USD Term SOFR + 1.21%) | # | 5/15/2036 | 6,225,880 | 6,209,303 |
See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4 Class A† | 6.782% (1 mo. USD Term SOFR + 1.46%) | # | 11/15/2036 | $ | 6,181,500 | $ | 6,163,153 | |||||
Avant Loans Funding Trust Series 2022-REV1 Class A† | 6.54% | 9/15/2031 | 9,855,000 | 9,848,211 | ||||||||
Bain Capital Credit CLO Ltd. Series 2019-2A Class AR† | 6.678% (3 mo. USD Term SOFR + 1.36%) | # | 10/17/2032 | 4,800,000 | 4,802,880 | |||||||
Bain Capital Credit CLO Ltd. Series 2023-4A Class C† | 8.323% (3 mo. USD Term SOFR + 2.90%) | # | 10/21/2036 | 4,090,000 | 4,117,498 | |||||||
Barings CLO Ltd. Series 2019-3A Class A1R† | 6.649% (3 mo. USD Term SOFR + 1.33%) | # | 4/20/2031 | 2,220,000 | 2,222,775 | |||||||
Barings CLO Ltd. Series 2020-4A Class B† | 7.129% (3 mo. USD Term SOFR + 1.81%) | # | 1/20/2032 | 4,560,000 | 4,569,721 | |||||||
Benefit Street Partners CLO XXXIII Ltd. Series 2023-33A Class B† | 7.612% (3 mo. USD Term SOFR + 2.30%) | # | 1/25/2036 | 6,370,000 | 6,387,268 | |||||||
BlueMountain CLO XXXI Ltd. Series 2021-31A Class A1† | 6.721% (3 mo. USD Term SOFR + 1.41%) | # | 4/19/2034 | 4,980,000 | 4,973,028 | |||||||
Bristol Park CLO Ltd. Series 2016-1A Class CR† | 7.526% (3 mo. USD Term SOFR + 2.21%) | # | 4/15/2029 | 6,460,000 | 6,476,636 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2012-3A Class A1A2† | 6.756% (3 mo. USD Term SOFR + 1.44%) | # | 1/14/2032 | 3,549,386 | 3,551,870 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-2R Class A1† | 6.619% (3 mo. USD Term SOFR + 1.31%) | # | 5/15/2031 | 3,702,874 | 3,705,095 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-5A Class A1RR† | 6.716% (3 mo. USD Term SOFR + 1.40%) | # | 7/15/2031 | 7,489,196 | 7,490,694 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2031 | 2,887,449 | 2,889,181 | |||||||
CIFC Funding III Ltd. Series 2014-3A Class A1R2† | 6.779% (3 mo. USD Term SOFR + 1.46%) | # | 10/22/2031 | 3,740,982 | 3,754,586 | |||||||
CIFC Funding Ltd. Series 2024-1A Class A†(b) | 5.46% (3 mo. USD Term SOFR + 1.50%) | # | 4/18/2037 | 12,750,000 | 12,745,094 |
8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Dell Equipment Finance Trust Series 2023-2 Class A2† | 5.84% | 1/22/2029 | $ | 8,315,000 | $ | 8,326,259 | ||||||
Dryden 113 CLO Ltd. Series 2022-113A Class BR† | 7.666% (3 mo. USD Term SOFR + 2.25%) | # | 10/20/2035 | 6,130,000 | 6,166,226 | |||||||
Dryden 61 CLO Ltd. Series 2018-61A Class A1R† | 6.568% (3 mo. USD Term SOFR + 1.25%) | # | 1/17/2032 | 3,710,000 | 3,714,638 | |||||||
Eaton Vance CLO Ltd. Series 2013-1A Class A13R† | 6.826% (3 mo. USD Term SOFR + 1.51%) | # | 1/15/2034 | 4,198,000 | 4,197,160 | |||||||
Elmwood CLO 16 Ltd. Series 2022-3A Class AR†(b) | 5.46% (3 mo. USD Term SOFR + 1.53%) | # | 4/20/2037 | 11,750,000 | 11,765,134 | |||||||
Elmwood CLO Ltd. Series 2023-3A Class B† | 7.694% (3 mo. USD Term SOFR + 2.35%) | # | 12/11/2033 | 6,310,000 | 6,351,643 | |||||||
Elmwood CLO VIII Ltd. Series 2021-1A Class A1† | 6.819% (3 mo. USD Term SOFR + 1.50%) | # | 1/20/2034 | 3,240,000 | 3,240,324 | |||||||
Generate CLO 11 Ltd. Series 2023-11A Class B† | 8.068% (3 mo. USD Term SOFR + 2.75%) | # | 4/20/2035 | 2,625,000 | 2,650,345 | |||||||
HPEFS Equipment Trust Series 2023-2A Class A2† | 6.04% | 1/21/2031 | 10,745,000 | 10,796,228 | ||||||||
KKR CLO 29 Ltd. Series 29A Class A† | 6.776% (3 mo. USD Term SOFR + 1.46%) | # | 1/15/2032 | 2,700,000 | 2,708,207 | |||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 5,317,000 | 4,934,330 | ||||||||
Lendmark Funding Trust Series 2021-1A Class C† | 3.41% | 11/20/2031 | 2,095,000 | 1,815,531 | ||||||||
Lendmark Funding Trust Series 2021-2A Class B† | 2.37% | 4/20/2032 | 6,465,000 | 5,508,064 | ||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.874% (30 day USD SOFR Average + 1.55%) | # | 1/17/2037 | 3,799,764 | 3,766,516 | |||||||
Madison Park Funding XXI Ltd. Series 2016-21A Class AARR† | 6.656% (3 mo. USD Term SOFR + 1.34%) | # | 10/15/2032 | 3,000,000 | 3,002,700 | |||||||
Madison Park Funding XXXII Ltd. Series 2018-32A Class A1R† | 6.579% (3 mo. USD Term SOFR + 1.26%) | # | 1/22/2031 | 3,180,000 | 3,188,233 |
See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Madison Park Funding XXXVII Ltd. Series 2019-37A Class BR† | 7.226% (3 mo. USD Term SOFR + 1.91%) | # | 7/15/2033 | $ | 2,250,000 | $ | 2,256,803 | |||||
Magnetite XXXIX Ltd. Series 2023-39A Class B† | 7.535% (3 mo. USD Term SOFR + 2.15%) | # | 10/25/2033 | 9,250,000 | 9,308,072 | |||||||
Marble Point CLO XVII Ltd. Series 2020-1A Class A† | 6.879% (3 mo. USD Term SOFR + 1.56%) | # | 4/20/2033 | 2,574,058 | 2,569,167 | |||||||
Mariner Finance Issuance Trust Series 2021-AA Class D† | 3.83% | 3/20/2036 | 2,420,000 | 2,125,224 | ||||||||
Marlette Funding Trust Series 2020-2A Class D† | 4.65% | 9/16/2030 | 1,493,991 | 1,490,548 | ||||||||
Marlette Funding Trust Series 2022-3 Class B† | 5.95% | 11/15/2032 | 5,844,000 | 5,837,892 | ||||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 1,819,250 | 1,810,497 | ||||||||
MF1 LLC Series 2022-FL9 Class A† | 7.466% (1 mo. USD Term SOFR + 2.15%) | # | 6/19/2037 | 4,295,000 | 4,298,951 | |||||||
Newark BSL CLO 1 Ltd. Series 2016-1A Class A1R† | 6.681% (3 mo. USD Term SOFR + 1.36%) | # | 12/21/2029 | 4,367,658 | 4,377,115 | |||||||
OCP CLO Ltd. Series 2019-17A Class A1R† | 6.619% (3 mo. USD Term SOFR + 1.30%) | # | 7/20/2032 | 10,680,000 | 10,671,456 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.526% (3 mo. USD Term SOFR + 1.21%) | # | 7/15/2029 | 1,720,244 | 1,725,294 | |||||||
Octagon Investment Partners XVI Ltd. Series 2013-1A Class A1R† | 6.598% (3 mo. USD Term SOFR + 1.28%) | # | 7/17/2030 | 3,083,476 | 3,087,485 | |||||||
OHA Credit Funding 17 Ltd. Series 2024-17A Class C† | 7.613% (3 mo. USD Term SOFR + 2.30%) | # | 4/20/2037 | 7,350,000 | 7,343,034 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 1,518,498 | 1,510,579 | ||||||||
OneMain Financial Issuance Trust Series 2021-3A Class A† | 5.94% | 5/15/2034 | 8,000,000 | 8,022,685 | ||||||||
Palmer Square Loan Funding Ltd. Series 2021-1A Class A1† | 6.479% (3 mo. USD Term SOFR + 1.16%) | # | 4/20/2029 | 2,232,951 | 2,233,621 | |||||||
Post CLO Ltd. Series 2023-1A Class B1† | 7.818% (3 mo. USD Term SOFR + 2.50%) | # | 4/20/2036 | 3,085,000 | 3,117,798 | |||||||
Post Road Equipment Finance Series 2021-1 Class A2† | 4.88% | 11/15/2028 | 6,755,000 | 6,681,572 |
10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Rad CLO 23 Ltd. Series 2024-23A Class B1†(b) | 5.75% (3 mo. USD Term SOFR + 2.05%) | # | 4/20/2037 | $ | 4,750,000 | $ | 4,750,000 | |||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.959% (3 mo. USD Term SOFR + 1.64%) | # | 1/20/2033 | 4,650,000 | 4,666,656 | |||||||
Ready Capital Mortgage Financing LLC Series 2023-FL12 Class A† | 7.656% (1 mo. USD Term SOFR + 2.34%) | # | 5/25/2038 | 5,859,408 | 5,828,598 | |||||||
Regatta XXVII Funding Ltd. Series 2024-1A Class B†(b) | 5.69% (3 mo. USD Term SOFR + 2.00%) | # | 4/26/2037 | 6,070,000 | 6,070,000 | |||||||
SCF Equipment Leasing LLC Series 2021-1A Class C† | 1.54% | 10/21/2030 | 4,570,000 | 4,312,106 | ||||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 6,299,213 | 5,922,015 | ||||||||
Sunrun Demeter Issuer LLC Series 2021-2A Class A† | 2.27% | 1/30/2057 | 1,895,518 | 1,604,485 | ||||||||
Texas Debt Capital CLO Ltd. Series 2024-1A Class B†(b) | 7.263% (3 mo. USD Term SOFR + 1.95%) | # | 4/22/2037 | 9,520,000 | 9,520,000 | |||||||
Upstart Securitization Trust Series 2021-2 Class B† | 1.75% | 6/20/2031 | 270,615 | 270,012 | ||||||||
Valley Stream Park CLO Ltd. Series 2022-1A Class BR† | 7.568% (3 mo. USD Term SOFR + 2.25%) | # | 10/20/2034 | 5,900,000 | 5,937,452 | |||||||
Voya CLO Ltd. Series 2018-1A Class A2† | 6.871% (3 mo. USD Term SOFR + 1.56%) | # | 4/19/2031 | 4,090,000 | 4,096,135 | |||||||
Voya CLO Ltd. Series 2018-2A Class A1† | 6.576% (3 mo. USD Term SOFR + 1.26%) | # | 7/15/2031 | 4,736,087 | 4,740,350 | |||||||
Total | 352,581,884 | |||||||||||
Rec Vehicle Loan 0.28% | ||||||||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 1,560,244 | 1,553,065 | ||||||||
Octane Receivables Trust Series 2023-3A Class A2† | 6.44% | 3/20/2029 | 9,125,000 | 9,185,687 | ||||||||
Total | 10,738,752 | |||||||||||
Student Loan 0.00% | ||||||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 6.035% (1 mo. USD Term SOFR + 0.71%) | # | 1/25/2046 | 36,257 | 36,237 | |||||||
Total Asset-Backed Securities (cost $629,068,459) | 629,542,697 |
See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
CORPORATE BONDS 38.15% | ||||||||||||
Aerospace/Defense 0.38% | ||||||||||||
HEICO Corp. | 5.35% | 8/1/2033 | $ | 7,600,000 | $ | 7,566,793 | ||||||
L3Harris Technologies, Inc. | 5.60% | 7/31/2053 | 3,002,000 | 3,029,767 | ||||||||
RTX Corp. | 6.40% | 3/15/2054 | 3,840,000 | 4,253,848 | ||||||||
Total | 14,850,408 | |||||||||||
Agriculture 1.43% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 7,386,000 | 7,299,919 | ||||||||
BAT Capital Corp. | 5.834% | 2/20/2031 | 3,658,000 | 3,646,844 | ||||||||
BAT Capital Corp. | 6.343% | 8/2/2030 | 17,938,000 | 18,534,695 | ||||||||
Cargill, Inc. † | 4.00% | 6/22/2032 | 5,206,000 | 4,808,132 | ||||||||
Philip Morris International, Inc. | 5.625% | 11/17/2029 | 6,254,000 | 6,406,834 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 9,194,000 | 9,055,508 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 4.90% | 4/21/2027 | 5,719,000 | 5,600,797 | ||||||||
Total | 55,352,729 | |||||||||||
Airlines 0.07% | ||||||||||||
British Airways Pass-Through Trust Class A (United Kingdom)†(c) | 4.25% | 5/15/2034 | 2,949,738 | 2,748,851 | ||||||||
Auto Manufacturers 1.18% | ||||||||||||
American Honda Finance Corp. | 4.90% | 1/10/2034 | 9,366,000 | 9,132,937 | ||||||||
Cummins, Inc. | 5.45% | 2/20/2054 | 7,716,000 | 7,764,450 | ||||||||
Hyundai Capital America† | 1.80% | 10/15/2025 | 18,735,000 | 17,667,291 | ||||||||
Hyundai Capital America† | 5.80% | 6/26/2025 | 3,324,000 | 3,337,414 | ||||||||
Toyota Motor Credit Corp. | 4.80% | 1/5/2034 | 7,834,000 | 7,644,381 | ||||||||
Total | 45,546,473 | |||||||||||
Banks 13.54% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 3.324% (5 yr. CMT + 1.90%) | # | 3/13/2037 | 4,000,000 | 3,184,865 | |||||||
Bank of America Corp. | 1.658% (SOFR + 0.91%) | # | 3/11/2027 | 4,902,000 | 4,549,702 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32%) | # | 4/22/2032 | 4,436,000 | 3,716,582 | |||||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23%) | # | 3/15/2025 | 13,471,000 | 13,460,358 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63%) | # | 7/21/2028 | 14,259,000 | 13,521,999 | |||||||
Bank of America Corp. | 3.97% (3 mo. USD Term SOFR + 1.33%) | # | 3/5/2029 | 18,874,000 | 17,956,753 |
12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | $ | 830,000 | $ | 818,123 | ||||||
Bank of New York Mellon Corp. | 4.596% (SOFR + 1.76%) | # | 7/26/2030 | 4,099,000 | 4,004,924 | |||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61%) | # | 4/26/2034 | 4,377,000 | 4,267,321 | |||||||
Barclays PLC (United Kingdom)(c) | 6.496% (SOFR + 1.88%) | # | 9/13/2027 | 18,000,000 | 18,320,373 | |||||||
BNP Paribas SA (France)†(c) | 4.375% (5 yr. USD Swap + 1.48%) | # | 3/1/2033 | 4,175,000 | 3,923,909 | |||||||
BNP Paribas SA (France)†(c) | 5.738% (SOFR + 1.88%) | # | 2/20/2035 | 7,356,000 | 7,287,619 | |||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15%) | # | 1/29/2031 | 11,156,000 | 9,575,328 | |||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16%) | # | 4/24/2025 | 4,185,000 | 4,169,250 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82%) | # | 1/10/2028 | 16,090,000 | 15,469,407 | |||||||
Citigroup, Inc. | 3.98% (3 mo. USD Term SOFR + 1.60%) | # | 3/20/2030 | 19,226,000 | 18,028,848 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37%) | # | 5/24/2025 | 6,000,000 | 5,972,644 | |||||||
Citigroup, Inc. | 5.827% (SOFR + 2.06%) | # | 2/13/2035 | 9,659,000 | 9,453,592 | |||||||
Danske Bank AS (Denmark)†(c) | 3.773% (1 yr. CMT + 1.45%) | # | 3/28/2025 | 7,332,000 | 7,317,971 | |||||||
Danske Bank AS (Denmark)†(c) | 4.298% (1 yr. CMT + 1.75%) | # | 4/1/2028 | 20,231,000 | 19,490,437 | |||||||
Danske Bank AS (Denmark)†(c) | 6.259% (1 yr. CMT + 1.18%) | # | 9/22/2026 | 14,803,000 | 14,959,658 | |||||||
Danske Bank AS (Denmark)†(c) | 6.466% (1 yr. CMT + 2.10%) | # | 1/9/2026 | 7,559,000 | 7,589,969 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25%) | # | 7/21/2032 | 15,798,000 | 12,860,375 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46%) | # | 9/29/2025 | 8,762,000 | 8,641,129 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 3.803% (3 mo. USD Term SOFR + 1.47%) | # | 3/11/2025 | 10,000,000 | 9,995,015 | |||||||
JPMorgan Chase & Co. | 2.58% (3 mo. USD Term SOFR + 1.25%) | # | 4/22/2032 | 3,956,000 | 3,311,338 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26%) | # | 1/25/2033 | 17,041,000 | 14,397,604 |
See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
JPMorgan Chase & Co. | 3.782% (3 mo. USD Term SOFR + 1.60%) | # | 2/1/2028 | $ | 24,978,000 | $ | 23,990,437 | |||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98%) | # | 6/14/2025 | 10,215,000 | 10,153,272 | |||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85%) | # | 1/27/2034 | 4,710,000 | 4,326,729 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 3.052% (5 yr. CMT + 1.70%) | # | 3/3/2036 | 4,333,000 | 3,531,368 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% (3 mo. USD LIBOR + 1.73%) | # | 3/27/2029 | 7,544,000 | 7,294,710 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 5.541% (1 yr. CMT + 1.50%) | # | 4/17/2026 | 8,785,000 | 8,780,918 | |||||||
Morgan Stanley | 4.21% (SOFR + 1.61%) | # | 4/20/2028 | 3,306,000 | 3,200,596 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.89%) | # | 1/23/2030 | 15,183,000 | 14,582,823 | |||||||
Morgan Stanley | 5.297% (SOFR + 2.62%) | # | 4/20/2037 | 5,246,000 | 5,027,686 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.808% (1 yr. CMT + 1.95%) | # | 9/13/2029 | 18,443,000 | 18,639,381 | |||||||
NatWest Group PLC (United Kingdom)(c) | 7.472% (1 yr. CMT + 2.85%) | # | 11/10/2026 | 8,429,000 | 8,663,244 | |||||||
PNC Financial Services Group, Inc. | 5.676% (SOFR + 1.90%) | # | 1/22/2035 | 3,804,000 | 3,816,411 | |||||||
Royal Bank of Canada (Canada)(c) | 6.00% | 11/1/2027 | 6,626,000 | 6,825,175 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73%) | # | 8/4/2033 | 4,756,000 | 4,401,241 | |||||||
Truist Financial Corp. | 5.711% (SOFR + 1.92%) | # | 1/24/2035 | 5,742,000 | 5,688,861 | |||||||
Truist Financial Corp. | 5.867% (SOFR + 2.36%) | # | 6/8/2034 | 4,175,000 | 4,176,655 | |||||||
U.S. Bancorp | 4.839% (SOFR + 1.60%) | # | 2/1/2034 | 6,200,000 | 5,837,661 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11%) | # | 7/22/2033 | 6,556,000 | 6,129,912 | |||||||
U.S. Bancorp | 5.678% (SOFR + 1.86%) | # | 1/23/2035 | 7,833,000 | 7,819,204 | |||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 1,494,000 | 1,490,302 | ||||||||
UBS Group AG (Switzerland)†(c) | 1.364% (1 yr. CMT + 1.08%) | # | 1/30/2027 | 6,618,000 | 6,100,056 | |||||||
UBS Group AG (Switzerland)†(c) | 1.494% (1 yr. CMT + 0.85%) | # | 8/10/2027 | 8,352,000 | 7,568,644 |
14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
UBS Group AG (Switzerland)†(c) | 6.301% (1 yr. CMT + 2.00%) | # | 9/22/2034 | $ | 10,900,000 | $ | 11,275,630 | |||||
UBS Group AG (Switzerland)†(c) | 6.327% (1 yr. CMT + 1.60%) | # | 12/22/2027 | 5,626,000 | 5,740,497 | |||||||
UBS Group AG (Switzerland)†(c) | 6.442% (SOFR + 3.70%) | # | 8/11/2028 | 14,127,000 | 14,523,730 | |||||||
Wells Fargo & Co. | 2.164% (3 mo. USD Term SOFR + 1.01%) | # | 2/11/2026 | 4,084,000 | 3,951,162 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00%) | # | 4/30/2026 | 4,559,000 | 4,375,871 | |||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10%) | # | 6/2/2028 | 6,505,000 | 5,935,943 | |||||||
Wells Fargo & Co. | 2.406% (3 mo. USD Term SOFR + 1.09%) | # | 10/30/2025 | 14,708,000 | 14,392,317 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50%) | # | 3/2/2033 | 8,807,000 | 7,562,067 | |||||||
Wells Fargo & Co. | 3.584% (3 mo. USD Term SOFR + 1.57%) | # | 5/22/2028 | 14,816,000 | 14,048,611 | |||||||
Wells Fargo & Co. | 5.499% (SOFR + 1.78%) | # | 1/23/2035 | 12,474,000 | 12,396,282 | |||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 5,225,000 | 5,347,350 | ||||||||
Total | 523,839,839 | |||||||||||
Beverages 0.10% | ||||||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 4,362,000 | 3,960,632 | ||||||||
Biotechnology 0.22% | ||||||||||||
Amgen, Inc. | 5.25% | 3/2/2030 | 7,272,000 | 7,329,630 | ||||||||
Baxalta, Inc. | 4.00% | 6/23/2025 | 1,114,000 | 1,094,547 | ||||||||
Total | 8,424,177 | |||||||||||
Building Materials 0.07% | ||||||||||||
Carrier Global Corp. | 6.20% | 3/15/2054 | 2,422,000 | 2,645,565 | ||||||||
Chemicals 0.24% | ||||||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 10,121,000 | 9,436,543 | ||||||||
Commercial Services 0.21% | ||||||||||||
ERAC USA Finance LLC† | 5.00% | 2/15/2029 | 8,058,000 | 8,010,547 | ||||||||
Diversified Financial Services 1.27% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 6.50% | 7/15/2025 | 10,349,000 | 10,448,840 | ||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 12,633,000 | 11,245,556 |
See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | $ | 4,639,000 | $ | 4,314,260 | ||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 2.125% | 2/21/2026 | 19,630,000 | 18,226,416 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 4,435,000 | 4,259,581 | ||||||||
Neuberger Berman Group LLC/Neuberger | ||||||||||||
Berman Finance Corp.† | 4.875% | 4/15/2045 | 648,000 | 522,298 | ||||||||
Total | 49,016,951 | |||||||||||
Electric 3.86% | ||||||||||||
AES Corp.† | 3.95% | 7/15/2030 | 2,423,000 | 2,208,668 | ||||||||
Alfa Desarrollo SpA (Chile)†(c) | 4.55% | 9/27/2051 | 2,675,205 | 1,990,686 | ||||||||
American Electric Power Co., Inc. | 5.699% | 8/15/2025 | 10,422,000 | 10,439,172 | ||||||||
American Transmission Systems, Inc.† | 2.65% | 1/15/2032 | 10,360,000 | 8,513,966 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 4,620,000 | 4,768,840 | ||||||||
DTE Energy Co. | 4.22% | (d) | 11/1/2024 | 8,956,000 | 8,860,602 | |||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 5,676,000 | 5,330,962 | ||||||||
Duke Energy Indiana LLC(b) | 5.25% | 3/1/2034 | 8,216,000 | 8,199,905 | ||||||||
Duke Energy Indiana LLC | 5.40% | 4/1/2053 | 2,849,000 | 2,752,386 | ||||||||
Electricite de France SA (France)†(c) | 6.25% | 5/23/2033 | 8,289,000 | 8,663,441 | ||||||||
Entergy Corp. | 0.90% | 9/15/2025 | 8,007,000 | 7,487,543 | ||||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 12,000,000 | 11,061,632 | ||||||||
Kentucky Utilities Co. | 5.45% | 4/15/2033 | 8,800,000 | 8,891,362 | ||||||||
Liberty Utilities Co.† | 5.869% | 1/31/2034 | 12,909,000 | 12,980,133 | ||||||||
MidAmerican Energy Co. | 5.85% | 9/15/2054 | 4,379,000 | 4,619,439 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 4.625% | 8/10/2030 | 7,520,222 | 7,120,409 | ||||||||
Minejesa Capital BV (Netherlands)(c) | 5.625% | 8/10/2037 | 728,000 | 637,830 | ||||||||
National Grid PLC (United Kingdom)(c) | 5.809% | 6/12/2033 | 8,589,000 | 8,685,285 | ||||||||
NextEra Energy Capital Holdings, Inc. | 6.373% (SOFR + 1.02%) | # | 3/21/2024 | 6,588,000 | 6,590,551 | |||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 3,451,000 | 3,446,320 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 2,419,000 | 2,984,303 | ||||||||
Oncor Electric Delivery Co. LLC | 5.65% | 11/15/2033 | 6,266,000 | 6,477,397 | ||||||||
Southern Co. | 4.475% | (d) | 8/1/2024 | 6,526,000 | 6,481,254 | |||||||
Total | 149,192,086 | |||||||||||
Engineering & Construction 0.17% | ||||||||||||
Cellnex Finance Co. SA (Spain)†(c) | 3.875% | 7/7/2041 | 8,303,000 | 6,466,709 | ||||||||
Entertainment 0.12% | ||||||||||||
Warnermedia Holdings, Inc. | 3.788% | 3/15/2025 | 4,629,000 | 4,538,653 |
16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Environmental Control 0.43% | ||||||||||||
Veralto Corp.† | 5.45% | 9/18/2033 | $ | 2,773,000 | $ | 2,787,168 | ||||||
Veralto Corp.† | 5.50% | 9/18/2026 | 13,858,000 | 13,923,189 | ||||||||
Total | 16,710,357 | |||||||||||
Food 0.06% | ||||||||||||
J M Smucker Co. | 6.50% | 11/15/2053 | 2,217,000 | 2,412,135 | ||||||||
Gas 1.18% | ||||||||||||
CenterPoint Energy Resources Corp. | 1.75% | 10/1/2030 | 9,687,000 | 7,876,786 | ||||||||
East Ohio Gas Co.† | 1.30% | 6/15/2025 | 16,815,000 | 15,950,669 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 13,000,000 | 12,340,361 | ||||||||
NiSource, Inc. | 2.95% | 9/1/2029 | 6,184,000 | 5,562,035 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 4,256,000 | 3,894,032 | ||||||||
Total | 45,623,883 | |||||||||||
Health Care-Products 0.79% | ||||||||||||
GE HealthCare Technologies, Inc. | 5.65% | 11/15/2027 | 10,942,000 | 11,118,347 | ||||||||
Revvity, Inc. | 0.85% | 9/15/2024 | 4,974,000 | 4,845,040 | ||||||||
Solventum Corp.† | 5.45% | 3/13/2031 | 7,783,000 | 7,719,378 | ||||||||
Solventum Corp.† | 5.60% | 3/23/2034 | 7,036,000 | 6,994,295 | ||||||||
Total | 30,677,060 | |||||||||||
Health Care-Services 1.29% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 21,189,000 | 18,693,548 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 15,506,000 | 13,692,146 | ||||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 7,831,000 | 6,651,951 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 914,000 | 939,823 | ||||||||
Humana, Inc. | 5.95% | 3/15/2034 | 9,711,000 | 10,044,879 | ||||||||
Total | 50,022,347 | |||||||||||
Insurance 0.80% | ||||||||||||
Aon North America, Inc. | 5.30% | 3/1/2031 | 9,091,000 | 9,084,954 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 1,595,000 | 1,298,528 | ||||||||
F&G Global Funding† | 2.30% | 4/11/2027 | 4,996,000 | 4,477,598 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 7,677,000 | 7,520,091 | ||||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 1,536,000 | 1,510,569 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 7,387,000 | 7,040,862 | ||||||||
Total | 30,932,602 |
See Notes to Schedule of Investments. | 17 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Internet 0.59% | ||||||||||||
Amazon.com, Inc. | 4.70% | 12/1/2032 | $ | 7,687,000 | $ | 7,650,185 | ||||||
Netflix, Inc. | 5.875% | 11/15/2028 | 5,494,000 | 5,687,991 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 2,765,000 | 2,936,788 | ||||||||
Prosus NV (Netherlands)†(c) | 3.257% | 1/19/2027 | 6,940,000 | 6,390,219 | ||||||||
Total | 22,665,183 | |||||||||||
Machinery-Diversified 0.27% | ||||||||||||
nVent Finance SARL (Luxembourg)(c) | 4.55% | 4/15/2028 | 10,940,000 | 10,566,333 | ||||||||
Media 0.27% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.908% | 7/23/2025 | 5,000,000 | 4,932,154 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 6,246,000 | 5,434,212 | ||||||||
Total | 10,366,366 | |||||||||||
Multi-National 0.87% | ||||||||||||
Inter-American Investment Corp. | 4.25% | 2/14/2029 | 34,125,000 | 33,745,170 | ||||||||
Oil & Gas 2.03% | ||||||||||||
Apache Corp. | 4.75% | 4/15/2043 | 13,200,000 | 10,148,149 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 6,826,000 | 5,543,638 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 14,000,000 | 13,732,426 | ||||||||
Coterra Energy, Inc.(b) | 5.60% | 3/15/2034 | 9,513,000 | 9,513,785 | ||||||||
Eni SpA (Italy)†(c) | 5.70% | 10/1/2040 | 6,000,000 | 5,647,445 | ||||||||
EQT Corp. | 5.75% | 2/1/2034 | 5,707,000 | 5,617,034 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 16,000,000 | 16,956,224 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 4,500,000 | 4,741,357 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 6,570,000 | 6,737,229 | ||||||||
Total | 78,637,287 | |||||||||||
Oil & Gas Services 0.15% | ||||||||||||
NOV, Inc. | 3.60% | 12/1/2029 | 6,400,000 | 5,848,248 | ||||||||
Pharmaceuticals 1.10% | ||||||||||||
AbbVie, Inc. | 4.95% | 3/15/2031 | 3,428,000 | 3,429,697 | ||||||||
Bayer U.S. Finance LLC† | 6.25% | 1/21/2029 | 10,000,000 | 10,079,628 | ||||||||
Bayer U.S. Finance LLC† | 6.375% | 11/21/2030 | 5,708,000 | 5,754,006 | ||||||||
Bristol-Myers Squibb Co. | 5.20% | 2/22/2034 | 9,622,000 | 9,703,985 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 3,804,000 | 3,263,524 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 9,385,000 | 8,552,771 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 1,945,000 | 1,736,446 | ||||||||
Total | 42,520,057 |
18 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines 1.23% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(c) | 4.60% | 11/2/2047 | $ | 6,831,000 | $ | 6,090,328 | ||||||
Cheniere Energy, Inc. | 4.625% | 10/15/2028 | 6,420,000 | 6,168,018 | ||||||||
Columbia Pipeline Group, Inc. | 4.50% | 6/1/2025 | 4,090,000 | 4,031,942 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | 7,044,000 | 6,281,890 | ||||||||
EIG Pearl Holdings SARL (Luxembourg)†(c) | 3.545% | 8/31/2036 | 9,268,000 | 7,896,336 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(c) | 3.25% | 9/30/2040 | 9,847,000 | 7,466,246 | ||||||||
Kinder Morgan Energy Partners LP | 4.25% | 9/1/2024 | 4,040,000 | 4,010,221 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 4,741,000 | 4,050,279 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 1,473,000 | 1,471,315 | ||||||||
Total | 47,466,575 | |||||||||||
REITS 1.57% | ||||||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 1,480,000 | 1,446,667 | ||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 19,645,000 | 18,196,104 | ||||||||
American Tower Corp. | 5.55% | 7/15/2033 | 3,255,000 | 3,254,322 | ||||||||
Crown Castle, Inc. | 2.10% | 4/1/2031 | 4,000,000 | 3,213,122 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 23,168,000 | 20,469,727 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 7,565,000 | 7,049,370 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 7,277,000 | 7,277,265 | ||||||||
Total | 60,906,577 | |||||||||||
Retail 0.18% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(c) | 5.617% | 2/12/2054 | 3,932,000 | 3,922,178 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 3,085,000 | 3,142,678 | ||||||||
Total | 7,064,856 | |||||||||||
Semiconductors 0.46% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 3,716,000 | 3,414,211 | ||||||||
Intel Corp. | 5.00% | 2/21/2031 | 5,244,000 | 5,212,603 | ||||||||
Micron Technology, Inc. | 5.30% | 1/15/2031 | 4,166,000 | 4,125,203 | ||||||||
SK Hynix, Inc. (South Korea)†(c) | 5.50% | 1/16/2029 | 5,007,000 | 5,001,251 | ||||||||
Total | 17,753,268 | |||||||||||
Software 0.68% | ||||||||||||
Oracle Corp. | 2.875% | 3/25/2031 | 4,450,000 | 3,839,306 | ||||||||
Oracle Corp. | 5.375% | 7/15/2040 | 627,000 | 600,618 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 3,000,000 | 3,088,188 | ||||||||
Oracle Corp. | 6.25% | 11/9/2032 | 7,515,000 | 7,940,869 |
See Notes to Schedule of Investments. | 19 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Software (continued) | ||||||||||||
Oracle Corp. | 6.90% | 11/9/2052 | $ | 7,400,000 | $ | 8,344,911 | ||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 3,124,000 | 2,507,025 | ||||||||
Total | 26,320,917 | |||||||||||
Telecommunications 1.34% | ||||||||||||
AT&T, Inc. | 3.50% | 9/15/2053 | 12,503,000 | 8,602,722 | ||||||||
AT&T, Inc. | 5.40% | 2/15/2034 | 9,337,000 | 9,352,897 | ||||||||
Sprint Capital Corp. | 8.75% | 3/15/2032 | 21,282,000 | 25,719,893 | ||||||||
T-Mobile USA, Inc. | 3.50% | 4/15/2025 | 2,727,000 | 2,666,514 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 5,820,000 | 5,405,287 | ||||||||
Total | 51,747,313 | |||||||||||
Total Corporate Bonds (cost $1,497,878,278) | 1,476,016,697 | |||||||||||
FLOATING RATE LOANS(e) 2.05% | ||||||||||||
Containers & Packaging 0.34% | ||||||||||||
Berry Global, Inc. 2023 Term Loan AA | – | (f) | 7/1/2029 | 13,300,000 | 13,284,772 | |||||||
Diversified Financial Services 0.35% | ||||||||||||
Avolon TLB Borrower 1 (U.S.) LLC 2023 Term Loan B6 | – | (f) | 6/22/2028 | 13,300,000 | 13,314,696 | |||||||
Entertainment 0.47% | ||||||||||||
Flutter Financing BV Term Loan B (Netherlands)(c) | 7.698% (3 mo. USD Term SOFR + 2.25%) | 11/25/2030 | 18,172,456 | 18,128,933 | ||||||||
Lodging 0.33% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B3 | 7.171% (1 mo. USD Term SOFR + 1.75%) | 6/21/2028 | 12,596,033 | 12,612,911 | ||||||||
Media 0.56% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B2 | 7.076% (1 mo. USD Term SOFR + 1.75%) | 2/1/2027 | 10,829,659 | 10,805,130 | ||||||||
Charter Communications Operating LLC 2023 Term Loan B4 | 7.329% (3 mo. USD Term SOFR + 2.00%) | 12/7/2030 | 11,189,676 | 11,021,831 | ||||||||
Total | 21,826,961 | |||||||||||
Total Floating Rate Loans (cost $79,384,594) | 79,168,273 |
20 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS(c) 3.29% | ||||||||||||
Canada 0.81% | ||||||||||||
CDP Financial, Inc.† | 4.25% | 7/25/2028 | $ | 31,858,000 | $ | 31,374,862 | ||||||
Japan 1.79% | ||||||||||||
Development Bank of Japan, Inc.† | 1.25% | 10/20/2026 | 12,094,000 | 11,019,569 | ||||||||
Japan Bank for International Cooperation | 2.875% | 4/14/2025 | 38,708,000 | 37,710,026 | ||||||||
Japan International Cooperation Agency | 2.125% | 10/20/2026 | 21,912,000 | 20,428,072 | ||||||||
Total | 69,157,667 | |||||||||||
Mexico 0.23% | ||||||||||||
Mexico Government International Bonds | 4.875% | 5/19/2033 | 9,480,000 | 8,933,400 | ||||||||
Sweden 0.46% | ||||||||||||
Svensk Exportkredit AB | 4.25% | 2/1/2029 | 18,122,000 | 17,955,705 | ||||||||
Total Foreign Government Obligations (cost $128,043,477) | 127,421,634 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.51% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 145 Class A2 | 2.58% | 5/25/2032 | 13,878,000 | 11,848,615 | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series G07 Class A2 | 3.123% | #(g) | 8/25/2032 | 8,934,000 | 7,931,402 | |||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $19,982,381) | 19,780,017 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 24.07% | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.00% | 3/1/2051 | 12,815,339 | 10,172,247 | ||||||||
Federal Home Loan Mortgage Corp. | 2.50% | 11/1/2050 - 5/1/2052 | 12,166,737 | 10,137,403 | ||||||||
Federal Home Loan Mortgage Corp. | 3.00% | 10/1/2050 - 1/1/2052 | 21,901,612 | 18,927,650 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 2/1/2046 | 2,655,847 | 2,441,080 | ||||||||
Federal Home Loan Mortgage Corp. | 4.50% | 8/1/2052 | 7,625,419 | 7,314,854 | ||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 - 8/1/2052 | 16,125,214 | 15,817,456 | ||||||||
Federal National Mortgage Association | 2.00% | 11/1/2050 - 11/1/2051 | 42,460,063 | 33,662,198 | ||||||||
Federal National Mortgage Association | 2.50% | 8/1/2050 - 5/1/2052 | 127,937,940 | 106,917,729 | ||||||||
Federal National Mortgage Association | 3.00% | 12/1/2048 - 1/1/2051 | 18,377,556 | 16,047,657 |
See Notes to Schedule of Investments. | 21 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Association | 3.50% | 7/1/2045 - 4/1/2052 | $ | 28,540,308 | $ | 25,797,237 | ||||||
Federal National Mortgage Association | 4.00% | 5/1/2052 - 6/1/2052 | 12,277,108 | 11,481,760 | ||||||||
Federal National Mortgage Association | 5.00% | 7/1/2052 - 10/1/2052 | 20,221,768 | 19,756,584 | ||||||||
Government National Mortgage Association(h) | 2.00% | TBA | 25,680,000 | 20,928,189 | ||||||||
Government National Mortgage Association(h) | 2.50% | TBA | 37,590,000 | 31,820,304 | ||||||||
Government National Mortgage Association(h) | 3.00% | TBA | 54,491,000 | 47,802,171 | ||||||||
Government National Mortgage Association(h) | 3.50% | TBA | 29,606,000 | 26,786,807 | ||||||||
Government National Mortgage Association(h) | 4.00% | TBA | 29,404,000 | 27,373,984 | ||||||||
Government National Mortgage Association(h) | 4.50% | TBA | 28,837,000 | 27,545,712 | ||||||||
Government National Mortgage Association(h) | 5.00% | TBA | 35,101,000 | 34,290,785 | ||||||||
Government National Mortgage Association(h) | 5.50% | TBA | 43,497,000 | 43,192,861 | ||||||||
Government National Mortgage Association(h) | 6.00% | TBA | 45,729,000 | 45,919,823 | ||||||||
Government National Mortgage Association(h) | 6.50% | TBA | 26,004,000 | 26,352,828 | ||||||||
Uniform Mortgage-Backed Security(h) | 2.00% | TBA | 61,377,000 | 48,287,728 | ||||||||
Uniform Mortgage-Backed Security(h) | 2.50% | TBA | 25,013,000 | 20,578,714 | ||||||||
Uniform Mortgage-Backed Security(h) | 3.00% | TBA | 5,191,000 | 4,440,648 | ||||||||
Uniform Mortgage-Backed Security(h) | 4.50% | TBA | 10,341,000 | 9,792,889 | ||||||||
Uniform Mortgage-Backed Security(h) | 5.00% | TBA | 41,318,000 | 40,495,130 | ||||||||
Uniform Mortgage-Backed Security(h) | 5.50% | TBA | 40,823,000 | 40,776,683 | ||||||||
Uniform Mortgage-Backed Security(h) | 6.00% | TBA | 88,899,000 | 89,596,675 | ||||||||
Uniform Mortgage-Backed Security(h) | 6.50% | TBA | 47,800,000 | 48,621,087 | ||||||||
Uniform Mortgage-Backed Security(h) | 7.00% | TBA | 17,938,000 | 18,405,792 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $941,104,020) | 931,482,665 | |||||||||||
MUNICIPAL BONDS 0.09% | ||||||||||||
Natural Gas | ||||||||||||
Texas Natural Gas Securitization Finance Corp. (cost $3,619,000) | 5.102% | 4/1/2035 | 3,619,000 | 3,647,226 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 7.61% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(g) | 12/25/2059 | 118,840 | 112,914 | |||||||
Angel Oak Mortgage Trust Series 2021-3 Class A1† | 1.068% | #(g) | 5/25/2066 | 1,936,034 | 1,629,768 | |||||||
Bank Series 2022-BNK44 Class A5 | 5.745% | #(g) | 11/15/2055 | 6,500,000 | 6,792,497 | |||||||
Bank Series 2023-5YR4 Class A3 | 6.50% | 12/15/2056 | 7,695,000 | 8,084,880 | ||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.743% (1 mo. USD Term SOFR + 1.42%) | # | 11/15/2034 | 614,000 | 215,255 |
22 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Benchmark Mortgage Trust Series 2024-V5 Class A3 | 5.805% | 1/10/2057 | $ | 3,390,000 | $ | 3,485,248 | ||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.865% (1 mo. USD Term SOFR + 1.55%) | # | 7/15/2035 | 3,060,000 | 3,052,024 | |||||||
BMO Mortgage Trust Series 2023-5C2 Class A3 | 7.055% | #(g) | 11/15/2056 | 9,340,000 | 10,074,764 | |||||||
BMO Mortgage Trust Series 2023-C5 Class A4 | 5.494% | 6/15/2056 | 5,468,000 | 5,585,138 | ||||||||
BRAVO Residential Funding Trust Series 2021-NQM2 Class A1† | 0.97% | #(g) | 3/25/2060 | 3,578,355 | 3,326,039 | |||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 6.121% (1 mo. USD Term SOFR + 0.80%) | # | 10/15/2038 | 3,978,461 | 3,941,560 | |||||||
BX Trust Series 2018-GW Class A† | 6.415% (1 mo. USD Term SOFR + 1.10%) | # | 5/15/2035 | 4,710,000 | 4,691,370 | |||||||
CF Trust Series 2019-BOSS Class A1† | 8.615% (1 mo. USD Term SOFR + 3.30%) | # | 12/15/2024 | 1,570,000 | 1,523,638 | |||||||
Chase Home Lending Mortgage Trust Series 2024-1A2 Class A2† | 6.50% | #(g) | 1/25/2055 | 6,890,280 | 6,930,547 | |||||||
CIM Trust Series 2020-INV1 Class A2† | 2.50% | #(g) | 4/25/2050 | 5,370,067 | 4,379,984 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC21 Class XA(i) | 0.998% | #(g) | 5/10/2047 | 4,917,602 | 270 | |||||||
Citigroup Commercial Mortgage Trust Series 2023-PRM3 Class A† | 6.36% | #(g) | 7/10/2028 | 9,650,000 | 9,953,413 | |||||||
Citigroup Mortgage Loan Trust, Inc. Series 2022-INV1 Class A3B† | 3.00% | #(g) | 11/27/2051 | 5,263,422 | 4,406,574 | |||||||
COMM Mortgage Trust Series 2014-CR17 Class AM | 4.174% | 5/10/2047 | 5,290,000 | 5,103,004 | ||||||||
COMM Mortgage Trust Series 2015-LC21 Class AM | 4.043% | #(g) | 7/10/2048 | 4,547,000 | 4,375,324 | |||||||
Connecticut Avenue Securities Trust Series 2023-R07 Class 2M1† | 7.271% (30 day USD SOFR Average + 1.95%) | # | 9/25/2043 | 2,147,419 | 2,167,786 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | (d) | 5/25/2065 | 447,514 | 407,700 | |||||||
CSMC Trust Series 2020-AFC1 Class A1† | 3.24% | #(g) | 2/25/2050 | 479,635 | 439,295 | |||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(g) | 8/25/2066 | 3,609,458 | 3,054,454 | |||||||
Ellington Financial Mortgage Trust Series 2020-1 Class A1† | 2.006% | #(g) | 5/25/2065 | 365,035 | 353,356 | |||||||
Ellington Financial Mortgage Trust Series 2023-1 Class A1† | 5.732% | (d) | 2/25/2068 | 3,083,527 | 3,058,729 |
See Notes to Schedule of Investments. | 23 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
EQUS Mortgage Trust Series 2021-EQAZ Class A† | 6.187% (1 mo. USD Term SOFR + 0.87%) | # | 10/15/2038 | $ | 3,720,925 | $ | 3,691,348 | |||||
Federal Home Loan Mortgage Corp. STACR REMICS Notes Series 2023-DNA2 Class M1A† | 7.422% (30 day USD SOFR Average + 2.10%) | # | 4/25/2043 | 5,453,554 | 5,560,726 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA4 Class M1† | 6.272% (30 day USD SOFR Average + 0.95%) | # | 12/25/2041 | 982,451 | 978,138 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA3 Class M1B† | 8.222% (30 day USD SOFR Average + 2.90%) | # | 4/25/2042 | 3,499,000 | 3,626,758 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-HQA1 Class M1B† | 8.822% (30 day USD SOFR Average + 3.50%) | # | 3/25/2042 | 5,000,000 | 5,234,845 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-HQA3 Class A1† | 7.172% (30 day USD SOFR Average + 1.85%) | # | 11/25/2043 | 12,911,393 | 13,098,944 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-HQA3 Class M1A† | 7.622% (30 day USD SOFR Average + 2.30%) | # | 8/25/2042 | 1,331,897 | 1,361,211 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2024-DNA1 Class A1† | 6.675% (30 day USD SOFR Average + 1.35%) | # | 2/25/2044 | 7,500,000 | 7,524,188 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R04 Class 1M2† | 8.871% (30 day USD SOFR Average + 3.55%) | # | 5/25/2043 | 3,900,000 | 4,155,169 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R06 Class 1M2† | 8.022% (30 day USD SOFR Average + 2.70%) | # | 7/25/2043 | 3,000,000 | 3,100,216 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R08 Class 1M1† | 6.822% (30 day USD SOFR Average + 1.50%) | # | 10/25/2043 | 6,367,294 | 6,383,380 |
24 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
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-R08 Class 1M1† | 7.872% (30 day USD SOFR Average + 2.55%) | # | 7/25/2042 | $ | 3,625,793 | $ | 3,726,648 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.721% (30 day USD SOFR Average + 2.40%) | # | 12/25/2042 | 3,591,305 | 3,680,470 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R02 Class 1M1† | 7.622% (30 day USD SOFR Average + 2.30%) | # | 1/25/2043 | 10,499,871 | 10,736,987 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R03 Class 2M1† | 7.822% (30 day USD SOFR Average + 2.50%) | # | 4/25/2043 | 2,861,409 | 2,910,552 | |||||||
Flagstar Mortgage Trust Series 2021-11IN Class A20† | 3.00% | #(g) | 11/25/2051 | 4,081,965 | 3,417,449 | |||||||
GCAT Trust Series 2020-NQM2 Class A1† | 1.555% | (d) | 4/25/2065 | 831,750 | 761,823 | |||||||
GCAT Trust Series 2023-NQM1 Class A1† | 4.25% | #(g) | 10/25/2057 | 4,865,352 | 4,543,570 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.667% (1 mo. USD Term SOFR + 1.35%) | # | 12/15/2036 | 5,580,000 | 5,578,030 | |||||||
GS Mortgage-Backed Securities Corp. Trust Series 2020-PJ4 Class A2† | 3.00% | #(g) | 1/25/2051 | 2,420,116 | 2,039,480 | |||||||
GS Mortgage-Backed Securities Trust 2022-PJ5 Class A6† | 3.00% | #(g) | 10/25/2052 | 3,713,113 | 3,099,398 | |||||||
GS Mortgage-Backed Securities Trust Series 2021-PJ2 Class A2† | 2.50% | #(g) | 7/25/2051 | 8,188,875 | 6,581,438 | |||||||
GS Mortgage-Backed Securities Trust Series 2021-PJ8 Class A2† | 2.50% | #(g) | 1/25/2052 | 4,323,442 | 3,474,771 | |||||||
GS Mortgage-Backed Securities Trust Series 2022-PJ6 Class A4† | 3.00% | #(g) | 1/25/2053 | 19,229,817 | 16,099,337 | |||||||
GS Mortgage-Backed Securities Trust Series 2023-PJ1 Class A4† | 3.50% | #(g) | 2/25/2053 | 4,253,831 | 3,701,862 | |||||||
Hilton Orlando Trust Series 2018-ORL Class A† | 6.385% (1 mo. USD Term SOFR + 1.07%) | # | 12/15/2034 | 1,920,000 | 1,918,635 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.635% (1 mo. USD Term SOFR + 1.32%) | # | 11/15/2035 | 956,000 | 912,047 |
See Notes to Schedule of Investments. | 25 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JP Morgan Mortgage Trust Series 2021-15 Class A2† | 3.00% | #(g) | 6/25/2052 | $ | 15,991,237 | $ | 13,387,975 | |||||
JP Morgan Mortgage Trust Series 2021-INV8 Class A2† | 3.00% | #(g) | 5/25/2052 | 8,315,951 | 6,962,172 | |||||||
JP Morgan Mortgage Trust Series 2022-1 Class A2† | 3.00% | #(g) | 7/25/2052 | 8,464,928 | 7,086,897 | |||||||
JP Morgan Mortgage Trust Series 2022-3 Class A2† | 3.00% | #(g) | 8/25/2052 | 8,602,747 | 7,185,998 | |||||||
JP Morgan Mortgage Trust Series 2022-4 Class A3† | 3.00% | #(g) | 10/25/2052 | 4,936,634 | 4,132,985 | |||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C26 Class AS | 3.80% | 1/15/2048 | 8,224,000 | 7,967,754 | ||||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(g) | 1/26/2060 | 125,482 | 114,725 | |||||||
PFP Ltd. Series 2023-10 Class A† | 7.685% (1 mo. USD Term SOFR + 2.36%) | # | 9/16/2038 | 7,700,000 | 7,700,057 | |||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(g) | 1/26/2060 | 66,924 | 63,915 | |||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(g) | 2/25/2050 | 34,445 | 32,266 | |||||||
Starwood Mortgage Residential Trust Series 2020-3 Class A1† | 1.486% | #(g) | 4/25/2065 | 1,130,831 | 1,053,659 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 3.417% | (d) | 1/25/2060 | 231,389 | 220,893 | |||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (d) | 5/25/2065 | 801,182 | 754,801 | |||||||
Verus Securitization Trust Series 2020-INV1 Class A1† | 1.977% | #(g) | 3/25/2060 | 109,115 | 108,334 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(g) | 4/25/2065 | 609,279 | 554,636 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-NXS3 Class AS | 3.972% | #(g) | 9/15/2057 | 5,548,000 | 5,341,017 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2018-C45 Class A4 | 4.184% | 6/15/2051 | 7,100,000 | 6,804,083 | ||||||||
WFRBS Commercial Mortgage Trust Series 2014-C23 Class XA(i) | 0.543% | #(g) | 10/15/2057 | 16,718,214 | 10,350 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $294,030,694) | 294,525,468 | |||||||||||
U.S. TREASURY OBLIGATIONS 24.71% | ||||||||||||
U.S. Treasury Bonds | 1.875% | 11/15/2051 | 40,524,000 | 24,153,729 | ||||||||
U.S. Treasury Bonds | 2.25% | 5/15/2041 | 20,190,000 | 14,747,770 | ||||||||
U.S. Treasury Bonds | 3.625% | 5/15/2053 | 22,455,000 | 19,652,072 | ||||||||
U.S. Treasury Bonds | 3.875% | 2/15/2043 | 69,564,000 | 63,706,766 |
26 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||||||
U.S. Treasury Bonds | 4.25% | 2/15/2054 | $ | 45,216,800 | $ | 44,379,583 | ||||||
U.S. Treasury Bonds | 4.375% | 8/15/2043 | 191,139,000 | 187,196,758 | ||||||||
U.S. Treasury Notes | 3.75% | 12/31/2028 | 122,811,000 | 120,038,159 | ||||||||
U.S. Treasury Notes | 4.00% | 2/15/2034 | 53,041,700 | 52,009,873 | ||||||||
U.S. Treasury Notes | 4.25% | 5/31/2025 | 72,496,000 | 71,914,050 | ||||||||
U.S. Treasury Notes | 4.25% | 12/31/2025 | 77,709,900 | 77,111,898 | ||||||||
U.S. Treasury Notes(j) | 4.25% | 1/31/2026 | 171,517,200 | 170,250,921 | ||||||||
U.S. Treasury Notes | 4.625% | 2/28/2026 | 110,795,000 | 110,790,672 | ||||||||
Total U.S. Treasury Obligations (cost $966,804,704) | 955,952,251 | |||||||||||
Total Long-Term Investments (cost $4,559,915,607) | 4,517,536,928 | |||||||||||
SHORT-TERM INVESTMENTS 6.30% | ||||||||||||
REPURCHASE AGREEMENTS 6.30% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 5.300% due 3/1/2024 with Barclays Bank PLC collateralized
by $170,933,000 of U.S. Treasury Bill at 0.250% due 3/15/2024; value: $170,783,792; proceeds: $167,459,741 (cost $167,435,091) | 167,435,091 | 167,435,091 | ||||||||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized
by $59,515,000 of U.S. Treasury Bond at 3.500% due 2/15/2033; value: $56,100,000; proceeds: $55,008,113 (cost $55,000,000) | 55,000,000 | 55,000,000 | ||||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income
Clearing Corp. collateralized by $21,515,500 of U.S. Treasury Note at 4.625% due 2/28/2026; value: $21,503,734; proceeds:
$21,083,719 (cost $21,082,079) | 21,082,079 | 21,082,079 | ||||||||||
Total Repurchase Agreements (cost $243,517,170) | 243,517,170 | |||||||||||
Total Investments in Securities 123.05% (cost $4,803,432,777) | 4,761,054,098 | |||||||||||
Other Assets and Liabilities – Net(k) (23.05)% | (891,697,953 | ) | ||||||||||
Net Assets 100.00% | $ | 3,869,356,145 |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
REMICS | Real Estate Mortgage Investment Conduits. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. | |
See Notes to Schedule of Investments. | 27 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND February 29, 2024
† | 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 February 29, 2024, the total value of Rule 144A securities was $1,149,653,487, which represents 29.71% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Variable Rate is Fixed to Float: Rate remains fixed or at Zero Coupon until designated future date. | |
(b) | Securities purchased on a when-issued basis. | |
(c) | Foreign security traded in U.S. dollars. | |
(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 Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(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. | |
(h) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(i) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest only securities do not receive principal payments on the underlying debt obligation(s). | |
(j) | Security has been fully or partially segregated for open reverse repurchase agreements as of February 29, 2024. | |
(k) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts as follows: |
Futures Contracts at February 29, 2024:
Notional | Notional | Unrealized | ||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||
U.S. 2-Year Treasury Note | June 2024 | 2,187 | Long | $447,778,782 | $447,788,250 | $ 9,468 | ||||||||
U.S. 5-Year Treasury Note | June 2024 | 1,559 | Long | 166,657,030 | 166,666,844 | 9,814 | ||||||||
U.S. Ultra Treasury Bond | June 2024 | 974 | Long | 122,752,987 | 124,550,250 | 1,797,263 | ||||||||
Total Unrealized Appreciation on Futures Contracts | $1,816,545 | |||||||||||||
Notional | Notional | Unrealized | ||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||
U.S. 10-Year Ultra Treasury Note | June 2024 | 912 | Short | $(103,747,959 | ) | $(104,124,750 | ) | $(376,791 | ) |
Reverse Repurchase Agreement Payables as of February 29, 2024
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date | Fair Value(2) |
|||||||
Barclays Bank PLC | $167,435,091 | $171,517,200 principal, U.S. Treasury Notes at 4.25% due 1/31/2026, $170,250,921 fair value | 4.100% | 2/29/2024 | 3/1/2024 | $167,454,160 |
(1) | The positive interest rate on the reverse repurchase agreement results in interest expense to the Fund. | |
(2) | Total fair value of reverse repurchase agreement is presented net of interest payable of $19,069. |
28 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
CORE FIXED INCOME FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 629,542,697 | $ | – | $ | 629,542,697 | ||||||||
Corporate Bonds | – | 1,476,016,697 | – | 1,476,016,697 | ||||||||||||
Floating Rate Loans | – | 79,168,273 | – | 79,168,273 | ||||||||||||
Foreign Government Obligations | – | 127,421,634 | – | 127,421,634 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 19,780,017 | – | 19,780,017 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 931,482,665 | – | 931,482,665 | ||||||||||||
Municipal Bonds | – | 3,647,226 | – | 3,647,226 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 294,525,468 | – | 294,525,468 | ||||||||||||
U.S. Treasury Obligations | – | 955,952,251 | – | 955,952,251 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 243,517,170 | – | 243,517,170 | ||||||||||||
Total | $ | – | $ | 4,761,054,098 | $ | – | $ | 4,761,054,098 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 1,816,545 | $ | – | $ | – | $ | 1,816,545 | ||||||||
Liabilities | (376,791 | ) | – | – | (376,791 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (167,454,160 | ) | – | (167,454,160 | ) | ||||||||||
Total | $ | 1,439,754 | $ | (167,454,160 | ) | $ | – | $ | (166,014,406 | ) |
(1) | Refer to Note 2(b) 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 Schedule of Investments. | 29 |
Schedule of Investments (unaudited)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
LONG-TERM INVESTMENTS 107.84% | ||||||||||||
ASSET-BACKED SECURITIES 15.46% | ||||||||||||
Automobiles 4.98% | ||||||||||||
Avid Automobile Receivables Trust Series 2021-1 Class E† | 3.39% | 4/17/2028 | $ | 3,230,000 | $ | 3,088,859 | ||||||
BMW Vehicle Lease Trust Series 2023-1 Class A4 | 5.07% | 6/25/2026 | 3,750,000 | 3,736,739 | ||||||||
BMW Vehicle Lease Trust Series 2023-2 Class A3 | 5.99% | 9/25/2026 | 9,220,000 | 9,300,767 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-1 Class A2 | 2.71% | 6/16/2025 | 179,602 | 179,426 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class C | 5.19% | 1/16/2029 | 3,975,000 | 3,941,478 | ||||||||
Carmax Auto Owner Trust Series 2023-3 Class D | 6.44% | 12/16/2030 | 3,630,000 | 3,643,253 | ||||||||
Carvana Auto Receivables Trust Series NP1 2020-N1A Class E† | 5.20% | 7/15/2027 | 4,500,000 | 4,400,071 | ||||||||
Citizens Auto Receivables Trust Series 2023-2 Class A3† | 5.83% | 2/15/2028 | 7,755,000 | 7,849,470 | ||||||||
CPS Auto Receivables Trust Series 2020-B Class E† | 7.38% | 6/15/2027 | 1,276,288 | 1,286,140 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 306,228 | 304,165 | ||||||||
Exeter Automobile Receivables Trust 2023-1 Class E† | 12.07% | 9/16/2030 | 3,500,000 | 3,965,046 | ||||||||
Exeter Automobile Receivables Trust Series 2020-2A Class E† | 7.19% | 9/15/2027 | 6,300,000 | 6,352,917 | ||||||||
Exeter Automobile Receivables Trust Series 2022-3A Class B | 4.86% | 12/15/2026 | 1,921,413 | 1,915,901 | ||||||||
Flagship Credit Auto Trust Series 2019-3 Class E† | 3.84% | 12/15/2026 | 800,000 | 776,855 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 9,097,745 | 9,035,005 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A3† | 5.01% | 8/16/2027 | 2,850,000 | 2,831,817 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class B | 5.29% | 6/15/2026 | 1,840,000 | 1,829,213 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class C | 5.54% | 12/15/2026 | 1,000,000 | 994,403 | ||||||||
Ford Credit Auto Owner Trust Series 2018-1 Class A† | 3.19% | 7/15/2031 | 3,675,000 | 3,604,873 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class B | 5.51% | 1/20/2027 | 3,475,000 | 3,467,269 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class B | 5.54% | 5/20/2027 | 3,450,000 | 3,441,804 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1 Class A† | 3.63% | 9/14/2027 | 1,026,000 | 1,009,666 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1A Class C† | 4.19% | 11/14/2028 | 1,487,000 | 1,438,511 |
30 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class F† | 7.03% | 8/15/2028 | $ | 2,588,000 | $ | 2,589,897 | ||||||
Santander Consumer Auto Receivables Trust Series 2021-AA Class F† | 5.79% | 8/15/2028 | 1,500,000 | 1,436,867 | ||||||||
Santander Drive Auto Receivables Trust 2023-2 Class C | 5.47% | 12/16/2030 | 3,550,000 | 3,538,895 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-1 Class C | 5.09% | 5/15/2030 | 1,150,000 | 1,136,063 | ||||||||
SBNA Auto Lease Trust Series 2024-A Class A3† | 5.39% | 11/20/2026 | 5,000,000 | 5,003,563 | ||||||||
Tricolor Auto Securitization Trust Series 2021-1A Class E† | 3.23% | 9/15/2026 | 371,935 | 368,788 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class C† | 5.74% | 8/15/2028 | 935,000 | 934,309 | ||||||||
Total | 93,402,030 | |||||||||||
Credit Card 0.56% | ||||||||||||
Capital One Multi-Asset Execution Trust Series 2005-B3 Class B3 | 6.126% (3 mo. USD Term SOFR + 0.81%) | # | 5/15/2028 | 3,775,000 | 3,756,508 | |||||||
Perimeter Master Note Business Trust Series 2021-1A Class B† | 4.17% | 12/15/2026 | 500,000 | 451,876 | ||||||||
World Financial Network Credit Card Master Trust Series 2023-A Class A | 5.02% | 3/15/2030 | 6,260,000 | 6,223,530 | ||||||||
Total | 10,431,914 | |||||||||||
Other 9.68% | ||||||||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A† | 6.836% (1 mo. USD Term SOFR + 1.51%) | # | 1/15/2037 | 3,290,078 | 3,269,516 | |||||||
Affirm Asset Securitization Trust Series 2022-A Class 1A† | 4.30% | 5/17/2027 | 4,400,000 | 4,367,209 | ||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 4,370,000 | 4,398,076 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 2,315,000 | 2,349,782 | ||||||||
Affirm Asset Securitization Trust Series 2024-A Class A† | 5.61% | 2/15/2029 | 1,340,000 | 1,338,475 | ||||||||
Amur Equipment Finance Receivables IX LLC Series 2021-1A Class D† | 2.30% | 11/22/2027 | 1,000,000 | 967,448 | ||||||||
Apidos CLO XII Series 2013-12A Class BR† | 6.976% (3 mo. USD Term SOFR + 1.66%) | # | 4/15/2031 | 2,090,000 | 2,083,599 |
See Notes to Schedule of Investments. | 31 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Apidos CLO XXIV Series 2016-24A Class A1AL† | 6.529% (3 mo. USD Term SOFR + 1.21%) | # | 10/20/2030 | $ | 2,771,809 | $ | 2,772,918 | |||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 614,929 | 548,462 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.532% (1 mo. USD Term SOFR + 1.21%) | # | 5/15/2036 | 2,923,667 | 2,915,882 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1 Class A† | 6.775% (30 day USD SOFR Average + 1.45%) | # | 1/15/2037 | 6,390,000 | 6,368,836 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL2 Class A† | 7.168% (1 mo. USD Term SOFR + 1.85%) | # | 5/15/2037 | 4,548,000 | 4,562,213 | |||||||
ARES XLII CLO Ltd. Series 2017-42A Class BR† | 7.079% (3 mo. USD Term SOFR + 1.76%) | # | 1/22/2028 | 2,000,000 | 2,000,000 | |||||||
Avant Loans Funding Trust 2021-REV1 Class C† | 2.30% | 7/15/2030 | 4,400,000 | 4,247,615 | ||||||||
Avant Loans Funding Trust Series 2021-REV1 Class D† | 4.30% | 7/15/2030 | 2,950,000 | 2,742,797 | ||||||||
Avant Loans Funding Trust Series 2022-REV1 Class A† | 6.54% | 9/15/2031 | 4,862,000 | 4,858,651 | ||||||||
Bain Capital Credit CLO Ltd. Series 2023-4A Class D† | 10.423% (3 mo. USD Term SOFR + 5.00%) | # | 10/21/2036 | 3,170,000 | 3,243,428 | |||||||
Bain Capital Credit CLO Series 2018-2A Class A1† | 6.651% (3 mo. USD Term SOFR + 1.34%) | # | 7/19/2031 | 1,270,175 | 1,274,380 | |||||||
Ballyrock CLO 23 Ltd. Series 2023-23A Class A1† | 7.305% (3 mo. USD Term SOFR + 1.98%) | # | 4/25/2036 | 2,950,000 | 2,963,570 | |||||||
Ballyrock CLO 25 Ltd. Series 2023-25A Class A2† | 7.774% (3 mo. USD Term SOFR + 2.45%) | # | 1/25/2036 | 3,000,000 | 3,018,819 | |||||||
Benefit Street Partners CLO XVII Ltd. Series 2019-17A Class AR† | 6.656% (3 mo. USD Term SOFR + 1.34%) | # | 7/15/2032 | 3,250,000 | 3,252,925 | |||||||
Benefit Street Partners CLO XXXIII Ltd. Series 2023-33A Class B† | 7.612% (3 mo. USD Term SOFR + 2.30%) | # | 1/25/2036 | 2,880,000 | 2,887,807 | |||||||
BlueMountain CLO Ltd. Series 2013-2A Class A1R† | 6.759% (3 mo. USD Term SOFR + 1.44%) | # | 10/22/2030 | 1,144,449 | 1,147,140 |
32 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
BlueMountain CLO XXXI Ltd. Series 2021-31A Class A1† | 6.721% (3 mo. USD Term SOFR + 1.41%) | # | 4/19/2034 | $ | 2,010,000 | $ | 2,007,186 | |||||
Carlyle Global Market Strategies CLO Ltd. Series 2012-3A Class A1A2† | 6.756% (3 mo. USD Term SOFR + 1.44%) | # | 1/14/2032 | 1,650,415 | 1,651,570 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-3RA Class A1A† | 6.631% (3 mo. USD Term SOFR + 1.31%) | # | 7/27/2031 | 1,747,128 | 1,748,701 | |||||||
Carlyle U.S. CLO Ltd. Series 2023-2A Class C† | 8.318% (3 mo. USD Term SOFR + 3.00%) | # | 7/20/2036 | 2,860,000 | 2,881,531 | |||||||
Carlyle U.S. CLO Ltd. Series 2024-1A Class B†(a) | 5.72% (3 mo. USD Term SOFR + 2.00%) | # | 4/15/2037 | 3,430,000 | 3,426,749 | |||||||
CIFC Funding Ltd. 2021-1A Class B† | 7.136% (3 mo. USD Term SOFR + 1.81%) | # | 4/25/2033 | 1,620,000 | 1,624,866 | |||||||
Dryden 113 CLO Ltd. Series 2022-113A Class BR† | 7.666% (3 mo. USD Term SOFR + 2.25%) | # | 10/20/2035 | 3,030,000 | 3,047,906 | |||||||
Dryden 115 CLO Ltd. Series 2024-115A Class B†(a) | 5.77% (3 mo. USD Term SOFR + 2.00%) | # | 4/18/2037 | 4,000,000 | 4,000,000 | |||||||
Elmwood CLO Ltd. Series 2023-3A Class B† | 7.694% (3 mo. USD Term SOFR + 2.35%) | # | 12/11/2033 | 2,930,000 | 2,949,337 | |||||||
Fairstone Financial Issuance Trust I Series 2020-1A Class D† | 6.873% | 10/20/2039 | CAD | 781,000 | 535,462 | |||||||
Galaxy XXVIII CLO Ltd. Series 2018-28A Class A2† | 6.876% (3 mo. USD Term SOFR + 1.56%) | # | 7/15/2031 | $ | 2,439,828 | 2,446,541 | ||||||
Generate CLO 14 Ltd. Series 2024-14A Class C†(a) | 6.21% (3 mo. USD Term SOFR + 2.50%) | # | 4/22/2037 | 2,680,000 | 2,680,000 | |||||||
GoldenTree Loan Management U.S. CLO Ltd. Series 2022-16A Class BR† | 7.857% (3 mo. USD Term SOFR + 2.50%) | # | 1/20/2034 | 3,460,000 | 3,482,363 | |||||||
GreatAmerica Leasing Receivables Series 2024-1 Class A4† | 5.08% | 12/16/2030 | 4,000,000 | 3,984,054 | ||||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 3,000,000 | 2,784,087 | ||||||||
Lendmark Funding Trust Series 2021-1A Class A† | 5.12% | 7/20/2032 | 1,500,000 | 1,484,264 | ||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.874% (30 day USD SOFR Average + 1.55%) | # | 1/17/2037 | 1,529,905 | 1,516,518 |
See Notes to Schedule of Investments. | 33 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.477% (3 mo. USD Term SOFR + 1.16%) | # | 7/23/2029 | $ | 3,563,280 | $ | 3,567,912 | |||||
Magnetite XXXIX Ltd. Series 2023-39A Class B† | 7.535% (3 mo. USD Term SOFR + 2.15%) | # | 10/25/2033 | 4,560,000 | 4,588,628 | |||||||
Magnetite XXXVIII Ltd. Series 2024-38A Class B†(a) | 5.96% (3 mo. USD Term SOFR + 2.00%) | # | 4/15/2037 | 3,490,000 | 3,490,000 | |||||||
Marlette Funding Trust Series 2021-3A Class B† | 1.30% | 12/15/2031 | 369,277 | 365,328 | ||||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 677,910 | 674,648 | ||||||||
MF1 LLC Series 2022-FL9 Class A† | 7.466% (1 mo. USD Term SOFR + 2.15%) | # | 6/19/2037 | 2,777,000 | 2,779,555 | |||||||
MF1 LLC Series 2024-FL14 Class A† | 7.055% (1 mo. USD Term SOFR + 1.74%) | # | 3/19/2039 | 3,820,000 | 3,831,968 | (b) | ||||||
Neuberger Berman CLO XVII Ltd. Seires 2014-17A Class BR2† | 7.079% (3 mo. USD Term SOFR + 1.76%) | # | 4/22/2029 | 3,330,000 | 3,339,921 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 28,896 | 28,746 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class D† | 3.45% | 9/14/2035 | 280,000 | 247,572 | ||||||||
Orange Lake Timeshare Trust Series 2019-A Class A† | 3.06% | 4/9/2038 | 9,118 | 8,866 | ||||||||
Post Road Equipment Finance Series 2021-1 Class A2† | 4.88% | 11/15/2028 | 1,674,000 | 1,655,803 | ||||||||
Rad CLO 20 Ltd. Series 2023-20A Class C† | 8.406% (3 mo. USD Term SOFR + 3.00%) | # | 7/20/2036 | 4,280,000 | 4,306,318 | |||||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.959% (3 mo. USD Term SOFR + 1.64%) | # | 1/20/2033 | 5,490,000 | 5,509,665 | |||||||
Ready Capital Mortgage Financing LLC Series 2023-FL12 Class A† | 7.656% (1 mo. USD Term SOFR + 2.34%) | # | 5/25/2038 | 2,680,880 | 2,666,783 | |||||||
Rockford Tower CLO Ltd. Series 2018-1A Class A† | 6.681% (3 mo. USD Term SOFR + 1.36%) | # | 5/20/2031 | 800,709 | 799,588 | |||||||
Romark CLO Ltd. Series 2017-1A Class A2R† | 7.227% (3 mo. USD Term SOFR + 1.91%) | # | 10/23/2030 | 830,000 | 832,999 | |||||||
RR Ltd. Series 2022-24A Class A2R† | 7.747% (3 mo. USD Term SOFR + 2.40%) | # | 1/15/2036 | 3,410,000 | 3,431,568 |
34 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
SCF Equipment Leasing LLC Series 2019-2A Class C† | 3.11% | 6/21/2027 | $ | 5,694,944 | $ | 5,640,343 | ||||||
SCF Equipment Leasing LLC Series 2021-1A Class E† | 3.56% | 8/20/2032 | 2,252,000 | 2,117,927 | ||||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 3,483,270 | 3,274,691 | ||||||||
Signal Peak CLO 8 Ltd. Series 2020-8A Class A† | 6.849% (3 mo. USD Term SOFR + 1.53%) | # | 4/20/2033 | 2,000,000 | 1,997,200 | |||||||
Sunrun Demeter Issuer LLC Series 2021-2A Class A† | 2.27% | 1/30/2057 | 618,008 | 523,120 | ||||||||
Texas Debt Capital CLO Ltd. Series 2024-1A Class B†(a) | 7.263% (3 mo. USD Term SOFR + 1.95%) | # | 4/22/2037 | 4,300,000 | 4,300,000 | |||||||
THL Credit Wind River CLO Ltd. Series 2013-2A Class AR2† | 6.56% (3 mo. USD Term SOFR + 1.26%) | # | 10/18/2030 | 3,085,066 | 3,082,907 | |||||||
TICP CLO IX Ltd. Series 2017-9A Class A† | 6.719% (3 mo. USD Term SOFR + 1.40%) | # | 1/20/2031 | 982,509 | 985,359 | |||||||
TRTX Issuer Ltd. Series 2019-FL3 Class C† | 7.536% (1 mo. USD Term SOFR + 2.21%) | # | 10/15/2034 | 305,184 | 298,694 | |||||||
Upstart Securitization Trust Series 2021-2 Class B† | 1.75% | 6/20/2031 | 37,295 | 37,212 | ||||||||
Valley Stream Park CLO Ltd. Series 2022-1A Class BR† | 7.568% (3 mo. USD Term SOFR + 2.25%) | # | 10/20/2034 | 2,860,000 | 2,878,155 | |||||||
Voya CLO Ltd. Series 2018-1A Class A2† | 6.871% (3 mo. USD Term SOFR + 1.56%) | # | 4/19/2031 | 1,990,000 | 1,992,985 | |||||||
Voya CLO Ltd. Series2017-4 Class A1† | 6.706% (3 mo. USD Term SOFR + 1.39%) | # | 10/15/2030 | 2,725,610 | 2,728,608 | |||||||
Total | 181,813,752 | |||||||||||
Rec Vehicle Loan 0.24% | ||||||||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 728,652 | 725,300 | ||||||||
Octane Receivables Trust Series 2022-2A Class B† | 5.85% | 7/20/2028 | 3,828,000 | 3,797,813 | ||||||||
Total | 4,523,113 | |||||||||||
Total Asset-Backed Securities (cost $289,184,082) | 290,170,809 | |||||||||||
CORPORATE BONDS 56.87% | ||||||||||||
Advertising 0.13% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.† | 7.50% | 6/1/2029 | 3,038,000 | 2,517,165 |
See Notes to Schedule of Investments. | 35 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Aerospace/Defense 0.53% | ||||||||||||
Bombardier, Inc. (Canada)†(c) | 6.00% | 2/15/2028 | $ | 2,762,000 | $ | 2,684,000 | ||||||
HEICO Corp. | 5.35% | 8/1/2033 | 2,117,000 | 2,107,750 | ||||||||
Spirit AeroSystems, Inc.† | 9.75% | 11/15/2030 | 2,540,000 | 2,724,422 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 1,421,000 | 1,304,307 | ||||||||
Triumph Group, Inc.† | 9.00% | 3/15/2028 | 1,156,000 | 1,209,851 | ||||||||
Total | 10,030,330 | |||||||||||
Agriculture 0.87% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 3,442,000 | 3,401,885 | ||||||||
BAT Capital Corp. | 5.834% | 2/20/2031 | 1,712,000 | 1,706,779 | ||||||||
BAT Capital Corp. | 6.343% | 8/2/2030 | 7,000,000 | 7,232,850 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 3.20% | 4/21/2031 | 1,208,000 | 1,037,503 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 4.90% | 4/21/2027 | 3,013,000 | 2,950,726 | ||||||||
Total | 16,329,743 | |||||||||||
Airlines 0.36% | ||||||||||||
Air Canada (Canada)†(c) | 3.875% | 8/15/2026 | 1,534,000 | 1,454,584 | ||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | 2,214,000 | 2,234,441 | ||||||||
British Airways Pass-Through Trust Class A (United Kingdom)†(c) | 4.25% | 5/15/2034 | 626,967 | 584,268 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 949,000 | 896,796 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(c)(d) | 7.875% | 5/1/2027 | 1,956,000 | 1,658,710 | ||||||||
Total | 6,828,799 | |||||||||||
Apparel 0.36% | ||||||||||||
Tapestry, Inc. | 7.00% | 11/27/2026 | 6,500,000 | 6,679,067 | ||||||||
Auto Manufacturers 1.03% | ||||||||||||
Ford Motor Credit Co. LLC | 3.375% | 11/13/2025 | 5,000,000 | 4,799,182 | ||||||||
Ford Motor Credit Co. LLC | 5.125% | 6/16/2025 | 5,000,000 | 4,950,753 | ||||||||
Hyundai Capital America† | 5.40% | 1/8/2031 | 2,417,000 | 2,421,038 | ||||||||
JB Poindexter & Co., Inc.† | 8.75% | 12/15/2031 | 1,791,000 | 1,837,016 | ||||||||
Nissan Motor Acceptance Co. LLC† | 1.125% | 9/16/2024 | 5,475,000 | 5,325,202 | ||||||||
Total | 19,333,191 | |||||||||||
Auto Parts & Equipment 0.32% | ||||||||||||
Dornoch Debt Merger Sub, Inc.† | 6.625% | 10/15/2029 | 2,592,000 | 2,329,836 | ||||||||
Goodyear Tire & Rubber Co. | 5.00% | 7/15/2029 | 2,300,000 | 2,119,591 | ||||||||
Tenneco, Inc.† | 8.00% | 11/17/2028 | 1,705,000 | 1,555,326 | ||||||||
Total | 6,004,753 |
36 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks 14.13% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 3.324% (5 yr. CMT + 1.90%) | # | 3/13/2037 | $ | 1,000,000 | $ | 796,216 | |||||
Bank of America Corp. | 2.087% (SOFR + 1.06%) | # | 6/14/2029 | 7,537,000 | 6,626,172 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32%) | # | 4/22/2032 | 3,728,000 | 3,123,404 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33%) | # | 4/2/2026 | 497,000 | 485,196 | |||||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23%) | # | 3/15/2025 | 7,485,000 | 7,479,087 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63%) | # | 7/21/2028 | 3,956,000 | 3,751,527 | |||||||
Bank of America Corp. | 3.97% (3 mo. USD Term SOFR + 1.33%) | # | 3/5/2029 | 5,514,000 | 5,246,028 | |||||||
Bank of Montreal (Canada)(a)(c) | 7.70% (5 yr. CMT + 3.45%) | # | 5/26/2084 | 3,753,000 | 3,753,000 | |||||||
Bank of New York Mellon Corp. | 4.596% (SOFR + 1.76%) | # | 7/26/2030 | 1,601,000 | 1,564,255 | |||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61%) | # | 4/26/2034 | 3,000,000 | 2,924,826 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 1,300,000 | 1,177,519 | ||||||||
Barclays PLC (United Kingdom)(c) | 6.496% (SOFR + 1.88%) | # | 9/13/2027 | 10,000,000 | 10,177,985 | |||||||
BBVA Bancomer SA† | 8.125% (5 yr. CMT + 4.21%) | # | 1/8/2039 | 3,475,000 | 3,604,392 | |||||||
BNP Paribas SA (France)†(c) | 2.219% (SOFR + 2.07%) | # | 6/9/2026 | 5,000,000 | 4,788,072 | |||||||
BNP Paribas SA (France)†(c) | 4.375% (5 yr. USD Swap + 1.48%) | # | 3/1/2033 | 1,500,000 | 1,409,788 | |||||||
BNP Paribas SA (France)†(c) | 5.738% (SOFR + 1.88%) | # | 2/20/2035 | 3,432,000 | 3,400,096 | |||||||
BNP Paribas SA (France)†(c) | 8.00% (5 yr. CMT + 3.73%) | # | – | (e) | 1,738,000 | 1,740,328 | ||||||
Citigroup, Inc. | 2.666% (SOFR + 1.15%) | # | 1/29/2031 | 2,000,000 | 1,716,624 | |||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16%) | # | 4/24/2025 | 5,000,000 | 4,981,183 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82%) | # | 1/10/2028 | 4,150,000 | 3,989,934 | |||||||
Citigroup, Inc. | 3.98% (3 mo. USD Term SOFR + 1.60%) | # | 3/20/2030 | 3,263,000 | 3,059,822 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37%) | # | 5/24/2025 | 394,000 | 392,204 |
See Notes to Schedule of Investments. | 37 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Citigroup, Inc. | 5.827% (SOFR + 2.06%) | # | 2/13/2035 | $ | 4,464,000 | $ | 4,369,069 | |||||
Citigroup, Inc. | 6.174% (SOFR + 2.66%) | # | 5/25/2034 | 5,733,000 | 5,778,888 | |||||||
Citizens Bank NA | 4.119% (SOFR + 1.40%) | # | 5/23/2025 | 3,212,000 | 3,189,129 | |||||||
Danske Bank AS (Denmark)†(c) | 3.773% (1 yr. CMT + 1.45%) | # | 3/28/2025 | 5,247,000 | 5,236,960 | |||||||
Danske Bank AS (Denmark)†(c) | 4.298% (1 yr. CMT + 1.75%) | # | 4/1/2028 | 5,657,000 | 5,449,923 | |||||||
Danske Bank AS (Denmark)†(c) | 4.375% | 6/12/2028 | 5,000,000 | 4,834,384 | ||||||||
Danske Bank AS (Denmark)†(c) | 6.259% (1 yr. CMT + 1.18%) | # | 9/22/2026 | 7,308,000 | 7,385,340 | |||||||
Discover Bank | 5.974% (5 yr. USD SOFR ICE Swap Rate + 1.73%) | # | 8/9/2028 | 1,475,000 | 1,453,272 | |||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72%) | # | 9/27/2025 | 2,652,000 | 2,600,541 | |||||||
Freedom Mortgage Corp.† | 12.25% | 10/1/2030 | 2,063,000 | 2,272,413 | ||||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25%) | # | 7/21/2032 | 2,450,000 | 1,994,425 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46%) | # | 9/29/2025 | 4,081,000 | 4,024,703 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 3.803% (3 mo. USD Term SOFR + 1.47%) | # | 3/11/2025 | 5,000,000 | 4,997,508 | |||||||
Intesa Sanpaolo SpA (Italy)†(c) | 6.625% | 6/20/2033 | 5,678,000 | 5,745,089 | ||||||||
JPMorgan Chase & Co. | 2.58% (3 mo. USD Term SOFR + 1.25%) | # | 4/22/2032 | 192,000 | 160,712 | |||||||
JPMorgan Chase & Co. | 2.739% (3 mo. USD Term SOFR + 1.51%) | # | 10/15/2030 | 7,441,000 | 6,531,444 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26%) | # | 1/25/2033 | 7,723,000 | 6,525,010 | |||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85%) | # | 1/27/2034 | 2,336,000 | 2,145,911 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 3.624% | 6/3/2030 | 2,196,000 | 1,930,348 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 2.691% (SOFR + 1.44%) | # | 6/23/2032 | 980,000 | 806,748 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% (3 mo. USD LIBOR + 1.73%) | # | 3/27/2029 | 2,143,000 | 2,072,185 | |||||||
Morgan Stanley | 4.00% | 7/23/2025 | 3,795,000 | 3,730,698 | ||||||||
Morgan Stanley | 4.21% (SOFR + 1.61%) | # | 4/20/2028 | 1,303,000 | 1,261,457 |
38 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.89%) | # | 1/23/2030 | $ | 12,802,000 | $ | 12,295,943 | |||||
Morgan Stanley | 5.297% (SOFR + 2.62%) | # | 4/20/2037 | 2,359,000 | 2,260,830 | |||||||
NatWest Group PLC (United Kingdom)(c) | 3.032% (5 yr. CMT + 2.35%) | # | 11/28/2035 | 4,299,000 | 3,546,079 | |||||||
NatWest Group PLC (United Kingdom)(c) | 4.269% (3 mo. USD LIBOR + 1.76%) | # | 3/22/2025 | 9,777,000 | 9,768,657 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.808% (1 yr. CMT + 1.95%) | # | 9/13/2029 | 6,000,000 | 6,063,888 | |||||||
NatWest Group PLC (United Kingdom)(c) | 7.472% (1 yr. CMT + 2.85%) | # | 11/10/2026 | 2,604,000 | 2,676,366 | |||||||
Royal Bank of Canada (Canada)(c) | 6.00% | 11/1/2027 | 1,391,000 | 1,432,813 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73%) | # | 8/4/2033 | 2,358,000 | 2,182,112 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(a)(c) | 6.60% (5 yr. CMT + 2.28%) | # | – | (e) | 1,076,000 | 1,074,015 | ||||||
Toronto-Dominion Bank (Canada)(c) | 4.456% | 6/8/2032 | 1,482,000 | 1,413,871 | ||||||||
Truist Financial Corp. | 5.711% (SOFR + 1.92%) | # | 1/24/2035 | 2,583,000 | 2,559,096 | |||||||
Truist Financial Corp. | 5.867% (SOFR + 2.36%) | # | 6/8/2034 | 1,958,000 | 1,958,776 | |||||||
U.S. Bancorp | 4.839% (SOFR + 1.60%) | # | 2/1/2034 | 2,677,000 | 2,520,551 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11%) | # | 7/22/2033 | 1,849,000 | 1,728,830 | |||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 3,045,000 | 3,037,464 | ||||||||
UBS Group AG (Switzerland)†(c) | 1.494% (1 yr. CMT + 0.85%) | # | 8/10/2027 | 8,000,000 | 7,249,659 | |||||||
UBS Group AG (Switzerland)†(c) | 2.746% (1 yr. CMT + 1.10%) | # | 2/11/2033 | 4,312,000 | 3,474,961 | |||||||
UBS Group AG (Switzerland)†(c) | 5.711% (1 yr. CMT + 1.55%) | # | 1/12/2027 | 6,945,000 | 6,944,790 | |||||||
UBS Group AG (Switzerland)†(c) | 6.442% (SOFR + 3.70%) | # | 8/11/2028 | 5,490,000 | 5,644,176 | |||||||
Wells Fargo & Co. | 2.164% (3 mo. USD Term SOFR + 1.01%) | # | 2/11/2026 | 2,014,000 | 1,948,492 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00%) | # | 4/30/2026 | 2,358,000 | 2,263,282 | |||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10%) | # | 6/2/2028 | 5,300,000 | 4,836,356 |
See Notes to Schedule of Investments. | 39 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50%) | # | 3/2/2033 | $ | 4,718,000 | $ | 4,051,077 | |||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02%) | # | 4/24/2034 | 3,081,000 | 3,031,363 | |||||||
Wells Fargo & Co. | 5.499% (SOFR + 1.78%) | # | 1/23/2035 | 5,606,000 | 5,571,072 | |||||||
Wells Fargo & Co. | 5.574% (SOFR + 1.74%) | # | 7/25/2029 | 2,255,000 | 2,270,734 | |||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25%) | # | 6/15/2031 | 1,200,000 | 1,055,400 | |||||||
Yapi ve Kredi Bankasi AS (Turkey)†(c) | 9.25% (5 yr. CMT + 5.28%) | # | 1/17/2034 | 1,724,000 | 1,782,831 | |||||||
Total | 265,327,299 | |||||||||||
Beverages 0.67% | ||||||||||||
Bacardi Ltd./Bacardi-Martini BV† | 5.40% | 6/15/2033 | 8,000,000 | 7,877,251 | ||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL (Guatemala)†(c) | 5.25% | 4/27/2029 | 2,825,000 | 2,651,488 | ||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 2,235,000 | 2,029,347 | ||||||||
Total | 12,558,086 | |||||||||||
Biotechnology 0.02% | ||||||||||||
Baxalta, Inc. | 4.00% | 6/23/2025 | 311,000 | 305,569 | ||||||||
Building Materials 0.62% | ||||||||||||
AmeriTex HoldCo Intermediate LLC† | 10.25% | 10/15/2028 | 2,425,000 | 2,543,219 | ||||||||
Carrier Global Corp. | 5.90% | 3/15/2034 | 1,347,000 | 1,398,063 | ||||||||
Eco Material Technologies, Inc.† | 7.875% | 1/31/2027 | 3,007,000 | 3,003,403 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 3,064,000 | 2,975,203 | ||||||||
Standard Industries, Inc.† | 4.375% | 7/15/2030 | 1,822,000 | 1,626,163 | ||||||||
Total | 11,546,051 | |||||||||||
Chemicals 0.98% | ||||||||||||
Celanese U.S. Holdings LLC | 6.05% | 3/15/2025 | 6,104,000 | 6,120,492 | ||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 1,487,000 | 1,407,349 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 4,782,000 | 4,458,606 | ||||||||
OCP SA (Malaysia)†(c) | 3.75% | 6/23/2031 | 3,120,000 | 2,654,777 | ||||||||
Olympus Water U.S. Holding Corp.† | 9.75% | 11/15/2028 | 1,450,000 | 1,542,506 | ||||||||
Rain Carbon, Inc.† | 12.25% | 9/1/2029 | 2,232,000 | 2,235,080 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 57,000 | 55,714 | ||||||||
Total | 18,474,524 |
40 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Coal 0.13% | ||||||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | $ | 2,650,000 | $ | 2,382,310 | ||||||
Commercial Services 0.66% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)(c) | 4.00% | 7/30/2027 | 2,900,000 | 2,655,280 | ||||||||
Allied Universal Holdco LLC† | 7.875% | 2/15/2031 | 1,735,000 | 1,725,162 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 6.00% | 6/1/2029 | 2,002,000 | 1,659,778 | ||||||||
ERAC USA Finance LLC† | 5.00% | 2/15/2029 | 3,704,000 | 3,682,187 | ||||||||
JSW Infrastructure Ltd. (India)(c) | 4.95% | 1/21/2029 | 2,870,000 | 2,685,070 | ||||||||
Total | 12,407,477 | |||||||||||
Computers 0.63% | ||||||||||||
Booz Allen Hamilton, Inc.† | 3.875% | 9/1/2028 | 5,113,000 | 4,749,306 | ||||||||
Leidos, Inc. | 5.75% | 3/15/2033 | 3,641,000 | 3,702,957 | ||||||||
McAfee Corp.† | 7.375% | 2/15/2030 | 3,730,000 | 3,296,380 | ||||||||
Total | 11,748,643 | |||||||||||
Diversified Financial Services 3.28% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 1.75% | 10/29/2024 | 7,000,000 | 6,812,735 | ||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 5,300,000 | 4,717,917 | ||||||||
Aretec Group, Inc.† | 10.00% | 8/15/2030 | 1,401,000 | 1,527,090 | ||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 131,000 | 121,830 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 4,000,000 | 3,981,626 | ||||||||
Aviation Capital Group LLC† | 6.375% | 7/15/2030 | 4,500,000 | 4,592,189 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 2.125% | 2/21/2026 | 3,500,000 | 3,249,743 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 11,371,000 | 10,968,012 | ||||||||
Capital One Financial Corp. | 5.70% (SOFR + 1.91%) | # | 2/1/2030 | 2,350,000 | 2,356,634 | |||||||
Coinbase Global, Inc.† | 3.625% | 10/1/2031 | 3,325,000 | 2,606,406 | ||||||||
GGAM Finance Ltd. (Ireland)†(c) | 8.00% | 2/15/2027 | 2,254,000 | 2,311,694 | ||||||||
Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(c) | 6.50% | 9/15/2024 | 1,650,000 | 1,520,108 | ||||||||
LPL Holdings, Inc.† | 4.00% | 3/15/2029 | 7,000,000 | 6,425,900 | ||||||||
Navient Corp. | 5.50% | 3/15/2029 | 3,567,000 | 3,232,587 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 4,800,000 | 4,610,143 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 303,000 | 244,223 | ||||||||
OneMain Finance Corp. | 6.625% | 1/15/2028 | 2,354,000 | 2,342,587 | ||||||||
Total | 61,621,424 |
See Notes to Schedule of Investments. | 41 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electric 4.48% | ||||||||||||
American Transmission Systems, Inc.† | 2.65% | 1/15/2032 | $ | 37,000 | $ | 30,407 | ||||||
Ausgrid Finance Pty. Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 3,780,000 | 3,615,632 | ||||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 5,500,000 | 5,625,386 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 2,500,000 | 2,580,541 | ||||||||
Duke Energy Indiana LLC | 5.40% | 4/1/2053 | 1,820,000 | 1,758,281 | ||||||||
Electricite de France SA (France)†(c) | 6.25% | 5/23/2033 | 5,000,000 | 5,225,866 | ||||||||
Entergy Corp. | 0.90% | 9/15/2025 | 4,675,000 | 4,371,708 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(c) | 7.125% | 2/11/2025 | 1,600,000 | 1,595,010 | ||||||||
Indiana Michigan Power Co. | 5.625% | 4/1/2053 | 1,317,000 | 1,320,646 | ||||||||
Indianapolis Power & Light Co.† | 5.65% | 12/1/2032 | 3,849,000 | 3,921,641 | ||||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 9,000,000 | 8,296,224 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 4.625% | 8/10/2030 | 2,555,090 | 2,419,249 | ||||||||
Minejesa Capital BV (Netherlands)(c) | 5.625% | 8/10/2037 | 1,442,000 | 1,263,394 | ||||||||
National Grid PLC (United Kingdom)(c) | 5.809% | 6/12/2033 | 3,995,000 | 4,039,785 | ||||||||
NextEra Energy Operating Partners LP† | 7.25% | 1/15/2029 | 1,772,000 | 1,802,710 | ||||||||
NRG Energy, Inc.† | 3.375% | 2/15/2029 | 1,795,000 | 1,568,386 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 6,500,000 | 6,046,127 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 2,419,000 | 2,415,720 | ||||||||
Oncor Electric Delivery Co. LLC(a) | 5.65% | 11/15/2033 | 3,905,000 | 4,036,744 | ||||||||
PacifiCorp | 5.45% | 2/15/2034 | 4,562,000 | 4,499,256 | ||||||||
Palomino Funding Trust I† | 7.233% | 5/17/2028 | 3,939,000 | 4,107,266 | ||||||||
Southern Co. | 4.475% | (f) | 8/1/2024 | 6,523,000 | 6,478,274 | |||||||
Talen Energy Supply LLC† | 8.625% | 6/1/2030 | 2,524,000 | 2,665,196 | ||||||||
Vistra Operations Co. LLC† | 5.125% | 5/13/2025 | 1,430,000 | 1,419,536 | ||||||||
Vistra Operations Co. LLC† | 7.75% | 10/15/2031 | 2,965,000 | 3,069,537 | ||||||||
Total | 84,172,522 | |||||||||||
Electronics 0.25% | ||||||||||||
Trimble, Inc. | 6.10% | 3/15/2033 | 4,500,000 | 4,705,030 | ||||||||
Energy-Alternate Sources 0.28% | ||||||||||||
Empresa Generadora de Electricidad Haina SA (Dominican Republic)†(c) | 5.625% | 11/8/2028 | 2,930,000 | 2,651,274 | ||||||||
Greenko Dutch BV (Netherlands)†(c) | 3.85% | 3/29/2026 | 2,803,675 | 2,645,912 | ||||||||
Total | 5,297,186 | |||||||||||
Engineering & Construction 0.79% | ||||||||||||
Cellnex Finance Co. SA (Spain)†(c) | 3.875% | 7/7/2041 | 4,096,000 | 3,190,129 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 1,015,000 | 960,520 | ||||||||
Irb Infrastructure Developers (India)(a)(c) | 7.11% | 3/11/2032 | 2,280,000 | 2,278,107 | ||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 6,000,000 | 6,002,729 |
42 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Engineering & Construction (continued) | ||||||||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | $ | 2,521,000 | $ | 2,348,690 | ||||||
Total | 14,780,175 | |||||||||||
Entertainment 0.49% | ||||||||||||
Caesars Entertainment, Inc.† | 4.625% | 10/15/2029 | 1,525,000 | 1,393,272 | ||||||||
Cinemark USA, Inc.† | 5.875% | 3/15/2026 | 1,303,000 | 1,284,601 | ||||||||
Jacobs Entertainment, Inc.† | 6.75% | 2/15/2029 | 1,733,000 | 1,653,689 | ||||||||
Warnermedia Holdings, Inc. | 3.788% | 3/15/2025 | 5,000,000 | 4,902,412 | ||||||||
Total | 9,233,974 | |||||||||||
Environmental Control 0.32% | ||||||||||||
Enviri Corp.† | 5.75% | 7/31/2027 | 1,707,000 | 1,596,658 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 2,492,000 | 2,227,279 | ||||||||
Veralto Corp.† | 5.45% | 9/18/2033 | 2,159,000 | 2,170,031 | ||||||||
Total | 5,993,968 | |||||||||||
Food 0.07% | ||||||||||||
NBM U.S. Holdings, Inc. | 7.00% | 5/14/2026 | 1,400,000 | 1,398,432 | ||||||||
Gas 0.85% | ||||||||||||
CenterPoint Energy Resources Corp. | 1.75% | 10/1/2030 | 4,513,000 | 3,669,654 | ||||||||
East Ohio Gas Co.† | 1.30% | 6/15/2025 | 2,649,000 | 2,512,835 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 3,036,000 | 2,881,949 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 1,308,000 | 1,304,222 | ||||||||
NiSource, Inc. | 2.95% | 9/1/2029 | 3,977,000 | 3,577,007 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 2,156,000 | 1,972,635 | ||||||||
Total | 15,918,302 | |||||||||||
Hand/Machine Tools 0.40% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 7,500,000 | 7,533,874 | ||||||||
Health Care-Products 0.63% | ||||||||||||
GE HealthCare Technologies, Inc. | 5.65% | 11/15/2027 | 4,744,000 | 4,820,457 | ||||||||
Solventum Corp.† | 5.45% | 3/13/2031 | 3,693,000 | 3,662,812 | ||||||||
Solventum Corp.† | 5.60% | 3/23/2034 | 3,339,000 | 3,319,208 | ||||||||
Total | 11,802,477 | |||||||||||
Health Care-Services 1.95% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 6,847,000 | 6,040,621 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 8,000,000 | 7,064,179 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 3,500,000 | 3,333,056 | ||||||||
CHS/Community Health Systems, Inc.† | 5.625% | 3/15/2027 | 3,738,000 | 3,424,403 |
See Notes to Schedule of Investments. | 43 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Health Care-Services (continued) | ||||||||||||
DaVita, Inc.† | 4.625% | 6/1/2030 | $ | 1,647,000 | $ | 1,450,327 | ||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 193,000 | 163,942 | ||||||||
HCA, Inc. | 5.50% | 6/1/2033 | 5,205,000 | 5,176,010 | ||||||||
Heartland Dental LLC/Heartland Dental Finance Corp.† | 10.50% | 4/30/2028 | 2,136,000 | 2,245,470 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 2,140,000 | 2,200,461 | ||||||||
LifePoint Health, Inc.† | 9.875% | 8/15/2030 | 3,139,000 | 3,260,599 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 537,000 | 471,546 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 1,875,000 | 1,855,341 | ||||||||
Total | 36,685,955 | |||||||||||
Housewares 0.12% | ||||||||||||
Newell Brands, Inc. | 6.375% | 9/15/2027 | 2,221,000 | 2,158,437 | ||||||||
Insurance 1.70% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 10/15/2027 | 1,507,000 | 1,465,452 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 515,000 | 419,274 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 312,000 | 278,803 | ||||||||
F&G Global Funding† | 5.15% | 7/7/2025 | 3,435,000 | 3,369,969 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 4,577,000 | 4,483,451 | ||||||||
Global Atlantic Fin Co.† | 4.40% | 10/15/2029 | 6,551,000 | 5,994,868 | ||||||||
Global Atlantic Fin Co.† | 7.95% | 6/15/2033 | 1,937,000 | 2,121,119 | ||||||||
Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC (United Kingdom)†(c) | 7.25% | 2/15/2031 | 1,936,000 | 1,940,230 | ||||||||
HUB International Ltd.† | 7.375% | 1/31/2032 | 1,293,000 | 1,297,905 | ||||||||
Jackson National Life Global Funding† | 5.50% | 1/9/2026 | 5,281,000 | 5,259,369 | ||||||||
Jones Deslauriers Insurance Management, Inc. (Canada)†(c) | 8.50% | 3/15/2030 | 2,038,000 | 2,121,731 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 2,760,000 | 2,630,673 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 393,000 | 479,791 | ||||||||
Total | 31,862,635 | |||||||||||
Internet 0.43% | ||||||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | 3,009,000 | 3,087,158 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 4.75% | 4/30/2027 | 612,000 | 587,958 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 6.00% | 2/15/2028 | 878,000 | 843,723 | ||||||||
Prosus NV (Netherlands)†(c) | 3.257% | 1/19/2027 | 3,870,000 | 3,563,422 | ||||||||
Total | 8,082,261 |
44 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Iron-Steel 0.08% | ||||||||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | $ | 1,431,000 | $ | 1,449,095 | ||||||
Leisure Time 0.46% | ||||||||||||
Carnival Corp.† | 6.00% | 5/1/2029 | 3,310,000 | 3,236,644 | ||||||||
Lindblad Expeditions Holdings, Inc.† | 9.00% | 5/15/2028 | 1,307,000 | 1,380,081 | ||||||||
NCL Corp. Ltd.† | 5.875% | 2/15/2027 | 1,289,000 | 1,274,881 | ||||||||
Royal Caribbean Cruises Ltd.†(a) | 6.25% | 3/15/2032 | 1,176,000 | 1,179,876 | ||||||||
Royal Caribbean Cruises Ltd.† | 7.25% | 1/15/2030 | 1,436,000 | 1,494,108 | ||||||||
Total | 8,565,590 | |||||||||||
Lodging 0.02% | ||||||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 364,000 | 346,357 | ||||||||
Machinery-Diversified 0.43% | ||||||||||||
Maxim Crane Works Holdings Capital LLC† | 11.50% | 9/1/2028 | 1,477,000 | 1,537,300 | ||||||||
nVent Finance SARL (Luxembourg)(c) | 4.55% | 4/15/2028 | 6,722,000 | 6,492,403 | ||||||||
Total | 8,029,703 | |||||||||||
Media 0.98% | ||||||||||||
AMC Networks, Inc. | 4.25% | 2/15/2029 | 3,083,000 | 1,998,478 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 2,600,000 | 2,214,212 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.908% | 7/23/2025 | 2,772,000 | 2,734,386 | ||||||||
CSC Holdings LLC† | 11.75% | 1/31/2029 | 1,650,000 | 1,725,813 | ||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.† | 5.875% | 8/15/2027 | 1,806,000 | 1,705,893 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 3,397,000 | 2,955,494 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(c) | 4.875% | 1/22/2030 | 1,484,000 | 1,292,250 | ||||||||
Gray Television, Inc.† | 5.375% | 11/15/2031 | 3,522,000 | 2,282,256 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 1,665,000 | 1,480,377 | ||||||||
Total | 18,389,159 | |||||||||||
Mining 0.67% | ||||||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(c) | 4.375% | 4/1/2031 | 2,388,000 | 2,142,418 | ||||||||
Glencore Funding LLC† | 4.875% | 3/12/2029 | 2,283,000 | 2,253,124 | ||||||||
Glencore Funding LLC† | 6.375% | 10/6/2030 | 3,000,000 | 3,154,628 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 2,021,000 | 2,018,332 | ||||||||
Novelis Corp.† | 3.875% | 8/15/2031 | 1,414,000 | 1,198,327 | ||||||||
WE Soda Investments Holding PLC (United Kingdom)†(c) | 9.50% | 10/6/2028 | 1,730,000 | 1,800,987 | ||||||||
Total | 12,567,816 |
See Notes to Schedule of Investments. | 45 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Miscellaneous Manufacturing 0.23% | ||||||||||||
Calderys Financing LLC (France)†(c) | 11.25% | 6/1/2028 | $ | 2,046,000 | $ | 2,193,011 | ||||||
LSB Industries, Inc.† | 6.25% | 10/15/2028 | 2,285,000 | 2,169,003 | ||||||||
Total | 4,362,014 | |||||||||||
Oil & Gas 5.37% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 2,334,000 | 2,226,526 | ||||||||
Apache Corp. | 4.25% | 1/15/2030 | 4,934,000 | 4,535,979 | ||||||||
Baytex Energy Corp. (Canada)†(c) | 8.50% | 4/30/2030 | 1,641,000 | 1,707,664 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 2,433,000 | 2,385,511 | ||||||||
Borr IHC Ltd./Borr Finance LLC† | 10.00% | 11/15/2028 | 2,305,000 | 2,386,069 | ||||||||
BP Capital Markets PLC (United Kingdom)(a)(c) | 6.45% (5 yr. CMT + 2.15%) | # | – | (e) | 1,184,000 | 1,189,616 | ||||||
CITGO Petroleum Corp.† | 8.375% | 1/15/2029 | 1,500,000 | 1,576,536 | ||||||||
Civitas Resources, Inc.† | 8.375% | 7/1/2028 | 2,073,000 | 2,171,828 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 3,257,000 | 3,008,699 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 11,715,000 | 11,491,098 | ||||||||
Cosan Luxembourg SA (Luxembourg)†(c) | 7.25% | 6/27/2031 | 2,653,000 | 2,701,351 | ||||||||
Coterra Energy, Inc.(a) | 5.60% | 3/15/2034 | 4,567,000 | 4,567,377 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 2,119,000 | 2,219,584 | ||||||||
Diamond Foreign Asset Co./Diamond Finance LLC (Cayman Islands)†(c) | 8.50% | 10/1/2030 | 1,449,000 | 1,484,866 | ||||||||
Ecopetrol SA (Colombia)(c) | 8.375% | 1/19/2036 | 2,689,000 | 2,701,437 | ||||||||
EQT Corp. | 5.75% | 2/1/2034 | 2,567,000 | 2,526,534 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 6,650,000 | 7,047,431 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 2/1/2029 | 1,506,000 | 1,457,693 | ||||||||
Medco Maple Tree Pte. Ltd. (Singapore)†(c) | 8.96% | 4/27/2029 | 2,550,000 | 2,671,327 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 1,200,000 | 1,264,362 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 3,867,000 | 4,072,802 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 3,000,000 | 3,076,360 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 6,000,000 | 5,795,080 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 6.00% | 2/15/2028 | 1,635,000 | 1,591,533 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 3,566,000 | 3,563,213 | ||||||||
Permian Resources Operating LLC† | 8.00% | 4/15/2027 | 1,556,000 | 1,606,075 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.70% | 2/16/2032 | 4,377,000 | 3,532,242 | ||||||||
Precision Drilling Corp. (Canada)†(c) | 6.875% | 1/15/2029 | 1,795,000 | 1,774,573 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 1,649,000 | 1,520,664 | ||||||||
Talos Production, Inc.† | 9.00% | 2/1/2029 | 1,652,000 | 1,689,753 | ||||||||
Transocean, Inc.† | 8.00% | 2/1/2027 | 3,134,000 | 3,061,918 | ||||||||
Valaris Ltd.† | 8.375% | 4/30/2030 | 2,171,000 | 2,227,962 | ||||||||
Vermilion Energy, Inc. (Canada)†(c) | 6.875% | 5/1/2030 | 2,925,000 | 2,821,923 |
46 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Vital Energy, Inc. | 9.75% | 10/15/2030 | $ | 2,993,000 | $ | 3,208,493 | ||||||
Total | 100,864,079 | |||||||||||
Oil & Gas Services 0.30% | ||||||||||||
Kodiak Gas Services LLC† | 7.25% | 2/15/2029 | 1,680,000 | 1,711,661 | ||||||||
NOV, Inc. | 3.60% | 12/1/2029 | 4,300,000 | 3,929,292 | ||||||||
Total | 5,640,953 | |||||||||||
Packaging & Containers 0.57% | ||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)†(c) | 4.125% | 8/15/2026 | 2,425,000 | 2,240,142 | ||||||||
Clydesdale Acquisition Holdings, Inc.† | 8.75% | 4/15/2030 | 2,634,000 | 2,509,896 | ||||||||
LABL, Inc.† | 9.50% | 11/1/2028 | 2,060,000 | 2,063,066 | ||||||||
Mauser Packaging Solutions Holding Co.† | 7.875% | 8/15/2026 | 1,350,000 | 1,368,822 | ||||||||
Mauser Packaging Solutions Holding Co.† | 9.25% | 4/15/2027 | 2,500,000 | 2,434,033 | ||||||||
Total | 10,615,959 | |||||||||||
Pharmaceuticals 1.33% | ||||||||||||
180 Medical, Inc.† | 3.875% | 10/15/2029 | 866,000 | 775,919 | ||||||||
Bayer U.S. Finance II LLC† | 4.25% | 12/15/2025 | 4,694,000 | 4,565,717 | ||||||||
Bayer U.S. Finance LLC† | 6.25% | 1/21/2029 | 4,800,000 | 4,838,222 | ||||||||
Bayer U.S. Finance LLC† | 6.375% | 11/21/2030 | 2,557,000 | 2,577,609 | ||||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | 1,124,000 | 1,148,121 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 2,062,000 | 1,769,029 | ||||||||
CVS Health Corp. | 1.75% | 8/21/2030 | 3,900,000 | 3,169,435 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 4,795,000 | 4,369,796 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 2,058,000 | 1,837,329 | ||||||||
Total | 25,051,177 | |||||||||||
Pipelines 1.68% | ||||||||||||
Cheniere Energy Partners LP | 3.25% | 1/31/2032 | 1,700,000 | 1,422,242 | ||||||||
Columbia Pipeline Group, Inc. | 4.50% | 6/1/2025 | 5,000,000 | 4,929,024 | ||||||||
Delek Logistics Partners LP/Delek Logistics Finance Corp.† | 7.125% | 6/1/2028 | 2,355,000 | 2,256,973 | ||||||||
EIG Pearl Holdings SARL (Luxembourg)†(c) | 3.545% | 8/31/2036 | 3,600,000 | 3,067,200 | ||||||||
Enbridge, Inc. (Canada)(c) | 6.20% | 11/15/2030 | 1,573,000 | 1,650,132 | ||||||||
EQM Midstream Partners LP† | 7.50% | 6/1/2030 | 2,061,000 | 2,192,751 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)(c) | 2.16% | 3/31/2034 | 3,610,120 | 3,100,892 | ||||||||
Kinder Morgan Energy Partners LP | 4.25% | 9/1/2024 | 1,129,000 | 1,120,678 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp.† | 8.375% | 2/15/2032 | 2,125,000 | 2,160,258 |
See Notes to Schedule of Investments. | 47 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | $ | 600,000 | $ | 512,585 | ||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 3,500,000 | 3,418,051 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 1,912,000 | 1,909,813 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 3,733,000 | 3,778,640 | ||||||||
Total | 31,519,239 | |||||||||||
Real Estate 0.35% | ||||||||||||
Cushman & Wakefield U.S. Borrower LLC† | 6.75% | 5/15/2028 | 2,382,000 | 2,348,521 | ||||||||
Howard Hughes Corp.† | 5.375% | 8/1/2028 | 2,500,000 | 2,361,312 | ||||||||
Kennedy-Wilson, Inc. | 4.75% | 2/1/2030 | 2,293,000 | 1,816,687 | ||||||||
Total | 6,526,520 | |||||||||||
REITS 2.25% | ||||||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 5,000,000 | 4,887,389 | ||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 4,976,000 | 4,609,001 | ||||||||
American Tower Corp. | 5.55% | 7/15/2033 | 3,000,000 | 2,999,376 | ||||||||
Crown Castle, Inc. | 2.10% | 4/1/2031 | 3,000,000 | 2,409,841 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 8,500,000 | 7,510,043 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 2,701,000 | 2,565,800 | ||||||||
Trust Fibra Uno (Mexico)†(c) | 7.375% | 2/13/2034 | 2,900,000 | 2,912,325 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.75% | 2/15/2027 | 6,500,000 | 6,120,528 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 5,831,000 | 5,433,559 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 2,831,000 | 2,831,103 | ||||||||
Total | 42,278,965 | |||||||||||
Retail 0.96% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(c) | 5.267% | 2/12/2034 | 3,559,000 | 3,528,691 | ||||||||
Asbury Automotive Group, Inc.† | 5.00% | 2/15/2032 | 1,125,000 | 999,988 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 1,527,000 | 1,555,549 | ||||||||
Evergreen Acqco 1 LP/TVI, Inc.† | 9.75% | 4/26/2028 | 1,787,000 | 1,886,884 | ||||||||
Gap, Inc.† | 3.875% | 10/1/2031 | 4,168,000 | 3,367,008 | ||||||||
LBM Acquisition LLC† | 6.25% | 1/15/2029 | 1,764,000 | 1,591,073 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 2,477,000 | 2,387,915 | ||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC† | 7.125% | 4/1/2026 | 1,622,000 | 1,592,396 | ||||||||
Raising Cane’s Restaurants LLC† | 9.375% | 5/1/2029 | 1,116,000 | 1,190,173 | ||||||||
Total | 18,099,677 | |||||||||||
Semiconductors 0.34% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 2,413,000 | 2,217,033 | ||||||||
Micron Technology, Inc. | 5.30% | 1/15/2031 | 1,888,000 | 1,869,511 | ||||||||
SK Hynix, Inc. (South Korea)†(c) | 5.50% | 1/16/2029 | 2,273,000 | 2,270,390 | ||||||||
Total | 6,356,934 |
48 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Software 1.19% | ||||||||||||
AthenaHealth Group, Inc.† | 6.50% | 2/15/2030 | $ | 1,569,000 | $ | 1,406,235 | ||||||
Cloud Software Group, Inc.† | 6.50% | 3/31/2029 | 2,493,000 | 2,323,184 | ||||||||
Cloud Software Group, Inc.† | 9.00% | 9/30/2029 | 1,646,000 | 1,538,185 | ||||||||
MSCI, Inc.† | 3.625% | 11/1/2031 | 5,500,000 | 4,767,480 | ||||||||
Oracle Corp. | 2.875% | 3/25/2031 | 3,491,000 | 3,011,914 | ||||||||
Oracle Corp. | 6.25% | 11/9/2032 | 4,500,000 | 4,755,012 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 1,484,000 | 1,300,822 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 3,500,000 | 3,164,699 | ||||||||
Total | 22,267,531 | |||||||||||
Telecommunications 1.90% | ||||||||||||
Altice France SA (France)†(c) | 8.125% | 2/1/2027 | 1,525,000 | 1,402,946 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 6,709,000 | 6,401,878 | ||||||||
Frontier Communications Holdings LLC† | 5.00% | 5/1/2028 | 1,676,000 | 1,552,829 | ||||||||
Frontier Communications Holdings LLC | 5.875% | 11/1/2029 | 1,886,000 | 1,617,348 | ||||||||
Lumen Technologies, Inc.† | 4.00% | 2/15/2027 | 1,804,000 | 1,217,465 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 4,500,000 | 4,789,517 | ||||||||
Sprint Capital Corp. | 8.75% | 3/15/2032 | 4,500,000 | 5,438,376 | ||||||||
T-Mobile USA, Inc. | 3.50% | 4/15/2025 | 814,000 | 795,945 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 7,088,000 | 6,582,934 | ||||||||
T-Mobile USA, Inc. | 4.85% | 1/15/2029 | 4,281,000 | 4,228,138 | ||||||||
Viasat, Inc.† | 7.50% | 5/30/2031 | 2,295,000 | 1,615,106 | ||||||||
Total | 35,642,482 | |||||||||||
Transportation 0.16% | ||||||||||||
Rand Parent LLC† | 8.50% | 2/15/2030 | 3,123,000 | 3,037,343 | ||||||||
Trucking & Leasing 0.12% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 2,306,000 | 2,211,134 | ||||||||
Total Corporate Bonds (cost $1,063,727,846) | 1,067,541,386 | |||||||||||
FLOATING RATE LOANS(g) 1.54% | ||||||||||||
Airlines 0.04% | ||||||||||||
Mileage Plus Holdings LLC 2020 Term Loan B | 10.77% (3 mo. USD Term SOFR + 5.25%) | 6/21/2027 | 777,778 | 802,173 | ||||||||
Beverages 0.10% | ||||||||||||
Triton Water Holdings, Inc. Term Loan | – | (h) | 3/31/2028 | 1,878,000 | 1,848,656 |
See Notes to Schedule of Investments. | 49 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Entertainment 0.31% | ||||||||||||
Flutter Financing BV Term Loan B (Netherlands)(c) | 7.698% (3 mo. USD Term SOFR + 2.25%) | 11/25/2030 | $ | 5,934,000 | $ | 5,919,788 | ||||||
Healthcare 0.25% | ||||||||||||
Dermatology Intermediate Holdings III, Inc. 2022 Term Loan B | – | (h) | 3/30/2029 | 1,892,000 | 1,851,559 | |||||||
Hunter Holdco 3 Ltd. USD Term Loan B (United Kingdom)(c) | – | (h) | 8/19/2028 | 2,796,355 | 2,789,784 | |||||||
Total | 4,641,343 | |||||||||||
Lodging 0.16% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B3 | 7.171% (1 mo. USD Term SOFR + 1.75%) | 6/21/2028 | 3,000,000 | 3,004,020 | ||||||||
Media 0.28% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B2 | 7.076% (1 mo. USD Term SOFR + 1.75%) | 2/1/2027 | 2,053,746 | 2,049,094 | ||||||||
Charter Communications Operating LLC 2023 Term Loan B4 | 7.329% (3 mo. USD Term SOFR + 2.00%) | 12/7/2030 | 3,297,178 | 3,247,720 | ||||||||
Total | 5,296,814 | |||||||||||
Retail 0.10% | ||||||||||||
Fogo De Chao, Inc. 2023 Term Loan B | – | (h) | 9/30/2030 | 1,870,894 | 1,855,843 | |||||||
Service 0.15% | ||||||||||||
Red Planet Borrower LLC Term Loan B | – | (h) | 10/2/2028 | 2,839,000 | 2,779,267 | |||||||
Software 0.15% | ||||||||||||
Rocket Software, Inc. 2023 USD Term Loan B | – | (h) | 11/28/2028 | 2,810,000 | 2,777,615 | |||||||
Total Floating Rate Loans (cost $28,997,233) | 28,925,519 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(c) 1.22% | ||||||||||||
Brazil 0.13% | ||||||||||||
Brazil Government International Bonds | 6.125% | 3/15/2034 | 2,364,000 | 2,339,532 | ||||||||
Colombia 0.14% | ||||||||||||
Colombia Government International Bonds | 7.50% | 2/2/2034 | 2,600,000 | 2,629,677 | ||||||||
Egypt 0.10% | ||||||||||||
Egypt Government International Bonds | 7.60% | 3/1/2029 | 2,100,000 | 1,906,641 |
50 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Japan 0.32% | ||||||||||||
Japan International Cooperation Agency | 2.125% | 10/20/2026 | $ | 6,504,000 | $ | 6,063,535 | ||||||
Mexico 0.24% | ||||||||||||
Mexico Government International Bonds | 4.875% | 5/19/2033 | 4,735,000 | 4,461,988 | ||||||||
Nigeria 0.09% | ||||||||||||
Nigeria Government International Bonds | 6.125% | 9/28/2028 | 2,000,000 | 1,761,082 | ||||||||
Senegal 0.11% | ||||||||||||
Senegal Government International Bonds† | 6.25% | 5/23/2033 | 2,460,000 | 2,050,176 | ||||||||
Turkey 0.09% | ||||||||||||
Turkiye Ihracat Kredi Bankasi AS† | 9.00% | 1/28/2027 | 1,680,000 | 1,754,716 | ||||||||
Total Foreign Government Obligations (cost $22,995,739) | 22,967,347 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.44% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 145 Class A2 | 2.58% | 5/25/2032 | 6,725,000 | 5,741,601 | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series G07 Class A2 | 3.123% | #(i) | 8/25/2032 | 2,769,000 | 2,458,255 | |||||||
Government National Mortgage Association Series 2017-76 Class AS | 2.65% | 11/16/2050 | 3,829 | 3,334 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $8,259,655) | 8,203,190 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 14.27% | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.50% | 11/1/2050 - 11/1/2051 | 7,218,491 | 6,015,045 | ||||||||
Federal Home Loan Mortgage Corp. | 3.00% | 10/1/2050 - 1/1/2052 | 10,312,089 | 8,911,837 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 2/1/2046 | 809,416 | 743,962 | ||||||||
Federal Home Loan Mortgage Corp. | 4.50% | 8/1/2052 | 2,056,408 | 1,972,655 | ||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 - 8/1/2052 | 4,541,217 | 4,454,842 | ||||||||
Federal National Mortgage Association | 2.00% | 9/1/2051 - 11/1/2051 | 2,064,148 | 1,634,363 | ||||||||
Federal National Mortgage Association | 2.50% | 1/1/2051 - 5/1/2052 | 23,499,987 | 19,565,989 | ||||||||
Federal National Mortgage Association | 3.00% | 12/1/2048 - 1/1/2052 | 1,985,023 | 1,729,336 | ||||||||
Federal National Mortgage Association | 3.50% | 7/1/2045 - 4/1/2052 | 15,926,155 | 14,389,450 |
See Notes to Schedule of Investments. | 51 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGH (continued) | ||||||||||||
Federal National Mortgage Association | 4.00% | 5/1/2052 - 6/1/2052 | $ | 3,181,920 | $ | 2,974,647 | ||||||
Federal National Mortgage Association | 5.00% | 7/1/2052 - 10/1/2052 | 6,250,503 | 6,103,340 | ||||||||
Government National Mortgage Association(j) | 2.00% | TBA | 8,106,000 | 6,606,071 | ||||||||
Government National Mortgage Association(j) | 2.50% | TBA | 11,221,000 | 9,498,687 | ||||||||
Government National Mortgage Association(j) | 3.00% | TBA | 15,617,000 | 13,699,997 | ||||||||
Government National Mortgage Association(j) | 3.50% | TBA | 7,347,000 | 6,647,392 | ||||||||
Government National Mortgage Association(j) | 4.50% | TBA | 4,386,000 | 4,189,600 | ||||||||
Government National Mortgage Association(j) | 5.00% | TBA | 19,530,000 | 19,079,201 | ||||||||
Government National Mortgage Association(j) | 5.50% | TBA | 16,586,000 | 16,470,027 | ||||||||
Government National Mortgage Association(j) | 6.00% | TBA | 18,383,000 | 18,459,711 | ||||||||
Government National Mortgage Association(j) | 6.50% | TBA | 5,847,000 | 5,925,855 | ||||||||
Uniform Mortgage-Backed Security(j) | 2.00% | TBA | 19,429,000 | 15,279,845 | ||||||||
Uniform Mortgage-Backed Security(j) | 2.50% | TBA | 17,109,000 | 14,075,929 | ||||||||
Uniform Mortgage-Backed Security(j) | 3.00% | TBA | 7,437,000 | 6,361,992 | ||||||||
Uniform Mortgage-Backed Security(j) | 4.00% | TBA | 3,292,000 | 3,030,616 | ||||||||
Uniform Mortgage-Backed Security(j) | 5.00% | TBA | 11,814,000 | 11,459,125 | ||||||||
Uniform Mortgage-Backed Security(j) | 5.50% | TBA | 12,084,000 | 12,111,223 | ||||||||
Uniform Mortgage-Backed Security(j) | 6.00% | TBA | 19,852,000 | 20,085,426 | ||||||||
Uniform Mortgage-Backed Security(j) | 6.50% | TBA | 7,214,000 | 7,338,047 | ||||||||
Uniform Mortgage-Backed Security(j) | 7.00% | TBA | 8,816,000 | 9,045,906 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $268,356,611) | 267,860,116 | |||||||||||
MUNICIPAL BONDS 0.34% | ||||||||||||
Government 0.25% | ||||||||||||
State of Illinois GO | 5.10% | 6/1/2033 | 4,760,000 | 4,691,971 | ||||||||
Natural Gas 0.09% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.102% | 4/1/2035 | 1,689,000 | 1,702,173 | ||||||||
Total Municipal Bonds (cost $6,366,854) | 6,394,144 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 8.25% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(i) | 12/25/2059 | 18,899 | 17,956 | |||||||
Bank Series 2022-BNK44 Class A5 | 5.745% | #(i) | 11/15/2055 | 4,400,000 | 4,597,998 | |||||||
Bank Series 2023-5YR2 Class A3 | 6.656% | #(i) | 7/15/2056 | 2,065,000 | 2,174,812 | |||||||
Bank Series 2023-5YR4 Class A3 | 6.50% | 12/15/2056 | 3,370,000 | 3,540,746 | ||||||||
Bank Series 2024-5YR5 Class A3 | 5.702% | 2/15/2029 | 1,810,000 | 1,848,758 | ||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.743% (1 mo. USD Term SOFR + 1.42%) | # | 11/15/2034 | 87,000 | 30,500 |
52 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class C† | 7.043% (1 mo. USD Term SOFR + 1.72%) | # | 11/15/2034 | $ | 350,000 | $ | 86,502 | |||||
Benchmark Mortgage Trust Series 2024-V5 Class A3 | 5.805% | 1/10/2057 | 2,530,000 | 2,601,085 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.865% (1 mo. USD Term SOFR + 1.55%) | # | 7/15/2035 | 3,384,409 | 3,375,587 | |||||||
BMO Mortgage Trust Series 2023-5C2 Class A3 | 7.055% | #(i) | 11/15/2056 | 5,254,000 | 5,667,324 | |||||||
BMO Mortgage Trust Series 2023-C5 Class A4 | 5.494% | 6/15/2056 | 2,471,000 | 2,523,935 | ||||||||
BRAVO Residential Funding Trust Series 2021-NQM2 Class A1† | 0.97% | #(i) | 3/25/2060 | 869,262 | 807,969 | |||||||
BX Commercial Mortgage Trust Series 2021-ACNT Class A† | 6.283% (1 mo. USD Term SOFR + 0.96%) | # | 11/15/2038 | 2,216,116 | 2,203,250 | |||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 6.121% (1 mo. USD Term SOFR + 0.80%) | # | 10/15/2038 | 2,345,790 | 2,324,033 | |||||||
BX Commercial Mortgage Trust Series 2024-XL4 Class A† | 6.76% (1 mo. USD Term SOFR + 1.44%) | # | 2/15/2039 | 5,730,000 | 5,738,856 | |||||||
CF Trust Series 2019-BOSS Class A1† | 8.615% (1 mo. USD Term SOFR + 3.30%) | # | 12/15/2024 | 222,000 | 215,444 | |||||||
Chase Home Lending Mortgage Trust Series 2024-1A2 Class A2† | 6.50% | #(i) | 1/25/2055 | 3,122,933 | 3,141,183 | |||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class AS | 3.849% | 2/10/2049 | 97,572 | 86,566 | ||||||||
Citigroup Mortgage Loan Trust, Inc. Series 2022-INV1 Class A3B† | 3.00% | #(i) | 11/27/2051 | 2,377,029 | 1,990,066 | |||||||
COMM Mortgage Trust Series 2014-CR17 Class AM | 4.174% | 5/10/2047 | 2,170,000 | 2,093,293 | ||||||||
COMM Mortgage Trust Series 2015-LC21 Class AM | 4.043% | #(i) | 7/10/2048 | 2,209,000 | 2,125,597 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS4 Class D† | 4.723% | #(i) | 8/10/2047 | 835,000 | 468,407 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS6 Class B | 4.349% | #(i) | 12/10/2047 | 50,000 | 46,968 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | (f) | 5/25/2065 | 225,984 | 205,879 | |||||||
CS Master Trust Series 2021-BLUF Class A†(k) | 9.614% (1 mo. USD Term SOFR + 4.29%) | # | 4/15/2023 | 200,000 | 194,623 | (b) | ||||||
CSMC Trust Series 2020-AFC1 Class A1† | 3.24% | #(i) | 2/25/2050 | 65,243 | 59,756 |
See Notes to Schedule of Investments. | 53 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(i) | 8/25/2066 | $ | 2,334,116 | $ | 1,975,213 | |||||
Ellington Financial Mortgage Trust Series 2020-2 Class A1† | 1.178% | #(i) | 10/25/2065 | 38,127 | 34,454 | |||||||
Ellington Financial Mortgage Trust Series 2023-1 Class A1† | 5.732% | (f) | 2/25/2068 | 2,734,648 | 2,712,656 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Notes Series 2023-DNA2 Class M1B† | 8.572% (30 day USD SOFR Average + 3.25%) | # | 4/25/2043 | 2,450,000 | 2,571,282 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA3 Class M1† | 6.172% (30 day USD SOFR Average + 0.85%) | # | 9/25/2041 | 1,176,338 | 1,171,853 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA4 Class M1† | 6.272% (30 day USD SOFR Average + 0.95%) | # | 12/25/2041 | 563,842 | 561,367 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA2 Class M1B† | 7.722% (30 day USD SOFR Average + 2.40%) | # | 2/25/2042 | 1,800,000 | 1,840,021 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-HQA1 Class M1A† | 7.422% (30 day USD SOFR Average + 2.10%) | # | 3/25/2042 | 1,396,811 | 1,408,972 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-HQA1 Class M1B† | 8.822% (30 day USD SOFR Average + 3.50%) | # | 3/25/2042 | 2,639,000 | 2,762,951 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-HQA3 Class A1† | 7.172% (30 day USD SOFR Average + 1.85%) | # | 11/25/2043 | 7,194,898 | 7,299,411 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-HQA3 Class M1A† | 7.622% (30 day USD SOFR Average + 2.30%) | # | 8/25/2042 | 3,715,293 | 3,797,062 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R04 Class 1M1† | 7.621% (30 day USD SOFR Average + 2.30%) | # | 5/25/2043 | 4,198,201 | 4,302,512 |
54 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R04 Class 1M2† | 8.871% (30 day USD SOFR Average + 3.55%) | # | 5/25/2043 | $ | 1,900,000 | $ | 2,024,313 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R08 Class 1M1† | 6.822% (30 day USD SOFR Average + 1.50%) | # | 10/25/2043 | 2,860,668 | 2,867,896 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2019-R05 Class 1B1† | 9.536% (30 day USD SOFR Average + 4.21%) | # | 7/25/2039 | 1,094,903 | 1,140,202 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R05 Class 2M1† | 7.222% (30 day USD SOFR Average + 1.90%) | # | 4/25/2042 | 1,472,684 | 1,480,532 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R06 Class 1M1† | 8.072% (30 day USD SOFR Average + 2.75%) | # | 5/25/2042 | 1,821,004 | 1,866,239 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R08 Class 1M1† | 7.872% (30 day USD SOFR Average + 2.55%) | # | 7/25/2042 | 5,784,021 | 5,944,909 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.721% (30 day USD SOFR Average + 2.40%) | # | 12/25/2042 | 4,001,167 | 4,100,508 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R02 Class 1M1† | 7.622% (30 day USD SOFR Average + 2.30%) | # | 1/25/2043 | 2,700,088 | 2,761,063 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R03 Class 2M1† | 7.822% (30 day USD SOFR Average + 2.50%) | # | 4/25/2043 | 2,534,391 | 2,577,918 | |||||||
Flagstar Mortgage Trust Series 2021-4 Class A1† | 2.50% | #(i) | 6/1/2051 | 4,792,404 | 3,851,678 | |||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class XCP†(l) | Zero Coupon | #(i) | 8/15/2032 | 36,803,000 | 784 | |||||||
GS Mortgage Securities Corp. Trust Series 2023-FUN Class A† | 7.409% (1 mo. USD Term SOFR + 2.09%) | # | 3/15/2028 | 2,500,000 | 2,509,172 | |||||||
GS Mortgage-Backed Securities Trust 2022-PJ5 Class A6† | 3.00% | #(i) | 10/25/2052 | 1,696,114 | 1,415,774 |
See Notes to Schedule of Investments. | 55 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage-Backed Securities Trust Series 2021-PJ2 Class A2† | 2.50% | #(i) | 7/25/2051 | $ | 1,986,560 | $ | 1,596,608 | |||||
GS Mortgage-Backed Securities Trust Series 2022-PJ6 Class A4† | 3.00% | #(i) | 1/25/2053 | 6,023,798 | 5,043,166 | |||||||
GS Mortgage-Backed Securities Trust Series 2023-PJ1 Class A4† | 3.50% | #(i) | 2/25/2053 | 1,739,761 | 1,514,013 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class D† | 3.805% | #(i) | 6/10/2027 | 100,000 | 2,147 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.635% (1 mo. USD Term SOFR + 1.32%) | # | 11/15/2035 | 10,000 | 9,540 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2020-MKST Class E† | 8.183% (1 mo. USD Term SOFR + 2.86%) | # | 12/15/2036 | 1,000,000 | 136,616 | |||||||
JP Morgan Mortgage Trust Series 2021-10 Class A3† | 2.50% | #(i) | 12/25/2051 | 3,695,526 | 2,965,511 | |||||||
JP Morgan Mortgage Trust Series 2021-15 Class A2† | 3.00% | #(i) | 6/25/2052 | 5,922,680 | 4,958,509 | |||||||
JP Morgan Mortgage Trust Series 2021-4 Class A3† | 2.50% | #(i) | 8/25/2051 | 5,784,077 | 4,648,690 | |||||||
JP Morgan Mortgage Trust Series 2021-INV8 Class A2† | 3.00% | #(i) | 5/25/2052 | 1,808,534 | 1,514,117 | |||||||
JP Morgan Mortgage Trust Series 2022-1 Class A2† | 3.00% | #(i) | 7/25/2052 | 2,661,653 | 2,228,354 | |||||||
JP Morgan Mortgage Trust Series 2022-3 Class A2† | 3.00% | #(i) | 8/25/2052 | 3,928,195 | 3,281,278 | |||||||
JP Morgan Mortgage Trust Series 2022-4 Class A2A† | 3.00% | #(i) | 10/25/2052 | 2,675,200 | 2,239,696 | |||||||
JP Morgan Mortgage Trust Series 2022-4 Class A3† | 3.00% | #(i) | 10/25/2052 | 2,229,333 | 1,866,413 | |||||||
MTN Commercial Mortgage Trust Series 2022-LPFL Class A† | 6.717% (1 mo. USD Term SOFR + 1.40%) | # | 3/15/2039 | 2,200,000 | 2,160,460 | |||||||
Ready Capital Mortgage Financing LLC Series 2022-FL8 Class A† | 6.971% (30 day USD SOFR Average + 1.65%) | # | 1/25/2037 | 4,241,005 | 4,217,273 | |||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(i) | 1/26/2060 | 11,461 | 10,946 | |||||||
SG Commercial Mortgage Securities Trust Series 2019-787E Class X†(l) | 0.305% | #(i) | 2/15/2041 | 1,217,000 | 18,396 |
56 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
SMRT Commercial Mortgage Trust Series 2022-MINI Class A† | 6.318% (1 mo. USD Term SOFR + 1.00%) | # | 1/15/2039 | $ | 1,460,000 | $ | 1,446,706 | |||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(i) | 2/25/2050 | 5,640 | 5,283 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 3.417% | (f) | 1/25/2060 | 35,302 | 33,701 | |||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (f) | 5/25/2065 | 992,391 | 934,941 | |||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (f) | 5/25/2065 | 214,960 | 202,074 | |||||||
Verus Securitization Trust Series 2021-5 Class A1† | 1.013% | #(i) | 9/25/2066 | 1,954,710 | 1,633,809 | |||||||
Verus Securitization Trust Series 2021-8 Class A1† | 1.824% | #(i) | 11/25/2066 | 1,133,661 | 972,597 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(i) | 4/25/2065 | 91,853 | 83,616 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $155,640,871) | 154,870,295 | |||||||||||
U.S. TREASURY OBLIGATIONS 9.45% | ||||||||||||
U.S. Treasury Bonds | 3.625% | 5/15/2053 | 4,961,000 | 4,341,747 | ||||||||
U.S. Treasury Bonds | 3.875% | 2/15/2043 | 21,796,000 | 19,960,794 | ||||||||
U.S. Treasury Bonds | 4.375% | 8/15/2043 | 70,730,000 | 69,271,194 | ||||||||
U.S. Treasury Notes | 3.75% | 12/31/2028 | 25,259,000 | 24,688,699 | ||||||||
U.S. Treasury Notes | 4.00% | 2/15/2034 | 18,002,200 | 17,652,001 | ||||||||
U.S. Treasury Notes | 4.625% | 2/28/2026 | 41,529,000 | 41,527,378 | ||||||||
Total U.S. Treasury Obligations (cost $180,183,504) | 177,441,813 | |||||||||||
Total Long-Term Investments (cost $2,023,712,395) | 2,024,374,619 | |||||||||||
SHORT-TERM INVESTMENTS 4.32% | ||||||||||||
U.S. TREASURY OBLIGATIONS 0.62% | ||||||||||||
U.S. Treasury Bills (Cost $11,665,206) | Zero Coupon | 4/4/2024 | 11,723,000 | 11,664,523 |
See Notes to Schedule of Investments. | 57 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Investments | Principal Amount‡ | Fair Value | ||||||
REPURCHASE AGREEMENTS 3.70% | ||||||||
Repurchase Agreement dated 2/29/2024, 5.310%
due 3/1/2024 with Barclays Bank PLC collateralized by $60,597,000 of U.S. Treasury Bond at 3.500% due 2/15/2033; value: $57,120,000;
proceeds: $56,008,260 (cost $56,000,000) | $ | 56,000,000 | $ | 56,000,000 | ||||
Repurchase Agreement dated 2/29/2024,
2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $15,840,700 of U.S. Treasury Note at 1.000% due 7/31/2028;
value: $13,756,903; proceeds: $13,488,126 (cost $13,487,077) | 13,487,077 | 13,487,077 | ||||||
Total Repurchase Agreements (cost $69,487,077) | 69,487,077 | |||||||
Total Short-Term Investments (cost $81,152,283) | 81,151,600 | |||||||
Total Investments in Securities 112.16% (cost $2,104,864,678) | 2,105,526,219 | |||||||
Other Assets and Liabilities – Net(m) (12.16)% | (228,228,045 | ) | ||||||
Net Assets 100.00% | $ | 1,877,298,174 |
CAD | Canadian Dollar. | |
CMT | Constant Maturity Rate. | |
ICE | Intercontinental Exchange. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
REMICS | Real Estate Mortgage Investment Conduits. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. | |
‡ | Principal/Shares Amount are denominated in U.S dollars unless otherwise noted. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $905,615,863, which represents 48.24% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Securities purchased on a when-issued basis. | |
(b) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Security has been fully or partially segregated for open reverse repurchase agreements as of February 29, 2024. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(h) | Interest Rate to be determined. | |
(i) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(j) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(k) | Defaulted (non-income producing security). | |
(l) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest only securities do not receive principal payments on the underlying debt obligation(s). | |
(m) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
58 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND February 29, 2024
Centrally Cleared Interest Rate Swap Contracts at February 29, 2024:
Periodic | Periodic | |||||||||||||
Payments | Payments | |||||||||||||
to be Made | to be Received | Value/ | ||||||||||||
Central | By The Fund | By The Fund | Termination | Notional | Unrealized | |||||||||
Clearingparty | (Quarterly) | (Quarterly) | Date | Amount | Appreciation | |||||||||
Goldman Sachs(1) | 3.872% | 12-Month USD SOFR Index | 5/31/2028 | $38,012,000 | $279,374 |
SOFR | Secured Overnight Financing Rate. | |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Forward Foreign Currency Exchange Contracts at February 29, 2024:
Forward | ||||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | |||||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 5/9/2024 | 697,000 | $518,518 | $514,099 | $4,419 |
Futures Contracts at February 29, 2024:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. Ultra Treasury Bond | June 2024 | 938 | Long | $118,397,463 | $119,946,750 | $1,549,287 | ||||||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
U.S. 2-Year Treasury Note | June 2024 | 1,446 | Long | $296,083,189 | $296,068,500 | $(14,689 | ) |
Reverse Repurchase Agreement Payables as of February 29, 2024
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date | Fair Value(2) | ||||||||
Morgan Stanley | $841,268 | $1,010,000 Principal, Vistajet Malta Finance PLC/Vista Management Holding, Inc at 7.875% due 5/1/2027, $ 856,492 fair value | (5.000%) | 12/04/2023 | 5/1/2027 | $831,220 |
(1) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(2) | Total fair value of reverse repurchase agreement is presented net of interest receivable of $10,048. |
See Notes to Schedule of Investments. | 59 |
Schedule of Investments (unaudited)(concluded)
CORE PLUS BOND FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 177,981,784 | $ | 3,831,968 | $ | 181,813,752 | ||||||||
Remaining Industries | – | 108,357,057 | – | 108,357,057 | ||||||||||||
Corporate Bonds | – | 1,067,541,386 | – | 1,067,541,386 | ||||||||||||
Floating Rate Loans | – | 28,925,519 | – | 28,925,519 | ||||||||||||
Foreign Government Obligations | – | 22,967,347 | – | 22,967,347 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 8,203,190 | – | 8,203,190 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 267,860,116 | – | 267,860,116 | ||||||||||||
Municipal Bonds | – | 6,394,144 | – | 6,394,144 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 154,675,672 | 194,623 | 154,870,295 | ||||||||||||
U.S. Treasury Obligations | – | 177,441,813 | – | 177,441,813 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Obligations | – | 11,664,523 | – | 11,664,523 | ||||||||||||
Repurchase Agreements | – | 69,487,077 | – | 69,487,077 | ||||||||||||
Total | $ | – | $ | 2,101,499,628 | $ | 4,026,591 | $ | 2,105,526,219 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 279,374 | $ | – | $ | 279,374 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 4,419 | – | 4,419 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,549,287 | – | – | 1,549,287 | ||||||||||||
Liabilities | (14,689 | ) | – | – | (14,689 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (831,220 | ) | – | (831,220 | ) | ||||||||||
Total | $ | 1,534,598 | $ | (547,427 | ) | $ | – | $ | 987,171 |
(1) | Refer to Note 2(b) 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.
60 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 95.95% | ||||||||||||
CORPORATE BONDS 87.06% | ||||||||||||
Aerospace/Defense 0.54% | ||||||||||||
HEICO Corp. | 5.35% | 8/1/2033 | $ | 21,000 | $ | 20,908 | ||||||
L3Harris Technologies, Inc. | 5.60% | 7/31/2053 | 18,000 | 18,166 | ||||||||
RTX Corp. | 6.40% | 3/15/2054 | 10,000 | 11,078 | ||||||||
Total | 50,152 | |||||||||||
Agriculture 1.70% | ||||||||||||
BAT Capital Corp. | 5.834% | 2/20/2031 | 9,000 | 8,973 | ||||||||
BAT Capital Corp. | 6.343% | 8/2/2030 | 24,000 | 24,798 | ||||||||
BAT Capital Corp. | 7.75% | 10/19/2032 | 104,000 | 116,305 | ||||||||
Philip Morris International, Inc. | 5.125% | 2/13/2031 | 9,000 | 8,868 | ||||||||
Total | 158,944 | |||||||||||
Airlines 0.82% | ||||||||||||
British Airways Pass-Through Trust Class A (United Kingdom)†(a) | 4.25% | 5/15/2034 | 81,992 | 76,408 | ||||||||
Apparel 0.13% | ||||||||||||
Tapestry, Inc. | 7.00% | 11/27/2026 | 12,000 | 12,331 | ||||||||
Auto Manufacturers 0.74% | ||||||||||||
Cummins, Inc. | 5.45% | 2/20/2054 | 18,000 | 18,113 | ||||||||
General Motors Financial Co., Inc. | 5.75% | 2/8/2031 | 15,000 | 14,963 | ||||||||
Hyundai Capital America† | 5.40% | 1/8/2031 | 14,000 | 14,023 | ||||||||
Hyundai Capital America† | 6.50% | 1/16/2029 | 21,000 | 21,989 | ||||||||
Total | 69,088 | |||||||||||
Banks 20.39% | ||||||||||||
Bank of America Corp. | 2.299% (SOFR + 1.22%) | # | 7/21/2032 | 26,000 | 21,052 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32%) | # | 4/22/2032 | 99,000 | 82,944 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63%) | # | 7/21/2028 | 157,000 | 148,885 | |||||||
Bank of Montreal (Canada)(a) | 3.803% (5 yr. USD Swap + 1.43%) | # | 12/15/2032 | 67,000 | 61,712 | |||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61%) | # | 4/26/2034 | 25,000 | 24,374 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 28,000 | 25,362 | ||||||||
Citigroup, Inc. | 2.561% (SOFR + 1.17%) | # | 5/1/2032 | 144,000 | 118,606 |
See Notes to Schedule of Investments. | 61 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Citigroup, Inc. | 5.827% (SOFR + 2.06%) | # | 2/13/2035 | $ | 24,000 | $ | 23,490 | |||||
Citigroup, Inc. | 6.174% (SOFR + 2.66%) | # | 5/25/2034 | 37,000 | 37,296 | |||||||
Citizens Financial Group, Inc. | 5.841% (SOFR + 2.01%) | # | 1/23/2030 | 21,000 | 20,759 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25%) | # | 7/21/2032 | 164,000 | 133,504 | |||||||
JPMorgan Chase & Co. | 2.58% (3 mo. USD Term SOFR + 1.25%) | # | 4/22/2032 | 115,000 | 96,260 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26%) | # | 1/25/2033 | 65,000 | 54,917 | |||||||
JPMorgan Chase & Co. | 4.912% (SOFR + 2.08%) | # | 7/25/2033 | 50,000 | 48,520 | |||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85%) | # | 1/27/2034 | 10,000 | 9,186 | |||||||
Macquarie Group Ltd. (Australia)†(a) | 4.654% (3 mo. USD LIBOR + 1.73%) | # | 3/27/2029 | 75,000 | 72,522 | |||||||
Morgan Stanley | 2.239% (SOFR + 1.18%) | # | 7/21/2032 | 29,000 | 23,372 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.89%) | # | 1/23/2030 | 151,000 | 145,031 | |||||||
Morgan Stanley | 6.342% (SOFR + 2.56%) | # | 10/18/2033 | 31,000 | 32,867 | |||||||
PNC Financial Services Group, Inc. | 5.676% (SOFR + 1.90%) | # | 1/22/2035 | 10,000 | 10,033 | |||||||
PNC Financial Services Group, Inc. | 6.875% (SOFR + 2.28%) | # | 10/20/2034 | 25,000 | 27,096 | |||||||
Royal Bank of Canada (Canada)(a) | 5.00% | 2/1/2033 | 40,000 | 39,352 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73%) | # | 8/4/2033 | 31,000 | 28,688 | |||||||
Toronto-Dominion Bank (Canada)(a) | 4.456% | 6/8/2032 | 42,000 | 40,069 | ||||||||
Truist Financial Corp. | 5.711% (SOFR + 1.92%) | # | 1/24/2035 | 15,000 | 14,861 | |||||||
Truist Financial Corp. | 5.754% (SOFR + 0.40%) | # | 6/9/2025 | 35,000 | 34,913 | |||||||
Truist Financial Corp. | 5.867% (SOFR + 2.36%) | # | 6/8/2034 | 10,000 | 10,004 | |||||||
U.S. Bancorp | 4.839% (SOFR + 1.60%) | # | 2/1/2034 | 28,000 | 26,364 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11%) | # | 7/22/2033 | 34,000 | 31,790 |
62 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
U.S. Bancorp | 5.678% (SOFR + 1.86%) | # | 1/23/2035 | $ | 20,000 | $ | 19,965 | |||||
UBS Group AG (Switzerland)†(a) | 4.125% | 4/15/2026 | 200,000 | 194,218 | ||||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10%) | # | 6/2/2028 | 75,000 | 68,439 | |||||||
Wells Fargo & Co. | 2.406% (3 mo. USD Term SOFR + 1.09%) | # | 10/30/2025 | 20,000 | 19,571 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50%) | # | 3/2/2033 | 17,000 | 14,597 | |||||||
Wells Fargo & Co. | 4.897% (SOFR + 2.10%) | # | 7/25/2033 | 70,000 | 66,954 | |||||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02%) | # | 4/24/2034 | 10,000 | 9,839 | |||||||
Wells Fargo & Co. | 5.574% (SOFR + 1.74%) | # | 7/25/2029 | 12,000 | 12,084 | |||||||
Wells Fargo & Co. | 6.491% (SOFR + 2.06%) | # | 10/23/2034 | 24,000 | 25,533 | |||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25%) | # | 6/15/2031 | 40,000 | 35,180 | |||||||
Total | 1,910,209 | |||||||||||
Beverages 0.29% | ||||||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 30,000 | 27,240 | ||||||||
Biotechnology 0.95% | ||||||||||||
Amgen, Inc. | 4.875% | 3/1/2053 | 55,000 | 49,393 | ||||||||
Amgen, Inc. | 5.25% | 3/2/2033 | 40,000 | 39,904 | ||||||||
Total | 89,297 | |||||||||||
Building Materials 0.16% | ||||||||||||
Carrier Global Corp. | 5.90% | 3/15/2034 | 8,000 | 8,303 | ||||||||
Carrier Global Corp. | 6.20% | 3/15/2054 | 6,000 | 6,554 | ||||||||
Total | 14,857 | |||||||||||
Chemicals 0.42% | ||||||||||||
Celanese U.S. Holdings LLC | 6.35% | 11/15/2028 | 38,000 | 39,103 | ||||||||
Commercial Services 1.18% | ||||||||||||
Gartner, Inc.† | 4.50% | 7/1/2028 | 22,000 | 20,846 | ||||||||
Global Payments, Inc. | 5.30% | 8/15/2029 | 54,000 | 53,309 | ||||||||
UL Solutions, Inc.† | 6.50% | 10/20/2028 | 35,000 | 36,185 | ||||||||
Total | 110,340 |
See Notes to Schedule of Investments. | 63 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Computers 1.09% | ||||||||||||
Booz Allen Hamilton, Inc.† | 3.875% | 9/1/2028 | $ | 51,000 | $ | 47,372 | ||||||
Leidos Holdings, Inc. | 5.95% | 12/1/2040 | 20,000 | 19,155 | ||||||||
Leidos, Inc. | 5.75% | 3/15/2033 | 35,000 | 35,596 | ||||||||
Total | 102,123 | |||||||||||
Diversified Financial Services 4.57% | ||||||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 34,000 | 30,266 | ||||||||
Aircastle Ltd.† | 6.50% | 7/18/2028 | 40,000 | 40,436 | ||||||||
American Express Co. | 5.043% (SOFR + 1.84%) | # | 5/1/2034 | 35,000 | 34,364 | |||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 56,000 | 52,080 | ||||||||
Aviation Capital Group LLC† | 3.50% | 11/1/2027 | 15,000 | 13,842 | ||||||||
Aviation Capital Group LLC† | 6.375% | 7/15/2030 | 22,000 | 22,451 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 4.25% | 4/15/2026 | 50,000 | 48,228 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 6.375% | 5/4/2028 | 46,000 | 46,695 | ||||||||
Capital One Financial Corp. | 6.051% (SOFR + 2.26%) | # | 2/1/2035 | 23,000 | 23,248 | |||||||
LPL Holdings, Inc.† | 4.375% | 5/15/2031 | 75,000 | 67,884 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 30,000 | 28,813 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 25,000 | 20,150 | ||||||||
Total | 428,457 | |||||||||||
Electric 12.14% | ||||||||||||
Avangrid, Inc. | 3.80% | 6/1/2029 | 25,000 | 23,343 | ||||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 16,000 | 16,365 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 24,000 | 24,773 | ||||||||
Constellation Energy Generation LLC | 6.50% | 10/1/2053 | 20,000 | 21,986 | ||||||||
Dominion Energy South Carolina, Inc. | 6.25% | 10/15/2053 | 12,000 | 13,287 | ||||||||
DTE Energy Co. | 2.95% | 3/1/2030 | 30,000 | 26,282 | ||||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 17,000 | 15,967 | ||||||||
Duquesne Light Holdings, Inc.† | 2.775% | 1/7/2032 | 58,000 | 47,093 | ||||||||
Entergy Mississippi LLC | 5.00% | 9/1/2033 | 25,000 | 24,538 | ||||||||
Entergy Texas, Inc. | 5.80% | 9/1/2053 | 25,000 | 25,833 | ||||||||
Evergy Kansas Central, Inc. | 5.90% | 11/15/2033 | 15,000 | 15,615 | ||||||||
Evergy Metro, Inc. | 4.95% | 4/15/2033 | 42,000 | 41,099 | ||||||||
Eversource Energy | 5.50% | 1/1/2034 | 35,000 | 34,663 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 17,000 | 14,092 | ||||||||
Georgia Power Co. | 4.75% | 9/1/2040 | 39,000 | 35,466 | ||||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 76,000 | 70,057 |
64 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
ITC Holdings Corp.† | 5.40% | 6/1/2033 | $ | 24,000 | $ | 23,723 | ||||||
Liberty Utilities Co.† | 5.869% | 1/31/2034 | 20,000 | 20,110 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 55,000 | 43,695 | ||||||||
Louisville Gas & Electric Co. | 5.45% | 4/15/2033 | 26,000 | 26,273 | ||||||||
MidAmerican Energy Co. | 5.35% | 1/15/2034 | 21,000 | 21,425 | ||||||||
MidAmerican Energy Co. | 5.85% | 9/15/2054 | 12,000 | 12,659 | ||||||||
Monongahela Power Co.† | 5.85% | 2/15/2034 | 42,000 | 42,815 | ||||||||
National Grid PLC (United Kingdom)(a) | 5.809% | 6/12/2033 | 21,000 | 21,235 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 49,000 | 45,579 | ||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | 19,000 | 16,811 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 15,000 | 14,980 | ||||||||
Oglethorpe Power Corp.† | 6.20% | 12/1/2053 | 26,000 | 26,788 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 28,000 | 34,543 | ||||||||
Oklahoma Gas & Electric Co. | 5.60% | 4/1/2053 | 23,000 | 23,263 | ||||||||
Oncor Electric Delivery Co. LLC | 5.65% | 11/15/2033 | 16,000 | 16,540 | ||||||||
Pacific Gas & Electric Co. | 4.55% | 7/1/2030 | 56,000 | 52,610 | ||||||||
Pacific Gas & Electric Co. | 6.15% | 1/15/2033 | 31,000 | 31,738 | ||||||||
Pacific Gas & Electric Co. | 6.70% | 4/1/2053 | 23,000 | 24,651 | ||||||||
PacifiCorp | 4.15% | 2/15/2050 | 10,000 | 7,799 | ||||||||
PacifiCorp | 5.80% | 1/15/2055 | 12,000 | 11,609 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 82,000 | 74,390 | ||||||||
Virginia Electric & Power Co. | 5.35% | 1/15/2054 | 16,000 | 15,419 | ||||||||
Virginia Electric & Power Co. | 5.45% | 4/1/2053 | 24,000 | 23,543 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 55,000 | 54,509 | ||||||||
Total | 1,137,166 | |||||||||||
Electronics 0.45% | ||||||||||||
Trimble, Inc. | 6.10% | 3/15/2033 | 40,000 | 41,822 | ||||||||
Engineering & Construction 0.36% | ||||||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 34,000 | 34,015 | ||||||||
Environmental Control 0.24% | ||||||||||||
Veralto Corp.† | 5.45% | 9/18/2033 | 22,000 | 22,112 | ||||||||
Food 0.19% | ||||||||||||
J M Smucker Co. | 6.50% | 11/15/2053 | 16,000 | 17,408 | ||||||||
Gas 2.62% | ||||||||||||
Atmos Energy Corp. | 6.20% | 11/15/2053 | 12,000 | 13,294 | ||||||||
CenterPoint Energy Resources Corp. | 5.40% | 3/1/2033 | 19,000 | 19,177 |
See Notes to Schedule of Investments. | 65 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Gas (continued) | ||||||||||||
East Ohio Gas Co.† | 2.00% | 6/15/2030 | $ | 37,000 | $ | 30,358 | ||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 34,000 | 32,275 | ||||||||
NiSource, Inc. | 5.95% | 6/15/2041 | 21,000 | 21,290 | ||||||||
Piedmont Natural Gas Co., Inc. | 2.50% | 3/15/2031 | 85,000 | 71,260 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 63,000 | 57,642 | ||||||||
Total | 245,296 | |||||||||||
Hand/Machine Tools 0.99% | ||||||||||||
Regal Rexnord Corp.† | 6.30% | 2/15/2030 | 91,000 | 92,709 | ||||||||
Health Care-Products 0.54% | ||||||||||||
Solventum Corp.† | 5.45% | 3/13/2031 | 19,000 | 18,845 | ||||||||
Solventum Corp.† | 5.90% | 4/30/2054 | 32,000 | 31,340 | ||||||||
Total | 50,185 | |||||||||||
Health Care-Services 2.09% | ||||||||||||
Centene Corp. | 3.375% | 2/15/2030 | 114,000 | 100,665 | ||||||||
Elevance Health, Inc. | 4.10% | 5/15/2032 | 43,000 | 39,637 | ||||||||
HCA, Inc. | 5.50% | 6/1/2033 | 45,000 | 44,749 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 10,000 | 10,283 | ||||||||
Total | 195,334 | |||||||||||
Home Furnishings 0.16% | ||||||||||||
Whirlpool Corp. | 5.75% | 3/1/2034 | 15,000 | 14,897 | ||||||||
Insurance 5.61% | ||||||||||||
Aon North America, Inc. | 5.30% | 3/1/2031 | 22,000 | 21,985 | ||||||||
Aon North America, Inc. | 5.75% | 3/1/2054 | 21,000 | 21,127 | ||||||||
Arch Capital Group Ltd. | 7.35% | 5/1/2034 | 32,000 | 36,063 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 40,000 | 35,744 | ||||||||
Brown & Brown, Inc. | 4.20% | 3/17/2032 | 30,000 | 27,256 | ||||||||
Corebridge Global Funding† | 6.653% (SOFR + 1.30%) | # | 9/25/2026 | 28,000 | 28,134 | |||||||
F&G Annuities & Life, Inc. | 7.40% | 1/13/2028 | 31,000 | 31,883 | ||||||||
Global Atlantic Fin Co.† | 7.95% | 6/15/2033 | 40,000 | 43,802 | ||||||||
Intact Financial Corp. (Canada)†(a) | 5.459% | 9/22/2032 | 17,000 | 16,914 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 14,000 | 13,344 | ||||||||
New York Life Insurance Co.† | 4.45% | 5/15/2069 | 55,000 | 44,411 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 38,000 | 46,392 | ||||||||
RGA Global Funding† | 5.50% | 1/11/2031 | 23,000 | 22,710 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 36,000 | 34,076 |
66 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | $ | 63,000 | $ | 57,299 | ||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 35,000 | 44,610 | ||||||||
Total | 525,750 | |||||||||||
Internet 0.62% | ||||||||||||
Netflix, Inc.† | 5.375% | 11/15/2029 | 57,000 | 57,913 | ||||||||
Machinery-Diversified 1.07% | ||||||||||||
Flowserve Corp. | 2.80% | 1/15/2032 | 40,000 | 32,750 | ||||||||
Nordson Corp. | 5.60% | 9/15/2028 | 21,000 | 21,364 | ||||||||
nVent Finance SARL (Luxembourg)(a) | 4.55% | 4/15/2028 | 48,000 | 46,360 | ||||||||
Total | 100,474 | |||||||||||
Media 1.00% | ||||||||||||
Cox Communications, Inc.† | 5.70% | 6/15/2033 | 25,000 | 25,045 | ||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.† | 5.875% | 8/15/2027 | 50,000 | 47,229 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 25,000 | 21,751 | ||||||||
Total | 94,025 | |||||||||||
Mining 0.71% | ||||||||||||
Glencore Funding LLC† | 6.125% | 10/6/2028 | 40,000 | 41,311 | ||||||||
Kinross Gold Corp. (Canada)†(a) | 6.25% | 7/15/2033 | 25,000 | 25,532 | ||||||||
Total | 66,843 | |||||||||||
Oil & Gas 8.58% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 60,000 | 57,237 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 39,000 | 29,983 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 22,000 | 18,429 | ||||||||
BP Capital Markets PLC (United Kingdom)(a)(b) | 6.45% (5 yr. CMT + 2.15%) | # | – | (c) | 6,000 | 6,029 | ||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 105,000 | 102,993 | ||||||||
Coterra Energy, Inc.(b) | 5.60% | 3/15/2034 | 23,000 | 23,002 | ||||||||
Diamondback Energy, Inc. | 6.25% | 3/15/2033 | 45,000 | 47,326 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 43,000 | 43,381 | ||||||||
EQT Corp. | 5.75% | 2/1/2034 | 15,000 | 14,764 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 50,000 | 52,988 | ||||||||
Helmerich & Payne, Inc. | 2.90% | 9/29/2031 | 50,000 | 41,609 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 25,000 | 25,920 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 10,000 | 10,536 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 50,000 | 57,719 |
See Notes to Schedule of Investments. | 67 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Ovintiv, Inc. | 6.25% | 7/15/2033 | $ | 35,000 | $ | 36,007 | ||||||
Ovintiv, Inc. | 6.625% | 8/15/2037 | 40,000 | 41,292 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 69,000 | 66,643 | ||||||||
Patterson-UTI Energy, Inc. | 7.15% | 10/1/2033 | 9,000 | 9,542 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 6.49% | 1/23/2027 | 35,000 | 32,724 | ||||||||
Viper Energy, Inc.† | 5.375% | 11/1/2027 | 40,000 | 38,849 | ||||||||
Viper Energy, Inc.† | 7.375% | 11/1/2031 | 45,000 | 46,375 | ||||||||
Total | 803,348 | |||||||||||
Oil & Gas Services 0.39% | ||||||||||||
NOV, Inc. | 3.60% | 12/1/2029 | 40,000 | 36,552 | ||||||||
Pharmaceuticals 0.91% | ||||||||||||
AbbVie, Inc. | 5.40% | 3/15/2054 | 21,000 | 21,334 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 49,000 | 44,563 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 22,000 | 19,641 | ||||||||
Total | 85,538 | |||||||||||
Pipelines 3.04% | ||||||||||||
Columbia Pipelines Operating Co. LLC† | 5.927% | 8/15/2030 | 27,000 | 27,519 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | 55,000 | 49,049 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 4.60% | 12/15/2044 | 35,000 | 29,992 | ||||||||
Enbridge, Inc. (Canada)(a) | 8.50% (5 yr. CMT + 4.43%) | # | 1/15/2084 | 40,000 | 42,753 | |||||||
Kinder Morgan, Inc. | 5.40% | 2/1/2034 | 34,000 | 33,452 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 15,000 | 12,815 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 50,000 | 48,829 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 4.875% | 2/1/2031 | 43,000 | 40,780 | ||||||||
Total | 285,189 | |||||||||||
REITS 3.67% | ||||||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 50,000 | 46,312 | ||||||||
American Tower Corp. | 5.55% | 7/15/2033 | 31,000 | 30,994 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 75,000 | 66,265 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 28,000 | 26,599 | ||||||||
Extra Space Storage LP | 5.40% | 2/1/2034 | 35,000 | 34,329 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 65,000 | 64,542 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 76,000 | 74,778 | ||||||||
Total | 343,819 |
68 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Retail 0.95% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(a) | 5.617% | 2/12/2054 | $ | 10,000 | $ | 9,975 | ||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 78,000 | 79,458 | ||||||||
Total | 89,433 | |||||||||||
Semiconductors 1.75% | ||||||||||||
Broadcom, Inc.† | 3.469% | 4/15/2034 | 70,000 | 59,144 | ||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 33,000 | 30,320 | ||||||||
Entegris, Inc.† | 4.75% | 4/15/2029 | 16,000 | 15,103 | ||||||||
Intel Corp. | 5.00% | 2/21/2031 | 12,000 | 11,928 | ||||||||
Marvell Technology, Inc. | 5.95% | 9/15/2033 | 35,000 | 36,171 | ||||||||
Micron Technology, Inc. | 5.30% | 1/15/2031 | 11,000 | 10,892 | ||||||||
Total | 163,558 | |||||||||||
Software 2.77% | ||||||||||||
MSCI, Inc.† | 3.625% | 11/1/2031 | 75,000 | 65,011 | ||||||||
Oracle Corp. | 5.375% | 7/15/2040 | 83,000 | 79,508 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 55,000 | 56,617 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 65,000 | 58,773 | ||||||||
Total | 259,909 | |||||||||||
Telecommunications 3.23% | ||||||||||||
AT&T, Inc. | 3.50% | 9/15/2053 | 95,000 | 65,365 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 25,000 | 23,856 | ||||||||
AT&T, Inc. | 5.40% | 2/15/2034 | 39,000 | 39,066 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 50,000 | 53,217 | ||||||||
Sprint Capital Corp. | 8.75% | 3/15/2032 | 56,000 | 67,678 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 57,000 | 52,938 | ||||||||
Total | 302,120 | |||||||||||
Total Corporate Bonds (cost $8,497,607) | 8,153,964 | |||||||||||
MUNICIPAL BONDS 0.96% | ||||||||||||
Government 0.58% | ||||||||||||
State of Illinois GO | 5.10% | 6/1/2033 | 55,000 | 54,214 | ||||||||
Natural Gas 0.38% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.169% | 4/1/2041 | 35,000 | 35,555 | ||||||||
Total Municipal Bonds (cost $92,199) | 89,769 | |||||||||||
U.S. TREASURY OBLIGATIONS 7.93% | ||||||||||||
U.S. Treasury Bonds | 4.25% | 2/15/2054 | 81,000 | 79,500 | ||||||||
U.S. Treasury Bonds | 4.375% | 8/15/2043 | 277,000 | 271,287 |
See Notes to Schedule of Investments. | 69 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||||||
U.S. Treasury Notes | 3.75% | 12/31/2028 | $ | 401,000 | $ | 391,946 | ||||||
Total U.S. Treasury Obligations (cost $742,210) | 742,733 | |||||||||||
Total Long-Term Investments (cost $9,332,016) | 8,986,466 | |||||||||||
SHORT-TERM INVESTMENTS 0.68% | ||||||||||||
REPURCHASE AGREEMENTS 0.68% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 5.310%% due 3/1/2024 with Barclays Bank PLC collateralized by $67,000 of U.S. Treasury Bond at 4.250% due 2/15/2054; value: $65,280; proceeds: $64,009 (cost $64,000) | 64,000 | 64,000 | ||||||||||
Total Investments in Securities 96.63% (cost $9,396,016) | 9,050,466 | |||||||||||
Other Assets and Liabilities – Net(d) 3.37% | 315,547 | |||||||||||
Net Assets 100.00% | $ | 9,366,013 |
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 February 29, 2024, the total value of Rule 144A securities was $2,503,607, which represents 26.73% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Securities purchased on a when-issued basis. | |
(c) | Security is perpetual in nature and has no stated maturity. | |
(d) | Other Assets and Liabilities - Net include net unrealized appreciation/depreciation on futures contracts and swap contracts as follows: |
Centrally Cleared Credit Default Swap Contracts on Indexes - Sell Protection at February 29, 2024(1):
Referenced Indexes | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Appreciation(3) | Value | |||||||||||||||
Markit CDX.NA.IG.S41(4)(5) | Goldman Sachs | 1.00% | 12/20/2028 | $380,000 | $6,592 | $1,249 | $7,841 |
(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 $1,249. 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 Centrally Cleared Credit Default Swap Contracts on Indexes, which is comprised of a basket of investment grade securities. |
70 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
CORPORATE BOND FUND February 29, 2024
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | June 2024 | 7 | Long | $ | 1,433,106 | $ | 1,433,250 | $ | 144 | |||||||||
U.S. Long Bonds | June 2024 | 5 | Long | 590,623 | 596,250 | 5,627 | ||||||||||||
U.S. Ultra Treasury Bond | June 2024 | 5 | Long | 630,415 | 639,375 | 8,960 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 14,731 |
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Treasury Note | June 2024 | 12 | Short | $ | (1,321,112 | ) | $ | (1,325,250 | ) | $ | (4,138 | ) | ||||||
U.S. 10-Year Ultra Treasury Note June 2024 | 10 | Short | (1,138,281 | ) | (1,141,719 | ) | (3,438 | ) | ||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (7,576 | ) |
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 8,153,964 | $ | – | $ | 8,153,964 | ||||||||
Municipal Bonds | – | 89,769 | – | 89,769 | ||||||||||||
U.S. Treasury Obligations | – | 742,733 | – | 742,733 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 64,000 | – | 64,000 | ||||||||||||
Total | $ | – | $ | 9,050,466 | $ | – | $ | 9,050,466 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 7,841 | $ | – | $ | 7,841 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 14,731 | – | – | 14,731 | ||||||||||||
Liabilities | (7,576 | ) | – | – | (7,576 | ) | ||||||||||
Total | $ | 7,155 | $ | 7,841 | $ | – | $ | 14,996 |
(1) | Refer to Note 2(b) 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 Schedule of Investments. | 71 |
Schedule of Investments (unaudited)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
LONG-TERM INVESTMENTS 93.40% | ||||||||||||
ASSET-BACKED SECURITIES 1.97% | ||||||||||||
Other | ||||||||||||
AGL CLO 29 Ltd. Series 2024-29A Class D† | 9.083% (3 mo. USD Term SOFR + 3.75%) | # | 4/21/2037 | $ | 5,000,000 | $ | 5,000,000 | |||||
Alinea CLO Ltd. Series 2018-1A Class D† | 8.679% (3 mo. USD Term SOFR + 3.36%) | # | 7/20/2031 | 7,000,000 | 6,940,493 | |||||||
Apidos CLO XXII Series 2015-22A Class BR† | 7.529% (3 mo. USD Term SOFR + 2.21%) | # | 4/20/2031 | 2,500,000 | 2,502,277 | |||||||
Atrium XIII Series 13A Class C† | 7.377% (3 mo. USD Term SOFR + 2.06%) | # | 11/21/2030 | 4,500,000 | 4,473,509 | |||||||
Bain Capital Credit CLO Ltd. Series 2022-5A Class DR† | 9.567% (3 mo. USD Term SOFR + 4.25%) | # | 1/24/2037 | 4,500,000 | 4,555,900 | |||||||
Benefit Street Partners CLO IV Ltd. Series 2014-IVA Class DAR4†(a) | 7.75% (3 mo. USD Term SOFR + 3.40%) | # | 4/20/2034 | 8,500,000 | 8,531,875 | |||||||
Carlyle U.S. CLO Ltd. Series 2024-1A Class D†(a) | 7.66% (3 mo. USD Term SOFR + 3.90%) | # | 4/15/2037 | 9,250,000 | 9,241,233 | |||||||
CIFC Funding Ltd. Series 2013-1A Class CR† | 9.126% (3 mo. USD Term SOFR + 3.81%) | # | 7/16/2030 | 6,750,000 | 6,741,703 | |||||||
Dryden 115 CLO Ltd. Series 2024-115A Class D†(a) | 7.60% (3 mo. USD Term SOFR + 3.80%) | # | 4/18/2037 | 8,850,000 | 8,850,000 | |||||||
Galaxy XXV CLO Ltd. Series 2018-25A Class D† | 8.686% (3 mo. USD Term SOFR + 3.36%) | # | 10/25/2031 | 5,397,730 | 5,389,000 | |||||||
GoldenTree Loan Management U.S. CLO 7 Ltd. Series 2020-7A Class DR† | 8.729% (3 mo. USD Term SOFR + 3.41%) | # | 4/20/2034 | 6,000,000 | 6,027,550 | |||||||
Invesco U.S. CLO Ltd. Series 2023-2A Class D† | 10.268% (3 mo. USD Term SOFR + 4.95%) | # | 4/21/2036 | 2,500,000 | 2,543,986 | |||||||
Madison Park Funding XVIII Ltd. Series 2015-18A Class CRR† | 7.479% (3 mo. USD Term SOFR + 2.16%) | # | 10/21/2030 | 3,250,000 | 3,247,760 | |||||||
OCP CLO Ltd. Series 2023-30A Class D† | 9.819% (3 mo. USD Term SOFR + 4.50%) | # | 1/24/2037 | 1,250,000 | 1,259,933 |
72 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
OCP CLO Ltd. Series 2024-31A Class D†(a) | 7.67% (3 mo. USD Term SOFR + 3.95%) | # | 4/20/2037 | $ | 4,080,000 | $ | 4,097,360 | (b) | ||||
OHA Credit Funding 1 Ltd. Series 2018-1A Class D† | 8.629% (3 mo. USD Term SOFR + 3.31%) | # | 10/20/2030 | 6,750,000 | 6,775,721 | |||||||
Regatta XV Funding Ltd. Series 2018-4A Class C† | 8.886% (3 mo. USD Term SOFR + 3.56%) | # | 10/25/2031 | 11,500,000 | 11,442,870 | |||||||
Total Asset-Backed Securities (cost $97,275,487) | 97,621,170 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.47% | ||||||||||||
Electric-Generation 0.00% | ||||||||||||
Frontera Generation Holdings LLC* | 209,679 | 11,532 | ||||||||||
Machinery 0.03% | ||||||||||||
TNT Crane & Rigging, Inc.* | 528,781 | 1,338,609 | ||||||||||
Miscellaneous Financials 0.36% | ||||||||||||
Utex Industries* | 297,535 | 17,604,105 | ||||||||||
Transportation Infrastructure 0.08% | ||||||||||||
ACBL Holdings Corp.* | 95,210 | 4,189,240 | ||||||||||
Hurtigruten ASA*(l) | 1,169,269 | 1 | (c) | |||||||||
Total | 4,189,241 | |||||||||||
Total Common Stocks (cost $24,088,824) | 23,143,487 | |||||||||||
Principal Amount‡ | ||||||||||||
CONVERTIBLE BONDS 0.08% | ||||||||||||
Commercial Services | ||||||||||||
Sabre GLBL, Inc. (cost $4,049,379) | 4.00% | 4/15/2025 | $ | 4,342,000 | 4,017,379 | |||||||
CORPORATE BONDS 7.54% | ||||||||||||
Aerospace/Defense 0.22% | ||||||||||||
Triumph Group, Inc. | 7.75% | 8/15/2025 | 10,853,000 | 10,836,992 | ||||||||
Airlines 0.12% | ||||||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(d) | 9.50% | 6/1/2028 | 6,785,000 | 5,726,404 |
See Notes to Schedule of Investments. | 73 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Building Materials 0.34% | ||||||||||||
Camelot Return Merger Sub, Inc.† | 8.75% | 8/1/2028 | $ | 9,500,000 | $ | 9,757,498 | ||||||
Smyrna Ready Mix Concrete LLC† | 8.875% | 11/15/2031 | 6,812,000 | 7,225,958 | ||||||||
Total | 16,983,456 | |||||||||||
Chemicals 0.65% | ||||||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 8,321,000 | 7,875,286 | ||||||||
LSF11 A5 HoldCo LLC† | 6.625% | 10/15/2029 | 10,297,000 | 8,956,413 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 137,000 | 133,909 | ||||||||
SCIL IV LLC/SCIL USA Holdings LLC† | 5.375% | 11/1/2026 | 9,917,000 | 9,622,810 | ||||||||
SK Invictus Intermediate II SARL (Luxembourg)†(d) | 5.00% | 10/30/2029 | 6,300,000 | 5,355,262 | ||||||||
Total | 31,943,680 | |||||||||||
Commercial Services 0.16% | ||||||||||||
WASH Multifamily Acquisition, Inc.† | 5.75% | 4/15/2026 | 7,969,000 | 7,736,544 | ||||||||
Diversified Financial Services 0.79% | ||||||||||||
Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(d) | 6.50% | 9/15/2024 | 16,283,852 | 15,001,951 | ||||||||
Jefferson Capital Holdings LLC† | 6.00% | 8/15/2026 | 9,907,000 | 9,520,273 | ||||||||
Navient Corp. | 9.375% | 7/25/2030 | 4,661,000 | 4,876,306 | ||||||||
PRA Group, Inc.† | 5.00% | 10/1/2029 | 11,546,000 | 9,682,129 | ||||||||
Total | 39,080,659 | |||||||||||
Energy-Alternate Sources 0.15% | ||||||||||||
Sunnova Energy Corp.† | 5.875% | 9/1/2026 | 9,064,000 | 7,377,416 | ||||||||
Insurance 0.10% | ||||||||||||
Ardonagh Group Finance Ltd. (United Kingdom)†(d) | 8.875% | 2/15/2032 | 5,078,000 | 4,969,432 | ||||||||
Internet 0.22% | ||||||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | 6,934,000 | 7,114,109 | ||||||||
Millennium Escrow Corp.† | 6.625% | 8/1/2026 | 6,100,000 | 3,646,153 | ||||||||
Total | 10,760,262 | |||||||||||
Leisure Time 0.32% | ||||||||||||
Life Time, Inc.† | 8.00% | 4/15/2026 | 8,228,000 | 8,310,527 | ||||||||
Pinnacle Bidco PLC† | 8.25% | 10/11/2028 | EUR | 6,667,000 | 7,557,256 | |||||||
Total | 15,867,783 | |||||||||||
Machinery-Diversified 0.32% | ||||||||||||
Husky III Holding Ltd. (Canada)†(d) | 13.00% | 2/15/2025 | $ | 5,978,000 | 5,980,988 | |||||||
Novafives SAS† | 5.00% | 6/15/2025 | EUR | 4,700,000 | 5,030,230 | |||||||
TK Elevator Holdco GmbH | 6.625% | 7/15/2028 | EUR | 4,726,800 | 4,933,315 | |||||||
Total | 15,944,533 |
74 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Media 0.11% | ||||||||||||
CSC Holdings LLC† | 4.125% | 12/1/2030 | $ | 7,500,000 | $ | 5,590,613 | ||||||
Mining 0.21% | ||||||||||||
Arsenal AIC Parent LLC† | 11.50% | 10/1/2031 | 9,525,000 | 10,489,406 | ||||||||
Mirabela Nickel Ltd. | Zero Coupon | 9/10/2044 | 51,005 | – | ||||||||
Total | 10,489,406 | |||||||||||
Miscellaneous Manufacturing 0.27% | ||||||||||||
FXI Holdings, Inc.† | 12.25% | 11/15/2026 | 5,734,000 | 5,633,655 | ||||||||
LSB Industries, Inc.† | 6.25% | 10/15/2028 | 8,262,000 | 7,842,582 | ||||||||
Total | 13,476,237 | |||||||||||
Oil & Gas 1.19% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp.† | 8.25% | 2/15/2026 | 5,000,000 | 5,025,243 | ||||||||
Baytex Energy Corp. (Canada)†(d) | 8.50% | 4/30/2030 | 5,404,000 | 5,623,532 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 8,561,000 | 8,393,901 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 10,200,000 | 10,185,785 | ||||||||
Civitas Resources, Inc.† | 8.625% | 11/1/2030 | 2,840,000 | 3,041,331 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 7,253,000 | 7,248,648 | ||||||||
Seadrill Finance Ltd.† | 8.375% | 8/1/2030 | 5,228,000 | 5,376,432 | ||||||||
Talos Production, Inc.† | 9.00% | 2/1/2029 | 3,659,000 | 3,742,619 | ||||||||
Transocean, Inc. | 7.50% | 4/15/2031 | 5,705,000 | 4,872,469 | ||||||||
Vital Energy, Inc. | 9.75% | 10/15/2030 | 5,141,000 | 5,511,147 | ||||||||
Total | 59,021,107 | |||||||||||
Packaging & Containers 0.12% | ||||||||||||
Mauser Packaging Solutions Holding Co.† | 7.875% | 8/15/2026 | 5,592,000 | 5,669,964 | ||||||||
Pharmaceuticals 0.27% | ||||||||||||
Herbalife Nutrition Ltd./HLF Financing, Inc.† | 7.875% | 9/1/2025 | 8,515,000 | 8,268,704 | ||||||||
Trulieve Cannabis Corp. | 8.00% | 10/6/2026 | 5,500,000 | 5,150,035 | ||||||||
Total | 13,418,739 | |||||||||||
Pipelines 0.31% | ||||||||||||
Northriver Midstream Finance LP (Canada)†(d) | 5.625% | 2/15/2026 | 15,785,000 | 15,489,031 | ||||||||
REITS 0.16% | ||||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | 4.25% | 2/1/2027 | 8,259,000 | 7,609,529 | ||||||||
Retail 0.64% | ||||||||||||
Evergreen Acqco 1 LP/TVI, Inc.† | 9.75% | 4/26/2028 | 8,638,000 | 9,120,821 | ||||||||
Global Auto Holdings Ltd./AAG FH U.K. Ltd. (United Kingdom)†(d) | 8.75% | 1/15/2032 | 9,552,000 | 9,081,429 |
See Notes to Schedule of Investments. | 75 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Retail (continued) | ||||||||||||
GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | 7.00% | 8/15/2028 | $ | 11,756,000 | $ | 9,569,082 | ||||||
Raising Cane’s Restaurants LLC† | 9.375% | 5/1/2029 | 3,801,000 | 4,053,626 | ||||||||
Total | 31,824,958 | |||||||||||
Telecommunications 0.32% | ||||||||||||
Altice France SA | 2.125% | 2/15/2025 | EUR | 4,777,000 | 5,002,674 | |||||||
Altice France SA | 2.50% | 1/15/2025 | EUR | 10,093,000 | 10,581,734 | |||||||
Total | 15,584,408 | |||||||||||
Transportation 0.55% | ||||||||||||
Carriage Purchaser, Inc.† | 7.875% | 10/15/2029 | $ | 6,974,000 | 6,041,123 | |||||||
Rand Parent LLC† | 8.50% | 2/15/2030 | 13,298,000 | 12,933,264 | ||||||||
Seaspan Corp. (Hong Kong)†(d) | 5.50% | 8/1/2029 | 9,592,000 | 8,190,225 | ||||||||
Total | 27,164,612 | |||||||||||
Total Corporate Bonds (cost $379,669,624) | 372,565,765 | |||||||||||
Shares | ||||||||||||
EXCHANGE-TRADED FUNDS 1.79% | ||||||||||||
Exchange-Traded Funds 1.24% | ||||||||||||
Invesco Senior Loan ETF | 2,915,006 | 61,564,927 | ||||||||||
Miscellaneous Financials 0.55% | ||||||||||||
SPDR Blackstone Senior Loan ETF | 644,310 | 27,086,792 | ||||||||||
Total Exchange-Traded Funds (cost $88,288,253) | 88,651,719 | |||||||||||
Principal Amount‡ | ||||||||||||
FLOATING RATE LOANS(e) 80.95% | ||||||||||||
Aerospace 1.55% | ||||||||||||
Air Canada 2021 Term Loan B (Canada)(d) | 8.935% (1 mo. USD Term SOFR + 3.50%) | 8/11/2028 | $ | 14,710,233 | 14,751,127 | |||||||
Arcline FM Holdings LLC 2021 1st Lien Term Loan | 10.36% (3 mo. USD Term SOFR + 4.75%) | 6/23/2028 | 18,048,195 | 18,085,465 | ||||||||
Atlas CC Acquisition Corp. Term Loan B | 9.855% (3 mo. USD Term SOFR + 4.25%) | 5/25/2028 | 13,663,316 | 12,258,590 | ||||||||
Atlas CC Acquisition Corp. Term Loan C | 9.855% (3 mo. USD Term SOFR + 4.00%) | 5/25/2028 | 2,778,978 | 2,493,272 |
76 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Aerospace (continued) | ||||||||||||
Cobham Ultra SeniorCo SARL USD Term Loan B | 9.012% (6 mo. USD Term SOFR + 3.50%) | 8/3/2029 | $ | 14,922,675 | $ | 14,807,621 | ||||||
Peraton Corp. 2nd Lien Term Loan B1 | 13.176% (3 mo. USD Term SOFR + 7.75%) | 2/1/2029 | 14,171,523 | 14,203,976 | ||||||||
Total | 76,600,051 | |||||||||||
Aerospace/Defense 1.53% | ||||||||||||
Alloy Finco Ltd. 2020 USD Term Loan B2 (Jersey)(d) | 12.072% (3 mo. USD Term SOFR + 6.50%) | 12/6/2024 | 2,980,195 | 2,963,803 | ||||||||
Alloy Finco Ltd. USD Holdco PIK Term Loan 13.50% (United Kingdom)(d) | 0.50% | 3/6/2025 | 15,707,935 | 13,508,824 | ||||||||
Barnes Group, Inc. Term Loan B | 8.426% (1 mo. USD Term SOFR + 3.00%) | 9/3/2030 | 12,042,521 | 12,075,638 | ||||||||
Dynasty Acquisition Co., Inc. 2023 Term Loan B1 | 9.326% (1 mo. USD Term SOFR + 4.00%) | 8/24/2028 | 11,839,392 | 11,877,515 | ||||||||
Dynasty Acquisition Co., Inc. 2023 Term Loan B2 | 9.326% (1 mo. USD Term SOFR + 4.00%) | 8/24/2028 | 5,074,025 | 5,090,363 | ||||||||
TransDigm, Inc. 2022 Term Loan H | 8.598% (3 mo. USD Term SOFR + 3.25%) | 2/22/2027 | 5,957,071 | 5,978,100 | ||||||||
TransDigm, Inc. 2023 Term Loan J | 8.598% (3 mo. USD Term SOFR + 3.25%) | 2/14/2031 | 14,253,000 | 14,320,203 | ||||||||
Vertex Aerospace Services Corp. 2021 First Lien Term Loan | 8.676% (1 mo. USD Term SOFR + 3.25%) | 12/6/2028 | 10,003,314 | 10,019,319 | ||||||||
Total | 75,833,765 | |||||||||||
Airlines 1.35% | ||||||||||||
American Airlines, Inc. 2023 1st Lien Term Loan | 8.869% (3 mo. USD Term SOFR + 3.50%) | 6/4/2029 | 6,054,000 | 6,059,055 | ||||||||
American Airlines, Inc. 2021 Term Loan | 10.329% (3 mo. USD Term SOFR + 4.75%) | 4/20/2028 | 29,093,990 | 29,697,108 | ||||||||
Mileage Plus Holdings LLC 2020 Term Loan B | 10.77% (3 mo. USD Term SOFR + 5.25%) | 6/21/2027 | 15,635,835 | 16,126,252 | ||||||||
United Airlines, Inc. 2024 Term Loan B | – | (f) | 2/15/2031 | 15,079,433 | 15,088,858 | |||||||
Total | 66,971,273 | |||||||||||
Apparel 0.36% | ||||||||||||
Hanesbrands, Inc. 2023 Term Loan B | 9.076% (1 mo. USD Term SOFR + 3.75%) | 3/8/2030 | 17,842,447 | 17,842,447 |
See Notes to Schedule of Investments. | 77 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Auto Parts & Equipment 0.91% | ||||||||||||
Autokiniton U.S. Holdings, Inc. 2024 Term Loan B | 9.441% (3 mo. USD Term SOFR + 4.00%) | 4/6/2028 | $ | 18,280,124 | $ | 18,323,905 | ||||||
Clarios Global LP 2024 Term Loan B (Canada)(d) | 8.326% (1 mo. USD Term SOFR + 3.00%) | 5/6/2030 | 9,665,188 | 9,684,856 | ||||||||
RealTruck Group, Inc. 2023 Incremental Term Loan | 10.441% (1 mo. USD Term SOFR + 5.00%) | 1/31/2028 | 3,930,000 | 3,920,175 | ||||||||
Tenneco, Inc. 2022 Term Loan B | 10.419% (3 mo. USD Term SOFR + 5.00%) | 11/17/2028 | 13,844,000 | 13,082,580 | ||||||||
Total | 45,011,516 | |||||||||||
Automobile Manufacturers 0.00% | ||||||||||||
American Trailer World Corp. Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 3/3/2028 | 49,998 | 48,967 | ||||||||
Automotive 0.11% | ||||||||||||
DexKo Global, Inc. 2021 USD Term Loan B | 9.36% (3 mo. USD Term SOFR + 3.75%) | 10/4/2028 | 5,271,827 | 5,258,490 | ||||||||
Banks 0.27% | ||||||||||||
AqGen Island Holdings, Inc. Term Loan | 8.941% (1 mo. USD Term SOFR + 3.50%) | 8/2/2028 | 13,230,034 | 13,160,577 | ||||||||
Beverages 1.03% | ||||||||||||
Pegasus BidCo BV 2024 USD Term Loan (Netherlands)(d) | 9.057% (3 mo. USD Term SOFR + 3.75%) | 7/12/2029 | 16,518,464 | 16,580,408 | ||||||||
Triton Water Holdings, Inc. 2024 Incremental Term Loan B | – | (f) | 3/31/2028 | 14,073,489 | 13,862,387 | (g) | ||||||
Triton Water Holdings, Inc. Term Loan | 8.86% (3 mo. USD Term SOFR + 3.25%) | 3/31/2028 | 20,739,496 | 20,415,441 | ||||||||
Total | 50,858,236 | |||||||||||
Building & Construction 0.72% | ||||||||||||
Legence Holdings LLC 2021 Term Loan | 8.926% (1 mo. USD Term SOFR + 3.50%) | 12/16/2027 | 15,759,924 | 15,750,075 | ||||||||
USIC Holdings, Inc. 2021 2nd Lien Term Loan | – | (f) | 5/14/2029 | 19,962,000 | 19,729,143 | |||||||
Total | 35,479,218 |
78 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Building Materials 1.16% | ||||||||||||
ACProducts, Inc. 2021 Term Loan B | 9.86% (3 mo. USD Term SOFR + 4.25%) | 5/17/2028 | $ | 19,346,009 | $ | 17,413,633 | ||||||
Clay Holdco BV 2023 EUR Term Loan B2 | – | (f) | 12/31/2029 | EUR | 9,443,000 | 10,100,766 | (g) | |||||
Emrld Borrower LP Term Loan B | 7.791% (3 mo. USD Term SOFR + 2.50%) | 5/31/2030 | $ | 13,345,962 | 13,332,616 | |||||||
Icebox Holdco III, Inc. 2021 1st Lien Term Loan | 9.11% (3 mo. USD Term SOFR + 3.50%) | 12/22/2028 | 5,004,755 | 4,996,947 | ||||||||
Quikrete Holdings, Inc. 2023 Term Loan B | 8.191% (1 mo. USD Term SOFR + 2.75%) | 3/19/2029 | 6,405,182 | 6,415,815 | ||||||||
Smyrna Ready Mix Concrete LLC 2023 Term Loan | 8.82% (1 mo. USD Term SOFR + 3.50%) | 4/2/2029 | 5,152,671 | 5,171,994 | ||||||||
Total | 57,431,771 | |||||||||||
Chemicals 2.33% | ||||||||||||
Aruba Investments, Inc. 2020 2nd Lien Term Loan | 13.176% (1 mo. USD Term SOFR + 7.75%) | 11/24/2028 | 6,401,900 | 6,124,506 | ||||||||
DCG Acquisition Corp. Term Loan B | 9.926% (1 mo. USD Term SOFR + 4.50%) | 9/30/2026 | 16,891,744 | 16,870,629 | ||||||||
Hexion Holdings Corp. 2022 USD Term Loan | – | (f) | 3/15/2029 | 49,409 | 47,553 | |||||||
INEOS U.S. Finance LLC 2024 USD Term Loan B | 9.076% (1 mo. USD Term SOFR + 3.75%) | 2/7/2031 | 14,288,824 | 14,212,950 | ||||||||
LSF11 A5 Holdco LLC 2023 Incremental Term Loan B | 9.676% (1 mo. USD Term SOFR + 4.25%) | 10/15/2028 | 7,805,234 | 7,820,844 | ||||||||
LSF11 A5 Holdco LLC Term Loan | – | (f) | 10/15/2028 | 4,024,062 | 4,014,625 | |||||||
Nouryon Finance BV 2023 USD Term Loan B (Netherlands)(d) | 9.419% (3 mo. USD Term SOFR + 4.00%) | 4/3/2028 | 19,940,469 | 19,977,857 | ||||||||
Olympus Water U.S. Holding Corp. 2021 USD Term Loan B | 9.36% (3 mo. USD Term SOFR + 3.75%) | 11/9/2028 | 8,088,253 | 8,090,032 | ||||||||
Olympus Water U.S. Holding Corp. 2024 Term Loan | 9.566% (3 mo. USD Term SOFR + 4.25%) | 11/9/2028 | 2,931,152 | 2,943,067 | ||||||||
Plaskolite LLC 2021 Term Loan | 9.441% (1 mo. USD Term SOFR + 4.00%) | 12/15/2025 | 14,613,092 | 14,317,835 | ||||||||
PMHC II, Inc. 2022 Term Loan B | 9.723% (3 mo. USD Term SOFR + 4.25%) | 4/23/2029 | 16,241,476 | 15,889,848 | ||||||||
Starfruit Finco BV 2023 Term Loan B (Netherlands)(d) | 9.424% (1 mo. USD Term SOFR + 4.00%) | 4/3/2028 | 4,781,797 | 4,789,281 | ||||||||
Total | 115,099,027 |
See Notes to Schedule of Investments. | 79 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Commercial Services 4.90% | ||||||||||||
Allied Universal Holdco LLC 2021 USD Incremental Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 5/12/2028 | $ | 16,758,606 | $ | 16,712,855 | ||||||
Amentum Government Services Holdings LLC Term Loan B | 9.441% (1 mo. USD Term SOFR + 4.00%) | 1/29/2027 | 5,655,794 | 5,667,586 | ||||||||
AVSC Holding Corp. 2020 Term Loan B1 PIK 0.25% | 8.926% (1 mo. USD Term SOFR + 3.25%) | 3/3/2025 | 12,758,028 | 12,623,367 | ||||||||
BCP V Modular Services Holdings IV Ltd. EUR Term Loan B | 8.35% (3 mo. EURIBOR + 4.43%) | 12/15/2028 | EUR | 9,225,000 | 9,833,283 | |||||||
CHG Healthcare Services, Inc. 2021 Term Loan | 8.691% (1 mo. USD Term SOFR + 3.25%) | 9/29/2028 | $ | 9,195,257 | 9,191,855 | |||||||
CHG Healthcare Services, Inc. 2023 Incremental Term Loan | 9.076% - 9.09% (1 mo. USD Term SOFR + 3.75%) (3 mo. USD Term SOFR + 3.75%) | 9/29/2028 | 5,464,450 | 5,475,843 | ||||||||
CoreLogic, Inc. 2nd Lien Term Loan | 11.941% (1 mo. USD Term SOFR + 6.50%) | 6/4/2029 | 10,068,544 | 9,168,718 | ||||||||
CoreLogic, Inc. Term Loan | 8.941% (1 mo. USD Term SOFR + 3.50%) | 6/2/2028 | 49,746 | 48,568 | ||||||||
Garda World Security Corp. 2022 Term Loan B (Canada)(d) | 9.625% (3 mo. USD Term SOFR + 4.25%) | 2/1/2029 | 17,694,502 | 17,719,806 | ||||||||
GTCR W Merger Sub LLC USD Term Loan B | 8.326% (1 mo. USD Term SOFR + 3.00%) | 1/31/2031 | 10,887,000 | 10,941,435 | ||||||||
Homeserve USA Holding Corp. Term Loan | 8.32% (1 mo. USD Term SOFR + 3.00%) | 10/21/2030 | 10,467,000 | 10,471,919 | ||||||||
IFCO Management GmbH 2024 EUR Term Loan B | – | (f) | 11/29/2029 | EUR | 7,424,457 | 8,038,031 | ||||||
KUEHG Corp. 2023 Term Loan | 10.348% (3 mo. USD Term SOFR + 5.00%) | 6/12/2030 | $ | 10,415,801 | 10,451,059 | |||||||
Mavis Tire Express Services Corp. 2024 Term Loan B | 9.076% (1 mo. USD Term SOFR + 3.75%) | 5/4/2028 | 15,032,460 | 15,065,456 | ||||||||
PG Investment Co. 59 SARL Term Loan B (Luxembourg)(d) | – | (f) | 2/24/2031 | 17,985,172 | 18,022,671 | |||||||
Spin Holdco, Inc. 2021 Term Loan | 9.625% (3 mo. USD Term SOFR + 4.00%) | 3/4/2028 | 17,924,267 | 16,352,667 | ||||||||
Spring Education Group, Inc. Term Loan | 9.848% (3 mo. USD Term SOFR + 4.50%) | 10/4/2030 | 15,642,338 | 15,659,467 |
80 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Commercial Services (continued) | ||||||||||||
Techem Verwaltungsgesellschaft 675 mbH 2024 EUR Term Loan B | – | (f) | 7/15/2029 | EUR | 7,452,055 | $ | 8,051,680 | |||||
TruGreen Ltd. Partnership 2020 Term Loan | 9.426% (1 mo. USD Term SOFR + 4.00%) | 11/2/2027 | $ | 9,793,744 | 9,485,975 | |||||||
Verscend Holding Corp. 2021 Term Loan B | 9.441% (1 mo. USD Term SOFR + 4.00%) | 8/27/2025 | 19,509,256 | 19,547,885 | ||||||||
Wand NewCo 3, Inc. 2024 Term Loan B | 9.076% (1 mo. USD Term SOFR + 3.75%) | 1/30/2031 | 13,685,333 | 13,723,858 | ||||||||
Total | 242,253,984 | |||||||||||
Computers 0.58% | ||||||||||||
Ahead DB Holdings LLC 2024 Incremental Term Loan B | 9.569% (3 mo. USD Term SOFR + 4.25%) | 1/24/2031 | 13,803,786 | 13,821,041 | ||||||||
Vision Solutions, Inc. 2021 Incremental Term Loan | 9.586% (3 mo. USD Term SOFR + 4.00%) | 4/24/2028 | 15,008,717 | 14,929,921 | ||||||||
Total | 28,750,962 | |||||||||||
Construction & Engineering 0.09% | ||||||||||||
Aegion Corp. 2024 Term Loan | 9.576% (1 mo. USD Term SOFR + 4.25%) | 5/17/2028 | 49,775 | 49,775 | ||||||||
Brand Industrial Services, Inc. 2023 Term Loan B | 10.806% (3 mo. USD Term SOFR + 5.50%) | 8/1/2030 | 4,505,486 | 4,521,977 | ||||||||
Total | 4,571,752 | |||||||||||
Consumer Non-Durables 0.19% | ||||||||||||
Anastasia Parent LLC 2018 Term Loan B | 9.36% (3 mo. USD Term SOFR + 3.75%) | 8/11/2025 | 12,637,590 | 9,231,064 | ||||||||
Containers & Packaging 1.20% | ||||||||||||
Berlin Packaging LLC 2021 Term Loan B5 | 9.193% - 9.36% (1 mo. USD Term SOFR + 3.75%) (3 mo. USD Term SOFR + 3.75%) | 3/11/2028 | 49,746 | 49,680 | ||||||||
Charter NEX U.S., Inc. 2024 Term Loan B | – | (f) | 12/1/2027 | 13,403,945 | 13,413,261 | |||||||
Iris Holding, Inc. Term Loan | 10.163% (3 mo. USD Term SOFR + 4.75%) | 6/28/2028 | 5,581,738 | 5,293,358 | ||||||||
Kouti BV 2021 EUR Term Loan | 7.377% (3 mo. EURIBOR + 3.43%) | 8/31/2028 | EUR | 9,503,000 | 10,160,786 |
See Notes to Schedule of Investments. | 81 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Containers & Packaging (continued) | ||||||||||||
Pretium Packaging LLC Second Out Term Loan A1 | 9.906% (3 mo. USD Term SOFR + 4.60%) | 10/2/2028 | $ | 18,995,973 | $ | 16,906,416 | ||||||
Proampac PG Borrower LLC 2023 Term Loan | 9.798% - 9.82% (3 mo. USD Term SOFR + 4.50%) | 9/15/2028 | 9,446,000 | 9,471,976 | ||||||||
Tosca Services LLC 2021 Term Loan | 9.074% (3 mo. USD Term SOFR + 3.50%) | 8/18/2027 | 4,764,744 | 3,986,518 | ||||||||
Total | 59,281,995 | |||||||||||
Cosmetics/Personal Care 0.22% | ||||||||||||
Sunshine Luxembourg VII SARL 2021 USD Term Loan B3 (Luxembourg)(d) | 8.948% (3 mo. USD Term SOFR + 3.50%) | 10/1/2026 | 10,784,513 | 10,812,229 | ||||||||
Distribution/Wholesale 1.14% | ||||||||||||
BCPE Empire Holdings, Inc. 2024 Term Loan | 9.326% (1 mo. USD Term SOFR + 4.00%) | 12/11/2028 | 14,883,558 | 14,903,130 | ||||||||
Owens & Minor, Inc. 2022 Term Loan B | 9.176% - 9.20% (1 mo. USD Term SOFR + 3.75%) (3 mo. USD Term SOFR + 3.75%) | 3/29/2029 | 10,422,041 | 10,477,434 | ||||||||
Parts Europe SA EUR Term Loan B | – | (f) | 2/3/2031 | EUR | 13,504,040 | 14,605,741 | ||||||
Windsor Holdings III LLC USD Term Loan B | 9.824% (1 mo. USD Term SOFR + 4.50%) | 8/1/2030 | $ | 16,398,009 | 16,446,711 | |||||||
Total | 56,433,016 | |||||||||||
Diversified Capital Goods 0.47% | ||||||||||||
CeramTec AcquiCo GmbH 2022 EUR Term Loan B | 7.452% (3 mo. EURIBOR + 3.50%) | 3/16/2029 | EUR | 13,369,227 | 14,256,842 | |||||||
Tank Holding Corp. 2022 Term Loan | 11.176% (1 mo. USD Term SOFR + 5.75%) | 3/31/2028 | $ | 9,142,348 | 9,073,781 | |||||||
Total | 23,330,623 | |||||||||||
Diversified Financial Services 3.25% | ||||||||||||
Advisor Group, Inc. 2023 Term Loan B | 9.826% (1 mo. USD Term SOFR + 4.50%) | 8/17/2028 | 19,132,108 | 19,157,267 | ||||||||
Advisor Group, Inc. 2024 Fungible Term Loan | – | (f) | 8/16/2028 | 3,054,122 | 3,058,138 | |||||||
Aretec Group, Inc. 2023 Incremental Term Loan | 9.926% (1 mo. USD Term SOFR + 4.50%) | 8/9/2030 | 11,374,421 | 11,434,876 | ||||||||
Castlelake Aviation Ltd. 2023 Incremental Term Loan B | 8.135% (3 mo. USD Term SOFR + 2.75%) | 10/22/2027 | 12,822,080 | 12,832,082 |
82 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
DRW Holdings LLC 2021 Term Loan | – | (f) | 3/1/2028 | $ | 16,858,699 | $ | 16,848,162 | |||||
Edelman Financial Center LLC 2021 Term Loan B | 8.941% (1 mo. USD Term SOFR + 3.50%) | 4/7/2028 | 5,493,717 | 5,483,938 | ||||||||
HighTower Holdings LLC 2021 Term Loan B | – | (f) | 4/21/2028 | 10,863,545 | 10,881,633 | |||||||
Jane Street Group LLC 2024 Term Loan B | 7.941% (1 mo. USD Term SOFR + 2.50%) | 1/26/2028 | 33,244,639 | 33,209,067 | ||||||||
Minotaur Acquisition, Inc. Term Loan B | 10.176% (1 mo. USD Term SOFR + 4.75%) | 3/27/2026 | 16,929,842 | 16,934,074 | ||||||||
NFP Corp. 2020 Term Loan | 8.691% (1 mo. USD Term SOFR + 3.25%) | 2/16/2027 | 16,839,028 | 16,883,062 | ||||||||
Nuvei Technologies Corp. USD Term Loan (Canada)(d) | 8.426% (1 mo. USD Term SOFR + 3.00%) | 12/19/2030 | 13,751,000 | 13,778,983 | ||||||||
Total | 160,501,282 | |||||||||||
Electric 0.30% | ||||||||||||
Helix Gen Funding LLC 2023 Term Loan | 10.098% (3 mo. USD Term SOFR + 4.75%) | 12/31/2027 | 14,577,992 | 14,643,156 | ||||||||
Electric: Generation 0.47% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 8.941% (1 mo. USD Term SOFR + 3.50%) | 12/10/2027 | 7,731,995 | 7,738,993 | ||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 9.11% (3 mo. USD Term SOFR + 3.50%) | 10/1/2027 | 10,252,614 | 10,259,022 | ||||||||
ExGen Renewables IV LLC 2020 Term Loan | 8.105% (3 mo. USD Term SOFR + 2.50%) | 12/15/2027 | 226,595 | 225,957 | ||||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 7.11% (3 mo. USD Term SOFR + 1.50%) | 7/28/2028 | 2,863,989 | 1,503,595 | ||||||||
Frontera Generation Holdings LLC 2021 Term Loan | 18.61% (3 mo. USD Term SOFR + 13.00%) | 7/28/2026 | 2,950,702 | 3,304,786 | ||||||||
Total | 23,032,353 | |||||||||||
Electric: Integrated 0.24% | ||||||||||||
Compass Power Generation LLC 2022 Term Loan B2 | 9.69% (1 mo. USD Term SOFR + 4.25%) | 4/14/2029 | 11,712,432 | 11,801,915 | ||||||||
Electronics 0.20% | ||||||||||||
Roper Industrial Products Investment CO. LLC 2023 USD Term Loan | 9.348% (3 mo. USD Term SOFR + 4.00%) | 11/22/2029 | 9,858,935 | 9,903,301 |
See Notes to Schedule of Investments. | 83 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Engineering & Construction 0.25% | ||||||||||||
Service Logic Acquisition, Inc. Term Loan | 9.441% - 9.57% (1 mo. USD Term SOFR + 4.00%) (3 mo. USD Term SOFR + 4.00%) | 10/29/2027 | $ | 12,588,939 | $ | 12,596,807 | ||||||
Entertainment 1.69% | ||||||||||||
Caesars Entertainment Corp. Term Loan B | 8.663% (3 mo. USD Term SOFR + 3.25%) | 2/6/2030 | 16,503,601 | 16,549,481 | ||||||||
Caesars Entertainment, Inc. 2024 Term Loan B1 | 8.041% (3 mo. USD Term SOFR + 2.75%) | 2/6/2031 | 19,782,000 | 19,790,308 | ||||||||
Cinemark USA, Inc. 2023 Term Loan B | 9.071% - 9.10% (1 mo. USD Term SOFR + 3.75%) (3 mo. USD Term SOFR + 3.75%) | 5/24/2030 | 9,966,259 | 9,995,361 | ||||||||
ECL Entertainment LLC 2023 Term Loan B | 10.076% (1 mo. USD Term SOFR + 4.75%) | 8/31/2030 | 8,912,223 | 8,965,161 | ||||||||
Motion Finco SARL 2023 EUR Term Loan B | 7.925% (3 mo. EURIBOR + 4.00%) | 11/12/2029 | EUR | 8,492,557 | 9,157,961 | |||||||
Motion Finco SARL 2024 USD Term Loan B (Luxembourg)(d) | 9.11% (3 mo. USD Term SOFR + 3.50%) | 11/12/2029 | $ | 10,403,765 | 10,384,258 | |||||||
Ontario Gaming GTA LP Term Loan B (Canada)(d) | – | (f) | 8/1/2030 | 8,926,000 | 8,929,169 | |||||||
Total | 83,771,699 | |||||||||||
Environmental Control 0.41% | ||||||||||||
Heritage-Crystal Clean, Inc. Term Loan B | 10.317% (3 mo. USD Term SOFR + 5.00%) | 10/17/2030 | 11,199,000 | 11,260,259 | ||||||||
Madison IAQ LLC Term Loan | 8.685% (1 mo. USD Term SOFR + 3.25%) | 6/21/2028 | 9,180,768 | 9,160,249 | ||||||||
Total | 20,420,508 | |||||||||||
Financial 2.56% | ||||||||||||
Acrisure LLC 2021 First Lien Term Loan B | 9.691% (1 mo. USD LIBOR + 4.25%) | 2/15/2027 | 17,730,586 | 17,793,440 | ||||||||
Armor Holding II LLC 2021 Term Loan B | 9.934% (6 mo. USD Term SOFR + 4.50%) | 12/11/2028 | 7,061,917 | 7,095,461 | ||||||||
AssuredPartners, Inc. 2020 Term Loan B | 8.941% (1 mo. USD Term SOFR + 3.50%) | 2/12/2027 | 18,557,362 | 18,592,157 | ||||||||
Asurion LLC 2021 Second Lien Term Loan B4 | 10.691% (1 mo. USD Term SOFR + 5.25%) | 1/20/2029 | 24,192,469 | 22,882,688 |
84 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Financial (continued) | ||||||||||||
Asurion LLC 2022 Term Loan B10 | 9.426% (1 mo. USD Term SOFR + 4.00%) | 8/19/2028 | $ | 11,162,639 | $ | 11,094,436 | ||||||
Edelman Financial Center LLC 2018 2nd Lien Term Loan | 12.191% (1 mo. USD Term SOFR + 6.75%) | 7/20/2026 | 10,580,063 | 10,627,462 | ||||||||
Hudson River Trading LLC 2021 Term Loan | 8.441% (1 mo. USD Term SOFR + 3.00%) | 3/20/2028 | 20,835,316 | 20,734,474 | ||||||||
NEXUS Buyer LLC Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 11/9/2026 | 5,854,407 | 5,772,679 | ||||||||
OneDigital Borrower LLC 2021 Term Loan | – | (f) | 11/16/2027 | 12,071,291 | 12,093,985 | |||||||
Total | 126,686,782 | |||||||||||
Food 0.75% | ||||||||||||
Chobani LLC 2023 Incremental Term Loan | 9.068% (1 mo. USD Term SOFR + 3.75%) | 10/25/2027 | 12,445,000 | 12,481,962 | ||||||||
K-MAC Holdings Corp. 2024 Add-on Term Loan | – | (f) | 7/15/2028 | 1,101,352 | 1,103,185 | |||||||
Upfield BV 2023 USD Term Loan B7 (Netherlands)(d) | – | (f) | 1/2/2028 | 9,453,320 | 9,403,690 | |||||||
Wm Morrison EUR Term Loan B1 | 8.651% (3 mo. EURIBOR + 4.75%) | 11/4/2027 | EUR | 13,530,000 | 14,306,844 | |||||||
Total | 37,295,681 | |||||||||||
Food/Tobacco 0.18% | ||||||||||||
NPC International, Inc. 2nd Lien Term Loan(h) | 1.00% | 4/18/2025 | $ | 9,531,000 | – | (i)(j) | ||||||
Reynolds Group Holdings, Inc. 2021 Term Loan B | 8.691% (1 mo. USD Term SOFR + 3.25%) | 9/24/2028 | 8,953,444 | 8,976,544 | ||||||||
Total | 8,976,544 | |||||||||||
Gaming/Leisure 1.95% | ||||||||||||
888 Acquisitions Ltd. USD Term Loan B (United Kingdom)(d) | 10.818% (6 mo. USD Term SOFR + 5.25%) | 7/1/2028 | 14,921,961 | 14,670,227 | ||||||||
AVSC Holding Corp. 2018 2nd Lien Term Loan | 12.691% (1 mo. USD Term SOFR + 7.25%) | 9/1/2025 | 3,538,783 | 3,333,091 | ||||||||
Fertitta Entertainment LLC 2022 Term Loan B | – | (f) | 1/27/2029 | 25,756,896 | 25,807,637 | |||||||
Hilton Grand Vacations Borrower LLC 2021 Term Loan B | 8.191% (1 mo. USD Term SOFR + 2.75%) | 8/2/2028 | 14,712,036 | 14,719,907 | ||||||||
PENN Entertainment, Inc. 2022 Term Loan B | 8.176% (1 mo. USD Term SOFR + 2.75%) | 5/3/2029 | 7,854,478 | 7,829,933 | ||||||||
Sabre GLBL, Inc. 2021 Term Loan B1 | 8.941% (1 mo. USD Term SOFR + 3.50%) | 12/17/2027 | 853,634 | 724,825 | ||||||||
Sabre GLBL, Inc. 2021 Term Loan B2 | 8.941% (1 mo. USD Term SOFR + 3.50%) | 12/17/2027 | 1,232,670 | 1,046,666 |
See Notes to Schedule of Investments. | 85 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Gaming/Leisure (continued) | ||||||||||||
Scientific Games Holdings LP 2022 USD Term Loan B | 8.58% (3 mo. USD Term SOFR + 3.25%) | 4/4/2029 | $ | 14,821,984 | $ | 14,807,459 | ||||||
United FP Holdings LLC 2019 1st Lien Term Loan | 9.574% (3 mo. USD Term SOFR + 4.00%) | 12/30/2026 | 14,674,614 | 13,269,520 | ||||||||
Total | 96,209,265 | |||||||||||
Gas 0.28% | ||||||||||||
NGL Energy Partners LP 2024 Term Loan B | 9.826% (1 mo. USD Term SOFR + 4.50%) | 2/2/2031 | 13,574,400 | 13,638,064 | ||||||||
Gas Distribution 0.23% | ||||||||||||
Freeport LNG Investments LLLP Term Loan B | 9.079% (3 mo. USD Term SOFR + 3.50%) | 12/21/2028 | 11,572,650 | 11,487,706 | ||||||||
Health Care Products 0.70% | ||||||||||||
Curia Global, Inc. 2021 Term Loan | 9.163% - 9.18% (1 mo. USD Term SOFR + 3.75%) (3 mo. USD Term SOFR + 3.75%) | 8/30/2026 | 14,472,997 | 13,680,021 | ||||||||
Medline Borrower LP USD Term Loan B | 8.441% (1 mo. USD Term SOFR + 3.00%) | 10/23/2028 | 20,976,875 | 21,003,096 | ||||||||
Total | 34,683,117 | |||||||||||
Health Care Services 2.37% | ||||||||||||
ADMI Corp. 2023 Term Loan B5 | 11.076% (1 mo. USD Term SOFR + 5.75%) | 12/23/2027 | 23,566,766 | 23,540,253 | ||||||||
Dermatology Intermediate Holdings III, Inc. 2023 Incremental Term Loan B | 10.813% (3 mo. USD Term SOFR + 5.50%) | 3/30/2029 | 4,310,000 | 4,256,125 | ||||||||
Heartland Dental LLC 2023 Term Loan B | 10.32% (1 mo. USD Term SOFR + 5.00%) | 4/28/2028 | 20,240,240 | 20,289,627 | ||||||||
LifePoint Health, Inc. 2023 Term Loan B | 11.087% (3 mo. USD Term SOFR + 5.50%) | 11/16/2028 | 50,000 | 50,098 | ||||||||
National Mentor Holdings, Inc. 2021 Term Loan | – | (f) | 3/2/2028 | 9,843,433 | 9,211,829 | |||||||
National Mentor Holdings, Inc. 2021 Term Loan C | – | (f) | 3/2/2028 | 203,567 | 190,505 | |||||||
Select Medical Corp. 2023 Term Loan B1 | 8.326% (1 mo. USD Term SOFR + 3.00%) | 3/6/2027 | 12,085,860 | 12,093,474 | ||||||||
Star Parent, Inc. Term Loan B | 9.348% (3 mo. USD Term SOFR + 4.00%) | 9/27/2030 | 21,886,000 | 21,639,892 | ||||||||
Surgery Center Holdings, Inc. 2023 Term Loan | 8.82% (1 mo. USD Term SOFR + 3.50%) | 12/19/2030 | 9,957,959 | 9,990,471 |
86 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
Wellpath Holdings, Inc. 2018 1st Lien Term Loan | 11.11% - 11.32% (3 mo. USD Term SOFR + 5.50%) | 10/1/2025 | $ | 20,223,232 | $ | 16,128,027 | ||||||
Total | 117,390,301 | |||||||||||
Healthcare 5.79% | ||||||||||||
Athenahealth Group, Inc. 2022 Term Loan B | 8.576% (1 mo. USD Term SOFR + 3.25%) | 2/15/2029 | 25,639,934 | 25,483,658 | ||||||||
Bella Holding Co. LLC 2021 Term Loan B | 9.071% (1 mo. USD Term SOFR + 3.75%) | 5/10/2028 | 9,945,139 | 9,937,381 | ||||||||
CCRR Parent, Inc. Term Loan B | 9.191% (1 mo. USD Term SOFR + 3.75%) | 3/6/2028 | 8,739,298 | 7,898,141 | ||||||||
Covetrus, Inc. Term Loan | 10.348% (3 mo. USD Term SOFR + 5.00%) | 10/13/2029 | 13,480,070 | 13,481,013 | ||||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 9.441% (1 mo. USD Term SOFR + 4.00%) | 1/8/2027 | 9,374,567 | 9,386,379 | ||||||||
Dermatology Intermediate Holdings III, Inc. 2022 Term Loan B | 9.563% (3 mo. USD Term SOFR + 4.25%) | 3/30/2029 | 12,267,903 | 12,005,677 | ||||||||
Electron BidCo, Inc. 2021 Term Loan | 8.441% (1 mo. USD Term SOFR + 3.00%) | 11/1/2028 | 11,658,744 | 11,656,005 | ||||||||
eResearchTechnology, Inc. 2020 1st Lien Term Loan | 9.941% (1 mo. USD Term SOFR + 4.50%) | 2/4/2027 | 20,887,347 | 20,938,312 | ||||||||
Gainwell Acquisition Corp. Term Loan B | 9.448% (3 mo. USD Term SOFR + 4.00%) | 10/1/2027 | 11,816,206 | 11,328,787 | ||||||||
Global Medical Response, Inc. 2020 Term Loan B | 9.841% (3 mo. USD Term SOFR + 4.25%) | 10/2/2025 | 25,519,708 | 22,632,791 | ||||||||
Hunter Holdco 3 Ltd. USD Term Loan B (United Kingdom)(d) | 9.698% (3 mo. USD Term SOFR + 4.25%) | 8/19/2028 | 21,652,968 | 21,517,637 | ||||||||
LSCS Holdings, Inc. 2021 1st Lien Term Loan | 9.941% (1 mo. USD Term SOFR + 4.61%) | 12/16/2028 | 34,529 | 33,839 | ||||||||
MDVIP, Inc. 2021 Term Loan | 8.941% (1 mo. USD Term SOFR + 3.50%) | 10/16/2028 | 9,997,749 | 10,000,249 | ||||||||
MedAssets Software Intermediate Holdings, Inc. 2021 Term Loan | 9.441% (1 mo. USD Term SOFR + 4.00%) | 12/18/2028 | 12,478,398 | 10,489,716 | ||||||||
Medical Solutions Holdings, Inc. 2021 1st Lien Term Loan | 8.676% (1 mo. USD Term SOFR + 3.25%) | 11/1/2028 | 973,296 | 840,684 | ||||||||
Medical Solutions Holdings, Inc. 2021 2nd Lien Term Loan | 12.426% (1 mo. USD Term SOFR + 7.00%) | 11/1/2029 | 8,000,000 | 6,535,040 |
See Notes to Schedule of Investments. | 87 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
National Mentor Holdings, Inc. 2021 2nd Lien Term Loan | 12.698% (3 mo. USD Term SOFR + 7.25%) | 3/2/2029 | $ | 5,832,027 | $ | 4,671,104 | ||||||
Pacific Dental Services LLC 2021 Term Loan | 8.941% (1 mo. USD Term SOFR + 3.50%) | 5/5/2028 | 10,045,217 | 10,059,380 | ||||||||
Parexel International Corp. 2021 1st Lien Term Loan | 8.691% (1 mo. USD Term SOFR + 3.25%) | 11/15/2028 | 9,359,005 | 9,361,953 | ||||||||
Pathway Vet Alliance LLC 2021 Term Loan | 9.191% (1 mo. USD Term SOFR + 3.75%) | 3/31/2027 | 11,363,200 | 9,770,022 | ||||||||
Physician Partners LLC Term Loan | – | (f) | 12/26/2028 | 14,122,672 | 12,578,005 | |||||||
Press Ganey Holdings, Inc. 2021 Term Loan B | 9.191% (1 mo. USD Term SOFR + 3.75%) | 7/24/2026 | 2,835,122 | 2,820,946 | ||||||||
Press Ganey Holdings, Inc. 2022 Incremental Term Loan | 9.176% (1 mo. USD Term SOFR + 3.75%) | 7/24/2026 | 6,596,009 | 6,567,976 | ||||||||
Southern Veterinary Partners LLC Term Loan | 9.441% (1 mo. USD Term SOFR + 4.00%) | 10/5/2027 | 18,099,295 | 18,096,490 | ||||||||
Summit Behavioral Healthcare LLC 1st Lien Term Loan | 10.355% (3 mo. USD Term SOFR + 4.75%) | 11/24/2028 | 18,149,111 | 18,157,641 | ||||||||
Total | 286,248,826 | |||||||||||
Home Furnishings 0.21% | ||||||||||||
AI Aqua Merger Sub, Inc. 2023 Incremental Term Loan(k) | 9.572% (1 mo. USD Term SOFR + 4.25%) | 7/31/2028 | 10,378,000 | 10,400,728 | ||||||||
Housewares 0.24% | ||||||||||||
Springs Windows Fashions LLC 2021 Term Loan B | 9.441% (1 mo. USD Term SOFR + 4.00%) | 10/6/2028 | 13,266,940 | 12,056,332 | ||||||||
Housing 1.36% | ||||||||||||
Icebox Holdco III, Inc. 2021 2nd Lien Term Loan | 12.36% (3 mo. USD Term SOFR + 6.75%) | 12/21/2029 | 8,019,639 | 7,738,952 | ||||||||
LBM Acquisition LLC Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 12/17/2027 | 14,579,848 | 14,553,458 | ||||||||
Oscar AcquisitionCo LLC Term Loan B | 9.948% (3 mo. USD Term SOFR + 4.50%) | 4/29/2029 | 8,961,449 | 8,948,366 | ||||||||
Quikrete Holdings, Inc. 2016 1st Lien Term Loan | 8.066% (1 mo. USD Term SOFR + 2.63%) | 2/1/2027 | 7,326,869 | 7,336,980 |
88 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Housing (continued) | ||||||||||||
Solis IV BV USD Term Loan B1 (Netherlands)(d) | 8.824% (3 mo. USD Term SOFR + 3.50%) | 2/26/2029 | $ | 12,424,404 | $ | 12,306,682 | ||||||
SRS Distribution, Inc. 2021 Term Loan B | 8.941% (1 mo. USD Term SOFR + 3.50%) | 6/2/2028 | 7,759,958 | 7,759,958 | ||||||||
White Cap Buyer LLC Term Loan B | 9.076% (1 mo. USD Term SOFR + 3.75%) | 10/19/2027 | 8,461,172 | 8,480,717 | ||||||||
Total | 67,125,113 | |||||||||||
Information Technology 3.89% | ||||||||||||
Apttus Corp. 2021 Term Loan | 9.441% (1 mo. USD Term SOFR + 4.00%) | 5/8/2028 | 15,994,012 | 16,031,518 | ||||||||
Ascend Learning LLC 2021 Term Loan | 8.926% (1 mo. USD Term SOFR + 3.50%) | 12/11/2028 | 19,371,328 | 19,069,910 | ||||||||
Barracuda Networks, Inc. 2022 2nd Lien Term Loan | 12.313% (3 mo. USD Term SOFR + 7.00%) | 8/15/2030 | 9,907,507 | 8,929,141 | ||||||||
Cloud Software Group, Inc. 2022 USD Term Loan B | 9.948% (3 mo. USD Term SOFR + 4.50%) | 3/30/2029 | 38,448,187 | 38,169,822 | ||||||||
ConnectWise LLC 2021 Term Loan B | 9.11% (3 mo. USD Term SOFR + 3.50%) | 9/29/2028 | 11,618,643 | 11,616,842 | ||||||||
Constant Contact Inc Term Loan | 9.588% (3 mo. USD Term SOFR + 4.00%) | 2/10/2028 | 9,453,000 | 9,201,928 | ||||||||
Ensono LP 2021 Term Loan | 9.439% - 9.44% (1 mo. USD Term SOFR + 4.00%) | 5/26/2028 | 13,158,996 | 12,756,001 | ||||||||
Greeneden U.S. Holdings II LLC 2020 USD Term Loan B4 | 9.441% (1 mo. USD Term SOFR + 4.00%) | 12/1/2027 | 9,356,827 | 9,399,728 | ||||||||
McAfee LLC 2022 USD Term Loan B | 9.178% (1 mo. USD Term SOFR + 3.75%) | 3/1/2029 | 23,921,455 | 23,870,144 | ||||||||
Polaris Newco LLC 2nd Lien Term Loan | 14.443% (3 mo. USD Term SOFR + 9.00%) | 6/4/2029 | 2,738,279 | 2,738,279 | ||||||||
Project Boost Purchaser LLC 2019 Term Loan B | 8.941% (1 mo. USD Term SOFR + 3.50%) | 6/1/2026 | 4,341,823 | 4,346,577 | ||||||||
RealPage, Inc. 1st Lien Term Loan | 8.441% (1 mo. USD Term SOFR + 3.00%) | 4/24/2028 | 14,949,242 | 14,569,008 | ||||||||
Storable, Inc. Term Loan B | 8.684% - 8.85% (1 mo. USD Term SOFR + 3.50%) (3 mo. USD Term SOFR + 3.50%) | 4/17/2028 | 9,310,297 | 9,311,787 | ||||||||
Surf Holdings LLC USD Term Loan | 8.936% (1 mo. USD Term SOFR + 3.50%) | 3/5/2027 | 12,147,163 | 12,163,987 | ||||||||
Total | 192,174,672 |
See Notes to Schedule of Investments. | 89 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Insurance 2.80% | ||||||||||||
Acrisure LLC 2020 Term Loan B | 8.941% (1 mo. USD LIBOR + 3.50%) | 2/15/2027 | $ | 11,567,796 | $ | 11,570,514 | ||||||
Acrisure LLC 2023 Term Loan | 9.826% (1 mo. USD Term SOFR + 4.50%) | 11/6/2030 | 2,390,000 | 2,407,925 | ||||||||
Alliant Holdings Intermediate LLC 2023 Term Loan B6 | 8.821% (1 mo. USD Term SOFR + 3.50%) | 11/6/2030 | 7,680,810 | 7,692,600 | ||||||||
Amynta Agency Borrower, Inc. 2023 1st Lien Term Loan B | 9.576% (1 mo. USD Term SOFR + 4.25%) | 2/28/2028 | 18,694,584 | 18,729,636 | ||||||||
AssuredPartners, Inc. 2023 Term Loan B4 | 9.076% (1 mo. USD Term SOFR + 3.75%) | 2/12/2027 | 3,147,866 | 3,156,130 | ||||||||
AssuredPartners, Inc. 2024 Incremental Term Loan B5 | – | (f) | 2/8/2031 | 4,142,800 | 4,148,641 | |||||||
Asurion LLC 2023 Term Loan B11 | 9.676% (1 mo. USD Term SOFR + 4.25%) | 8/19/2028 | 21,118,854 | 21,039,658 | ||||||||
Broadstreet Partners, Inc. 2023 Term Loan B3 | 9.076% (1 mo. USD Term SOFR + 3.75%) | 1/27/2029 | 6,652,000 | 6,662,743 | ||||||||
Howden Group Holdings Ltd. 2024 USD Term Loan B (United Kingdom)(d) | 8.807% (3 mo. USD Term SOFR + 3.50%) | 2/15/2031 | 22,263,800 | 22,177,973 | ||||||||
HUB International Ltd. 2024 Term Loan B | 8.574% (3 mo. USD Term SOFR + 3.25%) | 6/20/2030 | 12,282,856 | 12,283,470 | ||||||||
Jones Deslauriers Insurance Management, Inc. 2024 Term Loan B (Canada)(d) | 8.805% (3 mo. USD Term SOFR + 3.50%) | 3/15/2030 | 6,582,398 | 6,598,854 | ||||||||
Sedgwick Claims Management Services, Inc. 2023 Term Loan B | 9.076% (1 mo. USD Term SOFR + 3.75%) | 2/24/2028 | 12,312,351 | 12,344,548 | ||||||||
USI, Inc. 2023 Term Loan B | 8.348% (3 mo. USD Term SOFR + 3.00%) | 11/22/2029 | 9,471,058 | 9,478,682 | ||||||||
Total | 138,291,374 | |||||||||||
Integrated Energy 0.19% | ||||||||||||
Esdec Solar Group BV Term Loan B (Netherlands)(d) | 10.36% (3 mo. USD Term SOFR + 4.75%) | 8/30/2028 | 9,989,085 | 9,514,603 | ||||||||
Internet 1.94% | ||||||||||||
Arches Buyer, Inc. 2021 Term Loan B | 8.676% (1 mo. USD Term SOFR + 3.25%) | 12/6/2027 | 12,018,155 | 11,545,902 | ||||||||
Endure Digital, Inc. Term Loan | 9.422% (3 mo. USD Term SOFR + 3.50%) | 2/10/2028 | 14,376,698 | 14,107,135 | ||||||||
ION Trading Technologies SARL 2021 EUR Term Loan B | – | (f) | 4/3/2028 | EUR | 8,281,213 | 8,675,421 | ||||||
Magnite, Inc. 2024 Term Loan B | 9.816% (3 mo. USD Term SOFR + 4.50%) | 2/6/2031 | $ | 9,526,000 | 9,537,907 |
90 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Internet (continued) | ||||||||||||
MH Sub I LLC 2021 2nd Lien Term Loan | 11.576% (1 mo. USD Term SOFR + 6.25%) | 2/23/2029 | $ | 6,571,848 | $ | 6,348,701 | ||||||
MH Sub I LLC 2023 Term Loan | 9.576% (1 mo. USD Term SOFR + 4.25%) | 5/3/2028 | 26,850,411 | 26,451,011 | ||||||||
Titan AcquisitionCo New Zealand Ltd. 2021 USD Term Loan (New Zealand)(d) | 9.61% (3 mo. USD Term SOFR + 4.00%) | 10/18/2028 | 9,656,797 | 9,614,597 | ||||||||
Uber Technologies, Inc. 2023 Term Loan B | 8.135% (3 mo. USD Term SOFR + 2.75%) | 3/3/2030 | 9,696,521 | 9,732,156 | ||||||||
Total | 96,012,830 | |||||||||||
Internet Companies 0.25% | ||||||||||||
NEXUS Buyer LLC 2021 Second Lien Term Loan | 11.676% (1 mo. USD Term SOFR + 6.25%) | 11/5/2029 | 12,325,361 | 12,148,184 | ||||||||
Investment Management Companies 0.43% | ||||||||||||
Aragorn Parent Corp. Term Loan | 9.571% (1 mo. USD Term SOFR + 4.25%) | 6/15/2028 | 7,946,000 | 7,967,534 | ||||||||
GIP Pilot Acquisition Partners LP Term Loan | 8.327% (3 mo. USD Term SOFR + 3.00%) | 10/4/2030 | 8,853,000 | 8,867,784 | ||||||||
NEXUS Buyer LLC 2023 Term Loan B2 | 9.826% (1 mo. USD Term SOFR + 4.50%) | 12/13/2028 | 4,248,000 | 4,205,520 | ||||||||
Total | 21,040,838 | |||||||||||
Leisure 0.15% | ||||||||||||
Carnival Corp. 2021 Incremental Term Loan B | 8.691% (1 mo. USD Term SOFR + 3.25%) | 10/18/2028 | 7,438,815 | 7,459,755 | ||||||||
Leisure Time 0.91% | ||||||||||||
Amer Sports Co. USD Term Loan | 8.576% (3 mo. USD Term SOFR + 3.25%) | 2/17/2031 | 9,493,000 | 9,493,000 | ||||||||
Carnival Corp. 2023 Term Loan B | 8.318% (1 mo. USD Term SOFR + 3.00%) | 8/8/2027 | 10,414,235 | 10,435,948 | ||||||||
Fitness International LLC 2024 Term Loan B | 10.576% (1 mo. USD Term SOFR + 5.25%) | 2/5/2029 | 16,062,453 | 15,640,813 | (g) | |||||||
Hurtigruten ASA 2024 EUR OpCo Exit Term Loan | 11.932% (3 mo. EURIBOR + 8.00%) | 6/30/2027 | EUR | 2,645,271 | 2,983,203 | |||||||
Life Time Fitness, Inc 2023 1st Lien Term Loan B | 9.824% (3 mo. USD Term SOFR + 4.25%) | 1/15/2026 | $ | 6,544,546 | 6,595,005 | |||||||
Total | 45,147,969 |
See Notes to Schedule of Investments. | 91 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Lodging 0.54% | ||||||||||||
Aimbridge Acquisition Co., Inc. 2019 Term Loan B | 9.191% (1 mo. USD Term SOFR + 3.75%) | 2/2/2026 | $ | 49,740 | $ | 47,688 | ||||||
Hilton Grand Vacations Borrower LLC 2024 Incremental Term Loan B | 8.191% (1 mo. USD Term SOFR + 2.75%) | 1/17/2031 | 12,932,385 | 12,929,669 | ||||||||
Spectacle Gary Holdings LLC 2021 Term Loan B | 9.748% (3 mo. USD Term SOFR + 4.25%) | 12/11/2028 | 13,765,569 | 13,537,611 | ||||||||
Total | 26,514,968 | |||||||||||
Machinery: Diversified 1.10% | ||||||||||||
CPM Holdings, Inc. 2023 Term Loan | 9.828% (1 mo. USD Term SOFR + 4.50%) | 9/28/2028 | 7,075,000 | 7,088,265 | ||||||||
Engineered Machinery Holdings, Inc. 2021 USD 2nd Lien Incremental Term Loan | 12.11% (3 mo. USD Term SOFR + 6.50%) | 5/21/2029 | 1,175,215 | 1,154,649 | ||||||||
Engineered Machinery Holdings, Inc. 2021 USD 2nd Lien Term Loan | 11.61% (3 mo. USD Term SOFR + 6.00%) | 5/21/2029 | 8,681,999 | 8,530,064 | ||||||||
LSF12 Badger Bidco LLC Term Loan B | 11.321% (1 mo. USD Term SOFR + 6.00%) | 8/30/2030 | 12,193,596 | 12,193,596 | ||||||||
Project Castle, Inc. Term Loan B | 10.83% - 10.85% (3 mo. USD Term SOFR + 5.50%) | 6/1/2029 | 49,748 | 45,188 | ||||||||
SPX Flow, Inc. 2022 Term Loan | 9.926% (1 mo. USD Term SOFR + 4.50%) | 4/5/2029 | 18,302,678 | 18,358,776 | ||||||||
Titan Acquisition Ltd. 2024 Term Loan B (Canada)(d) | – | (f) | 2/1/2029 | 7,148,329 | 7,094,716 | |||||||
Total | 54,465,254 | |||||||||||
Manufacturing 3.22% | ||||||||||||
AMC Entertainment Holdings, Inc. 2019 Term Loan B | 8.433% (1 mo. USD Term SOFR + 3.00%) | 4/22/2026 | 16,130,864 | 13,243,036 | ||||||||
Chamberlain Group, Inc. Term Loan B | 8.676% (1 mo. USD Term SOFR + 3.25%) | 11/3/2028 | 11,953,974 | 11,943,514 | ||||||||
CMG Media Corp. 2021 Term Loan | 8.948% (3 mo. USD Term SOFR + 3.50%) | 12/17/2026 | 15,225,289 | 12,851,742 | ||||||||
CSC Holdings, LLC 2019 Term Loan B5 | – | (f) | 4/15/2027 | 18,096,000 | 16,994,768 | |||||||
DirecTV Financing LLC Term Loan | 10.441% (1 mo. USD Term SOFR + 5.00%) | 8/2/2027 | 11,786,136 | 11,794,092 | ||||||||
Engineered Machinery Holdings, Inc. 2021 USD Incremental Term Loan | 9.36% (3 mo. USD Term SOFR + 3.75%) | 5/19/2028 | 7,737,199 | 7,654,991 | ||||||||
Frontier Communications Corp. 2021 1st Lien Term Loan | 9.191% (1 mo. USD Term SOFR + 3.75%) | 10/8/2027 | 17,656,830 | 17,615,866 |
92 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
II-VI, Inc. 2022 Term Loan B | 8.191% (1 mo. USD Term SOFR + 2.75%) | 7/2/2029 | $ | 14,281,026 | $ | 14,309,588 | ||||||
Numericable Group SA USD Term Loan B11 (France)(d) | 8.324% (3 mo. USD LIBOR + 2.75%) | 7/31/2025 | 2,988,224 | 2,961,285 | ||||||||
Pro Mach Group, Inc. 2021 Term Loan B | 9.076% (1 mo. USD Term SOFR + 3.75%) | 8/31/2028 | 9,457,693 | 9,480,817 | ||||||||
Titan Acquisition Ltd. 2018 Term Loan B (Canada)(d) | 8.441% (1 mo. USD Term SOFR + 3.00%) | 3/28/2025 | 8,847,269 | 8,764,326 | ||||||||
Univision Communications, Inc. 2022 First Lien Term Loan B | 9.598% (3 mo. USD Term SOFR + 4.25%) | 6/24/2029 | 123,744 | 124,069 | ||||||||
Vertical U.S. Newco, Inc. Term Loan B | 9.081% (6 mo. USD Term SOFR + 3.50%) | 7/30/2027 | 5,618,779 | 5,633,781 | ||||||||
Virgin Media Bristol LLC USD Term Loan N | 7.932% (1 mo. USD Term SOFR + 2.50%) | 1/31/2028 | 26,210,077 | 26,004,590 | ||||||||
Total | 159,376,465 | |||||||||||
Media 0.68% | ||||||||||||
Gray Television, Inc. 2021 Term Loan D | 8.443% (1 mo. USD Term SOFR + 3.00%) | 12/1/2028 | 8,696,726 | 8,200,143 | ||||||||
Sinclair Television Group, Inc. Term Loan B2B | 7.941% (1 mo. USD Term SOFR + 2.50%) | 9/30/2026 | 9,513,000 | 9,150,317 | ||||||||
Univision Communications, Inc. 2021 First Lien Term Loan B | 8.691% (1 mo. USD Term SOFR + 3.25%) | 3/15/2026 | 10,689,334 | 10,693,342 | ||||||||
Virgin Media Bristol LLC 2023 USD Term Loan Y | 8.79% (6 mo. USD Term SOFR + 3.25%) | 3/31/2031 | 5,443,000 | 5,416,492 | ||||||||
Total | 33,460,294 | |||||||||||
Metal Fabricate/Hardware 0.30% | ||||||||||||
Crosby U.S. Acquisition Corp. 2024 Term Loan B | 9.307% (3 mo. USD Term SOFR + 4.00%) | 8/12/2029 | 6,177,176 | 6,210,657 | ||||||||
Tank Holding Corp. 2023 Incremental Delayed Draw Term Loan(k) | 11.421% - 11.43% (1 mo. USD Term SOFR + 6.00%) | 3/31/2028 | 2,607,306 | 2,587,751 | ||||||||
Tank Holding Corp. 2023 Incremental Term Loan | 11.426% (1 mo. USD Term SOFR + 6.00%) | 3/31/2028 | 6,043,172 | 5,997,848 | ||||||||
Total | 14,796,256 |
See Notes to Schedule of Investments. | 93 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Metals & Mining 0.07% | ||||||||||||
Arsenal AIC Parent LLC 2024 Term Loan B | 9.07% (1 mo. USD Term SOFR + 3.75%) | 8/18/2030 | $ | 3,333,634 | $ | 3,339,884 | ||||||
Miscellaneous Manufacture 0.22% | ||||||||||||
LTI Holdings, Inc. 2018 Add On 1st Lien Term Loan | 8.941% (1 mo. USD Term SOFR + 3.50%) | 9/6/2025 | 49,738 | 49,183 | ||||||||
Touchdown Acquirer, Inc. Delayed Draw Term Loan(k) | – | (f) | 2/7/2031 | 1,957,992 | 1,961,663 | |||||||
Touchdown Acquirer, Inc. USD Term Loan | – | (f) | 2/7/2031 | 8,941,495 | 8,958,261 | |||||||
Total | 10,969,107 | |||||||||||
Office Furniture & Business Equipment 0.29% | ||||||||||||
Xerox Holdings Corp. 2023 Term Loan B | 9.326% (1 mo. USD Term SOFR + 4.00%) | 11/17/2029 | 14,154,000 | 14,195,330 | ||||||||
Oil & Gas 0.35% | ||||||||||||
Parkway Generation LLC Term Loan B | 10.324% (3 mo. USD Term SOFR + 4.75%) | 2/18/2029 | 15,426,197 | 15,350,994 | ||||||||
Parkway Generation LLC Term Loan C | 10.324% (3 mo. USD Term SOFR + 4.75%) | 2/18/2029 | 2,042,445 | 2,032,489 | ||||||||
Total | 17,383,483 | |||||||||||
Packaging 0.36% | ||||||||||||
Clydesdale Acquisition Holdings, Inc. Term Loan B | 9.101% (1 mo. USD Term SOFR + 3.68%) | 4/13/2029 | 16,109,683 | 16,111,374 | ||||||||
Graham Packaging Co., Inc. 2021 Term Loan | 8.441% (1 mo. USD Term SOFR + 3.00%) | 8/4/2027 | 1,868,244 | 1,868,786 | ||||||||
Total | 17,980,160 | |||||||||||
Personal & Household Products 0.40% | ||||||||||||
AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B | 9.08% (1 mo. USD Term SOFR + 3.75%) | 7/31/2028 | 19,677,308 | 19,647,595 | ||||||||
Pharmaceuticals 1.47% | ||||||||||||
Canopy Growth Corp. Term Loan (Canada)(d) | 13.941% (1 mo. USD Term SOFR + 8.50%) | 3/18/2026 | 4,632,675 | 3,833,538 | ||||||||
Ceva Sante Animale 2023 USD Term Loan B (France)(d) | 9.564% (3 mo. USD Term SOFR + 4.25%) | 11/1/2030 | 4,290,000 | 4,305,208 | ||||||||
IVC Acquisition Ltd. 2023 USD Term Loan B (United Kingdom)(d) | 10.886% (3 mo. USD Term SOFR + 5.50%) | 12/6/2028 | 15,000,000 | 15,060,975 | ||||||||
Jazz Financing Lux SARL 2024 Term Loan B (Luxembourg)(d) | 8.441% (1 mo. USD Term SOFR + 3.00%) | 5/5/2028 | 20,318,906 | 20,369,703 |
94 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Pharmaceuticals (continued) | ||||||||||||
Organon & Co. USD Term Loan | 8.433% (1 mo. USD Term SOFR + 3.00%) | 6/2/2028 | $ | 19,073,093 | $ | 19,120,871 | ||||||
Packaging Coordinators Midco, Inc. 2020 1st Lien Term Loan | – | (f) | 11/30/2027 | 9,877,336 | 9,892,745 | |||||||
Total | 72,583,040 | |||||||||||
Pipelines 1.97% | ||||||||||||
BIP PipeCo Holdings LLC Term Loan B | 8.58% (3 mo. USD Term SOFR + 3.25%) | 12/6/2030 | 10,645,000 | 10,648,353 | ||||||||
Brazos Delaware II LLC 2023 Term Loan B | 9.07% (1 mo. USD Term SOFR + 3.75%) | 2/11/2030 | 11,845,719 | 11,850,339 | ||||||||
Epic Crude Services LP Term Loan B | 10.605% (3 mo. USD Term SOFR + 5.00%) | 3/2/2026 | 15,811,134 | 15,860,544 | ||||||||
Epic Y-Grade Services LP 2020 Term Loan | 11.426% (1 mo. USD Term SOFR + 6.00%) | 6/30/2027 | 15,409,383 | 15,357,993 | ||||||||
Medallion Midland Acquisition 2023 Term Loan | 8.864% (3 mo. USD Term SOFR + 3.50%) | 10/18/2028 | 9,968,219 | 9,986,909 | ||||||||
Oryx Midstream Services Permian Basin LLC 2024 Term Loan B | 8.437% (1 mo. USD Term SOFR + 3.00%) | 10/5/2028 | 16,921,450 | 16,928,472 | ||||||||
WhiteWater DBR HoldCo LLC Term Loan B | – | (f) | 2/17/2031 | 16,550,000 | 16,560,344 | |||||||
Total | 97,192,954 | |||||||||||
Real Estate 0.44% | ||||||||||||
Cushman & Wakefield U.S. Borrower LLC 2023 Term Loan | 8.676% (1 mo. USD Term SOFR + 3.25%) | 1/31/2030 | 9,872,704 | 9,786,318 | ||||||||
Cushman & Wakefield U.S. Borrower LLC 2023 Term Loan B | 9.326% (1 mo. USD Term SOFR + 4.00%) | 1/31/2030 | 11,875,000 | 11,875,000 | ||||||||
Total | 21,661,318 | |||||||||||
Recreation & Travel 0.07% | ||||||||||||
United FP Holdings LLC 2019 2nd Lien Term Loan | 14.074% (3 mo. USD Term SOFR + 8.50%) | 12/30/2027 | 4,000,000 | 3,340,000 | ||||||||
Retail 2.59% | ||||||||||||
ABG Intermediate Holdings 2 LLC 2021 Term Loan B1 | – | (f) | 12/21/2028 | 13,968,916 | 14,020,251 | |||||||
Dave & Buster’s, Inc. 2024 Term Loan B | 8.625% (1 mo. USD Term SOFR + 3.25%) | 6/29/2029 | 5,154,453 | 5,168,937 | ||||||||
Evergreen Acqco 1 LP 2021 USD Term Loan | 9.36% (3 mo. USD Term SOFR + 3.75%) | 4/26/2028 | 3,023,359 | 3,041,877 |
See Notes to Schedule of Investments. | 95 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Retail (continued) | ||||||||||||
Flynn Restaurant Group LP 2021 Term Loan B | 9.691% (1 mo. USD Term SOFR + 4.25%) | 12/1/2028 | $ | 17,866,503 | $ | 17,920,549 | ||||||
Fogo De Chao, Inc. 2023 Term Loan B | 10.076% (1 mo. USD Term SOFR + 4.75%) | 9/30/2030 | 14,264,000 | 14,149,246 | ||||||||
Great Outdoors Group LLC 2021 Term Loan B1 | 9.191% (1 mo. USD Term SOFR + 3.75%) | 3/6/2028 | 49,872 | 49,971 | ||||||||
Harbor Freight Tools USA, Inc. 2021 Term Loan B | 8.191% (1 mo. USD Term SOFR + 2.75%) | 10/19/2027 | 49,871 | 49,594 | ||||||||
K-Mac Holdings Corp. 2021 Term Loan | 8.691% (1 mo. USD Term SOFR + 3.25%) | 7/21/2028 | 10,805,498 | 10,778,485 | ||||||||
Peer Holding III BV 2019 EUR Term Loan B | 7.175% (6 mo. EURIBOR + 3.25%) | 1/16/2027 | EUR | 4,750,000 | 5,142,089 | |||||||
Peer Holding III BV 2023 USD Term Loan B4 (Netherlands)(d) | 8.598% (3 mo. USD Term SOFR + 3.25%) | 10/28/2030 | $ | 13,491,000 | 13,544,424 | |||||||
Petco Health & Wellness Co., Inc. 2021 Term Loan B | 8.86% (3 mo. USD Term SOFR + 3.25%) | 3/3/2028 | 13,651,024 | 13,076,862 | ||||||||
PetSmart, Inc. 2021 Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 2/11/2028 | 20,587,485 | 20,540,340 | ||||||||
RVR Dealership Holdings LLC Term Loan B | – | (f) | 2/8/2028 | 49,746 | 46,824 | |||||||
Torrid LLC 2021 Term Loan B | 11.11% (3 mo. USD Term SOFR + 5.50%) (6 mo. USD Term SOFR + 5.50%) | 6/14/2028 | 12,148,039 | 10,374,425 | ||||||||
Total | 127,903,874 | |||||||||||
Semiconductors 0.49% | ||||||||||||
MKS Instruments, Inc. 2023 USD Term Loan B | 7.824% (1 mo. USD Term SOFR + 2.50%) | 8/17/2029 | 24,208,689 | 24,210,868 | ||||||||
Service 2.90% | ||||||||||||
Amentum Government Services Holdings LLC 2022 Term Loan | 9.32% (1 mo. USD Term SOFR + 4.00%) | 2/15/2029 | 19,224,304 | 19,264,291 | ||||||||
AppLovin Corp. 2021 Term Loan B | 8.426% (1 mo. USD Term SOFR + 3.10%) | 10/25/2028 | 22,239,774 | 22,291,927 | ||||||||
Blackhawk Network Holdings, Inc. 2018 2nd Lien Term Loan | 12.418% (1 mo. USD Term SOFR + 7.00%) | 6/15/2026 | 13,754,734 | 13,640,845 | ||||||||
Brown Group Holding LLC 2022 Incremental Term Loan B2 | 8.383% (3 mo. USD Term SOFR + 3.00%) | 7/2/2029 | 12,284,556 | 12,285,354 | ||||||||
DTI Holdco, Inc. 2022 Term Loan | 10.063% (3 mo. USD Term SOFR + 4.75%) | 4/26/2029 | 15,208,517 | 15,191,103 |
96 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Service (continued) | ||||||||||||
Harsco Corp. 2021 Term Loan | 7.691% (1 mo. USD Term SOFR + 2.25%) | 3/10/2028 | $ | 8,749,255 | $ | 8,655,375 | ||||||
Red Planet Borrower LLC Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 10/2/2028 | 19,808,970 | 19,392,189 | ||||||||
Sabre GLBL, Inc. 2022 1st Lien Term Loan B | 10.426% (1 mo. USD Term SOFR + 5.00%) | 6/30/2028 | 10,605,924 | 9,165,269 | ||||||||
Sophia LP 2021 Term Loan B | – | (f) | 10/7/2027 | 18,200,460 | 18,216,112 | |||||||
SRS Distribution, Inc. 2022 Incremental Term Loan | 8.676% (1 mo. USD Term SOFR + 3.25%) | 6/2/2028 | 5,183,756 | 5,184,559 | ||||||||
Total | 143,287,024 | |||||||||||
Shipbuilding 0.30% | ||||||||||||
LSF11 Trinity Bidco, Inc. 2023 Term Loan | 9.32% (1 mo. USD Term SOFR + 4.00%) | 6/14/2030 | 14,589,543 | 14,626,017 | ||||||||
Software 6.26% | ||||||||||||
Applied Systems, Inc. 2024 1st Lien Term Loan | 8.821% (1 mo. USD Term SOFR + 3.50%) | 2/24/2031 | 15,091,660 | 15,165,533 | ||||||||
AppLovin Corp. 2023 Term Loan B | 8.426% (1 mo. USD Term SOFR + 3.10%) | 8/16/2030 | 4,758,982 | 4,771,997 | ||||||||
Banff Merger Sub Inc 2023 USD Term Loan | 9.576% (1 mo. USD Term SOFR + 4.25%) | 12/29/2028 | 15,230,268 | 15,297,814 | ||||||||
Central Parent, Inc. 2023 Term Loan B | 9.348% (3 mo. USD Term SOFR + 4.00%) | 7/6/2029 | 17,246,209 | 17,305,881 | ||||||||
Cloudera, Inc. 2021 Term Loan | 9.176% (1 mo. USD Term SOFR + 3.75%) | 10/8/2028 | 14,157,787 | 14,113,544 | ||||||||
Constant Contact, Inc. 2024 Incremental Delayed Draw Term Loan(k) | – | (f) | 2/10/2028 | 5,646,000 | 5,448,390 | |||||||
Cotiviti Corp. 2024 Fixed Term Loan B | – | (f) | 2/21/2031 | 4,687,500 | 4,710,938 | |||||||
Cotiviti Corp. 2024 Term Loan | – | (f) | 1/31/2031 | 19,050,000 | 19,002,375 | |||||||
Cvent, Inc. 2023 Term Loan B | 9.098% (3 mo. USD Term SOFR + 3.75%) | 6/17/2030 | 13,514,818 | 13,489,478 | ||||||||
Genesys Cloud Services Holdings II LLC Term Loan B | 9.191% (1 mo. USD Term SOFR + 3.75%) | 12/1/2027 | 5,519,637 | 5,543,785 | ||||||||
Isolved, Inc. Term Loan B | 9.484% (3 mo. USD Term SOFR + 4.00%) | 10/14/2030 | 8,004,000 | 8,041,539 | ||||||||
Ivanti Software, Inc. 2021 Term Loan B | 9.839% (3 mo. USD Term SOFR + 4.25%) | 12/1/2027 | 9,501,180 | 8,900,658 | ||||||||
Mitchell International, Inc. 2021 2nd Lien Term Loan | 11.941% (1 mo. USD Term SOFR + 6.50%) | 10/15/2029 | 4,594,000 | 4,594,965 | ||||||||
Mitchell International, Inc. 2021 Term Loan B | 9.191% (1 mo. USD Term SOFR + 3.75%) | 10/15/2028 | 16,852,579 | 16,796,207 |
See Notes to Schedule of Investments. | 97 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest | Maturity | Principal | Fair | ||||||||
Software (continued) | ||||||||||||
Mitchell International, Inc. 2023 Add on Term Loan | 9.191% (1 mo. USD Term SOFR + 3.75%) | 10/15/2028 | $ | 4,000,000 | $ | 3,986,620 | ||||||
Mosel Bidco SE USD Term Loan B (Germany)(d) | 10.098% (3 mo. USD Term SOFR + 4.75%) | 9/16/2030 | 8,014,727 | 8,044,782 | ||||||||
Open Text Corp. 2023 Term Loan B (Canada)(d) | 8.176% (1 mo. USD Term SOFR + 2.75%) | 1/31/2030 | 12,175,963 | 12,203,054 | ||||||||
Physician Partners LLC 2023 Incremental Term Loan B | 10.813% (3 mo. USD Term SOFR + 5.50%) | 12/23/2028 | 1,891,000 | 1,824,815 | ||||||||
Polaris Newco LLC EUR Term Loan B | 7.855% (1 mo. EURIBOR + 4.00%) | 6/2/2028 | EUR | 2,346,000 | 2,441,626 | |||||||
Project Alpha Intermediate Holding, Inc. 2023 1st Lien Term Loan B | 10.063% (3 mo. USD Term SOFR + 4.75%) | 10/28/2030 | $ | 13,148,000 | 13,200,921 | |||||||
Project Boost Purchaser LLC 2021 Incremental Term Loan | – | (f) | 5/30/2026 | 8,320,343 | 8,332,948 | |||||||
Quartz Acquireco LLC Term Loan B | 8.826% (1 mo. USD Term SOFR + 3.50%) | 6/28/2030 | 13,676,936 | 13,694,032 | ||||||||
Renaissance Holding Corp. 2024 Term Loan | 9.576% (1 mo. USD Term SOFR + 4.25%) | 4/5/2030 | 21,134,064 | 21,114,198 | ||||||||
Rocket Software, Inc. 2023 USD Term Loan B | 10.076% (1 mo. USD Term SOFR + 4.75%) | 11/28/2028 | 19,019,654 | 18,800,452 | ||||||||
Sophia LP 2024 Term Loan B | – | (f) | 10/7/2029 | 2,572,023 | 2,574,235 | |||||||
Ultimate Software Group, Inc. 2021 2nd Lien Term Loan | 10.68% (3 mo. USD Term SOFR + 5.25%) | 5/3/2027 | 5,565,684 | 5,633,530 | ||||||||
Ultimate Software Group, Inc. 2024 Term Loan B | 8.814% (3 mo. USD Term SOFR + 3.50%) | 2/10/2031 | 18,020,602 | 18,065,653 | ||||||||
Waystar Technologies, Inc. 2024 Term Loan B | 9.326% (1 mo. USD Term SOFR + 4.00%) | 10/22/2029 | 15,490,981 | 15,529,708 | ||||||||
Zelis Payments Buyer, Inc. Term Loan B | 8.067% (3 mo. USD Term SOFR + 2.75%) | 9/28/2029 | 10,717,087 | 10,726,464 | ||||||||
Total | 309,356,142 | |||||||||||
Software/Services 0.97% | ||||||||||||
Peraton Corp. Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 2/1/2028 | 26,192,401 | 26,252,382 | ||||||||
Proofpoint, Inc. 1st Lien Term Loan | 8.691% (1 mo. USD Term SOFR + 3.25%) | 8/31/2028 | 13,442,590 | 13,437,011 |
98 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Software/Services (continued) | ||||||||||||
Proofpoint, Inc. 2nd Lien Term Loan | 11.691% (1 mo. USD Term SOFR + 6.25%) | 8/31/2029 | $ | 8,336,420 | $ | 8,373,934 | ||||||
Total | 48,063,327 | |||||||||||
Telecommunications 1.42% | ||||||||||||
Altice France SA EUR Term Loan B12 | – | (f) | 2/2/2026 | EUR | 4,523,000 | 4,780,201 | ||||||
Carriage Purchaser, Inc. 2021 Term Loan B | 9.691% (1 mo. USD Term SOFR + 4.25%) | 10/2/2028 | $ | 3,017,230 | 3,018,648 | |||||||
CenturyLink, Inc. 2020 Term Loan B | 7.691% (1 mo. USD Term SOFR + 2.25%) | 3/15/2027 | 29,570,070 | 21,697,039 | ||||||||
Lorca Holdco Ltd. 2021 EUR Term Loan B2 | 7.604% (6 mo. EURIBOR + 3.70%) | 9/17/2027 | EUR | 1,465,000 | 1,581,012 | |||||||
Lorca Holdco Ltd. EUR Term Loan B1 | 8.104% (6 mo. EURIBOR + 4.20%) | 9/17/2027 | EUR | 7,785,000 | 8,411,920 | |||||||
Michaels Cos., Inc. 2021 Term Loan B | 9.86% (3 mo. USD Term SOFR + 4.25%) | 4/15/2028 | $ | 6,872,379 | 5,656,483 | |||||||
Northwest Fiber LLC 2021 Term Loan | 9.185% (1 mo. USD Term SOFR + 3.75%) | 4/30/2027 | 14,589,073 | 14,596,148 | ||||||||
RealTruck Group, Inc. 2021 Term Loan B | 8.941% (1 mo. USD Term SOFR + 3.50%) | 1/31/2028 | 10,881,590 | 10,710,912 | ||||||||
Total | 70,452,363 | |||||||||||
Transportation 0.16% | ||||||||||||
AIT Worldwide Logistics, Inc. 2021 Term Loan | 10.168% (1 mo. USD Term SOFR + 4.75%) | 4/6/2028 | 49,746 | 49,776 | ||||||||
Hurtigruten ASA 2024 EUR Holdco Term Loan | 12.388% (6 mo. EURIBOR + 8.50%) | 2/26/2029 | EUR | 8,325,950 | 3,614,456 | |||||||
Hurtigruten ASA 2024 EUR Term Loan B | 10.911% (6 mo. EURIBOR + 7.00%) | 9/30/2027 | EUR | 4,359,056 | 4,467,858 | |||||||
LaserShip, Inc. 2021 Term Loan | 10.396% (3 mo. USD Term SOFR + 4.50%) | 5/7/2028 | $ | 49,746 | 46,699 | |||||||
Total | 8,178,789 | |||||||||||
Utilities 0.28% | ||||||||||||
Talen Energy Supply LLC 2023 Term Loan B | 9.826% (3 mo. USD Term SOFR + 4.50%) | 5/17/2030 | 9,500,984 | 9,543,549 | ||||||||
Talen Energy Supply LLC 2023 Term Loan C | 9.826% (3 mo. USD Term SOFR + 4.50%) | 5/17/2030 | 4,255,711 | 4,274,777 | ||||||||
Total | 13,818,326 | |||||||||||
Total Floating Rate Loans (cost $4,006,877,122) | 4,001,723,506 |
See Notes to Schedule of Investments. | 99 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Investments | Dividend Rate | Shares | Fair Value | |||||||||
PREFERRED STOCKS 0.59% | ||||||||||||
Transportation Infrastructure | ||||||||||||
ACBL Holdings Corp.* (cost $11,118,825) | Zero Coupon | 444,753 | $ | 28,908,945 | ||||||||
Exercise Price | Expiration Date | |||||||||||
WARRANTS 0.01% | ||||||||||||
Machinery 0.00% | ||||||||||||
TNT Crane & Rigging, Inc. | $ 4.00 | 10/16/2025 | 12,651 | 9,489 | (b) | |||||||
Miscellaneous Financials 0.00% | ||||||||||||
Utex Industries | 114.76 | 12/3/2025 | 57,340 | 129,015 | (c) | |||||||
Specialty Retail 0.01% | ||||||||||||
Chinos Intermediate Holdings A, Inc. | 3.50 | 12/31/2099 | 147,340 | 380,579 | ||||||||
Total Warrants (cost $652,304) | 519,083 | |||||||||||
Total Long-Term Investments (cost $4,612,019,818) | 4,617,151,054 | |||||||||||
Principal Amount‡ | ||||||||||||
SHORT-TERM INVESTMENTS 8.91% | ||||||||||||
REPURCHASE AGREEMENTS 8.91% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized by $123,393,000 of U.S. Treasury Bond at 4.250% due 2/15/2054; value: $120,360,000; proceeds: $118,017,405 (cost $118,000,000) | $ | 118,000,000 | 118,000,000 | |||||||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized by $321,380,000 of U.S. Treasury Bond at 3.500% due 2/15/2033; value: $302,940,000; proceeds: $297,043,808 (cost $297,000,000) | 297,000,000 | 297,000,000 | ||||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $30,150,700 of U.S.
Treasury Note at 1.000% due 7/31/2028; value: $26,184,464; proceeds: $25,673,027 (cost $25,671,030) |
25,671,030 | 25,671,030 | ||||||||||
Total Repurchase Agreements (cost $440,671,030) | 440,671,030 | |||||||||||
Total Investments in Securities 102.31% (cost $5,052,690,848) | 5,057,822,084 | |||||||||||
Less Unfunded Loan Commitments (0.16%) (cost $8,185,793) | (8,104,912 | ) | ||||||||||
Net Investments in Securities 102.15% (cost $5,044,505,055) | 5,049,717,172 | |||||||||||
Other Assets and Liabilities – Net(m) (2.15)% | (105,973,534 | ) | ||||||||||
Net Assets 100.00% | $ | 4,943,743,638 |
100 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
EUR | Euro. | |
ETF | Exchange Traded Fund. | |
EURIBOR | Euro Interbank Offered Rate. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight Financing Rate. | |
‡ | Principal Amount is denominated in U.S. dollars unless otherwise noted. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $418,422,263, which represents 8.46% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis. | |
(b) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security fair valued by the Pricing Committee. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(f) | Interest Rate to be determined. | |
(g) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(h) | Defaulted (non-income producing security). | |
(i) | Amount is less than $1. | |
(j) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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. | |
(k) | Security partially/fully unfunded. | |
(l) | Investment in non-U.S. dollar denominated securities. | |
(m) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
See Notes to Schedule of Investments. | 101 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Centrally Cleared Interest Rate Swap Contracts at February 29, 2024:
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) | 4.523% | 12-Month USD SOFR Index | 2/15/2026 | $ 6,972,000 | $ | 3,848 | ||||||||
Bank of America(1) | 4.494% | 12-Month USD SOFR Index | 4/1/2025 | 8,021,000 | 44,541 | |||||||||
Bank of America(1) | 4.447% | 12-Month USD SOFR Index | 6/15/2025 | 10,186,000 | 58,987 | |||||||||
Bank of America(1) | 4.392% | 12-Month USD SOFR Index | 8/15/2026 | 3,607,000 | 202 | |||||||||
Bank of America(1) | 4.391% | 12-Month USD SOFR Index | 8/15/2026 | 5,933,000 | 346 | |||||||||
Bank of America(1) | 4.372% | 12-Month USD SOFR Index | 9/15/2024 | 16,284,000 | 87,640 | |||||||||
Bank of America(1) | 4.217% | 12-Month USD SOFR Index | 8/15/2026 | 7,668,000 | 31,264 | |||||||||
Bank of America(1) | 4.214% | 12-Month USD SOFR Index | 9/1/2026 | 7,970,000 | 31,416 | |||||||||
Bank of America(1) | 4.021% | 12-Month USD SOFR Index | 4/26/2028 | 10,478,000 | 23,387 | |||||||||
Bank of America(1) | 4.013% | 12-Month USD SOFR Index | 5/15/2028 | 5,401,000 | 12,824 | |||||||||
Bank of America(1) | 4.007% | 12-Month USD SOFR Index | 6/1/2028 | 6,585,000 | 16,169 | |||||||||
Bank of America(1) | 3.987% | 12-Month USD SOFR Index | 8/1/2028 | 9,500,000 | 27,057 | |||||||||
Bank of America(1) | 3.866% | 12-Month USD SOFR Index | 10/30/2029 | 5,120,000 | 25,804 | |||||||||
Bank of America(1) | 3.843% | 12-Month USD SOFR Index | 2/15/2030 | 9,264,000 | 51,061 | |||||||||
Bank of America(1) | 3.814% | 12-Month USD SOFR Index | 8/1/2030 | 5,048,000 | 34,076 | |||||||||
Bank of America(1) | 3.805% | 12-Month USD SOFR Index | 11/1/2026 | 9,176,000 | 121,316 | |||||||||
Bank of America(1) | 3.794% | 12-Month USD SOFR Index | 12/1/2030 | 5,411,000 | 40,508 | |||||||||
Bank of America(1) | 3.317% | 12-Month USD SOFR Index | 4/30/2030 | 5,404,000 | 182,664 | |||||||||
Bank of America(1) | 2.498% | 12-Month USD SOFR Index | 10/15/2029 | 6,503,000 | 476,563 | |||||||||
Bank of America(1) | 2.489% | 12-Month USD SOFR Index | 8/1/2029 | 9,592,000 | 689,207 | |||||||||
Bank of America(1) | 2.476% | 12-Month USD SOFR Index | 10/1/2029 | 13,498,000 | 999,268 | |||||||||
Bank of America(1) | 1.225% | 12-Month USD SOFR Index | 1/15/2030 | 12,445,000 | 1,761,092 | |||||||||
Bank of America(1) | 1.220% | 12-Month USD SOFR Index | 10/15/2029 | 9,775,000 | 1,338,527 | |||||||||
Bank of America(1) | 1.152% | 12-Month USD SOFR Index | 10/15/2028 | 10,098,000 | 1,215,733 | |||||||||
Unrealized Appreciation on Centrally Cleared Interest Rate Swap Contracts | $ | 7,273,500 |
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) | 4.561% | 12-Month USD SOFR Index | 2/15/2026 | $12,318,000 | $ | (1,839 | ) | |||||||
Bank of America(1) | 4.500% | 12-Month USD SOFR Index | 4/15/2026 | 8,228,000 | (1,345 | ) | ||||||||
Unrealized Depreciation on Centrally Cleared Interest Rate Swap Contracts | $ | (3,184 | ) |
SOFR | Secured Overnight Financing Rate. | |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). |
102 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND February 29, 2024
Total Return Swap Contracts at February 29, 2024:
Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Upfront Payment(1) | Unrealized Appreciation | Value | |||||||||||||||||
Barclays Capital, Inc. | IBOXX | 12-Month USD SOFR Index | 325,441 | Long | 3/20/2024 | $ | 325,441 | $ | 73 | $ | 1,957,048 | $ | 1,957,121 | |||||||||||||
J.P. Morgan | IBOXX | 12-Month USD SOFR Index | 301,689 | Long | 3/20/2024 | 301,689 | 68 | 1,699,575 | 1,699,643 | |||||||||||||||||
Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 125,249 | Long | 3/20/2024 | 125,249 | 60 | 897,189 | 897,249 | |||||||||||||||||
Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 249,821 | Long | 3/20/2024 | 249,821 | 167 | 1,489,703 | 1,489,870 | |||||||||||||||||
Morgan Stanley | IBOXX | 12-Month USD SOFR Index | 364,945 | Long | 9/20/2024 | 364,945 | (20 | ) | 887,293 | 887,273 | ||||||||||||||||
Total | $ | 1,367,145 | $ | 348 | $ | 6,930,808 | $ | 6,931,156 |
SOFR | Secured Overnight Financing Rate. | |
* | iBoxx Leverage Loan Index. | |
(1) | Upfront payments paid (received) are presented net of amortization. |
Forward Foreign Currency Exchange Contracts at February 29, 2024:
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 | 5/22/2024 | 122,301,000 | $ | 132,625,846 | $ | 132,608,720 | $ | 17,126 | ||||||||||
Euro | Sell | Morgan Stanley | 5/22/2024 | 1,237,000 | 1,342,085 | 1,341,256 | 829 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 5/22/2024 | 2,247,000 | 2,438,197 | 2,436,381 | 1,816 | |||||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 19,771 |
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||
U.S. 2-Year Treasury Note | June 2024 | 1,366 | Long | $279,642,881 | $279,688,500 | $45,619 |
See Notes to Schedule of Investments. | 103 |
Schedule of Investments (unaudited)(concluded)
FLOATING RATE FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 93,523,810 | $ | 4,097,360 | $ | 97,621,170 | ||||||||
Common Stocks | ||||||||||||||||
Transportation Infrastructure | – | 4,189,240 | 1 | 4,189,241 | ||||||||||||
Remaining Industries | – | 18,954,246 | – | 18,954,246 | ||||||||||||
Convertible Bonds | – | 4,017,379 | – | 4,017,379 | ||||||||||||
Corporate Bonds | – | 372,565,765 | – | 372,565,765 | ||||||||||||
Exchange-Traded Funds | 88,651,719 | – | – | 88,651,719 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Beverages | – | 36,995,849 | 13,862,387 | 50,858,236 | ||||||||||||
Building Materials | – | 47,331,005 | 10,100,766 | 57,431,771 | ||||||||||||
Leisure Time | – | 29,507,156 | 15,640,813 | 45,147,969 | ||||||||||||
Remaining Industries | – | 3,848,285,530 | – | 3,848,285,530 | ||||||||||||
Less Unfunded Commitments | – | (8,104,912 | ) | – | (8,104,912 | ) | ||||||||||
Preferred Stocks | – | 28,908,945 | – | 28,908,945 | ||||||||||||
Warrants | – | 380,579 | 138,504 | 519,083 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 440,671,030 | – | 440,671,030 | ||||||||||||
Total | $ | 88,651,719 | $ | 4,917,225,622 | $ | 43,839,831 | $ | 5,049,717,172 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 7,273,500 | $ | – | $ | 7,273,500 | ||||||||
Liabilities | – | (3,184 | ) | – | (3,184 | ) | ||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | – | 6,931,156 | – | 6,931,156 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 19,771 | – | 19,771 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 45,619 | – | – | 45,619 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 45,619 | $ | 14,221,243 | $ | – | $ | 14,266,862 |
(1) | Refer to Note 2(b) 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.
104 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)
HIGH YIELD FUND February 29, 2024
Investments | Shares‡ | Fair Value | ||||||
LONG-TERM INVESTMENTS 99.91% | ||||||||
COMMON STOCKS 1.23% | ||||||||
Automobile Components 0.05% | ||||||||
Chassix Holdings, Inc.* | 465,820 | $ | 1,979,735 | |||||
Electric-Generation 0.00% | ||||||||
Frontera Generation Holdings LLC* | 87,622 | 4,819 | ||||||
Energy Equipment & Services 0.10% | ||||||||
Tidewater, Inc.* | 53,852 | 3,771,256 | ||||||
Food Products 0.12% | ||||||||
Vital Farms, Inc.* | 247,415 | 4,446,048 | ||||||
Health Care Equipment & Supplies 0.12% | ||||||||
RxSight, Inc.* | 81,571 | 4,451,329 | ||||||
Hotels, Restaurants & Leisure 0.11% | ||||||||
Cava Group, Inc.* | 72,315 | 4,223,919 | ||||||
Independent Power and Renewable Electricity Producers 0.03% | ||||||||
Talen Energy Corp.* | 17,449 | 1,305,185 | ||||||
Machinery 0.11% | ||||||||
SPX Technologies, Inc.* | 36,530 | 4,280,951 | ||||||
TNT Crane & Rigging, Inc.* | 14,844 | 37,577 | ||||||
Total | 4,318,528 | |||||||
Miscellaneous Financials 0.08% | ||||||||
Utex Industries* | 49,219 | 2,912,116 | ||||||
Personal Care Products 0.17% | ||||||||
Britax Group Ltd.* | 2,481 | – | (a) | |||||
Gibson Brands Private Equity* | 56,761 | 6,669,418 | ||||||
Total | 6,669,418 | |||||||
Software 0.25% | ||||||||
AppLovin Corp. Class A* | 87,646 | 5,234,219 | ||||||
Monday.com Ltd. (Israel)*(b) | 19,290 | 4,301,863 | ||||||
Total | 9,536,082 | |||||||
Specialty Retail 0.07% | ||||||||
Chinos Intermediate Holdings A, Inc.* | 47,809 | 561,756 | ||||||
Claire’s Holdings LLC* | 7,482 | 1,963,922 | ||||||
Total | 2,525,678 |
See Notes to Schedule of Investments. | 105 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Shares‡ | Fair Value | |||||||||||
Transportation Infrastructure 0.02% | |||||||||||||
ACBL Holdings Corp.* | 22,227 | $ | 977,988 | ||||||||||
Hurtigruten ASA*(o) | 675,793 | 1 | (a) | ||||||||||
Total | 977,989 | ||||||||||||
Total Common Stocks (cost $47,474,189) | 47,122,102 | ||||||||||||
Interest Rate | Maturity Date | Principal Amount‡ | |||||||||||
CONVERTIBLE BONDS 0.81% | |||||||||||||
Health Care-Products 0.33% | |||||||||||||
Glaukos Corp. | 2.75% | 6/15/2027 | $ | 2,192,000 | 3,696,808 | ||||||||
Natera, Inc. | 2.25% | 5/1/2027 | 2,243,000 | 5,101,423 | |||||||||
Repligen Corp.† | 1.00% | 12/15/2028 | 3,264,000 | 3,810,943 | |||||||||
Total | 12,609,174 | ||||||||||||
Pharmaceuticals 0.19% | |||||||||||||
Ironwood Pharmaceuticals, Inc. | 1.50% | 6/15/2026 | 2,990,000 | 3,073,512 | |||||||||
Neurocrine Biosciences, Inc. | 2.25% | 5/15/2024 | 2,379,000 | 4,089,501 | |||||||||
Total | 7,163,013 | ||||||||||||
Real Estate 0.06% | |||||||||||||
Sunac China Holdings Ltd. (China)†(b) | Zero Coupon | 9/30/2028 | 10,981,286 | 2,360,977 | |||||||||
Sunac China Holdings Ltd. (China)†(b) | 1.00% | 9/30/2032 | 1,725,752 | 112,174 | |||||||||
Total | 2,473,151 | ||||||||||||
Retail 0.23% | |||||||||||||
Freshpet, Inc.† | 3.00% | 4/1/2028 | 2,636,000 | 4,643,973 | |||||||||
Patrick Industries, Inc. | 1.75% | 12/1/2028 | 3,321,000 | 4,317,024 | |||||||||
Total | 8,960,997 | ||||||||||||
Total Convertible Bonds (cost $37,819,145) | 31,206,335 | ||||||||||||
CORPORATE BONDS 89.83% | |||||||||||||
Advertising 0.50% | |||||||||||||
Clear Channel Outdoor Holdings, Inc.† | 7.75% | 4/15/2028 | 5,201,000 | 4,502,058 | |||||||||
Clear Channel Outdoor Holdings, Inc.† | 9.00% | 9/15/2028 | 2,255,000 | 2,353,532 | |||||||||
Outfront Media Capital LLC/Outfront | |||||||||||||
Media Capital Corp.† | 7.375% | 2/15/2031 | 8,232,000 | 8,596,966 | |||||||||
Summer BC Holdco B SARL | 5.75% | 10/31/2026 | EUR | 3,429,000 | 3,662,052 | ||||||||
Total | 19,114,608 |
106 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Aerospace/Defense 1.54% | ||||||||||||
Bombardier, Inc. (Canada)†(b) | 6.00% | 2/15/2028 | $ | 18,722,000 | $ | 18,193,283 | ||||||
Bombardier, Inc. (Canada)†(b) | 8.75% | 11/15/2030 | 3,770,000 | 3,953,825 | ||||||||
Moog, Inc.† | 4.25% | 12/15/2027 | 3,864,000 | 3,620,151 | ||||||||
Spirit AeroSystems, Inc. | 4.60% | 6/15/2028 | 4,871,000 | 4,281,171 | ||||||||
Spirit AeroSystems, Inc.† | 9.375% | 11/30/2029 | 7,287,000 | 7,888,935 | ||||||||
Spirit AeroSystems, Inc.† | 9.75% | 11/15/2030 | 4,435,000 | 4,757,012 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 8,669,000 | 7,957,102 | ||||||||
Triumph Group, Inc.† | 9.00% | 3/15/2028 | 7,889,000 | 8,256,501 | ||||||||
Total | 58,907,980 | |||||||||||
Agriculture 0.44% | ||||||||||||
Kernel Holding SA (Ukraine)†(b) | 6.50% | 10/17/2024 | 7,834,000 | 6,828,819 | ||||||||
Kernel Holding SA (Ukraine)†(b) | 6.75% | 10/27/2027 | 3,832,000 | 2,858,289 | ||||||||
MHP Lux SA (Luxembourg)†(b) | 6.25% | 9/19/2029 | 9,792,000 | 7,118,334 | ||||||||
Total | 16,805,442 | |||||||||||
Airlines 1.36% | ||||||||||||
Air Canada (Canada)†(b) | 3.875% | 8/15/2026 | 8,024,000 | 7,608,593 | ||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | 17,049,000 | 17,206,408 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 6,707,146 | 6,565,484 | ||||||||
Azul Secured Finance LLP† | 11.93% | 8/28/2028 | 1,836,000 | 1,868,273 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 10,822,471 | 10,227,127 | ||||||||
United Airlines, Inc.† | 4.625% | 4/15/2029 | 2,756,000 | 2,544,848 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(b) | 7.875% | 5/1/2027 | 7,007,000 | 5,942,016 | ||||||||
Total | 51,962,749 | |||||||||||
Apparel 0.10% | ||||||||||||
Kontoor Brands, Inc.† | 4.125% | 11/15/2029 | 4,249,000 | 3,803,905 | ||||||||
Auto Manufacturers 0.61% | ||||||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 4,348,000 | 3,760,738 | ||||||||
Jaguar Land Rover Automotive PLC (United Kingdom)†(b) | 4.50% | 10/1/2027 | 7,419,000 | 6,989,588 | ||||||||
JB Poindexter & Co., Inc.† | 8.75% | 12/15/2031 | 7,672,000 | 7,869,116 | ||||||||
NM Holdings Co. LLC(c) | Zero Coupon | 2/29/2004 | 250,000 | – | (a) | |||||||
Wabash National Corp.† | 4.50% | 10/15/2028 | 5,162,000 | 4,729,683 | ||||||||
Total | 23,349,125 |
See Notes to Schedule of Investments. | 107 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Auto Parts & Equipment 1.40% | ||||||||||||
Adient Global Holdings Ltd.† | 8.25% | 4/15/2031 | $ | 6,428,000 | $ | 6,773,119 | ||||||
American Axle & Manufacturing, Inc. | 5.00% | 10/1/2029 | 7,230,000 | 6,275,979 | ||||||||
Dornoch Debt Merger Sub, Inc.† | 6.625% | 10/15/2029 | 4,773,000 | 4,290,242 | ||||||||
Goodyear Tire & Rubber Co. | 5.00% | 7/15/2029 | 13,794,000 | 12,712,015 | ||||||||
Real Hero Merger Sub 2, Inc.† | 6.25% | 2/1/2029 | 5,022,000 | 4,373,936 | ||||||||
Tenneco, Inc.† | 8.00% | 11/17/2028 | 8,920,000 | 8,136,958 | ||||||||
ZF North America Capital, Inc.† | 6.875% | 4/14/2028 | 3,562,000 | 3,639,588 | ||||||||
ZF North America Capital, Inc.† | 7.125% | 4/14/2030 | 7,089,000 | 7,391,516 | ||||||||
Total | 53,593,353 | |||||||||||
Banks 1.11% | ||||||||||||
Freedom Mortgage Corp.† | 12.00% | 10/1/2028 | 7,714,000 | 8,367,268 | ||||||||
Intesa Sanpaolo SpA (Italy)†(b) | 4.198% (1 yr. CMT + 2.60%) | # | 6/1/2032 | 5,104,000 | 4,190,013 | |||||||
Popular, Inc. | 7.25% | 3/13/2028 | 8,289,000 | 8,412,768 | ||||||||
Texas Capital Bancshares, Inc. | 4.00% (5 yr. CMT + 3.15%) | # | 5/6/2031 | 4,891,000 | 4,182,196 | |||||||
Texas Capital Bank NA | 5.25% | 1/31/2026 | 6,402,000 | 5,950,047 | ||||||||
UBS Group AG (Switzerland)†(b) | 7.75% (5 yr. USD SOFR ICE Swap Rate + 4.16%) | # | – | (d) | 3,120,000 | 3,128,664 | ||||||
UBS Group AG (Switzerland)†(b) | 9.25% (5 yr. CMT + 4.75%) | # | – | (d) | 1,330,000 | 1,423,233 | ||||||
UBS Group AG (Switzerland)†(b) | 9.25% (5 yr. CMT + 4.76%) | # | – | (d) | 1,302,000 | 1,441,791 | ||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25%) | # | 6/15/2031 | 5,939,000 | 5,223,351 | |||||||
Total | 42,319,331 | |||||||||||
Building Materials 3.33% | ||||||||||||
ACProducts Holdings, Inc.† | 6.375% | 5/15/2029 | 10,309,000 | 7,899,941 | ||||||||
AmeriTex HoldCo Intermediate LLC† | 10.25% | 10/15/2028 | 5,714,000 | 5,992,557 | ||||||||
Boise Cascade Co.† | 4.875% | 7/1/2030 | 5,346,000 | 4,938,417 | ||||||||
Builders FirstSource, Inc.† | 4.25% | 2/1/2032 | 4,579,000 | 4,027,918 | ||||||||
Builders FirstSource, Inc.† | 6.375% | 6/15/2032 | 10,458,000 | 10,469,105 | ||||||||
Cornerstone Building Brands, Inc.† | 6.125% | 1/15/2029 | 4,340,000 | 3,915,895 | ||||||||
CP Atlas Buyer, Inc.† | 7.00% | 12/1/2028 | 6,479,000 | 5,798,184 | ||||||||
Eco Material Technologies, Inc.† | 7.875% | 1/31/2027 | 7,139,000 | 7,130,461 | ||||||||
EMRLD Borrower LP/Emerald Co.-Issuer, Inc.† | 6.625% | 12/15/2030 | 13,777,000 | 13,842,441 | ||||||||
Griffon Corp. | 5.75% | 3/1/2028 | 8,005,000 | 7,752,802 | ||||||||
JELD-WEN, Inc.† | 4.875% | 12/15/2027 | 4,070,000 | 3,876,533 |
108 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Knife River Corp.† | 7.75% | 5/1/2031 | $ | 4,518,000 | $ | 4,682,962 | ||||||
MIWD Holdco II LLC/MIWD Finance Corp.† | 5.50% | 2/1/2030 | 9,079,000 | 8,297,146 | ||||||||
New Enterprise Stone & Lime Co., Inc.† | 9.75% | 7/15/2028 | 6,012,000 | 6,093,072 | ||||||||
Oscar AcquisitionCo LLC/Oscar Finance, Inc.† | 9.50% | 4/15/2030 | 6,065,000 | 5,905,137 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 8,985,000 | 8,724,607 | ||||||||
Smyrna Ready Mix Concrete LLC† | 8.875% | 11/15/2031 | 6,405,000 | 6,794,225 | ||||||||
Standard Industries, Inc.† | 3.375% | 1/15/2031 | 10,169,000 | 8,436,629 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 7.25% | 1/15/2031 | 2,882,000 | 2,993,211 | ||||||||
Total | 127,571,243 | |||||||||||
Chemicals 2.89% | ||||||||||||
ASP Unifrax Holdings, Inc.† | 5.25% | 9/30/2028 | 7,156,000 | 4,547,752 | ||||||||
Axalta Coating Systems Dutch Holding B BV (Netherlands)†(b) | 7.25% | 2/15/2031 | 4,856,000 | 5,043,924 | ||||||||
Cerdia Finanz GmbH (Germany)†(b) | 10.50% | 2/15/2027 | 7,323,000 | 7,542,809 | ||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 7,772,000 | 7,355,693 | ||||||||
Herens Midco SARL | 5.25% | 5/15/2029 | EUR | 5,658,000 | 4,326,906 | |||||||
INEOS Finance PLC (United Kingdom)†(b) | 7.50% | 4/15/2029 | $ | 3,898,000 | 3,874,027 | |||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 5,962,000 | 5,268,888 | ||||||||
LSF11 A5 HoldCo LLC† | 6.625% | 10/15/2029 | 6,533,000 | 5,682,456 | ||||||||
Methanex Corp. (Canada)(b) | 5.25% | 12/15/2029 | 4,500,000 | 4,282,892 | ||||||||
Minerals Technologies, Inc.† | 5.00% | 7/1/2028 | 7,013,000 | 6,660,176 | ||||||||
Olympus Water U.S. Holding Corp.† | 9.75% | 11/15/2028 | 8,820,000 | 9,382,690 | ||||||||
Rain Carbon, Inc.† | 12.25% | 9/1/2029 | 10,704,000 | 10,718,771 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 234,000 | 228,721 | ||||||||
SCIH Salt Holdings, Inc.† | 4.875% | 5/1/2028 | 4,857,000 | 4,444,228 | ||||||||
SCIH Salt Holdings, Inc.† | 6.625% | 5/1/2029 | 3,486,000 | 3,173,739 | ||||||||
SK Invictus Intermediate II SARL (Luxembourg)†(b) | 5.00% | 10/30/2029 | 10,962,000 | 9,318,156 | ||||||||
Tronox, Inc.† | 4.625% | 3/15/2029 | 4,413,000 | 3,912,019 | ||||||||
Valvoline, Inc.† | 3.625% | 6/15/2031 | 8,654,000 | 7,322,170 | ||||||||
Vibrantz Technologies, Inc.† | 9.00% | 2/15/2030 | 6,244,000 | 5,753,503 | ||||||||
WR Grace Holdings LLC† | 7.375% | 3/1/2031 | 1,613,000 | 1,637,219 | ||||||||
Total | 110,476,739 | |||||||||||
Coal 0.74% | ||||||||||||
Coronado Finance Pty. Ltd. (Australia)†(b) | 10.75% | 5/15/2026 | 9,717,000 | 10,075,215 | ||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | 15,488,000 | 13,923,480 | ||||||||
Warrior Met Coal, Inc.† | 7.875% | 12/1/2028 | 4,283,000 | 4,323,046 | ||||||||
Total | 28,321,741 |
See Notes to Schedule of Investments. | 109 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Commercial Services 3.45% | ||||||||||||
AA Bond Co. Ltd. | 6.50% | 1/31/2026 | GBP | 5,612,000 | $ | 7,033,551 | ||||||
Albion Financing 2 SARL (Luxembourg)†(b) | 8.75% | 4/15/2027 | $ | 5,340,000 | 5,366,249 | |||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 6.00% | 6/1/2029 | 4,951,000 | 4,104,676 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 9.75% | 7/15/2027 | 11,806,000 | 11,777,806 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL (Luxembourg)†(b) | 4.625% | 6/1/2028 | 16,916,000 | 15,004,128 | ||||||||
Alta Equipment Group, Inc.† | 5.625% | 4/15/2026 | 14,210,000 | 13,781,271 | ||||||||
AMN Healthcare, Inc.† | 4.00% | 4/15/2029 | 4,169,000 | 3,663,008 | ||||||||
APi Group DE, Inc.† | 4.125% | 7/15/2029 | 3,656,000 | 3,293,307 | ||||||||
APi Group DE, Inc.† | 4.75% | 10/15/2029 | 6,237,000 | 5,800,723 | ||||||||
BCP V Modular Services Finance PLC | 6.75% | 11/30/2029 | EUR | 3,716,000 | 3,620,148 | |||||||
Hertz Corp.† | Zero Coupon | 1/15/2028 | $ | 6,517,000 | 635,408 | |||||||
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS (Turkey)(b) | 9.50% | 7/10/2036 | 8,742,072 | 8,108,272 | ||||||||
Mavis Tire Express Services Topco Corp.† | 6.50% | 5/15/2029 | 3,820,000 | 3,585,823 | ||||||||
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(b) | 8.25% | 11/15/2028 | 6,917,000 | 7,154,219 | ||||||||
NESCO Holdings II, Inc.† | 5.50% | 4/15/2029 | 4,064,000 | 3,796,243 | ||||||||
Port of Newcastle Investments Financing Pty. Ltd. (Australia)†(b) | 5.90% | 11/24/2031 | 8,532,000 | 7,584,265 | ||||||||
Sotheby’s† | 7.375% | 10/15/2027 | 8,214,000 | 7,900,548 | ||||||||
TriNet Group, Inc.† | 7.125% | 8/15/2031 | 3,864,000 | 3,939,903 | ||||||||
Wand NewCo 3, Inc.† | 7.625% | 1/30/2032 | 5,872,000 | 6,038,442 | ||||||||
WASH Multifamily Acquisition, Inc.† | 5.75% | 4/15/2026 | 4,424,000 | 4,294,952 | ||||||||
Williams Scotsman, Inc.† | 4.625% | 8/15/2028 | 6,038,000 | 5,676,052 | ||||||||
Total | 132,158,994 | |||||||||||
Computers 0.72% | ||||||||||||
McAfee Corp.† | 7.375% | 2/15/2030 | 10,274,000 | 9,079,626 | ||||||||
NCR Atleos Corp.† | 9.50% | 4/1/2029 | 3,596,000 | 3,807,265 | ||||||||
NCR Voyix Corp.† | 5.125% | 4/15/2029 | 4,032,000 | 3,743,471 | ||||||||
Seagate HDD Cayman (Cayman Islands)†(b) | 8.25% | 12/15/2029 | 3,969,000 | 4,256,145 | ||||||||
Seagate HDD Cayman (Cayman Islands)†(b) | 8.50% | 7/15/2031 | 6,237,000 | 6,748,760 | ||||||||
Total | 27,635,267 | |||||||||||
Cosmetics/Personal Care 0.10% | ||||||||||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC† | 4.75% | 1/15/2029 | 4,118,000 | 3,859,328 |
110 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Distribution/Wholesale 0.56% | ||||||||||||
BCPE Empire Holdings, Inc.† | 7.625% | 5/1/2027 | $ | 4,109,000 | $ | 3,941,538 | ||||||
Resideo Funding, Inc.† | 4.00% | 9/1/2029 | 8,806,000 | 7,805,110 | ||||||||
Ritchie Bros Holdings, Inc.† | 7.75% | 3/15/2031 | 4,407,000 | 4,638,367 | ||||||||
Windsor Holdings III LLC† | 8.50% | 6/15/2030 | 5,003,000 | 5,182,713 | ||||||||
Total | 21,567,728 | |||||||||||
Diversified Financial Services 4.10% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 9,113,000 | 8,826,374 | ||||||||
Aretec Group, Inc.† | 7.50% | 4/1/2029 | 4,496,000 | 4,134,906 | ||||||||
Aretec Group, Inc.† | 10.00% | 8/15/2030 | 6,853,000 | 7,469,770 | ||||||||
Armor Holdco, Inc.† | 8.50% | 11/15/2029 | 6,314,000 | 5,952,145 | ||||||||
Bread Financial Holdings, Inc.† | 9.75% | 3/15/2029 | 4,554,000 | 4,663,934 | ||||||||
Coinbase Global, Inc.† | 3.375% | 10/1/2028 | 13,100,000 | 11,081,696 | ||||||||
Coinbase Global, Inc.† | 3.625% | 10/1/2031 | 2,145,000 | 1,681,426 | ||||||||
Freedom Mortgage Holdings LLC† | 9.25% | 2/1/2029 | 3,719,000 | 3,780,215 | ||||||||
GGAM Finance Ltd. (Ireland)†(b) | 8.00% | 2/15/2027 | 5,310,000 | 5,445,917 | ||||||||
GGAM Finance Ltd. (Ireland)†(b) | 8.00% | 6/15/2028 | 3,671,000 | 3,800,740 | ||||||||
Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(b) | 6.50% | 9/15/2024 | 6,127,323 | 5,644,966 | ||||||||
Jane Street Group/JSG Finance, Inc.† | 4.50% | 11/15/2029 | 4,712,000 | 4,340,457 | ||||||||
Jefferson Capital Holdings LLC† | 6.00% | 8/15/2026 | 8,416,000 | 8,087,475 | ||||||||
Macquarie Airfinance Holdings Ltd. (United Kingdom)†(b) | 8.125% | 3/30/2029 | 2,036,000 | 2,118,754 | ||||||||
Macquarie Airfinance Holdings Ltd. (United Kingdom)†(b) | 8.375% | 5/1/2028 | 3,714,000 | 3,893,386 | ||||||||
Midcap Financial Issuer Trust† | 6.50% | 5/1/2028 | 4,729,000 | 4,338,905 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 7.125% | 2/1/2032 | 7,807,000 | 7,684,735 | ||||||||
Navient Corp. | 4.875% | 3/15/2028 | 3,415,000 | 3,121,600 | ||||||||
Navient Corp. | 5.50% | 3/15/2029 | 5,191,000 | 4,704,333 | ||||||||
Navient Corp. | 9.375% | 7/25/2030 | 6,094,000 | 6,375,500 | ||||||||
Navient Corp. | 11.50% | 3/15/2031 | 8,395,000 | 9,193,508 | ||||||||
OneMain Finance Corp. | 4.00% | 9/15/2030 | 5,954,000 | 5,023,577 | ||||||||
OneMain Finance Corp. | 9.00% | 1/15/2029 | 8,255,000 | 8,677,822 | ||||||||
PennyMac Financial Services, Inc.† | 5.75% | 9/15/2031 | 12,719,000 | 11,706,147 | ||||||||
PennyMac Financial Services, Inc.† | 7.875% | 12/15/2029 | 4,261,000 | 4,365,348 | ||||||||
StoneX Group, Inc.†(e) | 7.875% | 3/1/2031 | 6,088,000 | 6,170,218 | ||||||||
Synchrony Financial | 7.25% | 2/2/2033 | 4,616,000 | 4,490,599 | ||||||||
Total | 156,774,453 |
See Notes to Schedule of Investments. | 111 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electric 2.96% | ||||||||||||
Atlantica Sustainable Infrastructure PLC (United Kingdom)†(b) | 4.125% | 6/15/2028 | $ | 4,512,000 | $ | 4,126,528 | ||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 4,164,000 | 3,836,562 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 8,485,000 | 7,594,559 | ||||||||
DPL, Inc. | 4.35% | 4/15/2029 | 8,255,000 | 7,491,412 | ||||||||
Elwood Energy LLC | 8.159% | 7/5/2026 | 1,320,378 | 1,100,865 | ||||||||
Leeward Renewable Energy Operations LLC† | 4.25% | 7/1/2029 | 8,600,000 | 7,415,506 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 3,170,000 | 3,007,492 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 2,102,000 | 2,072,673 | ||||||||
NRG Energy, Inc.† | 7.00% | 3/15/2033 | 3,116,000 | 3,247,852 | ||||||||
NRG Energy, Inc.† | 10.25% (5 yr. CMT + 5.92%) | # | – | (d) | 7,747,000 | 8,226,415 | ||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 519,792 | 518,696 | ||||||||
Pampa Energia SA (Argentina)(b) | 7.50% | 1/24/2027 | 5,411,000 | 5,160,283 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 3,712,000 | 3,409,008 | ||||||||
PG&E Corp. | 5.00% | 7/1/2028 | 3,898,000 | 3,721,595 | ||||||||
Pike Corp.† | 5.50% | 9/1/2028 | 4,611,000 | 4,379,207 | ||||||||
Pike Corp.† | 8.625% | 1/31/2031 | 5,000,000 | 5,286,515 | ||||||||
Talen Energy Supply LLC† | 8.625% | 6/1/2030 | 7,479,000 | 7,897,387 | ||||||||
Vistra Corp.† | 7.00% (5 yr. CMT + 5.74%) | # | – | (d) | 6,374,000 | 6,174,430 | ||||||
Vistra Operations Co. LLC† | 4.375% | 5/1/2029 | 11,259,000 | 10,282,365 | ||||||||
Vistra Operations Co. LLC† | 7.75% | 10/15/2031 | 17,858,000 | 18,487,619 | ||||||||
Total | 113,436,969 | |||||||||||
Electrical Components & Equipment 0.09% | ||||||||||||
EnerSys† | 6.625% | 1/15/2032 | 3,552,000 | 3,571,128 | ||||||||
Electronics 0.30% | ||||||||||||
Atkore, Inc.† | 4.25% | 6/1/2031 | 4,218,000 | 3,709,457 | ||||||||
Coherent Corp.† | 5.00% | 12/15/2029 | 4,365,000 | 4,074,487 | ||||||||
Imola Merger Corp.† | 4.75% | 5/15/2029 | 4,070,000 | 3,775,108 | ||||||||
Total | 11,559,052 | |||||||||||
Energy-Alternate Sources 0.56% | ||||||||||||
Sunnova Energy Corp.† | 11.75% | 10/1/2028 | 8,700,000 | 7,330,228 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 9,111,000 | 8,248,872 | ||||||||
YPF Energia Electrica SA (Argentina)†(b) | 10.00% | 7/25/2026 | 5,950,000 | 5,729,089 | ||||||||
Total | 21,308,189 |
112 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Engineering & Construction 0.76% | ||||||||||||
Arcosa, Inc.† | 4.375% | 4/15/2029 | $ | 4,377,000 | $ | 4,044,031 | ||||||
Brand Industrial Services, Inc.† | 10.375% | 8/1/2030 | 6,457,000 | 6,874,617 | ||||||||
Dycom Industries, Inc.† | 4.50% | 4/15/2029 | 5,829,000 | 5,370,531 | ||||||||
Gatwick Airport Finance PLC | 4.375% | 4/7/2026 | GBP | 5,000,000 | 6,096,799 | |||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | $ | 7,035,000 | 6,554,158 | |||||||
Total | 28,940,136 | |||||||||||
Entertainment 3.31% | ||||||||||||
Allwyn Entertainment Financing U.K. PLC (United Kingdom)†(b) | 7.875% | 4/30/2029 | 5,681,000 | 5,858,531 | ||||||||
AMC Entertainment Holdings, Inc.† | 7.50% | 2/15/2029 | 12,224,000 | 8,462,442 | ||||||||
Boyne USA, Inc.† | 4.75% | 5/15/2029 | 7,092,000 | 6,525,805 | ||||||||
Caesars Entertainment, Inc.† | 7.00% | 2/15/2030 | 6,535,000 | 6,700,002 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 4,296,000 | 4,067,294 | ||||||||
Churchill Downs, Inc.† | 5.75% | 4/1/2030 | 3,895,000 | 3,744,968 | ||||||||
Cinemark USA, Inc.† | 5.25% | 7/15/2028 | 4,232,000 | 3,958,041 | ||||||||
Cinemark USA, Inc.† | 5.875% | 3/15/2026 | 5,000,000 | 4,929,398 | ||||||||
Empire Resorts, Inc.† | 7.75% | 11/1/2026 | 8,365,000 | 7,702,628 | ||||||||
Inter Media & Communication SpA | 6.75% | 2/9/2027 | EUR | 11,237,000 | 11,856,501 | |||||||
Jacobs Entertainment, Inc.† | 6.75% | 2/15/2029 | $ | 6,969,000 | 6,650,064 | |||||||
Loarre Investments SARL† | 6.50% | 5/15/2029 | EUR | 11,107,000 | 12,017,323 | |||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.† | 4.875% | 5/1/2029 | $ | 13,399,000 | 12,298,096 | |||||||
Mohegan Tribal Gaming Authority† | 8.00% | 2/1/2026 | 9,621,000 | 9,079,867 | ||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc.† | 4.625% | 4/6/2031 | 8,000,000 | 6,844,245 | ||||||||
SeaWorld Parks & Entertainment, Inc.† | 5.25% | 8/15/2029 | 8,298,000 | 7,744,606 | ||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.† | 7.125% | 2/15/2031 | 8,143,000 | 8,414,229 | ||||||||
Total | 126,854,040 | |||||||||||
Environmental Control 0.38% | ||||||||||||
Enviri Corp.† | 5.75% | 7/31/2027 | 5,237,000 | 4,898,476 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 10,935,000 | 9,773,393 | ||||||||
Total | 14,671,869 | |||||||||||
Food 2.03% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 3.50% | 3/15/2029 | 12,455,000 | 11,109,080 | ||||||||
B&G Foods, Inc.† | 8.00% | 9/15/2028 | 8,176,000 | 8,521,910 | ||||||||
Bellis Finco PLC | 4.00% | 2/16/2027 | GBP | 3,484,000 | 3,996,407 |
See Notes to Schedule of Investments. | 113 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Food (continued) | ||||||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 4.625% | 11/15/2028 | $ | 7,253,000 | $ | 6,714,828 | ||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.625% | 7/1/2029 | 2,518,000 | 2,534,214 | ||||||||
Iceland Bondco PLC† | 10.875% | 12/15/2027 | GBP | 2,359,000 | 3,163,333 | |||||||
Iceland Bondco PLC | 10.875% | 12/15/2027 | GBP | 3,000,000 | 4,022,890 | |||||||
Ingles Markets, Inc.† | 4.00% | 6/15/2031 | $ | 4,523,000 | 3,923,755 | |||||||
Lamb Weston Holdings, Inc.† | 4.125% | 1/31/2030 | 7,226,000 | 6,554,080 | ||||||||
Market Bidco Finco PLC | 5.50% | 11/4/2027 | GBP | 3,089,000 | 3,561,471 | |||||||
Picard Bondco SA | 5.375% | 7/1/2027 | EUR | 3,258,000 | 3,456,348 | |||||||
Pilgrim’s Pride Corp. | 4.25% | 4/15/2031 | $ | 4,862,000 | 4,349,674 | |||||||
Post Holdings, Inc.† | 4.625% | 4/15/2030 | 4,137,000 | 3,767,278 | ||||||||
Sigma Holdco BV (Netherlands)†(b) | 7.875% | 5/15/2026 | 4,000,000 | 3,825,503 | ||||||||
Tonon Luxembourg SA (Luxembourg)†(b)(f) | 6.50% | 10/31/2024 | 1,863,197 | 280 | ||||||||
TreeHouse Foods, Inc. | 4.00% | 9/1/2028 | 4,711,000 | 4,162,404 | ||||||||
U.S. Foods, Inc.† | 4.625% | 6/1/2030 | 4,186,000 | 3,839,528 | ||||||||
Total | 77,502,983 | |||||||||||
Forest Products & Paper 0.22% | ||||||||||||
Ahlstrom Holding 3 OYJ (Finland)†(b) | 4.875% | 2/4/2028 | 5,404,000 | 4,943,903 | ||||||||
Mercer International, Inc. (Canada)(b) | 5.125% | 2/1/2029 | 1,459,000 | 1,258,972 | ||||||||
Mercer International, Inc. (Canada)†(b) | 12.875% | 10/1/2028 | 2,145,000 | 2,302,965 | ||||||||
Total | 8,505,840 | |||||||||||
Health Care-Products 0.59% | ||||||||||||
Bausch & Lomb Corp. (Canada)†(b) | 8.375% | 10/1/2028 | 11,511,000 | 12,043,384 | ||||||||
Medline Borrower LP† | 3.875% | 4/1/2029 | 11,783,000 | 10,575,220 | ||||||||
Total | 22,618,604 | |||||||||||
Health Care-Services 3.30% | ||||||||||||
Acadia Healthcare Co., Inc.† | 5.00% | 4/15/2029 | 3,978,000 | 3,762,910 | ||||||||
Catalent Pharma Solutions, Inc.† | 3.50% | 4/1/2030 | 1,479,000 | 1,425,704 | ||||||||
CHS/Community Health Systems, Inc.† | 4.75% | 2/15/2031 | 6,566,000 | 5,002,471 | ||||||||
CHS/Community Health Systems, Inc.† | 5.25% | 5/15/2030 | 14,947,000 | 11,940,460 | ||||||||
CHS/Community Health Systems, Inc.† | 6.125% | 4/1/2030 | 17,410,000 | 10,910,673 | ||||||||
CHS/Community Health Systems, Inc.† | 6.875% | 4/1/2028 | 3,513,000 | 2,272,224 | ||||||||
CHS/Community Health Systems, Inc.† | 6.875% | 4/15/2029 | 6,270,000 | 4,008,469 | ||||||||
DaVita, Inc.† | 4.625% | 6/1/2030 | 17,842,000 | 15,711,433 | ||||||||
Global Medical Response, Inc.† | 6.50% | 10/1/2025 | 4,943,000 | 4,343,241 | ||||||||
HealthEquity, Inc.† | 4.50% | 10/1/2029 | 4,086,000 | 3,760,604 | ||||||||
Heartland Dental LLC/Heartland Dental Finance Corp.† | 10.50% | 4/30/2028 | 9,330,000 | 9,808,162 |
114 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Health Care-Services (continued) | ||||||||||||
LifePoint Health, Inc.† | 5.375% | 1/15/2029 | $ | 9,858,000 | $ | 7,871,807 | ||||||
LifePoint Health, Inc.† | 9.875% | 8/15/2030 | 8,522,000 | 8,852,125 | ||||||||
LifePoint Health, Inc.† | 11.00% | 10/15/2030 | 4,989,000 | 5,283,615 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 4,298,000 | 3,774,122 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 5,471,000 | 5,475,070 | ||||||||
Star Parent, Inc.† | 9.00% | 10/1/2030 | 3,327,000 | 3,515,371 | ||||||||
Tenet Healthcare Corp. | 4.375% | 1/15/2030 | 5,011,000 | 4,594,306 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 3,858,000 | 3,817,549 | ||||||||
Tenet Healthcare Corp. | 6.125% | 6/15/2030 | 6,250,000 | 6,197,563 | ||||||||
U.S. Acute Care Solutions LLC† | 6.375% | 3/1/2026 | 4,229,000 | 3,832,952 | ||||||||
Total | 126,160,831 | |||||||||||
Holding Companies-Diversified 0.40% | ||||||||||||
Benteler International AG (Austria)†(b) | 10.50% | 5/15/2028 | 7,100,000 | 7,631,329 | ||||||||
Stena International SA (Luxembourg)†(b) | 7.25% | 1/15/2031 | 4,163,000 | 4,142,976 | ||||||||
Stena International SA (Luxembourg)†(b) | 7.625% | 2/15/2031 | 3,544,000 | 3,566,380 | ||||||||
Total | 15,340,685 | |||||||||||
Home Builders 1.43% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 4.625% | 4/1/2030 | 6,235,000 | 5,613,008 | ||||||||
Century Communities, Inc.† | 3.875% | 8/15/2029 | 5,146,000 | 4,546,443 | ||||||||
Dream Finders Homes, Inc.† | 8.25% | 8/15/2028 | 4,252,000 | 4,422,244 | ||||||||
Forestar Group, Inc.† | 3.85% | 5/15/2026 | 4,249,000 | 4,041,691 | ||||||||
LGI Homes, Inc.† | 8.75% | 12/15/2028 | 5,925,000 | 6,213,844 | ||||||||
M/I Homes, Inc. | 4.95% | 2/1/2028 | 12,993,000 | 12,382,654 | ||||||||
Miller Homes Group Finco PLC | 7.00% | 5/15/2029 | GBP | 3,374,000 | 3,967,790 | |||||||
Shea Homes LP/Shea Homes Funding Corp. | 4.75% | 2/15/2028 | $ | 4,108,000 | 3,922,677 | |||||||
STL Holding Co. LLC† | 8.75% | 2/15/2029 | 5,782,000 | 5,921,103 | ||||||||
Tri Pointe Homes, Inc. | 5.25% | 6/1/2027 | 3,740,000 | 3,650,633 | ||||||||
Total | 54,682,087 | |||||||||||
Housewares 0.20% | ||||||||||||
Newell Brands, Inc. | 5.20% | 4/1/2026 | 4,075,000 | 3,961,313 | ||||||||
SWF Escrow Issuer Corp.† | 6.50% | 10/1/2029 | 5,310,000 | 3,741,359 | ||||||||
Total | 7,702,672 |
See Notes to Schedule of Investments. | 115 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Insurance 1.05% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 4/15/2028 | $ | 7,536,000 | $ | 7,491,199 | ||||||
Ardonagh Finco Ltd. (United Kingdom)†(b) | 7.75% | 2/15/2031 | 3,370,000 | 3,331,060 | ||||||||
Ardonagh Group Finance Ltd. (United Kingdom)†(b) | 8.875% | 2/15/2032 | 4,002,000 | 3,916,437 | ||||||||
Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC (United Kingdom)†(b) | 7.25% | 2/15/2031 | 4,329,000 | 4,338,459 | ||||||||
Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC (United Kingdom)†(b) | 8.125% | 2/15/2032 | 6,038,000 | 6,079,511 | ||||||||
HUB International Ltd.† | 7.375% | 1/31/2032 | 5,473,000 | 5,493,759 | ||||||||
Jones Deslauriers Insurance Management, Inc. (Canada)†(b) | 8.50% | 3/15/2030 | 5,541,000 | 5,768,652 | ||||||||
Jones Deslauriers Insurance Management, Inc. (Canada)†(b) | 10.50% | 12/15/2030 | 3,667,000 | 3,834,637 | ||||||||
Total | 40,253,714 | |||||||||||
Internet 1.49% | ||||||||||||
Arches Buyer, Inc.† | 6.125% | 12/1/2028 | 4,456,000 | 3,779,542 | ||||||||
Cablevision Lightpath LLC† | 5.625% | 9/15/2028 | 5,032,000 | 4,192,568 | ||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | 10,962,000 | 11,246,736 | ||||||||
Gen Digital, Inc.† | 7.125% | 9/30/2030 | 8,183,000 | 8,367,196 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 3.50% | 3/1/2029 | 4,215,000 | 3,756,773 | ||||||||
ION Trading Technologies SARL (Luxembourg)†(b) | 5.75% | 5/15/2028 | 6,885,000 | 6,185,759 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 4.75% | 4/30/2027 | 3,792,000 | 3,643,031 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.† | 6.00% | 2/15/2028 | 11,131,000 | 10,696,451 | ||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.†(g) | 10.75% | 6/1/2028 | 5,122,000 | 5,270,666 | ||||||||
Total | 57,138,722 | |||||||||||
Iron-Steel 1.37% | ||||||||||||
ArcelorMittal SA (Luxembourg)(b) | 6.80% | 11/29/2032 | 4,231,000 | 4,475,161 | ||||||||
ATI, Inc. | 5.125% | 10/1/2031 | 10,694,000 | 9,800,356 | ||||||||
ATI, Inc. | 7.25% | 8/15/2030 | 6,848,000 | 7,046,250 | ||||||||
Carpenter Technology Corp. | 7.625% | 3/15/2030 | 6,892,000 | 7,125,604 | ||||||||
Commercial Metals Co. | 4.125% | 1/15/2030 | 4,628,000 | 4,246,091 | ||||||||
Mineral Resources Ltd. (Australia)†(b) | 8.00% | 11/1/2027 | 5,126,000 | 5,226,982 | ||||||||
Mineral Resources Ltd. (Australia)†(b) | 8.50% | 5/1/2030 | 2,679,000 | 2,754,627 |
116 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Iron-Steel (continued) | ||||||||||||
U.S. Steel Corp. | 6.65% | 6/1/2037 | $ | 7,559,000 | $ | 7,822,371 | ||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | 3,753,000 | 3,800,457 | ||||||||
Total | 52,297,899 | |||||||||||
Leisure Time 2.97% | ||||||||||||
Carnival Corp.† | 5.75% | 3/1/2027 | 13,207,000 | 13,052,466 | ||||||||
Carnival Corp.† | 6.00% | 5/1/2029 | 17,274,000 | 16,891,174 | ||||||||
Carnival Corp.† | 10.50% | 6/1/2030 | 3,428,000 | 3,742,818 | ||||||||
Carnival Holdings Bermuda Ltd.† | 10.375% | 5/1/2028 | 7,929,000 | 8,655,487 | ||||||||
Lindblad Expeditions LLC† | 6.75% | 2/15/2027 | 10,344,000 | 10,393,962 | ||||||||
NCL Corp. Ltd.† | 5.875% | 3/15/2026 | 7,684,000 | 7,511,110 | ||||||||
NCL Corp. Ltd.† | 5.875% | 2/15/2027 | 6,606,000 | 6,533,641 | ||||||||
NCL Corp. Ltd.† | 8.125% | 1/15/2029 | 6,041,000 | 6,360,490 | ||||||||
Royal Caribbean Cruises Ltd.† | 4.25% | 7/1/2026 | 7,911,000 | 7,626,519 | ||||||||
Royal Caribbean Cruises Ltd.†(e) | 6.25% | 3/15/2032 | 3,839,000 | 3,851,654 | ||||||||
Royal Caribbean Cruises Ltd.† | 7.25% | 1/15/2030 | 9,669,000 | 10,060,256 | ||||||||
Viking Cruises Ltd.† | 5.875% | 9/15/2027 | 3,312,000 | 3,240,196 | ||||||||
Viking Cruises Ltd.† | 9.125% | 7/15/2031 | 11,055,000 | 11,975,535 | ||||||||
VOC Escrow Ltd.† | 5.00% | 2/15/2028 | 4,053,000 | 3,896,007 | ||||||||
Total | 113,791,315 | |||||||||||
Lodging 1.52% | ||||||||||||
Choice Hotels International, Inc. | 3.70% | 12/1/2029 | 6,008,000 | 5,267,516 | ||||||||
Full House Resorts, Inc.† | 8.25% | 2/15/2028 | 4,113,000 | 3,860,318 | ||||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 13,864,000 | 12,937,438 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 3,919,000 | 3,729,048 | ||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc.† | 6.625% | 1/15/2032 | 4,769,000 | 4,772,253 | ||||||||
Melco Resorts Finance Ltd. (Hong Kong)†(b) | 5.375% | 12/4/2029 | 4,480,000 | 4,034,943 | ||||||||
Station Casinos LLC† | 4.625% | 12/1/2031 | 5,010,000 | 4,458,725 | ||||||||
Studio City Finance Ltd. (Hong Kong)(b) | 5.00% | 1/15/2029 | 4,529,000 | 3,953,661 | ||||||||
Wyndham Hotels & Resorts, Inc.† | 4.375% | 8/15/2028 | 4,408,000 | 4,102,166 | ||||||||
Wynn Macau Ltd. (Macau)†(b) | 5.50% | 10/1/2027 | 11,811,000 | 11,230,757 | ||||||||
Total | 58,346,825 | |||||||||||
Machinery: Construction & Mining 0.31% | ||||||||||||
BWX Technologies, Inc.† | 4.125% | 4/15/2029 | 4,179,000 | 3,882,145 | ||||||||
Terex Corp.† | 5.00% | 5/15/2029 | 4,313,000 | 4,031,500 | ||||||||
Vertiv Group Corp.† | 4.125% | 11/15/2028 | 4,258,000 | 3,932,684 | ||||||||
Total | 11,846,329 |
See Notes to Schedule of Investments. | 117 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Machinery-Diversified 1.38% | ||||||||||||
ATS Corp. (Canada)†(b) | 4.125% | 12/15/2028 | $ | 8,007,000 | $ | 7,315,075 | ||||||
Chart Industries, Inc.† | 7.50% | 1/1/2030 | 2,413,000 | 2,492,052 | ||||||||
GrafTech Global Enterprises, Inc.† | 9.875% | 12/15/2028 | 6,525,000 | 5,189,006 | ||||||||
Husky Injection Molding Systems Ltd./Titan Co.-Borrower LLC (Canada)†(b) | 9.00% | 2/15/2029 | 2,069,000 | 2,116,768 | ||||||||
Maxim Crane Works Holdings Capital LLC† | 11.50% | 9/1/2028 | 5,559,000 | 5,785,950 | ||||||||
Mueller Water Products, Inc.† | 4.00% | 6/15/2029 | 5,187,000 | 4,721,726 | ||||||||
Novafives SAS | 8.425% (3 mo. EURIBOR + 4.50%) | # | 6/15/2025 | EUR | 3,800,000 | 4,077,895 | ||||||
SPX FLOW, Inc.† | 8.75% | 4/1/2030 | $ | 10,026,000 | 9,837,622 | |||||||
TK Elevator Midco GmbH | 4.375% | 7/15/2027 | EUR | 5,590,000 | 5,852,867 | |||||||
TK Elevator U.S. Newco, Inc.† | 5.25% | 7/15/2027 | $ | 5,672,000 | 5,456,470 | |||||||
Total | 52,845,431 | |||||||||||
Media 5.90% | ||||||||||||
AMC Networks, Inc. | 4.25% | 2/15/2029 | 5,192,000 | 3,365,584 | ||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 6,293,000 | 6,007,324 | ||||||||
Belo Corp. | 7.25% | 9/15/2027 | 6,082,000 | 6,140,139 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.50% | 8/15/2030 | 27,567,000 | 22,891,913 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 17,615,000 | 15,001,286 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 21,722,000 | 20,065,513 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 6.375% | 9/1/2029 | 4,105,000 | 3,859,631 | ||||||||
CSC Holdings LLC† | 4.125% | 12/1/2030 | 8,429,000 | 6,283,103 | ||||||||
CSC Holdings LLC† | 4.625% | 12/1/2030 | 6,472,000 | 3,605,551 | ||||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 7,271,000 | 6,345,474 | ||||||||
CSC Holdings LLC† | 7.50% | 4/1/2028 | 9,847,000 | 7,011,064 | ||||||||
CSC Holdings LLC† | 11.25% | 5/15/2028 | 11,015,000 | 11,375,851 | ||||||||
CSC Holdings LLC† | 11.75% | 1/31/2029 | 4,713,000 | 4,929,548 | ||||||||
DISH DBS Corp. | 5.875% | 11/15/2024 | 6,087,000 | 5,758,119 | ||||||||
DISH Network Corp.† | 11.75% | 11/15/2027 | 12,061,000 | 12,589,312 | ||||||||
Gray Television, Inc.† | 5.375% | 11/15/2031 | 10,285,000 | 6,664,680 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 8,868,000 | 8,024,565 | ||||||||
iHeartCommunications, Inc.† | 5.25% | 8/15/2027 | 572,000 | 424,676 | ||||||||
iHeartCommunications, Inc. | 6.375% | 5/1/2026 | 4,143,566 | 3,532,390 | ||||||||
McGraw-Hill Education, Inc.† | 5.75% | 8/1/2028 | 4,866,000 | 4,525,259 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 9,379,000 | 8,339,014 | ||||||||
Scripps Escrow II, Inc.† | 5.375% | 1/15/2031 | 1,421,000 | 811,675 | ||||||||
Scripps Escrow, Inc.† | 5.875% | 7/15/2027 | 3,737,000 | 3,037,083 | ||||||||
Sunrise FinCo I BV (Netherlands)†(b) | 4.875% | 7/15/2031 | 4,976,000 | 4,409,134 |
118 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Media (continued) | ||||||||||||
TEGNA, Inc. | 5.00% | 9/15/2029 | $ | 4,788,000 | $ | 4,218,324 | ||||||
Univision Communications, Inc.† | 7.375% | 6/30/2030 | 15,674,000 | 15,153,554 | ||||||||
Virgin Media Finance PLC (United Kingdom)†(b) | 5.00% | 7/15/2030 | 12,178,000 | 10,525,880 | ||||||||
Virgin Media Secured Finance PLC (United Kingdom)†(b) | 5.50% | 5/15/2029 | 13,800,000 | 12,945,355 | ||||||||
VZ Secured Financing BV (Netherlands)†(b) | 5.00% | 1/15/2032 | 9,105,000 | 7,781,878 | ||||||||
Total | 225,622,879 | |||||||||||
Metal Fabricate-Hardware 0.41% | ||||||||||||
Advanced Drainage Systems, Inc.† | 6.375% | 6/15/2030 | 4,112,000 | 4,116,101 | ||||||||
Park-Ohio Industries, Inc. | 6.625% | 4/15/2027 | 8,286,000 | 7,589,603 | ||||||||
Roller Bearing Co. of America, Inc.† | 4.375% | 10/15/2029 | 4,410,000 | 4,023,174 | ||||||||
Total | 15,728,878 | |||||||||||
Mining 2.67% | ||||||||||||
Arsenal AIC Parent LLC† | 8.00% | 10/1/2030 | 8,334,000 | 8,740,282 | ||||||||
Coeur Mining, Inc.† | 5.125% | 2/15/2029 | 9,310,000 | 8,583,490 | ||||||||
Compass Minerals International, Inc.† | 6.75% | 12/1/2027 | 7,982,000 | 7,793,784 | ||||||||
First Quantum Minerals Ltd. (Canada)†(b) | 8.625% | 6/1/2031 | 10,227,000 | 9,779,732 | ||||||||
First Quantum Minerals Ltd. (Canada)†(b) | 9.375% | 3/1/2029 | 1,268,000 | 1,315,630 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(b) | 4.375% | 4/1/2031 | 4,232,000 | 3,796,780 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(b) | 5.875% | 4/15/2030 | 4,227,000 | 4,141,694 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(b) | 6.125% | 4/15/2032 | 11,832,000 | 11,704,204 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 13,100,000 | 13,082,708 | ||||||||
Hudbay Minerals, Inc. (Canada)†(b) | 4.50% | 4/1/2026 | 4,407,000 | 4,251,994 | ||||||||
Hudbay Minerals, Inc. (Canada)†(b) | 6.125% | 4/1/2029 | 4,376,000 | 4,298,528 | ||||||||
Mirabela Nickel Ltd. | Zero Coupon | 9/10/2044 | 51,005 | – | (a) | |||||||
Novelis Corp.† | 3.875% | 8/15/2031 | 6,008,000 | 5,091,618 | ||||||||
Taseko Mines Ltd. (Canada)†(b) | 7.00% | 2/15/2026 | 12,131,000 | 11,958,038 | ||||||||
WE Soda Investments Holding PLC (United Kingdom)†(b) | 9.375% | 2/14/2031 | 2,241,000 | 2,315,233 | ||||||||
WE Soda Investments Holding PLC (United Kingdom)†(b) | 9.50% | 10/6/2028 | 4,925,000 | 5,127,088 | ||||||||
Total | 101,980,803 | |||||||||||
Miscellaneous Manufacturing 0.70% | ||||||||||||
Amsted Industries, Inc.† | 4.625% | 5/15/2030 | 4,605,000 | 4,196,899 | ||||||||
Calderys Financing LLC (France)†(b) | 11.25% | 6/1/2028 | 5,325,000 | 5,707,617 |
See Notes to Schedule of Investments. | 119 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Miscellaneous Manufacturing (continued) | ||||||||||||
Ctec II GmbH | 5.25% | 2/15/2030 | EUR | 5,958,000 | $ | 5,775,759 | ||||||
FXI Holdings, Inc.† | 12.25% | 11/15/2026 | $ | 2,242,000 | 2,202,765 | |||||||
FXI Holdings, Inc.† | 12.25% | 11/15/2026 | 3,019,000 | 2,966,168 | ||||||||
LSB Industries, Inc.† | 6.25% | 10/15/2028 | 6,075,000 | 5,766,604 | ||||||||
Total | 26,615,812 | |||||||||||
Oil & Gas 8.99% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp.† | 8.25% | 2/15/2026 | 6,378,000 | 6,410,199 | ||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.† | 5.875% | 6/30/2029 | 6,571,000 | 6,114,212 | ||||||||
Baytex Energy Corp. (Canada)†(b) | 8.50% | 4/30/2030 | 4,618,000 | 4,805,602 | ||||||||
Baytex Energy Corp. (Canada)†(b) | 8.75% | 4/1/2027 | 11,432,000 | 11,868,142 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 10,767,000 | 10,556,843 | ||||||||
Borr IHC Ltd./Borr Finance LLC† | 10.00% | 11/15/2028 | 5,213,000 | 5,396,346 | ||||||||
CITGO Petroleum Corp.† | 8.375% | 1/15/2029 | 5,485,000 | 5,764,867 | ||||||||
Civitas Resources, Inc.† | 5.00% | 10/15/2026 | 1,528,000 | 1,481,862 | ||||||||
Civitas Resources, Inc.† | 8.375% | 7/1/2028 | 5,294,000 | 5,546,386 | ||||||||
Civitas Resources, Inc.† | 8.625% | 11/1/2030 | 5,790,000 | 6,200,459 | ||||||||
Civitas Resources, Inc.† | 8.75% | 7/1/2031 | 5,327,000 | 5,671,769 | ||||||||
CNX Resources Corp.† | 6.00% | 1/15/2029 | 8,912,000 | 8,573,495 | ||||||||
CNX Resources Corp.† | 7.375% | 1/15/2031 | 6,649,000 | 6,709,763 | ||||||||
Comstock Resources, Inc.† | 5.875% | 1/15/2030 | 9,529,000 | 8,343,880 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 5,634,000 | 5,204,486 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 14,103,000 | 14,063,512 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 4,293,000 | 4,496,778 | ||||||||
Diamond Foreign Asset Co./Diamond Finance LLC (Cayman Islands)†(b) | 8.50% | 10/1/2030 | 4,068,000 | 4,168,691 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 7,713,000 | 7,708,372 | ||||||||
Gulfport Energy Corp.† | 8.00% | 5/17/2026 | 10,539,004 | 10,733,317 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.00% | 2/1/2031 | 10,519,000 | 10,183,187 | ||||||||
Kosmos Energy Ltd.† | 7.50% | 3/1/2028 | 4,129,000 | 3,841,911 | ||||||||
Matador Resources Co.† | 6.875% | 4/15/2028 | 2,623,000 | 2,666,049 | ||||||||
MC Brazil Downstream Trading SARL (Luxembourg)†(b) | 7.25% | 6/30/2031 | 8,551,058 | 7,753,687 | ||||||||
MEG Energy Corp. (Canada)†(b) | 5.875% | 2/1/2029 | 10,393,000 | 10,141,439 | ||||||||
Noble Finance II LLC† | 8.00% | 4/15/2030 | 5,429,000 | 5,585,893 | ||||||||
Parkland Corp. (Canada)†(b) | 5.875% | 7/15/2027 | 3,354,000 | 3,294,712 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 6.00% | 2/15/2028 | 3,900,000 | 3,796,318 |
120 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
PBF Holding Co. LLC/PBF Finance Corp.† | 7.875% | 9/15/2030 | $ | 4,612,000 | $ | 4,729,491 | ||||||
Permian Resources Operating LLC† | 5.375% | 1/15/2026 | 7,711,000 | 7,591,320 | ||||||||
Permian Resources Operating LLC† | 9.875% | 7/15/2031 | 7,842,000 | 8,692,504 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 10.00% | 2/7/2033 | 7,823,000 | 7,602,625 | ||||||||
Precision Drilling Corp. (Canada)†(b) | 6.875% | 1/15/2029 | 9,508,000 | 9,399,799 | ||||||||
Range Resources Corp.† | 4.75% | 2/15/2030 | 4,117,000 | 3,828,810 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 13,596,000 | 12,537,871 | ||||||||
Seadrill Finance Ltd.† | 8.375% | 8/1/2030 | 4,284,000 | 4,405,630 | ||||||||
Shelf Drilling Holdings Ltd. (United Arab Emirates)†(b) | 9.625% | 4/15/2029 | 8,429,000 | 8,145,223 | ||||||||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp.† | 7.875% | 11/1/2028 | 5,917,000 | 6,053,478 | ||||||||
Southwestern Energy Co. | 5.375% | 2/1/2029 | 8,282,000 | 8,010,701 | ||||||||
Sunoco LP/Sunoco Finance Corp.† | 7.00% | 9/15/2028 | 4,066,000 | 4,168,569 | ||||||||
Talos Production, Inc.† | 9.00% | 2/1/2029 | 3,818,000 | 3,905,253 | ||||||||
Transocean Aquila Ltd.† | 8.00% | 9/30/2028 | 4,056,000 | 4,135,335 | ||||||||
Transocean, Inc. | 6.80% | 3/15/2038 | 11,291,000 | 8,865,693 | ||||||||
Transocean, Inc.† | 7.50% | 1/15/2026 | 4,600,000 | 4,551,192 | ||||||||
Transocean, Inc. | 7.50% | 4/15/2031 | 10,110,000 | 8,634,648 | ||||||||
Valaris Ltd.† | 8.375% | 4/30/2030 | 7,489,000 | 7,685,494 | ||||||||
Vermilion Energy, Inc. (Canada)†(b) | 6.875% | 5/1/2030 | 5,899,000 | 5,691,119 | ||||||||
Vital Energy, Inc.† | 7.75% | 7/31/2029 | 8,055,000 | 8,018,574 | ||||||||
Vital Energy, Inc. | 9.75% | 10/15/2030 | 2,344,000 | 2,512,766 | ||||||||
Vital Energy, Inc. | 10.125% | 1/15/2028 | 13,059,000 | 13,678,062 | ||||||||
YPF SA (Argentina)†(b) | 9.50% | 1/17/2031 | 4,248,000 | 4,282,961 | ||||||||
Total | 344,209,295 | |||||||||||
Oil & Gas Services 1.29% | ||||||||||||
Helix Energy Solutions Group, Inc.† | 9.75% | 3/1/2029 | 8,146,000 | 8,615,983 | ||||||||
Kodiak Gas Services LLC† | 7.25% | 2/15/2029 | 3,853,000 | 3,925,614 | ||||||||
Nine Energy Service, Inc. | 13.00% | 2/1/2028 | 7,348,000 | 6,130,694 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 14,681,000 | 14,449,040 | ||||||||
Tidewater, Inc.† | 10.375% | 7/3/2028 | 3,800,000 | 4,037,500 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.875% | 9/1/2027 | 6,425,000 | 6,397,834 | ||||||||
Weatherford International Ltd.† | 8.625% | 4/30/2030 | 5,552,000 | 5,760,505 | ||||||||
Total | 49,317,170 |
See Notes to Schedule of Investments. | 121 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Packaging & Containers 1.84% | ||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)†(b) | 4.125% | 8/15/2026 | $ | 8,391,000 | $ | 7,751,354 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)†(b) | 5.25% | 4/30/2025 | 3,247,000 | 3,215,613 | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)†(b) | 5.25% | 8/15/2027 | 8,333,000 | 6,053,479 | ||||||||
Canpack SA/Canpack U.S. LLC (Poland)†(b) | 3.875% | 11/15/2029 | 4,581,000 | 3,979,904 | ||||||||
Clydesdale Acquisition Holdings, Inc.† | 8.75% | 4/15/2030 | 6,002,000 | 5,719,208 | ||||||||
Iris Holding, Inc.† | 10.00% | 12/15/2028 | 2,169,000 | 1,885,350 | ||||||||
LABL, Inc.† | 6.75% | 7/15/2026 | 3,715,000 | 3,606,009 | ||||||||
LABL, Inc.† | 9.50% | 11/1/2028 | 4,377,000 | 4,383,516 | ||||||||
LABL, Inc.† | 10.50% | 7/15/2027 | 2,966,000 | 2,882,942 | ||||||||
Mauser Packaging Solutions Holding Co.† | 9.25% | 4/15/2027 | 7,539,000 | 7,340,069 | ||||||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC† | 4.00% | 10/15/2027 | 4,306,000 | 4,015,733 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 3,005,000 | 3,112,756 | ||||||||
Titan Holdings II BV | 5.125% | 7/15/2029 | EUR | 4,060,000 | 3,866,549 | |||||||
Trident TPI Holdings, Inc.† | 12.75% | 12/31/2028 | $ | 3,343,000 | 3,569,883 | |||||||
Trivium Packaging Finance BV (Netherlands)†(b) | 5.50% | 8/15/2026 | 4,577,000 | 4,468,100 | ||||||||
Trivium Packaging Finance BV (Netherlands)†(b) | 8.50% | 8/15/2027 | 4,594,000 | 4,482,901 | ||||||||
Total | 70,333,366 | |||||||||||
Pharmaceuticals 1.03% | ||||||||||||
180 Medical, Inc.† | 3.875% | 10/15/2029 | 5,380,000 | 4,820,372 | ||||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | 7,865,000 | 8,033,783 | ||||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV† | 5.125% | 4/30/2031 | 4,429,000 | 3,799,240 | ||||||||
Owens & Minor, Inc.† | 6.625% | 4/1/2030 | 7,932,000 | 7,672,465 | ||||||||
Perrigo Finance Unlimited Co. (Ireland)(b) | 4.65% | 6/15/2030 | 6,295,000 | 5,641,459 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(b) | 3.15% | 10/1/2026 | 4,122,000 | 3,822,727 | ||||||||
Trulieve Cannabis Corp. | 8.00% | 10/6/2026 | 6,098,000 | 5,709,984 | ||||||||
Total | 39,500,030 | |||||||||||
Pipelines 3.79% | ||||||||||||
AI Candelaria Spain SA (Spain)†(b) | 7.50% | 12/15/2028 | 4,398,893 | 4,228,926 | ||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.† | 5.375% | 6/15/2029 | 7,460,000 | 7,102,682 | ||||||||
Buckeye Partners LP | 4.125% | 12/1/2027 | 7,654,000 | 7,130,466 | ||||||||
CNX Midstream Partners LP† | 4.75% | 4/15/2030 | 9,074,000 | 7,949,629 |
122 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC† | 5.50% | 6/15/2031 | $ | 4,891,000 | $ | 4,561,300 | ||||||
Delek Logistics Partners LP/Delek Logistics Finance Corp.† | 7.125% | 6/1/2028 | 9,913,000 | 9,500,371 | ||||||||
DT Midstream, Inc.† | 4.125% | 6/15/2029 | 7,560,000 | 6,915,062 | ||||||||
Energy Transfer LP | 8.00% (5 yr. CMT + 4.02%) | # | 5/15/2054 | 3,257,000 | 3,386,808 | |||||||
EnLink Midstream LLC† | 6.50% | 9/1/2030 | 3,951,000 | 4,053,295 | ||||||||
EQM Midstream Partners LP† | 4.75% | 1/15/2031 | 4,000,000 | 3,723,256 | ||||||||
EQM Midstream Partners LP† | 6.375% | 4/1/2029 | 3,664,000 | 3,677,102 | ||||||||
EQM Midstream Partners LP† | 7.50% | 6/1/2030 | 8,082,000 | 8,598,650 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 8.25% | 1/15/2029 | 4,397,000 | 4,473,877 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 8.875% | 4/15/2030 | 7,731,000 | 8,023,059 | ||||||||
Global Partners LP/GLP Finance Corp.† | 8.25% | 1/15/2032 | 7,185,000 | 7,374,161 | ||||||||
Hess Midstream Operations LP† | 5.125% | 6/15/2028 | 5,824,000 | 5,600,475 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp.† | 8.375% | 2/15/2032 | 6,993,000 | 7,109,028 | ||||||||
Northriver Midstream Finance LP (Canada)†(b) | 5.625% | 2/15/2026 | 7,831,000 | 7,684,169 | ||||||||
Venture Global Calcasieu Pass LLC† | 6.25% | 1/15/2030 | 2,705,000 | 2,702,721 | ||||||||
Venture Global LNG, Inc.† | 8.125% | 6/1/2028 | 8,011,000 | 8,144,877 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 8,211,000 | 8,311,388 | ||||||||
Venture Global LNG, Inc.† | 9.50% | 2/1/2029 | 13,967,000 | 14,900,532 | ||||||||
Total | 145,151,834 | |||||||||||
Real Estate 0.96% | ||||||||||||
Cushman & Wakefield U.S. Borrower LLC† | 8.875% | 9/1/2031 | 7,239,000 | 7,542,855 | ||||||||
Howard Hughes Corp.† | 4.375% | 2/1/2031 | 4,439,000 | 3,787,656 | ||||||||
Howard Hughes Corp.† | 5.375% | 8/1/2028 | 11,175,000 | 10,555,067 | ||||||||
Hunt Cos., Inc.† | 5.25% | 4/15/2029 | 7,915,000 | 7,251,904 | ||||||||
Kennedy-Wilson, Inc. | 4.75% | 3/1/2029 | 4,662,000 | 3,781,045 | ||||||||
Newmark Group, Inc.† | 7.50% | 1/12/2029 | 2,162,000 | 2,200,157 | ||||||||
Shimao Group Holdings Ltd. (Hong Kong)(b)(f) | 3.45% | 1/11/2031 | 1,074,000 | 42,960 | ||||||||
Shimao Group Holdings Ltd. (Hong Kong)(b)(f) | 5.20% | 1/16/2027 | 23,117,000 | 1,121,175 | ||||||||
Sunac China Holdings Ltd. (China)†(b) | 6.00% | 9/30/2026 | 433,597 | 52,032 | ||||||||
Sunac China Holdings Ltd. (China)†(b) | 6.25% | 9/30/2027 | 433,597 | 47,991 | ||||||||
Sunac China Holdings Ltd. (China)†(b) | 6.50% | 9/30/2027 | 867,194 | 86,719 | ||||||||
Sunac China Holdings Ltd. (China)†(b) | 6.75% | 9/30/2028 | 1,300,790 | 113,819 | ||||||||
Sunac China Holdings Ltd. (China)†(b) | 7.00% | 9/30/2029 | 1,300,790 | 100,811 | ||||||||
Sunac China Holdings Ltd. (China)†(b) | 7.25% | 9/30/2030 | 611,032 | 42,467 | ||||||||
Total | 36,726,658 |
See Notes to Schedule of Investments. | 123 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
REITS 1.00% | ||||||||||||
Iron Mountain, Inc.† | 5.625% | 7/15/2032 | $ | 16,053,000 | $ | 14,937,945 | ||||||
Iron Mountain, Inc.† | 7.00% | 2/15/2029 | 2,533,000 | 2,573,694 | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | 4.75% | 6/15/2029 | 4,333,000 | 3,894,083 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 4.875% | 5/15/2029 | 8,521,000 | 7,836,764 | ||||||||
RHP Hotel Properties LP/RHP Finance Corp.† | 7.25% | 7/15/2028 | 5,993,000 | 6,143,259 | ||||||||
Service Properties Trust | 5.25% | 2/15/2026 | 3,150,000 | 3,062,666 | ||||||||
Total | 38,448,411 | |||||||||||
Retail 4.70% | ||||||||||||
Advance Auto Parts, Inc. | 3.50% | 3/15/2032 | 6,180,000 | 5,186,438 | ||||||||
Arko Corp.† | 5.125% | 11/15/2029 | 5,630,000 | 4,887,009 | ||||||||
Asbury Automotive Group, Inc.† | 5.00% | 2/15/2032 | 4,791,000 | 4,258,616 | ||||||||
Bath & Body Works, Inc.† | 6.625% | 10/1/2030 | 3,869,000 | 3,894,404 | ||||||||
Beacon Roofing Supply, Inc.† | 4.125% | 5/15/2029 | 4,996,000 | 4,497,469 | ||||||||
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC† | 5.125% | 4/15/2029 | 5,297,000 | 4,906,160 | ||||||||
Carvana Co.† | 12.00% | 12/1/2028 | 3,485,673 | 3,354,945 | ||||||||
Carvana Co.† | 13.00% | 6/1/2030 | 6,884,944 | 6,444,978 | ||||||||
Douglas GmbH | 6.00% | 4/8/2026 | EUR | 4,565,000 | 4,974,539 | |||||||
Dutch Lion BV†(f) | 11.25% | 6/15/2020 | EUR | 9,152,880 | – | (a)(h) | ||||||
Evergreen Acqco 1 LP/TVI, Inc.† | 9.75% | 4/26/2028 | $ | 6,449,000 | 6,809,467 | |||||||
FirstCash, Inc.† | 5.625% | 1/1/2030 | 4,124,000 | 3,911,663 | ||||||||
Gap, Inc.† | 3.875% | 10/1/2031 | 14,492,000 | 11,706,977 | ||||||||
Global Auto Holdings Ltd./AAG FH U.K. Ltd. (United Kingdom)†(b) | 8.375% | 1/15/2029 | 5,360,000 | 5,117,031 | ||||||||
Global Auto Holdings Ltd./AAG FH U.K. Ltd. (United Kingdom)†(b) | 8.75% | 1/15/2032 | 2,716,000 | 2,582,199 | ||||||||
GPS Hospitality Holding Co. LLC/GPS Finco, Inc.† | 7.00% | 8/15/2028 | 7,932,000 | 6,456,444 | ||||||||
GYP Holdings III Corp.† | 4.625% | 5/1/2029 | 4,499,000 | 4,197,657 | ||||||||
LBM Acquisition LLC† | 6.25% | 1/15/2029 | 6,521,000 | 5,881,738 | ||||||||
LCM Investments Holdings II LLC† | 4.875% | 5/1/2029 | 5,053,000 | 4,542,667 | ||||||||
LCM Investments Holdings II LLC† | 8.25% | 8/1/2031 | 4,533,000 | 4,630,394 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 8,560,000 | 8,252,140 | ||||||||
Michaels Cos., Inc.† | 5.25% | 5/1/2028 | 2,441,000 | 1,898,263 | ||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC† | 7.125% | 4/1/2026 | 4,654,000 | 4,569,058 | ||||||||
Nordstrom, Inc. | 4.375% | 4/1/2030 | 5,843,000 | 5,169,302 |
124 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Retail (continued) | ||||||||||||
Park River Holdings, Inc.† | 5.625% | 2/1/2029 | $ | 2,615,000 | $ | 2,202,628 | ||||||
Park River Holdings, Inc.† | 6.75% | 8/1/2029 | 2,676,000 | 2,294,164 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 4.75% | 2/15/2028 | 12,558,000 | 11,786,247 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 7.75% | 2/15/2029 | 4,845,000 | 4,791,568 | ||||||||
Punch Finance PLC† | 6.125% | 6/30/2026 | GBP | 3,251,000 | 3,978,285 | |||||||
Raising Cane’s Restaurants LLC† | 9.375% | 5/1/2029 | $ | 4,216,000 | 4,496,208 | |||||||
Sally Holdings LLC/Sally Capital, Inc. | 6.75% | 3/1/2032 | 5,918,000 | 5,904,982 | ||||||||
SRS Distribution, Inc.† | 6.00% | 12/1/2029 | 5,109,000 | 4,760,949 | ||||||||
Staples, Inc.† | 7.50% | 4/15/2026 | 4,351,000 | 4,187,466 | ||||||||
Staples, Inc.† | 10.75% | 4/15/2027 | 3,248,000 | 2,975,785 | ||||||||
Stonegate Pub Co. Financing 2019 PLC | 8.25% | 7/31/2025 | GBP | 4,833,000 | 5,979,802 | |||||||
Victoria’s Secret & Co.† | 4.625% | 7/15/2029 | $ | 4,743,000 | 4,006,517 | |||||||
White Cap Buyer LLC† | 6.875% | 10/15/2028 | 4,333,000 | 4,228,593 | ||||||||
Total | 179,722,752 | |||||||||||
Savings & Loans 0.07% | ||||||||||||
New York Community Bancorp, Inc. | 8.332% (3 mo. USD Term SOFR + 3.04%) | # | 11/6/2028 | 3,087,000 | 2,581,506 | |||||||
Washington Mutual Bank/Debt not acquired by JPMorgan(f) | 6.875% | 6/15/2011 | 10,000,000 | – | (a)(h) | |||||||
Total | 2,581,506 | |||||||||||
Semiconductors 0.33% | ||||||||||||
Entegris, Inc.† | 3.625% | 5/1/2029 | 4,512,000 | 3,997,248 | ||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | 3,792,000 | 3,471,159 | ||||||||
Synaptics, Inc.† | 4.00% | 6/15/2029 | 5,747,000 | 5,153,680 | ||||||||
Total | 12,622,087 | |||||||||||
Software 2.22% | ||||||||||||
AthenaHealth Group, Inc.† | 6.50% | 2/15/2030 | 4,238,000 | 3,798,357 | ||||||||
Capstone Borrower, Inc.† | 8.00% | 6/15/2030 | 7,953,000 | 8,227,458 | ||||||||
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.† | 8.00% | 6/15/2029 | 3,637,000 | 3,731,039 | ||||||||
Cloud Software Group, Inc.† | 6.50% | 3/31/2029 | 19,249,000 | 17,937,816 | ||||||||
Cloud Software Group, Inc.† | 9.00% | 9/30/2029 | 17,576,000 | 16,424,751 | ||||||||
Elastic NV† | 4.125% | 7/15/2029 | 6,382,000 | 5,737,655 | ||||||||
Fair Isaac Corp.† | 4.00% | 6/15/2028 | 3,692,000 | 3,433,300 | ||||||||
RingCentral, Inc.† | 8.50% | 8/15/2030 | 4,080,000 | 4,221,474 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 5,791,000 | 5,076,188 | ||||||||
Rocket Software, Inc.† | 6.50% | 2/15/2029 | 5,175,000 | 4,385,813 |
See Notes to Schedule of Investments. | 125 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Software (continued) | ||||||||||||
Twilio, Inc. | 3.625% | 3/15/2029 | $ | 6,492,000 | $ | 5,785,867 | ||||||
Veritas U.S., Inc./Veritas Bermuda Ltd.† | 7.50% | 9/1/2025 | 6,550,000 | 6,014,333 | ||||||||
Total | 84,774,051 | |||||||||||
Telecommunications 2.93% | ||||||||||||
Altice France SA (France)†(b) | 5.125% | 7/15/2029 | 24,510,000 | 18,538,503 | ||||||||
Altice France SA (France)†(b) | 8.125% | 2/1/2027 | 10,373,000 | 9,542,793 | ||||||||
Frontier Communications Holdings LLC† | 5.875% | 10/15/2027 | 12,943,000 | 12,519,781 | ||||||||
Frontier Communications Holdings LLC† | 6.00% | 1/15/2030 | 24,916,000 | 21,331,442 | ||||||||
Frontier Communications Holdings LLC† | 6.75% | 5/1/2029 | 2,028,000 | 1,823,137 | ||||||||
Frontier Communications Holdings LLC† | 8.75% | 5/15/2030 | 5,000,000 | 5,104,977 | ||||||||
Hughes Satellite Systems Corp. | 6.625% | 8/1/2026 | 7,626,000 | 5,033,160 | ||||||||
Iliad Holding SASU (France)†(b) | 7.00% | 10/15/2028 | 7,271,000 | 7,199,971 | ||||||||
Lumen Technologies, Inc.† | 4.00% | 2/15/2027 | 9,417,000 | 6,355,251 | ||||||||
VF Ukraine PAT via VFU Funding PLC (Ukraine)†(b) | 6.20% | 2/11/2025 | 9,567,000 | 8,251,537 | ||||||||
Viasat, Inc.† | 5.625% | 9/15/2025 | 5,807,000 | 5,641,704 | ||||||||
Viasat, Inc.† | 7.50% | 5/30/2031 | 8,112,000 | 5,708,820 | ||||||||
Vmed O2 U.K. Financing I PLC (United Kingdom)†(b) | 4.75% | 7/15/2031 | 5,806,000 | 5,026,805 | ||||||||
Total | 112,077,881 | |||||||||||
Transportation 0.83% | ||||||||||||
Carriage Purchaser, Inc.† | 7.875% | 10/15/2029 | 7,605,000 | 6,587,717 | ||||||||
GN Bondco LLC† | 9.50% | 10/15/2031 | 4,565,000 | 4,526,951 | ||||||||
Rand Parent LLC† | 8.50% | 2/15/2030 | 6,822,000 | 6,634,887 | ||||||||
Seaspan Corp. (Hong Kong)†(b) | 5.50% | 8/1/2029 | 7,915,000 | 6,758,302 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.50% | 6/15/2027 | 4,033,000 | 3,924,619 | ||||||||
XPO, Inc.† | 7.125% | 2/1/2032 | 3,435,000 | 3,495,071 | ||||||||
Total | 31,927,547 | |||||||||||
Trucking & Leasing 0.60% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 16,116,000 | 15,453,008 | ||||||||
Fortress Transportation & Infrastructure Investors LLC† | 7.875% | 12/1/2030 | 7,148,000 | 7,500,768 | ||||||||
Total | 22,953,776 | |||||||||||
Total Corporate Bonds (cost $3,442,830,412) | 3,437,892,042 |
126 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
FLOATING RATE LOANS(i) 7.72% | ||||||||||||
Aerospace 0.24% | ||||||||||||
Arcline FM Holdings LLC 2021 1st Lien Term Loan | 10.36% (3 mo. USD Term SOFR + 4.75%) | 6/23/2028 | $ | 4,750,468 | $ | 4,760,277 | ||||||
Atlas CC Acquisition Corp. Term Loan B | 9.855% (3 mo. USD Term SOFR + 4.25%) | 5/25/2028 | 652,620 | 585,524 | ||||||||
Atlas CC Acquisition Corp. Term Loan C | 9.855% (3 mo. USD Term SOFR + 4.00%) | 5/25/2028 | 132,736 | 119,090 | ||||||||
Peraton Corp. 2nd Lien Term Loan B1 | 13.176% (3 mo. USD Term SOFR + 7.75%) | 2/1/2029 | 3,877,000 | 3,885,878 | ||||||||
Total | 9,350,769 | |||||||||||
Aerospace/Defense 0.21% | ||||||||||||
Alloy Finco Ltd. USD Holdco PIK Term Loan 13.50% (Jersey)(b) | 0.50% | 3/6/2025 | 9,230,526 | 7,938,253 | ||||||||
Auto Parts & Equipment 0.04% | ||||||||||||
RealTruck Group, Inc. 2023 Incremental Term Loan | 10.441% (1 mo. USD Term SOFR + 5.00%) | 1/31/2028 | 1,359,000 | 1,355,602 | ||||||||
Automotive 0.10% | ||||||||||||
DexKo Global, Inc. 2021 USD Term Loan B | 9.36% (3 mo. USD Term SOFR + 3.75%) | 10/4/2028 | 3,918,896 | 3,908,981 | ||||||||
Banks 0.21% | ||||||||||||
AqGen Island Holdings, Inc. Term Loan | 8.941% (1 mo. USD Term SOFR + 3.50%) | 8/2/2028 | 7,907,000 | 7,865,488 | ||||||||
Beverages 0.26% | ||||||||||||
Triton Water Holdings, Inc. 2024 Incremental Term Loan B | – | (j) | 3/31/2028 | 6,069,000 | 5,977,965 | (k) | ||||||
Triton Water Holdings, Inc. Term Loan | – | (j) | 3/31/2028 | 3,908,000 | 3,846,937 | |||||||
Total | 9,824,902 | |||||||||||
Building & Construction 0.12% | ||||||||||||
USIC Holdings, Inc. 2021 2nd Lien Term Loan | 12.11% (3 mo. USD Term SOFR + 6.50%) | 5/14/2029 | 4,759,905 | 4,704,381 |
See Notes to Schedule of Investments. | 127 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Chemicals 0.26% | ||||||||||||
Lonza Group AG USD Term Loan B (Luxembourg)(b) | 9.373% (3 mo. USD Term SOFR + 3.93%) | 7/3/2028 | $ | 3,881,603 | $ | 3,645,950 | ||||||
Plaskolite LLC 2021 Term Loan | 9.441% (1 mo. USD Term SOFR + 4.00%) | 12/15/2025 | 6,442,015 | 6,311,854 | ||||||||
Total | 9,957,804 | |||||||||||
Commercial Services 0.40% | ||||||||||||
CoreLogic, Inc. 2nd Lien Term Loan | 11.941% (1 mo. USD Term SOFR + 6.50%) | 6/4/2029 | 1,720,000 | 1,566,284 | ||||||||
CoreLogic, Inc. Term Loan | 8.941% (1 mo. USD Term SOFR + 3.50%) | 6/2/2028 | 2,742,985 | 2,678,058 | ||||||||
PG Investment Co. 59 SARL Term Loan B (Luxembourg)(b) | – | (j) | 2/24/2031 | 5,984,397 | 5,996,874 | |||||||
Spin Holdco, Inc. 2021 Term Loan | 9.625% (3 mo. USD Term SOFR + 4.00%) | 3/4/2028 | 5,688,988 | 5,190,178 | ||||||||
Total | 15,431,394 | |||||||||||
Consumer Non-Durables 0.09% | ||||||||||||
Anastasia Parent LLC 2018 Term Loan B | 9.36% (3 mo. USD Term SOFR + 3.75%) | 8/11/2025 | 4,557,048 | 3,328,673 | ||||||||
Containers & Packaging 0.11% | ||||||||||||
Iris Holding, Inc. Term Loan | 10.163% (3 mo. USD Term SOFR + 4.75%) | 6/28/2028 | 4,327,089 | 4,103,530 | ||||||||
Diversified Capital Goods 0.33% | ||||||||||||
Grinding Media, Inc. 2021 Term Loan B | 9.591% (3 mo. USD Term SOFR + 4.00%) | 10/12/2028 | 7,258,495 | 7,222,203 | ||||||||
Tank Holding Corp. 2022 Term Loan | 11.176% (1 mo. USD Term SOFR + 5.75%) | 3/31/2028 | 5,277,433 | 5,237,852 | ||||||||
Total | 12,460,055 | |||||||||||
Diversified Financial Services 0.10% | ||||||||||||
Advisor Group, Inc. 2024 Fungible Term Loan | – | (j) | 8/16/2028 | 4,004,167 | 4,009,433 | |||||||
Electric 0.15% | ||||||||||||
Helix Gen Funding LLC 2023 Term Loan | 10.098% (3 mo. USD Term SOFR + 4.75%) | 12/31/2027 | 5,863,704 | 5,889,915 | ||||||||
Electric: Generation 0.05% | ||||||||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 7.11% (3 mo. USD Term SOFR + 1.50%) | 7/28/2028 | 1,196,824 | 628,333 |
128 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electric: Generation (continued) | ||||||||||||
Frontera Generation Holdings LLC 2021 Term Loan | 18.61% (3 mo. USD Term SOFR + 13.00%) | 7/28/2026 | $ | 1,233,060 | $ | 1,381,027 | ||||||
Total | 2,009,360 | |||||||||||
Electric: Integrated 0.17% | ||||||||||||
Compass Power Generation LLC 2022 Term Loan B2 | 9.69% (1 mo. USD Term SOFR + 4.25%) | 4/14/2029 | 6,375,941 | 6,424,654 | ||||||||
Engineering & Construction 0.25% | ||||||||||||
Service Logic Acquisition, Inc. Term Loan | 9.441% - 9.57% (1 mo. USD Term SOFR + 4.00%) (3 mo. USD Term SOFR + 4.00%) | 10/29/2027 | 9,706,957 | 9,713,024 | ||||||||
Environmental Control 0.10% | ||||||||||||
Heritage-Crystal Clean, Inc. Term Loan B | 10.317% (3 mo. USD Term SOFR + 5.00%) | 10/17/2030 | 3,696,000 | 3,716,217 | ||||||||
Financial 0.20% | ||||||||||||
Asurion LLC 2021 Second Lien Term Loan B4 | 10.691% (1 mo. USD Term SOFR + 5.25%) | 1/20/2029 | 4,090,000 | 3,868,567 | ||||||||
Hudson River Trading LLC 2021 Term Loan | – | (j) | 3/20/2028 | 3,886,000 | 3,867,192 | |||||||
Total | 7,735,759 | |||||||||||
Food 0.10% | ||||||||||||
Chobani LLC 2023 Incremental Term Loan | 9.068% (1 mo. USD Term SOFR + 3.75%) | 10/25/2027 | 3,837,000 | 3,848,396 | ||||||||
Gaming/Leisure 0.22% | ||||||||||||
City Football Group Ltd. Term Loan (United Kingdom)(b) | 8.435% (1 mo. USD Term SOFR + 3.00%) | 7/21/2028 | 8,410,556 | 8,400,085 | ||||||||
Health Care Services 0.30% | ||||||||||||
ADMI Corp. 2021 Term Loan B2 | – | (j) | 12/23/2027 | 4,150,000 | 3,979,539 | |||||||
National Mentor Holdings, Inc. 2021 Term Loan | 9.176% - 9.20% (1 mo. USD Term SOFR + 3.75%) (3 mo. USD Term SOFR + 3.75%) | 3/2/2028 | 4,477,786 | 4,190,469 | ||||||||
National Mentor Holdings, Inc. 2021 Term Loan C | 9.198% (3 mo. USD Term SOFR + 3.75%) | 3/2/2028 | 128,400 | 120,161 |
See Notes to Schedule of Investments. | 129 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
Wellpath Holdings, Inc. 2018 1st Lien Term Loan | 11.11% – 11.32% (3 mo. USD Term SOFR + 5.50%) | 10/1/2025 | $ | 3,980,535 | $ | 3,174,476 | ||||||
Total | 11,464,645 | |||||||||||
Healthcare 0.62% | ||||||||||||
Athenahealth Group, Inc. 2022 Term Loan B | 8.576% (1 mo. USD Term SOFR + 3.25%) | 2/15/2029 | 3,913,000 | 3,889,150 | ||||||||
Dermatology Intermediate Holdings III, Inc. 2022 Term Loan B | 9.563% (3 mo. USD Term SOFR + 4.25%) | 3/30/2029 | 4,028,000 | 3,941,902 | ||||||||
Emerald TopCo, Inc. Term Loan | – | (j) | 7/24/2026 | 5,899,000 | 5,863,989 | |||||||
eResearchTechnology, Inc. 2020 1st Lien Term Loan | – | (j) | 2/4/2027 | 2,002,667 | 2,007,553 | |||||||
MedAssets Software Intermediate Holdings, Inc. 2021 Term Loan | 9.441% (1 mo. USD Term SOFR + 4.00%) | 12/18/2028 | 5,000,000 | 4,203,150 | ||||||||
Physician Partners LLC Term Loan | – | (j) | 12/26/2028 | 4,078,000 | 3,631,969 | |||||||
Total | 23,537,713 | |||||||||||
Home Furnishings 0.12% | ||||||||||||
TGP Holdings III LLC 2021 Term Loan | 8.676% (1 mo. USD Term SOFR + 3.25%) | 6/29/2028 | 4,901,249 | 4,581,149 | ||||||||
Housing 0.15% | ||||||||||||
Solis IV BV USD Term Loan B1 (Netherlands)(b) | 8.824% (3 mo. USD Term SOFR + 3.50%) | 2/26/2029 | 5,899,000 | 5,843,107 | ||||||||
Insurance 0.11% | ||||||||||||
Amynta Agency Borrower, Inc. 2023 1st Lien Term Loan B | 9.576% (1 mo. USD Term SOFR + 4.25%) | 2/28/2028 | 4,187,790 | 4,195,642 | ||||||||
Integrated Energy 0.12% | ||||||||||||
Esdec Solar Group BV Term Loan B (Netherlands)(b) | 10.36% (3 mo. USD Term SOFR + 4.75%) | 8/30/2028 | 4,730,284 | 4,505,595 | ||||||||
Investment Management Companies 0.08% | ||||||||||||
Aragorn Parent Corp. Term Loan | 9.571% (1 mo. USD Term SOFR + 4.25%) | 6/15/2028 | 3,042,000 | 3,050,244 |
130 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Leisure Time 0.05% | ||||||||||||
Hurtigruten ASA 2024 EUR OpCo Exit Term Loan | 11.932% (3 mo. EURIBOR + 8.00%) | 6/30/2027 | EUR | 1,528,866 | $ | 1,724,178 | ||||||
Machinery: Diversified 0.10% | ||||||||||||
CPM Holdings, Inc. 2023 Term Loan | 9.828% (1 mo. USD Term SOFR + 4.50%) | 9/28/2028 | $ | 3,896,000 | 3,903,305 | |||||||
Media 0.17% | ||||||||||||
Sinclair Television Group, Inc. 2021 Term Loan B3 | – | (j) | 4/1/2028 | 7,668,212 | 6,473,888 | |||||||
Sinclair Television Group, Inc. 2022 Term Loan B4 | 9.176% (1 mo. USD Term SOFR + 3.75%) | 4/21/2029 | 235,939 | 200,165 | ||||||||
Total | 6,674,053 | |||||||||||
Metal Fabricate/Hardware 0.08% | ||||||||||||
Crosby U.S. Acquisition Corp. 2024 Term Loan B | 9.307% (3 mo. USD Term SOFR + 4.00%) | 8/12/2029 | 3,065,255 | 3,081,869 | ||||||||
Miscellaneous Manufacture 0.17% | ||||||||||||
Touchdown Acquirer, Inc. Delayed Draw Term Loan(l) | – | (j) | 2/7/2031 | 1,041,912 | 1,043,865 | |||||||
Touchdown Acquirer, Inc. USD Term Loan | – | (j) | 2/7/2031 | 5,389,108 | 5,399,213 | |||||||
Total | 6,443,078 | |||||||||||
Oil & Gas 0.36% | ||||||||||||
Parkway Generation LLC Term Loan B | 10.324% (3 mo. USD Term SOFR + 4.75%) | 2/18/2029 | 6,770,195 | 6,737,191 | ||||||||
Parkway Generation LLC Term Loan C | 10.324% (3 mo. USD Term SOFR + 4.75%) | 2/18/2029 | 918,123 | 913,647 | ||||||||
Waterbridge Midstream Operating LLC Term Loan B | 11.336% (3 mo. USD Term SOFR + 5.75%) | 6/22/2026 | 5,975,919 | 5,983,867 | ||||||||
Total | 13,634,705 | |||||||||||
Personal & Household Products 0.00% | ||||||||||||
FGI Operating Co. LLC Exit Term Loan | – | (j) | 5/16/2024 | 633,376 | 79,489 | (m) | ||||||
Pipelines 0.15% | ||||||||||||
Epic Y-Grade Services LP 2020 Term Loan | – | (j) | 6/30/2027 | 5,845,000 | 5,825,507 |
See Notes to Schedule of Investments. | 131 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Retail 0.31% | ||||||||||||
Fogo De Chao, Inc. 2023 Term Loan B | 10.076% (1 mo. USD Term SOFR + 4.75%) | 9/30/2030 | $ | 4,957,000 | $ | 4,917,121 | ||||||
Park River Holdings, Inc. Term Loan | 8.843% (3 mo. USD Term SOFR + 3.25%) | 12/28/2027 | 4,028,000 | 3,928,126 | ||||||||
Staples, Inc. 7 Year Term Loan | 10.443% (1 mo. USD LIBOR + 5.00%) | 4/16/2026 | 2,992,147 | 2,926,903 | ||||||||
Total | 11,772,150 | |||||||||||
Service 0.17% | ||||||||||||
Red Planet Borrower LLC Term Loan B | 9.176% (1 mo. USD Term SOFR + 3.75%) | 10/2/2028 | 6,664,824 | 6,524,596 | ||||||||
Software 0.52% | ||||||||||||
Applied Systems, Inc. 2024 2nd Lien Term Loan | – | (j) | 2/6/2032 | 1,552,532 | 1,593,286 | |||||||
Genesys Cloud Services Holdings II LLC Term Loan B | 9.191% (1 mo. USD Term SOFR + 3.75%) | 12/1/2027 | 2,815,236 | 2,827,553 | ||||||||
Isolved, Inc. Term Loan B | 9.484% (3 mo. USD Term SOFR + 4.00%) | 10/14/2030 | 5,839,000 | 5,866,385 | ||||||||
Project Alpha Intermediate Holding, Inc. 2023 1st Lien Term Loan B | 10.063% (3 mo. USD Term SOFR + 4.75%) | 10/28/2030 | 4,980,000 | 5,000,045 | ||||||||
Sophia LP 2024 Term Loan B | – | (j) | 10/7/2029 | 4,690,455 | 4,694,488 | |||||||
Total | 19,981,757 | |||||||||||
Software/Services 0.10% | ||||||||||||
Proofpoint, Inc. 1st Lien Term Loan | – | (j) | 8/31/2028 | 3,884,000 | 3,882,388 | |||||||
Telecommunications 0.21% | ||||||||||||
CenturyLink, Inc. 2020 Term Loan B | 7.691% (1 mo. USD Term SOFR + 2.25%) | 3/15/2027 | 5,995,618 | 4,399,284 | ||||||||
Michaels Cos., Inc. 2021 Term Loan B | 9.86% (3 mo. USD Term SOFR + 4.25%) | 4/15/2028 | 4,418,342 | 3,636,627 | ||||||||
Total | 8,035,911 | |||||||||||
Transportation 0.12% | ||||||||||||
Hurtigruten ASA 2024 EUR Holdco Term Loan | 12.388% (6 mo. EURIBOR + 8.50%) | 2/26/2029 | EUR | 4,812,083 | 2,089,018 | |||||||
Hurtigruten ASA 2024 EUR Term Loan B | 10.911% (6 mo. EURIBOR + 7.00%) | 9/30/2027 | EUR | 2,519,369 | 2,582,252 | |||||||
Total | 4,671,270 | |||||||||||
Total Floating Rate Loans (cost $296,775,099) | 295,389,026 |
132 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS(b) 0.15% | ||||||||||||
Sri Lanka | ||||||||||||
Sri Lanka Government International Bonds†(f) (cost $9,711,572) | 5.875% | 7/25/2022 | $ | 10,289,000 | $ | 5,654,803 | ||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.00% | ||||||||||||
Merrill Lynch Mortgage Trust Series 2006-C1(c)(cost $0) | Zero Coupon | 2/29/2024 | 10,500,000 | – | (a) | |||||||
Dividend Rate |
Shares‡ | |||||||||||
PREFERRED STOCKS 0.17% | ||||||||||||
Transportation Infrastructure | ||||||||||||
ACBL Holdings Corp.* (cost $2,550,350) | Zero Coupon | 102,014 | 6,630,910 | |||||||||
Exercise Price |
Expiration Date |
|||||||||||
WARRANTS 0.00% | ||||||||||||
Machinery 0.00% | ||||||||||||
TNT Crane & Rigging, Inc. | ||||||||||||
$4.00 | 10/16/2025 | 26,319 | 19,739 | (n) | ||||||||
Specialty Retail 0.00% | ||||||||||||
Chinos Intermediate Holdings A, Inc. | 3.50 | 12/31/2099 | 56,246 | 145,284 | ||||||||
Total Warrants (cost $302,137) | 165,023 | |||||||||||
Total Long-Term Investments (cost $3,837,462,904) | 3,824,060,241 | |||||||||||
SHORT-TERM INVESTMENTS 0.06% | Principal Amount‡ | |||||||||||
REPURCHASE AGREEMENTS 0.06% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 2.800%% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $2,252,200 of U.S. Treasury Note at 4.625% due 2/28/2026; value: $2,250,968; proceeds: $2,206,992 (cost $2,206,820) | $2,206,820 | 2,206,820 | ||||||||||
Total Investments in Securities 99.97% (cost $3,839,669,724) | 3,826,267,061 | |||||||||||
Less Unfunded Loan Commitments (0.03%) (cost $1,041,912) | (1,043,865 | ) | ||||||||||
Net Investments in Securities 99.94% (cost $3,838,627,812) | 3,825,223,196 | |||||||||||
Other Assets and Liabilities – Net(p)0.06% | 2,009,137 | |||||||||||
Net Assets 100.00% | $ | 3,827,232,333 |
See Notes to Schedule of Investments. | 133 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
EUR | Euro. | |
GBP | British Pound. | |
CMT | Constant Maturity Rate. | |
EURIBOR | Euro Interbank Offered Rate. | |
ICE | Intercontinental Exchange. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight Financing Rate. | |
‡ | Principal/Shares Amount are denominated in U.S dollars unless otherwise noted. | |
* | 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 February 29, 2024, the total value of Rule 144A securities was $2,920,879,963, which represents 76.32% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Level 3 Investment as described in Note 2(b) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Security has been deemed worthless. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Securities purchased on a when-issued basis. | |
(f) | Defaulted (non-income producing security). | |
(g) | Security has been fully or partially segregated for open reverse repurchase agreements as of February 29, 2024. | |
(h) | Amount is less than $1. | |
(i) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(j) | Interest Rate to be determined. | |
(k) | Level 3 Investment as described in Note 2(b) 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. | |
(l) | Security partially/fully unfunded. | |
(m) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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. | |
(n) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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. | |
(o) | Investment in non-U.S. dollar denominated securities. | |
(p) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts and futures contracts as follows: |
134 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
Forward Foreign Currency Exchange Contracts at February 29, 2024:
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 | 5/22/2024 | 70,409,000 | $ | 76,353,041 | $ | 76,343,181 | $ | 9,860 | |||||||||||
Euro | Sell | Morgan Stanley | 5/22/2024 | 715,000 | 775,740 | 775,261 | 479 | ||||||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 10,339 |
Forward Foreign Currency Exchange Contracts |
Transaction Type |
Counterparty | Expiration Date |
Foreign Currency |
U.S. $ Cost on Origination Date |
U.S. $ Current Value |
Unrealized Depreciation |
||||||||||||||
British pound | Buy | Toronto Dominion Bank | 5/17/2024 | 237,000 | $ | 299,308 | $ | 299,292 | $ | (16 | ) | ||||||||||
Euro | Buy | Morgan Stanley | 5/22/2024 | 1,111,000 | 1,204,732 | 1,204,637 | (95 | ) | |||||||||||||
British pound | Sell | Morgan Stanley | 5/17/2024 | 33,900,000 | 42,793,716 | 42,810,124 | (16,408 | ) | |||||||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (16,519 | ) |
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation |
|||||||||
U.S. 10-Year Treasury Note | June 2024 | 1,629 | Long | $179,942,854 | $179,902,688 | $ | (40,166 | ) | |||||||
U.S. 10-Year Ultra Treasury Note | June 2024 | 176 | Short | (20,067,329 | ) | (20,094,250 | ) | (26,921 | ) | ||||||
U.S. 2-Year Treasury Note | June 2024 | 2,673 | Long | 547,324,610 | 547,296,750 | (27,860 | ) | ||||||||
U.S. 5-Year Treasury Note | June 2024 | 2,583 | Short | (275,946,868 | ) | (276,138,844 | ) | (191,976 | ) | ||||||
U.S. Long Bonds | June 2024 | 110 | Short | (12,977,326 | ) | (13,117,500 | ) | (140,174 | ) | ||||||
U.S. Ultra Treasury Bond | June 2024 | 85 | Short | (10,706,401 | ) | (10,869,375 | ) | (162,974 | ) | ||||||
Total Unrealized Depreciation on Futures Contracts | $ | (590,071 | ) |
Reverse Repurchase Agreement Payables as of February 29, 2024
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date | Fair Value(2) | ||||||||||
Barclays Bank PLC | $ | 2,271,324 | $2,205,000 principal, Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc at 10.75% due 6/1/2028, $2,269,000 fair value | (7.500% | ) | 2/27/2024 | 6/1/2028 | $ | 2,269,904 |
(1) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(2) | Total fair value of reverse repurchase agreement is presented net of interest receivable of $1,420. |
See Notes to Schedule of Investments. | 135 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | ||||||||||||||||
Automobile Components | $ | – | $ | 1,979,735 | $ | – | $ | 1,979,735 | ||||||||
Electric-Generation | – | 4,819 | – | 4,819 | ||||||||||||
Machinery | 4,280,951 | 37,577 | – | 4,318,528 | ||||||||||||
Miscellaneous Financials | – | 2,912,116 | – | 2,912,116 | ||||||||||||
Personal Care Products | – | 6,669,418 | – | (3) | 6,669,418 | |||||||||||
Specialty Retail | – | 2,525,678 | – | 2,525,678 | ||||||||||||
Transportation Infrastructure | – | 977,988 | 1 | 977,989 | ||||||||||||
Remaining Industries | 27,733,819 | – | – | 27,733,819 | ||||||||||||
Convertible Bonds | – | 31,206,335 | – | 31,206,335 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Mining | – | 101,980,803 | – | (3) | 101,980,803 | |||||||||||
Retail | – | 179,722,752 | – | (4) | 179,722,752 | |||||||||||
Savings & Loans | – | 2,581,506 | – | (4) | 2,581,506 | |||||||||||
Remaining Industries | 3,153,606,981 | – | 3,153,606,981 | |||||||||||||
Floating Rate Loans | ||||||||||||||||
Beverages | – | 3,846,937 | 5,977,965 | 9,824,902 | ||||||||||||
Personal & Household Products | – | – | 79,489 | 79,489 | ||||||||||||
Remaining Industries | – | 285,484,635 | – | 285,484,635 | ||||||||||||
Less Unfunded Commitments | – | (1,043,865 | ) | – | (1,043,865 | ) | ||||||||||
Foreign Government Obligations | – | 5,654,803 | – | 5,654,803 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | – | – | – | ||||||||||||
Preferred Stocks | – | 6,630,910 | – | 6,630,910 | ||||||||||||
Warrants | – | 145,284 | 19,739 | 165,023 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 2,206,820 | – | 2,206,820 | ||||||||||||
Total | $ | 32,014,770 | $ | 3,787,131,232 | $ | 6,077,194 | $ | 3,825,223,196 |
136 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
HIGH YIELD FUND February 29, 2024
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 10,339 | $ | – | $ | 10,339 | ||||||||
Liabilities | – | (16,519 | ) | – | (16,519 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | (590,071 | ) | – | – | (590,071 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (2,269,904 | ) | – | (2,269,904 | ) | ||||||||||
Total | $ | (590,071 | ) | $ | (2,276,084 | ) | $ | – | $ | (2,866,155 | ) |
(1) | Refer to Note 2(b) 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 fair value. | |
(4) | Amount is 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 Schedule of Investments. | 137 |
Schedule of Investments (unaudited)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
LONG-TERM INVESTMENTS 103.78% | ||||||||||||
ASSET-BACKED SECURITIES 5.77% | ||||||||||||
Automobiles 0.81% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2021-1A Class D† | 3.71% | 8/20/2027 | $ | 12,750,000 | $ | 11,558,694 | ||||||
Carvana Auto Receivables Trust Series 2019-4A Class E† | 4.70% | 10/15/2026 | 6,535,053 | 6,498,588 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class D† | 3.98% | 12/26/2025 | 5,000,000 | 4,885,913 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class F† | 7.03% | 8/15/2028 | 8,452,000 | 8,458,197 | ||||||||
Santander Consumer Auto Receivables Trust Series 2021-AA Class F† | 5.79% | 8/15/2028 | 3,100,000 | 2,969,525 | ||||||||
Total | 34,370,917 | |||||||||||
Other 4.70% | ||||||||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 5,205,000 | 5,283,202 | ||||||||
Affirm Asset Securitization Trust Series 2024-A Class A† | 5.61% | 2/15/2029 | 3,180,000 | 3,176,381 | ||||||||
Avant Loans Funding Trust Series 2021-REV1 Class D† | 4.30% | 7/15/2030 | 7,135,000 | 6,633,849 | ||||||||
Barings Loan Partners CLO Ltd. Series LP-3A Class BR† | 7.418% (3 mo. USD Term SOFR + 2.10%) | # | 7/20/2033 | 7,430,000 | 7,452,717 | |||||||
Benefit Street Partners CLO XVIII Ltd. Series 2019-18A Class BR† | 7.276% (3 mo. USD Term SOFR + 1.96%) | # | 10/15/2034 | 11,830,000 | 11,870,623 | |||||||
Carlyle U.S. CLO Ltd. Series 2019-2A Class A2R† | 7.226% (3 mo. USD Term SOFR + 1.91%) | # | 7/15/2032 | 6,375,000 | 6,396,259 | |||||||
Carlyle U.S. CLO Ltd. Series 2024-1A Class B†(a) | 5.72% (3 mo. USD Term SOFR + 2.00%) | # | 4/15/2037 | 8,450,000 | 8,441,991 | |||||||
CIFC Funding Ltd. Series 2021-4A Class A† | 6.626% (3 mo. USD Term SOFR + 1.31%) | # | 7/15/2033 | 7,000,000 | 7,005,600 | |||||||
CIFC Funding Ltd. Series 2023-3A Class B† | 7.616% (3 mo. USD Term SOFR + 2.30%) | # | 1/20/2037 | 11,370,000 | 11,414,006 | |||||||
Dryden 107 CLO Ltd. Series 2023-107A Class C† | 8.307% (3 mo. USD Term SOFR + 3.00%) | # | 8/15/2035 | 5,250,000 | 5,290,389 |
138 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Dryden 38 Senior Loan Fund Series 2015-38A Class BRR†(a) | 6.07% (3 mo. USD Term SOFR + 1.80%) | # | 7/15/2030 | $ | 12,650,000 | $ | 12,650,000 | |||||
Fairstone Financial Issuance Trust Series I 2020-1A Class C† | 5.162% | 10/20/2039 | CAD | 15,535,000 | 10,647,925 | |||||||
Galaxy XXI CLO Ltd. Series 2015-21A Class AR† | 6.599% (3 mo. USD Term SOFR + 1.28%) | # | 4/20/2031 | $ | 859,630 | 859,286 | ||||||
Generate CLO 14 Ltd. Series 2024-14A Class C†(a) | 6.21% (3 mo. USD Term SOFR + 2.50%) | # | 4/22/2037 | 6,590,000 | 6,590,000 | |||||||
Gracie Point International Funding Series 2023-1A Class A† | 7.308% (90 day USD SOFR Average + 1.95%) | # | 9/1/2026 | 6,069,702 | 6,100,350 | |||||||
GREYWOLF CLO VII Ltd. Series 2018-2A Class A2† | 7.478% (3 mo. USD Term SOFR + 2.16%) | # | 10/20/2031 | 8,170,000 | 8,207,748 | |||||||
Madison Park Funding XIV Ltd. Series 2014-14A Class BR3† | 7.117% (3 mo. USD Term SOFR + 1.80%) | # | 10/22/2030 | 4,540,000 | 4,539,993 | |||||||
Madison Park Funding XVII Ltd. Series 2015-17A Class BR2† | 7.079% (3 mo. USD Term SOFR + 1.76%) | # | 7/21/2030 | 10,000,000 | 10,034,508 | |||||||
Marble Point CLO XVII Ltd. Series 2020-1A Class A† | 6.879% (3 mo. USD Term SOFR + 1.56%) | # | 4/20/2033 | 4,859,946 | 4,850,712 | |||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.666% (3 mo. USD Term SOFR + 1.35%) | # | 10/16/2029 | 1,492,618 | 1,493,364 | |||||||
OCP CLO Ltd. Series 2024-31A Class B1†(a) | 5.78% (3 mo. USD Term SOFR + 2.00%) | # | 4/20/2037 | 14,400,000 | 14,400,000 | (b) | ||||||
Octagon Loan Funding Ltd. Series 2014-1A Class ARR† | 6.761% (3 mo. USD Term SOFR + 1.44%) | # | 11/18/2031 | 5,000,000 | 5,004,750 | |||||||
Rad CLO 20 Ltd. Series 2023-20A Class C† | 8.406% (3 mo. USD Term SOFR + 3.00%) | # | 7/20/2036 | 10,470,000 | 10,534,380 | |||||||
Regatta XXV Funding Ltd. Series 2023-1A Class C† | 8.364% (3 mo. USD Term SOFR + 3.05%) | # | 7/15/2036 | 10,030,000 | 10,106,642 | |||||||
Romark CLO Ltd. Series 2017-1A Class A2R† | 7.227% (3 mo. USD Term SOFR + 1.91%) | # | 10/23/2030 | 8,890,000 | 8,922,121 |
See Notes to Schedule of Investments. | 139 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | $ | 8,358,053 | $ | 7,857,571 | ||||||
Voya CLO Ltd. Series 2018-4A Class A1AR† | 6.616% (3 mo. USD Term SOFR + 1.30%) | # | 1/15/2032 | 3,950,000 | 3,959,585 | |||||||
Total | 199,723,952 | |||||||||||
Rec Vehicle Loan 0.26% | ||||||||||||
Octane Receivables Trust Series 2022-2A Class B† | 5.85% | 7/20/2028 | 11,033,000 | 10,945,997 | ||||||||
Total Asset-Backed Securities (cost $248,762,851) | 245,040,866 | |||||||||||
CORPORATE BONDS 81.59% | ||||||||||||
Aerospace/Defense 0.39% | ||||||||||||
HEICO Corp. | 5.35% | 8/1/2033 | 4,779,000 | 4,758,119 | ||||||||
L3Harris Technologies, Inc. | 5.60% | 7/31/2053 | 7,182,000 | 7,248,430 | ||||||||
RTX Corp. | 6.40% | 3/15/2054 | 4,206,000 | 4,659,293 | ||||||||
Total | 16,665,842 | |||||||||||
Agriculture 2.90% | ||||||||||||
BAT Capital Corp. | 5.834% | 2/20/2031 | 3,991,000 | 3,978,828 | ||||||||
BAT Capital Corp. | 6.343% | 8/2/2030 | 7,586,000 | 7,838,343 | ||||||||
BAT Capital Corp. | 7.75% | 10/19/2032 | 39,927,000 | 44,651,191 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(c) | 6.125% | 7/27/2027 | 16,816,000 | 17,124,626 | ||||||||
JT International Financial Services BV (Netherlands)†(c) | 6.875% | 10/24/2032 | 16,000,000 | 17,709,484 | ||||||||
Philip Morris International, Inc. | 5.125% | 2/13/2031 | 4,393,000 | 4,328,387 | ||||||||
Vector Group Ltd.† | 10.50% | 11/1/2026 | 200,000 | 201,428 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 2.00% | 4/21/2026 | 5,000,000 | 4,630,069 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 3.20% | 4/21/2031 | 19,555,000 | 16,795,011 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 4.90% | 4/21/2027 | 5,846,000 | 5,725,172 | ||||||||
Total | 122,982,539 | |||||||||||
Apparel 0.64% | ||||||||||||
Tapestry, Inc. | 7.00% | 11/27/2026 | 13,187,000 | 13,550,285 | ||||||||
Tapestry, Inc. | 7.35% | 11/27/2028 | 13,100,000 | 13,712,645 | ||||||||
Total | 27,262,930 | |||||||||||
Auto Manufacturers 1.43% | ||||||||||||
Cummins, Inc. | 5.45% | 2/20/2054 | 8,466,000 | 8,519,159 | ||||||||
Ford Motor Credit Co. LLC | 3.375% | 11/13/2025 | 31,500,000 | 30,234,849 | ||||||||
General Motors Financial Co., Inc. | 5.75% | 2/8/2031 | 6,985,000 | 6,967,914 |
140 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
Hyundai Capital America† | 5.40% | 1/8/2031 | $ | 5,942,000 | $ | 5,951,928 | ||||||
Hyundai Capital America† | 6.50% | 1/16/2029 | 8,613,000 | 9,018,459 | ||||||||
Total | 60,692,309 | |||||||||||
Banks 16.11% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 3.324% (5 yr. CMT + 1.90%) | # | 3/13/2037 | 4,000,000 | 3,184,865 | |||||||
AIB Group PLC (Ireland)†(c) | 6.608% (SOFR + 2.33%) | # | 9/13/2029 | 8,000,000 | 8,305,628 | |||||||
Bank of America Corp. | 2.299% (SOFR + 1.22%) | # | 7/21/2032 | 8,014,000 | 6,488,819 | |||||||
Bank of America Corp. | 2.687% (SOFR + 1.32%) | # | 4/22/2032 | 31,002,000 | 25,974,185 | |||||||
Bank of Montreal (Canada)(a)(c) | 7.70% (5 yr. CMT + 3.45%) | # | 5/26/2084 | 12,775,000 | 12,775,000 | |||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61%) | # | 4/26/2034 | 4,989,000 | 4,863,986 | |||||||
Bank of Nova Scotia (Canada)(c) | 8.00% (5 yr. CMT + 4.02%) | # | 1/27/2084 | 10,000,000 | 10,123,070 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 9,962,000 | 9,023,422 | ||||||||
Barclays PLC (United Kingdom)(c) | 6.224% (SOFR + 2.98%) | # | 5/9/2034 | 10,000,000 | 10,129,974 | |||||||
BBVA Bancomer SA† | 8.125% (5 yr. CMT + 4.21%) | # | 1/8/2039 | 13,900,000 | 14,417,566 | |||||||
BNP Paribas SA (France)†(c) | 4.375% (5 yr. USD Swap + 1.48%) | # | 3/1/2033 | 6,844,000 | 6,432,391 | |||||||
BNP Paribas SA (France)†(c) | 5.738% (SOFR + 1.88%) | # | 2/20/2035 | 8,050,000 | 7,975,167 | |||||||
BNP Paribas SA (France)†(c) | 7.75% (5 yr. CMT + 4.90%) | # | – | (d) | 12,282,000 | 12,398,876 | ||||||
BNP Paribas SA (France)†(c) | 8.00% (5 yr. CMT + 3.73%) | # | – | (d) | 4,062,000 | 4,067,440 | ||||||
BPCE SA (France)†(c) | 3.116% (SOFR + 1.73%) | # | 10/19/2032 | 7,584,000 | 6,121,816 | |||||||
BPCE SA (France)†(c) | 6.508% (1 yr. CMT + 2.79%) | # | 1/18/2035 | 8,000,000 | 7,934,520 | |||||||
Citigroup, Inc. | 2.561% (SOFR + 1.17%) | # | 5/1/2032 | 18,611,000 | 15,328,996 | |||||||
Citigroup, Inc. | 4.91% (SOFR + 2.09%) | # | 5/24/2033 | 15,000,000 | 14,367,121 | |||||||
Citigroup, Inc. | 5.827% (SOFR + 2.06%) | # | 2/13/2035 | 10,649,000 | 10,422,539 |
See Notes to Schedule of Investments. | 141 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Citigroup, Inc. | 6.174% (SOFR + 2.66%) | # | 5/25/2034 | $ | 13,417,000 | $ | 13,524,393 | |||||
Citigroup, Inc. | 7.625% (5 yr. CMT + 3.21%) | # | – | (d) | 7,000,000 | 7,235,851 | ||||||
Citizens Bank NA | 4.119% (SOFR + 1.40%) | # | 5/23/2025 | 10,288,000 | 10,214,744 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45%) | # | 10/24/2025 | 2,947,000 | 2,930,604 | |||||||
Citizens Financial Group, Inc. | 5.841% (SOFR + 2.01%) | # | 1/23/2030 | 2,594,000 | 2,564,290 | |||||||
Danske Bank AS (Denmark)†(c) | 3.244% (3 mo. USD LIBOR + 1.59%) | # | 12/20/2025 | 7,000,000 | 6,842,182 | |||||||
Danske Bank AS (Denmark)†(c) | 3.773% (1 yr. CMT + 1.45%) | # | 3/28/2025 | 9,892,000 | 9,873,072 | |||||||
Danske Bank AS (Denmark)(c) | 7.00% (7 yr. CMT + 4.13%) | # | – | (d) | 10,000,000 | 9,881,250 | ||||||
Discover Bank | 5.974% (5 yr. USD SOFR ICE Swap Rate + 1.73%) | # | 8/9/2028 | 7,750,000 | 7,635,838 | |||||||
Goldman Sachs Group, Inc. | 2.383% (SOFR + 1.25%) | # | 7/21/2032 | 17,941,000 | 14,604,886 | |||||||
Intesa Sanpaolo SpA (Italy)†(c) | 4.198% (1 yr. CMT + 2.60%) | # | 6/1/2032 | 4,014,000 | 3,295,203 | |||||||
Intesa Sanpaolo SpA (Italy)†(c) | 6.625% | 6/20/2033 | 14,275,000 | 14,443,667 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 8.248% (1 yr. CMT + 4.40%) | # | 11/21/2033 | 7,000,000 | 7,602,777 | |||||||
JPMorgan Chase & Co. | 2.963% (SOFR + 1.26%) | # | 1/25/2033 | 12,620,000 | 10,662,388 | |||||||
JPMorgan Chase & Co. | 4.912% (SOFR + 2.08%) | # | 7/25/2033 | 32,950,000 | 31,974,577 | |||||||
KeyBank NA | 5.00% | 1/26/2033 | 7,000,000 | 6,393,913 | ||||||||
KeyBank NA | 5.674% (SOFR + 0.32%) | # | 6/14/2024 | 6,915,000 | 6,887,337 | |||||||
KeyCorp | 2.25% | 4/6/2027 | 5,150,000 | 4,602,215 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(c) | 7.50% (5 yr. USD Swap + 4.76%) | # | – | (d) | 10,000,000 | 9,993,700 | ||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85%) | # | 1/27/2034 | 3,705,000 | 3,403,510 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 3.052% (5 yr. CMT + 1.70%) | # | 3/3/2036 | 9,790,000 | 7,978,788 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 4.875% | 6/10/2025 | 1,850,000 | 1,826,797 |
142 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Macquarie Group Ltd. (Australia)†(c) | 2.691% (SOFR + 1.44%) | # | 6/23/2032 | $ | 3,724,000 | $ | 3,065,643 | |||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | 6,166,000 | 6,007,223 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 2.309% (1 yr. CMT + 0.95%) | # | 7/20/2032 | 10,000,000 | 8,198,130 | |||||||
Morgan Stanley | 2.239% (SOFR + 1.18%) | # | 7/21/2032 | 7,860,000 | 6,334,661 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.89%) | # | 1/23/2030 | 1,395,000 | 1,339,856 | |||||||
Morgan Stanley | 5.297% (SOFR + 2.62%) | # | 4/20/2037 | 5,000,000 | 4,791,924 | |||||||
Morgan Stanley | 5.424% (SOFR + 1.88%) | # | 7/21/2034 | 9,940,000 | 9,884,819 | |||||||
Morgan Stanley | 6.342% (SOFR + 2.56%) | # | 10/18/2033 | 12,965,000 | 13,745,933 | |||||||
NatWest Group PLC (United Kingdom)(c) | 3.032% (5 yr. CMT + 2.35%) | # | 11/28/2035 | 18,081,000 | 14,914,317 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.778% (1 yr. CMT + 1.50%) | # | 3/1/2035 | 15,000,000 | 14,977,307 | |||||||
NatWest Group PLC (United Kingdom)(c) | 6.016% (1 yr. CMT + 2.10%) | # | 3/2/2034 | 3,258,000 | 3,324,602 | |||||||
PNC Financial Services Group, Inc. | 5.676% (SOFR + 1.90%) | # | 1/22/2035 | 4,275,000 | 4,288,948 | |||||||
PNC Financial Services Group, Inc. | 6.875% (SOFR + 2.28%) | # | 10/20/2034 | 9,975,000 | 10,811,370 | |||||||
Santander Holdings USA, Inc. | 6.174% (SOFR + 2.50%) | # | 1/9/2030 | 10,000,000 | 9,980,726 | |||||||
State Street Corp. | 4.164% (SOFR + 1.73%) | # | 8/4/2033 | 12,195,000 | 11,285,353 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(a)(c) | 6.60% (5 yr. CMT + 2.28%) | # | – | (d) | 3,745,000 | 3,738,093 | ||||||
Texas Capital Bancshares, Inc. | 4.00% (5 yr. CMT + 3.15%) | # | 5/6/2031 | 8,000,000 | 6,840,640 | |||||||
Toronto-Dominion Bank (Canada)(c) | 4.456% | 6/8/2032 | 10,450,000 | 9,969,603 | ||||||||
Truist Financial Corp. | 5.711% (SOFR + 1.92%) | # | 1/24/2035 | 6,429,000 | 6,369,503 | |||||||
Truist Financial Corp. | 5.867% (SOFR + 2.36%) | # | 6/8/2034 | 4,561,000 | 4,562,808 |
See Notes to Schedule of Investments. | 143 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
U.S. Bancorp | 4.839% (SOFR + 1.60%) | # | 2/1/2034 | $ | 11,137,000 | $ | 10,486,135 | |||||
U.S. Bancorp | 4.967% (SOFR + 2.11%) | # | 7/22/2033 | 9,918,000 | 9,273,408 | |||||||
U.S. Bancorp | 5.678% (SOFR + 1.86%) | # | 1/23/2035 | 8,821,000 | 8,805,463 | |||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 13,800,000 | 13,765,845 | ||||||||
UBS Group AG (Switzerland)†(c) | 2.746% (1 yr. CMT + 1.10%) | # | 2/11/2033 | 7,700,000 | 6,205,287 | |||||||
UBS Group AG (Switzerland)†(c) | 3.869% (3 mo. USD LIBOR + 1.41%) | # | 1/12/2029 | 7,000,000 | 6,585,428 | |||||||
UBS Group AG (Switzerland)†(c) | 4.988% (1 yr. CMT + 2.40%) | # | 8/5/2033 | 5,000,000 | 4,768,392 | |||||||
UBS Group AG (Switzerland)†(c) | 6.373% (SOFR + 3.34%) | # | 7/15/2026 | 10,000,000 | 10,070,960 | |||||||
UBS Group AG (Switzerland)†(c) | 6.537% (SOFR + 3.92%) | # | 8/12/2033 | 11,443,000 | 11,939,044 | |||||||
UBS Group AG (Switzerland)†(c) | 7.75% (5 yr. USD SOFR ICE Swap Rate + 4.16%) | # | – | (d) | 7,500,000 | 7,520,828 | ||||||
UniCredit SpA (Italy)†(c) | 5.459% (5 yr. CMT + 4.75%) | # | 6/30/2035 | 3,270,000 | 3,024,365 | |||||||
Wells Fargo & Co. | 3.35% (SOFR + 1.50%) | # | 3/2/2033 | 15,461,000 | 13,275,476 | |||||||
Wells Fargo & Co. | 4.897% (SOFR + 2.10%) | # | 7/25/2033 | 9,955,000 | 9,521,837 | |||||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02%) | # | 4/24/2034 | 613,000 | 603,124 | |||||||
Wells Fargo & Co. | 5.574% (SOFR + 1.74%) | # | 7/25/2029 | 5,085,000 | 5,120,480 | |||||||
Wells Fargo & Co. | 6.491% (SOFR + 2.06%) | # | 10/23/2034 | 9,976,000 | 10,613,385 | |||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25%) | # | 6/15/2031 | 8,000,000 | 7,036,000 | |||||||
Westpac Banking Corp. (Australia)(c) | 2.668% (5 yr. CMT + 1.75%) | # | 11/15/2035 | 8,000,000 | 6,529,505 | |||||||
Total | 684,283,784 | |||||||||||
Beverages 0.45% | ||||||||||||
Bacardi Ltd./Bacardi-Martini BV† | 5.40% | 6/15/2033 | 14,497,000 | 14,274,563 | ||||||||
Constellation Brands, Inc. | 3.15% | 8/1/2029 | 5,163,000 | 4,687,928 | ||||||||
Total | 18,962,491 |
144 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Biotechnology 0.57% | ||||||||||||
Amgen, Inc. | 4.875% | 3/1/2053 | $ | 15,990,000 | $ | 14,359,769 | ||||||
Amgen, Inc. | 5.25% | 3/2/2033 | 9,960,000 | 9,936,211 | ||||||||
Total | 24,295,980 | |||||||||||
Building Materials 0.23% | ||||||||||||
AmeriTex HoldCo Intermediate LLC† | 10.25% | 10/15/2028 | 3,200,000 | 3,356,000 | ||||||||
Carrier Global Corp. | 5.90% | 3/15/2034 | 3,271,000 | 3,395,000 | ||||||||
Carrier Global Corp. | 6.20% | 3/15/2054 | 2,666,000 | 2,912,087 | ||||||||
Total | 9,663,087 | |||||||||||
Chemicals 0.80% | ||||||||||||
Celanese U.S. Holdings LLC | 6.35% | 11/15/2028 | 14,962,000 | 15,396,141 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 14,846,000 | 13,842,004 | ||||||||
Rain Carbon, Inc.† | 12.25% | 9/1/2029 | 4,717,000 | 4,723,509 | ||||||||
Total | 33,961,654 | |||||||||||
Coal 0.17% | ||||||||||||
Coronado Finance Pty. Ltd. (Australia)†(c) | 10.75% | 5/15/2026 | 7,000,000 | 7,258,054 | ||||||||
Commercial Services 1.17% | ||||||||||||
Ashtead Capital, Inc.† | 5.80% | 4/15/2034 | 4,091,000 | 4,054,948 | ||||||||
Gartner, Inc.† | 3.75% | 10/1/2030 | 10,000,000 | 8,859,805 | ||||||||
Global Payments, Inc. | 5.30% | 8/15/2029 | 16,461,000 | 16,250,403 | ||||||||
UL Solutions, Inc.† | 6.50% | 10/20/2028 | 14,965,000 | 15,471,537 | ||||||||
WASH Multifamily Acquisition, Inc.† | 5.75% | 4/15/2026 | 5,166,000 | 5,015,308 | ||||||||
Total | 49,652,001 | |||||||||||
Computers 0.77% | ||||||||||||
Booz Allen Hamilton, Inc.† | 3.875% | 9/1/2028 | 15,503,000 | 14,400,252 | ||||||||
Leidos Holdings, Inc. | 5.95% | 12/1/2040 | 1,325,000 | 1,269,015 | ||||||||
Leidos, Inc. | 4.375% | 5/15/2030 | 6,375,000 | 6,003,265 | ||||||||
Leidos, Inc. | 5.75% | 3/15/2033 | 3,746,000 | 3,809,744 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 6,806,000 | 7,327,710 | ||||||||
Total | 32,809,986 | |||||||||||
Diversified Financial Services 4.60% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 1.75% | 10/29/2024 | 8,000,000 | 7,785,983 | ||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 11,435,000 | 10,179,129 | ||||||||
Aircastle Ltd.† | 5.95% | 2/15/2029 | 3,075,000 | 3,039,939 | ||||||||
Aircastle Ltd.† | 6.50% | 7/18/2028 | 18,000,000 | 18,196,152 | ||||||||
American Express Co. | 5.043% (SOFR + 1.84%) | # | 5/1/2034 | 14,965,000 | 14,693,014 |
See Notes to Schedule of Investments. | 145 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Aviation Capital Group LLC† | 3.50% | 11/1/2027 | $ | 3,918,000 | $ | 3,615,592 | ||||||
Aviation Capital Group LLC† | 6.375% | 7/15/2030 | 7,317,000 | 7,466,899 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 2.75% | 2/21/2028 | 650,000 | 578,513 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 3.95% | 7/1/2024 | 12,118,000 | 12,028,549 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 16,000,000 | 15,432,961 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.75% | 3/1/2029 | 2,570,000 | 2,534,639 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 6.375% | 5/4/2028 | 7,750,000 | 7,867,118 | ||||||||
Bread Financial Holdings, Inc.† | 9.75% | 3/15/2029 | 10,833,000 | 11,094,509 | ||||||||
Capital One Financial Corp. | 6.051% (SOFR + 2.26%) | # | 2/1/2035 | 9,977,000 | 10,084,370 | |||||||
GGAM Finance Ltd. (Ireland)†(c) | 8.00% | 2/15/2027 | 3,496,000 | 3,585,485 | ||||||||
LPL Holdings, Inc.† | 4.375% | 5/15/2031 | 30,787,000 | 27,866,062 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 5,550,000 | 5,587,790 | ||||||||
Navient Corp. | 11.50% | 3/15/2031 | 7,368,000 | 8,068,823 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 7,074,000 | 6,794,199 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 3,760,000 | 3,030,616 | ||||||||
Synchrony Financial | 4.50% | 7/23/2025 | 7,578,000 | 7,409,396 | ||||||||
Synchrony Financial | 4.875% | 6/13/2025 | 8,754,000 | 8,617,253 | ||||||||
Total | 195,556,991 | |||||||||||
Electric 10.15% | ||||||||||||
AES Corp. | 2.45% | 1/15/2031 | 7,975,000 | 6,511,311 | ||||||||
Atlantica Sustainable Infrastructure PLC (United Kingdom)†(c) | 4.125% | 6/15/2028 | 10,797,000 | 9,874,583 | ||||||||
Avangrid, Inc. | 3.80% | 6/1/2029 | 5,225,000 | 4,878,599 | ||||||||
Comision Federal de Electricidad (Mexico)†(c) | 4.688% | 5/15/2029 | 25,000,000 | 23,700,190 | ||||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 9,781,000 | 10,003,983 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 5,185,000 | 5,352,042 | ||||||||
Constellation Energy Generation LLC | 6.50% | 10/1/2053 | 8,199,000 | 9,013,311 | ||||||||
Dominion Energy South Carolina, Inc. | 6.25% | 10/15/2053 | 4,920,000 | 5,447,707 | ||||||||
DTE Energy Co. | 2.95% | 3/1/2030 | 13,166,000 | 11,534,278 | ||||||||
DTE Energy Co. | 3.40% | 6/15/2029 | 4,398,000 | 4,029,415 | ||||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 6,190,000 | 5,813,717 | ||||||||
Duquesne Light Holdings, Inc.† | 2.775% | 1/7/2032 | 14,523,000 | 11,791,899 | ||||||||
Electricite de France SA (France)†(c) | 6.25% | 5/23/2033 | 20,011,000 | 20,914,963 | ||||||||
Emera, Inc. (Canada)(c) | 6.75% (3 mo. USD LIBOR + 5.44%) | # | 6/15/2076 | 8,000,000 | 7,869,117 | |||||||
Entergy Texas, Inc. | 5.80% | 9/1/2053 | 4,975,000 | 5,140,693 | ||||||||
Evergy Kansas Central, Inc. | 5.90% | 11/15/2033 | 6,119,000 | 6,369,654 |
146 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Evergy Metro, Inc. | 4.95% | 4/15/2033 | $ | 7,125,000 | $ | 6,972,101 | ||||||
Eversource Energy | 5.50% | 1/1/2034 | 14,965,000 | 14,820,958 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 6,480,000 | 5,371,609 | ||||||||
IPALCO Enterprises, Inc. | 4.25% | 5/1/2030 | 12,206,000 | 11,251,523 | ||||||||
ITC Holdings Corp.† | 5.40% | 6/1/2033 | 9,976,000 | 9,860,965 | ||||||||
Liberty Utilities Co.† | 5.869% | 1/31/2034 | 8,308,000 | 8,353,780 | ||||||||
Liberty Utilities Finance GP 1† | 2.05% | 9/15/2030 | 12,633,000 | 10,036,440 | ||||||||
Louisville Gas & Electric Co. | 5.45% | 4/15/2033 | 9,974,000 | 10,078,774 | ||||||||
MidAmerican Energy Co. | 5.85% | 9/15/2054 | 4,911,000 | 5,180,650 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 4.625% | 8/10/2030 | 9,206,880 | 8,717,394 | ||||||||
Minejesa Capital BV (Netherlands)(c) | 5.625% | 8/10/2037 | 2,098,000 | 1,838,142 | ||||||||
Monongahela Power Co.† | 5.85% | 2/15/2034 | 3,700,000 | 3,771,829 | ||||||||
National Grid PLC (United Kingdom)(c) | 5.809% | 6/12/2033 | 9,199,000 | 9,302,123 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 14,584,000 | 13,565,648 | ||||||||
Oglethorpe Power Corp. | 5.95% | 11/1/2039 | 9,881,000 | 9,867,601 | ||||||||
Oglethorpe Power Corp.† | 6.20% | 12/1/2053 | 6,893,000 | 7,101,918 | ||||||||
Oklahoma Gas & Electric Co. | 5.60% | 4/1/2053 | 9,977,000 | 10,091,190 | ||||||||
Oncor Electric Delivery Co. LLC | 5.65% | 11/15/2033 | 6,901,000 | 7,133,820 | ||||||||
Pacific Gas & Electric Co. | 4.55% | 7/1/2030 | 24,283,000 | 22,812,903 | ||||||||
Pacific Gas & Electric Co. | 6.15% | 1/15/2033 | 6,649,000 | 6,807,314 | ||||||||
Pacific Gas & Electric Co. | 6.70% | 4/1/2053 | 7,000,000 | 7,502,525 | ||||||||
PacifiCorp | 4.15% | 2/15/2050 | 4,990,000 | 3,891,629 | ||||||||
Palomino Funding Trust I† | 7.233% | 5/17/2028 | 9,071,000 | 9,458,494 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 21,009,000 | 19,059,269 | ||||||||
Southern Co. | 4.475% | (e) | 8/1/2024 | 11,126,000 | 11,049,713 | |||||||
Virginia Electric & Power Co. | 5.35% | 1/15/2054 | 6,898,000 | 6,647,632 | ||||||||
Virginia Electric & Power Co. | 5.45% | 4/1/2053 | 9,976,000 | 9,785,987 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 18,009,000 | 17,848,235 | ||||||||
Xcel Energy, Inc. | 5.50% | 3/15/2034 | 15,000,000 | 14,754,826 | ||||||||
Total | 431,180,454 | |||||||||||
Electronics 0.38% | ||||||||||||
Trimble, Inc. | 6.10% | 3/15/2033 | 15,293,000 | 15,989,782 | ||||||||
Energy-Alternate Sources 0.07% | ||||||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 3,027,971 | 3,018,342 |
See Notes to Schedule of Investments. | 147 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Engineering & Construction 0.87% | ||||||||||||
Cellnex Finance Co. SA (Spain)†(c) | 3.875% | 7/7/2041 | $ | 10,896,000 | $ | 8,486,241 | ||||||
GMR Hyderabad International Airport Ltd. (India)(c) | 4.25% | 10/27/2027 | 4,524,000 | 4,190,355 | ||||||||
Irb Infrastructure Developers (India)(c) | 7.11% | 3/11/2032 | 6,128,000 | 6,122,914 | ||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 10,855,000 | 10,859,938 | ||||||||
Sitios Latinoamerica SAB de CV (Mexico)†(c) | 5.375% | 4/4/2032 | 8,000,000 | 7,382,797 | ||||||||
Total | 37,042,245 | |||||||||||
Environmental Control 0.21% | ||||||||||||
Veralto Corp.† | 5.45% | 9/18/2033 | 8,926,000 | 8,971,606 | ||||||||
Food 0.58% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 6.50% | 2/15/2028 | 16,000,000 | 16,111,104 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.625% | 7/1/2029 | 3,724,000 | 3,747,979 | ||||||||
J M Smucker Co. | 6.50% | 11/15/2053 | 4,516,000 | 4,913,487 | ||||||||
Total | 24,772,570 | |||||||||||
Gas 0.81% | ||||||||||||
Atmos Energy Corp. | 6.20% | 11/15/2053 | 4,988,000 | 5,525,965 | ||||||||
CenterPoint Energy Resources Corp. | 5.40% | 3/1/2033 | 7,159,000 | 7,225,684 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 23,500,000 | 21,501,355 | ||||||||
Total | 34,253,004 | |||||||||||
Hand/Machine Tools 0.88% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 17,000,000 | 17,111,774 | ||||||||
Regal Rexnord Corp.† | 6.30% | 2/15/2030 | 19,945,000 | 20,319,483 | ||||||||
Total | 37,431,257 | |||||||||||
Health Care-Products 1.51% | ||||||||||||
Alcon Finance Corp.† | 5.375% | 12/6/2032 | 10,000,000 | 10,018,135 | ||||||||
Baxter International, Inc. | 1.322% | 11/29/2024 | 10,000,000 | 9,683,452 | ||||||||
GE HealthCare Technologies, Inc. | 5.65% | 11/15/2027 | 21,200,000 | 21,541,670 | ||||||||
Solventum Corp.† | 5.45% | 3/13/2031 | 8,554,000 | 8,484,075 | ||||||||
Solventum Corp.† | 5.90% | 4/30/2054 | 14,797,000 | 14,491,742 | ||||||||
Total | 64,219,074 | |||||||||||
Health Care-Services 2.17% | ||||||||||||
Catalent Pharma Solutions, Inc.† | 3.125% | 2/15/2029 | 10,000,000 | 9,666,150 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 39,000,000 | 34,437,875 | ||||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 12,000,000 | 10,193,259 | ||||||||
Elevance Health, Inc. | 4.10% | 5/15/2032 | 4,977,000 | 4,587,809 | ||||||||
Fresenius Medical Care U.S. Finance III, Inc.† | 3.00% | 12/1/2031 | 8,000,000 | 6,361,560 |
148 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Health Care-Services (continued) | ||||||||||||
HCA, Inc. | 5.50% | 6/1/2033 | $ | 13,471,000 | $ | 13,395,973 | ||||||
Humana, Inc. | 5.875% | 3/1/2033 | 4,739,000 | 4,872,890 | ||||||||
Molina Healthcare, Inc.† | 4.375% | 6/15/2028 | 9,500,000 | 8,858,708 | ||||||||
Total | 92,374,224 | |||||||||||
Home Furnishings 0.16% | ||||||||||||
Whirlpool Corp. | 5.75% | 3/1/2034 | 6,985,000 | 6,936,923 | ||||||||
Insurance 3.41% | ||||||||||||
Aon Corp. | 8.205% | 1/1/2027 | 5,545,000 | 5,962,709 | ||||||||
Aon North America, Inc. | 5.30% | 3/1/2031 | 9,989,000 | 9,982,356 | ||||||||
Aon North America, Inc. | 5.75% | 3/1/2054 | 9,865,000 | 9,924,775 | ||||||||
Arch Capital Group Ltd. | 7.35% | 5/1/2034 | 9,901,000 | 11,158,240 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 3,049,000 | 2,482,265 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 9,896,000 | 8,843,058 | ||||||||
Brown & Brown, Inc. | 4.20% | 3/17/2032 | 11,975,000 | 10,879,537 | ||||||||
F&G Annuities & Life, Inc. | 7.40% | 1/13/2028 | 12,525,000 | 12,881,772 | ||||||||
Global Atlantic Fin Co.† | 4.70% (5 yr. CMT + 3.80%) | # | 10/15/2051 | 5,469,000 | 4,832,200 | |||||||
Global Atlantic Fin Co.† | 7.95% | 6/15/2033 | 11,780,000 | 12,899,733 | ||||||||
Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC (United Kingdom)†(c) | 8.125% | 2/15/2032 | 6,477,000 | 6,521,529 | ||||||||
Intact Financial Corp. (Canada)†(c) | 5.459% | 9/22/2032 | 6,983,000 | 6,947,508 | ||||||||
MGIC Investment Corp. | 5.25% | 8/15/2028 | 10,000,000 | 9,672,256 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 3,376,000 | 3,217,808 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 5,603,000 | 6,840,379 | ||||||||
RGA Global Funding† | 5.50% | 1/11/2031 | 10,356,000 | 10,225,407 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 5,081,000 | 4,809,406 | ||||||||
Sumitomo Life Insurance Co. (Japan)†(c) | 5.875% (5 yr. CMT + 2.84%) | # | – | (d) | 7,000,000 | 6,932,589 | ||||||
Total | 145,013,527 | |||||||||||
Internet 0.57% | ||||||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | 5,700,000 | 5,848,056 | ||||||||
Netflix, Inc.† | 5.375% | 11/15/2029 | 18,000,000 | 18,288,439 | ||||||||
Total | 24,136,495 | |||||||||||
Investment Companies 0.23% | ||||||||||||
Blue Owl Credit Income Corp.† | 6.65% | 3/15/2031 | 10,000,000 | 9,685,797 |
See Notes to Schedule of Investments. | 149 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Iron-Steel 0.15% | ||||||||||||
ATI, Inc. | 4.875% | 10/1/2029 | $ | 7,000,000 | $ | 6,456,040 | ||||||
Lodging 0.50% | ||||||||||||
Choice Hotels International, Inc. | 3.70% | 12/1/2029 | 13,000,000 | 11,397,755 | ||||||||
Choice Hotels International, Inc. | 3.70% | 1/15/2031 | 5,000,000 | 4,298,454 | ||||||||
Hilton Grand Vacations Borrower Escrow LLC/ Hilton Grand Vacations Borrower Escrow, Inc.† | 6.625% | 1/15/2032 | 5,556,000 | 5,559,790 | ||||||||
Total | 21,255,999 | |||||||||||
Machinery-Diversified 0.94% | ||||||||||||
Flowserve Corp. | 2.80% | 1/15/2032 | 8,450,000 | 6,918,429 | ||||||||
Mueller Water Products, Inc.† | 4.00% | 6/15/2029 | 8,000,000 | 7,282,400 | ||||||||
Nordson Corp. | 5.60% | 9/15/2028 | 8,329,000 | 8,473,380 | ||||||||
nVent Finance SARL (Luxembourg)(c) | 4.55% | 4/15/2028 | 13,500,000 | 13,038,894 | ||||||||
SPX FLOW, Inc.† | 8.75% | 4/1/2030 | 1,224,000 | 1,201,002 | ||||||||
Westinghouse Air Brake Technologies Corp.(a) | 5.611% | 3/11/2034 | 2,857,000 | 2,870,730 | ||||||||
Total | 39,784,835 | |||||||||||
Media 0.79% | ||||||||||||
Cox Communications, Inc.† | 5.70% | 6/15/2033 | 9,975,000 | 9,993,060 | ||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.† | 5.875% | 8/15/2027 | 16,000,000 | 15,113,115 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 9,551,000 | 8,309,663 | ||||||||
Total | 33,415,838 | |||||||||||
Mining 0.72% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(c) | 5.50% | 12/15/2027 | 5,000,000 | 4,919,939 | ||||||||
Glencore Funding LLC† | 2.625% | 9/23/2031 | 10,000,000 | 8,301,440 | ||||||||
Kinross Gold Corp. (Canada)†(c) | 6.25% | 7/15/2033 | 9,975,000 | 10,187,249 | ||||||||
WE Soda Investments Holding PLC (United Kingdom)†(c) | 9.50% | 10/6/2028 | 7,070,000 | 7,360,103 | ||||||||
Total | 30,768,731 | |||||||||||
Oil & Gas 11.64% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp.† | 8.25% | 2/15/2026 | 11,000,000 | 11,055,533 | ||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 20,117,000 | 19,190,670 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 9,495,000 | 7,953,867 | ||||||||
Apache Corp. | 5.25% | 2/1/2042 | 10,857,000 | 8,963,431 | ||||||||
Baytex Energy Corp. (Canada)†(c) | 8.50% | 4/30/2030 | 15,000,000 | 15,609,360 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 9,700,000 | 9,510,669 | ||||||||
BP Capital Markets PLC (United Kingdom)(a)(c) | 6.45% (5 yr. CMT + 2.15%) | # | – | (d) | 2,729,000 | 2,741,944 |
150 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Callon Petroleum Co.† | 7.50% | 6/15/2030 | $ | 5,000,000 | $ | 5,271,345 | ||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 12,000,000 | 12,541,956 | ||||||||
CITGO Petroleum Corp.† | 8.375% | 1/15/2029 | 6,652,000 | 6,991,412 | ||||||||
Civitas Resources, Inc.† | 8.75% | 7/1/2031 | 10,900,000 | 11,605,459 | ||||||||
CNX Resources Corp.† | 7.375% | 1/15/2031 | 5,000,000 | 5,045,694 | ||||||||
Comstock Resources, Inc.† | 5.875% | 1/15/2030 | 8,750,000 | 7,661,764 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 40,500,000 | 39,725,947 | ||||||||
Cosan Luxembourg SA (Luxembourg)†(c) | 7.25% | 6/27/2031 | 7,188,000 | 7,319,001 | ||||||||
Coterra Energy, Inc.(a) | 5.60% | 3/15/2034 | 10,453,000 | 10,453,862 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 3,327,000 | 3,317,684 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 15,679,000 | 16,423,243 | ||||||||
Diamond Foreign Asset Co./Diamond Finance LLC (Cayman Islands)†(c) | 8.50% | 10/1/2030 | 3,294,000 | 3,375,533 | ||||||||
Diamondback Energy, Inc. | 6.25% | 3/15/2033 | 11,975,000 | 12,593,939 | ||||||||
Ecopetrol SA (Colombia)(c) | 4.625% | 11/2/2031 | 7,000,000 | 5,798,709 | ||||||||
Ecopetrol SA (Colombia)(c) | 8.375% | 1/19/2036 | 4,762,000 | 4,784,024 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 7,000,000 | 6,995,800 | ||||||||
Eni SpA (Italy)†(c) | 5.70% | 10/1/2040 | 11,398,000 | 10,728,263 | ||||||||
EQT Corp. | 5.75% | 2/1/2034 | 6,415,000 | 6,313,873 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 16,202,000 | 17,170,296 | ||||||||
Gulfport Energy Corp.† | 8.00% | 5/17/2026 | 7,000,000 | 7,129,063 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 8,900,000 | 8,842,625 | ||||||||
Matador Resources Co.† | 6.875% | 4/15/2028 | 4,167,000 | 4,235,390 | ||||||||
Nabors Industries Ltd.† | 7.25% | 1/15/2026 | 6,000,000 | 5,914,620 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 9,975,000 | 10,342,184 | ||||||||
Occidental Petroleum Corp. | 6.45% | 9/15/2036 | 7,000,000 | 7,375,445 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 6,500,000 | 6,845,930 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 8,000,000 | 9,235,049 | ||||||||
OGX Austria GmbH (Brazil)†(c)(f) | 8.50% | 6/1/2018 | 1,800,000 | 36 | ||||||||
Ovintiv, Inc. | 6.25% | 7/15/2033 | 14,965,000 | 15,395,509 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 7,362,000 | 7,549,388 | ||||||||
Ovintiv, Inc. | 6.625% | 8/15/2037 | 4,595,000 | 4,743,446 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 19,177,000 | 18,522,043 | ||||||||
Patterson-UTI Energy, Inc. | 7.15% | 10/1/2033 | 3,740,000 | 3,965,174 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp.† | 7.875% | 9/15/2030 | 4,571,000 | 4,687,446 | ||||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 10,250,000 | 10,230,595 | ||||||||
Permian Resources Operating LLC† | 9.875% | 7/15/2031 | 7,500,000 | 8,313,412 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.49% | 1/23/2027 | 16,185,000 | 15,132,368 | ||||||||
Precision Drilling Corp. (Canada)†(c) | 6.875% | 1/15/2029 | 3,250,000 | 3,213,015 |
See Notes to Schedule of Investments. | 151 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Raizen Fuels Finance SA (Luxembourg)†(a)(c) | 6.45% | 3/5/2034 | $ | 1,765,000 | $ | 1,793,035 | ||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 10,000,000 | 9,221,735 | ||||||||
Seadrill Finance Ltd.† | 8.375% | 8/1/2030 | 3,147,000 | 3,236,349 | ||||||||
SM Energy Co. | 6.50% | 7/15/2028 | 11,794,000 | 11,818,296 | ||||||||
Transocean Aquila Ltd.† | 8.00% | 9/30/2028 | 3,334,000 | 3,399,213 | ||||||||
Transocean, Inc. | 7.50% | 4/15/2031 | 5,500,000 | 4,697,385 | ||||||||
Vermilion Energy, Inc. (Canada)†(c) | 6.875% | 5/1/2030 | 11,000,000 | 10,612,360 | ||||||||
Viper Energy, Inc.† | 7.375% | 11/1/2031 | 19,073,000 | 19,655,587 | ||||||||
Vital Energy, Inc.† | 7.75% | 7/31/2029 | 2,750,000 | 2,737,564 | ||||||||
Vital Energy, Inc. | 10.125% | 1/15/2028 | 6,000,000 | 6,284,430 | ||||||||
Total | 494,271,970 | |||||||||||
Oil & Gas Services 0.35% | ||||||||||||
Kodiak Gas Services LLC† | 7.25% | 2/15/2029 | 4,129,000 | 4,206,815 | ||||||||
NOV, Inc. | 3.60% | 12/1/2029 | 5,632,000 | 5,146,458 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 5,500,000 | 5,413,100 | ||||||||
Total | 14,766,373 | |||||||||||
Pharmaceuticals 1.15% | ||||||||||||
AbbVie, Inc. | 5.40% | 3/15/2054 | 9,864,000 | 10,020,573 | ||||||||
Bayer U.S. Finance II LLC† | 4.375% | 12/15/2028 | 7,450,000 | 6,944,123 | ||||||||
Bayer U.S. Finance LLC† | 6.50% | 11/21/2033 | 10,000,000 | 10,012,086 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 3,730,000 | 3,200,038 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 10,981,000 | 9,986,703 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 9,665,000 | 8,628,662 | ||||||||
Total | 48,792,185 | |||||||||||
Pipelines 3.26% | ||||||||||||
Columbia Pipelines Operating Co. LLC† | 5.927% | 8/15/2030 | 5,700,000 | 5,809,557 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | 7,375,000 | 6,577,079 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 4.60% | 12/15/2044 | 5,529,000 | 4,737,840 | ||||||||
EIG Pearl Holdings SARL (Luxembourg)(c) | 3.545% | 8/31/2036 | 13,000,000 | 11,076,000 | ||||||||
Enbridge, Inc. (Canada)(c) | 8.50% (5 yr. CMT + 4.43%) | # | 1/15/2084 | 22,151,000 | 23,675,410 | |||||||
Energy Transfer LP† | 6.00% | 2/1/2029 | 9,096,000 | 9,127,518 | ||||||||
Greensaif Pipelines Bidco SARL (Luxembourg)†(c) | 6.129% | 2/23/2038 | 10,000,000 | 10,162,675 | ||||||||
Kinder Morgan, Inc. | 5.40% | 2/1/2034 | 14,966,000 | 14,724,899 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp.† | 8.375% | 2/15/2032 | 5,250,000 | 5,337,108 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 20,258,000 | 19,783,677 |
152 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 4.875% | 2/1/2031 | $ | 12,511,000 | $ | 11,865,070 | ||||||
Transcanada Trust (Canada)(c) | 5.875% (3 mo. USD LIBOR + 4.64%) | # | 8/15/2076 | 10,000,000 | 9,615,606 | |||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 5,882,000 | 5,953,913 | ||||||||
Total | 138,446,352 | |||||||||||
REITS 3.13% | ||||||||||||
American Tower Corp. | 2.10% | 6/15/2030 | 8,000,000 | 6,587,671 | ||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 19,950,000 | 18,478,609 | ||||||||
American Tower Corp. | 5.55% | 7/15/2033 | 3,559,000 | 3,558,259 | ||||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 25,500,000 | 22,530,130 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 10,000,000 | 9,499,445 | ||||||||
Extra Space Storage LP | 5.40% | 2/1/2034 | 14,965,000 | 14,678,211 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 9,000,000 | 8,936,639 | ||||||||
Prologis Targeted U.S. Logistics Fund LP†(a) | 5.50% | 4/1/2034 | 12,000,000 | 11,913,360 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 29,900,000 | 29,419,208 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 8,026,000 | 7,478,948 | ||||||||
Total | 133,080,480 | |||||||||||
Retail 0.61% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(c) | 5.617% | 2/12/2054 | 4,335,000 | 4,324,171 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 14,749,000 | 15,024,753 | ||||||||
Park River Holdings, Inc.† | 6.75% | 8/1/2029 | 6,000,000 | 5,143,866 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 7.75% | 2/15/2029 | 1,228,000 | 1,214,458 | ||||||||
Total | 25,707,248 | |||||||||||
Semiconductors 1.45% | ||||||||||||
Broadcom, Inc.† | 3.469% | 4/15/2034 | 29,900,000 | 25,262,719 | ||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 7,400,000 | 6,799,022 | ||||||||
Entegris, Inc.† | 4.75% | 4/15/2029 | 10,933,000 | 10,319,690 | ||||||||
Intel Corp. | 5.00% | 2/21/2031 | 5,721,000 | 5,686,747 | ||||||||
Marvell Technology, Inc. | 5.95% | 9/15/2033 | 8,798,000 | 9,092,418 | ||||||||
Micron Technology, Inc. | 5.30% | 1/15/2031 | 4,624,000 | 4,578,718 | ||||||||
Total | 61,739,314 | |||||||||||
Software 1.78% | ||||||||||||
MSCI, Inc.† | 3.625% | 9/1/2030 | 6,100,000 | 5,386,345 | ||||||||
MSCI, Inc.† | 3.625% | 11/1/2031 | 21,000,000 | 18,203,104 | ||||||||
Oracle Corp. | 5.375% | 7/15/2040 | 15,452,000 | 14,801,847 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 14,788,000 | 15,222,709 |
See Notes to Schedule of Investments. | 153 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Software (continued) | ||||||||||||
Oracle Corp. | 6.25% | 11/9/2032 | $ | 10,650,000 | $ | 11,253,528 | ||||||
Workday, Inc. | 3.80% | 4/1/2032 | 11,630,000 | 10,515,843 | ||||||||
Total | 75,383,376 | |||||||||||
Telecommunications 2.53% | ||||||||||||
AT&T, Inc. | 3.50% | 9/15/2053 | 34,000,000 | 23,393,789 | ||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 10,000,000 | 9,542,224 | ||||||||
AT&T, Inc. | 5.40% | 2/15/2034 | 16,414,000 | 16,441,946 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 39,425,000 | 41,961,486 | ||||||||
Sprint Capital Corp. | 8.75% | 3/15/2032 | 6,750,000 | 8,157,564 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 8,464,000 | 7,860,885 | ||||||||
Total | 107,357,894 | |||||||||||
Transportation 0.12% | ||||||||||||
TTX Co.† | 5.75% | 11/22/2033 | 5,000,000 | 5,234,315 | ||||||||
Trucking & Leasing 0.24% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 7.875% | 12/1/2030 | 5,114,000 | 5,366,386 | ||||||||
SMBC Aviation Capital Finance DAC (Ireland)†(c) | 5.45% | 5/3/2028 | 5,000,000 | 4,992,334 | ||||||||
Total | 10,358,720 | |||||||||||
Total Corporate Bonds (cost $3,522,444,216) | 3,465,892,618 | |||||||||||
FLOATING RATE LOANS(g) 7.29% | ||||||||||||
Aerospace/Defense 0.28% | ||||||||||||
TransDigm, Inc. 2022 Term Loan H | 8.598% (3 mo. USD Term SOFR + 3.25%) | 2/22/2027 | 11,939,698 | 11,981,846 | ||||||||
Airlines 0.03% | ||||||||||||
Mileage Plus Holdings LLC 2020 Term Loan B | 10.77% (3 mo. USD Term SOFR + 5.25%) | 6/21/2027 | 1,331,750 | 1,373,520 | ||||||||
Building Materials 0.10% | ||||||||||||
Summit Materials LLC 2023 Incremental Term Loan B | 7.827% (3 mo. USD Term SOFR + 2.50%) | 1/12/2029 | 4,295,000 | 4,312,889 | ||||||||
Chemicals 0.19% | ||||||||||||
INEOS Styrolution U.S. Holding LLC 2021 USD Term Loan B | 8.191% (1 mo. USD Term SOFR + 2.75%) | 1/29/2026 | 8,000,000 | 8,008,000 |
154 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Computers 0.17% | ||||||||||||
KBR, Inc. 2024 Term Loan B | 7.576% (1 mo. USD Term SOFR + 2.25%) | 1/17/2031 | $ | 7,000,000 | $ | 7,022,960 | ||||||
Diversified Financial Services 0.93% | ||||||||||||
Avolon TLB Borrower 1 (U.S.) LLC 2023 Term Loan B6 | 7.32% (1 mo. USD Term SOFR + 2.00%) | 6/22/2028 | 11,320,000 | 11,332,509 | ||||||||
Citadel Securities LP 2024 Term Loan B | 7.576% (1 mo. USD Term SOFR + 2.25%) | 7/29/2030 | 7,125,541 | 7,128,070 | ||||||||
NFP Corp. 2020 Term Loan | – | (h) | 2/16/2027 | 21,000,000 | 21,054,915 | |||||||
Total | 39,515,494 | |||||||||||
Electric 0.24% | ||||||||||||
Calpine Corp. 2024 Term Loan B5 | – | (h) | 12/16/2027 | 10,026,321 | 10,023,814 | |||||||
Entertainment 0.60% | ||||||||||||
Flutter Financing BV Term Loan B (Netherlands)(c) | 7.698% (3 mo. USD Term SOFR + 2.25%) | 11/25/2030 | 25,350,000 | 25,289,287 | ||||||||
Financial 0.20% | ||||||||||||
LPL Holdings, Inc. 2019 Term Loan B1 | 7.178% (1 mo. USD Term SOFR + 1.75%) | 11/12/2026 | 1,182,780 | 1,183,945 | ||||||||
Setanta Aircraft Leasing Designated Activity Co. Term Loan B (Ireland)(c) | 7.61% (3 mo. USD Term SOFR + 2.00%) | 11/5/2028 | 7,500,000 | 7,517,213 | ||||||||
Total | 8,701,158 | |||||||||||
Food Service 0.33% | ||||||||||||
Aramark Services, Inc. 2021 Term Loan B | 7.941% (1 mo. USD Term SOFR + 2.50%) | 4/6/2028 | 4,000,000 | 4,001,260 | ||||||||
Aramark Services, Inc. 2023 Term Loan B6 | 7.941% (1 mo. USD Term SOFR + 2.50%) | 6/22/2030 | 9,950,000 | 9,950,000 | ||||||||
Total | 13,951,260 | |||||||||||
Health Care Services 0.07% | ||||||||||||
Catalent Pharma Solutions, Inc. 2023 Term Loan B4 | 8.32% (1 mo. USD Term SOFR + 3.00%) | 2/22/2028 | 3,000,000 | 3,013,125 |
See Notes to Schedule of Investments. | 155 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Health Services 0.24% | ||||||||||||
Catalent Pharma Solutions, Inc. 2021 Term Loan B3 | 7.435% (1 mo. USD Term SOFR + 2.00%) | 2/22/2028 | $ | 2,457,862 | $ | 2,459,140 | ||||||
IQVIA, Inc. 2022 Term Loan A2 | 6.676% - 6.69% (1 mo. USD Term SOFR + 1.25%) (3 mo. USD Term SOFR + 1.25%) | 6/16/2027 | 7,789,474 | 7,763,496 | ||||||||
Total | 10,222,636 | |||||||||||
Internet 0.07% | ||||||||||||
Uber Technologies, Inc. 2023 Term Loan B | – | (h) | 3/3/2030 | 3,000,000 | 3,011,025 | |||||||
Lodging 0.57% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B3 | 7.171% (1 mo. USD Term SOFR + 1.75%) | 6/21/2028 | 13,365,000 | 13,382,909 | ||||||||
Resorts World Las Vegas LLC Term Loan A | 6.826% (1 mo. USD Term SOFR + 1.50%) | 4/16/2024 | 1,087,500 | 1,088,859 | ||||||||
Wyndham Hotels & Resorts, Inc. 2022 Term Loan A | 7.176% (1 mo. USD Term SOFR + 1.75%) | 4/8/2027 | 9,746,835 | 9,738,697 | ||||||||
Total | 24,210,465 | |||||||||||
Manufacturing 0.11% | ||||||||||||
DirecTV Financing LLC Term Loan | 10.441% (1 mo. USD Term SOFR + 5.00%) | 8/2/2027 | 4,493,336 | 4,496,369 | ||||||||
Media 1.05% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B2 | 7.076% (1 mo. USD Term SOFR + 1.75%) | 2/1/2027 | 34,267,558 | 34,189,941 | ||||||||
Charter Communications Operating LLC 2023 Term Loan B4 | 7.329% (3 mo. USD Term SOFR + 2.00%) | 12/7/2030 | 10,740,468 | 10,579,361 | ||||||||
Total | 44,769,302 | |||||||||||
Pharmaceuticals 0.22% | ||||||||||||
Elanco Animal Health, Inc. Term Loan B | 7.178% (1 mo. USD Term SOFR + 1.75%) | 8/1/2027 | 9,392,111 | 9,287,342 | ||||||||
Pipelines 0.96% | ||||||||||||
Buckeye Partners LP 2023 Term Loan B | 7.826% (1 mo. USD Term SOFR + 2.50%) | 11/22/2030 | 4,123,232 | 4,130,963 | ||||||||
Buckeye Partners LP 2024 Term Loan B3 | 7.326% (1 mo. USD Term SOFR + 2.00%) | 11/1/2026 | 12,215,383 | 12,234,928 |
156 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
Epic Crude Services LP Term Loan B | – | (h) | 3/2/2026 | $ | 14,571,808 | $ | 14,617,344 | |||||
Epic Y-Grade Services LP 2020 Term Loan | – | (h) | 6/30/2027 | 9,900,000 | 9,866,984 | |||||||
Total | 40,850,219 | |||||||||||
Real Estate Investment Trusts 0.33% | ||||||||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.426% (1 mo. USD Term SOFR + 1.00%) | 1/31/2025 | 3,911,798 | 3,887,349 | ||||||||
Iron Mountain, Inc. 2023 Term Loan B | 7.576% (1 mo. USD Term SOFR + 2.25%) | 1/31/2031 | 10,000,000 | 9,956,300 | ||||||||
Total | 13,843,649 | |||||||||||
Regional 0.11% | ||||||||||||
Seminole Tribe of Florida 2022 Term Loan A | 6.498% (3 mo. USD Term SOFR + 1.00%) | 5/13/2027 | 4,722,222 | 4,663,194 | ||||||||
Retail 0.49% | ||||||||||||
KFC Holding Co. 2021 Term Loan B | 7.184% (1 mo. USD Term SOFR + 1.75%) | 3/15/2028 | 10,964,142 | 10,968,418 | ||||||||
Pilot Travel Centers LLC 2021 Term Loan B | 7.426% (1 mo. USD Term SOFR + 2.00%) | 8/4/2028 | 10,000,000 | 10,010,400 | ||||||||
Total | 20,978,818 | |||||||||||
Total Floating Rate Loans (cost $309,866,316) | 309,526,372 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(c) 0.38% | ||||||||||||
Mexico 0.26% | ||||||||||||
Mexico Government International Bonds | 6.00% | 5/7/2036 | 11,250,000 | 11,221,611 | ||||||||
Panama 0.12% | ||||||||||||
Panama Government International Bonds | 7.50% | 3/1/2031 | 5,000,000 | 5,138,343 | ||||||||
Total Foreign Government Obligations (cost $16,159,116) | 16,359,954 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.00% | ||||||||||||
Government National Mortgage Association Series 2013-48(i) (Cost $162,929) | 0.377% | #(j) | 7/16/2054 | 4,546,738 | 56,250 | |||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 3.90% | ||||||||||||
Government National Mortgage Association(k) | 5.00% | TBA | 9,086,000 | 8,876,274 | ||||||||
Government National Mortgage Association(k) | 5.50% | TBA | 6,752,000 | 6,704,789 | ||||||||
Government National Mortgage Association(k) | 6.00% | TBA | 15,900,000 | 15,966,349 | ||||||||
Government National Mortgage Association(k) | 6.50% | TBA | 71,968,000 | 72,938,581 | ||||||||
Government National Mortgage Association(k) | 7.00% | TBA | 8,246,000 | 8,407,779 |
See Notes to Schedule of Investments. | 157 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Uniform Mortgage-Backed Security(k) | 5.00% | TBA | $ | 5,025,000 | $ | 4,874,056 | ||||||
Uniform Mortgage-Backed Security(k) | 6.00% | TBA | 21,099,000 | 21,289,004 | ||||||||
Uniform Mortgage-Backed Security(k) | 6.50% | TBA | 10,500,000 | 10,681,395 | ||||||||
Uniform Mortgage-Backed Security(k) | 7.00% | TBA | 15,379,000 | 15,780,058 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $165,617,468) | 165,518,285 | |||||||||||
MUNICIPAL BONDS 0.80% | ||||||||||||
Government 0.44% | ||||||||||||
State of Illinois GO | 5.10% | 6/1/2033 | 19,025,000 | 18,753,097 | ||||||||
Natural Gas 0.36% | ||||||||||||
Texas Natural Gas Securitization Finance Corp. | 5.169% | 4/1/2041 | 14,965,000 | 15,202,280 | ||||||||
Total Municipal Bonds (cost $34,269,448) | 33,955,377 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.13% | ||||||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class C† | 7.043% (1 mo. USD Term SOFR + 1.72%) | # | 11/15/2034 | 3,950,000 | 976,238 | |||||||
CS Master Trust Series 2021-BLUF Class A†(f) | 9.614% (1 mo. USD Term SOFR + 4.29%) | # | 4/15/2023 | (l) | 2,400,000 | 2,335,481 | (b) | |||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class G† | 10.083% (1 mo. USD Term SOFR + 4.76%) | # | 5/15/2026 | 5,160,000 | 1,983,059 | |||||||
GS Mortgage Securities Trust Series 2015-GS1 Class XB(i) | 0.178% | #(j) | 11/10/2048 | 30,000,000 | 111,282 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class XB10†(i) | 0.541% | #(j) | 8/5/2034 | 16,028,000 | 2,076 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class XB7†(i) | 0.493% | #(j) | 8/5/2034 | 18,308,000 | 2,330 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $11,789,674) | 5,410,466 | |||||||||||
U.S. TREASURY OBLIGATIONS 3.92% | ||||||||||||
U.S. Treasury Bonds | 4.375% | 8/15/2043 | 133,516,000 | 130,762,232 | ||||||||
U.S. Treasury Inflation-Indexed Notes(m) | 0.25% | 1/15/2025 | 36,645,703 | 36,010,203 | ||||||||
Total U.S. Treasury Obligations (cost $169,409,338) | 166,772,435 | |||||||||||
Total Long-Term Investments (cost $4,478,481,356) | 4,408,532,623 |
158 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 2.43% | ||||||||||||
COMMERCIAL PAPER 1.93% | ||||||||||||
Chemicals 0.38% | ||||||||||||
International Flavors & Fragrances, Inc.† | 5.934% | 3/1/2024 | $ | 16,000,000 | $ | 16,000,000 | ||||||
Electric 0.78% | ||||||||||||
AES Corp. | 6.046% | 3/11/2024 | 33,400,000 | 33,344,797 | ||||||||
Retail 0.77% | ||||||||||||
AutoNation, Inc.† | 6.047% | 3/12/2024 | 20,000,000 | 19,963,639 | ||||||||
Walgreens Boots Alliance, Inc.† | 6.525% | 3/18/2024 | 12,699,000 | 12,660,621 | ||||||||
Total | 32,624,260 | |||||||||||
Total Commercial Paper (cost $81,969,057) | 81,969,057 | |||||||||||
REPURCHASE AGREEMENTS 0.50% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized by $4,743,000 of U.S. Treasury Bond at 4.250% due 2/15/2054; value: $4,626,720; proceeds: $4,536,669 (cost $4,536,000) | 4,536,000 | 4,536,000 | ||||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $19,515,000 of U.S. Treasury Note at 1.000% due 7/31/2028; value: $16,947,859; proceeds: $16,616,814 (cost $16,615,521) | 16,615,521 | 16,615,521 | ||||||||||
Total Repurchase Agreements (cost $21,151,521) | 21,151,521 | |||||||||||
Total Short-Term Investments (cost $103,120,578) | 103,120,578 | |||||||||||
Total Investments in Securities 106.21% (cost $4,581,601,934) | 4,511,653,201 | |||||||||||
Other Assets and Liabilities – Net(n) (6.21)% | (263,872,057 | ) | ||||||||||
Net Assets 100.00% | $ | 4,247,781,144 |
CAD | Canadian Dollar. | |
CMT | Constant Maturity Rate. | |
ICE | Intercontinental Exchange. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight Financing Rate. | |
‡ | Principal/Shares Amount are denominated in U.S dollars unless otherwise noted. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $1,764,293,867, which represents 41.53% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Securities purchased on a when-issued basis. |
See Notes to Schedule of Investments. | 159 |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
(b) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(f) | Defaulted (non-income producing security). | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(h) | Interest Rate to be determined. | |
(i) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest only securities do not receive principal payments on the underlying debt obligation(s). | |
(j) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(k) | 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. | |
(l) | Maturity date has passed. As of February 29, 2024, an extension is available to June 15, 2024. | |
(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 February 29, 2024(1):
Referenced Indexes | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Appreciation(3) | Value | ||||||||||||||
Markit CDX.NA.HY.41(4)(5) | Goldman Sachs | 5.00% | 12/20/2028 | $ | 32,175,000 | $ | (111,985 | ) | $ | 2,153,664 | $ | 2,041,679 |
(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 $2,153,664. 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. |
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at February 29, 2024:
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 | 2.079% | CPI Urban Consumer NSA | 7/15/2024 | $ | 7,393,000 | $ | 52,029 | ||||||||
Goldman Sachs | 2.285% | CPI Urban Consumer NSA | 7/15/2025 | 7,393,000 | 25,634 | ||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 77,663 |
160 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INCOME FUND February 29, 2024
Forward Foreign Currency Exchange Contracts at February 29, 2024:
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 | 5/9/2024 | 13,976,000 | $ | 10,397,139 | $ | 10,308,523 | $ | 88,616 | |||||||||
Futures Contracts at February 29, 2024: |
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation |
|||||||||||||
U.S. 2-Year Treasury Note | June 2024 | 3,491 | Long | $ | 714,728,011 | $ | 714,782,250 | $ | 54,239 | ||||||||||
U.S. Long Bonds | June 2024 | 2,098 | Long | 248,103,571 | 250,186,500 | 2,082,929 | |||||||||||||
U.S. Ultra Treasury Bond | June 2024 | 3,090 | Long | 389,747,606 | 395,133,750 | 5,386,144 | |||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 7,523,312 | |||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 10-Year Ultra Treasury Note | June 2024 | 4,210 | Short | $ | (479,183,069 | ) | $ | (480,663,594 | ) | $ | (1,480,525 | ) | |||||||
U.S. 5-Year Treasury Note | June 2024 | 3,145 | Short | (335,986,161 | ) | (336,220,156 | ) | (233,995 | ) | ||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (1,714,520 | ) |
See Notes to Schedule of Investments. | 161 |
Schedule of Investments (unaudited)(concluded)
INCOME FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 185,323,952 | $ | 14,400,000 | $ | 199,723,952 | ||||||||
Remaining Industries | – | 45,316,914 | – | 45,316,914 | ||||||||||||
Corporate Bonds | – | 3,465,892,618 | – | 3,465,892,618 | ||||||||||||
Floating Rate Loans | – | 309,526,372 | – | 309,526,372 | ||||||||||||
Foreign Government Obligations | – | 16,359,954 | – | 16,359,954 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 56,250 | – | 56,250 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 165,518,285 | – | 165,518,285 | ||||||||||||
Municipal Bonds | – | 33,955,377 | – | 33,955,377 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 3,074,985 | 2,335,481 | 5,410,466 | ||||||||||||
U.S. Treasury Obligations | – | 166,772,435 | – | 166,772,435 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 81,969,057 | – | 81,969,057 | ||||||||||||
Repurchase Agreements | – | 21,151,521 | – | 21,151,521 | ||||||||||||
Total | $ | – | $ | 4,494,917,720 | $ | 16,735,481 | $ | 4,511,653,201 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 2,041,679 | $ | – | $ | 2,041,679 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 77,663 | – | 77,663 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 88,616 | – | 88,616 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 7,523,312 | – | – | 7,523,312 | ||||||||||||
Liabilities | (1,714,520 | ) | – | – | (1,714,520 | ) | ||||||||||
Total | $ | 5,808,792 | $ | 2,207,958 | $ | – | $ | 8,016,750 |
(1) | Refer to Note 2(b) 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.
162 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 93.14% | ||||||||||||
ASSET-BACKED SECURITIES 24.41% | ||||||||||||
Automobiles 7.46% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2019-2A Class A† | 3.35% | 9/22/2025 | $ | 8,464,000 | $ | 8,400,210 | ||||||
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A Class D† | 3.34% | 8/20/2026 | 5,000,000 | 4,706,636 | ||||||||
Carvana Auto Receivables Trust Series 2021-N1 Class A | 0.70% | 1/10/2028 | 151,713 | 145,193 | ||||||||
Carvana Auto Receivables Trust Series 2022-P1 Class A3 | 3.35% | 2/10/2027 | 7,506,985 | 7,380,568 | ||||||||
Credit Acceptance Auto Loan Trust Series 2021-3A Class A† | 1.00% | 5/15/2030 | 397,244 | 393,684 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 515,905 | 512,430 | ||||||||
Exeter Automobile Receivables Trust Series 2020-2A Class E† | 7.19% | 9/15/2027 | 15,258,000 | 15,386,161 | ||||||||
Exeter Automobile Receivables Trust Series 2021-2A Class C | 0.98% | 6/15/2026 | 244,550 | 242,106 | ||||||||
Ford Credit Auto Owner Trust Series 2018-1 Class A† | 3.19% | 7/15/2031 | 4,225,000 | 4,144,378 | ||||||||
Ford Credit Auto Owner Trust Series 2020-C Class A3 | 0.41% | 7/15/2025 | 87,973 | 87,435 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-2 Class A3 | 3.42% | 6/20/2025 | 5,035,270 | 5,013,855 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 3,385,000 | 3,295,574 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class D† | 3.98% | 12/26/2025 | 5,000,000 | 4,885,913 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1 Class A† | 3.63% | 9/14/2027 | 10,899,000 | 10,725,487 | ||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A† | 0.87% | 7/14/2028 | 4,228,694 | 4,072,838 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class C† | 0.89% | 7/15/2026 | 1,461,879 | 1,440,980 | ||||||||
Total | 70,833,448 | |||||||||||
Credit Card 0.71% | ||||||||||||
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A | 3.49% | 5/15/2027 | 4,495,000 | 4,404,603 | ||||||||
Synchrony Card Funding LLC Series 2023-A1 Class A | 5.54% | 7/15/2029 | 2,318,000 | 2,338,667 | ||||||||
Total | 6,743,270 |
See Notes to Schedule of Investments. | 163 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other 14.72% | ||||||||||||
ACREC Ltd. Series 2021-FL1 Class A† | 6.586% (1 mo. USD Term SOFR + 1.26%) | # | 10/16/2036 | $ | 1,381,806 | $ | 1,368,070 | |||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | 711,737 | 702,015 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 2,240,000 | 2,273,655 | ||||||||
AMMC CLO 23 Ltd. Series 2020-23A Class A1R† | 6.618% (3 mo. USD Term SOFR + 1.30%) | # | 10/17/2031 | 7,500,000 | 7,517,097 | |||||||
Anchorage Capital CLO 3-R Ltd. Series 2014-3RA Class A† | 6.631% (3 mo. USD Term SOFR + 1.31%) | # | 1/28/2031 | 678,574 | 677,963 | |||||||
Anchorage Capital CLO 4-R Ltd. Series 2014-4RA Class A† | 6.631% (3 mo. USD Term SOFR + 1.31%) | # | 1/28/2031 | 807,006 | 809,150 | |||||||
Apidos Clo XXV Series 2016-25A Class A1R† | 6.749% (3 mo. USD Term SOFR + 1.43%) | # | 10/20/2031 | 6,951,135 | 6,951,135 | |||||||
Apidos CLO XXXI Ltd. Series 2019-31A Class A1R† | 6.676% (3 mo. USD Term SOFR + 1.36%) | # | 4/15/2031 | 5,000,000 | 5,005,500 | |||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 2,482,948 | 2,214,566 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.532% (1 mo. USD Term SOFR + 1.21%) | # | 5/15/2036 | 974,555 | 971,961 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.502% (1 mo. USD Term SOFR + 1.18%) | # | 8/15/2034 | 1,000,000 | 992,525 | |||||||
Atalaya Equipment Leasing Trust Series 2021-1A Class A2† | 1.23% | 5/15/2026 | 520,316 | 517,477 | ||||||||
Bain Capital Credit CLO Ltd. Series 2017-1A Class A1R† | 6.549% (3 mo. USD Term SOFR + 1.23%) | # | 7/20/2030 | 4,315,796 | 4,323,564 | |||||||
BlueMountain CLO Ltd. Series 2013-2A Class A1R† | 6.759% (3 mo. USD Term SOFR + 1.44%) | # | 10/22/2030 | 686,669 | 688,284 | |||||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2029 | 981,067 | 982,342 | |||||||
BSPRT Issuer Ltd. Series 2021-FL7 Class A† | 6.752% (1 mo. USD Term SOFR + 1.43%) | # | 12/15/2038 | 1,564,672 | 1,559,279 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-3RA Class A1A† | 6.631% (3 mo. USD Term SOFR + 1.31%) | # | 7/27/2031 | 1,025,210 | 1,026,132 |
164 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.479% (3 mo. USD Term SOFR + 1.16%) | # | 7/20/2029 | $ | 619,710 | $ | 619,896 | |||||
Cedar Funding V CLO Ltd. Series 2016-5A Class A1R† | 6.678% (3 mo. USD Term SOFR + 1.36%) | # | 7/17/2031 | 3,142,029 | 3,143,286 | |||||||
Cedar Funding XI Clo Ltd. Series 2019-11A Class A1R† | 6.655% (3 mo. USD Term SOFR + 1.31%) | # | 5/29/2032 | 3,220,000 | 3,220,966 | |||||||
CIFC Funding Ltd. Series 2013-2A Class A1L2† | 6.56% (3 mo. USD Term SOFR + 1.26%) | # | 10/18/2030 | 3,564,048 | 3,570,107 | |||||||
Dryden Senior Loan Fund Series 2017-47A Class A1R† | 6.556% (3 mo. USD Term SOFR + 1.24%) | # | 4/15/2028 | 2,838,634 | 2,847,172 | |||||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.53% (3 mo. USD Term SOFR + 1.21%) | # | 7/24/2030 | 778,782 | 778,788 | |||||||
Generate CLO 2 Ltd. Series 2A Class AR† | 6.729% (3 mo. USD Term SOFR + 1.41%) | # | 1/22/2031 | 1,137,606 | 1,137,151 | |||||||
GreatAmerica Leasing Receivables Series 2024-1 Class A4† | 5.08% | 12/16/2030 | 3,060,000 | 3,047,802 | ||||||||
Greystone CRE Notes Ltd. Series 2021-FL3 Class A† | 6.452% (1 mo. USD Term SOFR + 1.13%) | # | 7/15/2039 | 2,100,000 | 2,079,000 | |||||||
HGI CRE CLO Ltd. Series 2021-FL2 Class A† | 6.436% (1 mo. USD Term SOFR + 1.11%) | # | 9/17/2036 | 1,436,282 | 1,424,698 | |||||||
KKR CLO 24 Ltd. Series 24 Class A1R† | 6.659% (3 mo. USD Term SOFR + 1.34%) | # | 4/20/2032 | 4,980,000 | 4,987,719 | |||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.506% (1 mo. USD Term SOFR + 1.18%) | # | 2/15/2039 | 2,410,000 | 2,362,133 | |||||||
Lendmark Funding Trust Series 2021-1A Class A† | 5.12% | 7/20/2032 | 5,810,000 | 5,749,051 | ||||||||
Lendmark Funding Trust Series 2021-1A Class B† | 2.47% | 11/20/2031 | 4,700,000 | 4,075,163 | ||||||||
LFT CRE Ltd. Series 2021-FL1 Class A† | 6.602% (1 mo. USD Term SOFR + 1.28%) | # | 6/15/2039 | 1,461,617 | 1,438,084 | |||||||
LFT CRE Ltd. Series 2021-FL1 Class B† | 7.182% (1 mo. USD Term SOFR + 1.86%) | # | 6/15/2039 | 1,570,000 | 1,523,241 | |||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.477% (3 mo. USD Term SOFR + 1.16%) | # | 7/23/2029 | 2,684,540 | 2,688,030 | |||||||
Magnetite XXII Ltd. Series 2019-22A Class AR† | 6.636% (3 mo. USD Term SOFR + 1.32%) | # | 4/15/2031 | 4,000,000 | 4,003,600 |
See Notes to Schedule of Investments. | 165 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Magnetite Xxix Ltd. Series 2021-29A Class A† | 6.566% (3 mo. USD Term SOFR + 1.25%) | # | 1/15/2034 | $ | 1,110,000 | $ | 1,110,333 | |||||
Mariner Finance Issuance Trust Series 2021-BA Class A† | 2.10% | 11/20/2036 | 3,340,000 | 3,023,334 | ||||||||
Marlette Funding Trust Series 2021-3A Class B† | 1.30% | 12/15/2031 | 1,864,849 | 1,844,904 | ||||||||
MF1 LLC Series 2024-FL14 Class A† | 7.055% (1 mo. USD Term SOFR + 1.74%) | # | 3/19/2039 | 2,270,000 | 2,277,112 | (a) | ||||||
MF1 Ltd. Series 2021-FL7 Class A† | 6.514% (1 mo. USD Term SOFR + 1.19%) | # | 10/16/2036 | 1,508,748 | 1,497,903 | |||||||
Newark BSL CLO 2 Ltd. Series 2017-1A Class A1R† | 6.556% (3 mo. USD Term SOFR + 1.23%) | # | 7/25/2030 | 2,526,209 | 2,524,945 | |||||||
Octagon Investment Partners 32 Ltd. Series 2017-1A Class A1R† | 6.526% (3 mo. USD Term SOFR + 1.21%) | # | 7/15/2029 | 3,710,114 | 3,715,826 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.526% (3 mo. USD Term SOFR + 1.21%) | # | 7/15/2029 | 343,286 | 344,294 | |||||||
Octagon Investment Partners XXI Ltd. Series 2014-1A Class AAR3† | 6.568% (3 mo. USD Term SOFR + 1.26%) | # | 2/14/2031 | 1,960,000 | 1,961,372 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 60,682 | 60,366 | ||||||||
OneMain Financial Issuance Trust Series 2019-2A Class A† | 3.14% | 10/14/2036 | 4,282,000 | 4,022,425 | ||||||||
OneMain Financial Issuance Trust Series 2021-3A Class A† | 5.94% | 5/15/2034 | 5,445,000 | 5,460,440 | ||||||||
Orange Lake Timeshare Trust Series 2019-A Class A† | 3.06% | 4/9/2038 | 87,712 | 85,291 | ||||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 1,886,411 | 1,862,388 | ||||||||
Romark CLO Ltd. Series 2017-1A Class A1R† | 6.607% (3 mo. USD Term SOFR + 1.29%) | # | 10/23/2030 | 5,820,472 | 5,818,144 | |||||||
SCF Equipment Leasing LLC Series 2021-1A Class A3† | 0.83% | 8/21/2028 | 313,668 | 310,111 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class B† | 1.37% | 8/20/2029 | 1,130,000 | 1,085,974 | ||||||||
SCF Equipment Leasing LLC Series 2022-1A Class A3† | 2.92% | 7/20/2029 | 5,343,050 | 5,248,811 | ||||||||
TCI-Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.541% (3 mo. USD Term SOFR + 1.22%) | # | 11/18/2030 | 2,451,728 | 2,457,999 | |||||||
TCI-Flatiron CLO Ltd. Series 2018-1A Class ANR† | 6.641% (3 mo. USD Term SOFR + 1.32%) | # | 1/29/2032 | 500,000 | 501,585 | |||||||
TICP CLO IX Ltd. Series 2017-9A Class A† | 6.719% (3 mo. USD Term SOFR + 1.40%) | # | 1/20/2031 | 607,431 | 609,192 |
166 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Upstart Securitization Trust Series 2021-5 Class A† | 1.31% | 11/20/2031 | $ | 259,372 | $ | 258,459 | ||||||
Venture 33 CLO Ltd. Series 2018-33A Class A1LR† | 6.636% (3 mo. USD Term SOFR + 1.32%) | # | 7/15/2031 | 3,428,580 | 3,439,794 | |||||||
Wind River CLO Ltd. Series 2013-1A Class A1RR† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2030 | 3,060,959 | 3,067,703 | |||||||
Total | 139,865,307 | |||||||||||
Rec Vehicle Loan 0.44% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | 108,677 | 107,281 | ||||||||
Octane Receivables Trust Series 2022-1A Class A2† | 4.18% | 3/20/2028 | 2,394,647 | 2,372,550 | ||||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 1,735,847 | 1,727,861 | ||||||||
Total | 4,207,692 | |||||||||||
Student Loan 1.08% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-FA Class A† | 1.22% | 7/15/2069 | 434,160 | 392,412 | ||||||||
Navient Private Education Refi Loan Trust Series 2021-CA Class A† | 1.06% | 10/15/2069 | 2,711,131 | 2,358,028 | ||||||||
Navient Private Education Refi Loan Trust Series 2022-A Class A† | 2.23% | 7/15/2070 | 5,553,175 | 4,875,704 | ||||||||
Nelnet Student Loan Trust Series 2021-A Class APT1† | 1.36% | 4/20/2062 | 2,851,749 | 2,584,170 | ||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 6.035% (1 mo. USD Term SOFR + 0.71%) | # | 1/25/2046 | 40,349 | 40,327 | |||||||
Total | 10,250,641 | |||||||||||
Total Asset-Backed Securities (cost $236,902,446) | 231,900,358 | |||||||||||
CORPORATE BONDS 63.60% | ||||||||||||
Aerospace/Defense 0.17% | ||||||||||||
Boeing Co. | 2.196% | 2/4/2026 | 935,000 | 877,625 | ||||||||
HEICO Corp. | 5.25% | 8/1/2028 | 772,000 | 778,621 | ||||||||
Total | 1,656,246 | |||||||||||
Agriculture 2.00% | ||||||||||||
BAT International Finance PLC (United Kingdom)(b) | 5.931% | 2/2/2029 | 2,000,000 | 2,043,743 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(b) | 6.125% | 7/27/2027 | 4,954,000 | 5,044,921 | ||||||||
Philip Morris International, Inc. | 4.875% | 2/13/2029 | 1,051,000 | 1,033,592 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 2.00% | 4/21/2026 | 7,352,000 | 6,808,054 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 4.90% | 4/21/2027 | 4,111,000 | 4,026,032 | ||||||||
Total | 18,956,342 |
See Notes to Schedule of Investments. | 167 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Airlines 0.03% | ||||||||||||
British Airways Pass-Through Trust Series 2013-1 Class A (United Kingdom)†(b) | 4.625% | 12/20/2025 | $ | 277,928 | $ | 277,302 | ||||||
Apparel 0.74% | ||||||||||||
PVH Corp. | 4.625% | 7/10/2025 | 5,561,000 | 5,483,697 | ||||||||
Tapestry, Inc. | 7.05% | 11/27/2025 | 1,503,000 | 1,531,800 | ||||||||
Total | 7,015,497 | |||||||||||
Auto Manufacturers 2.90% | ||||||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 7,093,000 | 7,092,228 | ||||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | 1,378,000 | 1,330,165 | ||||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 2,837,000 | 2,829,904 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 4/6/2026 | 1,204,000 | 1,204,874 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 5/8/2027 | 814,000 | 814,631 | ||||||||
Hyundai Capital America† | 1.00% | 9/17/2024 | 1,088,000 | 1,059,957 | ||||||||
Hyundai Capital America† | 5.30% | 1/8/2029 | 584,000 | 582,906 | ||||||||
Hyundai Capital America† | 5.50% | 3/30/2026 | 1,876,000 | 1,877,890 | ||||||||
Hyundai Capital America† | 5.65% | 6/26/2026 | 1,665,000 | 1,670,611 | ||||||||
Hyundai Capital America† | 5.875% | 4/7/2025 | 960,000 | 962,991 | ||||||||
Hyundai Capital America† | 6.10% | 9/21/2028 | 1,497,000 | 1,542,592 | ||||||||
Hyundai Capital America† | 6.50% | 1/16/2029 | 2,000,000 | 2,094,150 | ||||||||
Volkswagen Group of America Finance LLC† | 5.70% | 9/12/2026 | 1,990,000 | 2,009,087 | ||||||||
Volkswagen Group of America Finance LLC† | 5.80% | 9/12/2025 | 2,515,000 | 2,526,515 | ||||||||
Total | 27,598,501 | |||||||||||
Banks 25.40% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 4.75% | 7/28/2025 | 5,620,000 | 5,521,925 | ||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 4.80% | 4/18/2026 | 1,000,000 | 976,790 | ||||||||
AIB Group PLC (Ireland)†(b) | 4.263% (3 mo. USD LIBOR + 1.87%) | # | 4/10/2025 | 12,000,000 | 11,971,500 | |||||||
AIB Group PLC (Ireland)†(b) | 6.608% (SOFR + 2.33%) | # | 9/13/2029 | 988,000 | 1,025,745 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 4.40% | 5/19/2026 | 2,317,000 | 2,250,943 | ||||||||
Bank of America Corp. | 1.197% (SOFR + 1.01%) | # | 10/24/2026 | 6,122,000 | 5,706,178 | |||||||
Bank of America Corp. | 1.53% (SOFR + 0.65%) | # | 12/6/2025 | 2,411,000 | 2,334,868 | |||||||
Bank of America Corp. | 4.948% (SOFR + 2.04%) | # | 7/22/2028 | 5,101,000 | 5,051,656 | |||||||
Bank of Ireland Group PLC (Ireland)†(b) | 2.029% (1 yr. CMT + 1.10%) | # | 9/30/2027 | 5,505,000 | 5,014,171 |
168 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Bank of Ireland Group PLC (Ireland)†(b) | 6.253% (1 yr. CMT + 2.65%) | # | 9/16/2026 | $ | 3,792,000 | $ | 3,816,318 | |||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 4,100,000 | 3,987,432 | ||||||||
Barclays PLC (United Kingdom)(b) | 2.852% (SOFR + 2.71%) | # | 5/7/2026 | 3,150,000 | 3,046,443 | |||||||
Barclays PLC (United Kingdom)(b) | 4.836% | 5/9/2028 | 1,142,000 | 1,100,859 | ||||||||
Barclays PLC (United Kingdom)(b) | 5.20% | 5/12/2026 | 3,750,000 | 3,708,642 | ||||||||
Barclays PLC (United Kingdom)(b) | 5.829% (SOFR + 2.21%) | # | 5/9/2027 | 3,009,000 | 3,017,180 | |||||||
Barclays PLC (United Kingdom)(b) | 6.496% (SOFR + 1.88%) | # | 9/13/2027 | 1,872,000 | 1,905,319 | |||||||
Barclays PLC (United Kingdom)(b) | 7.385% (1 yr. CMT + 3.30%) | # | 11/2/2028 | 951,000 | 1,005,623 | |||||||
BNP Paribas SA (France)†(b) | 2.219% (SOFR + 2.07%) | # | 6/9/2026 | 446,000 | 427,096 | |||||||
BNP Paribas SA (France)†(b) | 2.591% (SOFR + 1.23%) | # | 1/20/2028 | 1,357,000 | 1,252,307 | |||||||
BNP Paribas SA (France)†(b) | 2.819% (3 mo. USD Term SOFR + 1.37%) | # | 11/19/2025 | 5,406,000 | 5,290,710 | |||||||
BNP Paribas SA (France)†(b) | 4.375% | 5/12/2026 | 436,000 | 423,292 | ||||||||
BNP Paribas SA (France)†(b) | 5.497% (SOFR + 1.59%) | # | 5/20/2030 | 1,015,000 | 1,010,842 | |||||||
BPCE SA (France)†(b) | 2.375% | 1/14/2025 | 696,000 | 675,994 | ||||||||
BPCE SA (France)†(b) | 4.50% | 3/15/2025 | 2,114,000 | 2,076,081 | ||||||||
BPCE SA (France)†(b) | 5.15% | 7/21/2024 | 7,472,000 | 7,438,675 | ||||||||
BPCE SA (France)†(b) | 5.716% (1 yr. CMT + 1.96%) | # | 1/18/2030 | 705,000 | 702,476 | |||||||
BPCE SA (France)†(b) | 5.975% (SOFR + 2.10%) | # | 1/18/2027 | 2,788,000 | 2,791,220 | |||||||
Citigroup, Inc. | 3.106% (SOFR + 2.84%) | # | 4/8/2026 | 2,576,000 | 2,507,761 | |||||||
Citigroup, Inc. | 3.29% (SOFR + 1.53%) | # | 3/17/2026 | 1,152,000 | 1,124,824 | |||||||
Citigroup, Inc. | 4.40% | 6/10/2025 | 3,586,000 | 3,533,789 | ||||||||
Citigroup, Inc. | 5.174% (SOFR + 1.36%) | # | 2/13/2030 | 1,811,000 | 1,792,981 | |||||||
Citigroup, Inc. | 5.50% | 9/13/2025 | 1,500,000 | 1,497,560 | ||||||||
Citizens Financial Group, Inc. | 5.841% (SOFR + 2.01%) | # | 1/23/2030 | 646,000 | 638,601 | |||||||
Credit Agricole SA (France)†(b) | 4.375% | 3/17/2025 | 2,058,000 | 2,026,741 | ||||||||
Danske Bank AS (Denmark)†(b) | 1.621% (1 yr. CMT + 1.35%) | # | 9/11/2026 | 608,000 | 570,226 |
See Notes to Schedule of Investments. | 169 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Danske Bank AS (Denmark)†(b) | 3.244% (3 mo. USD LIBOR + 1.59%) | # | 12/20/2025 | $ | 11,328,000 | $ | 11,072,605 | |||||
Danske Bank AS (Denmark)†(b)(c) | 5.427% (1 yr. CMT + 0.95%) | # | 3/1/2028 | 1,087,000 | 1,088,896 | |||||||
Danske Bank AS (Denmark)†(b)(c) | 5.705% (1 yr. CMT + 1.40%) | # | 3/1/2030 | 458,000 | 459,200 | |||||||
Discover Bank | 4.25% | 3/13/2026 | 1,275,000 | 1,239,103 | ||||||||
Federation des Caisses Desjardins du Quebec (Canada)†(b) | 5.25% | 4/26/2029 | 1,472,000 | 1,459,464 | ||||||||
Federation des Caisses Desjardins du Quebec (Canada)†(b) | 5.70% | 3/14/2028 | 2,139,000 | 2,163,590 | ||||||||
Goldman Sachs Group, Inc. | 1.948% (SOFR + 0.91%) | # | 10/21/2027 | 4,434,000 | 4,060,433 | |||||||
Goldman Sachs Group, Inc. | 2.64% (SOFR + 1.11%) | # | 2/24/2028 | 2,467,000 | 2,285,621 | |||||||
Goldman Sachs Group, Inc. | 4.223% (3 mo. USD Term SOFR + 1.56%) | # | 5/1/2029 | 4,000,000 | 3,836,856 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 0.976% (SOFR + 0.71%) | # | 5/24/2025 | 679,000 | 671,366 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD Term SOFR + 1.47%) | # | 3/11/2025 | 3,240,000 | 3,238,385 | |||||||
Huntington Bancshares, Inc. | 4.443% (SOFR + 1.97%) | # | 8/4/2028 | 788,000 | 757,010 | |||||||
Huntington National Bank | 5.699% (SOFR + 1.22%) | # | 11/18/2025 | 4,314,000 | 4,278,773 | |||||||
ING Groep NV (Netherlands)(b) | 6.083% (SOFR + 1.56%) | # | 9/11/2027 | 2,971,000 | 3,011,096 | |||||||
Intesa Sanpaolo SpA (Italy)†(b) | 3.25% | 9/23/2024 | 3,928,000 | 3,869,128 | ||||||||
Intesa Sanpaolo SpA (Italy)†(b) | 5.017% | 6/26/2024 | 5,928,000 | 5,890,928 | ||||||||
Intesa Sanpaolo SpA (Italy)†(b) | 5.71% | 1/15/2026 | 1,102,000 | 1,092,358 | ||||||||
JPMorgan Chase & Co. | 0.824% (3 mo. USD Term SOFR + 0.54%) | # | 6/1/2025 | 2,899,000 | 2,860,997 | |||||||
JPMorgan Chase & Co. | 3.782% (3 mo. USD Term SOFR + 1.60%) | # | 2/1/2028 | 533,000 | 511,927 | |||||||
JPMorgan Chase & Co. | 4.851% (SOFR + 1.99%) | # | 7/25/2028 | 2,196,000 | 2,172,415 | |||||||
JPMorgan Chase & Co. | 6.525% (SOFR + 1.18%) | # | 2/24/2028 | 2,527,000 | 2,550,749 | |||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 4.582% | 12/10/2025 | 5,156,000 | 5,054,355 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 5.462% (1 yr. CMT + 1.38%) | # | 1/5/2028 | 759,000 | 756,037 |
170 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Macquarie Bank Ltd. (Australia)†(b) | 5.391% | 12/7/2026 | $ | 906,000 | $ | 908,155 | ||||||
Macquarie Group Ltd. (Australia)†(b) | 1.201% (SOFR + 0.69%) | # | 10/14/2025 | 6,843,000 | 6,647,422 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 1.34% (SOFR + 1.07%) | # | 1/12/2027 | 403,000 | 372,026 | |||||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | 4,341,000 | 4,229,218 | ||||||||
Morgan Stanley | 0.79% (SOFR + 0.53%) | # | 5/30/2025 | 3,468,000 | 3,419,424 | |||||||
NatWest Group PLC (United Kingdom)(b) | 5.583% (1 yr. CMT + 1.10%) | # | 3/1/2028 | 871,000 | 872,012 | |||||||
NatWest Group PLC (United Kingdom)(b) | 5.808% (1 yr. CMT + 1.95%) | # | 9/13/2029 | 2,290,000 | 2,314,384 | |||||||
NatWest Markets PLC (United Kingdom)†(b) | 3.479% | 3/22/2025 | 2,036,000 | 1,993,347 | ||||||||
PNC Financial Services Group, Inc. | 6.615% (SOFR + 1.73%) | # | 10/20/2027 | 764,000 | 784,984 | |||||||
Santander Holdings USA, Inc. | 2.49% (SOFR + 1.25%) | # | 1/6/2028 | 2,232,000 | 2,019,612 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 1.089% (SOFR + 0.79%) | # | 3/15/2025 | 1,913,000 | 1,909,943 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)†(b) | 4.75% | 9/15/2025 | 3,337,000 | 3,261,745 | ||||||||
Societe Generale SA (France)†(b) | 2.226% (1 yr. CMT + 1.05%) | # | 1/21/2026 | 1,992,000 | 1,925,567 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 1.214% (1 yr. CMT + 0.88%) | # | 3/23/2025 | 200,000 | 199,121 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 2.819% (3 mo. USD LIBOR + 1.21%) | # | 1/30/2026 | 2,530,000 | 2,455,583 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 3.785% (3 mo. USD LIBOR + 1.56%) | # | 5/21/2025 | 1,940,000 | 1,929,752 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(b) | 5.80% | 7/13/2028 | 1,295,000 | 1,332,244 | ||||||||
Swedbank AB (Sweden)†(b) | 6.136% | 9/12/2026 | 1,425,000 | 1,444,763 | ||||||||
Truist Financial Corp. | 1.267% (SOFR + 0.61%) | # | 3/2/2027 | 1,503,000 | 1,380,001 | |||||||
Truist Financial Corp. | 5.435% (SOFR + 1.62%) | # | 1/24/2030 | 563,000 | 557,140 | |||||||
U.S. Bancorp | 4.548% (SOFR + 1.66%) | # | 7/22/2028 | 2,554,000 | 2,494,458 | |||||||
U.S. Bancorp | 5.384% (SOFR + 1.56%) | # | 1/23/2030 | 434,000 | 431,793 | |||||||
U.S. Bancorp | 6.787% (SOFR + 1.88%) | # | 10/26/2027 | 1,707,000 | 1,764,183 | |||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 18,374,000 | 18,328,524 | ||||||||
UBS Group AG (Switzerland)†(b) | 1.494% (1 yr. CMT + 0.85%) | # | 8/10/2027 | 1,277,000 | 1,157,227 | |||||||
UBS Group AG (Switzerland)†(b) | 2.193% (SOFR + 2.04%) | # | 6/5/2026 | 529,000 | 506,326 |
See Notes to Schedule of Investments. | 171 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
UBS Group AG (Switzerland)†(b) | 2.593% (SOFR + 1.56%) | # | 9/11/2025 | $ | 2,557,000 | $ | 2,513,448 | |||||
UBS Group AG (Switzerland)†(b) | 4.488% (1 yr. CMT + 1.55%) | # | 5/12/2026 | 3,442,000 | 3,387,650 | |||||||
UBS Group AG (Switzerland)†(b) | 5.428% (1 yr. CMT + 1.52%) | # | 2/8/2030 | 769,000 | 764,222 | |||||||
UniCredit SpA (Italy)†(b) | 2.569% (1 yr. CMT + 2.30%) | # | 9/22/2026 | 2,520,000 | 2,387,984 | |||||||
Wells Fargo & Co. | 4.808% (SOFR + 1.98%) | # | 7/25/2028 | 5,134,000 | 5,043,288 | |||||||
Wells Fargo & Co. | 6.303% (SOFR + 1.79%) | # | 10/23/2029 | 949,000 | 984,007 | |||||||
Total | 241,323,613 | |||||||||||
Beverages 0.12% | ||||||||||||
Bacardi Ltd./Bacardi-Martini BV† | 5.25% | 1/15/2029 | 1,208,000 | 1,190,170 | ||||||||
Biotechnology 0.40% | ||||||||||||
Illumina, Inc. | 5.75% | 12/13/2027 | 1,901,000 | 1,918,078 | ||||||||
Illumina, Inc. | 5.80% | 12/12/2025 | 1,878,000 | 1,878,887 | ||||||||
Total | 3,796,965 | |||||||||||
Chemicals 0.71% | ||||||||||||
Celanese U.S. Holdings LLC | 6.165% | 7/15/2027 | 1,250,000 | 1,269,462 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 2,984,000 | 2,782,200 | ||||||||
Orbia Advance Corp. SAB de CV (Mexico)†(b) | 1.875% | 5/11/2026 | 1,835,000 | 1,675,036 | ||||||||
Sasol Financing USA LLC | 5.875% | 3/27/2024 | 1,030,000 | 1,027,362 | ||||||||
Total | 6,754,060 | |||||||||||
Commercial Services 0.72% | ||||||||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 827,000 | 802,741 | ||||||||
Triton Container International Ltd.† | 1.15% | 6/7/2024 | 2,518,000 | 2,482,336 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 3,872,000 | 3,550,697 | ||||||||
Total | 6,835,774 | |||||||||||
Diversified Financial Services 4.14% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 1.75% | 10/29/2024 | 1,596,000 | 1,553,304 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)†(b) | 6.45% | 4/15/2027 | 974,000 | 997,464 | ||||||||
Aircastle Ltd.† | 5.25% | 8/11/2025 | 6,323,000 | 6,252,448 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 3,389,000 | 3,373,940 |
172 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Ally Financial, Inc. | 5.75% | 11/20/2025 | $ | 5,002,000 | $ | 4,978,827 | ||||||
American Express Co. | 5.098% (SOFR + 1.00%) | # | 2/16/2028 | 547,000 | 545,047 | |||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 346,000 | 321,779 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 2,287,000 | 2,276,494 | ||||||||
Aviation Capital Group LLC† | 6.25% | 4/15/2028 | 1,239,000 | 1,258,038 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 2,247,000 | 2,167,366 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 6.375% | 5/4/2028 | 3,679,000 | 3,734,597 | ||||||||
Bread Financial Holdings, Inc.† | 7.00% | 1/15/2026 | 337,000 | 338,970 | ||||||||
Capital One Financial Corp. | 4.166% (SOFR + 1.37%) | # | 5/9/2025 | 1,893,000 | 1,885,620 | |||||||
LPL Holdings, Inc.† | 4.00% | 3/15/2029 | 1,478,000 | 1,356,783 | ||||||||
Navient Corp. | 5.875% | 10/25/2024 | 3,421,000 | 3,415,294 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 729,000 | 733,964 | ||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 3,335,000 | 3,297,698 | ||||||||
Radian Group, Inc. | 6.20% | 5/15/2029 | 812,000 | 814,868 | ||||||||
Total | 39,302,501 | |||||||||||
Electric 5.60% | ||||||||||||
AES Corp.† | 3.30% | 7/15/2025 | 4,791,000 | 4,624,952 | ||||||||
Ameren Corp. | 5.00% | 1/15/2029 | 1,053,000 | 1,044,936 | ||||||||
Black Hills Corp. | 5.95% | 3/15/2028 | 1,760,000 | 1,811,160 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 401,000 | 395,413 | ||||||||
DTE Energy Co. | 4.875% | 6/1/2028 | 1,718,000 | 1,694,805 | ||||||||
DTE Energy Co. | 5.10% | 3/1/2029 | 1,088,000 | 1,079,273 | ||||||||
Duke Energy Corp. | 4.85% | 1/5/2029 | 796,000 | 783,099 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(b) | 7.125% | 2/11/2025 | 1,397,000 | 1,392,643 | ||||||||
Fells Point Funding Trust† | 3.046% | 1/31/2027 | 2,777,000 | 2,599,718 | ||||||||
IPALCO Enterprises, Inc. | 3.70% | 9/1/2024 | 1,500,000 | 1,482,282 | ||||||||
Liberty Utilities Co.† | 5.577% | 1/31/2029 | 678,000 | 680,138 | ||||||||
Niagara Mohawk Power Corp.† | 3.508% | 10/1/2024 | 2,337,000 | 2,304,266 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 4,197,000 | 4,163,434 | ||||||||
Pacific Gas & Electric Co. | 3.15% | 1/1/2026 | 4,190,729 | 4,008,005 | ||||||||
Pacific Gas & Electric Co. | 5.55% | 5/15/2029 | 642,000 | 643,680 | ||||||||
PacifiCorp | 5.10% | 2/15/2029 | 486,000 | 484,744 | ||||||||
Pennsylvania Electric Co.† | 5.15% | 3/30/2026 | 1,081,000 | 1,071,845 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 4,587,000 | 4,470,297 | ||||||||
System Energy Resources, Inc. | 6.00% | 4/15/2028 | 7,890,000 | 7,986,760 | ||||||||
Trans-Allegheny Interstate Line Co.† | 3.85% | 6/1/2025 | 2,520,000 | 2,467,041 |
See Notes to Schedule of Investments. | 173 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | $ | 3,863,000 | $ | 3,828,515 | ||||||
Vistra Operations Co. LLC† | 4.875% | 5/13/2024 | 4,211,000 | 4,203,416 | ||||||||
Total | 53,220,422 | |||||||||||
Energy-Alternate Sources 0.06% | ||||||||||||
Greenko Dutch BV (Netherlands)†(b) | 3.85% | 3/29/2026 | 571,650 | 539,483 | ||||||||
Entertainment 0.05% | ||||||||||||
Warnermedia Holdings, Inc. | 3.755% | 3/15/2027 | 490,000 | 463,794 | ||||||||
Environmental Control 0.18% | ||||||||||||
Veralto Corp.† | 5.35% | 9/18/2028 | 1,654,000 | 1,666,389 | ||||||||
Food 0.18% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 1,492,000 | 1,439,880 | ||||||||
Tyson Foods, Inc.(c) | 5.40% | 3/15/2029 | 273,000 | 273,148 | ||||||||
Total | 1,713,028 | |||||||||||
Gas 0.57% | ||||||||||||
Brooklyn Union Gas Co.† | 4.632% | 8/5/2027 | 3,505,000 | 3,393,701 | ||||||||
Southwest Gas Corp. | 5.80% | 12/1/2027 | 2,002,000 | 2,040,726 | ||||||||
Total | 5,434,427 | |||||||||||
Hand/Machine Tools 0.39% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 1,497,000 | 1,503,761 | ||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 2,206,000 | 2,220,505 | ||||||||
Total | 3,724,266 | |||||||||||
Health Care-Products 0.36% | ||||||||||||
GE HealthCare Technologies, Inc. | 5.60% | 11/15/2025 | 509,000 | 510,863 | ||||||||
Solventum Corp.† | 5.40% | 3/1/2029 | 1,796,000 | 1,793,677 | ||||||||
Solventum Corp.† | 5.45% | 2/25/2027 | 1,088,000 | 1,090,259 | ||||||||
Total | 3,394,799 | |||||||||||
Health Care-Services 1.06% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 2,880,000 | 2,540,819 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 3,076,000 | 2,929,280 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 3,416,000 | 3,400,714 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 610,000 | 606,402 | ||||||||
HCA, Inc. | 5.375% | 2/1/2025 | 611,000 | 608,956 | ||||||||
Total | 10,086,171 |
174 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Home Builders 0.20% | ||||||||||||
Toll Brothers Finance Corp. | 4.875% | 11/15/2025 | $ | 1,897,000 | $ | 1,874,262 | ||||||
Insurance 2.98% | ||||||||||||
Aon Corp. | 8.205% | 1/1/2027 | 1,183,000 | 1,272,116 | ||||||||
Aon North America, Inc. | 5.125% | 3/1/2027 | 454,000 | 453,857 | ||||||||
Aon North America, Inc. | 5.15% | 3/1/2029 | 1,271,000 | 1,272,287 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 1,500,000 | 1,491,954 | ||||||||
CNO Global Funding† | 1.75% | 10/7/2026 | 1,313,000 | 1,185,435 | ||||||||
Equitable Financial Life Global Funding† | 5.45% | 3/3/2028 | 2,416,000 | 2,398,958 | ||||||||
F&G Annuities & Life, Inc. | 7.40% | 1/13/2028 | 1,438,000 | 1,478,961 | ||||||||
F&G Global Funding† | 0.90% | 9/20/2024 | 1,368,000 | 1,330,490 | ||||||||
F&G Global Funding† | 1.75% | 6/30/2026 | 1,080,000 | 975,889 | ||||||||
F&G Global Funding† | 2.30% | 4/11/2027 | 3,750,000 | 3,360,887 | ||||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 1,032,000 | 1,004,225 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 3,993,000 | 3,911,388 | ||||||||
GA Global Funding Trust† | 5.50% | 1/8/2029 | 1,386,000 | 1,370,444 | ||||||||
Jackson National Life Global Funding† | 1.75% | 1/12/2025 | 1,966,000 | 1,899,450 | ||||||||
Kemper Corp. | 4.35% | 2/15/2025 | 2,101,000 | 2,071,349 | ||||||||
MGIC Investment Corp. | 5.25% | 8/15/2028 | 750,000 | 725,419 | ||||||||
Protective Life Global Funding† | 5.209% | 4/14/2026 | 2,097,000 | 2,092,453 | ||||||||
Total | 28,295,562 | |||||||||||
Internet 0.19% | ||||||||||||
Prosus NV (Netherlands)†(b) | 3.257% | 1/19/2027 | 2,000,000 | 1,841,562 | ||||||||
Lodging 0.14% | ||||||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 1,451,000 | 1,365,430 | ||||||||
Media 0.23% | ||||||||||||
FactSet Research Systems, Inc. | 2.90% | 3/1/2027 | 1,732,000 | 1,614,872 | ||||||||
Nexstar Media, Inc.† | 5.625% | 7/15/2027 | 564,000 | 535,100 | ||||||||
Total | 2,149,972 | |||||||||||
Mining 0.79% | ||||||||||||
Anglo American Capital PLC (United Kingdom)†(b) | 3.625% | 9/11/2024 | 4,500,000 | 4,444,557 | ||||||||
First Quantum Minerals Ltd. (Canada)†(b) | 7.50% | 4/1/2025 | 1,000,000 | 1,000,000 | ||||||||
Glencore Funding LLC† | 4.00% | 3/27/2027 | 1,097,000 | 1,055,960 | ||||||||
Glencore Funding LLC† | 6.125% | 10/6/2028 | 969,000 | 1,000,766 | ||||||||
Total | 7,501,283 |
See Notes to Schedule of Investments. | 175 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas 6.21% | ||||||||||||
Aker BP ASA (Norway)†(b) | 2.00% | 7/15/2026 | $ | 2,306,000 | $ | 2,124,867 | ||||||
Apache Corp. | 4.375% | 10/15/2028 | 2,530,000 | 2,376,037 | ||||||||
Chord Energy Corp.† | 6.375% | 6/1/2026 | 2,228,000 | 2,232,545 | ||||||||
Continental Resources, Inc.† | 2.268% | 11/15/2026 | 4,431,000 | 4,068,395 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 3,076,000 | 2,958,686 | ||||||||
Devon Energy Corp. | 5.25% | 10/15/2027 | 5,729,000 | 5,720,868 | ||||||||
Devon Energy Corp. | 5.875% | 6/15/2028 | 7,055,000 | 7,099,400 | ||||||||
EQT Corp. | 3.90% | 10/1/2027 | 3,000,000 | 2,841,106 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 4,125,000 | 4,134,607 | ||||||||
HF Sinclair Corp.† | 5.00% | 2/1/2028 | 1,500,000 | 1,445,330 | ||||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.† | 6.00% | 8/1/2026 | 2,359,000 | 2,315,394 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 3,267,000 | 3,237,328 | ||||||||
OGX Austria GmbH (Brazil)†(b)(d) | 8.50% | 6/1/2018 | 225,000 | 5 | ||||||||
Ovintiv, Inc. | 5.65% | 5/15/2028 | 2,000,000 | 2,018,951 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 4.125% | 2/15/2028 | 1,930,000 | 1,858,648 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 6.49% | 1/23/2027 | 3,594,000 | 3,360,255 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 6.875% | 8/4/2026 | 750,000 | 722,908 | ||||||||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp.† | 7.875% | 11/1/2028 | 1,336,000 | 1,366,815 | ||||||||
SM Energy Co. | 5.625% | 6/1/2025 | 1,600,000 | 1,589,336 | ||||||||
Suncor Energy, Inc. (Canada)(b) | 7.875% | 6/15/2026 | 2,719,000 | 2,855,298 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(b) | 2.625% | 8/15/2025 | 2,000,000 | 1,885,080 | ||||||||
Viper Energy, Inc.† | 5.375% | 11/1/2027 | 2,857,000 | 2,774,805 | ||||||||
Total | 58,986,664 | |||||||||||
Pharmaceuticals 0.64% | ||||||||||||
Bayer U.S. Finance II LLC† | 4.25% | 12/15/2025 | 3,750,000 | 3,647,516 | ||||||||
Bayer U.S. Finance LLC† | 6.125% | 11/21/2026 | 587,000 | 591,315 | ||||||||
Bayer U.S. Finance LLC† | 6.25% | 1/21/2029 | 1,799,000 | 1,813,325 | ||||||||
Total | 6,052,156 | |||||||||||
Pipelines 1.33% | ||||||||||||
Enbridge, Inc. (Canada)(b) | 5.90% | 11/15/2026 | 687,000 | 700,097 | ||||||||
Enbridge, Inc. (Canada)(b) | 6.00% | 11/15/2028 | 577,000 | 597,973 | ||||||||
Energy Transfer LP† | 6.00% | 2/1/2029 | 2,000,000 | 2,006,930 | ||||||||
Kinder Morgan, Inc. | 5.00% | 2/1/2029 | 1,000,000 | 992,167 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 1,000,000 | 1,008,422 |
176 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 6.50% | 7/15/2027 | $ | 5,879,000 | $ | 5,943,710 | ||||||
Western Midstream Operating LP | 6.35% | 1/15/2029 | 448,000 | 462,813 | ||||||||
Williams Cos., Inc. | 4.90% | 3/15/2029 | 979,000 | 966,541 | ||||||||
Total | 12,678,653 | |||||||||||
REITS 3.75% | ||||||||||||
American Tower Corp. | 3.60% | 1/15/2028 | 4,211,000 | 3,971,533 | ||||||||
American Tower Corp. | 3.65% | 3/15/2027 | 3,421,000 | 3,271,230 | ||||||||
American Tower Corp. | 5.50% | 3/15/2028 | 2,153,000 | 2,163,460 | ||||||||
Crown Castle, Inc. | 5.00% | 1/11/2028 | 1,464,000 | 1,442,710 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 1,256,000 | 1,187,921 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 3,360,000 | 3,229,818 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.25% | 6/1/2025 | 1,275,000 | 1,264,573 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.375% | 6/15/2026 | 1,985,000 | 1,858,850 | ||||||||
Kite Realty Group Trust | 4.00% | 3/15/2025 | 1,755,000 | 1,717,762 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.50% | 2/15/2025 | 6,577,000 | 6,418,100 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.75% | 2/15/2027 | 2,599,000 | 2,447,269 | ||||||||
Vornado Realty LP | 3.50% | 1/15/2025 | 1,500,000 | 1,457,453 | ||||||||
WEA Finance LLC/Westfield U.K. &Europe Finance PLC† | 3.75% | 9/17/2024 | 5,314,000 | 5,241,042 | ||||||||
Total | 35,671,721 | |||||||||||
Retail 0.17% | ||||||||||||
Walgreens Boots Alliance, Inc. | 3.45% | 6/1/2026 | 1,657,000 | 1,581,083 | ||||||||
Semiconductors 0.15% | ||||||||||||
Entegris, Inc.† | 4.75% | 4/15/2029 | 930,000 | 877,830 | ||||||||
Qorvo, Inc. | 1.75% | 12/15/2024 | 529,000 | 513,993 | ||||||||
Total | 1,391,823 | |||||||||||
Telecommunications 0.44% | ||||||||||||
Altice France SA (France)†(b) | 8.125% | 2/1/2027 | 1,000,000 | 919,965 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 1,664,000 | 1,771,057 | ||||||||
T-Mobile USA, Inc. | 3.75% | 4/15/2027 | 1,559,000 | 1,494,886 | ||||||||
Total | 4,185,908 | |||||||||||
Transportation 0.05% | ||||||||||||
Ryder System, Inc. | 5.30% | 3/15/2027 | 449,000 | 449,671 |
See Notes to Schedule of Investments. | 177 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Trucking & Leasing 0.55% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 6.50% | 10/1/2025 | $ | 1,577,000 | $ | 1,579,301 | ||||||
GATX Corp. | 5.40% | 3/15/2027 | 380,000 | 380,857 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.40% | 11/15/2026 | 380,000 | 359,936 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 6.05% | 8/1/2028 | 2,825,000 | 2,891,215 | ||||||||
Total | 5,211,309 | |||||||||||
Total Corporate Bonds (cost $617,029,693) | 604,186,809 | |||||||||||
FLOATING RATE LOANS(e) 0.84% | ||||||||||||
Food 0.29% | ||||||||||||
U.S. Foods, Inc. 2019 Term Loan B | 7.441% (1 mo. USD Term SOFR + 2.00%) | 9/13/2026 | 2,729,108 | 2,733,884 | ||||||||
Lodging 0.46% | ||||||||||||
Resorts World Las Vegas LLC Term Loan A | 6.826% (1 mo. USD Term SOFR + 1.50%) | 4/16/2024 | 4,400,000 | 4,405,500 | ||||||||
Pipelines 0.09% | ||||||||||||
Buckeye Partners LP 2024 Term Loan B3 | 7.326% (1 mo. USD Term SOFR + 2.00%) | 11/1/2026 | 862,449 | 863,829 | ||||||||
Total Floating Rate Loans (cost $7,993,365) | 8,003,213 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.02% | ||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
Multifamily Structured Pass-Through Certificates Series 061 Class X1(f) | 0.149% | #(g) | 11/25/2026 | 13,456,746 | 57,094 | |||||||
Government National Mortgage Association Series 2013-193(f) | 0.168% | #(g) | 1/16/2055 | 20,034 | 425 | |||||||
Government National Mortgage Association Series 2014-112 Class A | 3.00% | #(g) | 1/16/2048 | 113,062 | 100,719 | |||||||
Government National Mortgage Association Series 2015-19 Class AD | 2.90% | 10/16/2055 | 15,673 | 15,241 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $194,774) | 173,479 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.13% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.811% (1 yr. USD RFUCCT + 1.66%) | # | 2/1/2038 | 88,568 | 90,603 | |||||||
Federal Home Loan Mortgage Corp. | 5.412% (1 yr. USD RFUCCT + 1.72%) | # | 4/1/2037 | 16,481 | 16,895 | |||||||
Federal Home Loan Mortgage Corp. | 5.79% (1 yr. USD RFUCCT + 1.78%) | # | 5/1/2036 | 15,848 | 16,236 | |||||||
Federal Home Loan Mortgage Corp. | 5.86% (1 yr. USD RFUCCT + 1.79%) | # | 10/1/2038 | 13,723 | 14,115 |
178 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (CONTINUED) | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.89% (1 yr. USD RFUCCT + 1.64%) | # | 11/1/2043 | $ | 142,078 | $ | 142,155 | |||||
Federal Home Loan Mortgage Corp. | 5.892% (1 yr. USD RFUCCT + 1.79%) | # | 12/1/2036 | 41,485 | 42,661 | |||||||
Federal Home Loan Mortgage Corp. | 5.894% (1 yr. USD RFUCCT + 1.92%) | # | 9/1/2036 | 51,538 | 53,063 | |||||||
Federal Home Loan Mortgage Corp. | 6.207% (1 yr. USD RFUCCT + 1.96%) | # | 2/1/2037 | 47,750 | 49,174 | |||||||
Federal National Mortgage Association | 4.997% (1 yr. USD RFUCCT + 1.89%) | # | 12/1/2038 | 20,689 | 21,385 | |||||||
Federal National Mortgage Association | 5.326% (1 yr. USD RFUCCT + 1.55%) | # | 6/1/2038 | 49,021 | 49,051 | |||||||
Federal National Mortgage Association | 5.471% (1 yr. USD RFUCCT + 1.61%) | # | 8/1/2037 | 4,511 | 4,616 | |||||||
Federal National Mortgage Association | 5.504% (1 yr. USD RFUCCT + 1.52%) | # | 3/1/2039 | 31,237 | 31,933 | |||||||
Federal National Mortgage Association | 5.568% (1 yr. USD RFUCCT + 1.63%) | # | 8/1/2038 | 8,360 | 8,383 | |||||||
Federal National Mortgage Association | 5.613% (1 yr. USD RFUCCT + 1.64%) | # | 9/1/2038 | 38,529 | 39,458 | |||||||
Federal National Mortgage Association | 5.749% (1 yr. USD RFUCCT + 1.79%) | # | 3/1/2042 | 188,717 | 194,600 | |||||||
Federal National Mortgage Association | 5.787% (1 yr. USD RFUCCT + 1.53%) | # | 10/1/2035 | 55,510 | 56,731 | |||||||
Federal National Mortgage Association | 5.84% (1 yr. USD RFUCCT + 1.81%) | # | 4/1/2040 | 21,177 | 21,788 | |||||||
Federal National Mortgage Association | 5.872% (1 yr. CMT + 2.20%) | # | 1/1/2038 | 30,596 | 31,408 | |||||||
Federal National Mortgage Association | 6.058% (1 yr. USD RFUCCT + 1.81%) | # | 10/1/2040 | 11,157 | 11,474 | |||||||
Federal National Mortgage Association | 6.061% (1 yr. USD RFUCCT + 1.81%) | # | 12/1/2040 | 20,881 | 21,530 | |||||||
Federal National Mortgage Association | 6.076% (1 yr. USD RFUCCT + 1.82%) | # | 12/1/2040 | 43,985 | 45,272 | |||||||
Federal National Mortgage Association | 6.345% (1 yr. CMT + 2.24%) | # | 3/1/2038 | 3,319 | 3,336 | |||||||
Federal National Mortgage Association | 7.517% (1 yr. USD RFUCCT + 1.60%) | # | 10/1/2045 | 23,370 | 24,020 | |||||||
Federal National Mortgage Association | 7.572% (1 yr. USD RFUCCT + 1.60%) | # | 12/1/2045 | 40,261 | 41,430 | |||||||
Federal National Mortgage Association | 7.686% (1 yr. USD RFUCCT + 1.60%) | # | 12/1/2045 | 192,860 | 198,600 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $1,241,178) | 1,229,917 |
See Notes to Schedule of Investments. | 179 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.14% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(g) | 12/25/2059 | $ | 80,111 | $ | 76,116 | |||||
Angel Oak Mortgage Trust Series 2020-6 Class A1† | 1.261% | #(g) | 5/25/2065 | 125,442 | 111,817 | |||||||
Bank Series 2023-5YR2 Class A3 | 6.656% | #(g) | 7/15/2056 | 1,200,000 | 1,263,813 | |||||||
Bank Series 2023-5YR4 Class A3 | 6.50% | 12/15/2056 | 2,370,000 | 2,490,080 | ||||||||
BBCMS Trust Series 2015-VFM Class A1† | 2.466% | 3/10/2036 | 122,225 | 116,918 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.865% (1 mo. USD Term SOFR + 1.55%) | # | 7/15/2035 | 2,064,334 | 2,058,953 | |||||||
BWAY Mortgage Trust Series 2013-1515 Class XB†(f) | 0.403% | #(g) | 3/10/2033 | 47,800,000 | 116,546 | |||||||
BWAY Mortgage Trust Series 2015-1740 Class C† | 3.342% | 1/10/2035 | 3,350,000 | 35,176 | ||||||||
BX Commercial Mortgage Trust Series 2019-IMC Class A† | 6.364% (1 mo. USD Term SOFR + 1.05%) | # | 4/15/2034 | 2,145,895 | 2,140,372 | |||||||
BX Commercial Mortgage Trust Series 2024-XL4 Class A† | 6.76% (1 mo. USD Term SOFR + 1.44%) | # | 2/15/2039 | 1,500,000 | 1,502,318 | |||||||
BXHPP Trust Series 2021-FILM Class A† | 6.083% (1 mo. USD Term SOFR + 0.76%) | # | 8/15/2036 | 3,000,000 | 2,889,362 | |||||||
CFCRE Commercial Mortgage Trust Series 2016-C4 Class XA(f) | 1.599% | #(g) | 5/10/2058 | 818,662 | 19,544 | |||||||
CFCRE Commercial Mortgage Trust Series 2016-C6 Class XA(f) | 1.075% | #(g) | 11/10/2049 | 2,528,861 | 53,931 | |||||||
CFCRE Commercial Mortgage Trust Series 2016-C7 Class XA(f) | 0.638% | #(g) | 12/10/2054 | 3,331,049 | 48,682 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC23 Class XB(f) | 0.206% | #(g) | 7/10/2047 | 3,452,000 | 2,657 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC31 Class XA(f) | 0.326% | #(g) | 6/10/2048 | 5,306,149 | 17,262 | |||||||
COLT Mortgage Loan Trust Series 2021-2 Class A1† | 0.924% | #(g) | 8/25/2066 | 5,221,688 | 4,139,068 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR4 Class XA(f) | 1.144% | #(g) | 10/15/2045 | 861,123 | 52 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2016-CD1 Class XA(f) | 1.365% | #(g) | 8/10/2049 | 776,177 | 17,402 | |||||||
Credit Suisse Mortgage Capital Certificates Series 2016-NXSR Class XB(f) | 0.174% | #(g) | 12/15/2049 | 20,135,000 | 116,074 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2014-USA Class X1†(f) | 0.54% | #(g) | 9/15/2037 | 39,135,267 | 198,283 | |||||||
CSAIL Commercial Mortgage Trust Series 2015-C2 Class XB†(f) | Zero Coupon | #(g) | 6/15/2057 | 82,732,000 | 71,295 | |||||||
CSAIL Commercial Mortgage Trust Series 2016-C7 Class XA(f) | 0.929% | #(g) | 11/15/2049 | 4,012,373 | 66,009 | |||||||
CSMC Trust Series 2020-AFC1 Class A1† | 3.24% | #(g) | 2/25/2050 | 254,330 | 232,939 |
180 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
DBJPM Mortgage Trust Series 2016-C3 Class XA(f) | 1.407% | #(g) | 8/10/2049 | $ | 7,896,523 | $ | 208,066 | |||||
DBWF Mortgage Trust Series 2015-LCM Class A1† | 2.998% | 6/10/2034 | 142,883 | 135,346 | ||||||||
DBWF Mortgage Trust Series 2015-LCM Class XA†(f) | 0.423% | #(g) | 6/10/2034 | 285,765 | 1,501 | |||||||
DBWF Mortgage Trust Series 2016-85T Class XA†(f) | 0.014% | #(g) | 12/10/2036 | 61,529,000 | 80,576 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-DNA5 Class M2† | 6.972% (30 day USD SOFR Average + 1.65%) | # | 1/25/2034 | 2,499,218 | 2,529,210 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA3 Class M1† | 6.172% (30 day USD SOFR Average + 0.85%) | # | 9/25/2041 | 1,283,593 | 1,278,698 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA4 Class M1A† | 7.522% (30 day USD SOFR Average + 2.20%) | # | 5/25/2042 | 762,299 | 776,224 | |||||||
GS Mortgage Securities Corp. Trust Series 2017-GPTX Class B† | 3.104% | 5/10/2034 | 1,060,000 | 229,863 | ||||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.583% (1 mo. USD Term SOFR + 1.26%) | # | 5/15/2026 | 3,000,000 | 2,797,213 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class H† | 11.333% (1 mo. USD Term SOFR + 6.01%) | # | 5/15/2026 | 560,000 | 187,299 | |||||||
GS Mortgage Securities Trust Series 2015-GS1 Class XA(f) | 0.754% | #(g) | 11/10/2048 | 993,400 | 10,063 | |||||||
HMH Trust Series 2017-NSS Class A† | 3.062% | 7/5/2031 | 974,000 | 852,788 | ||||||||
HMH Trust Series 2017-NSS Class B† | 3.343% | 7/5/2031 | 629,000 | 503,986 | ||||||||
HMH Trust Series 2017-NSS Class C† | 3.787% | 7/5/2031 | 469,000 | 350,287 | ||||||||
HMH Trust Series 2017-NSS Class D† | 4.723% | 7/5/2031 | 618,000 | 405,563 | ||||||||
HONO Mortgage Trust Series 2021-LULU Class A† | 6.583% (1 mo. USD Term SOFR + 1.26%) | # | 10/15/2036 | 700,000 | 676,650 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class XA(f) | 0.987% | #(g) | 4/15/2046 | 58,318 | 3 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C24 Class XA(f) | 0.814% | #(g) | 11/15/2047 | 2,175,700 | 3,895 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class A† | 3.429% | 6/10/2027 | 5,000,000 | 1,775,000 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XA†(f) | 0.376% | #(g) | 6/10/2027 | 2,906,000 | 9,755 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XB†(f) | 0.034% | #(g) | 6/10/2027 | 1,292,000 | 927 |
See Notes to Schedule of Investments. | 181 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-C29 Class XA(f) | 0.542% | #(g) | 5/15/2048 | $ | 1,264,146 | $ | 5,947 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP4 Class XA(f) | 0.577% | #(g) | 12/15/2049 | 3,217,377 | 38,270 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2017-JP7 Class XA(f) | 0.985% | #(g) | 9/15/2050 | 7,325,449 | 169,870 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class A† | 6.815% (1 mo. USD Term SOFR + 1.50%) | # | 4/15/2031 | 658,000 | 448,098 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class B† | 7.515% (1 mo. USD Term SOFR + 2.20%) | # | 4/15/2031 | 449,000 | 274,020 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class C† | 7.915% (1 mo. USD Term SOFR + 2.60%) | # | 4/15/2031 | 332,000 | 186,144 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XBFX†(f) | 0.377% | #(g) | 7/5/2033 | 95,152,000 | 10,937 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2020-MKST Class E† | 8.183% (1 mo. USD Term SOFR + 2.86%) | # | 12/15/2036 | 3,930,000 | 536,902 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2018-AON Class XA†(f) | 0.485% | #(g) | 7/5/2031 | 129,394,000 | 4,076 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2018-AON Class XB†(f) | 0.154% | #(g) | 7/5/2031 | 50,413,000 | 424 | |||||||
LSTAR Commercial Mortgage Trust Series 2016-4 Class XA†(f) | 1.70% | #(g) | 3/10/2049 | 835,021 | 9,357 | |||||||
LSTAR Commercial Mortgage Trust Series 2016-4 XB Class XB†(f) | 0.674% | #(g) | 3/10/2049 | 19,753,000 | 224,890 | |||||||
LSTAR Commercial Mortgage Trust Series 2017-5 Class A3† | 4.50% | 3/10/2050 | 927,440 | 914,249 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23 Class XA(f) | 0.541% | #(g) | 7/15/2050 | 5,179,806 | 25,373 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 Class XA(f) | 1.263% | #(g) | 11/15/2049 | 3,868,332 | 96,364 | |||||||
Morgan Stanley Capital I Trust Series 2016-UB11 Class XA(f) | 1.436% | #(g) | 8/15/2049 | 3,391,512 | 92,349 | |||||||
MSCG Trust Series 2015-ALDR Class A1† | 2.612% | 6/7/2035 | 100,713 | 95,905 | ||||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(g) | 1/26/2060 | 98,576 | 90,125 | |||||||
One New York Plaza Trust Series 2020-1NYP Class A† | 6.383% (1 mo. USD Term SOFR + 1.06%) | # | 1/15/2036 | 625,000 | 608,511 |
182 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(g) | 1/26/2060 | $ | 39,961 | $ | 38,164 | |||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(g) | 2/25/2050 | 21,987 | 20,596 | |||||||
Starwood Mortgage Residential Trust Series 2021-2 Class A1† | 0.943% | #(g) | 5/25/2065 | 1,076,728 | 974,122 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 3.417% | (h) | 1/25/2060 | 71,050 | 67,827 | |||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (h) | 5/25/2065 | 118,469 | 111,611 | |||||||
Verus Securitization Trust Series 2021-1 Class A1† | 0.815% | #(g) | 1/25/2066 | 247,937 | 215,611 | |||||||
Verus Securitization Trust Series 2021-5 Class A1† | 1.013% | #(g) | 9/25/2066 | 2,606,279 | 2,178,412 | |||||||
Verus Securitization Trust Series 2021-R2 Class A1† | 0.918% | #(g) | 2/25/2064 | 437,282 | 386,867 | |||||||
Verus Securitization Trust Series 2021-R3 Class A1† | 1.02% | #(g) | 4/25/2064 | 638,956 | 567,321 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C29 Class XA(f) | 0.585% | #(g) | 6/15/2048 | 3,060,440 | 17,473 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C29 Class XB(f) | 0.014% | #(g) | 6/15/2048 | 58,000,000 | 36,998 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 Class XA(f) | 1.711% | #(g) | 8/15/2049 | 1,581,750 | 46,851 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2016-LC24 Class XB(f) | 0.983% | #(g) | 10/15/2049 | 7,056,835 | 149,320 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C21 Class XB(f) | 0.637% | #(g) | 8/15/2047 | 15,000,000 | 37,653 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $53,996,441) | 39,278,219 | |||||||||||
Total Long-Term Investments (cost $917,357,897) | 884,771,995 | |||||||||||
SHORT-TERM INVESTMENTS 0.44% | ||||||||||||
REPURCHASE AGREEMENTS 0.44% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized by $3,367,000 of U.S. Treasury Bond at 4.250% due 2/15/2054; value: $3,284,400; proceeds: $3,220,475 (cost $3,220,000) | 3,220,000 | 3,220,000 | ||||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $1,135,400 of U.S. Treasury Note at 1.000% due 7/31/2028; value: $986,041; proceeds: $966,713 (cost $966,638) | 966,638 | 966,638 | ||||||||||
Total Repurchase Agreements (cost $4,186,638) | 4,186,638 | |||||||||||
Total Investments in Securities 93.58% (cost $921,544,535) | 888,958,633 | |||||||||||
Other Assets and Liabilities – Net(i) 6.42% | 61,014,260 | |||||||||||
Net Assets 100.00% | $ | 949,972,893 |
See Notes to Schedule of Investments. | 183 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
REMICS | Real Estate Mortgage Investment Conduits. | |
RFUCCT | Refinitiv USD IBOR Consumer Cash Fallbacks Term. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $546,421,870, which represents 57.52% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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) | Securities purchased on a when-issued basis. | |
(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 Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(f) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest only securities do not receive principal payments on the underlying debt obligation(s). | |
(g) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(h) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(i) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on futures contracts and swap contracts as follows: |
Centrally Cleared Credit Default Swap Contracts on Indexes – Sell Protection at February 29, 2024(1):
Referenced Indexes |
Central Clearing Party |
Fund Receives (Quarterly) |
Termination Date |
Notional Amount |
Payments Upfront(2) |
Unrealized Appreciation(3) |
Value | |||||||
Markit CDX.NA. IG.S41(4)(5) | Bank of America | 1.000% | 12/20/2028 | $6,540,000 | $58,363 | $76,586 | $134,949 |
(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 $76,586. 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 investment grade securities. |
184 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Centrally Cleared Interest Rate Swap Contracts at February 29, 2024:
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) | 3.872% | 12-Month USD SOFR Index | 5/31/2028 | $ | 60,061,000 | $ | 441,426 | (2) | |||||||
Bank of America(1) | 0.173% | 3-Month USD SOFR Index | 10/21/2025 | 165,637 | 11,733 | ||||||||||
Unrealized Appreciation on Centrally Cleared Interest Rate Swap Contracts | $ | 453,159 |
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) | 0.184% | 3-Month USD FedFunds Index | 10/21/2025 | $ | 165,637 | $ | (11,662 | ) | |||||||
Bank of America(1) | 4.264% | 12-Month USD SOFR Index | 3/31/2026 | 57,152,000 | (92,230 | ) | |||||||||
Unrealized Depreciation on Centrally Cleared Interest Rate Swap Contracts | $ | (103,892 | ) |
SOFR | Secured Overnight Financing Rate. | |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). | |
(2) | Unrealized appreciation on Centrally Cleared Interest Rate Swap Contract is $915,527, which includes upfront | |
payment of $(212,720). Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at February 29, 2024:
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 | 1.756% | CPI Urban Consumer NSA | 11/15/2024 | $ | 10,000,000 | $ | 1,306,578 | |||||||||
Bank of America | 1.935% | CPI Urban Consumer NSA | 9/1/2029 | 5,000,000 | 742,162 | |||||||||||
Bank of America | 1.964% | CPI Urban Consumer NSA | 11/27/2029 | 5,000,000 | 697,626 | |||||||||||
Bank of America | 1.976% | CPI Urban Consumer NSA | 12/2/2028 | 10,000,000 | 1,341,700 | |||||||||||
Bank of America | 2.085% | CPI Urban Consumer NSA | 12/10/2028 | 10,000,000 | 1,258,229 | |||||||||||
Bank of America | 2.107% | CPI Urban Consumer NSA | 2/21/2031 | 5,000,000 | 629,918 | |||||||||||
Bank of America | 2.112% | CPI Urban Consumer NSA | 12/8/2029 | 5,000,000 | 633,379 | |||||||||||
Bank of America | 2.113% | CPI Urban Consumer NSA | 12/29/2027 | 5,000,000 | 601,042 | |||||||||||
Bank of America | 2.119% | CPI Urban Consumer NSA | 2/11/2031 | 15,000,000 | 1,853,327 | |||||||||||
Bank of America | 2.269% | CPI Urban Consumer NSA | 10/30/2030 | 10,000,000 | 1,039,962 | |||||||||||
Bank of America | 2.285% | CPI Urban Consumer NSA | 5/31/2028 | 10,000,000 | 983,114 |
See Notes to Schedule of Investments. | 185 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
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 | 2.310% | CPI Urban Consumer NSA | 6/1/2028 | $ | 10,000,000 | $ | 962,059 | |||||||||
Bank of America | 2.335% | CPI Urban Consumer NSA | 11/17/2036 | 8,000,000 | 850,611 | |||||||||||
Bank of America | 2.341% | CPI Urban Consumer NSA | 8/27/2028 | 10,000,000 | 907,450 | |||||||||||
Bank of America | 2.344% | CPI Urban Consumer NSA | 3/15/2029 | 5,000,000 | 465,260 | |||||||||||
Bank of America | 2.345% | CPI Urban Consumer NSA | 8/14/2028 | 10,000,000 | 901,887 | |||||||||||
Bank of America | 2.353% | CPI Urban Consumer NSA | 6/6/2028 | 10,000,000 | 917,250 | |||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 4/18/2030 | 25,000,000 | 2,255,813 | |||||||||||
Bank of America | 2.375% | CPI Urban Consumer NSA | 8/9/2028 | 10,000,000 | 871,023 | |||||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 7/6/2028 | 10,000,000 | 880,892 | |||||||||||
Bank of America | 2.384% | CPI Urban Consumer NSA | 10/1/2028 | 10,000,000 | 874,234 | |||||||||||
Bank of America | 2.390% | CPI Urban Consumer NSA | 8/3/2028 | 10,000,000 | 854,478 | |||||||||||
Bank of America | 2.393% | CPI Urban Consumer NSA | 5/11/2028 | 10,000,000 | 860,136 | |||||||||||
Bank of America | 2.396% | CPI Urban Consumer NSA | 10/9/2028 | 10,000,000 | 864,523 | |||||||||||
Bank of America | 2.400% | CPI Urban Consumer NSA | 4/26/2030 | 10,000,000 | 863,014 | |||||||||||
Bank of America | 2.408% | CPI Urban Consumer NSA | 5/21/2028 | 5,000,000 | 426,867 | |||||||||||
Bank of America | 2.437% | CPI Urban Consumer NSA | 9/7/2037 | 10,000,000 | 739,068 | |||||||||||
Bank of America | 2.477% | CPI Urban Consumer NSA | 6/11/2036 | 10,000,000 | 855,293 | |||||||||||
Bank of America | 2.493% | CPI Urban Consumer NSA | 6/28/2030 | 25,000,000 | 2,058,049 | |||||||||||
Bank of America | 2.500% | CPI Urban Consumer NSA | 10/4/2025 | 50,000,000 | 345,182 | |||||||||||
Bank of America | 2.510% | CPI Urban Consumer NSA | 6/30/2030 | 20,000,000 | 1,607,573 | |||||||||||
Bank of America | 2.559% | CPI Urban Consumer NSA | 6/1/2030 | 20,000,000 | 1,626,060 | |||||||||||
Bank of America | 2.638% | CPI Urban Consumer NSA | 11/15/2051 | 35,000,000 | 497,955 | (1) | ||||||||||
Bank of America | 2.700% | CPI Urban Consumer NSA | 10/15/2024 | 70,000,000 | 464,305 | |||||||||||
Bank of America | 3.150% | CPI Urban Consumer NSA | 3/2/2027 | 80,000,000 | 1,016,450 | |||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 34,052,469 |
186 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at February 29, 2024:
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 | 2.605% | CPI Urban Consumer NSA | 9/19/2028 | $ | 60,000,000 | $ | (352,652 | ) | |||||||
Bank of America | 2.665% | CPI Urban Consumer NSA | 3/9/2052 | 27,000,000 | (194,454 | )(2) | |||||||||
Bank of America | 2.850% | CPI Urban Consumer NSA | 10/28/2027 | 30,000,000 | (307,195 | ) | |||||||||
Total Unrealized Depreciation on Centrally Cleared CPI Swap Contracts | $ | (854,301 | ) |
(1) | Unrealized appreciation on Centrally Cleared CPI Swap Contract is $447,119, which includes upfront payment of $50,836. Upfront payments paid (received) by Central Clearing Party are presented net of amortization. | |
(2) | Unrealized depreciation on Centrally Cleared CPI Swap Contract is $965,584, which includes upfront payment of $771,130. Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
Consumer Price Index (“CPI”) OTC Swap Contracts at February 29, 2024:
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 | $ | 2,480,307 | |||||||
Bank of America | 1.747% | CPI Urban Consumer NSA | 8/22/2026 | 20,000,000 | 3,132,616 | |||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 4/26/2025 | 10,000,000 | 1,135,765 | |||||||||
Bank of America | 2.213% | CPI Urban Consumer NSA | 10/25/2032 | 5,000,000 | 613,104 | |||||||||
Bank of America | 2.275% | CPI Urban Consumer NSA | 1/6/2026 | 20,000,000 | 2,000,292 | |||||||||
Bank of America | 2.298% | CPI Urban Consumer NSA | 4/5/2029 | 5,000,000 | 488,594 | |||||||||
Bank of America | 2.301% | CPI Urban Consumer NSA | 3/28/2029 | 5,000,000 | 487,527 | |||||||||
Bank of America | 2.348% | CPI Urban Consumer NSA | 3/10/2032 | 5,000,000 | 480,316 | |||||||||
Bank of America | 2.398% | CPI Urban Consumer NSA | 2/12/2033 | 5,000,000 | 450,691 | |||||||||
Barclays Bank PLC | 1.874% | CPI Urban Consumer NSA | 4/11/2026 | 10,000,000 | 1,471,055 | |||||||||
Barclays Bank PLC | 1.944% | CPI Urban Consumer NSA | 3/22/2041 | 5,000,000 | 946,996 | |||||||||
Barclays Bank PLC | 1.960% | CPI Urban Consumer NSA | 2/5/2025 | 10,000,000 | 1,134,019 | |||||||||
Barclays Bank PLC | 2.128% | CPI Urban Consumer NSA | 6/22/2025 | 10,000,000 | 1,081,026 | |||||||||
Barclays Bank PLC | 2.158% | CPI Urban Consumer NSA | 12/2/2024 | 10,000,000 | 1,137,610 | |||||||||
Barclays Bank PLC | 2.159% | CPI Urban Consumer NSA | 11/25/2024 | 15,000,000 | 1,713,229 | |||||||||
Barclays Bank PLC | 2.205% | CPI Urban Consumer NSA | 12/9/2024 | 15,000,000 | 1,634,274 | |||||||||
Barclays Bank PLC | 2.207% | CPI Urban Consumer NSA | 1/11/2025 | 20,000,000 | 2,136,327 |
See Notes to Schedule of Investments. | 187 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND February 29, 2024
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 | |||||||||
Barclays Bank PLC | 2.228% | CPI Urban Consumer NSA | 12/5/2024 | $ | 15,000,000 | $ | 1,608,805 | |||||||
Barclays Bank PLC | 2.354% | CPI Urban Consumer NSA | 12/23/2031 | 10,000,000 | 960,763 | |||||||||
Barclays Bank PLC | 2.393% | CPI Urban Consumer NSA | 12/13/2031 | 5,000,000 | 452,136 | |||||||||
Barclays Bank PLC | 2.410% | CPI Urban Consumer NSA | 2/1/2032 | 10,000,000 | 877,662 | |||||||||
Deutsche Bank AG | 2.465% | CPI Urban Consumer NSA | 11/30/2031 | 5,000,000 | 75,662 | |||||||||
Deutsche Bank AG | 2.505% | CPI Urban Consumer NSA | 12/7/2031 | 5,000,000 | 29,924 | |||||||||
Deutsche Bank AG | 2.518% | CPI Urban Consumer NSA | 4/17/2026 | 15,000,000 | 464,795 | |||||||||
Goldman Sachs | 1.568% | CPI Urban Consumer NSA | 3/2/2024 | 8,000,000 | 1,318,453 | |||||||||
Goldman Sachs | 1.649% | CPI Urban Consumer NSA | 3/4/2024 | 5,000,000 | 787,396 | |||||||||
Goldman Sachs | 2.230% | CPI Urban Consumer NSA | 12/14/2024 | 10,000,000 | 1,061,175 | |||||||||
Goldman Sachs | 2.350% | CPI Urban Consumer NSA | 12/16/2036 | 10,000,000 | 1,021,777 | |||||||||
Total Unrealized Appreciation on CPI OTC Swap Contracts | $ | 31,182,296 |
Consumer Price Index (“CPI”) OTC Swap Contracts at February 29, 2024:
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 | CPI Urban Consumer NSA | 1.645% | 10/1/2025 | $ | 15,000,000 | $ | (2,348,756 | ) | ||||||
Bank of America | CPI Urban Consumer NSA | 1.813% | 3/31/2026 | 5,000,000 | (760,154 | ) | ||||||||
Barclays Bank PLC | 2.945% | CPI Urban Consumer NSA | 3/5/2038 | 15,000,000 | (1,490,145 | ) | ||||||||
Credit Suisse | 2.864% | CPI Urban Consumer NSA | 3/22/2032 | 8,000,000 | (608,299 | ) | ||||||||
Deutsche Bank AG | 2.750% | CPI Urban Consumer NSA | 3/30/2032 | 6,000,000 | (288,951 | ) | ||||||||
Deutsche Bank AG | 3.010% | CPI Urban Consumer NSA | 2/15/2033 | 15,000,000 | (1,519,343 | ) | ||||||||
Goldman Sachs | 2.945% | CPI Urban Consumer NSA | 1/16/2038 | 15,000,000 | (1,587,280 | ) | ||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.063% | 12/8/2024 | 15,000,000 | (1,401,723 | ) | ||||||||
Total Unrealized Depreciation on CPI OTC Swap Contracts | $ | (10,004,651 | ) |
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Note | June 2024 | 204 | Long | $ | 23,155,632 | $ | 23,291,062 | $ | 135,430 | |||||||||
U.S. Ultra Treasury Bond | June 2024 | 568 | Long | 71,696,195 | 72,633,000 | 936,805 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 1,072,235 |
188 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
INFLATION FOCUSED FUND February 29, 2024
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 2-Year Treasury Note | June 2024 | 1,907 | Long | $ | 390,478,457 | $ | 390,458,250 | $ | (20,207 | ) | |||||||||
U.S. 5-Year Treasury Note | June 2024 | 275 | Short | (29,378,780 | ) | (29,399,219 | ) | (20,439 | ) | ||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (40,646 | ) |
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 137,588,195 | $ | 2,277,112 | $ | 139,865,307 | ||||||||
Remaining Industries | – | 92,035,051 | – | 92,035,051 | ||||||||||||
Corporate Bonds | – | 604,186,809 | – | 604,186,809 | ||||||||||||
Floating Rate Loans | – | 8,003,213 | – | 8,003,213 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 173,479 | – | 173,479 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 1,229,917 | – | 1,229,917 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 39,278,219 | – | 39,278,219 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 4,186,638 | – | 4,186,638 | ||||||||||||
Total | $ | – | $ | 886,681,521 | $ | 2,277,112 | $ | 888,958,633 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 134,949 | $ | – | $ | 134,949 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | – | 453,159 | – | 453,159 | ||||||||||||
Liabilities | – | (103,892 | ) | – | (103,892 | ) | ||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 34,052,469 | – | 34,052,469 | ||||||||||||
Liabilities | – | (854,301 | ) | – | (854,301 | ) | ||||||||||
OTC CPI Swap Contracts | ||||||||||||||||
Assets | – | 31,182,296 | – | 31,182,296 | ||||||||||||
Liabilities | – | (10,004,651 | ) | – | (10,004,651 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,072,235 | – | – | 1,072,235 | ||||||||||||
Liabilities | (40,646 | ) | – | – | (40,646 | ) | ||||||||||
Total | $ | 1,031,589 | $ | 54,860,029 | $ | – | $ | 55,891,618 |
(1) | Refer to Note 2(b) 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 year in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the period.
See Notes to Schedule of Investments. | 189 |
Schedule of Investments (unaudited)
MULTI-ASSET BALANCED OPPORTUNITY FUND February 29, 2024
Investments | Shares | Fair Value | |||||||
LONG-TERM INVESTMENTS 99.72% | |||||||||
INVESTMENTS IN UNDERLYING FUNDS(a) 99.72% | |||||||||
Lord Abbett Affiliated Fund, Inc.(b)(c) | 10,713,975 | $ | 192,101,566 | ||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(b)(d) | 1,578,762 | 20,618,633 | |||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(b)(e) | 33,978,992 | 311,587,359 | |||||||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I(b)(f) | 15,858,762 | 335,412,823 | |||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(b)(g) | 17,597,390 | 72,325,274 | |||||||
Lord Abbett Investment Trust-Floating Rate Fund-Class I(b)(h) | 4,721,553 | 38,527,875 | |||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(b)(c) | 15,135,602 | 216,741,821 | |||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(b)(i) | 6,176,865 | 244,603,856 | |||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(b)(j) | 18,487,732 | 116,657,586 | |||||||
Lord Abbett Investment Trust-Income Fund-Class I(b)(k) | 81,600,150 | 197,472,364 | |||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(b)(l) | 6,080,995 | 89,512,242 | |||||||
Lord Abbett Securities Trust-International Value Fund-Class I(b)(m) | 9,781,942 | 75,614,408 | |||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(b)(k) | 2,364,024 | 9,077,852 | |||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund(b)(n) | 4,401,874 | 43,886,679 | |||||||
Principal Amount | |||||||||
Lord Abbett Private Credit Fund 1, LP(o)(p) | $ | 1,320,388 | (q) | 1,320,388 | |||||
Total Investments in Underlying Funds (cost 1,864,757,177) | 1,965,460,726 | ||||||||
SHORT-TERM INVESTMENTS 0.01% | |||||||||
REPURCHASE AGREEMENTS 0.01% | |||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $366,000 of U.S. Treasury Note at 1.000% due 7/31/2028; value: $317,854; proceeds: $311,629 (cost $311,605) | 311,605 | 311,605 | |||||||
Total Investments in Securities 99.73% (cost $1,865,068,782) | 1,965,772,331 | ||||||||
Other Assets and Liabilities – Net(r) 0.27% | 5,246,351 | ||||||||
Net Assets 100.00% | $ | 1,971,018,682 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 5). | |
(b) | These investments offer daily redemptions. | |
(c) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(d) | Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. | |
(e) | Fund investment objective is to seek income and capital appreciation to produce a high total return. | |
(f) | Fund investment objective is to seek current income and capital appreciation. |
190 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET BALANCED OPPORTUNITY FUND February 29, 2024
(g) | Fund investment objective is to seek high total return. | |
(h) | Fund investment objective is to seek a high level of current income. | |
(i) | Fund investment objective is to seek capital appreciation. | |
(j) | Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. | |
(k) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(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) | The fund’s investment objective is to seek current income consistent with the preservation of capital. | |
(o) | The fund’s investment objective is to generate current income and, to an extent, long-term capital appreciation. | |
(p) | Restricted securities (including private placements) – investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At February 29, 2024, the value of restricted securities (excluding 144A issues) amounted to $1,320,388 or 0.07% of net assets. | |
(q) | Principal amount represents partnership interest. | |
(r) | Other Assets and Liabilities - Net include net unrealized appreciation on futures contracts as follows: |
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount |
Notional Value |
Unrealized Appreciation | ||||||
NIKKEI 225 (CME) | March 2024 | 239 | Long | $39,477,607 | $46,969,475 | $7,491,868 |
The following is a summary of the inputs used as of February 29, 2024 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 | $ | 1,965,460,726 | $ | – | $ | – | $ | 1,965,460,726 | ||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 311,605 | – | 311,605 | ||||||||||||
Total | $ | 1,965,460,726 | $ | 311,605 | $ | – | $ | 1,965,772,331 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 7,491,868 | $ | – | $ | – | $ | 7,491,868 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 7,491,868 | $ | – | $ | – | $ | 7,491,868 |
(1) | Refer to Note 2(b) 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.
See Notes to Schedule of Investments. | 191 |
Schedule of Investments (unaudited)
MULTI-ASSET INCOME FUND February 29, 2024
Investments | Shares | Fair Value | |||||||
LONG-TERM INVESTMENTS 99.61% | |||||||||
INVESTMENTS IN UNDERLYING FUNDS(a) 99.61% | |||||||||
Lord Abbett Affiliated Fund, Inc.(b)(c) | 2,443,974 | $ | 43,820,461 | ||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(b)(d) | 30,258,594 | 277,471,306 | |||||||
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I(b)(e) | 3,210,894 | 67,910,411 | |||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(b)(f) | 6,593,284 | 27,098,396 | |||||||
Lord Abbett Investment Trust-Floating Rate Fund-Class I(b)(g) | 1,981,329 | 16,167,648 | |||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(b)(h) | 4,024,097 | 57,625,065 | |||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(b)(i) | 1,499,657 | 59,386,411 | |||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(b)(j) | 10,997,825 | 69,396,277 | |||||||
Lord Abbett Investment Trust-Income Fund-Class I(b)(k) | 36,817,879 | 89,099,266 | |||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(b)(l) | 2,702,705 | 39,783,815 | |||||||
Lord Abbett Securities Trust-International Value Fund-Class I(b)(m) | 3,939,293 | 30,450,736 | |||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(b)(k) | 7,270,880 | 27,920,181 | |||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund(b)(n) | 1,222,324 | 12,186,567 | |||||||
Principal Amount | |||||||||
Lord Abbett Private Credit Fund 1, LP(o)(p) | $ | 557,670 | (q) | 557,670 | |||||
Total Investments in Underlying Funds (cost 820,864,910) | 818,316,540 | ||||||||
Total Investments in Securities 99.61% (cost $820,864,910) | 818,316,540 | ||||||||
Other Assets and Liabilities – Net(r) 0.39% | 3,196,975 | ||||||||
Net Assets 100.00% | $ | 821,513,515 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 5). | |
(b) | These investments offer daily redemptions. | |
(c) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(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 to seek a high level of current income. | |
(h) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(i) | Fund investment objective is to seek capital appreciation. | |
(j) | Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. | |
(k) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(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) | The fund’s investment objective is to seek current income consistent with the preservation of capital. | |
(o) | The fund’s investment objective is to generate current income and, to an extent, long-term capital appreciation. | |
(p) | Restricted securities (including private placements) – investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At February 29, 2024, the value of restricted securities (excluding 144A issues) amounted to $557,670 or 0.07% of net assets. | |
(q) | Principal amount represents partnership interest. | |
(r) | Other Assets and Liabilities - Net include net unrealized appreciation on futures contracts as follows: |
192 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET INCOME FUND February 29, 2024
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount |
Notional Value |
Unrealized Appreciation | ||||||
NIKKEI 225 (CME) | March 2024 | 108 | Long | $17,839,253 | $21,224,700 | $3,385,447 |
The following is a summary of the inputs used as of February 29, 2024 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 | $ | 818,316,540 | $ | – | $ | – | $ | 818,316,540 | ||||||||
Total | $ | 818,316,540 | $ | – | $ | – | $ | 818,316,540 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 3,385,447 | $ | – | $ | – | $ | 3,385,447 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 3,385,447 | $ | – | $ | – | $ | 3,385,447 |
(1) | Refer to Note 2(b) 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.
See Notes to Schedule of Investments. | 193 |
Schedule of Investments (unaudited)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.02% | ||||||||||||
ASSET-BACKED SECURITIES 21.84% | ||||||||||||
Automobiles 8.78% | ||||||||||||
Avid Automobile Receivables Trust Series 2021-1 Class C† | 1.55% | 5/15/2026 | $ | 296,744 | $ | 294,890 | ||||||
Avis Budget Rental Car Funding AESOP LLC Series 2018-2A Class A† | 4.00% | 3/20/2025 | 116,667 | 116,586 | ||||||||
BMW Vehicle Lease Trust Series 2023-2 Class A3 | 5.99% | 9/25/2026 | 1,630,000 | 1,644,279 | ||||||||
CarMax Auto Owner Trust Series 2020-1 Class D | 2.64% | 7/15/2026 | 125,000 | 124,815 | ||||||||
CarMax Auto Owner Trust Series 2022-3 Class D | 6.20% | 1/16/2029 | 1,480,000 | 1,478,157 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class C | 5.19% | 1/16/2029 | 1,450,000 | 1,437,772 | ||||||||
CarMax Auto Owner Trust Series 2023-3 Class A2A | 5.72% | 11/16/2026 | 810,000 | 811,169 | ||||||||
Citizens Auto Receivables Trust Series 2023-1 Class A3† | 5.84% | 1/18/2028 | 900,000 | 909,307 | ||||||||
Citizens Auto Receivables Trust Series 2023-2 Class A3† | 5.83% | 2/15/2028 | 2,060,000 | 2,085,095 | ||||||||
Credit Acceptance Auto Loan Trust Series 2021-3A Class A† | 1.00% | 5/15/2030 | 247,341 | 245,124 | ||||||||
Credit Acceptance Auto Loan Trust Series 2023-1A Class A† | 6.48% | 3/15/2033 | 1,205,000 | 1,217,505 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 87,435 | 86,846 | ||||||||
Exeter Automobile Receivables Trust Series 2023-1A Class D | 6.69% | 6/15/2029 | 1,270,000 | 1,286,050 | ||||||||
First Investors Auto Owner Trust Series 2021-2A Class A† | 0.48% | 3/15/2027 | 117,194 | 115,696 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 1,352,825 | 1,343,495 | ||||||||
Flagship Credit Auto Trust Series 2022-4 Class A2† | 6.15% | 9/15/2026 | 1,157,045 | 1,158,041 | ||||||||
Flagship Credit Auto Trust Series 2022-4 Class A3† | 6.32% | 6/15/2027 | 605,000 | 608,934 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A3† | 5.01% | 8/16/2027 | 975,000 | 968,779 | ||||||||
Ford Credit Auto Lease Trust Series 2024-A Class B | 5.29% | 6/15/2027 | 1,105,000 | 1,102,425 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-3A Class C† | 1.11% | 9/15/2026 | 379,764 | 373,370 | ||||||||
GLS Auto Receivables Issuer Trust Series 2023-3A Class A2† | 6.04% | 3/15/2027 | 897,777 | 899,590 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class B | 5.54% | 5/20/2027 | 1,010,000 | 1,007,601 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-3 Class A3 | 5.38% | 11/20/2026 | 1,920,000 | 1,925,066 | ||||||||
GM Financial Consumer Automobile Receivables Trust Series 2024-1 Class B | 5.16% | 8/16/2029 | 1,460,000 | 1,455,393 |
194 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Hertz Vehicle Financing III LP Series 2021-2A Class A† | 1.68% | 12/27/2027 | $ | 620,000 | $ | 563,138 | ||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 265,000 | 257,999 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1 Class A† | 3.63% | 9/14/2027 | 584,000 | 574,703 | ||||||||
OneMain Direct Auto Receivables Trust Series 2019-1A Class C† | 4.19% | 11/14/2028 | 753,000 | 728,446 | ||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A† | 0.87% | 7/14/2028 | 259,289 | 249,732 | ||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class B† | 1.26% | 7/14/2028 | 317,000 | 291,293 | ||||||||
PenFed Auto Receivables Owner Trust Series 2022-A Class A3† | 3.96% | 4/15/2026 | 1,568,449 | 1,556,350 | ||||||||
Prestige Auto Receivables Trust Series 2022-1A Class B† | 6.55% | 7/17/2028 | 1,215,000 | 1,220,850 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class C† | 1.29% | 4/15/2026 | 240,840 | 239,813 | ||||||||
Santander Consumer Auto Receivables Trust Series 2020-BA Class D† | 2.14% | 12/15/2026 | 1,155,000 | 1,135,930 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-4 Class C | 5.00% | 11/15/2029 | 1,630,000 | 1,609,226 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class B | 4.43% | 3/15/2027 | 1,085,000 | 1,075,033 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class B | 4.72% | 6/15/2027 | 1,505,000 | 1,492,185 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-3 Class A2 | 6.08% | 8/17/2026 | 442,930 | 443,614 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-4 Class A2 | 6.18% | 2/16/2027 | 1,434,540 | 1,438,325 | ||||||||
SBNA Auto Lease Trust Series 2023-A Class A3† | 6.51% | 4/20/2027 | 995,000 | 1,012,353 | ||||||||
SFS Auto Receivables Securitization Trust Series 2024-1A Class B† | 5.38% | 1/21/2031 | 920,000 | 919,961 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class A3† | 5.21% | 1/18/2028 | 1,260,000 | 1,256,265 | ||||||||
Westlake Automobile Receivables Trust Series 2023-3A Class A2A† | 5.96% | 10/15/2026 | 1,920,000 | 1,921,903 | ||||||||
Total | 40,683,104 | |||||||||||
Credit Card 1.10% | ||||||||||||
Capital One Multi-Asset Execution Trust Series 2005-B3 Class B3 | 6.126% (3 mo. USD Term SOFR + 0.81%) | # | 5/15/2028 | 1,225,000 | 1,218,999 |
See Notes to Schedule of Investments. | 195 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Credit Card (continued) | ||||||||||||
Continental Finance Credit Card ABS Master Trust Series 2020-1A Class A† | 2.24% | 12/15/2028 | $ | 499,193 | $ | 492,710 | ||||||
Master Credit Card Trust Series 2021-1A Class B† | 0.79% | 11/21/2025 | 1,200,000 | 1,186,176 | ||||||||
Newday Funding Master Issuer PLC Series 2021-1A Class A2† | 6.419% (SOFR + 1.10%) | # | 3/15/2029 | 600,000 | 600,120 | |||||||
World Financial Network Credit Card Master Trust Series 2023-A Class A | 5.02% | 3/15/2030 | 1,610,000 | 1,600,621 | ||||||||
Total | 5,098,626 | |||||||||||
Other 11.55% | ||||||||||||
Affirm Asset Securitization Trust Series 2022-A Class 1A† | 4.30% | 5/17/2027 | 1,940,000 | 1,925,542 | ||||||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | 46,697 | 46,059 | ||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 1,280,000 | 1,288,224 | ||||||||
Affirm Asset Securitization Trust Series 2024-A Class A† | 5.61% | 2/15/2029 | 345,000 | 344,607 | ||||||||
AMMC CLO 23 Ltd. Series 2020-23A Class A1R† | 6.618% (3 mo. USD Term SOFR + 1.30%) | # | 10/17/2031 | 750,000 | 751,710 | |||||||
Amur Equipment Finance Receivables IX LLC Series 2021-1A Class D† | 2.30% | 11/22/2027 | 675,000 | 653,028 | ||||||||
Amur Equipment Finance Receivables XIII LLC Series 2024-1A Class A2† | 5.38% | 1/21/2031 | 1,645,000 | 1,641,498 | ||||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 155,782 | 138,944 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.502% (1 mo. USD Term SOFR + 1.18%) | # | 8/15/2034 | 460,000 | 456,561 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1 Class A† | 6.775% (30 day USD SOFR Average + 1.45%) | # | 1/15/2037 | 1,000,000 | 996,688 | |||||||
Bain Capital Credit CLO Series 2018-2A Class A1† | 6.651% (3 mo. USD Term SOFR + 1.34%) | # | 7/19/2031 | 690,312 | 692,598 | |||||||
Ballyrock CLO Ltd. Series 2019-2A Class A1RR† | 6.719% (3 mo. USD Term SOFR + 1.40%) | # | 2/20/2036 | 1,000,000 | 1,000,771 | |||||||
Barings Loan Partners CLO Ltd. Series LP-3A Class AR† | 6.838% (3 mo. USD Term SOFR + 1.52%) | # | 7/20/2033 | 1,000,000 | 1,000,600 |
196 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Benefit Street Partners CLO IV Ltd. Series 2014-IVA Class AR4†(a) | 5.48% (3 mo. USD Term SOFR + 1.35%) | # | 4/20/2034 | $ | 1,500,000 | $ | 1,501,125 | |||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2029 | 206,106 | 206,374 | |||||||
BSPRT Issuer Ltd. Series 2021-FL7 Class A† | 6.752% (1 mo. USD Term SOFR + 1.43%) | # | 12/15/2038 | 349,750 | 348,545 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2014-2R Class A1† | 6.619% (3 mo. USD Term SOFR + 1.31%) | # | 5/15/2031 | 771,432 | 771,895 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2031 | 880,320 | 880,848 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.479% (3 mo. USD Term SOFR + 1.16%) | # | 7/20/2029 | 186,660 | 186,716 | |||||||
Carlyle U.S. CLO Ltd. Series 2019-1A Class A1AR† | 6.659% (3 mo. USD Term SOFR + 1.34%) | # | 4/20/2031 | 2,000,000 | 2,002,200 | |||||||
CIFC Funding Ltd. Series 2013-2A Class A1L2† | 6.56% (3 mo. USD Term SOFR + 1.26%) | # | 10/18/2030 | 891,012 | 892,527 | |||||||
Dell Equipment Finance Trust Series 2021-2 Class B† | 0.81% | 12/22/2026 | 460,000 | 456,890 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class C† | 0.94% | 12/22/2026 | 460,000 | 456,830 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class D† | 1.21% | 6/22/2027 | 460,000 | 456,575 | ||||||||
Dell Equipment Finance Trust Series 2023-2 Class A2† | 5.84% | 1/22/2029 | 1,105,000 | 1,106,496 | ||||||||
Dryden 113 CLO Ltd. Series 2022-113A Class A1R† | 7.046% (3 mo. USD Term SOFR + 1.63%) | # | 10/20/2035 | 1,500,000 | 1,501,650 | |||||||
Dryden 53 CLO Ltd. Series 2017-53A Class A† | 6.696% (3 mo. USD Term SOFR + 1.38%) | # | 1/15/2031 | 363,737 | 364,065 | |||||||
Dryden XXVI Senior Loan Fund Series 2013-26A Class AR† | 6.476% (3 mo. USD Term SOFR + 1.16%) | # | 4/15/2029 | 183,941 | 184,194 | |||||||
Elmwood CLO Ltd. Series 2022-5A Class AR† | 6.967% (3 mo. USD Term SOFR + 1.65%) | # | 7/17/2033 | 1,500,000 | 1,501,650 |
See Notes to Schedule of Investments. | 197 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Elmwood CLO VII Ltd. Series 2020-4A Class AR† | 6.947% (3 mo. USD Term SOFR + 1.63%) | # | 1/17/2034 | $ | 580,000 | $ | 580,831 | |||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.53% (3 mo. USD Term SOFR + 1.21%) | # | 7/24/2030 | 139,361 | 139,362 | |||||||
GreatAmerica Leasing Receivables Series 2024-1 Class A4† | 5.08% | 12/16/2030 | 1,350,000 | 1,344,618 | ||||||||
Greystone CRE Notes Ltd. Series 2021-FL3 Class A† | 6.452% (1 mo. USD Term SOFR + 1.13%) | # | 7/15/2039 | 460,000 | 455,400 | |||||||
HGI CRE CLO Ltd. Series 2021-FL1 Class A† | 6.486% (1 mo. USD Term SOFR + 1.16%) | # | 6/16/2036 | 228,533 | 226,821 | |||||||
KKR CLO 29 Ltd. Series 29A Class A† | 6.776% (3 mo. USD Term SOFR + 1.46%) | # | 1/15/2032 | 250,000 | 250,760 | |||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.506% (1 mo. USD Term SOFR + 1.18%) | # | 2/15/2039 | 360,000 | 352,850 | |||||||
LCM XXII Ltd. Series 22A Class A1R† | 6.739% (3 mo. USD Term SOFR + 1.42%) | # | 10/20/2028 | 81,786 | 82,044 | |||||||
LFT CRE Ltd. Series 2021-FL1 Class B† | 7.182% (1 mo. USD Term SOFR + 1.86%) | # | 6/15/2039 | 730,000 | 708,259 | |||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.874% (30 day USD SOFR Average + 1.55%) | # | 1/17/2037 | 559,965 | 555,066 | |||||||
Madison Park Funding LIX Ltd. Series 2021-59A Class A† | 6.70% (3 mo. USD Term SOFR + 1.40%) | # | 1/18/2034 | 1,250,000 | 1,251,875 | |||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.477% (3 mo. USD Term SOFR + 1.16%) | # | 7/23/2029 | 223,712 | 224,002 | |||||||
Madison Park Funding XIII Ltd. Series 2014-13A Class AR2† | 6.521% (3 mo. USD Term SOFR + 1.21%) | # | 4/19/2030 | 761,109 | 761,566 | |||||||
Madison Park Funding XIV Ltd. Series 2014-14A Class BR3† | 7.117% (3 mo. USD Term SOFR + 1.80%) | # | 10/22/2030 | 510,000 | 509,999 | |||||||
Madison Park Funding XLVIII Ltd. Series 2021-48A Class A† | 6.721% (3 mo. USD Term SOFR + 1.41%) | # | 4/19/2033 | 1,178,000 | 1,180,061 | |||||||
Magnetite Xxix Ltd. Series 2021-29A Class A† | 6.566% (3 mo. USD Term SOFR + 1.25%) | # | 1/15/2034 | 250,000 | 250,075 | |||||||
Mariner Finance Issuance Trust Series 2022-AA Class A† | 6.45% | 10/20/2037 | 690,000 | 692,533 |
198 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Marlette Funding Trust Series 2020-2A Class D† | 4.65% | 9/16/2030 | $ | 139,625 | $ | 139,304 | ||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 243,205 | 242,035 | ||||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.666% (3 mo. USD Term SOFR + 1.35%) | # | 10/16/2029 | 165,676 | 165,759 | |||||||
Newark BSL CLO 1 Ltd. Series 2016-1A Class A1R† | 6.681% (3 mo. USD Term SOFR + 1.36%) | # | 12/21/2029 | 345,106 | 345,853 | |||||||
OCP CLO Ltd. Series 2014-5 Class A1R† | 6.666% (3 mo. USD Term SOFR + 1.34%) | # | 4/26/2031 | 907,707 | 911,032 | |||||||
OCP CLO Ltd. Series 2016-11A Class A1R2†(a) | 0.30% (3 mo. USD Term SOFR + 1.42%) | # | 4/26/2036 | 1,000,000 | 1,000,000 | |||||||
OCP CLO Ltd. Series 2019-17A Class A1R† | 6.619% (3 mo. USD Term SOFR + 1.30%) | # | 7/20/2032 | 687,000 | 686,450 | |||||||
OCP CLO Ltd. Series 2020-18A Class AR† | 6.669% (3 mo. USD Term SOFR + 1.35%) | # | 7/20/2032 | 1,600,000 | 1,603,827 | |||||||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R† | 6.579% (3 mo. USD Term SOFR + 1.26%) | # | 3/17/2030 | 608,517 | 609,004 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.526% (3 mo. USD Term SOFR + 1.21%) | # | 7/15/2029 | 119,197 | 119,546 | |||||||
Octagon Investment Partners XXI Ltd. Series 2014-1A Class AAR3† | 6.568% (3 mo. USD Term SOFR + 1.26%) | # | 2/14/2031 | 1,000,000 | 1,000,700 | |||||||
Octagon Loan Funding Ltd. Series 2014-1A Class ARR† | 6.761% (3 mo. USD Term SOFR + 1.44%) | # | 11/18/2031 | 1,500,000 | 1,501,425 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 86,978 | 86,524 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class C† | 2.76% | 9/14/2035 | 690,000 | 612,968 | ||||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 124,254 | 122,671 | ||||||||
Post Road Equipment Finance Series 2021-1 Class A2† | 4.88% | 11/15/2028 | 848,000 | 838,782 | ||||||||
Rad CLO 2 Ltd. Series 2018-2A Class AR† | 6.656% (3 mo. USD Term SOFR + 1.34%) | # | 10/15/2031 | 249,440 | 250,198 | |||||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.959% (3 mo. USD Term SOFR + 1.64%) | # | 1/20/2033 | 1,308,000 | 1,312,685 | |||||||
Rad CLO 7 Ltd. Series 2020-7A Class A1R†(a) | 5.55% (3 mo. USD Term SOFR + 1.35%) | # | 4/17/2036 | 1,500,000 | 1,500,000 |
See Notes to Schedule of Investments. | 199 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Regatta VIII Funding Ltd. Series 2017-1A Class A† | 6.828% (3 mo. USD Term SOFR + 1.51%) | # | 10/17/2030 | $ | 317,728 | $ | 318,799 | |||||
Rockford Tower CLO Ltd. Series 2018-1A Class A† | 6.681% (3 mo. USD Term SOFR + 1.36%) | # | 5/20/2031 | 657,710 | 656,789 | |||||||
Romark CLO Ltd. Series 2017-1A Class A1R† | 6.607% (3 mo. USD Term SOFR + 1.29%) | # | 10/23/2030 | 909,449 | 909,085 | |||||||
RR 3 Ltd. Series 2018-3A Class A1R2† | 6.666% (3 mo. USD Term SOFR + 1.35%) | # | 1/15/2030 | 510,819 | 511,228 | |||||||
RR Ltd. Series 2022-24A Class A1AR† | 7.077% (3 mo. USD Term SOFR + 1.73%) | # | 1/15/2036 | 1,040,000 | 1,046,369 | |||||||
SCF Equipment Leasing LLC Series 2020-1A Class B† | 2.02% | 3/20/2028 | 236,923 | 235,779 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class B† | 1.37% | 8/20/2029 | 1,370,000 | 1,316,623 | ||||||||
Valley Stream Park CLO Ltd. Series 2022-1A Class AR† | 6.948% (3 mo. USD Term SOFR + 1.63%) | # | 10/20/2034 | 970,000 | 975,428 | |||||||
Verizon Master Trust Series 2022-7 Class A1A | 5.23% | 11/22/2027 | 405,000 | 404,392 | ||||||||
Voya CLO Ltd. Series2017-4 Class A1† | 6.706% (3 mo. USD Term SOFR + 1.39%) | # | 10/15/2030 | 754,039 | 754,869 | |||||||
Total | 53,499,656 | |||||||||||
Rec Vehicle Loan 0.31% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | 82,861 | 81,796 | ||||||||
Octane Receivables Trust Series 2022-1A Class A2† | 4.18% | 3/20/2028 | 126,126 | 124,962 | ||||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 208,302 | 207,343 | ||||||||
Octane Receivables Trust Series 2022-2A Class B† | 5.85% | 7/20/2028 | 1,036,000 | 1,027,831 | ||||||||
Total | 1,441,932 | |||||||||||
Student Loan 0.10% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-FA Class A† | 1.22% | 7/15/2069 | 171,831 | 155,309 | ||||||||
Navient Private Education Refi Loan Trust Series 2022-A Class A† | 2.23% | 7/15/2070 | 359,858 | 315,956 | ||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 6.035% (1 mo. USD Term SOFR + 0.71%) | # | 1/25/2046 | 1,499 | 1,498 | |||||||
Total | 472,763 | |||||||||||
Total Asset-Backed Securities (cost $101,446,818) | 101,196,081 |
200 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
CORPORATE BONDS 65.06% | ||||||||||||
Aerospace/Defense 0.71% | ||||||||||||
Boeing Co. | 2.196% | 2/4/2026 | $ | 1,300,000 | $ | 1,220,227 | ||||||
HEICO Corp. | 5.25% | 8/1/2028 | 188,000 | 189,612 | ||||||||
Hexcel Corp. | 4.95% | 8/15/2025 | 1,345,000 | 1,324,183 | ||||||||
L3Harris Technologies, Inc. | 5.40% | 1/15/2027 | 384,000 | 386,578 | ||||||||
RTX Corp. | 5.75% | 11/8/2026 | 174,000 | 176,547 | ||||||||
Total | 3,297,147 | |||||||||||
Agriculture 1.50% | ||||||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 890,000 | 876,464 | ||||||||
BAT International Finance PLC (United Kingdom)(b) | 5.931% | 2/2/2029 | 348,000 | 355,611 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(b) | 3.50% | 7/26/2026 | 1,302,000 | 1,238,977 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(b) | 6.125% | 7/27/2027 | 709,000 | 722,012 | ||||||||
Philip Morris International, Inc. | 4.75% | 2/12/2027 | 195,000 | 192,628 | ||||||||
Philip Morris International, Inc. | 4.875% | 2/13/2029 | 499,000 | 490,735 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 1,240,000 | 1,221,322 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 2.00% | 4/21/2026 | 1,800,000 | 1,666,825 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 4.90% | 4/21/2027 | 200,000 | 195,866 | ||||||||
Total | 6,960,440 | |||||||||||
Airlines 0.37% | ||||||||||||
United Airlines Pass-Through Trust Series 2020-1 Class A | 5.875% | 4/15/2029 | 1,674,722 | 1,692,604 | ||||||||
Apparel 0.24% | ||||||||||||
Tapestry, Inc. | 7.00% | 11/27/2026 | 1,100,000 | 1,130,304 | ||||||||
Auto Manufacturers 3.14% | ||||||||||||
Daimler Truck Finance North America LLC† | 5.60% | 8/8/2025 | 1,234,000 | 1,237,217 | ||||||||
Ford Motor Credit Co. LLC | 3.375% | 11/13/2025 | 1,618,000 | 1,553,015 | ||||||||
Ford Motor Credit Co. LLC | 4.063% | 11/1/2024 | 381,000 | 375,813 | ||||||||
Ford Motor Credit Co. LLC | 4.134% | 8/4/2025 | 1,133,000 | 1,105,984 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 4/6/2026 | 218,000 | 218,158 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 5/8/2027 | 374,000 | 374,290 | ||||||||
General Motors Financial Co., Inc. | 5.965% (SOFR + 0.62%) | # | 10/15/2024 | 606,000 | 606,502 | |||||||
Hyundai Capital America† | 1.00% | 9/17/2024 | 400,000 | 389,690 | ||||||||
Hyundai Capital America† | 5.25% | 1/8/2027 | 406,000 | 404,691 | ||||||||
Hyundai Capital America† | 5.50% | 3/30/2026 | 335,000 | 335,338 | ||||||||
Hyundai Capital America† | 5.80% | 6/26/2025 | 1,065,000 | 1,069,298 | ||||||||
Hyundai Capital America† | 5.95% | 9/21/2026 | 1,543,000 | 1,560,865 |
See Notes to Schedule of Investments. | 201 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
Hyundai Capital America† | 6.25% | 11/3/2025 | $ | 498,000 | $ | 503,875 | ||||||
Hyundai Capital America† | 6.495% (SOFR + 1.15%) | # | 8/4/2025 | 1,737,000 | 1,742,428 | |||||||
Nissan Motor Acceptance Co. LLC† | 1.125% | 9/16/2024 | 1,500,000 | 1,458,960 | ||||||||
Volkswagen Group of America Finance LLC† | 5.70% | 9/12/2026 | 541,000 | 546,189 | ||||||||
Volkswagen Group of America Finance LLC† | 5.80% | 9/12/2025 | 684,000 | 687,132 | ||||||||
Volkswagen Group of America Finance LLC† | 6.00% | 11/16/2026 | 388,000 | 395,469 | ||||||||
Total | 14,564,914 | |||||||||||
Banks 23.72% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 6.339% (1 yr. CMT + 1.65%) | # | 9/18/2027 | 300,000 | 305,174 | |||||||
AIB Group PLC (Ireland)†(b) | 4.263% (3 mo. USD LIBOR + 1.87%) | # | 4/10/2025 | 3,500,000 | 3,491,688 | |||||||
AIB Group PLC (Ireland)†(b) | 6.608% (SOFR + 2.33%) | # | 9/13/2029 | 269,000 | 279,277 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 4.40% | 5/19/2026 | 900,000 | 874,341 | ||||||||
Bank of America Corp. | 1.197% (SOFR + 1.01%) | # | 10/24/2026 | 1,500,000 | 1,398,116 | |||||||
Bank of America Corp. | 1.319% (SOFR + 1.15%) | # | 6/19/2026 | 376,000 | 356,019 | |||||||
Bank of America Corp. | 1.53% (SOFR + 0.65%) | # | 12/6/2025 | 118,000 | 114,274 | |||||||
Bank of America Corp. | 1.734% (SOFR + 0.96%) | # | 7/22/2027 | 220,000 | 201,788 | |||||||
Bank of America Corp. | 2.456% (3 mo. USD Term SOFR + 1.13%) | # | 10/22/2025 | 128,000 | 125,330 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33%) | # | 4/2/2026 | 3,765,000 | 3,675,582 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63%) | # | 7/21/2028 | 3,328,000 | 3,155,987 | |||||||
Bank of Ireland Group PLC (Ireland)†(b) | 6.253% (1 yr. CMT + 2.65%) | # | 9/16/2026 | 500,000 | 503,206 | |||||||
Bank of Montreal (Canada)(b) | 5.266% | 12/11/2026 | 679,000 | 680,926 | ||||||||
Bank of Montreal (Canada)(b) | 5.30% | 6/5/2026 | 189,000 | 189,534 | ||||||||
Bank of New York Mellon Corp. | 4.543% (SOFR + 1.17%) | # | 2/1/2029 | 125,000 | 122,870 | |||||||
Bank of New York Mellon Corp. | 4.947% (SOFR + 1.03%) | # | 4/26/2027 | 207,000 | 205,913 | |||||||
Bank of Nova Scotia (Canada)(b) | 4.75% | 2/2/2026 | 177,000 | 175,666 | ||||||||
Bank of Nova Scotia (Canada)(b) | 5.35% | 12/7/2026 | 580,000 | 582,301 |
202 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Bank of Nova Scotia (Canada)(b) | 5.45% | 6/12/2025 | $ | 242,000 | $ | 242,177 | ||||||
Barclays PLC (United Kingdom)(b) | 2.852% (SOFR + 2.71%) | # | 5/7/2026 | 1,032,000 | 998,073 | |||||||
Barclays PLC (United Kingdom)(b) | 5.829% (SOFR + 2.21%) | # | 5/9/2027 | 580,000 | 581,577 | |||||||
Barclays PLC (United Kingdom)(b) | 6.496% (SOFR + 1.88%) | # | 9/13/2027 | 1,512,000 | 1,538,911 | |||||||
Barclays PLC (United Kingdom)(b) | 7.325% (1 yr. CMT + 3.05%) | # | 11/2/2026 | 841,000 | 862,130 | |||||||
BNP Paribas SA (France)†(b) | 1.904% (SOFR + 1.61%) | # | 9/30/2028 | 249,269 | 220,696 | |||||||
BNP Paribas SA (France)†(b) | 2.219% (SOFR + 2.07%) | # | 6/9/2026 | 4,490,000 | 4,299,689 | |||||||
BNP Paribas SA (France)†(b) | 2.591% (SOFR + 1.23%) | # | 1/20/2028 | 1,434,000 | 1,323,367 | |||||||
BNP Paribas SA (France)†(b) | 2.819% (3 mo. USD Term SOFR + 1.37%) | # | 11/19/2025 | 268,000 | 262,285 | |||||||
BNP Paribas SA (France)†(b) | 5.125% (1 yr. CMT + 1.45%) | # | 1/13/2029 | 259,000 | 257,305 | |||||||
BNP Paribas SA (France)†(b) | 5.497% (SOFR + 1.59%) | # | 5/20/2030 | 480,000 | 478,034 | |||||||
BPCE SA (France)†(b) | 4.50% | 3/15/2025 | 560,000 | 549,955 | ||||||||
BPCE SA (France)†(b) | 4.875% | 4/1/2026 | 200,000 | 195,638 | ||||||||
BPCE SA (France)†(b) | 5.15% | 7/21/2024 | 462,000 | 459,939 | ||||||||
BPCE SA (France)†(b) | 5.203% | 1/18/2027 | 250,000 | 249,964 | ||||||||
BPCE SA (France)†(b) | 5.975% (SOFR + 2.10%) | # | 1/18/2027 | 390,000 | 390,450 | |||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.001% | 4/28/2028 | 468,000 | 466,531 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.615% | 7/17/2026 | 483,000 | 487,913 | ||||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16%) | # | 4/24/2025 | 1,100,000 | 1,095,860 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82%) | # | 1/10/2028 | 3,245,000 | 3,119,840 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37%) | # | 5/24/2025 | 225,000 | 223,974 | |||||||
Citigroup, Inc. | 5.174% (SOFR + 1.36%) | # | 2/13/2030 | 839,000 | 830,652 | |||||||
Citigroup, Inc. | 5.61% (SOFR + 1.55%) | # | 9/29/2026 | 1,432,000 | 1,434,243 | |||||||
Citizens Bank NA | 4.119% (SOFR + 1.40%) | # | 5/23/2025 | 463,000 | 459,703 | |||||||
Citizens Bank NA | 4.575% (SOFR + 2.00%) | # | 8/9/2028 | 650,000 | 619,552 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45%) | # | 10/24/2025 | 250,000 | 248,609 | |||||||
Danske Bank AS (Denmark)†(b) | 3.244% (3 mo. USD LIBOR + 1.59%) | # | 12/20/2025 | 2,000,000 | 1,954,909 |
See Notes to Schedule of Investments. | 203 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Danske Bank AS (Denmark)†(b) | 3.773% (1 yr. CMT + 1.45%) | # | 3/28/2025 | $ | 872,000 | $ | 870,332 | |||||
Danske Bank AS (Denmark)†(a)(b) | 5.427% (1 yr. CMT + 0.95%) | # | 3/1/2028 | 527,000 | 527,919 | |||||||
Danske Bank AS (Denmark)†(b) | 6.466% (1 yr. CMT + 2.10%) | # | 1/9/2026 | 2,788,000 | 2,799,422 | |||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72%) | # | 9/27/2025 | 2,061,000 | 2,021,009 | |||||||
Goldman Sachs Group, Inc. | 2.64% (SOFR + 1.11%) | # | 2/24/2028 | 2,287,000 | 2,118,855 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46%) | # | 9/29/2025 | 486,000 | 479,296 | |||||||
Goldman Sachs Group, Inc. | 5.798% (SOFR + 1.08%) | # | 8/10/2026 | 279,000 | 280,623 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 2.999% (SOFR + 1.43%) | # | 3/10/2026 | 3,534,000 | 3,435,957 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD Term SOFR + 1.47%) | # | 3/11/2025 | 1,326,000 | 1,325,339 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 4.292% (3 mo. USD Term SOFR + 1.61%) | # | 9/12/2026 | 900,000 | 882,431 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 5.887% (SOFR + 1.57%) | # | 8/14/2027 | 517,000 | 520,534 | |||||||
Huntington National Bank | 4.008% (SOFR + 1.21%) | # | 5/16/2025 | 250,000 | 248,480 | |||||||
ING Groep NV (Netherlands)(b) | 6.083% (SOFR + 1.56%) | # | 9/11/2027 | 808,000 | 818,905 | |||||||
JPMorgan Chase & Co. | 2.301% (SOFR + 1.16%) | # | 10/15/2025 | 521,000 | 510,597 | |||||||
JPMorgan Chase & Co. | 3.782% (3 mo. USD Term SOFR + 1.60%) | # | 2/1/2028 | 1,600,000 | 1,536,740 | |||||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98%) | # | 6/14/2025 | 41,000 | 40,752 | |||||||
JPMorgan Chase & Co. | 6.265% (SOFR + 0.92%) | # | 2/24/2026 | 479,000 | 481,151 | |||||||
KeyBank NA | 4.70% | 1/26/2026 | 404,000 | 392,839 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 3.87% (1 yr. CMT + 3.50%) | # | 7/9/2025 | 619,000 | 614,463 | |||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 5.462% (1 yr. CMT + 1.38%) | # | 1/5/2028 | 392,000 | 390,470 |
204 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 5.985% (1 yr. CMT + 1.48%) | # | 8/7/2027 | $ | 347,000 | $ | 349,527 | |||||
Macquarie Bank Ltd. (Australia)†(b) | 5.391% | 12/7/2026 | 309,000 | 309,735 | ||||||||
Macquarie Group Ltd. (Australia)†(b) | 1.34% (SOFR + 1.07%) | # | 1/12/2027 | 226,000 | 208,630 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 3.763% (3 mo. USD LIBOR + 1.37%) | # | 11/28/2028 | 754,000 | 706,219 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 5.108% (SOFR + 2.21%) | # | 8/9/2026 | 342,000 | 339,890 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 6.207% | 11/22/2024 | 1,568,000 | 1,572,863 | ||||||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | 1,216,000 | 1,184,688 | ||||||||
Manufacturers & Traders Trust Co. | 4.70% | 1/27/2028 | 402,000 | 386,851 | ||||||||
Manufacturers & Traders Trust Co. | 5.40% | 11/21/2025 | 1,009,000 | 999,729 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 0.962% (1 yr. CMT + 0.45%) | # | 10/11/2025 | 820,000 | 795,847 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 4.788% (1 yr. CMT + 1.70%) | # | 7/18/2025 | 409,000 | 407,296 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 5.063% (1 yr. CMT + 1.55%) | # | 9/12/2025 | 625,000 | 622,424 | |||||||
Morgan Stanley | 2.188% (SOFR + 1.99%) | # | 4/28/2026 | 721,000 | 694,066 | |||||||
Morgan Stanley | 4.21% (SOFR + 1.61%) | # | 4/20/2028 | 816,000 | 789,984 | |||||||
Morgan Stanley | 5.449% (SOFR + 1.63%) | # | 7/20/2029 | 5,196,000 | 5,218,202 | |||||||
Morgan Stanley | 6.138% (SOFR + 1.77%) | # | 10/16/2026 | 75,000 | 75,906 | |||||||
NatWest Group PLC (United Kingdom)(b) | 4.269% (3 mo. USD LIBOR + 1.76%) | # | 3/22/2025 | 2,066,000 | 2,064,237 | |||||||
NatWest Group PLC (United Kingdom)(b) | 5.583% (1 yr. CMT + 1.10%) | # | 3/1/2028 | 422,000 | 422,490 | |||||||
NatWest Group PLC (United Kingdom)(b) | 5.847% (1 yr. CMT + 1.35%) | # | 3/2/2027 | 1,018,000 | 1,022,445 | |||||||
PNC Financial Services Group, Inc. | 5.30% (SOFR + 1.34%) | # | 1/21/2028 | 1,105,000 | 1,103,927 | |||||||
PNC Financial Services Group, Inc. | 6.615% (SOFR + 1.73%) | # | 10/20/2027 | 238,000 | 244,537 | |||||||
Royal Bank of Canada (Canada)(b) | 5.20% | 7/20/2026 | 183,000 | 183,695 | ||||||||
Santander Holdings USA, Inc. | 3.50% | 6/7/2024 | 811,000 | 805,951 |
See Notes to Schedule of Investments. | 205 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 6.534% (SOFR + 2.60%) | # | 1/10/2029 | $ | 391,000 | $ | 401,090 | |||||
Societe Generale SA (France)†(b) | 2.226% (1 yr. CMT + 1.05%) | # | 1/21/2026 | 335,000 | 323,828 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 1.214% (1 yr. CMT + 0.88%) | # | 3/23/2025 | 200,000 | 199,121 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 3.785% (3 mo. USD LIBOR + 1.56%) | # | 5/21/2025 | 1,040,000 | 1,034,506 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 6.187% (1 yr. CMT + 1.85%) | # | 7/6/2027 | 266,000 | 268,703 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 6.75% (1 yr. CMT + 1.85%) | # | 2/8/2028 | 335,000 | 343,348 | |||||||
State Street Corp. | 5.104% (SOFR + 1.13%) | # | 5/18/2026 | 127,000 | 126,540 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(b) | 5.88% | 7/13/2026 | 372,000 | 377,570 | ||||||||
Svenska Handelsbanken AB (Sweden)†(b) | 6.604% (SOFR + 1.25%) | # | 6/15/2026 | 1,552,000 | 1,570,140 | |||||||
Swedbank AB (Sweden)†(b) | 6.136% | 9/12/2026 | 388,000 | 393,381 | ||||||||
Swedbank AB (Sweden)†(b) | 6.734% (SOFR + 1.38%) | # | 6/15/2026 | 1,626,000 | 1,648,379 | |||||||
Toronto-Dominion Bank (Canada)(b) | 4.693% | 9/15/2027 | 938,000 | 927,745 | ||||||||
Toronto-Dominion Bank (Canada)(b) | 5.264% | 12/11/2026 | 679,000 | 683,535 | ||||||||
Toronto-Dominion Bank (Canada)(b) | 5.532% | 7/17/2026 | 416,000 | 419,771 | ||||||||
Truist Financial Corp. | 4.26% (SOFR + 1.46%) | # | 7/28/2026 | 236,000 | 231,248 | |||||||
Truist Financial Corp. | 4.873% (SOFR + 1.44%) | # | 1/26/2029 | 158,000 | 154,143 | |||||||
Truist Financial Corp. | 5.435% (SOFR + 1.62%) | # | 1/24/2030 | 248,000 | 245,419 | |||||||
Truist Financial Corp. | 5.754% (SOFR + 0.40%) | # | 6/9/2025 | 936,000 | 933,683 | |||||||
U.S. Bancorp | 5.384% (SOFR + 1.56%) | # | 1/23/2030 | 190,000 | 189,034 | |||||||
U.S. Bancorp | 6.787% (SOFR + 1.88%) | # | 10/26/2027 | 536,000 | 553,956 | |||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 1,109,000 | 1,106,255 | ||||||||
UBS Group AG (Switzerland)†(b) | 4.125% | 9/24/2025 | 470,000 | 459,842 | ||||||||
UBS Group AG (Switzerland)†(b) | 4.488% (1 yr. CMT + 1.55%) | # | 5/12/2026 | 1,755,000 | 1,727,288 |
206 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
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 | $ | 2,211,000 | $ | 2,210,933 | |||||
UBS Group AG (Switzerland)†(b) | 6.442% (SOFR + 3.70%) | # | 8/11/2028 | 1,296,000 | 1,332,396 | |||||||
UniCredit SpA (Italy)†(b) | 2.569% (1 yr. CMT + 2.30%) | # | 9/22/2026 | 1,481,000 | 1,403,414 | |||||||
Wells Fargo & Co. | 2.164% (3 mo. USD Term SOFR + 1.01%) | # | 2/11/2026 | 2,664,000 | 2,577,350 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00%) | # | 4/30/2026 | 2,059,000 | 1,976,293 | |||||||
Wells Fargo & Co. | 4.54% (SOFR + 1.56%) | # | 8/15/2026 | 2,341,000 | 2,309,260 | |||||||
Wells Fargo & Co. | 5.198% (SOFR + 1.50%) | # | 1/23/2030 | 631,000 | 625,836 | |||||||
Wells Fargo & Co. | 5.574% (SOFR + 1.74%) | # | 7/25/2029 | 2,069,000 | 2,083,436 | |||||||
Total | 109,932,664 | |||||||||||
Biotechnology 0.25% | ||||||||||||
Amgen, Inc. | 5.15% | 3/2/2028 | 534,000 | 535,258 | ||||||||
Illumina, Inc. | 5.75% | 12/13/2027 | 446,000 | 450,007 | ||||||||
Illumina, Inc. | 5.80% | 12/12/2025 | 168,000 | 168,079 | ||||||||
Total | 1,153,344 | |||||||||||
Building Materials 0.10% | ||||||||||||
Carrier Global Corp. | 5.80% | 11/30/2025 | 474,000 | 477,519 | ||||||||
Chemicals 0.80% | ||||||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 3,986,000 | 3,716,437 | ||||||||
Commercial Services 0.53% | ||||||||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 551,000 | 534,837 | ||||||||
Triton Container International Ltd.† | 1.15% | 6/7/2024 | 1,051,000 | 1,036,114 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 944,000 | 865,666 | ||||||||
Total | 2,436,617 | |||||||||||
Computers 0.12% | ||||||||||||
Dell International LLC/EMC Corp. | 6.02% | 6/15/2026 | 559,000 | 565,295 | ||||||||
Diversified Financial Services 4.24% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 1.75% | 10/29/2024 | 2,000,000 | 1,946,496 |
See Notes to Schedule of Investments. | 207 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.45% | 10/1/2025 | $ | 778,000 | $ | 763,287 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)†(b) | 6.45% | 4/15/2027 | 267,000 | 273,432 | ||||||||
Aircastle Ltd. | 4.125% | 5/1/2024 | 617,000 | 615,021 | ||||||||
Aircastle Ltd.† | 5.25% | 8/11/2025 | 601,000 | 594,294 | ||||||||
American Express Co. | 4.99% (SOFR + 1.00%) | # | 5/1/2026 | 624,000 | 620,464 | |||||||
American Express Co. | 5.098% (SOFR + 1.00%) | # | 2/16/2028 | 258,000 | 257,079 | |||||||
American Express Co. | 5.389% (SOFR + 0.97%) | # | 7/28/2027 | 108,000 | 108,321 | |||||||
American Express Co. | 6.338% (SOFR + 1.33%) | # | 10/30/2026 | 981,000 | 996,260 | |||||||
Ameriprise Financial, Inc. | 5.70% | 12/15/2028 | 312,000 | 321,062 | ||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 854,000 | 794,218 | ||||||||
Aviation Capital Group LLC† | 1.95% | 9/20/2026 | 1,555,000 | 1,415,626 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 1,122,000 | 1,116,846 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 2.125% | 2/21/2026 | 1,640,000 | 1,522,737 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 2.75% | 2/21/2028 | 80,000 | 71,202 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 2.875% | 2/15/2025 | 851,000 | 826,181 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 725,000 | 699,306 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 5.50% | 1/15/2026 | 1,150,000 | 1,138,732 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 6.375% | 5/4/2028 | 84,000 | 85,269 | ||||||||
Capital One Financial Corp. | 4.166% (SOFR + 1.37%) | # | 5/9/2025 | 1,014,000 | 1,010,047 | |||||||
LPL Holdings, Inc.† | 4.625% | 11/15/2027 | 1,232,000 | 1,181,971 | ||||||||
LPL Holdings, Inc. | 6.75% | 11/17/2028 | 452,000 | 472,046 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 976,000 | 937,396 | ||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 823,000 | 813,795 | ||||||||
Radian Group, Inc. | 4.50% | 10/1/2024 | 1,064,000 | 1,054,198 | ||||||||
Total | 19,635,286 | |||||||||||
Electric 6.79% | ||||||||||||
AES Corp.† | 3.30% | 7/15/2025 | 2,392,000 | 2,309,097 | ||||||||
Ameren Corp. | 5.70% | 12/1/2026 | 591,000 | 597,999 | ||||||||
American Electric Power Co., Inc. | 5.20% | 1/15/2029 | 505,000 | 504,780 | ||||||||
American Electric Power Co., Inc. | 5.699% | 8/15/2025 | 365,000 | 365,601 | ||||||||
Avangrid, Inc. | 3.20% | 4/15/2025 | 1,259,000 | 1,225,100 |
208 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
CenterPoint Energy, Inc. | 5.25% | 8/10/2026 | $ | 266,000 | $ | 266,188 | ||||||
Cleco Corporate Holdings LLC | 3.743% | 5/1/2026 | 2,117,000 | 2,034,839 | ||||||||
Cleveland Electric Illuminating Co. | 5.50% | 8/15/2024 | 315,000 | 314,719 | ||||||||
Connecticut Light & Power Co. | 4.65% | 1/1/2029 | 1,092,000 | 1,074,088 | ||||||||
Dominion Energy, Inc. | 3.071% | (c) | 8/15/2024 | 1,008,000 | 996,337 | |||||||
DTE Energy Co. | 4.22% | (c) | 11/1/2024 | 251,000 | 248,326 | |||||||
DTE Energy Co. | 4.875% | 6/1/2028 | 436,000 | 430,113 | ||||||||
DTE Energy Co. | 5.10% | 3/1/2029 | 514,000 | 509,877 | ||||||||
Evergy Missouri West, Inc.† | 5.15% | 12/15/2027 | 843,000 | 840,378 | ||||||||
Eversource Energy | 4.75% | 5/15/2026 | 881,000 | 870,142 | ||||||||
Eversource Energy | 5.00% | 1/1/2027 | 171,000 | 169,959 | ||||||||
Fells Point Funding Trust† | 3.046% | 1/31/2027 | 1,842,000 | 1,724,408 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 750,000 | 741,898 | ||||||||
ITC Holdings Corp. | 3.65% | 6/15/2024 | 1,300,000 | 1,292,124 | ||||||||
ITC Holdings Corp.† | 4.95% | 9/22/2027 | 307,000 | 305,156 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 2,234,000 | 2,232,268 | ||||||||
Liberty Utilities Co.† | 5.577% | 1/31/2029 | 423,000 | 424,334 | ||||||||
National Grid PLC (United Kingdom)(b) | 5.602% | 6/12/2028 | 215,000 | 217,822 | ||||||||
NextEra Energy Capital Holdings, Inc. | 4.20% | 6/20/2024 | 78,000 | 77,630 | ||||||||
NextEra Energy Capital Holdings, Inc. | 5.749% | 9/1/2025 | 375,000 | 377,118 | ||||||||
NextEra Energy Capital Holdings, Inc. | 6.051% | 3/1/2025 | 228,000 | 228,864 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 799,000 | 792,610 | ||||||||
Oncor Electric Delivery Co. LLC | 4.30% | 5/15/2028 | 73,000 | 71,111 | ||||||||
Pacific Gas & Electric Co. | 3.15% | 1/1/2026 | 826,592 | 790,551 | ||||||||
Pacific Gas & Electric Co. | 3.30% | 12/1/2027 | 131,000 | 121,283 | ||||||||
Pacific Gas & Electric Co. | 5.45% | 6/15/2027 | 145,000 | 144,843 | ||||||||
PacifiCorp | 5.10% | 2/15/2029 | 198,000 | 197,488 | ||||||||
Pennsylvania Electric Co.† | 4.15% | 4/15/2025 | 691,000 | 676,482 | ||||||||
Pennsylvania Electric Co.† | 5.15% | 3/30/2026 | 871,000 | 863,623 | ||||||||
Public Service Enterprise Group, Inc. | 5.85% | 11/15/2027 | 320,000 | 328,083 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 897,000 | 874,178 | ||||||||
Southern Co. | 4.475% | (c) | 8/1/2024 | 2,424,000 | 2,407,379 | |||||||
System Energy Resources, Inc. | 6.00% | 4/15/2028 | 2,149,000 | 2,175,355 | ||||||||
Tampa Electric Co. | 4.90% | 3/1/2029 | 445,000 | 442,917 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 903,000 | 894,939 | ||||||||
WEC Energy Group, Inc. | 5.60% | 9/12/2026 | 304,000 | 307,087 | ||||||||
Total | 31,467,094 |
See Notes to Schedule of Investments. | 209 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electronics 0.47% | ||||||||||||
Arrow Electronics, Inc. | 6.125% | 3/1/2026 | $ | 173,000 | $ | 172,893 | ||||||
Keysight Technologies, Inc. | 4.60% | 4/6/2027 | 166,000 | 163,480 | ||||||||
TD SYNNEX Corp. | 1.25% | 8/9/2024 | 1,900,000 | 1,862,321 | ||||||||
Total | 2,198,694 | |||||||||||
Engineering & Construction 0.17% | ||||||||||||
Jacobs Engineering Group, Inc. | 6.35% | 8/18/2028 | 768,000 | 793,184 | ||||||||
Entertainment 0.80% | ||||||||||||
Warnermedia Holdings, Inc. | 3.638% | 3/15/2025 | 1,043,000 | 1,021,193 | ||||||||
Warnermedia Holdings, Inc. | 3.755% | 3/15/2027 | 1,148,000 | 1,086,604 | ||||||||
Warnermedia Holdings, Inc. | 3.788% | 3/15/2025 | 170,000 | 166,682 | ||||||||
Warnermedia Holdings, Inc. | 6.412% | 3/15/2026 | 1,412,000 | 1,411,888 | ||||||||
Total | 3,686,367 | |||||||||||
Environmental Control 0.29% | ||||||||||||
Veralto Corp.† | 5.50% | 9/18/2026 | 1,346,000 | 1,352,332 | ||||||||
Food 0.10% | ||||||||||||
Conagra Brands, Inc. | 5.30% | 10/1/2026 | 324,000 | 324,211 | ||||||||
Tyson Foods, Inc.(a) | 5.40% | 3/15/2029 | 133,000 | 133,072 | ||||||||
Total | 457,283 | |||||||||||
Gas 2.16% | ||||||||||||
East Ohio Gas Co.† | 1.30% | 6/15/2025 | 1,400,000 | 1,328,037 | ||||||||
National Fuel Gas Co. | 4.75% | 9/1/2028 | 963,000 | 931,673 | ||||||||
National Fuel Gas Co. | 5.20% | 7/15/2025 | 750,000 | 744,227 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 900,000 | 897,401 | ||||||||
National Fuel Gas Co. | 5.50% | 10/1/2026 | 241,000 | 240,813 | ||||||||
NiSource, Inc. | 5.25% | 3/30/2028 | 1,554,000 | 1,561,774 | ||||||||
ONE Gas, Inc. | 5.10% | 4/1/2029 | 1,922,000 | 1,929,561 | ||||||||
Southwest Gas Corp. | 5.80% | 12/1/2027 | 883,000 | 900,080 | ||||||||
Spire, Inc. | 5.30% | 3/1/2026 | 1,477,000 | 1,474,112 | ||||||||
Total | 10,007,678 | |||||||||||
Hand/Machine Tools 0.33% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 1,029,000 | 1,033,647 | ||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 492,000 | 495,235 | ||||||||
Total | 1,528,882 | |||||||||||
Health Care-Products 0.62% | ||||||||||||
GE HealthCare Technologies, Inc. | 5.55% | 11/15/2024 | 800,000 | 798,976 | ||||||||
GE HealthCare Technologies, Inc. | 5.60% | 11/15/2025 | 389,000 | 390,424 |
210 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Products (continued) | ||||||||||||
Solventum Corp.† | 5.40% | 3/1/2029 | $ | 869,000 | $ | 867,876 | ||||||
Solventum Corp.† | 5.45% | 2/25/2027 | 526,000 | 527,092 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.35% | 12/1/2028 | 269,000 | 272,142 | ||||||||
Total | 2,856,510 | |||||||||||
Health Care-Services 0.61% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 713,000 | 629,029 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 2,302,000 | 2,192,199 | ||||||||
Total | 2,821,228 | |||||||||||
Home Furnishings 0.04% | ||||||||||||
Leggett & Platt, Inc. | 3.50% | 11/15/2027 | 184,000 | 171,907 | ||||||||
Insurance 5.05% | ||||||||||||
Aon North America, Inc. | 5.125% | 3/1/2027 | 221,000 | 220,931 | ||||||||
Aon North America, Inc. | 5.15% | 3/1/2029 | 618,000 | 618,626 | ||||||||
Athene Global Funding† | 5.339% | 1/15/2027 | 437,000 | 434,882 | ||||||||
Athene Global Funding† | 5.583% | 1/9/2029 | 407,000 | 405,978 | ||||||||
Athene Global Funding† | 5.684% | 2/23/2026 | 363,000 | 362,966 | ||||||||
Brighthouse Financial Global Funding† | 6.105% (SOFR + 0.76%) | # | 4/12/2024 | 2,027,000 | 2,028,435 | |||||||
CNO Global Funding† | 1.65% | 1/6/2025 | 1,109,000 | 1,068,403 | ||||||||
Corebridge Global Funding† | 5.20% | 1/12/2029 | 244,000 | 241,538 | ||||||||
Corebridge Global Funding† | 5.75% | 7/2/2026 | 161,000 | 161,241 | ||||||||
Equitable Financial Life Global Funding† | 1.40% | 7/7/2025 | 801,000 | 757,285 | ||||||||
Equitable Financial Life Global Funding† | 5.45% | 3/3/2028 | 411,000 | 408,101 | ||||||||
F&G Global Funding† | 0.90% | 9/20/2024 | 1,345,000 | 1,308,120 | ||||||||
F&G Global Funding† | 5.15% | 7/7/2025 | 1,475,000 | 1,447,075 | ||||||||
Fidelity & Guaranty Life Holdings, Inc.† | 5.50% | 5/1/2025 | 1,000,000 | 987,680 | ||||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 1,081,000 | 1,051,906 | ||||||||
GA Global Funding Trust† | 1.95% | 9/15/2028 | 1,488,000 | 1,260,340 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 2,033,000 | 1,991,448 | ||||||||
Jackson Financial, Inc. | 5.17% | 6/8/2027 | 305,000 | 303,370 | ||||||||
Jackson National Life Global Funding† | 1.75% | 1/12/2025 | 300,000 | 289,845 | ||||||||
Jackson National Life Global Funding† | 5.50% | 1/9/2026 | 1,861,000 | 1,853,377 | ||||||||
Jackson National Life Global Funding† | 6.503% (SOFR + 1.15%) | # | 6/28/2024 | 562,000 | 563,266 | |||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 997,000 | 980,493 | ||||||||
Mutual of Omaha Cos Global Funding† | 5.45% | 12/12/2028 | 375,000 | 378,810 | ||||||||
Mutual of Omaha Cos Global Funding† | 5.80% | 7/27/2026 | 923,000 | 930,862 | ||||||||
Principal Life Global Funding II† | 5.00% | 1/16/2027 | 451,000 | 452,152 |
See Notes to Schedule of Investments. | 211 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Principal Life Global Funding II† | 5.10% | 1/25/2029 | $ | 1,072,000 | $ | 1,064,532 | ||||||
Protective Life Global Funding† | 4.992% | 1/12/2027 | 318,000 | 317,328 | ||||||||
Protective Life Global Funding† | 5.209% | 4/14/2026 | 402,000 | 401,128 | ||||||||
Protective Life Global Funding† | 5.366% | 1/6/2026 | 1,103,000 | 1,105,963 | ||||||||
Total | 23,396,081 | |||||||||||
Internet 0.22% | ||||||||||||
Netflix, Inc. | 4.875% | 4/15/2028 | 1,000,000 | 998,361 | ||||||||
Lodging 0.24% | ||||||||||||
Hyatt Hotels Corp. | 1.80% | 10/1/2024 | 218,000 | 213,140 | ||||||||
Hyatt Hotels Corp. | 5.75% | 1/30/2027 | 253,000 | 256,306 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 705,000 | 663,424 | ||||||||
Total | 1,132,870 | |||||||||||
Machinery: Construction & Mining 0.47% | ||||||||||||
Weir Group PLC (United Kingdom)†(b) | 2.20% | 5/13/2026 | 2,375,000 | 2,200,720 | ||||||||
Media 0.14% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.15% | 11/10/2026 | 655,000 | 660,911 | ||||||||
Mining 0.16% | ||||||||||||
Glencore Funding LLC† | 4.00% | 4/16/2025 | 776,000 | 762,717 | ||||||||
Oil & Gas 4.22% | ||||||||||||
Aker BP ASA (Norway)†(b) | 2.00% | 7/15/2026 | 467,000 | 430,318 | ||||||||
Continental Resources, Inc.† | 2.268% | 11/15/2026 | 3,000,000 | 2,754,499 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 1,373,000 | 1,365,828 | ||||||||
Devon Energy Corp. | 5.25% | 10/15/2027 | 1,500,000 | 1,497,871 | ||||||||
EQT Corp.† | 3.125% | 5/15/2026 | 729,000 | 690,017 | ||||||||
EQT Corp. | 3.90% | 10/1/2027 | 594,000 | 562,539 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 969,000 | 971,257 | ||||||||
HF Sinclair Corp.† | 5.00% | 2/1/2028 | 913,000 | 879,724 | ||||||||
HF Sinclair Corp.† | 6.375% | 4/15/2027 | 650,000 | 651,311 | ||||||||
Occidental Petroleum Corp. | 5.875% | 9/1/2025 | 1,318,000 | 1,321,993 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 1,500,000 | 1,555,216 | ||||||||
Ovintiv, Inc. | 5.375% | 1/1/2026 | 1,300,000 | 1,294,267 | ||||||||
Ovintiv, Inc. | 5.65% | 5/15/2025 | 477,000 | 477,235 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 2,153,000 | 2,151,318 | ||||||||
Phillips 66 Co. | 3.55% | 10/1/2026 | 1,250,000 | 1,199,975 | ||||||||
Suncor Energy, Inc. (Canada)(b) | 7.875% | 6/15/2026 | 500,000 | 525,064 |
212 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Viper Energy, Inc.† | 5.375% | 11/1/2027 | $ | 1,250,000 | $ | 1,214,038 | ||||||
Total | 19,542,470 | |||||||||||
Pharmaceuticals 0.46% | ||||||||||||
Bayer U.S. Finance LLC† | 6.125% | 11/21/2026 | 2,117,000 | 2,132,562 | ||||||||
Pipelines 1.76% | ||||||||||||
DCP Midstream Operating LP | 5.375% | 7/15/2025 | 581,000 | 580,219 | ||||||||
Enbridge, Inc. (Canada)(b) | 5.90% | 11/15/2026 | 226,000 | 230,308 | ||||||||
Enbridge, Inc. (Canada)(b) | 6.00% | 11/15/2028 | 190,000 | 196,906 | ||||||||
Energy Transfer LP† | 5.625% | 5/1/2027 | 661,000 | 655,636 | ||||||||
Energy Transfer LP† | 6.00% | 2/1/2029 | 546,000 | 547,892 | ||||||||
Energy Transfer LP† | 8.00% | 4/1/2029 | 1,033,000 | 1,072,388 | ||||||||
Kinder Morgan, Inc. | 5.00% | 2/1/2029 | 550,000 | 545,692 | ||||||||
ONEOK, Inc. | 5.55% | 11/1/2026 | 205,000 | 206,612 | ||||||||
ONEOK, Inc. | 5.65% | 11/1/2028 | 205,000 | 208,698 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 3.60% | 11/1/2024 | 569,000 | 561,550 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 6.875% | 1/15/2029 | 740,000 | 762,888 | ||||||||
Western Midstream Operating LP | 4.65% | 7/1/2026 | 2,098,000 | 2,054,312 | ||||||||
Williams Cos., Inc. | 4.90% | 3/15/2029 | 400,000 | 394,910 | ||||||||
Williams Cos., Inc. | 5.40% | 3/2/2026 | 115,000 | 115,304 | ||||||||
Total | 8,133,315 | |||||||||||
REITS 1.93% | ||||||||||||
American Tower Corp. | 1.60% | 4/15/2026 | 1,093,000 | 1,012,635 | ||||||||
American Tower Corp. | 3.65% | 3/15/2027 | 1,700,000 | 1,625,574 | ||||||||
Crown Castle, Inc. | 3.65% | 9/1/2027 | 361,000 | 341,046 | ||||||||
Crown Castle, Inc. | 4.80% | 9/1/2028 | 206,000 | 201,217 | ||||||||
Crown Castle, Inc. | 5.00% | 1/11/2028 | 205,000 | 202,019 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 3.35% | 9/1/2024 | 337,000 | 332,243 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.25% | 6/1/2025 | 350,000 | 347,138 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.375% | 4/15/2026 | 884,000 | 875,175 | ||||||||
Kite Realty Group Trust | 4.00% | 3/15/2025 | 647,000 | 633,272 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.50% | 2/15/2025 | 1,600,000 | 1,561,344 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.75% | 2/15/2027 | 500,000 | 470,810 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 1,350,000 | 1,328,292 | ||||||||
Total | 8,930,765 |
See Notes to Schedule of Investments. | 213 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Semiconductors 0.26% | ||||||||||||
Qorvo, Inc. | 1.75% | 12/15/2024 | $ | 1,027,000 | $ | 997,866 | ||||||
SK Hynix, Inc. (South Korea)†(b) | 5.50% | 1/16/2027 | 200,000 | 200,050 | ||||||||
Total | 1,197,916 | |||||||||||
Shipbuilding 0.25% | ||||||||||||
Huntington Ingalls Industries, Inc. | 3.844% | 5/1/2025 | 1,186,000 | 1,162,490 | ||||||||
Software 0.38% | ||||||||||||
Oracle Corp. | 2.30% | 3/25/2028 | 358,000 | 321,011 | ||||||||
Take-Two Interactive Software, Inc. | 5.00% | 3/28/2026 | 1,452,000 | 1,444,422 | ||||||||
Total | 1,765,433 | |||||||||||
Telecommunications 0.87% | ||||||||||||
AT&T, Inc. | 5.539% | 2/20/2026 | 984,000 | 983,876 | ||||||||
NBN Co. Ltd. (Australia)†(b) | 5.75% | 10/6/2028 | 316,000 | 325,881 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 568,000 | 604,543 | ||||||||
T-Mobile USA, Inc. | 2.625% | 4/15/2026 | 2,250,000 | 2,131,292 | ||||||||
Total | 4,045,592 | |||||||||||
Transportation 0.05% | ||||||||||||
Ryder System, Inc. | 5.30% | 3/15/2027 | 217,000 | 217,324 | ||||||||
Trucking & Leasing 0.50% | ||||||||||||
GATX Corp.(a) | 5.40% | 3/15/2027 | 184,000 | 184,415 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.20% | 4/1/2027 | 393,000 | 379,268 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 5.35% | 1/12/2027 | 527,000 | 525,763 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 6.05% | 8/1/2028 | 1,011,000 | 1,034,697 | ||||||||
SMBC Aviation Capital Finance DAC (Ireland)†(b) | 5.45% | 5/3/2028 | 200,000 | 199,693 | ||||||||
Total | 2,323,836 | |||||||||||
Total Corporate Bonds (cost $301,002,200) | 301,507,093 | |||||||||||
FLOATING RATE LOANS(d) 5.68% | ||||||||||||
Aerospace/Defense 0.43% | ||||||||||||
RTX Corp. Term Loan | 6.605% (3 mo. USD Term SOFR + 1.375%) | 11/6/2026 | 2,000,000 | 1,986,250 | ||||||||
Automobile Manufacturers 0.24% | ||||||||||||
Allison Transmission, Inc. 2019 Term Loan B | – | (e) | 3/29/2026 | 1,125,000 | 1,127,559 | |||||||
Diversified Financial Services 1.01% | ||||||||||||
Avolon TLB Borrower 1 (U.S.) LLC 2023 Term Loan B6 | 7.32% (1 mo. USD Term SOFR + 2.000%) | 6/22/2028 | 1,000,000 | 1,001,105 |
214 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Delos Aircraft Designated Activity Co. Term Loan (Ireland)(b) | 7.348% (3 mo. USD Term SOFR + 2.000%) | 10/31/2027 | $ | 1,060,051 | $ | 1,064,159 | ||||||
Intercontinental Exchange, Inc. Delayed Draw Term Loan | 6.196% (1 mo. USD Term SOFR + 0.875%) | 5/24/2024 | 2,620,800 | 2,622,451 | ||||||||
Total | 4,687,715 | |||||||||||
Financial 0.43% | ||||||||||||
LPL Holdings, Inc. 2019 Term Loan B1 | 7.178% (1 mo. USD Term SOFR + 1.75%) | 11/12/2026 | 2,000,000 | 2,001,970 | ||||||||
Health Care Products 0.02% | ||||||||||||
Baxter International, Inc. 2021 Delayed Draw Term Loan Tranche 1 | 6.555% (1 mo. USD Term SOFR + 1.125%) | 9/30/2024 | 102,826 | 102,891 | ||||||||
Health Care Services 0.39% | ||||||||||||
HCA, Inc. 2021 Term Loan A | 6.801% (1 mo. USD Term SOFR + 1.375%) | 6/30/2026 | 1,804,093 | 1,808,604 | ||||||||
Health Services 0.21% | ||||||||||||
IQVIA, Inc. 2022 Term Loan A2 | 6.676% - 6.69% (1 mo. USD Term SOFR + 1.25%) (3 mo. USD Term SOFR + 1.25%) | 6/16/2027 | 973,684 | 970,437 | ||||||||
Lodging 0.65% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B3 | 7.171% (1 mo. USD Term SOFR + 1.75%) | 6/21/2028 | 3,000,000 | 3,004,020 | ||||||||
Media 0.38% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B2 | 7.076% (1 mo. USD Term SOFR + 1.75%) | 2/1/2027 | 1,775,000 | 1,770,980 | ||||||||
Pipelines 0.09% | ||||||||||||
Targa Resources Corp. Term Loan | 6.571% (1 mo. USD Term SOFR + 1.25%) | 7/11/2025 | 391,667 | 392,401 | ||||||||
Real Estate Investment Trusts 0.32% | ||||||||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.426% (1 mo. USD Term SOFR + 1.00%) | 1/31/2025 | 1,476,388 | 1,467,160 |
See Notes to Schedule of Investments. | 215 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Regional 0.20% | ||||||||||||
Seminole Tribe of Florida 2022 Term Loan A | 6.498% (3 mo. USD Term SOFR + 1.00%) | 5/13/2027 | $ | 944,444 | $ | 932,639 | ||||||
Retail 0.17% | ||||||||||||
KFC Holding Co. 2021 Term Loan B | 7.184% (1 mo. USD Term SOFR + 1.75%) | 3/15/2028 | 805,857 | 806,171 | ||||||||
Semiconductors 0.73% | ||||||||||||
Broadcom, Inc. 2023 Term Loan A2 | 6.442% (3 mo. USD Term SOFR + 1.125%) | 8/15/2025 | 2,200,000 | 2,194,500 | ||||||||
Marvell Technology Group Ltd. 2020 5 Year Term Loan A | – | (e) | 12/7/2025 | 1,209,483 | 1,210,239 | |||||||
Total | 3,404,739 | |||||||||||
Software 0.41% | ||||||||||||
Atlassian, Inc. Delayed Draw Term Loan (Australia)(b) | 6.211% (1 mo. USD Term SOFR + 0.875%) | 10/28/2025 | 987,342 | 984,256 | ||||||||
Open Text Corp. Term Loan B (Canada)(b) | 7.176% (1 mo. USD Term SOFR + 1.75%) | 5/30/2025 | 892,895 | 894,641 | ||||||||
Total | 1,878,897 | |||||||||||
Total Floating Rate Loans (cost $26,385,854) | 26,342,433 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(b) 0.82% | ||||||||||||
Japan | ||||||||||||
Development Bank of Japan, Inc.† (cost $3,819,674) | 1.25% | 10/20/2026 | 4,176,000 | 3,805,004 | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.00% | ||||||||||||
Government National Mortgage Association Series 2014-112 Class A (Cost $6,852) | 3.00% | #(f) | 1/16/2048 | 6,784 | 6,043 | |||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.25% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-6 Class A1† | 1.261% | #(f) | 5/25/2065 | 66,576 | 59,345 | |||||||
BBCMS Mortgage Trust Series 2020-C7 Class A2 | 2.021% | 4/15/2053 | 250,000 | 231,065 | ||||||||
Benchmark Mortgage Trust Series 2021 B23 Class A2 | 1.62% | 2/15/2054 | 220,000 | 202,453 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.865% (1 mo. USD Term SOFR + 1.55%) | # | 7/15/2035 | 940,000 | 937,550 | |||||||
BX Commercial Mortgage Trust Series 2019-IMC Class A† | 6.364% (1 mo. USD Term SOFR + 1.05%) | # | 4/15/2034 | 686,000 | 684,234 |
216 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Commercial Mortgage Trust Series 2020-VKNG Class A† | 6.363% (1 mo. USD Term SOFR + 1.04%) | # | 10/15/2037 | $ | 502,813 | $ | 501,634 | |||||
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class AAB | 2.944% | 2/10/2048 | 1,074 | 1,066 | ||||||||
Citigroup Commercial Mortgage Trust Series 2018-B2 Class A2 | 3.788% | 3/10/2051 | 3,054 | 3,055 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS3 Class A4 | 3.819% | 6/10/2047 | 107,000 | 106,418 | ||||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | (c) | 5/25/2065 | 69,238 | 63,078 | |||||||
Ellington Financial Mortgage Trust Series 2020-1 Class A1† | 2.006% | #(f) | 5/25/2065 | 12,601 | 12,198 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Notes Series 2023-DNA2 Class M1A† | 7.422% (30 day USD SOFR Average + 2.10%) | # | 4/25/2043 | 780,318 | 795,652 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA4 Class M1† | 6.272% (30 day USD SOFR Average + 0.95%) | # | 12/25/2041 | 485,531 | 483,399 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA1 Class M1A† | 6.322% (30 day USD SOFR Average + 1.00%) | # | 1/25/2042 | 627,736 | 626,811 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2024-DNA1 Class A1† | 6.675% (30 day USD SOFR Average + 1.35%) | # | 2/25/2044 | 900,000 | 902,903 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R01 Class 1M1† | 6.322% (30 day USD SOFR Average + 1.00%) | # | 12/25/2041 | 357,663 | 357,808 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.721% (30 day USD SOFR Average + 2.40%) | # | 12/25/2042 | 419,410 | 429,823 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R03 Class 2M1† | 7.822% (30 day USD SOFR Average + 2.50%) | # | 4/25/2043 | 588,633 | 598,742 | |||||||
GCAT Trust Series 2020-NQM2 Class A1† | 1.555% | (c) | 4/25/2065 | 35,372 | 32,398 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.667% (1 mo. USD Term SOFR + 1.35%) | # | 12/15/2036 | 550,000 | 549,806 |
See Notes to Schedule of Investments. | 217 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust Series 2019-SMP Class XCP†(g) | Zero Coupon | #(f) | 8/15/2032 | $ | 10,130,600 | $ | 216 | |||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.583% (1 mo. USD Term SOFR + 1.26%) | # | 5/15/2026 | 270,000 | 251,749 | |||||||
GS Mortgage Securities Trust Series 2015-GC34 Class A4 | 3.506% | 10/10/2048 | 225,000 | 213,968 | ||||||||
GS Mortgage Securities Trust Series 2016-GS2 Class A4 | 3.05% | 5/10/2049 | 425,000 | 402,277 | ||||||||
HMH Trust Series 2017-NSS Class C† | 3.787% | 7/5/2031 | 28,000 | 20,913 | ||||||||
HONO Mortgage Trust Series 2021-LULU Class A† | 6.583% (1 mo. USD Term SOFR + 1.26%) | # | 10/15/2036 | 250,000 | 241,661 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.635% (1 mo. USD Term SOFR + 1.32%) | # | 11/15/2035 | 48,000 | 45,793 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class A† | 3.884% | 1/5/2034 | 352,799 | 340,183 | ||||||||
MSCG Trust Series 2015-ALDR Class A1† | 2.612% | 6/7/2035 | 11,037 | 10,510 | ||||||||
Ready Capital Mortgage Financing LLC Series 2021-FL6 Class A† | 6.385% (1 mo. USD Term SOFR + 1.06%) | # | 7/25/2036 | 427,167 | 423,438 | |||||||
SMRT Commercial Mortgage Trust Series 2022-MINI Class A† | 6.318% (1 mo. USD Term SOFR + 1.00%) | # | 1/15/2039 | 630,000 | 624,263 | |||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (c) | 5/25/2065 | 34,072 | 32,099 | |||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (c) | 5/25/2065 | 71,312 | 67,037 | |||||||
Verus Securitization Trust Series 2020-INV1 Class A1† | 1.977% | #(f) | 3/25/2060 | 3,851 | 3,823 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(f) | 4/25/2065 | 25,740 | 23,431 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C26 Class AS | 3.58% | 2/15/2048 | 40,000 | 38,815 | ||||||||
WF-RBS Commercial Mortgage Trust Series 2014-C20 Class A5 | 3.995% | 5/15/2047 | 128,605 | 127,876 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $10,650,914) | 10,447,490 | |||||||||||
U.S. TREASURY OBLIGATIONS 2.37% | ||||||||||||
U.S. Treasury Inflation-Indexed Notes(h) | 0.25% | 1/15/2025 | 2,285,904 | 2,246,263 | ||||||||
U.S. Treasury Notes(i) | 4.25% | 1/31/2026 | 2,122,200 | 2,106,532 | ||||||||
U.S. Treasury Notes | 4.375% | 8/15/2026 | 3,962,000 | 3,949,464 |
218 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||||||
U.S. Treasury Notes | 5.00% | 9/30/2025 | $ | 2,647,900 | $ | 2,656,640 | ||||||
Total U.S. Treasury Obligations (cost $10,929,746) | 10,958,899 | |||||||||||
Total Long-Term Investments (cost $454,242,058) | 454,263,043 | |||||||||||
SHORT-TERM INVESTMENTS 2.72% | ||||||||||||
COMMERCIAL PAPER 1.43% | ||||||||||||
Health Care-Services 0.71% | ||||||||||||
CommonSpirit Health | 6.301% | 3/5/2024 | 3,275,000 | 3,272,762 | ||||||||
Pharmaceuticals 0.42% | ||||||||||||
Bayer Corp.† | 6.373% | 7/9/2024 | 1,000,000 | 979,396 | ||||||||
Bayer Corp.† | 6.385% | 7/9/2024 | 1,000,000 | 979,396 | ||||||||
Total | 1,958,792 | |||||||||||
Retail 0.30% | ||||||||||||
Walgreens Boots Alliance, Inc.† | 6.525% | 3/18/2024 | 1,395,000 | 1,390,784 | ||||||||
Total Commercial Paper (cost $6,620,754) | 6,622,338 | |||||||||||
REPURCHASE AGREEMENTS 1.29% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 5.300% due 3/1/2024 with Barclays Bank PLC collateralized by $2,115,000 of U.S. Treasury Bill at 0.250% due 3/15/2024; value: $2,113,125; proceeds: $2,071,997 (cost $2,071,692) | 2,071,692 | 2,071,692 | ||||||||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized by $3,738,000 of U.S. Treasury Bond at 4.250% due 2/15/2054; value: $3,646,500; proceeds: $3,575,527 (cost $3,575,000) | 3,575,000 | 3,575,000 | ||||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $324,600 of U.S. Treasury Note at 4.625% due 2/28/2026; value: $324,422; proceeds: $318,066 (cost $318,042) | 318,042 | 318,042 | ||||||||||
Total Repurchase Agreements (cost $5,964,734) | 5,964,734 | |||||||||||
Total Short-Term Investments (cost $12,585,488) | 12,587,072 | |||||||||||
Total Investments in Securities 100.74% (cost $466,827,546) | 466,850,115 | |||||||||||
Other Assets and Liabilities – Net(j) (0.74)% | (3,406,653 | ) | ||||||||||
Net Assets 100.00% | $ | 463,443,462 |
See Notes to Schedule of Investments. | 219 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
REMICS | Real Estate Mortgage Investment Conduits. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $223,186,482, which represents 48.16% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Securities purchased on a when-issued basis. | |
(b) | Foreign security traded in U.S. dollars. | |
(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 Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(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) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest only securities do not receive principal payments on the underlying debt obligation(s). | |
(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) | Security has been fully or partially segregated for open reverse repurchase agreements as of February 29, 2024. | |
(j) | 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 February 29, 2024:
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 | |||||||||||
Goldman Sachs(1) | 3.872% | 12-Month USD SOFR Index | 5/31/2028 | $22,498,000 | $165,352 | (2) | ||||||||||
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) | 4.264% | 12-Month USD SOFR Index | 3/31/2026 | $26,940,000 | $(43,475 | ) |
SOFR | Secured Overnight Financing Rate. | |
(1) | Central clearinghouse: Chicago Mercantile Exchange (CME). | |
(2) | Unrealized appreciation on Centrally Cleared Interest Rate Swap Contract is $253,006, which includes upfront payment of $(87,654). Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
220 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND February 29, 2024
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at February 29, 2024:
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 | 2.079% | CPI Urban Consumer NSA | 7/15/2024 | $ | 920,000 | $ | 6,475 | |||||||||||
Goldman Sachs | 2.285% | CPI Urban Consumer NSA | 7/15/2025 | 920,000 | 3,190 | |||||||||||||
Goldman Sachs | 2.548% | CPI Urban Consumer NSA | 3/27/2025 | 1,800,000 | 7,610 | |||||||||||||
Goldman Sachs | 2.750% | CPI Urban Consumer NSA | 3/24/2024 | 1,800,000 | 7,502 | |||||||||||||
Goldman Sachs | 4.145% | CPI Urban Consumer NSA | 4/15/2024 | 1,205,569 | 13,386 | |||||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 38,163 |
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||||||||
U.S. 2-Year Treasury Note | June 2024 | 726 | Long | $ | 148,655,769 | $ | 148,648,500 | $ | (7,269 | ) | |||||||||||||||
U.S. 5-Year Treasury Note | June 2024 | 217 | Short | (23,182,877 | ) | (23,198,657 | ) | (15,780 | ) | ||||||||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (23,049 | ) |
Reverse Repurchase Agreement Payables as of February 29, 2024:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date | Fair Value(2) | ||||||||||||
Barclays Bank PLC | $ | 2,071,692 | $2,122,200 principal, U.S. Treasury Notes at 4.25% due 1/31/2026, $2,106,532 fair value | 4.100% | 02/29/2024 | 3/1/2024 | $ | 2,071,928 |
(1) | The positive interest rate on the reverse repurchase agreement results in interest expense to the Fund. | |
(2) | Total fair value of reverse repurchase agreement is presented net of interest payable of $236. |
See Notes to Schedule of Investments. | 221 |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION CORE BOND FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 101,196,081 | $ | – | $ | 101,196,081 | ||||||||
Corporate Bonds | – | 301,507,093 | – | 301,507,093 | ||||||||||||
Floating Rate Loans | – | 26,342,433 | – | 26,342,433 | ||||||||||||
Foreign Government Obligations | – | 3,805,004 | – | 3,805,004 | ||||||||||||
Government Sponsored Enterprises | ||||||||||||||||
Collateralized Mortgage Obligations | – | 6,043 | – | 6,043 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 10,447,490 | – | 10,447,490 | ||||||||||||
U.S. Treasury Obligations | – | 10,958,899 | – | 10,958,899 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 6,622,338 | – | 6,622,338 | ||||||||||||
Repurchase Agreements | – | 5,964,734 | – | 5,964,734 | ||||||||||||
Total | $ | – | $ | 466,850,115 | $ | – | $ | 466,850,115 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 165,352 | $ | – | $ | 165,352 | ||||||||
Liabilities | – | (43,475 | ) | – | (43,475 | ) | ||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 38,163 | – | 38,163 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | (23,049 | ) | – | – | (23,049 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (2,071,928 | ) | – | (2,071,928 | ) | ||||||||||
Total | $ | (23,049 | ) | $ | (1,911,888 | ) | $ | – | $ | (1,934,937 | ) |
(1) | Refer to Note 2(b) 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.
222 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
LONG-TERM INVESTMENTS 99.97% | ||||||||||||
ASSET-BACKED SECURITIES 24.01% | ||||||||||||
Automobiles 8.22% | ||||||||||||
Ally Auto Receivables Trust Series 2023-1 Class A3 | 5.46% | 5/15/2028 | $ | 40,980,000 | $ | 41,209,295 | ||||||
Americredit Automobile Receivables Trust Series 2022-2 Class C | 5.32% | 4/18/2028 | 20,175,000 | 20,161,475 | ||||||||
Americredit Automobile Receivables Trust Series 2023-1 Class A2A | 5.84% | 10/19/2026 | 69,667,370 | 69,753,159 | ||||||||
Americredit Automobile Receivables Trust Series 2023-1 Class A3 | 5.62% | 11/18/2027 | 70,765,000 | 71,278,641 | ||||||||
Americredit Automobile Receivables Trust Series 2023-1 Class B | 5.57% | 3/20/2028 | 27,795,000 | 27,962,209 | ||||||||
Americredit Automobile Receivables Trust Series 2023-1 Class C | 5.80% | 12/18/2028 | 27,200,000 | 27,411,888 | ||||||||
AmeriCredit Automobile Receivables Trust Series 2023-A2 Class A2 | 6.19% | 4/19/2027 | 20,614,762 | 20,679,497 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2018-2A Class A† | 4.00% | 3/20/2025 | 3,667,333 | 3,664,801 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2018-2A Class D† | 3.04% | 3/20/2025 | 9,833,333 | 9,812,680 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2019-3A Class A† | 2.36% | 3/20/2026 | 45,121,000 | 43,971,335 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2020-2A Class A† | 2.02% | 2/20/2027 | 22,560,000 | 21,234,343 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-2 Class A3 | 3.66% | 5/17/2027 | 127,880,000 | 125,373,846 | ||||||||
Capital One Prime Auto Receivables Trust Series 2023-1 Class A3 | 4.87% | 2/15/2028 | 70,260,000 | 69,859,623 | ||||||||
CarMax Auto Owner Trust Series 2020-2 Class A4 | 2.05% | 5/15/2025 | 3,906,349 | 3,898,808 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class A3 | 4.75% | 10/15/2027 | 60,370,000 | 59,972,675 | ||||||||
CarMax Auto Owner Trust Series 2023-3 Class A2A | 5.72% | 11/16/2026 | 63,000,000 | 63,090,947 | ||||||||
CarMax Auto Owner Trust Series 2023-3 Class A3 | 5.28% | 5/15/2028 | 52,270,000 | 52,436,323 | ||||||||
Carvana Auto Receivables Trust Series 2021-N1 Class A | 0.70% | 1/10/2028 | 8,115,076 | 7,766,358 | ||||||||
Carvana Auto Receivables Trust Series 2022-P1 Class A3 | 3.35% | 2/10/2027 | 152,040,735 | 149,480,384 | ||||||||
Carvana Auto Receivables Trust Series 2022-P2 Class A4 | 4.68% | 2/10/2028 | 50,912,000 | 50,241,270 | ||||||||
Carvana Auto Receivables Trust Series 2022-P3 Class A3 | 4.61% | 11/10/2027 | 41,409,000 | 40,992,690 |
See Notes to Schedule of Investments. | 223 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Citizens Auto Receivables Trust Series 2023-2 Class A2A† | 6.09% | 10/15/2026 | $ | 51,585,000 | $ | 51,735,494 | ||||||
CPS Auto Receivables Trust Series 2019-B Class E† | 5.00% | 3/17/2025 | 914,025 | 913,644 | ||||||||
CPS Auto Receivables Trust Series 2020-A Class E† | 4.09% | 12/15/2025 | 7,235,825 | 7,214,412 | ||||||||
Credit Acceptance Auto Loan Trust Series 2021-3A Class A† | 1.00% | 5/15/2030 | 14,450,692 | 14,321,193 | ||||||||
Drive Auto Receivables Trust Series 2021-1 Class C | 1.02% | 6/15/2027 | 3,116,965 | 3,106,560 | ||||||||
Enterprise Fleet Financing LLC Series 2022-3 Class A2† | 4.38% | 7/20/2029 | 28,521,089 | 28,219,972 | ||||||||
Enterprise Fleet Financing LLC Series 2023-1 Class A2† | 5.51% | 1/22/2029 | 45,454,127 | 45,477,863 | ||||||||
Exeter Automobile Receivables Trust Series 2021-2A Class C | 0.98% | 6/15/2026 | 7,616,714 | 7,540,583 | ||||||||
Exeter Automobile Receivables Trust Series 2021-2A Class D | 1.40% | 4/15/2027 | 9,635,000 | 9,164,749 | ||||||||
Exeter Automobile Receivables Trust Series 2021-3A Class E† | 3.04% | 12/15/2028 | 40,830,000 | 37,879,837 | ||||||||
Exeter Automobile Receivables Trust Series 2022-3A Class B | 4.86% | 12/15/2026 | 49,623,361 | 49,481,011 | ||||||||
First Investors Auto Owners Trust Series 2022-2A Class A† | 6.26% | 7/15/2027 | 60,791,466 | 60,935,457 | ||||||||
Ford Credit Auto Lease Trust Series 2024-A Class A3 | 5.06% | 5/15/2027 | 54,845,000 | 54,739,314 | ||||||||
Ford Credit Auto Owner Trust Series 2018-1 Class A† | 3.19% | 7/15/2031 | 96,258,000 | 94,421,186 | ||||||||
Ford Credit Auto Owner Trust Series 2020-C Class A3 | 0.41% | 7/15/2025 | 7,704,859 | 7,657,717 | ||||||||
Ford Credit Auto Owner Trust Series 2022-1 Class A† | 3.88% | 11/15/2034 | 115,555,000 | 111,824,053 | ||||||||
Ford Credit Auto Owner Trust Series REV1 2021-1 Class A† | 1.37% | 10/17/2033 | 36,875,000 | 34,092,778 | ||||||||
GLS Auto Receivables Issuer Trust Series 2022-3A Class A2† | 4.59% | 5/15/2026 | 7,563,852 | 7,546,346 | ||||||||
GLS Auto Receivables Issuer Trust Series 2023-3A Class A2† | 6.04% | 3/15/2027 | 54,956,122 | 55,067,079 | ||||||||
GM Financial Automobile Leasing Trust Series 2022-2 Class A3 | 3.42% | 6/20/2025 | 55,761,070 | 55,523,918 |
224 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
GM Financial Automobile Leasing Trust Series 2022-3 Class A3 | 4.01% | 9/22/2025 | $ | 98,565,064 | $ | 98,111,803 | ||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class A3 | 5.16% | 4/20/2026 | 39,089,000 | 39,024,613 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class A3 | 5.05% | 7/20/2026 | 30,855,000 | 30,772,932 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-3 Class A3 | 5.38% | 11/20/2026 | 42,850,000 | 42,963,064 | ||||||||
GM Financial Consumer Automobile Receivables Trust Series 2024-1 Class A3 | 4.85% | 12/18/2028 | 26,625,000 | 26,553,025 | ||||||||
Hertz Vehicle Financing III LP Series 2021-2A Class A† | 1.68% | 12/27/2027 | 120,499,000 | 109,447,784 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 91,200,000 | 88,790,651 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class D† | 3.98% | 12/26/2025 | 25,000,000 | 24,429,567 | ||||||||
Huntington Auto Trust Series 2024-1A Class A3† | 5.23% | 1/16/2029 | 67,245,000 | 67,508,251 | ||||||||
Hyundai Auto Lease Securitization Trust Series 2024-A Class A3† | 5.02% | 3/15/2027 | 49,035,000 | 48,840,233 | ||||||||
LAD Auto Receivables Trust Series 2023-1A Class A2† | 5.68% | 10/15/2026 | 24,056,856 | 24,047,919 | ||||||||
NextGear Floorplan Master Owner Trust Series 2023-1A Class A2† | 5.74% | 3/15/2028 | 92,980,000 | 93,887,020 | ||||||||
Nissan Auto Receivables Owner Trust Series 2023-B Class A3 | 5.93% | 3/15/2028 | 16,903,000 | 17,166,863 | ||||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A† | 0.87% | 7/14/2028 | 91,395,468 | 88,026,924 | ||||||||
Prestige Auto Receivables Trust Series 2022-1A Class A2† | 5.90% | 7/15/2025 | 5,536,155 | 5,537,646 | ||||||||
Prestige Auto Receivables Trust Series 2022-1A Class A3† | 6.09% | 5/15/2026 | 22,620,000 | 22,625,639 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class B | 4.72% | 6/15/2027 | 7,500,000 | 7,436,138 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-6 Class C | 4.96% | 11/15/2028 | 5,600,000 | 5,534,416 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-3 Class A2 | 6.08% | 8/17/2026 | 54,255,869 | 54,339,776 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-3 Class A3 | 5.61% | 10/15/2027 | 41,800,000 | 41,917,767 | ||||||||
Santander Drive Auto Receivables Trust Series 2024-1 Class A2 | 5.71% | 2/16/2027 | 78,015,000 | 78,054,819 |
See Notes to Schedule of Investments. | 225 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
SBNA Auto Lease Trust Series 2023-A Class A3† | 6.51% | 4/20/2027 | $ | 106,755,000 | $ | 108,616,871 | ||||||
SBNA Auto Lease Trust Series 2024-A Class A3† | 5.39% | 11/20/2026 | 63,090,000 | 63,134,958 | ||||||||
Tesla Auto Lease Trust Series 2023-A Class A2† | 5.86% | 8/20/2025 | 76,594,385 | 76,741,508 | ||||||||
Tesla Auto Lease Trust Series 2023-A Class A3† | 5.89% | 6/22/2026 | 65,485,000 | 65,885,971 | ||||||||
Toyota Auto Loan Extended Note Trust Series 2020-1A Class A† | 1.35% | 5/25/2033 | 29,655,000 | 28,235,560 | ||||||||
Tricolor Auto Securitization Trust Series 2023-1A Class A† | 6.48% | 8/17/2026 | 11,201,019 | 11,203,601 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class C† | 0.89% | 7/15/2026 | 41,661,587 | 41,065,997 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class A2A† | 5.87% | 7/15/2026 | 84,485,242 | 84,541,560 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class B† | 6.14% | 3/15/2028 | 35,330,000 | 35,564,506 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class C† | 4.85% | 9/15/2027 | 23,985,000 | 23,737,316 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class A2A† | 5.51% | 6/15/2026 | 45,092,084 | 45,075,053 | ||||||||
Westlake Automobile Receivables Trust Series 2023-3A Class A2A† | 5.96% | 10/15/2026 | 140,590,000 | 140,729,325 | ||||||||
Westlake Flooring Master Trust Series 2024-1A Class A† | 5.43% | 2/15/2028 | 63,875,000 | 64,107,313 | ||||||||
Total | 3,520,771,802 | |||||||||||
Credit Card 1.39% | ||||||||||||
BA Credit Card Trust Series 2023-A2 Class A2 | 4.98% | 11/15/2028 | 37,895,000 | 38,029,811 | ||||||||
Capital One Multi-Asset Execution Trust Series 2022-A2 Class A | 3.49% | 5/15/2027 | 95,035,000 | 93,123,799 | ||||||||
Citibank Credit Card Issuance Trust Series 2017-A6 Class A6 | 6.205% (1 mo. USD Term SOFR + 0.88%) | # | 5/14/2029 | 26,080,000 | 26,349,813 | |||||||
Discover Card Execution Note Trust Series 2022-A3 Class A3 | 3.56% | 7/15/2027 | 102,606,000 | 100,420,861 | ||||||||
Discover Card Execution Note Trust Series 2022-A4 Class A | 5.03% | 10/15/2027 | 63,165,000 | 63,128,731 | ||||||||
Discover Card Execution Note Trust Series 2023-A2 Class A | 4.93% | 6/15/2028 | 139,970,000 | 140,005,048 | ||||||||
Newday Funding Master Issuer PLC Series 2021-1A Class A2† | 6.419% (SOFR + 1.10%) | # | 3/15/2029 | 19,600,000 | 19,603,924 | |||||||
Perimeter Master Note Business Trust Series 2021-1A Class A† | 3.19% | 12/15/2026 | 46,000,000 | 43,039,100 | ||||||||
Synchrony Card Funding LLC Series 2023-A1 Class A | 5.54% | 7/15/2029 | 70,348,000 | 70,975,209 | ||||||||
Total | 594,676,296 |
226 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal
Amount‡ | Fair Value | ||||||||
Other 13.69% | ||||||||||||
ACAM Ltd. Series 2019-FL1 Class A† | 6.836% (1
mo. USD Term SOFR + 1.51%) | # | 11/17/2034 | $ | 2,422,493 | $ | 2,420,318 | |||||
ACAM Ltd. Series 2019-FL1 Class AS† | 7.186% (1 mo. USD Term SOFR + 1.86%) | # | 11/17/2034 | 25,000,000 | 24,811,560 | |||||||
ACREC Ltd. Series 2021-FL1 Class A† | 6.586% (1 mo. USD Term SOFR + 1.26%) | # | 10/16/2036 | 50,806,916 | 50,301,886 | |||||||
Affirm Asset Securitization Trust Series 2022-A Class 1A† | 4.30% | 5/17/2027 | 30,000,000 | 29,776,422 | ||||||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | 2,875,211 | 2,835,935 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class 1A† | 6.82% | 9/15/2028 | 69,455,000 | 70,498,527 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 70,370,000 | 71,427,274 | ||||||||
Affirm Asset Securitization Trust Series 2024-A Class A† | 5.61% | 2/15/2029 | 32,865,000 | 32,827,600 | ||||||||
AIMCO CLO Series 2018-BA Class AR† | 6.676% (3 mo. USD Term SOFR + 1.36%) | # | 1/15/2032 | 69,000,000 | 68,937,899 | |||||||
AMMC CLO 23 Ltd. Series 2020-23A Class A1R† | 6.618% (3 mo. USD Term SOFR + 1.30%) | # | 10/17/2031 | 116,150,000 | 116,414,773 | |||||||
Anchorage Capital CLO 3-R Ltd. Series 2014-3RA Class A† | 6.631% (3 mo. USD Term SOFR + 1.31%) | # | 1/28/2031 | 21,866,858 | 21,847,178 | |||||||
Anchorage Capital CLO 4-R Ltd. Series 2014-4RA Class A† | 6.631% (3 mo. USD Term SOFR + 1.31%) | # | 1/28/2031 | 27,223,810 | 27,296,133 | |||||||
Apidos CLO XXII Ltd. Series 2015-22A Class A1R† | 6.639% (3 mo. USD Term SOFR + 1.32%) | # | 4/20/2031 | 71,603,538 | 71,660,821 | |||||||
Apidos CLO XXXI Ltd. Series 2019-31A Class A1R† | 6.676% (3 mo. USD Term SOFR + 1.36%) | # | 4/15/2031 | 86,400,000 | 86,495,040 | |||||||
Aqua Finance Trust Series 2019-A Class A† | 3.14% | 7/16/2040 | 8,253,391 | 7,755,819 | ||||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 55,013,846 | 49,067,410 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.532% (1 mo. USD Term SOFR + 1.21%) | # | 5/15/2036 | 21,934,268 | 21,875,868 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.502% (1 mo. USD Term SOFR + 1.18%) | # | 8/15/2034 | 52,110,000 | 51,720,478 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4 Class A† | 6.782% (1 mo. USD Term SOFR + 1.46%) | # | 11/15/2036 | 80,447,500 | 80,208,732 |
See Notes to Schedule of Investments. | 227 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL1 Class A† | 6.775% (30 day USD SOFR Average + 1.45%) | # | 1/15/2037 | $ | 68,450,000 | $ | 68,223,294 | |||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL2 Class A† | 7.168% (1 mo. USD Term SOFR + 1.85%) | # | 5/15/2037 | 50,730,000 | 50,888,531 | |||||||
ARES L CLO Ltd. Series 2018-50A Class AR† | 6.626% (3 mo. USD Term SOFR + 1.31%) | # | 1/15/2032 | 117,390,000 | 117,554,347 | |||||||
Bain Capital Credit CLO Ltd. Series 2017-1A Class A1R† | 6.549% (3 mo. USD Term SOFR + 1.23%) | # | 7/20/2030 | 67,506,239 | 67,627,751 | |||||||
Bain Capital Credit CLO Ltd. Series 2020-5A Class A1† | 6.799% (3 mo. USD Term SOFR + 1.48%) | # | 1/20/2032 | 72,770,000 | 72,813,662 | |||||||
Ballyrock CLO Ltd. Series 2019-1A Class A1R† | 6.606% (3 mo. USD Term SOFR + 1.29%) | # | 7/15/2032 | 138,960,000 | 139,043,376 | |||||||
Ballyrock CLO Ltd. Series 2019-2A Class A1RR† | 6.719% (3 mo. USD Term SOFR + 1.40%) | # | 2/20/2036 | 9,000,000 | 9,006,936 | |||||||
Barings CLO Ltd. Series 2019-3A Class A1R† | 6.649% (3 mo. USD Term SOFR + 1.33%) | # | 4/20/2031 | 7,210,000 | 7,219,013 | |||||||
Barings Loan Partners CLO Ltd. Series LP-3A Class AR† | 6.838% (3 mo. USD Term SOFR + 1.52%) | # | 7/20/2033 | 65,450,000 | 65,489,271 | |||||||
BDS Ltd. Series 2021-FL7 Class A† | 6.504% (1 mo. USD Term SOFR + 1.18%) | # | 6/16/2036 | 29,008,396 | 28,936,835 | |||||||
Benefit Street Partners CLO IV Ltd. Series 2014-IVA Class AR4†(a) | 5.48% (3 mo. USD Term SOFR + 1.35%) | # | 4/20/2034 | 74,180,000 | 74,235,635 | |||||||
Benefit Street Partners CLO IV Ltd. Series 2014-IVA Class ARRR† | 6.759% (3 mo. USD Term SOFR + 1.44%) | # | 1/20/2032 | 77,740,000 | 77,631,164 | |||||||
Benefit Street Partners CLO V-B Ltd. Series 2018-5BA Class A1A† | 6.669% (3 mo. USD Term SOFR + 1.35%) | # | 4/20/2031 | 38,048,323 | 38,169,749 | |||||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2029 | 57,478,977 | 57,553,701 | |||||||
BSPRT Issuer Ltd. Series 2021-FL7 Class A† | 6.752% (1 mo. USD Term SOFR + 1.43%) | # | 12/15/2038 | 48,403,586 | 48,236,748 |
228 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2031 | $ | 69,386,808 | $ | 69,428,440 | |||||
Carlyle U.S. CLO Ltd. Series 2017-2A Class A1R† | 6.629% (3 mo. USD Term SOFR + 1.31%) | # | 7/20/2031 | 54,967,147 | 55,011,121 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.479% (3 mo. USD Term SOFR + 1.16%) | # | 7/20/2029 | 18,658,498 | 18,664,095 | |||||||
Carlyle U.S. CLO Ltd. Series 2019-1A Class A1AR† | 6.659% (3 mo. USD Term SOFR + 1.34%) | # | 4/20/2031 | 107,000,000 | 107,117,700 | |||||||
Cedar Funding X CLO Ltd. Series 2019-10A Class AR† | 6.679% (3 mo. USD Term SOFR + 1.36%) | # | 10/20/2032 | 10,610,000 | 10,615,305 | |||||||
Cedar Funding XIV CLO Ltd. Series 2021-14A Class A† | 6.676% (3 mo. USD Term SOFR + 1.36%) | # | 7/15/2033 | 96,630,000 | 96,707,304 | |||||||
CIFC Funding Ltd. Series 2013-2A Class A1L2† | 6.56% (3 mo. USD Term SOFR + 1.26%) | # | 10/18/2030 | 33,056,543 | 33,112,740 | |||||||
CIFC Funding Ltd. Series 2021-4A Class A† | 6.626% (3 mo. USD Term SOFR + 1.31%) | # | 7/15/2033 | 46,100,000 | 46,136,880 | |||||||
CNH Equipment Trust Series 2022-B Class A2 | 3.94% | 12/15/2025 | 14,076,599 | 14,042,683 | ||||||||
Dell Equipment Finance Trust Series 2023-2 Class A2† | 5.84% | 1/22/2029 | 16,150,000 | 16,171,867 | ||||||||
Dryden 113 CLO Ltd. Series 2022-113A Class A1R† | 7.046% (3 mo. USD Term SOFR + 1.63%) | # | 10/20/2035 | 42,490,000 | 42,536,738 | |||||||
Dryden 55 CLO Ltd. Series 2018-55A Class A1† | 6.596% (3 mo. USD Term SOFR + 1.28%) | # | 4/15/2031 | 18,887,106 | 18,894,661 | |||||||
Dryden CLO Ltd. Series 2019-72A Class AR† | 6.649% (3 mo. USD Term SOFR + 1.34%) | # | 5/15/2032 | 61,070,000 | 61,146,337 | |||||||
Dryden Senior Loan Fund Series 2017-47A Class A1R† | 6.556% (3 mo. USD Term SOFR + 1.24%) | # | 4/15/2028 | 42,697,785 | 42,826,219 | |||||||
Elmwood CLO Ltd. Series 2022-5A Class AR† | 6.967% (3 mo. USD Term SOFR + 1.65%) | # | 7/17/2033 | 68,650,000 | 68,725,515 |
See Notes to Schedule of Investments. | 229 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Elmwood CLO VII Ltd. Series 2020-4A Class AR† | 6.947% (3 mo. USD Term SOFR + 1.63%) | # | 1/17/2034 | $ | 67,120,000 | $ | 67,216,211 | |||||
Elmwood CLO X Ltd. Series 2021-3A Class A† | 6.619% (3 mo. USD Term SOFR + 1.30%) | # | 10/20/2034 | 24,360,000 | 24,396,540 | |||||||
Fairstone Financial Issuance Trust Series I 2020-1A Class A† | 2.509% | 10/20/2039 | CAD | 25,796,482 | 18,402,773 | |||||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.53% (3 mo. USD Term SOFR + 1.21%) | # | 7/24/2030 | $ | 44,505,349 | 44,505,692 | ||||||
Greystone CRE Notes Ltd. Series 2021-FL3 Class A† | 6.452% (1 mo. USD Term SOFR + 1.13%) | # | 7/15/2039 | 67,520,000 | 66,844,800 | |||||||
Greywolf CLO VII Ltd. Series 2018-2A Class A1† | 6.758% (3 mo. USD Term SOFR + 1.44%) | # | 10/20/2031 | 37,250,000 | 37,395,271 | |||||||
Halcyon Loan Advisors Funding Ltd. Series 2017-2A Class A2† | 7.278% (3 mo. USD Term SOFR + 1.96%) | # | 1/17/2030 | 23,027,000 | 23,115,116 | |||||||
HGI CRE CLO Ltd. Series 2021-FL2 Class A† | 6.436% (1 mo. USD Term SOFR + 1.11%) | # | 9/17/2036 | 14,538,248 | 14,420,993 | |||||||
HPEFS Equipment Trust Series 2023-1A Class A2† | 5.43% | 8/20/2025 | 71,531,287 | 71,467,123 | ||||||||
KKR CLO 24 Ltd. Series 24 Class A1R† | 6.659% (3 mo. USD Term SOFR + 1.34%) | # | 4/20/2032 | 130,540,000 | 130,742,338 | |||||||
KKR CLO 30 Ltd. Series 30A Class A1R† | 6.598% (3 mo. USD Term SOFR + 1.28%) | # | 10/17/2031 | 18,250,000 | 18,260,949 | |||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.506% (1 mo. USD Term SOFR + 1.18%) | # | 2/15/2039 | 67,130,000 | 65,796,683 | |||||||
LCM XXII Ltd. Series 22A Class A1R† | 6.739% (3 mo. USD Term SOFR + 1.42%) | # | 10/20/2028 | 3,843,938 | 3,856,087 | |||||||
Lendmark Funding Trust Series 2021-1A Class A† | 5.12% | 7/20/2032 | 82,215,000 | 81,352,532 | ||||||||
Lendmark Funding Trust Series 2021-2A Class A† | 2.00% | 4/20/2032 | 137,050,000 | 122,947,363 | ||||||||
Lendmark Funding Trust Series 2023-1A Class A† | 5.59% | 5/20/2033 | 36,380,000 | 36,219,673 | ||||||||
Lendmark Funding Trust Series 2024-1A Class A† | 5.53% | 6/21/2032 | 29,550,000 | 29,547,057 |
230 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.874% (30 day USD SOFR Average + 1.55%) | # | 1/17/2037 | $ | 49,636,917 | $ | 49,202,594 | |||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.477% (3 mo. USD Term SOFR + 1.16%) | # | 7/23/2029 | 12,644,184 | 12,660,622 | |||||||
Madison Park Funding XIV Ltd. Series 2014-14A Class BR3† | 7.117% (3 mo. USD Term SOFR + 1.80%) | # | 10/22/2030 | 47,090,000 | 47,089,929 | |||||||
Madison Park Funding XVII Ltd. Series 2015-17A Class AR2† | 6.579% (3 mo. USD Term SOFR + 1.26%) | # | 7/21/2030 | 44,052,051 | 44,091,698 | |||||||
Madison Park Funding XXV Ltd. Series 2017-25A Class A1R† | 6.556% (3 mo. USD Term SOFR + 1.23%) | # | 4/25/2029 | 49,155,658 | 49,081,917 | |||||||
Magnetite XXII Ltd. Series 2019-22A Class AR† | 6.636% (3 mo. USD Term SOFR + 1.32%) | # | 4/15/2031 | 47,750,000 | 47,792,975 | |||||||
Magnetite Xxix Ltd. Series 2021-29A Class A† | 6.566% (3 mo. USD Term SOFR + 1.25%) | # | 1/15/2034 | 79,670,000 | 79,693,900 | |||||||
Mariner Finance Issuance Trust Series 2021-BA Class A† | 2.10% | 11/20/2036 | 64,135,000 | 58,054,354 | ||||||||
MF1 LLC Series 2022-FL9 Class A† | 7.466% (1 mo. USD Term SOFR + 2.15%) | # | 6/19/2037 | 44,630,000 | 44,671,060 | |||||||
MF1 Ltd. Series 2021-FL6 Class AS† | 6.886% (1 mo. USD Term SOFR + 1.56%) | # | 7/16/2036 | 19,790,000 | 19,517,887 | |||||||
MF1 Ltd. Series 2021-FL7 Class A† | 6.514% (1 mo. USD Term SOFR + 1.19%) | # | 10/16/2036 | 43,906,447 | 43,590,847 | |||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.666% (3 mo. USD Term SOFR + 1.35%) | # | 10/16/2029 | 13,428,792 | 13,435,507 | |||||||
Mountain View CLO LLC Series 2017-1A Class BR† | 7.326% (3 mo. USD Term SOFR + 2.01%) | # | 10/16/2029 | 36,501,623 | 36,632,626 | |||||||
Newark BSL CLO 1 Ltd. Series 2016-1A Class A1R† | 6.681% (3 mo. USD Term SOFR + 1.36%) | # | 12/21/2029 | 46,525,199 | 46,625,937 | |||||||
Newark BSL CLO 2 Ltd. Series 2017-1A Class A1R† | 6.556% (3 mo. USD Term SOFR + 1.23%) | # | 7/25/2030 | 40,671,957 | 40,651,621 | |||||||
OCP CLO Ltd. Series 2016-11A Class A1R2†(a) | 0.30% (3 mo. USD Term SOFR + 1.42%) | # | 4/26/2036 | 69,640,000 | 69,640,000 |
See Notes to Schedule of Investments. | 231 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
OCP CLO Ltd. Series 2019-17A Class A1R† | 6.619% (3 mo. USD Term SOFR + 1.30%) | # | 7/20/2032 | $ | 122,730,000 | $ | 122,631,816 | |||||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R† | 6.579% (3 mo. USD Term SOFR + 1.26%) | # | 3/17/2030 | 28,032,336 | 28,054,762 | |||||||
Octagon Investment Partners 32 Ltd. Series 2017-1A Class A1R† | 6.526% (3 mo. USD Term SOFR + 1.21%) | # | 7/15/2029 | 87,610,631 | 87,745,524 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.526% (3 mo. USD Term SOFR + 1.21%) | # | 7/15/2029 | 19,624,509 | 19,682,119 | |||||||
Octagon Investment Partners XXI Ltd. Series 2014-1A Class AAR3† | 6.568% (3 mo. USD Term SOFR + 1.26%) | # | 2/14/2031 | 73,440,000 | 73,491,407 | |||||||
OneMain Financial Issuance Trust Series 2018-2A Class A† | 3.57% | 3/14/2033 | 2,221,832 | 2,210,247 | ||||||||
OneMain Financial Issuance Trust Series 2019-2A Class A† | 3.14% | 10/14/2036 | 75,865,000 | 71,266,064 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class A† | 1.75% | 9/14/2035 | 20,954,000 | 19,443,688 | ||||||||
OneMain Financial Issuance Trust Series 2020-2A Class C† | 2.76% | 9/14/2035 | 14,375,000 | 12,770,166 | ||||||||
OneMain Financial Issuance Trust Series 2021-1A Class A1† | 1.55% | 6/16/2036 | 18,050,000 | 16,229,389 | ||||||||
OneMain Financial Issuance Trust Series 2021-3A Class A† | 5.94% | 5/15/2034 | 105,705,000 | 106,004,737 | ||||||||
Orange Lake Timeshare Trust Series 2019-A Class A† | 3.06% | 4/9/2038 | 3,387,396 | 3,293,909 | ||||||||
OZLM XVII Ltd. Series 2017-17A Class A1† | 6.829% (3 mo. USD Term SOFR + 1.51%) | # | 7/20/2030 | 7,751,453 | 7,776,092 | |||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 29,970,701 | 29,589,021 | ||||||||
Perimeter Master Note Business Trust | 2.13% | 5/15/2027 | 90,000,000 | 86,849,028 | ||||||||
PFS Financing Corp. Series 2023-A Class A† | 5.80% | 3/15/2028 | 90,750,000 | 91,831,050 | ||||||||
Planet Fitness Master Issuer LLC Series 2018-1A Class A2II† | 4.666% | 9/5/2048 | 17,963,653 | 17,579,532 | ||||||||
Prima Capital CRE Securitization Ltd. Series 2013-3A Class C† | 5.00% | 10/24/2035 | 35,011,000 | 34,332,837 | (b) | |||||||
Rad CLO 2 Ltd. Series 2018-2A Class AR† | 6.656% (3 mo. USD Term SOFR + 1.34%) | # | 10/15/2031 | 92,588,438 | 92,869,787 | |||||||
Rad CLO 7 Ltd. Series 2020-7A Class A1R†(a) | 5.55% (3 mo. USD Term SOFR + 1.35%) | # | 4/17/2036 | 77,000,000 | 77,000,000 |
232 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Romark CLO Ltd. Series 2017-1A Class A1R† | 6.607% (3 mo. USD Term SOFR + 1.29%) | # | 10/23/2030 | $ | 41,652,752 | $ | 41,636,091 | |||||
RR Ltd. Series 2022-24A Class A1AR† | 7.077% (3 mo. USD Term SOFR + 1.73%) | # | 1/15/2036 | 111,610,000 | 112,293,456 | |||||||
SCF Equipment Leasing LLC Series 2021-1A Class A3† | 0.83% | 8/21/2028 | 23,809,995 | 23,539,970 | ||||||||
SCF Equipment Leasing LLC Series 2021-1A Class B† | 1.37% | 8/20/2029 | 14,900,000 | 14,319,475 | ||||||||
SCF Equipment Leasing LLC Series 2022-1A Class A3† | 2.92% | 7/20/2029 | 82,035,008 | 80,588,099 | ||||||||
SCF Equipment Leasing LLC Series 2022-1A Class B† | 3.22% | 10/21/2030 | 45,560,000 | 43,555,888 | ||||||||
TCI-Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.541% (3 mo. USD Term SOFR + 1.22%) | # | 11/18/2030 | 35,666,507 | 35,757,734 | |||||||
TCI-Flatiron CLO Ltd. Series 2018-1A Class ANR† | 6.641% (3 mo. USD Term SOFR + 1.32%) | # | 1/29/2032 | 32,300,000 | 32,402,405 | |||||||
Upstart Securitization Trust Series 2021-5 Class A† | 1.31% | 11/20/2031 | 2,453,314 | 2,444,685 | ||||||||
Valley Stream Park CLO Ltd. Series 2022-1A Class AR† | 6.948% (3 mo. USD Term SOFR + 1.63%) | # | 10/20/2034 | 112,700,000 | 113,330,696 | |||||||
Venture 33 CLO Ltd. Series 2018-33A Class A1LR† | 6.636% (3 mo. USD Term SOFR + 1.32%) | # | 7/15/2031 | 66,808,328 | 67,026,842 | |||||||
Verde CLO Ltd. Series 2019-1A Class AR† | 6.676% (3 mo. USD Term SOFR + 1.36%) | # | 4/15/2032 | 19,355,000 | 19,372,419 | |||||||
Verizon Master Trust Series 2022-7 Class A1A | 5.23% | 11/22/2027 | 91,200,000 | 91,063,154 | ||||||||
Verizon Master Trust Series 2024-2 Class A† | 4.83% | 12/22/2031 | 77,880,000 | 77,943,737 | ||||||||
Wind River CLO Ltd. Series 2013-1A Class A1RR† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2030 | 40,995,418 | 41,085,740 | |||||||
Total | 5,867,879,532 | |||||||||||
Rec Vehicle Loan 0.21% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | 4,358,169 | 4,302,174 | ||||||||
Octane Receivables Trust Series 2022-1A Class A2† | 4.18% | 3/20/2028 | 33,328,858 | 33,021,319 | ||||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 27,593,908 | 27,466,957 | ||||||||
Octane Receivables Trust Series 2023-1A Class A† | 5.87% | 5/21/2029 | 25,615,322 | 25,627,000 | ||||||||
Total | 90,417,450 |
See Notes to Schedule of Investments. | 233 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Student Loan 0.50% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-FA Class A† | 1.22% | 7/15/2069 | $ | 33,910,566 | $ | 30,649,790 | ||||||
Navient Private Education Refi Loan Trust Series 2021-CA Class A† | 1.06% | 10/15/2069 | 89,585,209 | 77,917,462 | ||||||||
Navient Private Education Refi Loan Trust Series 2022-A Class A† | 2.23% | 7/15/2070 | 84,184,017 | 73,913,811 | ||||||||
Nelnet Student Loan Trust Series 2021-A Class APT1† | 1.36% | 4/20/2062 | 33,741,598 | 30,575,627 | ||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 6.035% (1 mo. USD Term SOFR + 0.71%) | # | 1/25/2046 | 1,577,909 | 1,577,048 | |||||||
Total | 214,633,738 | |||||||||||
Total Asset-Backed Securities (cost $10,398,591,130) | 10,288,378,818 | |||||||||||
CORPORATE BONDS 59.73% | ||||||||||||
Aerospace/Defense 0.51% | ||||||||||||
Boeing Co. | 2.196% | 2/4/2026 | 51,928,000 | 48,741,495 | ||||||||
Boeing Co. | 4.875% | 5/1/2025 | 37,083,000 | 36,749,782 | ||||||||
F-Brasile SpA/F-Brasile U.S. LLC (Italy)†(c) | 7.375% | 8/15/2026 | 23,967,000 | 23,817,925 | ||||||||
HEICO Corp. | 5.25% | 8/1/2028 | 22,984,000 | 23,181,127 | ||||||||
L3Harris Technologies, Inc. | 5.40% | 1/15/2027 | 38,645,000 | 38,904,500 | ||||||||
RTX Corp. | 5.75% | 11/8/2026 | 21,133,000 | 21,442,294 | ||||||||
RTX Corp. | 5.75% | 1/15/2029 | 23,893,000 | 24,618,844 | ||||||||
Total | 217,455,967 | |||||||||||
Agriculture 1.54% | ||||||||||||
BAT Capital Corp. | 2.259% | 3/25/2028 | 20,595,000 | 18,236,721 | ||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 27,255,000 | 26,840,480 | ||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 73,685,000 | 72,826,231 | ||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 5,439,000 | 5,144,208 | ||||||||
BAT International Finance PLC (United Kingdom)(c) | 5.931% | 2/2/2029 | 41,587,000 | 42,496,569 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(c) | 3.125% | 7/26/2024 | 129,516,000 | 128,144,209 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(c) | 3.50% | 7/26/2026 | 8,800,000 | 8,374,037 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(c) | 6.125% | 7/27/2027 | 130,231,000 | 132,621,148 | ||||||||
Philip Morris International, Inc. | 4.75% | 2/12/2027 | 18,225,000 | 18,003,310 | ||||||||
Philip Morris International, Inc. | 4.875% | 2/13/2029 | 46,469,000 | 45,699,303 | ||||||||
Philip Morris International, Inc. | 5.125% | 11/17/2027 | 40,289,000 | 40,374,255 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 40,073,000 | 39,469,366 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 2.00% | 4/21/2026 | 47,780,000 | 44,244,944 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 4.90% | 4/21/2027 | 36,422,000 | 35,669,211 | ||||||||
Total | 658,143,992 |
234 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Airlines 0.12% | ||||||||||||
United Airlines Pass-Through Trust Series 2020-1 Class A | 5.875% | 4/15/2029 | $ | 50,902,338 | $ | 51,445,853 | ||||||
Apparel 0.25% | ||||||||||||
PVH Corp. | 4.625% | 7/10/2025 | 19,872,000 | 19,595,760 | ||||||||
Tapestry, Inc. | 7.00% | 11/27/2026 | 75,134,000 | 77,203,847 | ||||||||
Tapestry, Inc. | 7.35% | 11/27/2028 | 11,557,000 | 12,097,483 | ||||||||
Total | 108,897,090 | |||||||||||
Auto Manufacturers 3.17% | ||||||||||||
Daimler Truck Finance North America LLC† | 3.65% | 4/7/2027 | 4,239,000 | 4,068,241 | ||||||||
Daimler Truck Finance North America LLC† | 5.00% | 1/15/2027 | 15,871,000 | 15,815,754 | ||||||||
Ford Motor Credit Co. LLC | 2.30% | 2/10/2025 | 45,441,000 | 43,965,512 | ||||||||
Ford Motor Credit Co. LLC | 3.375% | 11/13/2025 | 90,599,000 | 86,960,225 | ||||||||
Ford Motor Credit Co. LLC | 3.664% | 9/8/2024 | 8,046,000 | 7,948,813 | ||||||||
Ford Motor Credit Co. LLC | 4.063% | 11/1/2024 | 18,729,000 | 18,474,035 | ||||||||
Ford Motor Credit Co. LLC | 4.389% | 1/8/2026 | 10,224,000 | 9,945,699 | ||||||||
Ford Motor Credit Co. LLC | 4.687% | 6/9/2025 | 10,043,000 | 9,904,274 | ||||||||
Ford Motor Credit Co. LLC | 5.125% | 6/16/2025 | 25,607,000 | 25,354,783 | ||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 172,983,000 | 172,964,169 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 43,531,000 | 43,898,183 | ||||||||
General Motors Financial Co., Inc. | 2.75% | 6/20/2025 | 74,459,000 | 71,874,274 | ||||||||
General Motors Financial Co., Inc. | 2.90% | 2/26/2025 | 30,070,000 | 29,257,171 | ||||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 35,702,000 | 35,612,698 | ||||||||
General Motors Financial Co., Inc. | 4.35% | 1/17/2027 | 19,511,000 | 18,996,400 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 4/6/2026 | 29,734,000 | 29,755,574 | ||||||||
General Motors Financial Co., Inc. | 5.40% | 5/8/2027 | 35,422,000 | 35,449,480 | ||||||||
Hyundai Capital America† | 0.875% | 6/14/2024 | 84,025,000 | 82,854,411 | ||||||||
Hyundai Capital America† | 1.00% | 9/17/2024 | 24,328,000 | 23,700,960 | ||||||||
Hyundai Capital America† | 1.30% | 1/8/2026 | 39,188,000 | 36,339,553 | ||||||||
Hyundai Capital America† | 1.50% | 6/15/2026 | 47,772,000 | 43,734,526 | ||||||||
Hyundai Capital America† | 1.80% | 10/15/2025 | 10,345,000 | 9,755,438 | ||||||||
Hyundai Capital America† | 5.25% | 1/8/2027 | 40,238,000 | 40,108,218 | ||||||||
Hyundai Capital America† | 5.30% | 1/8/2029 | 23,600,000 | 23,555,798 | ||||||||
Hyundai Capital America† | 5.50% | 3/30/2026 | 46,107,000 | 46,153,462 | ||||||||
Hyundai Capital America† | 5.65% | 6/26/2026 | 46,778,000 | 46,935,627 | ||||||||
Hyundai Capital America† | 5.875% | 4/7/2025 | 13,781,000 | 13,823,933 | ||||||||
Hyundai Capital America† | 5.95% | 9/21/2026 | 48,250,000 | 48,808,645 | ||||||||
Hyundai Capital America† | 6.10% | 9/21/2028 | 47,527,000 | 48,974,470 | ||||||||
Hyundai Capital America† | 6.25% | 11/3/2025 | 20,000,000 | 20,235,932 |
See Notes to Schedule of Investments. | 235 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
Volkswagen Group of America Finance LLC† | 4.35% | 6/8/2027 | $ | 11,100,000 | $ | 10,828,581 | ||||||
Volkswagen Group of America Finance LLC† | 5.70% | 9/12/2026 | 63,166,000 | 63,771,860 | ||||||||
Volkswagen Group of America Finance LLC† | 5.80% | 9/12/2025 | 79,849,000 | 80,214,578 | ||||||||
Volkswagen Group of America Finance LLC† | 6.00% | 11/16/2026 | 58,388,000 | 59,511,982 | ||||||||
Total | 1,359,553,259 | |||||||||||
Auto Parts & Equipment 0.07% | ||||||||||||
Goodyear Tire & Rubber Co. | 9.50% | 5/31/2025 | 28,083,000 | 28,390,088 | ||||||||
Banks 22.86% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 4.75% | 7/28/2025 | 91,639,000 | 90,039,808 | ||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 4.80% | 4/18/2026 | 48,000,000 | 46,885,910 | ||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 6.339% (1 yr. CMT + 1.65%) | # | 9/18/2027 | 30,400,000 | 30,924,333 | |||||||
AIB Group PLC (Ireland)†(c) | 4.263% (3 mo. USD LIBOR + 1.87%) | # | 4/10/2025 | 122,186,000 | 121,895,811 | |||||||
AIB Group PLC (Ireland)†(c) | 6.608% (SOFR + 2.33%) | # | 9/13/2029 | 57,264,000 | 59,451,688 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(c) | 4.40% | 5/19/2026 | 25,108,000 | 24,392,176 | ||||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(c) | 4.50% | 3/19/2024 | 12,844,000 | 12,836,645 | ||||||||
Bank of America Corp. | 0.981% (SOFR + 0.91%) | # | 9/25/2025 | 19,293,000 | 18,786,375 | |||||||
Bank of America Corp. | 1.197% (SOFR + 1.01%) | # | 10/24/2026 | 131,403,000 | 122,477,764 | |||||||
Bank of America Corp. | 1.319% (SOFR + 1.15%) | # | 6/19/2026 | 81,286,000 | 76,966,329 | |||||||
Bank of America Corp. | 1.53% (SOFR + 0.65%) | # | 12/6/2025 | 40,584,000 | 39,302,489 | |||||||
Bank of America Corp. | 1.734% (SOFR + 0.96%) | # | 7/22/2027 | 30,964,000 | 28,400,794 | |||||||
Bank of America Corp. | 2.456% (3 mo. USD Term SOFR + 1.13%) | # | 10/22/2025 | 54,308,000 | 53,174,972 | |||||||
Bank of America Corp. | 3.093% (3 mo. USD Term SOFR + 1.35%) | # | 10/1/2025 | 51,089,000 | 50,330,736 | |||||||
Bank of America Corp. | 3.366% (3 mo. USD Term SOFR + 1.07%) | # | 1/23/2026 | 100,819,000 | 98,909,604 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33%) | # | 4/2/2026 | 166,560,000 | 162,604,238 | |||||||
Bank of America Corp. | 3.841% (SOFR + 1.11%) | # | 4/25/2025 | 71,671,000 | 71,453,962 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 97,385,000 | 95,799,267 | ||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 17,806,000 | 17,551,212 |
236 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Bank of America Corp. | 4.948% (SOFR + 2.04%) | # | 7/22/2028 | $ | 77,426,000 | $ | 76,677,020 | |||||
Bank of Ireland Group PLC (Ireland)†(c) | 2.029% (1 yr. CMT + 1.10%) | # | 9/30/2027 | 76,779,000 | 69,933,346 | |||||||
Bank of Ireland Group PLC (Ireland)†(c) | 6.253% (1 yr. CMT + 2.65%) | # | 9/16/2026 | 31,316,000 | 31,516,826 | |||||||
Bank of Montreal (Canada)(c) | 3.70% | 6/7/2025 | 23,334,000 | 22,868,982 | ||||||||
Bank of Montreal (Canada)(c) | 5.266% | 12/11/2026 | 71,598,000 | 71,801,128 | ||||||||
Bank of Montreal (Canada)(c) | 5.30% | 6/5/2026 | 15,697,000 | 15,741,326 | ||||||||
Bank of New York Mellon Corp. | 4.414% (SOFR + 1.35%) | # | 7/24/2026 | 11,501,000 | 11,346,022 | |||||||
Bank of New York Mellon Corp. | 4.543% (SOFR + 1.17%) | # | 2/1/2029 | 12,852,000 | 12,632,958 | |||||||
Bank of Nova Scotia (Canada)(c) | 4.75% | 2/2/2026 | 7,769,000 | 7,710,443 | ||||||||
Bank of Nova Scotia (Canada)(c) | 5.35% | 12/7/2026 | 60,991,000 | 61,232,986 | ||||||||
Bank of Nova Scotia (Canada)(c) | 5.45% | 6/12/2025 | 34,297,000 | 34,322,142 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 66,202,000 | 64,384,388 | ||||||||
Barclays PLC (United Kingdom)(c) | 2.852% (SOFR + 2.71%) | # | 5/7/2026 | 71,023,000 | 68,688,110 | |||||||
Barclays PLC (United Kingdom)(c) | 3.932% (3 mo. USD LIBOR + 1.61%) | # | 5/7/2025 | 11,594,000 | 11,549,463 | |||||||
Barclays PLC (United Kingdom)(c) | 4.836% | 5/9/2028 | 10,192,000 | 9,824,828 | ||||||||
Barclays PLC (United Kingdom)(c) | 5.20% | 5/12/2026 | 93,499,000 | 92,467,817 | ||||||||
Barclays PLC (United Kingdom)(c) | 5.829% (SOFR + 2.21%) | # | 5/9/2027 | 77,116,000 | 77,325,629 | |||||||
Barclays PLC (United Kingdom)(c) | 6.496% (SOFR + 1.88%) | # | 9/13/2027 | 69,331,000 | 70,564,989 | |||||||
Barclays PLC (United Kingdom)(c) | 7.325% (1 yr. CMT + 3.05%) | # | 11/2/2026 | 33,243,000 | 34,078,235 | |||||||
Barclays PLC (United Kingdom)(c) | 7.385% (1 yr. CMT + 3.30%) | # | 11/2/2028 | 30,351,000 | 32,094,288 | |||||||
BBVA Bancomer SA† | 4.375% | 4/10/2024 | 20,011,000 | 19,975,296 | ||||||||
BNP Paribas SA (France)†(c) | 1.323% (SOFR + 1.00%) | # | 1/13/2027 | 17,024,000 | 15,752,415 | |||||||
BNP Paribas SA (France)†(c) | 1.904% (SOFR + 1.61%) | # | 9/30/2028 | 36,783,389 | 32,566,982 | |||||||
BNP Paribas SA (France)†(c) | 2.219% (SOFR + 2.07%) | # | 6/9/2026 | 17,065,000 | 16,341,690 | |||||||
BNP Paribas SA (France)†(c) | 2.591% (SOFR + 1.23%) | # | 1/20/2028 | 168,306,000 | 155,321,165 | |||||||
BNP Paribas SA (France)†(c) | 2.819% (3 mo. USD Term SOFR + 1.37%) | # | 11/19/2025 | 69,838,000 | 68,348,611 |
See Notes to Schedule of Investments. | 237 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
BNP Paribas SA (France)†(c) | 4.375% | 5/12/2026 | $ | 11,186,000 | $ | 10,859,975 | ||||||
BNP Paribas SA (France)†(c) | 5.125% (1 yr. CMT + 1.45%) | # | 1/13/2029 | 38,699,000 | 38,445,733 | |||||||
BNP Paribas SA (France)†(c) | 5.497% (SOFR + 1.59%) | # | 5/20/2030 | 44,904,000 | 44,720,038 | |||||||
BPCE SA (France)†(c) | 2.375% | 1/14/2025 | 14,304,000 | 13,892,833 | ||||||||
BPCE SA (France)†(c) | 4.50% | 3/15/2025 | 53,678,000 | 52,715,162 | ||||||||
BPCE SA (France)†(c) | 4.875% | 4/1/2026 | 22,232,000 | 21,747,121 | ||||||||
BPCE SA (France)†(c) | 5.15% | 7/21/2024 | 5,000,000 | 4,977,700 | ||||||||
BPCE SA (France)†(c) | 5.203% | 1/18/2027 | 23,038,000 | 23,034,721 | ||||||||
BPCE SA (France)†(c) | 5.716% (1 yr. CMT + 1.96%) | # | 1/18/2030 | 28,760,000 | 28,657,054 | |||||||
BPCE SA (France)†(c) | 5.975% (SOFR + 2.10%) | # | 1/18/2027 | 58,362,000 | 58,429,396 | |||||||
Canadian Imperial Bank of Commerce (Canada)(c) | 5.001% | 4/28/2028 | 62,884,000 | 62,686,634 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(c) | 5.615% | 7/17/2026 | 59,507,000 | 60,112,275 | ||||||||
Citigroup, Inc. | 3.106% (SOFR + 2.84%) | # | 4/8/2026 | 261,002,000 | 254,087,968 | |||||||
Citigroup, Inc. | 3.29% (SOFR + 1.53%) | # | 3/17/2026 | 15,948,000 | 15,571,777 | |||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16%) | # | 4/24/2025 | 84,116,000 | 83,799,433 | |||||||
Citigroup, Inc. | 3.875% | 3/26/2025 | 33,016,000 | 32,416,127 | ||||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82%) | # | 1/10/2028 | 17,272,000 | 16,605,817 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37%) | # | 5/24/2025 | 27,692,000 | 27,565,742 | |||||||
Citigroup, Inc. | 4.40% | 6/10/2025 | 170,806,000 | 168,319,104 | ||||||||
Citigroup, Inc. | 5.174% (SOFR + 1.36%) | # | 2/13/2030 | 79,375,000 | 78,585,253 | |||||||
Citigroup, Inc. | 5.50% | 9/13/2025 | 35,065,000 | 35,007,970 | ||||||||
Citigroup, Inc. | 5.61% (SOFR + 1.55%) | # | 9/29/2026 | 12,000,000 | 12,018,792 | |||||||
Citizens Bank NA | 4.575% (SOFR + 2.00%) | # | 8/9/2028 | 71,051,000 | 67,722,798 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45%) | # | 10/24/2025 | 78,163,000 | 77,728,130 | |||||||
Citizens Financial Group, Inc. | 5.841% (SOFR + 2.01%) | # | 1/23/2030 | 27,294,000 | 26,981,392 | |||||||
Credit Agricole SA (France)†(c) | 4.375% | 3/17/2025 | 89,787,000 | 88,423,225 | ||||||||
Credit Suisse AG | 2.95% | 4/9/2025 | 10,000,000 | 9,712,394 | ||||||||
Credit Suisse AG | 3.625% | 9/9/2024 | 8,088,000 | 8,008,568 |
238 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Danske Bank AS (Denmark)†(c) | 0.976% (1 yr. CMT + 0.55%) | # | 9/10/2025 | $ | 46,616,000 | $ | 45,400,562 | |||||
Danske Bank AS (Denmark)†(c) | 1.621% (1 yr. CMT + 1.35%) | # | 9/11/2026 | 46,515,000 | 43,625,104 | |||||||
Danske Bank AS (Denmark)†(c) | 3.244% (3 mo. USD LIBOR + 1.59%) | # | 12/20/2025 | 137,918,000 | 134,808,579 | |||||||
Danske Bank AS (Denmark)†(c) | 4.298% (1 yr. CMT + 1.75%) | # | 4/1/2028 | 84,056,000 | 80,979,099 | |||||||
Danske Bank AS (Denmark)†(a)(c) | 5.427% (1 yr. CMT + 0.95%) | # | 3/1/2028 | 48,712,000 | 48,796,958 | |||||||
Danske Bank AS (Denmark)†(a)(c) | 5.705% (1 yr. CMT + 1.40%) | # | 3/1/2030 | 20,526,000 | 20,579,789 | |||||||
Danske Bank AS (Denmark)†(c) | 6.466% (1 yr. CMT + 2.10%) | # | 1/9/2026 | 47,278,000 | 47,471,698 | |||||||
Discover Bank | 4.25% | 3/13/2026 | 17,999,000 | 17,492,248 | ||||||||
Federation des Caisses Desjardins du Quebec (Canada)†(c) | 5.25% | 4/26/2029 | 62,272,000 | 61,741,678 | ||||||||
Federation des Caisses Desjardins du Quebec (Canada)†(c) | 5.70% | 3/14/2028 | 50,861,000 | 51,445,698 | ||||||||
Goldman Sachs Group, Inc. | 1.948% (SOFR + 0.91%) | # | 10/21/2027 | 122,648,000 | 112,314,840 | |||||||
Goldman Sachs Group, Inc. | 2.64% (SOFR + 1.11%) | # | 2/24/2028 | 62,898,000 | 58,273,612 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46%) | # | 9/29/2025 | 24,934,000 | 24,590,039 | |||||||
Goldman Sachs Group, Inc. | 3.50% | 4/1/2025 | 50,257,000 | 49,229,320 | ||||||||
Goldman Sachs Group, Inc. | 4.223% (3 mo. USD Term SOFR + 1.56%) | # | 5/1/2029 | 70,417,000 | 67,544,980 | |||||||
Goldman Sachs Group, Inc. | 5.798% (SOFR + 1.08%) | # | 8/10/2026 | 36,746,000 | 36,959,739 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 0.976% (SOFR + 0.71%) | # | 5/24/2025 | 22,757,000 | 22,501,140 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 3.803% (3 mo. USD Term SOFR + 1.47%) | # | 3/11/2025 | 82,990,000 | 82,948,630 | |||||||
HSBC Holdings PLC (United Kingdom)(c) | 5.887% (SOFR + 1.57%) | # | 8/14/2027 | 61,627,000 | 62,048,238 | |||||||
Huntington Bancshares, Inc. | 4.443% (SOFR + 1.97%) | # | 8/4/2028 | 24,051,000 | 23,105,127 | |||||||
Huntington National Bank | 4.008% (SOFR + 1.21%) | # | 5/16/2025 | 29,134,000 | 28,956,835 | |||||||
Huntington National Bank | 5.699% (SOFR + 1.22%) | # | 11/18/2025 | 80,138,000 | 79,483,608 | |||||||
Intesa Sanpaolo SpA (Italy)†(c) | 3.25% | 9/23/2024 | 20,481,000 | 20,174,036 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.017% | 6/26/2024 | 244,569,000 | 243,039,534 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.71% | 1/15/2026 | 78,550,000 | 77,862,717 |
See Notes to Schedule of Investments. | 239 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
JPMorgan Chase & Co. | 0.768% (SOFR + 0.49%) | # | 8/9/2025 | $ | 78,538,000 | $ | 76,771,193 | |||||
JPMorgan Chase & Co. | 0.824% (3 mo. USD Term SOFR + 0.54%) | # | 6/1/2025 | 91,927,000 | 90,721,931 | |||||||
JPMorgan Chase & Co. | 2.301% (SOFR + 1.16%) | # | 10/15/2025 | 40,600,000 | 39,789,337 | |||||||
JPMorgan Chase & Co. | 3.782% (3 mo. USD Term SOFR + 1.60%) | # | 2/1/2028 | 20,475,000 | 19,665,473 | |||||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98%) | # | 6/14/2025 | 111,076,000 | 110,404,781 | |||||||
JPMorgan Chase & Co. | 4.851% (SOFR + 1.99%) | # | 7/25/2028 | 41,713,000 | 41,265,011 | |||||||
JPMorgan Chase & Co. | 6.265% (SOFR + 0.92%) | # | 2/24/2026 | 57,956,000 | 58,216,268 | |||||||
JPMorgan Chase & Co. | 6.525% (SOFR + 1.18%) | # | 2/24/2028 | 38,901,000 | 39,266,591 | |||||||
JPMorgan Chase Bank NA | 5.11% | 12/8/2026 | 13,403,000 | 13,423,561 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(c) | 4.582% | 12/10/2025 | 18,348,000 | 17,986,288 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(c) | 4.65% | 3/24/2026 | 29,589,000 | 29,034,286 | ||||||||
Lloyds Banking Group PLC (United Kingdom)(c) | 5.462% (1 yr. CMT + 1.38%) | # | 1/5/2028 | 31,204,000 | 31,082,196 | |||||||
Lloyds Banking Group PLC (United Kingdom)(c) | 5.985% (1 yr. CMT + 1.48%) | # | 8/7/2027 | 41,528,000 | 41,830,443 | |||||||
M&T Bank Corp. | 4.553% (SOFR + 1.78%) | # | 8/16/2028 | 43,711,000 | 41,703,864 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 4.875% | 6/10/2025 | 32,811,000 | 32,399,484 | ||||||||
Macquarie Bank Ltd. (Australia)†(c) | 5.391% | 12/7/2026 | 32,415,000 | 32,492,111 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 1.201% (SOFR + 0.69%) | # | 10/14/2025 | 40,033,000 | 38,888,827 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 1.34% (SOFR + 1.07%) | # | 1/12/2027 | 67,569,000 | 62,375,781 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 3.763% (3 mo. USD LIBOR + 1.37%) | # | 11/28/2028 | 38,587,000 | 36,141,759 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 5.108% (SOFR + 2.21%) | # | 8/9/2026 | 83,107,000 | 82,594,374 | |||||||
Manufacturers & Traders Trust Co. | 4.65% | 1/27/2026 | 193,038,000 | 188,067,202 | ||||||||
Manufacturers & Traders Trust Co. | 4.70% | 1/27/2028 | 47,563,000 | 45,770,576 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 0.953% (1 yr. CMT + 0.55%) | # | 7/19/2025 | 58,686,000 | 57,614,102 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 0.962% (1 yr. CMT + 0.45%) | # | 10/11/2025 | 5,000,000 | 4,852,728 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 4.788% (1 yr. CMT + 1.70%) | # | 7/18/2025 | 99,237,000 | 98,823,493 |
240 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 5.063% (1 yr. CMT + 1.55%) | # | 9/12/2025 | $ | 64,569,000 | $ | 64,302,856 | |||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 5.719% (1 yr. CMT + 1.08%) | # | 2/20/2026 | 45,058,000 | 45,094,104 | |||||||
Morgan Stanley | 0.79% (SOFR + 0.53%) | # | 5/30/2025 | 94,058,000 | 92,740,524 | |||||||
Morgan Stanley | 3.62% (SOFR + 1.16%) | # | 4/17/2025 | 46,263,000 | 46,125,259 | |||||||
Morgan Stanley | 4.679% (SOFR + 1.67%) | # | 7/17/2026 | 9,324,000 | 9,226,032 | |||||||
Morgan Stanley | 5.123% (SOFR + 1.73%) | # | 2/1/2029 | 32,276,000 | 32,074,839 | |||||||
Morgan Stanley | 5.449% (SOFR + 1.63%) | # | 7/20/2029 | 40,373,000 | 40,545,509 | |||||||
Morgan Stanley | 6.138% (SOFR + 1.77%) | # | 10/16/2026 | 26,508,000 | 26,828,373 | |||||||
Morgan Stanley Bank NA | 4.952% (SOFR + 1.08%) | # | 1/14/2028 | 12,646,000 | 12,585,915 | |||||||
NatWest Group PLC (United Kingdom)(c) | 4.269% (3 mo. USD LIBOR + 1.76%) | # | 3/22/2025 | 164,099,000 | 163,958,971 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.583% (1 yr. CMT + 1.10%) | # | 3/1/2028 | 39,204,000 | 39,249,528 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.808% (1 yr. CMT + 1.95%) | # | 9/13/2029 | 79,112,000 | 79,954,385 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.847% (1 yr. CMT + 1.35%) | # | 3/2/2027 | 22,160,000 | 22,256,755 | |||||||
NatWest Group PLC (United Kingdom)(c) | 7.472% (1 yr. CMT + 2.85%) | # | 11/10/2026 | 7,446,000 | 7,652,926 | |||||||
NatWest Markets PLC (United Kingdom)†(c) | 3.479% | 3/22/2025 | 41,245,000 | 40,380,933 | ||||||||
PNC Financial Services Group, Inc. | 6.615% (SOFR + 1.73%) | # | 10/20/2027 | 25,722,000 | 26,428,476 | |||||||
Royal Bank of Canada (Canada)(c) | 4.24% | 8/3/2027 | 65,098,000 | 63,468,859 | ||||||||
Royal Bank of Canada (Canada)(c) | 5.20% | 7/20/2026 | 27,998,000 | 28,104,353 | ||||||||
Royal Bank of Canada (Canada)(c) | 6.00% | 11/1/2027 | 35,670,000 | 36,742,224 | ||||||||
Santander Holdings USA, Inc. | 2.49% (SOFR + 1.25%) | # | 1/6/2028 | 35,038,000 | 31,703,920 | |||||||
Santander Holdings USA, Inc. | 3.244% | 10/5/2026 | 38,058,000 | 35,661,357 | ||||||||
Santander Holdings USA, Inc. | 3.50% | 6/7/2024 | 33,117,000 | 32,910,836 | ||||||||
Santander Holdings USA, Inc. | 5.807% (SOFR + 2.33%) | # | 9/9/2026 | 16,339,000 | 16,322,159 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(c) | 1.089% (SOFR + 0.79%) | # | 3/15/2025 | 13,611,000 | 13,589,252 |
See Notes to Schedule of Investments. | 241 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Santander U.K. Group Holdings PLC (United Kingdom)(c) | 2.469% (SOFR + 1.22%) | # | 1/11/2028 | $ | 37,697,000 | $ | 34,335,104 | |||||
Santander U.K. Group Holdings PLC (United Kingdom)†(c) | 4.75% | 9/15/2025 | 42,889,000 | 41,921,783 | ||||||||
Santander U.K. Group Holdings PLC (United Kingdom)(c) | 6.534% (SOFR + 2.60%) | # | 1/10/2029 | 58,887,000 | 60,406,608 | |||||||
Societe Generale SA (France)†(c) | 2.226% (1 yr. CMT + 1.05%) | # | 1/21/2026 | 76,944,000 | 74,377,938 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 1.214% (1 yr. CMT + 0.88%) | # | 3/23/2025 | 10,244,000 | 10,198,978 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 2.819% (3 mo. USD LIBOR + 1.21%) | # | 1/30/2026 | 8,168,000 | 7,927,747 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 6.187% (1 yr. CMT + 1.85%) | # | 7/6/2027 | 32,803,000 | 33,136,382 | |||||||
Standard Chartered PLC (United Kingdom)†(c) | 6.75% (1 yr. CMT + 1.85%) | # | 2/8/2028 | 40,593,000 | 41,604,541 | |||||||
State Street Corp. | 5.104% (SOFR + 1.13%) | # | 5/18/2026 | 16,669,000 | 16,608,681 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(c) | 5.80% | 7/13/2028 | 37,634,000 | 38,716,341 | ||||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(c) | 5.88% | 7/13/2026 | 15,871,000 | 16,108,657 | ||||||||
Swedbank AB (Sweden)†(c) | 6.136% | 9/12/2026 | 54,791,000 | 55,550,887 | ||||||||
Synchrony Bank | 5.40% | 8/22/2025 | 7,930,000 | 7,839,640 | ||||||||
Toronto-Dominion Bank (Canada)(c) | 3.766% | 6/6/2025 | 23,348,000 | 22,934,955 | ||||||||
Toronto-Dominion Bank (Canada)(c) | 4.693% | 9/15/2027 | 48,713,000 | 48,180,405 | ||||||||
Toronto-Dominion Bank (Canada)(c) | 5.532% | 7/17/2026 | 57,736,000 | 58,259,382 | ||||||||
Truist Financial Corp. | 4.26% (SOFR + 1.46%) | # | 7/28/2026 | 70,757,000 | 69,332,404 | |||||||
Truist Financial Corp. | 4.873% (SOFR + 1.44%) | # | 1/26/2029 | 23,640,000 | 23,062,889 | |||||||
Truist Financial Corp. | 5.435% (SOFR + 1.62%) | # | 1/24/2030 | 23,827,000 | 23,578,999 | |||||||
Truist Financial Corp. | 6.047% (SOFR + 2.05%) | # | 6/8/2027 | 28,006,000 | 28,294,374 | |||||||
U.S. Bancorp | 4.548% (SOFR + 1.66%) | # | 7/22/2028 | 53,941,000 | 52,683,468 | |||||||
U.S. Bancorp | 4.653% (SOFR + 1.23%) | # | 2/1/2029 | 47,588,000 | 46,303,736 | |||||||
U.S. Bancorp | 5.384% (SOFR + 1.56%) | # | 1/23/2030 | 18,342,000 | 18,248,742 | |||||||
U.S. Bancorp | 5.775% (SOFR + 2.02%) | # | 6/12/2029 | 55,402,000 | 56,000,852 |
242 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
U.S. Bancorp | 6.787% (SOFR + 1.88%) | # | 10/26/2027 | $ | 57,559,000 | $ | 59,487,193 | |||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 176,654,000 | 176,216,781 | ||||||||
UBS Group AG (Switzerland)†(c) | 1.305% (SOFR + 0.98%) | # | 2/2/2027 | 12,058,000 | 11,116,067 | |||||||
UBS Group AG (Switzerland)†(c) | 1.494% (1 yr. CMT + 0.85%) | # | 8/10/2027 | 32,133,000 | 29,119,163 | |||||||
UBS Group AG (Switzerland)†(c) | 2.193% (SOFR + 2.04%) | # | 6/5/2026 | 55,363,000 | 52,989,998 | |||||||
UBS Group AG (Switzerland)†(c) | 2.593% (SOFR + 1.56%) | # | 9/11/2025 | 52,442,000 | 51,548,781 | |||||||
UBS Group AG (Switzerland)†(c) | 3.869% (3 mo. USD LIBOR + 1.41%) | # | 1/12/2029 | 57,857,000 | 54,430,440 | |||||||
UBS Group AG (Switzerland)†(c) | 4.125% | 9/24/2025 | 54,339,000 | 53,164,616 | ||||||||
UBS Group AG (Switzerland)†(c) | 4.125% | 4/15/2026 | 48,362,000 | 46,963,743 | ||||||||
UBS Group AG (Switzerland)†(c) | 4.282% | 1/9/2028 | 11,042,000 | 10,600,214 | ||||||||
UBS Group AG (Switzerland)†(c) | 4.488% (1 yr. CMT + 1.55%) | # | 5/12/2026 | 29,178,000 | 28,717,270 | |||||||
UBS Group AG (Switzerland)(c) | 4.55% | 4/17/2026 | 8,366,000 | 8,221,534 | ||||||||
UBS Group AG (Switzerland)†(c) | 4.703% (1 yr. CMT + 2.05%) | # | 8/5/2027 | 12,475,000 | 12,229,957 | |||||||
UBS Group AG (Switzerland)†(c) | 4.751% (1 yr. CMT + 1.75%) | # | 5/12/2028 | 10,000,000 | 9,755,440 | |||||||
UBS Group AG (Switzerland)†(c) | 5.428% (1 yr. CMT + 1.52%) | # | 2/8/2030 | 31,428,000 | 31,232,748 | |||||||
UBS Group AG (Switzerland)†(c) | 5.711% (1 yr. CMT + 1.55%) | # | 1/12/2027 | 72,194,000 | 72,191,813 | |||||||
UBS Group AG (Switzerland)†(c) | 6.442% (SOFR + 3.70%) | # | 8/11/2028 | 30,943,000 | 31,811,976 | |||||||
UniCredit SpA (Italy)†(c) | 2.569% (1 yr. CMT + 2.30%) | # | 9/22/2026 | 10,000,000 | 9,476,127 | |||||||
Wells Fargo & Co. | 2.164% (3 mo. USD Term SOFR + 1.01%) | # | 2/11/2026 | 56,878,000 | 55,027,959 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00%) | # | 4/30/2026 | 62,273,000 | 59,771,575 | |||||||
Wells Fargo & Co. | 4.54% (SOFR + 1.56%) | # | 8/15/2026 | 93,715,000 | 92,444,371 | |||||||
Wells Fargo & Co. | 4.808% (SOFR + 1.98%) | # | 7/25/2028 | 77,683,000 | 76,310,435 | |||||||
Wells Fargo & Co. | 5.198% (SOFR + 1.50%) | # | 1/23/2030 | 60,922,000 | 60,423,441 | |||||||
Wells Fargo & Co. | 5.574% (SOFR + 1.74%) | # | 7/25/2029 | 74,108,000 | 74,625,080 | |||||||
Wells Fargo & Co. | 6.303% (SOFR + 1.79%) | # | 10/23/2029 | 31,837,000 | 33,011,417 | |||||||
Total | 9,797,049,775 |
See Notes to Schedule of Investments. | 243 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Beverages 0.07% | ||||||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | $ | 29,825,000 | $ | 29,004,164 | ||||||
Biotechnology 0.47% | ||||||||||||
Amgen, Inc. | 5.15% | 3/2/2028 | 71,774,000 | 71,943,115 | ||||||||
Amgen, Inc. | 5.507% | 3/2/2026 | 26,424,000 | 26,395,111 | ||||||||
Illumina, Inc. | 5.75% | 12/13/2027 | 64,867,000 | 65,449,736 | ||||||||
Illumina, Inc. | 5.80% | 12/12/2025 | 36,106,000 | 36,123,064 | ||||||||
Total | 199,911,026 | |||||||||||
Building Materials 0.05% | ||||||||||||
Carrier Global Corp. | 5.80% | 11/30/2025 | 19,985,000 | 20,133,348 | ||||||||
Chemicals 0.48% | ||||||||||||
Celanese U.S. Holdings LLC | 6.165% | 7/15/2027 | 57,531,000 | 58,426,742 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 90,336,000 | 84,226,814 | ||||||||
Orbia Advance Corp. SAB de CV (Mexico)†(c) | 1.875% | 5/11/2026 | 36,739,000 | 33,536,320 | ||||||||
Sasol Financing USA LLC | 5.875% | 3/27/2024 | 29,451,000 | 29,375,582 | ||||||||
Total | 205,565,458 | |||||||||||
Coal 0.01% | ||||||||||||
Coronado Finance Pty. Ltd. (Australia)†(c) | 10.75% | 5/15/2026 | 6,398,000 | 6,633,861 | ||||||||
Commercial Services 0.42% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 6.625% | 7/15/2026 | 17,998,000 | 17,958,158 | ||||||||
Block, Inc. | 2.75% | 6/1/2026 | 6,429,000 | 6,004,269 | ||||||||
Gartner, Inc.† | 4.50% | 7/1/2028 | 44,899,000 | 42,545,130 | ||||||||
Global Payments, Inc. | 2.65% | 2/15/2025 | 15,782,000 | 15,319,048 | ||||||||
Global Payments, Inc. | 4.95% | 8/15/2027 | 23,181,000 | 22,979,403 | ||||||||
Triton Container International Ltd.† | 1.15% | 6/7/2024 | 42,352,000 | 41,752,153 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 38,911,000 | 35,682,121 | ||||||||
Total | 182,240,282 | |||||||||||
Computers 0.12% | ||||||||||||
Dell International LLC/EMC Corp. | 4.90% | 10/1/2026 | 19,101,000 | 18,931,865 | ||||||||
Dell International LLC/EMC Corp. | 6.02% | 6/15/2026 | 33,682,000 | 34,061,280 | ||||||||
Total | 52,993,145 | |||||||||||
Diversified Financial Services 3.24% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 1.75% | 10/29/2024 | 62,466,000 | 60,794,902 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 1/15/2025 | 13,447,000 | 13,190,834 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 6.50% | 7/15/2025 | 23,021,000 | 23,243,092 | ||||||||
244 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Air Lease Corp. | 5.85% | 12/15/2027 | $ | 29,247,000 | $ | 29,625,465 | ||||||
Aircastle Ltd. | 4.125% | 5/1/2024 | 15,000,000 | 14,951,888 | ||||||||
Aircastle Ltd.† | 5.25% | 8/11/2025 | 62,465,000 | 61,768,014 | ||||||||
Aircastle Ltd.† | 5.95% | 2/15/2029 | 32,497,000 | 32,126,469 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 68,920,000 | 68,613,728 | ||||||||
Ally Financial, Inc. | 5.75% | 11/20/2025 | 142,452,000 | 141,792,047 | ||||||||
American Express Co. | 4.99% (SOFR + 1.00%) | # | 5/1/2026 | 62,412,000 | 62,058,307 | |||||||
American Express Co. | 5.098% (SOFR + 1.00%) | # | 2/16/2028 | 24,181,000 | 24,094,682 | |||||||
American Express Co. | 5.282% (SOFR + 1.28%) | # | 7/27/2029 | 85,270,000 | 85,747,496 | |||||||
American Express Co. | 5.389% (SOFR + 0.97%) | # | 7/28/2027 | 15,474,000 | 15,519,974 | |||||||
Ameriprise Financial, Inc. | 5.70% | 12/15/2028 | 32,875,000 | 33,829,899 | ||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 84,521,000 | 78,604,354 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 56,550,000 | 56,290,231 | ||||||||
Aviation Capital Group LLC† | 6.25% | 4/15/2028 | 30,432,000 | 30,899,597 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 2.125% | 2/21/2026 | 28,269,000 | 26,247,710 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 2.75% | 2/21/2028 | 29,703,000 | 26,436,252 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 3.25% | 2/15/2027 | 21,656,000 | 20,021,466 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 3.95% | 7/1/2024 | 40,247,000 | 39,949,911 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 22,708,000 | 21,903,229 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.375% | 5/1/2026 | 28,081,000 | 27,104,941 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.50% | 1/15/2026 | 20,268,000 | 20,069,409 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.75% | 3/1/2029 | 27,769,000 | 27,386,921 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 6.375% | 5/4/2028 | 15,827,000 | 16,066,178 | ||||||||
Bread Financial Holdings, Inc.† | 7.00% | 1/15/2026 | 9,686,000 | 9,742,615 | ||||||||
Capital One Financial Corp. | 4.166% (SOFR + 1.37%) | # | 5/9/2025 | 44,309,000 | 44,136,265 | |||||||
LPL Holdings, Inc.† | 4.00% | 3/15/2029 | 76,775,000 | 70,478,351 | ||||||||
LPL Holdings, Inc.† | 4.625% | 11/15/2027 | 8,590,000 | 8,241,178 | ||||||||
LPL Holdings, Inc. | 6.75% | 11/17/2028 | 47,490,000 | 49,596,160 | ||||||||
Navient Corp. | 4.875% | 3/15/2028 | 2,000,000 | 1,828,170 | ||||||||
Navient Corp. | 5.875% | 10/25/2024 | 80,407,000 | 80,272,889 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 15,905,000 | 16,013,297 | ||||||||
Radian Group, Inc.(a) | 6.20% | 5/15/2029 | 36,418,000 | 36,546,618 | ||||||||
Synchrony Financial | 4.50% | 7/23/2025 | 14,700,000 | 14,372,938 | ||||||||
Total | 1,389,565,477 |
See Notes to Schedule of Investments. | 245 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electric 4.94% | ||||||||||||
AES Corp.† | 3.30% | 7/15/2025 | $ | 75,993,000 | $ | 73,359,213 | ||||||
AES Corp. | 5.45% | 6/1/2028 | 61,750,000 | 61,596,849 | ||||||||
Alexander Funding Trust II† | 7.467% | 7/31/2028 | 39,587,000 | 41,458,830 | ||||||||
Ameren Corp. | 5.00% | 1/15/2029 | 40,415,000 | 40,105,491 | ||||||||
Ameren Corp. | 5.70% | 12/1/2026 | 10,000,000 | 10,118,434 | ||||||||
American Electric Power Co., Inc. | 2.031% | 3/15/2024 | 36,211,000 | 36,165,624 | ||||||||
American Electric Power Co., Inc. | 5.20% | 1/15/2029 | 52,421,000 | 52,398,164 | ||||||||
American Electric Power Co., Inc. | 5.699% | 8/15/2025 | 46,726,000 | 46,802,991 | ||||||||
Ausgrid Finance Pty. Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 12,691,000 | 12,139,151 | ||||||||
Black Hills Corp. | 5.95% | 3/15/2028 | 42,913,000 | 44,160,400 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 6,497,000 | 6,406,483 | ||||||||
CenterPoint Energy, Inc. | 5.25% | 8/10/2026 | 21,858,000 | 21,873,433 | ||||||||
Cleco Corporate Holdings LLC | 3.743% | 5/1/2026 | 11,432,000 | 10,988,325 | ||||||||
Cleveland Electric Illuminating Co. | 5.50% | 8/15/2024 | 9,829,000 | 9,820,230 | ||||||||
Constellation Energy Generation LLC | 5.60% | 3/1/2028 | 35,111,000 | 35,598,523 | ||||||||
DTE Energy Co. | 4.875% | 6/1/2028 | 53,006,000 | 52,290,349 | ||||||||
DTE Energy Co. | 5.10% | 3/1/2029 | 48,117,000 | 47,731,060 | ||||||||
Duke Energy Corp. | 4.85% | 1/5/2029 | 32,255,000 | 31,732,254 | ||||||||
Electricite de France SA (France)†(c) | 5.70% | 5/23/2028 | 98,145,000 | 99,976,904 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(c) | 7.125% | 2/11/2025 | 55,008,000 | 54,836,430 | ||||||||
Evergy Missouri West, Inc.† | 5.15% | 12/15/2027 | 23,835,000 | 23,760,853 | ||||||||
Eversource Energy | 4.75% | 5/15/2026 | 17,000,000 | 16,790,481 | ||||||||
Eversource Energy | 5.00% | 1/1/2027 | 16,534,000 | 16,433,389 | ||||||||
Eversource Energy | 5.95% | 2/1/2029 | 33,504,000 | 34,334,716 | ||||||||
Exelon Corp. | 5.15% | 3/15/2029 | 20,000,000 | 19,923,984 | ||||||||
Fells Point Funding Trust† | 3.046% | 1/31/2027 | 114,348,000 | 107,048,080 | ||||||||
FirstEnergy Corp. | 2.05% | 3/1/2025 | 70,444,000 | 67,906,255 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 125,751,000 | 124,392,541 | ||||||||
IPALCO Enterprises, Inc. | 3.70% | 9/1/2024 | 18,119,000 | 17,904,977 | ||||||||
ITC Holdings Corp.† | 4.95% | 9/22/2027 | 25,656,000 | 25,501,892 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 62,463,000 | 62,414,575 | ||||||||
Liberty Utilities Co.† | 5.577% | 1/31/2029 | 51,528,000 | 51,690,471 | ||||||||
Metropolitan Edison Co.† | 5.20% | 4/1/2028 | 10,000,000 | 9,985,012 | ||||||||
National Grid PLC (United Kingdom)(c) | 5.602% | 6/12/2028 | 27,330,000 | 27,688,723 | ||||||||
NextEra Energy Capital Holdings, Inc. | 5.749% | 9/1/2025 | 44,667,000 | 44,919,257 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 99,344,000 | 98,549,493 | ||||||||
Oncor Electric Delivery Co. LLC | 4.30% | 5/15/2028 | 9,154,000 | 8,917,133 | ||||||||
Pacific Gas & Electric Co. | 3.15% | 1/1/2026 | 120,471,909 | 115,219,093 | ||||||||
Pacific Gas & Electric Co. | 3.30% | 12/1/2027 | 33,877,000 | 31,364,078 |
246 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Pacific Gas & Electric Co. | 5.45% | 6/15/2027 | $ | 15,023,000 | $ | 15,006,732 | ||||||
Pacific Gas & Electric Co. | 5.55% | 5/15/2029 | 28,749,000 | 28,824,244 | ||||||||
PacifiCorp | 5.10% | 2/15/2029 | 19,621,000 | 19,570,283 | ||||||||
Palomino Funding Trust I† | 7.233% | 5/17/2028 | 29,716,000 | 30,985,406 | ||||||||
Public Service Enterprise Group, Inc. | 5.85% | 11/15/2027 | 20,110,000 | 20,617,934 | ||||||||
Southern Co. | 5.113% | 8/1/2027 | 58,530,000 | 58,413,182 | ||||||||
Tampa Electric Co. | 4.90% | 3/1/2029 | 11,800,000 | 11,744,776 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 154,448,000 | 153,069,250 | ||||||||
Vistra Operations Co. LLC† | 3.70% | 1/30/2027 | 25,178,000 | 23,825,198 | ||||||||
Vistra Operations Co. LLC† | 4.875% | 5/13/2024 | 59,198,000 | 59,091,390 | ||||||||
Total | 2,115,452,536 | |||||||||||
Electronics 0.10% | ||||||||||||
Arrow Electronics, Inc. | 6.125% | 3/1/2026 | 24,194,000 | 24,178,977 | ||||||||
Keysight Technologies, Inc. | 4.60% | 4/6/2027 | 17,228,000 | 16,966,518 | ||||||||
Total | 41,145,495 | |||||||||||
Energy-Alternate Sources 0.07% | ||||||||||||
Greenko Dutch BV (Netherlands)†(c) | 3.85% | 3/29/2026 | 29,921,900 | 28,238,195 | ||||||||
Engineering & Construction 0.11% | ||||||||||||
Jacobs Engineering Group, Inc. | 6.35% | 8/18/2028 | 44,948,000 | 46,421,907 | ||||||||
Entertainment 0.31% | ||||||||||||
Warnermedia Holdings, Inc. | 3.638% | 3/15/2025 | 10,000,000 | 9,790,923 | ||||||||
Warnermedia Holdings, Inc. | 3.755% | 3/15/2027 | 41,139,000 | 38,938,852 | ||||||||
Warnermedia Holdings, Inc. | 6.412% | 3/15/2026 | 85,934,000 | 85,927,187 | ||||||||
Total | 134,656,962 | |||||||||||
Environmental Control 0.26% | ||||||||||||
Veralto Corp.† | 5.35% | 9/18/2028 | 52,492,000 | 52,885,186 | ||||||||
Veralto Corp.† | 5.50% | 9/18/2026 | 60,113,000 | 60,395,775 | ||||||||
Total | 113,280,961 | |||||||||||
Equity Real Estate 0.06% | ||||||||||||
Jones Lang LaSalle, Inc. | 6.875% | 12/1/2028 | 25,268,000 | 26,586,646 | ||||||||
Food 0.53% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 3.25% | 3/15/2026 | 5,630,000 | 5,354,583 | ||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 63,216,000 | 61,007,675 |
See Notes to Schedule of Investments. | 247 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Food (continued) | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 5.875% | 2/15/2028 | $ | 5,000,000 | $ | 4,931,162 | ||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 6.50% | 2/15/2028 | 66,954,000 | 67,418,929 | ||||||||
Conagra Brands, Inc. | 5.30% | 10/1/2026 | 34,596,000 | 34,618,479 | ||||||||
NBM U.S. Holdings, Inc.† | 7.00% | 5/14/2026 | 43,000,000 | 42,951,844 | ||||||||
Tyson Foods, Inc.(a) | 5.40% | 3/15/2029 | 12,250,000 | 12,256,630 | ||||||||
Total | 228,539,302 | |||||||||||
Forest Products & Paper 0.04% | ||||||||||||
Suzano Austria GmbH (Brazil)†(c) | 5.75% | 7/14/2026 | 16,483,000 | 16,466,949 | ||||||||
Gas 0.72% | ||||||||||||
Brooklyn Union Gas Co.† | 4.632% | 8/5/2027 | 54,747,000 | 53,008,549 | ||||||||
CenterPoint Energy Resources Corp. | 5.25% | 3/1/2028 | 5,482,000 | 5,522,667 | ||||||||
National Fuel Gas Co. | 5.20% | 7/15/2025 | 9,650,000 | 9,575,717 | ||||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 106,751,000 | 106,442,706 | ||||||||
National Fuel Gas Co. | 5.50% | 10/1/2026 | 31,379,000 | 31,354,716 | ||||||||
NiSource, Inc. | 5.25% | 3/30/2028 | 14,219,000 | 14,290,134 | ||||||||
Southwest Gas Corp. | 5.45% | 3/23/2028 | 48,059,000 | 48,535,301 | ||||||||
Southwest Gas Corp. | 5.80% | 12/1/2027 | 41,220,000 | 42,017,333 | ||||||||
Total | 310,747,123 | |||||||||||
Hand/Machine Tools 0.37% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 35,742,000 | 35,903,428 | ||||||||
Regal Rexnord Corp.† | 6.05% | 4/15/2028 | 120,296,000 | 121,086,943 | ||||||||
Total | 156,990,371 | |||||||||||
Health Care-Products 0.43% | ||||||||||||
Baxter International, Inc. | 1.322% | 11/29/2024 | 10,486,000 | 10,154,067 | ||||||||
GE HealthCare Technologies, Inc. | 5.60% | 11/15/2025 | 9,225,000 | 9,258,770 | ||||||||
Solventum Corp.† | 5.40% | 3/1/2029 | 80,331,000 | 80,227,108 | ||||||||
Solventum Corp.† | 5.45% | 2/25/2027 | 48,673,000 | 48,774,052 | ||||||||
Stryker Corp. | 4.85% | 12/8/2028 | 5,458,000 | 5,443,487 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.35% | 12/1/2028 | 28,374,000 | 28,705,440 | ||||||||
Total | 182,562,924 | |||||||||||
Health Care-Services 1.23% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 55,420,000 | 48,893,126 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 190,733,000 | 181,635,387 | ||||||||
Elevance Health, Inc. | 4.90% | 2/8/2026 | 20,324,000 | 20,189,603 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 191,891,000 | 191,032,322 |
248 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Health Care-Services (continued) | ||||||||||||
HCA, Inc. | 5.25% | 6/15/2026 | $ | 26,757,000 | $ | 26,599,163 | ||||||
HCA, Inc. | 5.375% | 2/1/2025 | 8,520,000 | 8,491,500 | ||||||||
Humana, Inc. | 5.70% | 3/13/2026 | 32,237,000 | 32,001,664 | ||||||||
IQVIA, Inc. | 6.25% | 2/1/2029 | 19,836,000 | 20,429,414 | ||||||||
Total | 529,272,179 | |||||||||||
Home Builders 0.06% | ||||||||||||
Toll Brothers Finance Corp. | 4.875% | 11/15/2025 | 24,292,000 | 24,000,823 | ||||||||
Home Furnishings 0.04% | ||||||||||||
Leggett & Platt, Inc. | 3.50% | 11/15/2027 | 18,646,000 | 17,420,504 | ||||||||
Insurance 3.00% | ||||||||||||
Aon Corp. | 8.205% | 1/1/2027 | 62,792,000 | 67,522,164 | ||||||||
Aon North America, Inc. | 5.125% | 3/1/2027 | 20,371,000 | 20,364,596 | ||||||||
Aon North America, Inc. | 5.15% | 3/1/2029 | 57,038,000 | 57,095,766 | ||||||||
Athene Global Funding† | 5.339% | 1/15/2027 | 42,849,000 | 42,641,349 | ||||||||
Athene Global Funding† | 5.583% | 1/9/2029 | 40,242,000 | 40,140,920 | ||||||||
Athene Global Funding† | 5.684% | 2/23/2026 | 33,939,000 | 33,935,812 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 90,846,000 | 90,358,706 | ||||||||
CNO Global Funding† | 1.75% | 10/7/2026 | 29,008,000 | 26,189,711 | ||||||||
Corebridge Financial, Inc. | 3.50% | 4/4/2025 | 25,000,000 | 24,423,928 | ||||||||
Corebridge Global Funding† | 5.20% | 1/12/2029 | 24,170,000 | 23,926,124 | ||||||||
Corebridge Global Funding† | 5.75% | 7/2/2026 | 19,800,000 | 19,829,669 | ||||||||
Equitable Financial Life Global Funding† | 5.45% | 3/3/2028 | 57,392,000 | 56,987,160 | ||||||||
F&G Annuities & Life, Inc. | 7.40% | 1/13/2028 | 58,240,000 | 59,898,954 | ||||||||
F&G Global Funding† | 0.90% | 9/20/2024 | 31,336,000 | 30,476,775 | ||||||||
F&G Global Funding† | 1.75% | 6/30/2026 | 29,365,000 | 26,534,232 | ||||||||
F&G Global Funding† | 2.00% | 9/20/2028 | 16,130,000 | 13,599,108 | ||||||||
F&G Global Funding† | 2.30% | 4/11/2027 | 58,675,000 | 52,586,687 | ||||||||
Fidelity & Guaranty Life Holdings, Inc.† | 5.50% | 5/1/2025 | 58,740,000 | 58,016,336 | ||||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 50,588,000 | 49,226,494 | ||||||||
GA Global Funding Trust† | 1.95% | 9/15/2028 | 16,300,000 | 13,806,142 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 58,346,000 | 57,153,474 | ||||||||
GA Global Funding Trust† | 5.50% | 1/8/2029 | 56,016,000 | 55,387,281 | ||||||||
Jackson Financial, Inc. | 5.17% | 6/8/2027 | 25,281,000 | 25,145,912 | ||||||||
Jackson National Life Global Funding† | 1.75% | 1/12/2025 | 15,601,000 | 15,072,898 | ||||||||
Jackson National Life Global Funding† | 3.05% | 4/29/2026 | 7,346,000 | 6,900,664 | ||||||||
Jackson National Life Global Funding† | 5.50% | 1/9/2026 | 32,581,000 | 32,447,550 | ||||||||
Kemper Corp. | 4.35% | 2/15/2025 | 25,199,000 | 24,843,375 | ||||||||
MGIC Investment Corp. | 5.25% | 8/15/2028 | 39,165,000 | 37,881,391 |
See Notes to Schedule of Investments. | 249 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Mutual of Omaha Cos Global Funding† | 5.45% | 12/12/2028 | $ | 37,111,000 | $ | 37,488,037 | ||||||
Mutual of Omaha Cos Global Funding† | 5.80% | 7/27/2026 | 19,182,000 | 19,345,380 | ||||||||
Peachtree Corners Funding Trust† | 3.976% | 2/15/2025 | 21,890,000 | 21,461,126 | ||||||||
Principal Life Global Funding II† | 5.10% | 1/25/2029 | 30,000,000 | 29,791,009 | ||||||||
Protective Life Global Funding† | 4.992% | 1/12/2027 | 31,463,000 | 31,396,529 | ||||||||
Protective Life Global Funding† | 5.209% | 4/14/2026 | 53,797,000 | 53,680,339 | ||||||||
Protective Life Global Funding† | 5.366% | 1/6/2026 | 14,109,000 | 14,146,905 | ||||||||
Protective Life Global Funding† | 5.467% | 12/8/2028 | 16,117,000 | 16,321,898 | ||||||||
Total | 1,286,024,401 | |||||||||||
Internet 0.26% | ||||||||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 39,863,000 | 38,998,427 | ||||||||
Netflix, Inc. | 4.375% | 11/15/2026 | 19,395,000 | 19,087,289 | ||||||||
Prosus NV (Netherlands)†(c) | 3.257% | 1/19/2027 | 60,280,000 | 55,504,672 | ||||||||
Total | 113,590,388 | |||||||||||
Lodging 0.30% | ||||||||||||
Hyatt Hotels Corp. | 1.80% | 10/1/2024 | 35,093,000 | 34,310,597 | ||||||||
Hyatt Hotels Corp. | 5.75% | 1/30/2027 | 31,329,000 | 31,738,436 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 65,240,000 | 61,392,600 | ||||||||
Total | 127,441,633 | |||||||||||
Machinery-Diversified 0.08% | ||||||||||||
Westinghouse Air Brake Technologies Corp. | 4.15% | 3/15/2024 | 35,648,000 | 35,628,967 | ||||||||
Media 0.43% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 3,004,000 | 2,867,631 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 58,265,000 | 55,140,242 | ||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.† | 5.875% | 8/15/2027 | 64,985,000 | 61,382,862 | ||||||||
FactSet Research Systems, Inc. | 2.90% | 3/1/2027 | 26,584,000 | 24,786,235 | ||||||||
Nexstar Media, Inc.† | 5.625% | 7/15/2027 | 40,961,000 | 38,862,136 | ||||||||
Total | 183,039,106 | |||||||||||
Mining 1.46% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(c) | 5.50% | 12/15/2027 | 27,772,000 | 27,327,306 | ||||||||
Anglo American Capital PLC (United Kingdom)†(c) | 2.25% | 3/17/2028 | 13,258,000 | 11,695,159 | ||||||||
Anglo American Capital PLC (United Kingdom)†(c) | 3.625% | 9/11/2024 | 113,828,000 | 112,425,570 | ||||||||
Anglo American Capital PLC (United Kingdom)†(c) | 4.00% | 9/11/2027 | 19,664,000 | 18,745,020 | ||||||||
Anglo American Capital PLC (United Kingdom)†(c) | 4.875% | 5/14/2025 | 50,235,000 | 49,699,741 | ||||||||
First Quantum Minerals Ltd. (Canada)†(c) | 7.50% | 4/1/2025 | 55,400,000 | 55,400,000 | ||||||||
Freeport Indonesia PT (Indonesia)†(c) | 4.763% | 4/14/2027 | 31,203,000 | 30,502,322 |
250 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Mining (continued) | ||||||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | $ | 46,515,000 | $ | 46,070,084 | ||||||
Glencore Funding LLC† | 1.625% | 4/27/2026 | 28,863,000 | 26,704,925 | ||||||||
Glencore Funding LLC† | 3.875% | 10/27/2027 | 10,525,000 | 10,073,577 | ||||||||
Glencore Funding LLC† | 4.00% | 3/27/2027 | 64,763,000 | 62,340,144 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 83,462,000 | 83,428,320 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 58,944,000 | 58,816,106 | ||||||||
Glencore Funding LLC† | 6.125% | 10/6/2028 | 31,335,000 | 32,362,209 | ||||||||
Total | 625,590,483 | |||||||||||
Miscellaneous Manufacturing 0.02% | ||||||||||||
Trinity Industries, Inc. | 4.55% | 10/1/2024 | 10,157,000 | 10,025,014 | ||||||||
Oil & Gas 4.75% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp.† | 8.25% | 2/15/2026 | 25,826,000 | 25,956,382 | ||||||||
Aker BP ASA (Norway)†(c) | 2.00% | 7/15/2026 | 64,912,000 | 59,813,245 | ||||||||
Apache Corp. | 4.375% | 10/15/2028 | 20,715,000 | 19,454,389 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 10,000,000 | 10,023,030 | ||||||||
Canadian Natural Resources Ltd. (Canada)(c) | 3.85% | 6/1/2027 | 24,602,000 | 23,589,153 | ||||||||
Civitas Resources, Inc.† | 5.00% | 10/15/2026 | 23,164,000 | 22,464,568 | ||||||||
Continental Resources, Inc.† | 2.268% | 11/15/2026 | 154,601,000 | 141,949,430 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 153,490,000 | 152,688,234 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 80,948,000 | 77,860,775 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.625% | 10/15/2025 | 74,184,000 | 73,885,038 | ||||||||
Devon Energy Corp. | 5.25% | 9/15/2024 | 74,848,000 | 74,633,084 | ||||||||
Devon Energy Corp. | 5.25% | 10/15/2027 | 78,874,000 | 78,762,039 | ||||||||
Devon Energy Corp. | 5.875% | 6/15/2028 | 27,374,000 | 27,546,277 | ||||||||
Ecopetrol SA (Colombia)(c) | 8.625% | 1/19/2029 | 18,475,000 | 19,595,047 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 42,865,000 | 43,244,784 | ||||||||
EQT Corp.† | 3.125% | 5/15/2026 | 103,261,000 | 97,739,108 | ||||||||
EQT Corp. | 3.90% | 10/1/2027 | 76,927,000 | 72,852,584 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 62,258,000 | 62,402,999 | ||||||||
Gulfport Energy Corp.† | 8.00% | 5/17/2026 | 8,750,000 | 8,911,328 | ||||||||
Hess Corp. | 7.875% | 10/1/2029 | 13,611,000 | 15,264,475 | ||||||||
HF Sinclair Corp.† | 5.00% | 2/1/2028 | 46,437,000 | 44,744,529 | ||||||||
HF Sinclair Corp.† | 6.375% | 4/15/2027 | 66,202,000 | 66,335,571 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 103,210,000 | 102,272,616 | ||||||||
Occidental Petroleum Corp. | 6.375% | 9/1/2028 | 34,854,000 | 36,136,990 | ||||||||
Occidental Petroleum Corp. | 8.50% | 7/15/2027 | 17,821,000 | 19,346,032 | ||||||||
OGX Austria GmbH (Brazil)†(c)(d) | 8.50% | 6/1/2018 | 31,150,000 | 623 | ||||||||
Ovintiv, Inc. | 5.375% | 1/1/2026 | 70,306,000 | 69,995,951 |
See Notes to Schedule of Investments. | 251 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Ovintiv, Inc. | 5.65% | 5/15/2025 | $ | 29,979,000 | $ | 29,993,776 | ||||||
Ovintiv, Inc. | 5.65% | 5/15/2028 | 52,349,000 | 52,845,030 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 4.125% | 2/15/2028 | 26,480,000 | 25,501,038 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 55,566,000 | 55,522,578 | ||||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 18,596,000 | 18,560,794 | ||||||||
Permian Resources Operating LLC† | 7.75% | 2/15/2026 | 24,140,000 | 24,448,051 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.49% | 1/23/2027 | 69,396,000 | 64,882,658 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.875% | 10/16/2025 | 26,719,000 | 26,335,668 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.875% | 8/4/2026 | 38,260,000 | 36,877,934 | ||||||||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp.† | 7.875% | 11/1/2028 | 43,315,000 | 44,314,076 | ||||||||
SM Energy Co. | 5.625% | 6/1/2025 | 7,500,000 | 7,450,012 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 18,721,000 | 18,632,328 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 11,740,000 | 12,218,792 | ||||||||
Strathcona Resources Ltd. (Canada)†(c) | 6.875% | 8/1/2026 | 44,817,000 | 44,577,005 | ||||||||
Suncor Energy, Inc. (Canada)(c) | 7.875% | 6/15/2026 | 22,444,000 | 23,569,071 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(c) | 2.625% | 8/15/2025 | 60,401,000 | 56,930,359 | ||||||||
Viper Energy, Inc.† | 5.375% | 11/1/2027 | 48,216,000 | 46,828,841 | ||||||||
Total | 2,036,956,292 | |||||||||||
Pharmaceuticals 0.62% | ||||||||||||
Bayer U.S. Finance II LLC† | 4.25% | 12/15/2025 | 101,873,000 | 99,088,912 | ||||||||
Bayer U.S. Finance LLC† | 6.125% | 11/21/2026 | 30,520,000 | 30,744,350 | ||||||||
Bayer U.S. Finance LLC† | 6.25% | 1/21/2029 | 86,164,000 | 86,850,111 | ||||||||
Bristol-Myers Squibb Co. | 4.90% | 2/22/2029 | 28,480,000 | 28,422,420 | ||||||||
Cigna Group | 5.685% | 3/15/2026 | 20,000,000 | 19,999,633 | ||||||||
Total | 265,105,426 | |||||||||||
Pipelines 1.93% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 129,423,000 | 129,443,923 | ||||||||
Columbia Pipelines Holding Co. LLC† | 6.042% | 8/15/2028 | 8,000,000 | 8,151,750 | ||||||||
DCP Midstream Operating LP | 5.375% | 7/15/2025 | 23,345,000 | 23,313,631 | ||||||||
Enbridge, Inc. (Canada)(c) | 5.90% | 11/15/2026 | 23,841,000 | 24,295,504 | ||||||||
Enbridge, Inc. (Canada)(c) | 6.00% | 11/15/2028 | 20,015,000 | 20,742,517 | ||||||||
Energy Transfer LP† | 5.625% | 5/1/2027 | 87,206,000 | 86,498,323 | ||||||||
Energy Transfer LP† | 6.00% | 2/1/2029 | 83,368,000 | 83,656,870 | ||||||||
Kinder Morgan, Inc. | 5.00% | 2/1/2029 | 52,931,000 | 52,516,392 | ||||||||
Kinetik Holdings LP† | 6.625% | 12/15/2028 | 47,282,000 | 47,898,037 | ||||||||
ONEOK, Inc. | 5.55% | 11/1/2026 | 19,457,000 | 19,609,971 | ||||||||
ONEOK, Inc. | 5.65% | 11/1/2028 | 24,457,000 | 24,898,218 |
252 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 4.65% | 10/15/2025 | $ | 50,709,000 | $ | 50,061,813 | ||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 19,563,000 | 19,552,466 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 5.00% | 1/15/2028 | 8,693,000 | 8,508,925 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 6.50% | 7/15/2027 | 85,876,000 | 86,821,237 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 6.875% | 1/15/2029 | 13,896,000 | 14,325,803 | ||||||||
Western Midstream Operating LP | 4.75% | 8/15/2028 | 22,221,000 | 21,474,874 | ||||||||
Western Midstream Operating LP | 6.35% | 1/15/2029 | 14,522,000 | 15,002,156 | ||||||||
Williams Cos., Inc. | 4.90% | 3/15/2029 | 39,652,000 | 39,147,385 | ||||||||
Williams Cos., Inc. | 5.30% | 8/15/2028 | 33,178,000 | 33,441,887 | ||||||||
Williams Cos., Inc. | 5.40% | 3/2/2026 | 16,126,000 | 16,168,555 | ||||||||
Total | 825,530,237 | |||||||||||
REITS 2.27% | ||||||||||||
American Tower Corp. | 1.50% | 1/31/2028 | 58,078,000 | 50,471,455 | ||||||||
American Tower Corp. | 1.60% | 4/15/2026 | 9,453,000 | 8,757,950 | ||||||||
American Tower Corp. | 2.75% | 1/15/2027 | 8,121,000 | 7,563,667 | ||||||||
American Tower Corp. | 3.60% | 1/15/2028 | 12,874,000 | 12,141,894 | ||||||||
American Tower Corp. | 3.65% | 3/15/2027 | 58,606,000 | 56,040,246 | ||||||||
American Tower Corp. | 5.25% | 7/15/2028 | 32,495,000 | 32,404,423 | ||||||||
American Tower Corp. | 5.50% | 3/15/2028 | 51,310,000 | 51,559,279 | ||||||||
Crown Castle, Inc. | 3.65% | 9/1/2027 | 29,380,000 | 27,756,035 | ||||||||
Crown Castle, Inc. | 4.30% | 2/15/2029 | 9,090,000 | 8,639,852 | ||||||||
Crown Castle, Inc. | 4.80% | 9/1/2028 | 21,905,000 | 21,396,414 | ||||||||
Crown Castle, Inc. | 5.00% | 1/11/2028 | 30,651,000 | 30,205,270 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 54,181,000 | 51,244,248 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 28,430,000 | 27,328,488 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.25% | 6/1/2025 | 25,105,000 | 24,899,688 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.30% | 1/15/2029 | 15,722,000 | 15,267,090 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.375% | 4/15/2026 | 37,914,000 | 37,535,489 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 3.375% | 6/15/2026 | 49,871,000 | 46,701,618 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 15,657,000 | 15,511,910 | ||||||||
Kilroy Realty LP | 4.375% | 10/1/2025 | 7,275,000 | 7,093,263 | ||||||||
Prologis Targeted U.S. Logistics Fund LP†(a) | 5.25% | 4/1/2029 | 20,471,000 | 20,363,937 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.50% | 2/15/2025 | 77,732,000 | 75,853,995 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.75% | 2/15/2027 | 59,740,000 | 56,252,357 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 3.875% | 2/15/2029 | 14,907,000 | 13,612,625 |
See Notes to Schedule of Investments. | 253 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
REITS (continued) | ||||||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.25% | 12/1/2026 | $ | 25,178,000 | $ | 24,110,742 | ||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.50% | 9/1/2026 | 47,967,000 | 46,322,939 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 23,125,000 | 22,753,150 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 54,255,000 | 54,256,975 | ||||||||
Vornado Realty LP | 2.15% | 6/1/2026 | 17,704,000 | 15,895,639 | ||||||||
Vornado Realty LP | 3.50% | 1/15/2025 | 23,249,000 | 22,589,558 | ||||||||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC† | 3.75% | 9/17/2024 | 87,757,000 | 86,552,144 | ||||||||
Total | 971,082,340 | |||||||||||
Retail 0.20% | ||||||||||||
Sizzling Platter LLC/Sizzling Platter Finance Corp.† | 8.50% | 11/28/2025 | 29,978,000 | 30,065,985 | ||||||||
Walgreens Boots Alliance, Inc. | 3.45% | 6/1/2026 | 56,795,000 | 54,192,879 | ||||||||
Total | 84,258,864 | |||||||||||
Savings & Loans 0.09% | ||||||||||||
Nationwide Building Society (United Kingdom)†(c) | 6.634% (SOFR + 1.29%) | # | 2/16/2028 | 40,000,000 | 39,874,460 | |||||||
Semiconductors 0.28% | ||||||||||||
Entegris, Inc.† | 4.75% | 4/15/2029 | 41,417,000 | 39,093,626 | ||||||||
Microchip Technology, Inc. | 4.25% | 9/1/2025 | 41,094,000 | 40,341,050 | ||||||||
Micron Technology, Inc. | 4.185% | 2/15/2027 | 8,734,000 | 8,493,614 | ||||||||
Micron Technology, Inc. | 5.375% | 4/15/2028 | 6,970,000 | 7,010,949 | ||||||||
Qorvo, Inc. | 1.75% | 12/15/2024 | 8,712,000 | 8,464,858 | ||||||||
SK Hynix, Inc. (South Korea)†(c) | 5.50% | 1/16/2027 | 17,967,000 | 17,971,492 | ||||||||
Total | 121,375,589 | |||||||||||
Shipbuilding 0.02% | ||||||||||||
Huntington Ingalls Industries, Inc. | 2.043% | 8/16/2028 | 10,000,000 | 8,698,974 | ||||||||
Software 0.17% | ||||||||||||
Concentrix Corp. | 6.65% | 8/2/2026 | 17,189,000 | 17,442,041 | ||||||||
Constellation Software, Inc. (Canada)†(c) | 5.158% | 2/16/2029 | 13,250,000 | 13,189,736 | ||||||||
Oracle Corp. | 2.30% | 3/25/2028 | 25,710,000 | 23,053,590 | ||||||||
Take-Two Interactive Software, Inc. | 4.95% | 3/28/2028 | 20,148,000 | 19,996,062 | ||||||||
Total | 73,681,429 | |||||||||||
Telecommunications 0.66% | ||||||||||||
Altice France SA (France)†(c) | 8.125% | 2/1/2027 | 51,000,000 | 46,918,195 | ||||||||
AT&T, Inc. | 1.70% | 3/25/2026 | 10,152,000 | 9,443,869 |
254 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
AT&T, Inc. | 2.30% | 6/1/2027 | $ | 24,230,000 | $ | 22,194,484 | ||||||
NBN Co. Ltd. (Australia)†(c) | 5.75% | 10/6/2028 | 11,293,000 | 11,646,108 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 59,556,000 | 63,387,654 | ||||||||
Sprint LLC | 7.125% | 6/15/2024 | 25,543,000 | 25,626,653 | ||||||||
Telecom Italia SpA (Italy)†(c) | 5.303% | 5/30/2024 | 21,872,000 | 21,811,321 | ||||||||
T-Mobile USA, Inc. | 2.25% | 2/15/2026 | 45,547,000 | 42,948,515 | ||||||||
T-Mobile USA, Inc. | 3.75% | 4/15/2027 | 30,084,000 | 28,846,800 | ||||||||
T-Mobile USA, Inc. | 4.85% | 1/15/2029 | 10,490,000 | 10,360,468 | ||||||||
Total | 283,184,067 | |||||||||||
Toys/Games/Hobbies 0.18% | ||||||||||||
Hasbro, Inc. | 3.90% | 11/19/2029 | 83,535,000 | 76,604,081 | ||||||||
Transportation 0.05% | ||||||||||||
Ryder System, Inc. | 5.30% | 3/15/2027 | 20,092,000 | 20,122,021 | ||||||||
Trucking & Leasing 0.31% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 6.50% | 10/1/2025 | 21,807,000 | 21,838,816 | ||||||||
GATX Corp.(a) | 5.40% | 3/15/2027 | 17,038,000 | 17,076,442 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.40% | 11/15/2026 | 16,548,000 | 15,674,261 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 5.75% | 5/24/2026 | 9,009,000 | 9,058,805 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 6.05% | 8/1/2028 | 53,873,000 | 55,135,724 | ||||||||
SMBC Aviation Capital Finance DAC (Ireland)†(c) | 5.45% | 5/3/2028 | 15,179,000 | 15,155,726 | ||||||||
Total | 133,939,774 | |||||||||||
Total Corporate Bonds (cost $25,926,104,754) | 25,600,519,208 | |||||||||||
FLOATING RATE LOANS(e) 5.55% | ||||||||||||
Aerospace/Defense 0.20% | ||||||||||||
RTX Corp. Term Loan | 6.605% (3 mo. USD Term SOFR + 1.38%) | 11/6/2026 | 88,000,000 | 87,395,000 | ||||||||
Chemicals 0.28% | ||||||||||||
INEOS Styrolution U.S. Holding LLC 2021 USD Term Loan B | 8.191% (1 mo. USD Term SOFR + 2.75%) | 1/29/2026 | 21,775,855 | 21,797,631 | ||||||||
Nutrition & Biosciences, Inc. 5 Year Delayed Draw Term Loan | 7.423% (3 mo. USD Term SOFR + 2.00%) | 1/17/2025 | 98,524,407 | 98,031,785 | ||||||||
Total | 119,829,416 |
See Notes to Schedule of Investments. | 255 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Containers & Packaging 0.13% | ||||||||||||
Berry Global, Inc. 2021 Term Loan Z | 7.183% (1 mo. USD Term SOFR + 1.75%) | 7/1/2026 | $ | 31,275,710 | $ | 31,349,364 | ||||||
Berry Global, Inc. 2023 Term Loan AA | 7.183% (1 mo. USD Term SOFR + 1.75%) | 7/1/2029 | 26,641,726 | 26,611,221 | ||||||||
Total | 57,960,585 | |||||||||||
Diversified Financial Services 0.44% | ||||||||||||
Avolon TLB Borrower 1 (U.S.) LLC 2023 Term Loan B6 | 7.32% (1 mo. USD Term SOFR + 2.00%) | 6/22/2028 | 70,485,000 | 70,562,886 | ||||||||
Delos Aircraft Designated Activity Co. Term Loan (Ireland)(c) | 7.348% (3 mo. USD Term SOFR + 2.00%) | 10/31/2027 | 15,277,898 | 15,337,101 | ||||||||
Fleetcor Technologies Operating Co. LLC 2021 Term Loan B4 | – | (f) | 4/28/2028 | 40,077,846 | 40,013,922 | |||||||
Jane Street Group LLC 2024 Term Loan B | – | (f) | 1/26/2028 | 1,210,000 | 1,208,705 | |||||||
NFP Corp. 2020 Term Loan | 8.691% (1 mo. USD Term SOFR + 3.25%) | 2/16/2027 | 61,352,117 | 61,512,553 | ||||||||
Total | 188,635,167 | |||||||||||
Electric 0.16% | ||||||||||||
Calpine Corp. 2024 Term Loan B5 | – | (f) | 12/16/2027 | 70,417,800 | 70,400,196 | |||||||
Entertainment 0.01% | ||||||||||||
Live Nation Entertainment, Inc. Term Loan B4 | 7.166% (1 mo. USD Term SOFR + 1.75%) | 10/19/2026 | 5,000,000 | 5,002,675 | ||||||||
Financial 0.16% | ||||||||||||
AssuredPartners, Inc. 2020 Term Loan B | – | (f) | 2/12/2027 | 11,798,014 | 11,820,135 | |||||||
LPL Holdings, Inc. 2019 Term Loan B1 | 7.178% (1 mo. USD Term SOFR + 1.75%) | 11/12/2026 | 18,738,116 | 18,756,573 | ||||||||
Setanta Aircraft Leasing Designated Activity Co. Term Loan B (Ireland)(c) | 7.61% (3 mo. USD Term SOFR + 2.00%) | 11/5/2028 | 37,280,000 | 37,365,558 | ||||||||
Total | 67,942,266 | |||||||||||
Food 0.15% | ||||||||||||
U.S. Foods, Inc. 2019 Term Loan B | 7.441% (1 mo. USD Term SOFR + 2.00%) | 9/13/2026 | 65,374,585 | 65,488,991 | ||||||||
Food Service 0.23% | ||||||||||||
Aramark Services, Inc. 2019 Term Loan B4 | 7.191% (1 mo. USD Term SOFR + 1.75%) | 1/15/2027 | 65,581,000 | 65,560,670 |
256 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Food Service (continued) | ||||||||||||
Aramark Services, Inc. 2021 Term Loan B | 7.941% (1 mo. USD Term SOFR + 2.50%) | 4/6/2028 | $ | 31,953,495 | $ | 31,963,561 | ||||||
Total | 97,524,231 | |||||||||||
Health Care Products 0.09% | ||||||||||||
Baxter International, Inc. 2021 Delayed Draw Term Loan Tranche 1 | 6.555% (1 mo. USD Term SOFR + 1.13%) | 9/30/2024 | 1,288,288 | 1,289,094 | ||||||||
Baxter International, Inc. 2021 Delayed Draw Term Loan Tranche 2 | 6.68% (1 mo. USD Term SOFR + 1.25%) | 9/30/2026 | 36,937,500 | 36,729,726 | ||||||||
Total | 38,018,820 | |||||||||||
Health Care Services 0.35% | ||||||||||||
DaVita, Inc. 2020 Term Loan B | 7.191% (1 mo. USD Term SOFR + 1.75%) | 8/12/2026 | 88,119,995 | 88,149,075 | ||||||||
HCA, Inc. 2021 Term Loan A | 6.801% (1 mo. USD Term SOFR + 1.38%) | 6/30/2026 | 59,721,003 | 59,870,305 | ||||||||
Total | 148,019,380 | |||||||||||
Health Services 0.46% | ||||||||||||
Catalent Pharma Solutions, Inc. 2021 Term Loan B3 | 7.435% (1 mo. USD Term SOFR + 2.00%) | 2/22/2028 | 116,592,009 | 116,652,637 | ||||||||
IQVIA, Inc. 2022 Term Loan A2 | 6.676% – 6.69% (1 mo. USD Term SOFR + 1.25%) (3 mo. USD Term SOFR + 1.25%) | 6/16/2027 | 82,443,233 | 82,168,285 | ||||||||
Total | 198,820,922 | |||||||||||
Insurance 0.04% | ||||||||||||
AssuredPartners, Inc. 2021 Term Loan B | – | (f) | 2/12/2027 | 9,791,586 | 9,805,049 | |||||||
AssuredPartners, Inc. 2022 Term Loan | – | (f) | 2/12/2027 | 5,397,400 | 5,404,822 | |||||||
Total | 15,209,871 | |||||||||||
Internet 0.01% | ||||||||||||
Match Group, Inc. 2020 Term Loan B | – | (f) | 2/13/2027 | 3,000,000 | 2,996,250 | |||||||
Leisure Time 0.05% | ||||||||||||
Carnival Corp. 2023 Term Loan B | 8.318% (1 mo. USD Term SOFR + 3.00%) | 8/8/2027 | 21,707,766 | 21,753,026 |
See Notes to Schedule of Investments. | 257 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Lodging 0.32% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B3 | 7.171% (1 mo. USD Term SOFR + 1.75%) | 6/21/2028 | $ | 94,414,424 | $ | 94,540,940 | ||||||
Resorts World Las Vegas LLC Term Loan A | 6.826% (1 mo. USD Term SOFR + 1.50%) | 4/16/2024 | 25,375,000 | 25,406,719 | ||||||||
Wynn Resorts Ltd. 2019 Term Loan A | 7.176% (1 mo. USD Term SOFR + 1.75%) | 9/20/2024 | 17,409,284 | 17,485,449 | ||||||||
Total | 137,433,108 | |||||||||||
Manufacturing 0.22% | ||||||||||||
DirecTV Financing LLC Term Loan | 10.441% (1 mo. USD Term SOFR + 5.00%) | 8/2/2027 | 35,800,929 | 35,825,094 | ||||||||
Virgin Media Bristol LLC USD Term Loan N | – | (f) | 1/31/2028 | 60,050,000 | 59,579,208 | |||||||
Total | 95,404,302 | |||||||||||
Media 0.45% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B2 | 7.076% (1 mo. USD Term SOFR + 1.75%) | 2/1/2027 | 194,627,320 | 194,186,490 | ||||||||
Pharmaceuticals 0.17% | ||||||||||||
Elanco Animal Health, Inc. Term Loan B | 7.178% (1 mo. USD Term SOFR + 1.75%) | 8/1/2027 | 73,300,000 | 72,482,338 | ||||||||
Pipelines 0.11% | ||||||||||||
Buckeye Partners LP 2024 Term Loan B3 | 7.326% (1 mo. USD Term SOFR + 2.00%) | 11/1/2026 | 47,935,182 | 48,011,878 | ||||||||
Real Estate Investment Trusts 0.58% | ||||||||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.426% (1 mo. USD Term SOFR + 1.00%) | 1/31/2025 | 248,640,020 | 247,086,020 | ||||||||
Regional 0.12% | ||||||||||||
Seminole Tribe of Florida 2022 Term Loan A | 6.498% (3 mo. USD Term SOFR + 1.00%) | 5/13/2027 | 51,684,722 | 51,038,663 | ||||||||
Retail 0.22% | ||||||||||||
KFC Holding Co. 2021 Term Loan B | 7.184% (1 mo. USD Term SOFR + 1.75%) | 3/15/2028 | 82,002,050 | 82,034,030 | ||||||||
Pilot Travel Centers LLC 2021 Term Loan B | – | (f) | 8/4/2028 | 10,500,000 | 10,510,920 | |||||||
Total | 92,544,950 |
258 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Semiconductors 0.33% | ||||||||||||
Broadcom, Inc. 2023 Term Loan A3 | 6.559% (3 mo. USD Term SOFR + 1.25%) | 8/14/2026 | $ | 112,500,000 | $ | 112,218,750 | ||||||
Marvell Technology Group Ltd. 2020 5 Year Term Loan A | 6.801% (1 mo. USD Term SOFR + 1.38%) | 12/7/2025 | 27,493,377 | 27,510,560 | ||||||||
Total | 139,729,310 | |||||||||||
Software 0.27% | ||||||||||||
Atlassian, Inc. Delayed Draw Term Loan (Australia)(c) | 6.212% (1 mo. USD Term SOFR + 0.88%) | 10/28/2025 | 60,079,747 | 59,891,998 | ||||||||
Open Text Corp. Term Loan B (Canada)(c) | 7.176% (1 mo. USD Term SOFR + 1.75%) | 5/30/2025 | 28,844,224 | 28,900,614 | ||||||||
SS&C European Holdings SARL 2018 Term Loan B4 (Luxembourg)(c) | – | (f) | 4/16/2025 | 6,307,099 | 6,309,338 | |||||||
SS&C Technologies, Inc. 2018 Term Loan B3 | – | (f) | 4/16/2025 | 6,679,184 | 6,681,555 | |||||||
SS&C Technologies, Inc. 2018 Term Loan B5 | – | (f) | 4/16/2025 | 12,341,646 | 12,347,570 | |||||||
Total | 114,131,075 | |||||||||||
Total Floating Rate Loans (cost $2,378,960,789) | 2,377,044,930 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(c) 0.09% | ||||||||||||
Romania | ||||||||||||
Romania Government International Bonds† (cost $37,559,238) | 5.875% | 1/30/2029 | 37,756,000 | 37,522,328 | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.03% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 061 Class X1(g) | 0.149% | #(h) | 11/25/2026 | 499,619,261 | 2,119,785 | |||||||
Government National Mortgage Association Series 2013-193(g) | 0.168% | #(h) | 1/16/2055 | 735,754 | 15,616 | |||||||
Government National Mortgage Association Series 2014-112 Class A | 3.00% | #(h) | 1/16/2048 | 6,437,758 | 5,734,940 | |||||||
Government National Mortgage Association Series 2014-186 Class AP | 2.80% | 4/16/2050 | 2,036,464 | 1,955,673 | ||||||||
Government National Mortgage Association Series 2014-78(g) | 0.007% | #(h) | 3/16/2056 | 8,916,082 | 8,410 | |||||||
Government National Mortgage Association Series 2015-19 Class AD | 2.90% | 10/16/2055 | 1,551,600 | 1,508,849 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $12,656,589) | 11,343,273 |
See Notes to Schedule of Investments. | 259 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.21% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.811% (1 yr. USD RFUCCT + 1.66%) | # | 2/1/2038 | $ | 1,892,629 | $ | 1,936,112 | |||||
Federal Home Loan Mortgage Corp. | 4.983% (1 yr. USD RFUCCT + 1.84%) | # | 6/1/2042 | 3,273,488 | 3,360,069 | |||||||
Federal Home Loan Mortgage Corp. | 5.412% (1 yr. USD RFUCCT + 1.72%) | # | 4/1/2037 | 2,236,886 | 2,293,003 | |||||||
Federal Home Loan Mortgage Corp. | 5.519% (1 yr. USD RFUCCT + 1.76%) | # | 5/1/2037 | 1,445,825 | 1,481,575 | |||||||
Federal Home Loan Mortgage Corp. | 5.79% (1 yr. USD RFUCCT + 1.78%) | # | 5/1/2036 | 1,310,861 | 1,342,926 | |||||||
Federal Home Loan Mortgage Corp. | 5.806% (1 yr. USD RFUCCT + 1.79%) | # | 6/1/2041 | 1,325,312 | 1,362,302 | |||||||
Federal Home Loan Mortgage Corp. | 5.86% (1 yr. USD RFUCCT + 1.79%) | # | 10/1/2038 | 1,616,451 | 1,662,712 | |||||||
Federal Home Loan Mortgage Corp. | 5.89% (1 yr. USD RFUCCT + 1.64%) | # | 11/1/2043 | 386,783 | 386,994 | |||||||
Federal Home Loan Mortgage Corp. | 5.892% (1 yr. USD RFUCCT + 1.79%) | # | 12/1/2036 | 3,136,218 | 3,225,090 | |||||||
Federal Home Loan Mortgage Corp. | 5.894% (1 yr. USD RFUCCT + 1.92%) | # | 9/1/2036 | 3,877,503 | 3,992,208 | |||||||
Federal Home Loan Mortgage Corp. | 6.043% (1 yr. USD RFUCCT + 1.88%) | # | 12/1/2040 | 2,173,758 | 2,238,251 | |||||||
Federal Home Loan Mortgage Corp. | 6.128% (1 yr. USD RFUCCT + 1.88%) | # | 9/1/2035 | 1,072,148 | 1,100,395 | |||||||
Federal Home Loan Mortgage Corp. | 6.143% (1 yr. USD RFUCCT + 1.89%) | # | 12/1/2040 | 254,928 | 255,734 | |||||||
Federal Home Loan Mortgage Corp. | 6.207% (1 yr. USD RFUCCT + 1.96%) | # | 2/1/2037 | 1,941,954 | 1,999,857 | |||||||
Federal Home Loan Mortgage Corp. | 6.211% (1 yr. CMT + 2.50%) | # | 12/1/2035 | 1,743,175 | 1,800,233 | |||||||
Federal National Mortgage Association | 4.871% (1 yr. USD RFUCCT + 1.75%) | # | 5/1/2042 | 3,181,552 | 3,270,044 | |||||||
Federal National Mortgage Association | 4.997% (1 yr. USD RFUCCT + 1.89%) | # | 12/1/2038 | 1,240,248 | 1,282,027 | |||||||
Federal National Mortgage Association | 5.122% (1 yr. USD RFUCCT + 1.65%) | # | 9/1/2036 | 1,153,294 | 1,181,370 | |||||||
Federal National Mortgage Association | 5.326% (1 yr. USD RFUCCT + 1.55%) | # | 6/1/2038 | 611,789 | 612,165 | |||||||
Federal National Mortgage Association | 5.333% (1 yr. USD RFUCCT + 1.59%) | # | 3/1/2038 | 1,620,391 | 1,663,383 | |||||||
Federal National Mortgage Association | 5.466% (1 yr. USD RFUCCT + 1.78%) | # | 10/1/2036 | 1,470,159 | 1,512,344 | |||||||
Federal National Mortgage Association | 5.471% (1 yr. USD RFUCCT + 1.61%) | # | 8/1/2037 | 2,428,750 | 2,485,020 |
260 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Association | 5.495% (1 yr. USD RFUCCT + 1.73%) | # | 10/1/2036 | $ | 1,636,005 | $ | 1,683,312 | |||||
Federal National Mortgage Association | 5.504% (1 yr. USD RFUCCT + 1.52%) | # | 3/1/2039 | 1,588,991 | 1,624,352 | |||||||
Federal National Mortgage Association | 5.526% (1 yr. USD RFUCCT + 1.60%) | # | 11/1/2036 | 417,535 | 419,181 | |||||||
Federal National Mortgage Association | 5.568% (1 yr. USD RFUCCT + 1.63%) | # | 8/1/2038 | 619,096 | 620,805 | |||||||
Federal National Mortgage Association | 5.579% (1 yr. USD RFUCCT + 1.62%) | # | 4/1/2038 | 1,895,554 | 1,946,098 | |||||||
Federal National Mortgage Association | 5.602% (1 yr. USD RFUCCT + 1.62%) | # | 1/1/2038 | 761,625 | 781,852 | |||||||
Federal National Mortgage Association | 5.613% (1 yr. USD RFUCCT + 1.64%) | # | 9/1/2038 | 1,586,736 | 1,624,994 | |||||||
Federal National Mortgage Association | 5.632% (1 yr. USD RFUCCT + 1.58%) | # | 8/1/2034 | 3,366,630 | 3,438,592 | |||||||
Federal National Mortgage Association | 5.665% (1 yr. USD RFUCCT + 1.75%) | # | 11/1/2038 | 2,274,153 | 2,341,100 | |||||||
Federal National Mortgage Association | 5.674% (1 yr. USD RFUCCT + 1.65%) | # | 12/1/2036 | 1,518,746 | 1,556,624 | |||||||
Federal National Mortgage Association | 5.686% (1 yr. USD RFUCCT + 1.82%) | # | 8/1/2041 | 1,349,922 | 1,390,552 | |||||||
Federal National Mortgage Association | 5.695% (1 yr. USD RFUCCT + 1.45%) | # | 12/1/2035 | 3,279,374 | 3,345,667 | |||||||
Federal National Mortgage Association | 5.731% (1 yr. USD RFUCCT + 1.50%) | # | 2/1/2036 | 1,770,745 | 1,810,448 | |||||||
Federal National Mortgage Association | 5.749% | 7/1/2040 – 3/1/2042 | 2,161,162 | 2,216,427 | ||||||||
Federal National Mortgage Association | 5.787% (1 yr. USD RFUCCT + 1.53%) | # | 10/1/2035 | 2,796,413 | 2,857,911 | |||||||
Federal National Mortgage Association | 5.84% (1 yr. USD RFUCCT + 1.81%) | # | 4/1/2040 | 761,994 | 783,976 | |||||||
Federal National Mortgage Association | 5.863% (1 yr. USD RFUCCT + 1.72%) | # | 6/1/2042 | 935,473 | 963,471 | |||||||
Federal National Mortgage Association | 5.872% (1 yr. CMT + 2.20%) | # | 1/1/2038 | 827,499 | 849,468 | |||||||
Federal National Mortgage Association | 5.979% (1 yr. USD RFUCCT + 1.81%) | # | 11/1/2040 | 4,794,402 | 4,944,436 | |||||||
Federal National Mortgage Association | 6.048% (1 yr. USD RFUCCT + 1.81%) | # | 1/1/2042 | 3,463,003 | 3,563,216 | |||||||
Federal National Mortgage Association | 6.05% (1 yr. USD RFUCCT + 1.79%) | # | 1/1/2041 | 1,311,495 | 1,350,127 |
See Notes to Schedule of Investments. | 261 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Association | 6.058% (1 yr. USD RFUCCT + 1.81%) | # | 10/1/2040 | $ | 472,021 | $ | 485,440 | |||||
Federal National Mortgage Association | 6.061% (1 yr. USD RFUCCT + 1.81%) | # | 12/1/2040 | 914,570 | 943,023 | |||||||
Federal National Mortgage Association | 6.064% (1 yr. USD RFUCCT + 1.79%) | # | 1/1/2041 | 2,876,881 | 2,966,188 | |||||||
Federal National Mortgage Association | 6.076% (1 yr. USD RFUCCT + 1.82%) | # | 12/1/2040 | 1,992,652 | 2,050,976 | |||||||
Federal National Mortgage Association | 6.345% (1 yr. CMT + 2.24%) | # | 3/1/2038 | 244,839 | 246,124 | |||||||
Federal National Mortgage Association | 7.517% (1 yr. USD RFUCCT + 1.60%) | # | 10/1/2045 | 1,086,738 | 1,116,948 | |||||||
Federal National Mortgage Association | 7.572% (1 yr. USD RFUCCT + 1.60%) | # | 12/1/2045 | 1,901,673 | 1,956,907 | |||||||
Federal National Mortgage Association | 7.686% (1 yr. USD RFUCCT + 1.60%) | # | 12/1/2045 | 2,348,296 | 2,418,189 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $93,633,863) | 92,740,218 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 7.18% | ||||||||||||
1211 Avenue of the Americas Trust Series 2015-1211 Class XA†(g) | 0.242% | #(h) | 8/10/2035 | 214,200,000 | 618,160 | |||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(h) | 12/25/2059 | 4,618,502 | 4,388,189 | |||||||
Angel Oak Mortgage Trust Series 2020-6 Class A1† | 1.261% | #(h) | 5/25/2065 | 9,553,425 | 8,515,792 | |||||||
Angel Oak Mortgage Trust Series 2021-4 Class A1† | 1.035% | #(h) | 1/20/2065 | 21,938,190 | 17,736,788 | |||||||
Angel Oak Mortgage Trust Series 2021-6 Class A1† | 1.458% | #(h) | 9/25/2066 | 25,322,531 | 20,722,782 | |||||||
Angel Oak Mortgage Trust Series 2021-7 Class A1† | 1.978% | #(h) | 10/25/2066 | 11,536,645 | 9,652,375 | |||||||
Banc of America Commercial Mortgage Trust Series 2016-UB10 Class XA(g) | 1.725% | #(h) | 7/15/2049 | 45,823,560 | 1,184,081 | |||||||
BBCMS Mortgage Trust Series 2018-TALL Class A† | 6.237% (1 mo. USD Term SOFR + 0.92%) | # | 3/15/2037 | 43,808,000 | 41,744,805 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class A† | 6.389% (1 mo. USD Term SOFR + 1.07%) | # | 11/15/2034 | 31,910,000 | 22,677,059 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.743% (1 mo. USD Term SOFR + 1.42%) | # | 11/15/2034 | 26,023,000 | 9,123,099 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class C† | 7.043% (1 mo. USD Term SOFR + 1.72%) | # | 11/15/2034 | 10,000,000 | 2,471,490 |
262 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BBCMS Mortgage Trust Series 2020-C7 Class A2 | 2.021% | 4/15/2053 | $ | 13,250,000 | $ | 12,246,450 | ||||||
BBCMS Trust Series 2015-VFM Class A1† | 2.466% | 3/10/2036 | 9,306,002 | 8,901,858 | ||||||||
BB-UBS Trust Series 2012-SHOW Class A† | 3.43% | 11/5/2036 | 11,844,000 | 11,420,565 | ||||||||
BB-UBS Trust Series 2012-TFT Class A† | 2.892% | 6/5/2030 | 24,629,265 | 22,721,729 | ||||||||
BB-UBS Trust Series 2012-TFT Class C† | 3.559%#(h) | 6/5/2030 | 14,354,000 | 9,328,878 | ||||||||
BDS Ltd. Series 2021-FL8 Class A† | 6.354% (1 mo. USD Term SOFR + 1.03%) | # | 1/18/2036 | 2,937,381 | 2,930,037 | |||||||
Benchmark Mortgage Trust Series 2021 B23 Class A2 | 1.62% | 2/15/2054 | 28,550,000 | 26,272,912 | ||||||||
BHP Trust Series 2019-BXHP Class A† | 6.34% (1 mo. USD Term SOFR + 1.02%) | # | 8/15/2036 | 7,908,724 | 7,892,742 | |||||||
BWAY Mortgage Trust Series 2013-1515 Class A1† | 2.809% | 3/10/2033 | 1,864,346 | 1,827,753 | ||||||||
BWAY Mortgage Trust Series 2013-1515 Class XB†(g) | 0.403% | #(h) | 3/10/2033 | 103,040,000 | 251,232 | |||||||
BX Commercial Mortgage Trust Series 2019-IMC Class A† | 6.364% (1 mo. USD Term SOFR + 1.05%) | # | 4/15/2034 | 3,690,000 | 3,680,503 | |||||||
BX Commercial Mortgage Trust Series 2021-ACNT Class A† | 6.283% (1 mo. USD Term SOFR + 0.96%) | # | 11/15/2038 | 40,402,261 | 40,167,698 | |||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 6.121% (1 mo. USD Term SOFR + 0.80%) | # | 10/15/2038 | 34,866,266 | 34,542,881 | |||||||
BX Commercial Mortgage Trust Series 2023-VLT2 Class A† | 7.599% (1 mo. USD Term SOFR + 2.28%) | # | 6/15/2040 | 24,000,000 | 24,108,859 | |||||||
BX Trust Series 2021-ARIA Class E† | 7.677% (1 mo. USD Term SOFR + 2.36%) | # | 10/15/2036 | 47,145,000 | 45,882,546 | |||||||
BX Trust Series 2021-RISE Class A† | 6.18% (1 mo. USD Term SOFR + 0.86%) | # | 11/15/2036 | 48,327,663 | 47,881,826 | |||||||
BX Trust Series 2022-LBA6 Class A† | 6.318% (1 mo. USD Term SOFR + 1.00%) | # | 1/15/2039 | 46,690,000 | 46,378,811 | |||||||
BX Trust Series 2022-PSB Class A† | 7.769% (1 mo. USD Term SOFR + 2.45%) | # | 8/15/2039 | 38,936,698 | 39,180,053 | |||||||
BXHPP Trust Series 2021-FILM Class A† | 6.083% (1 mo. USD Term SOFR + 0.76%) | # | 8/15/2036 | 126,690,000 | 122,017,762 | |||||||
BXMT Ltd. Series 2021-FL4 Class A† | 6.486% (1 mo. USD Term SOFR + 1.16%) | # | 5/15/2038 | 42,167,000 | 40,374,903 | |||||||
CF Trust Series 2019-BOSS Class A1† | 8.615% (1 mo. USD Term SOFR + 3.30%) | # | 12/15/2024 | 63,488,000 | 61,613,212 | |||||||
CFCRE Commercial Mortgage Trust Series 2016-C4 Class XA(g) | 1.599% | #(h) | 5/10/2058 | 56,225,458 | 1,342,276 |
See Notes to Schedule of Investments. | 263 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CFCRE Commercial Mortgage Trust Series 2016-C6 Class XA(g) | 1.075% | #(h) | 11/10/2049 | $ | 142,246,021 | $ | 3,033,581 | |||||
CFCRE Commercial Mortgage Trust Series 2016-C7 Class XA(g) | 0.638% | #(h) | 12/10/2054 | 132,278,691 | 1,933,213 | |||||||
Citigroup Commercial Mortgage Trust Series 2012-GC8 Class XB†(g) | Zero Coupon | #(h) | 9/10/2045 | 130,156,625 | 1,302 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC21 Class XA(g) | 0.998% | #(h) | 5/10/2047 | 58,041,909 | 3,187 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC23 Class XB(g) | 0.206% | #(h) | 7/10/2047 | 120,131,000 | 92,465 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class AAB | 2.944% | 2/10/2048 | 986,850 | 979,316 | ||||||||
Citigroup Commercial Mortgage Trust Series 2015-GC27 Class XA(g) | 1.301% | #(h) | 2/10/2048 | 92,771,991 | 651,417 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC31 Class XA(g) | 0.326% | #(h) | 6/10/2048 | 218,805,966 | 711,798 | |||||||
Citigroup Commercial Mortgage Trust Series 2015-GC35 Class XA(g) | 0.709% | #(h) | 11/10/2048 | 146,901,268 | 1,288,897 | |||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class A5 | 3.616% | 2/10/2049 | 16,900,000 | 16,086,289 | ||||||||
Citigroup Commercial Mortgage Trust Series 2016-GC36 Class XA(g) | 1.206% | #(h) | 2/10/2049 | 89,202,907 | 1,577,509 | |||||||
Citigroup Commercial Mortgage Trust Series 2016-GC37 Class A4 | 3.314% | 4/10/2049 | 44,660,000 | 42,427,911 | ||||||||
Citigroup Commercial Mortgage Trust Series 2016-GC37 Class XA(g) | 1.648% | #(h) | 4/10/2049 | 50,092,815 | 1,223,106 | |||||||
Citigroup Commercial Mortgage Trust Series 2018-B2 Class A2 | 3.788% | 3/10/2051 | 2,853,373 | 2,853,329 | ||||||||
COLT Mortgage Loan Trust Series 2021-2 Class A1† | 0.924% | #(h) | 8/25/2066 | 10,371,004 | 8,220,767 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2012-CR4 Class XA(g) | 1.144% | #(h) | 10/15/2045 | 40,900,034 | 2,483 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR17 Class A5 | 3.977% | 5/10/2047 | 6,739,545 | 6,710,975 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class A4 | 3.532% | 8/10/2047 | 2,813,823 | 2,794,327 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR19 Class A5 | 3.796% | 8/10/2047 | 10,150,000 | 10,078,608 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-CR21 Class XA(g) | 0.837% | #(h) | 12/10/2047 | 88,511,821 | 355,109 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-LC17 Class XA(g) | 0.645% | #(h) | 10/10/2047 | 78,835,868 | 100,137 |
264 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS3 Class A3 | 3.546% | 6/10/2047 | $ | 2,808,200 | $ | 2,797,756 | ||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS3 Class A4 | 3.819% | 6/10/2047 | 10,000,000 | 9,945,606 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS5 Class A4 | 3.838% | 9/10/2047 | 25,610,000 | 25,250,561 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS5 Class XA(g) | 0.811% | #(h) | 9/10/2047 | 160,869,021 | 232,070 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2015-DC1 Class A5 | 3.35% | 2/10/2048 | 30,434,000 | 29,690,799 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-LC21 Class A4 | 3.708% | 7/10/2048 | 15,978,000 | 15,529,918 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-PC1 Class A5 | 3.902% | 7/10/2050 | 45,504,000 | 44,496,096 | ||||||||
Commercial Mortgage Pass-Through Certificates Series 2015-PC1 Class XA†(g) | 0.369% | #(h) | 7/10/2050 | 115,366,554 | 365,470 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2016-CD1 Class XA(g) | 1.365% | #(h) | 8/10/2049 | 96,989,273 | 2,174,509 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2014-USA Class X1†(g) | 0.54% | #(h) | 9/15/2037 | 113,021,624 | 572,635 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2020-NQM1 Class A1† | 1.208% | (i) | 5/25/2065 | 11,390,789 | 10,377,391 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM1 Class A1† | 0.809% | #(h) | 5/25/2065 | 10,031,150 | 8,490,848 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM3 Class A1† | 1.015% | #(h) | 4/25/2066 | 22,575,837 | 18,409,392 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM5 Class A1† | 0.938% | #(h) | 5/25/2066 | 5,433,036 | 4,319,938 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM6 Class A1† | 1.174% | #(h) | 7/25/2066 | 18,378,026 | 14,754,920 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-NQM7 Class A1† | 1.756% | #(h) | 10/25/2066 | 10,922,798 | 9,434,232 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2021-SRDC Class A†(d) | 9.577% (1 mo. USD Term SOFR + 4.26%) | # | 11/15/2023 | 25,000,000 | 22,983,853 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2022-NQM1 Class A1† | 2.265% | #(h) | 11/25/2066 | 28,127,245 | 24,595,906 | |||||||
CS Master Trust Series 2021-BLUF Class A†(d) | 9.614% (1 mo. USD Term SOFR + 4.29%) | # | 4/15/2023 | (j) | 47,600,000 | 46,320,364 | (b) | |||||
CSAIL Commercial Mortgage Trust Series 2016-C6 Class XA(g) | 1.857% | #(h) | 1/15/2049 | 126,441,538 | 3,572,972 |
See Notes to Schedule of Investments. | 265 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A5 | 3.502% | 11/15/2049 | $ | 24,857,993 | $ | 23,335,245 | ||||||
CSAIL Commercial Mortgage Trust Series 2016-C7 Class XA(g) | 0.929% | #(h) | 11/15/2049 | 197,855,745 | 3,255,004 | |||||||
CSMC Trust Series 2020-AFC1 Class A1† | 3.24% | #(h) | 2/25/2050 | 15,006,105 | 13,743,991 | |||||||
CSMC Trust Series 2021-BPNY Class A† | 9.147% (1 mo. USD Term SOFR + 3.83%) | # | 8/15/2026 | 64,750,000 | 58,075,719 | |||||||
DBJPM Mortgage Trust Series 2016-C3 Class XA(g) | 1.407% | #(h) | 8/10/2049 | 157,815,162 | 4,158,272 | |||||||
DBWF Mortgage Trust Series 2015-LCM Class A1† | 2.998% | 6/10/2034 | 5,932,697 | 5,619,774 | ||||||||
DBWF Mortgage Trust Series 2015-LCM Class XA†(g) | 0.423% | #(h) | 6/10/2034 | 11,723,246 | 61,568 | |||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(h) | 8/25/2066 | 35,493,000 | 30,035,462 | |||||||
Ellington Financial Mortgage Trust Series 2020-2 Class A1† | 1.178% | #(h) | 10/25/2065 | 7,447,200 | 6,729,705 | |||||||
Ellington Financial Mortgage Trust Series 2021-3 Class A1† | 1.241% | #(h) | 9/25/2066 | 88,124 | 70,284 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-DNA7 Class M1† | 6.172% (30 day USD SOFR Average + 0.85%) | # | 11/25/2041 | 6,603,199 | 6,594,897 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-DNA7 Class M2† | 7.122% (30 day USD SOFR Average + 1.80%) | # | 11/25/2041 | 35,220,000 | 35,512,615 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA3 Class M1† | 6.172% (30 day USD SOFR Average + 0.85%) | # | 9/25/2041 | 17,402,886 | 17,336,523 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA4 Class M1† | 6.272% (30 day USD SOFR Average + 0.95%) | # | 12/25/2041 | 76,710,266 | 76,373,508 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA3 Class M1A† | 7.322% (30 day USD SOFR Average + 2.00%) | # | 4/25/2042 | 22,766,692 | 23,066,861 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA4 Class M1A† | 7.522% (30 day USD SOFR Average + 2.20%) | # | 5/25/2042 | 18,818,944 | 19,162,713 |
266 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2024-DNA1 Class A1† | 6.675% (30 day USD SOFR Average + 1.35%) | # | 2/25/2044 | $ | 24,460,000 | $ | 24,538,884 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R02 Class 2M1† | 6.222% (30 day USD SOFR Average + 0.90%) | # | 11/25/2041 | 4,268,572 | 4,266,617 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R04 Class 1M1† | 7.621% (30 day USD SOFR Average + 2.30%) | # | 5/25/2043 | 17,925,443 | 18,370,828 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R06 Class 1M1† | 7.022% (30 day USD SOFR Average + 1.70%) | # | 7/25/2043 | 7,522,506 | 7,582,314 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R02 Class 2M1† | 6.522% (30 day USD SOFR Average + 1.20%) | # | 1/25/2042 | 10,303,415 | 10,314,211 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R04 Class 1M1† | 7.322% (30 day USD SOFR Average + 2.00%) | # | 3/25/2042 | 17,439,614 | 17,683,053 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R08 Class 1M1† | 7.872% (30 day USD SOFR Average + 2.55%) | # | 7/25/2042 | 24,399,884 | 25,078,591 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.721% (30 day USD SOFR Average + 2.40%) | # | 12/25/2042 | 20,437,825 | 20,945,259 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R03 Class 2M1† | 7.822% (30 day USD SOFR Average + 2.50%) | # | 4/25/2043 | 33,623,193 | 34,200,651 | |||||||
GS Mortgage Securities Corp. Trust Series 2017-GPTX Class A† | 2.856% | 5/10/2034 | 38,770,850 | 27,721,158 | ||||||||
GS Mortgage Securities Corp. Trust Series 2017-GPTX Class B† | 3.104% | 5/10/2034 | 28,194,000 | 6,113,914 | ||||||||
GS Mortgage Securities Corp. Trust Series 2021-ARDN Class A† | 6.682% (1 mo. USD Term SOFR + 1.36%) | # | 11/15/2036 | 47,270,000 | 46,516,185 |
See Notes to Schedule of Investments. | 267 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.583% (1 mo. USD Term SOFR + 1.26%) | # | 5/15/2026 | $ | 47,760,000 | $ | 44,531,634 | |||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class G† | 10.083% (1 mo. USD Term SOFR + 4.76%) | # | 5/15/2026 | 15,000,000 | 5,764,707 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class H† | 11.333% (1 mo. USD Term SOFR + 6.01%) | # | 5/15/2026 | 19,706,000 | 6,590,918 | |||||||
GS Mortgage Securities Trust Series 2012-GCJ9 Class XB†(g) | Zero Coupon | #(h) | 11/10/2045 | 36,801,458 | 368 | |||||||
GS Mortgage Securities Trust Series 2014-GC26 Class XA(g) | 0.898% | #(h) | 11/10/2047 | 65,778,823 | 207,499 | |||||||
GS Mortgage Securities Trust Series 2015-GC34 Class A4 | 3.506% | 10/10/2048 | 34,627,000 | 32,929,114 | ||||||||
GS Mortgage Securities Trust Series 2015-GS1 Class XA(g) | 0.754% | #(h) | 11/10/2048 | 87,543,829 | 886,819 | |||||||
GS Mortgage Securities Trust Series 2016-GS2 Class A4 | 3.05% | 5/10/2049 | 28,917,000 | 27,370,941 | ||||||||
GS Mortgage Securities Trust Series 2016-GS2 Class XA(g) | 1.727% | #(h) | 5/10/2049 | 158,555,091 | 4,262,500 | |||||||
GS Mortgage Securities Trust Series 2020-GC45 Class A2 | 2.898% | 2/13/2053 | 15,180,000 | 14,348,599 | ||||||||
HMH Trust Series 2017-NSS Class A† | 3.062% | 7/5/2031 | 33,687,000 | 29,494,734 | ||||||||
HMH Trust Series 2017-NSS Class B† | 3.343% | 7/5/2031 | 21,685,000 | 17,375,106 | ||||||||
HMH Trust Series 2017-NSS Class C† | 3.787% | 7/5/2031 | 16,116,000 | 12,036,718 | ||||||||
HMH Trust Series 2017-NSS Class D† | 4.723% | 7/5/2031 | 21,309,000 | 13,984,031 | ||||||||
HONO Mortgage Trust Series 2021-LULU Class A† | 6.583% (1 mo. USD Term SOFR + 1.26%) | # | 10/15/2036 | 25,030,000 | 24,195,082 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class XA10†(g) | 1.293% | #(h) | 8/5/2034 | 150,785,000 | 25,721 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class XA7†(g) | 1.245% | #(h) | 8/5/2034 | 141,898,964 | 23,893 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class XA(g) | 0.987% | #(h) | 4/15/2046 | 4,233,274 | 200 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C24 Class XA(g) | 0.814% | #(h) | 11/15/2047 | 82,788,040 | 148,224 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-C25 Class XA(g) | 0.794% | #(h) | 11/15/2047 | 140,792,403 | 343,829 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class A† | 3.429% | 6/10/2027 | 163,798,100 | 58,148,326 |
268 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
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 B† | 3.771% | 6/10/2027 | $ | 20,772,000 | $ | 2,944,431 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class C† | 3.805% | #(h) | 6/10/2027 | 14,352,000 | 958,879 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class D† | 3.805% | #(h) | 6/10/2027 | 25,795,381 | 553,891 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XA†(g) | 0.376% | #(h) | 6/10/2027 | 102,274,000 | 343,330 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2014-DSTY Class XB†(g) | 0.034% | #(h) | 6/10/2027 | 45,476,000 | 32,642 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-C29 Class XA(g) | 0.542% | #(h) | 5/15/2048 | 45,612,481 | 214,588 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2016-JP4 Class XA(g) | 0.577% | #(h) | 12/15/2049 | 135,695,931 | 1,614,090 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2017-JP7 Class A3 | 3.379% | 9/15/2050 | 9,616,691 | 9,256,374 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2017-JP7 Class XA(g) | 0.985% | #(h) | 9/15/2050 | 257,744,317 | 5,976,833 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.635% (1 mo. USD Term SOFR + 1.32%) | # | 11/15/2035 | 13,730,000 | 13,098,747 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class A† | 6.815% (1 mo. USD Term SOFR + 1.50%) | # | 4/15/2031 | 25,048,000 | 17,057,688 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class B† | 7.515% (1 mo. USD Term SOFR + 2.20%) | # | 4/15/2031 | 14,359,000 | 8,763,131 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PTC Class C† | 7.915% (1 mo. USD Term SOFR + 2.60%) | # | 4/15/2031 | 10,408,000 | 5,835,514 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX†(g) | 1.116% | #(h) | 7/5/2033 | 155,900,000 | 21,020 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class A† | 3.884% | 1/5/2034 | 31,603,312 | 30,473,194 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class B† | 4.235% | 1/5/2034 | 13,737,000 | 13,096,002 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-ICON Class C† | 4.536% | 1/5/2034 | 12,800,000 | 12,149,392 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-UES Class A† | 3.81% | 5/5/2032 | 6,460,000 | 6,225,120 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class A† | 6.733% (1 mo. USD Term SOFR + 1.41%) | # | 8/15/2033 | 50,480,000 | 47,728,767 |
See Notes to Schedule of Investments. | 269 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class B† | 7.883% (1 mo. USD Term SOFR + 2.56%) | # | 8/15/2033 | $ | 41,740,000 | $ | 37,718,691 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class C† | 9.383% (1 mo. USD Term SOFR + 4.06%) | # | 8/15/2033 | 37,430,000 | 30,347,014 | |||||||
JPMBB Commercial Mortgage Securities Trust Series 2014-C26 Class XA(g) | 0.928% | #(h) | 1/15/2048 | 124,073,056 | 363,236 | |||||||
JPMBB Commercial Mortgage Securities Trust Series 2015-C30 Class XA(g) | 0.419% | #(h) | 7/15/2048 | 103,364,793 | 466,744 | |||||||
Key Commercial Mortgage Securities Trust Series 2019-S2 Class A1† | 2.656% | 6/15/2052 | 3,385,046 | 3,341,770 | ||||||||
Key Commercial Mortgage Securities Trust Series 2019-S2 Class X†(g) | 1.41% | #(h) | 6/15/2052 | 112,466,463 | 5,397,363 | |||||||
KIND Trust Series 2021-KIND Class A† | 6.385% (1 mo. USD Term SOFR + 1.06%) | # | 8/15/2038 | 77,046,719 | 74,746,066 | |||||||
Ladder Capital Commercial Mortgage Trust Series 2013-GCP Class A1† | 3.575% | 2/15/2036 | 4,402,450 | 4,115,713 | ||||||||
Life Mortgage Trust Series 2022-BMR2 Class A1† | 6.613% (1 mo. USD Term SOFR + 1.30%) | # | 5/15/2039 | 52,370,000 | 51,971,522 | |||||||
LSTAR Commercial Mortgage Trust Series 2016-4 Class XA†(g) | 1.70% | #(h) | 3/10/2049 | 58,178,732 | 651,904 | |||||||
LSTAR Commercial Mortgage Trust Series 2017-5 Class A3† | 4.50% | 3/10/2050 | 32,085,018 | 31,628,669 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C9 Class XB†(g) | 0.099% | #(h) | 5/15/2046 | 77,045,457 | 99,406 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014 C19 Class XA(g) | 0.95% | #(h) | 12/15/2047 | 95,926,943 | 196,919 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 Class A4 | 3.325% | 5/15/2049 | 18,050,000 | 17,201,937 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 Class XA(g) | 1.505% | #(h) | 5/15/2049 | 105,100,294 | 2,289,662 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31 Class XA(g) | 1.263% | #(h) | 11/15/2049 | 217,020,333 | 5,406,172 | |||||||
Morgan Stanley Capital I Trust Series 2015-UBS8 Class ASB | 3.626% | 12/15/2048 | 2,777,202 | 2,733,627 | ||||||||
Morgan Stanley Capital I Trust Series 2016-UB11 Class XA(g) | 1.436% | #(h) | 8/15/2049 | 66,172,059 | 1,801,825 | |||||||
Morgan Stanley Capital I Trust Series 2016-UB11 Class XB(g) | 0.88% | #(h) | 8/15/2049 | 121,222,774 | 2,332,944 | |||||||
MSCG Trust Series 2015-ALDR Class A1† | 2.612% | 6/7/2035 | 4,976,166 | 4,738,620 |
270 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
MTK Mortgage Trust Series 2021-GRNY Class A† | 7.183% (1 mo. USD Term SOFR + 1.86%) | # | 12/15/2038 | $ | 23,552,500 | $ | 23,313,079 | |||||
MTN Commercial Mortgage Trust Series 2022-LPFL Class A† | 6.717% (1 mo. USD Term SOFR + 1.40%) | # | 3/15/2039 | 13,544,000 | 13,300,575 | |||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(h) | 1/26/2060 | 5,264,725 | 4,813,395 | |||||||
One New York Plaza Trust Series 2020-1NYP Class A† | 6.383% (1 mo. USD Term SOFR + 1.06%) | # | 1/15/2036 | 29,522,000 | 28,743,148 | |||||||
One New York Plaza Trust Series 2020-1NYP Class AJ† | 6.683% (1 mo. USD Term SOFR + 1.36%) | # | 1/15/2036 | 25,125,000 | 23,976,642 | |||||||
Palisades Center Trust Series 2016-PLSD Class C† | 3.998% | 4/13/2033 | 40,040,000 | 4,040,236 | ||||||||
Palisades Center Trust Series 2016-PLSD Class D† | 4.737% | 4/13/2033 | 34,071,926 | 719,088 | ||||||||
Prima Capital CRE Securitization Ltd. Series 2019-7A Class A† | 2.25% | 12/25/2050 | 2,376,271 | 2,361,966 | (b) | |||||||
Ready Capital Mortgage Financing LLC Series 2021-FL6 Class A† | 6.385% (1 mo. USD Term SOFR + 1.06%) | # | 7/25/2036 | 31,128,803 | 30,857,018 | |||||||
Ready Capital Mortgage Financing LLC Series 2022-FL8 Class A† | 6.971% (30 day USD SOFR Average + 1.65%) | # | 1/25/2037 | 43,933,719 | 43,687,865 | |||||||
Ready Capital Mortgage Trust Series 2019-5 Class A† | 3.777% | 2/25/2052 | 169,886 | 169,532 | ||||||||
ReadyCap Commercial Mortgage Trust Series 2018-4 Class A† | 3.39% | 2/27/2051 | 1,956,444 | 1,888,907 | ||||||||
ReadyCap Commercial Mortgage Trust Series 2019-6 Class A† | 2.833% | 10/25/2052 | 17,655,740 | 17,019,154 | ||||||||
Residential Mortgage Loan Trust Series 2020-1 Class A1† | 2.376% | #(h) | 1/26/2060 | 2,340,776 | 2,235,551 | |||||||
Shops at Crystals Trust Series 2016-CSTL Class XA†(g) | 0.606% | #(h) | 7/5/2036 | 112,000,000 | 1,285,064 | |||||||
SHOW Trust Series 2022-BIZ Class A† | 8.306% (1 mo. USD Term SOFR + 2.98%) | # | 1/15/2027 | 186,000,000 | 173,493,408 | |||||||
SMRT Commercial Mortgage Trust Series 2022-MINI Class A† | 6.318% (1 mo. USD Term SOFR + 1.00%) | # | 1/15/2039 | 66,110,000 | 65,508,016 | |||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(h) | 2/25/2050 | 1,299,185 | 1,216,987 | |||||||
Starwood Mortgage Residential Trust Series 2021-2 Class A1† | 0.943% | #(h) | 5/25/2065 | 6,267,108 | 5,669,891 |
See Notes to Schedule of Investments. | 271 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
UBS Commercial Mortgage Trust Series 2017-C6 Class XA(g) | 1.153% | #(h) | 12/15/2050 | $ | 267,352,495 | $ | 8,479,138 | |||||
Verus Securitization Trust Series 2020-1 Class A1† | 3.417% | (i) | 1/25/2060 | 4,089,287 | 3,903,788 | |||||||
Verus Securitization Trust Series 2020-4 Class A1† | 1.502% | (i) | 5/25/2065 | 9,453,861 | 8,906,569 | |||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (i) | 5/25/2065 | 9,817,896 | 9,229,344 | |||||||
Verus Securitization Trust Series 2021-1 Class A1† | 0.815% | #(h) | 1/25/2066 | 18,808,435 | 16,356,219 | |||||||
Verus Securitization Trust Series 2021-3 Class A1† | 1.046% | #(h) | 6/25/2066 | 33,161,625 | 27,612,713 | |||||||
Verus Securitization Trust Series 2021-5 Class A1† | 1.013% | #(h) | 9/25/2066 | 29,320,644 | 24,507,138 | |||||||
Verus Securitization Trust Series 2021-R2 Class A1† | 0.918% | #(h) | 2/25/2064 | 6,826,773 | 6,039,703 | |||||||
Verus Securitization Trust Series 2021-R3 Class A1† | 1.02% | #(h) | 4/25/2064 | 20,795,374 | 18,463,933 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2014-LC16 Class A5 | 3.817% | 8/15/2050 | 7,683,687 | 7,612,206 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2015-C29 Class XA(g) | 0.585% | #(h) | 6/15/2048 | 119,727,230 | 683,571 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2015-SG1 Class XA(g) | 0.645% | #(h) | 9/15/2048 | 138,043,489 | 890,408 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2016-BNK1 Class XA(g) | 1.711% | #(h) | 8/15/2049 | 179,850,126 | 5,327,071 | |||||||
Wells Fargo Commercial Mortgage Trust Series 2016-C32 Class A4 | 3.56% | 1/15/2059 | 14,295,000 | 13,752,872 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2016-C34 Class XA(g) | 2.059% | #(h) | 6/15/2049 | 115,565,660 | 3,086,597 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C20 Class A5 | 3.995% | 5/15/2047 | 8,414,414 | 8,366,764 | ||||||||
WFRBS Commercial Mortgage Trust Series 2014-C21 Class A4 | 3.41% | 8/15/2047 | 10,280,606 | 10,203,683 | ||||||||
WF-RBS Commercial Mortgage Trust Series 2014-C21 Class XB(g) | 0.637% | #(h) | 8/15/2047 | 77,368,500 | 194,210 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C22 Class XA(g) | 0.758% | #(h) | 9/15/2057 | 68,726,332 | 118,354 | |||||||
WF-RBS Commercial Mortgage Trust Series 2014-C22 Class XB(g) | 0.449% | #(h) | 9/15/2057 | 37,769,102 | 73,370 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $3,627,374,383) | 3,076,374,447 |
272 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 3.17% | ||||||||||||
U.S. Treasury Inflation-Indexed Notes(k) | 0.25% | 1/15/2025 | $ | 331,142,724 | $ | 325,400,130 | ||||||
U.S. Treasury Notes | 4.125% | 1/31/2025 | 289,389,000 | 286,892,192 | ||||||||
U.S. Treasury Notes(l) | 4.25% | 1/31/2026 | 178,859,700 | 177,539,213 | ||||||||
U.S. Treasury Notes | 4.625% | 2/28/2026 | 250,000,000 | 249,990,235 | ||||||||
U.S. Treasury Notes | 5.00% | 9/30/2025 | 317,391,300 | 318,438,939 | ||||||||
Total U.S. Treasury Obligations (cost $1,355,381,040) | 1,358,260,709 | |||||||||||
Total Long-Term Investments (cost $43,830,261,786) | 42,842,183,931 | |||||||||||
SHORT-TERM INVESTMENTS 1.84% | ||||||||||||
COMMERCIAL PAPER 0.33% | ||||||||||||
Home Furnishings 0.03% | ||||||||||||
Leggett & Platt, Inc.† | 5.831% | 3/1/2024 | 10,237,000 | 10,237,000 | ||||||||
Leggett & Platt, Inc.† | 5.851% | 3/1/2024 | 1,050,000 | 1,050,000 | ||||||||
Total | 11,287,000 | |||||||||||
Retail 0.30% | ||||||||||||
Walgreens Boots Alliance, Inc.† | 6.525% | 3/18/2024 | 130,909,000 | 130,513,364 | ||||||||
Total Commercial Paper (cost $141,800,364) | 141,800,364 | |||||||||||
REPURCHASE AGREEMENTS 1.51% | ||||||||||||
Repurchase Agreement dated 2/29/2024, 5.300% due 3/1/2024 with Barclays Bank PLC collateralized by $178,251,000 of U.S. Treasury Bill at 0.250% due 3/15/2024; value: $178,094,896; proceeds: $174,628,544 (cost $174,602,839) | 174,602,839 | 174,602,839 | ||||||||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized by $331,544,000 of U.S. Treasury Bond at 4.250% due 2/15/2054; value: $323,396,100; proceeds: $317,101,766 (cost $317,055,000) | 317,055,000 | 317,055,000 | ||||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $159,812,600 of U.S. Treasury Note at 4.625% due 2/28/2026; value: $159,725,202; proceeds: $156,605,468 (cost $156,593,288) | 156,593,288 | 156,593,288 | ||||||||||
Total Repurchase Agreements (cost $648,251,127) | 648,251,127 | |||||||||||
Total Short-Term Investments (cost $790,051,491) | 790,051,491 | |||||||||||
Total Investments in Securities 101.81% (cost $44,620,313,277) | 43,632,235,422 | |||||||||||
Other Assets and Liabilities – Net(m) (1.81)% | (776,444,773 | ) | ||||||||||
Net Assets 100.00% | $ | 42,855,790,649 |
See Notes to Schedule of Investments. | 273 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
CAD | Canadian Dollar. | |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
REMICS | Real Estate Mortgage Investment Conduits. | |
RFUCCT | Refinitiv USD IBOR Consumer Cash Fallbacks Term. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. | |
‡ | Principal/Shares Amount are denominated in U.S dollars unless otherwise noted. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $21,445,850,207, which represents 50.04% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Securities purchased on a when-issued basis. | |
(b) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | 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 Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(f) | Interest Rate to be determined. | |
(g) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest only securities do not receive principal payments on the underlying debt obligation(s). | |
(h) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(j) | Maturity date has passed. As of February 29, 2024, an extension is available to June 15, 2024. | |
(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) | Security has been fully or partially segregated for open reverse repurchase agreements as of February 29, 2024. | |
(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 February 29, 2024(1):
Referenced Indexes | Central Clearing Party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Appreciation(3) | Value | ||||||||||||||
Markit CDX.NA.IG.S41(4)(5) | Goldman Sachs | 1.000% | 12/20/2028 | $216,728,000 | $1,934,084 | $2,537,960 | $4,472,044 |
(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 $2,537,960. 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 Centrally Cleared Credit Default Swap Contracts on Indexes, which is comprised of a basket of investment grade securities. |
274 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Centrally Cleared Interest Rate Swap Contracts at February 29, 2024:
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 | |||||||||
Goldman Sachs | 3.872% | 12-Month USD SOFR | 5/31/2028 | $2,290,863,000 | $ | 16,836,996 | (2) | |||||||
Goldman Sachs | 12-Month USD SOFR Index | 4.792% | 9/30/2025 | 5,000,000 | 4,143 | |||||||||
Unrealized Appreciation on Centrally Cleared Interest Rate Swap Contracts | $ | 16,841,139 | ||||||||||||
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 | 4.264% | 12-Month USD SOFR Index | 3/31/2026 | $2,533,915,000 | $(4,089,156 | ) |
SOFR | Secured Overnight Financing Rate. | |
(1) | Central Clearinghouse: Chicago Mercantile Exchange (CME). | |
(2) | Unrealized appreciation on Centrally Cleared Interest Rate Swap Contract is $25,515,853, which includes upfront payment of $(8,678,857). Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at February 29, 2024:
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 | 2.079% | CPI Urban Consumer NSA | 7/15/2024 | $117,695,000 | $ | 828,295 | |||||||||
Goldman Sachs | 2.285% | CPI Urban Consumer NSA | 7/15/2025 | 117,695,000 | 408,082 | ||||||||||
Goldman Sachs | 2.548% | CPI Urban Consumer NSA | 3/27/2025 | 245,000,000 | 1,035,787 | ||||||||||
Goldman Sachs | 2.750% | CPI Urban Consumer NSA | 3/24/2024 | 245,000,000 | 1,021,113 | ||||||||||
Goldman Sachs | 4.145% | CPI Urban Consumer NSA | 4/15/2024 | 261,224,873 | 2,900,573 | ||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 6,193,850 |
See Notes to Schedule of Investments. | 275 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Credit Default Swap Contracts on Indexes - Sell Protection at February 29, 2024(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 | $(70,045 | ) | $(1,047,753 | ) | $(1,117,798 | ) | |||||||||||
Markit CMBX.NA.A.10 | Morgan Stanley | 2.000% | 11/17/2059 | 25,000,000 | (113,410 | ) | (1,749,586 | ) | (1,862,996 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 2,861,708 | (26,715 | ) | (289,003 | ) | (315,718 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,430,854 | (21,807 | ) | (136,052 | ) | (157,859 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 715,427 | (7,949 | ) | (70,980 | ) | (78,929 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,430,854 | (25,597 | ) | (132,262 | ) | (157,859 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 715,427 | (10,467 | ) | (68,462 | ) | (78,929 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,430,854 | (15,466 | ) | (142,393 | ) | (157,859 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Citibank | 1.500% | 5/11/2063 | 1,430,854 | (15,899 | ) | (141,960 | ) | (157,859 | ) | |||||||||||
Markit CMBX.NA.AA.6 | Morgan Stanley | 1.500% | 5/11/2063 | 4,292,562 | (35,066 | ) | (438,511 | ) | (473,577 | ) | |||||||||||
Markit CMBX.NA.AA.7 | Citibank | 1.500% | 1/17/2047 | 7,684,536 | (110,326 | ) | (732,908 | ) | (843,234 | ) | |||||||||||
Markit CMBX.NA.AA.7 | Citibank | 1.500% | 1/17/2047 | 5,488,954 | (90,880 | ) | (511,430 | ) | (602,310 | ) | |||||||||||
Markit CMBX.NA.AA.7 | Citibank | 1.500% | 1/17/2047 | 4,391,163 | (64,229 | ) | (417,619 | ) | (481,848 | ) | |||||||||||
$(607,856 | ) | $(5,878,919 | ) | $(6,486,775 | ) |
* | 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 $5,878,919. | |
(4) | Includes upfront payments paid (received). |
276 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND February 29, 2024
Forward Foreign Currency Exchange Contracts at February 29, 2024:
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 | 5/9/2024 | 26,597,000 | $19,786,255 | $19,617,615 | $168,640 |
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 2-Year Treasury Note | June 2024 | 67,263 | Long | $ | 13,772,595,785 | $ | 13,772,099,250 | $ | (496,535 | ) | |||||||||
U.S. 5-Year Treasury Note | June 2024 | 23,199 | Short | (2,478,403,543 | ) | (2,480,118,094 | ) | (1,714,551 | ) | ||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (2,211,086 | ) |
Reverse Repurchase Agreement Payables as of February 29, 2024:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date | Fair Value(2) | ||||||||||
Barclays Bank PLC | $174,602,839 | $178,859,700 principal, U.S. Treasury Notes at 4.25% due 1/31/2026, $177,539,213 fair value | 4.100% | 2/29/2024 | 3/1/2024 | $ | 174,622,724 |
(1) | The positive interest rate on the reverse repurchase agreement results in interest expense to the Fund. | |
(2) | Total fair value of reverse repurchase agreement is presented net of interest payable of $19,885. |
See Notes to Schedule of Investments. | 277 |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION INCOME FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Other | $ | – | $ | 5,833,546,695 | $ | 34,332,837 | $ | 5,867,879,532 | ||||||||
Remaining Industries | – | 4,420,499,286 | – | 4,420,499,286 | ||||||||||||
Corporate Bonds | – | 25,600,519,208 | – | 25,600,519,208 | ||||||||||||
Floating Rate Loans | – | 2,377,044,930 | – | 2,377,044,930 | ||||||||||||
Foreign Government Obligations | – | 37,522,328 | – | 37,522,328 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 11,343,273 | – | 11,343,273 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 92,740,218 | – | 92,740,218 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 3,027,692,117 | 48,682,330 | 3,076,374,447 | ||||||||||||
U.S. Treasury Obligations | – | 1,358,260,709 | – | 1,358,260,709 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 141,800,364 | – | 141,800,364 | ||||||||||||
Repurchase Agreements | – | 648,251,127 | – | 648,251,127 | ||||||||||||
Total | $ | – | $ | 43,549,220,255 | $ | 83,015,167 | $ | 43,632,235,422 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 4,472,044 | $ | – | $ | 4,472,044 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | – | 16,841,139 | – | 16,841,139 | ||||||||||||
Liabilities | – | (4,089,156 | ) | – | (4,089,156 | ) | ||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 6,193,850 | – | 6,193,850 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (6,486,775 | ) | – | (6,486,775 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 168,640 | – | 168,640 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | (2,211,086 | ) | – | – | (2,211,086 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (174,622,724 | ) | – | (174,622,724 | ) | ||||||||||
Total | $ | (2,211,086 | ) | $ | (157,522,982 | ) | $ | – | $ | (159,734,068 | ) |
(1) | Refer to Note 2(b) 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.
278 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
LONG-TERM INVESTMENTS 111.51% | ||||||||||||
ASSET-BACKED SECURITIES 15.88% | ||||||||||||
Automobiles 4.50% | ||||||||||||
BMW Vehicle Lease Trust Series 2023-1 Class A4 | 5.07% | 6/25/2026 | $ | 11,350,000 | $ | 11,309,863 | ||||||
Capital One Prime Auto Receivables Trust Series 2022-1 Class A2 | 2.71% | 6/16/2025 | 134,641 | 134,508 | ||||||||
Carvana Auto Receivables Trust Series 2019-3A Class E† | 4.60% | 7/15/2026 | 2,836,007 | 2,822,077 | ||||||||
Carvana Auto Receivables Trust Series NP1 2020-N1A Class E† | 5.20% | 7/15/2027 | 10,577,000 | 10,342,122 | ||||||||
Citizens Auto Receivables Trust Series 2023-2 Class A3† | 5.83% | 2/15/2028 | 16,685,000 | 16,888,253 | ||||||||
CPS Auto Receivables Trust Series 2019-B Class E† | 5.00% | 3/17/2025 | 413,923 | 413,750 | ||||||||
CPS Auto Receivables Trust Series 2020-A Class E† | 4.09% | 12/15/2025 | 513,233 | 511,714 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 732,213 | 727,280 | ||||||||
Exeter Automobile Receivables Trust 2023-1 Class E† | 12.07% | 9/16/2030 | 4,450,000 | 5,041,272 | ||||||||
Exeter Automobile Receivables Trust Series 2020-2A Class E† | 7.19% | 9/15/2027 | 10,000,000 | 10,083,996 | ||||||||
Flagship Credit Auto Trust Series 2018-4 Class E† | 5.51% | 3/16/2026 | 8,042,207 | 8,032,377 | ||||||||
Flagship Credit Auto Trust Series 2022-3 Class A3† | 4.55% | 4/15/2027 | 10,745,292 | 10,671,191 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class A3 | 4.94% | 3/15/2026 | 13,850,000 | 13,796,604 | ||||||||
Ford Credit Auto Owner Trust Series 2018-1 Class A† | 3.19% | 7/15/2031 | 8,711,000 | 8,544,775 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class B | 5.51% | 1/20/2027 | 10,505,000 | 10,481,629 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-2 Class B | 5.54% | 5/20/2027 | 6,270,000 | 6,255,105 | ||||||||
Santander Drive Auto Receivables Trust 2023-2 Class C | 5.47% | 12/16/2030 | 7,790,000 | 7,765,631 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-5 Class C | 4.74% | 10/16/2028 | 6,050,000 | 5,976,440 | ||||||||
Santander Drive Auto Receivables Trust Series 2024-1 Class C | 5.45% | 3/15/2030 | 7,800,000 | 7,794,932 | ||||||||
Tricolor Auto Securitization Trust Series 2021-1A Class E† | 3.23% | 9/15/2026 | 3,176,325 | 3,149,450 | ||||||||
Westlake Automobile Receivables Trust Series 2020-3A Class E† | 3.34% | 6/15/2026 | 8,700,000 | 8,589,557 | ||||||||
Westlake Automobile Receivables Trust Series 2023-1A Class C† | 5.74% | 8/15/2028 | 4,415,000 | 4,411,736 | ||||||||
Total | 153,744,262 |
See Notes to Schedule of Investments. | 279 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Credit Card 1.63% | ||||||||||||
Capital One Multi-Asset Execution Trust Series 2022-A1 Class A1 | 2.80% | 3/15/2027 | $ | 35,150,000 | $ | 34,291,788 | ||||||
Genesis Sales Finance Master Trust Series 2021-AA Class B† | 1.45% | 12/21/2026 | 8,410,000 | 7,908,596 | ||||||||
Genesis Sales Finance Master Trust Series 2021-AA Class D† | 2.09% | 12/21/2026 | 8,967,000 | 8,212,495 | ||||||||
Perimeter Master Note Business Trust Series 2021-1A Class B† | 4.17% | 12/15/2026 | 5,875,000 | 5,309,541 | ||||||||
Total | 55,722,420 | |||||||||||
Other 9.70% | ||||||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | 9,620,000 | 9,681,807 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 12,780,000 | 12,972,013 | ||||||||
Affirm Asset Securitization Trust Series 2024-A Class A† | 5.61% | 2/15/2029 | 2,600,000 | 2,597,041 | ||||||||
AMMC CLO XIII Ltd. Series 2013-13A Class A2LR† | 7.28% (3 mo. USD Term SOFR + 1.96%) | # | 7/24/2029 | 631,130 | 633,483 | |||||||
Anchorage Capital CLO Ltd. Series 2015-6A Class B1R† | 7.326% (3 mo. USD Term SOFR + 2.01%) | # | 7/15/2030 | 4,080,000 | 4,082,236 | |||||||
Apidos CLO XII Series 2013-12A Class BR† | 6.976% (3 mo. USD Term SOFR + 1.66%) | # | 4/15/2031 | 5,050,000 | 5,034,533 | |||||||
Apidos CLO XXIV Series 2016-24A Class A1AL† | 6.529% (3 mo. USD Term SOFR + 1.21%) | # | 10/20/2030 | 6,700,201 | 6,702,881 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL2 Class A† | 6.532% (1 mo. USD Term SOFR + 1.21%) | # | 5/15/2036 | 5,815,117 | 5,799,634 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL3 Class A† | 6.502% (1 mo. USD Term SOFR + 1.18%) | # | 8/15/2034 | 5,910,000 | 5,865,823 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4 Class A† | 6.782% (1 mo. USD Term SOFR + 1.46%) | # | 11/15/2036 | 6,317,000 | 6,298,251 | |||||||
ARES XL CLO Ltd. Series 2016-40A Class A1RR† | 6.446% (3 mo. USD Term SOFR + 1.13%) | # | 1/15/2029 | 2,228,650 | 2,234,742 | |||||||
Avant Loans Funding Trust Series 2021-REV1 Class D† | 4.30% | 7/15/2030 | 4,325,000 | 4,021,219 |
280 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Avant Loans Funding Trust Series 2022-REV1 Class A† | 6.54% | 9/15/2031 | $ | 15,210,000 | $ | 15,199,522 | ||||||
Bain Capital Credit CLO Ltd. Series 2023-4A Class C† | 8.323% (3 mo. USD Term SOFR + 2.90%) | # | 10/21/2036 | 3,840,000 | 3,865,817 | |||||||
Bain Capital Credit CLO Ltd. Series 2023-4A Class D† | 10.423% (3 mo. USD Term SOFR + 5.00%) | # | 10/21/2036 | 6,890,000 | 7,049,595 | |||||||
Ballyrock CLO 25 Ltd. Series 2023-25A Class A2† | 7.774% (3 mo. USD Term SOFR + 2.45%) | # | 1/25/2036 | 7,030,000 | 7,074,100 | |||||||
Ballyrock CLO Ltd. Series 2020-2A Class A1R† | 6.589% (3 mo. USD Term SOFR + 1.27%) | # | 10/20/2031 | 5,970,278 | 5,976,248 | |||||||
BlueMountain CLO XXXI Ltd. Series 2021-31A Class A1† | 6.721% (3 mo. USD Term SOFR + 1.41%) | # | 4/19/2034 | 6,950,000 | 6,940,270 | |||||||
Carlyle Global Market Strategies CLO Ltd. Series 2012-3A Class A1A2† | 6.756% (3 mo. USD Term SOFR + 1.44%) | # | 1/14/2032 | 3,986,845 | 3,989,636 | |||||||
Carlyle U.S. CLO Ltd. Series 2017-3A Class A1AR† | 6.479% (3 mo. USD Term SOFR + 1.16%) | # | 7/20/2029 | 5,629,655 | 5,631,344 | |||||||
Carlyle U.S. CLO Ltd. Series 2023-2A Class C† | 8.318% (3 mo. USD Term SOFR + 3.00%) | # | 7/20/2036 | 5,940,000 | 5,984,717 | |||||||
Carlyle U.S. CLO Ltd. Series 2024-1A Class B†(a) | 5.72% (3 mo. USD Term SOFR + 2.00%) | # | 4/15/2037 | 6,950,000 | 6,943,413 | |||||||
CIFC Funding Ltd. 2021-1A Class B† | 7.136% (3 mo. USD Term SOFR + 1.81%) | # | 4/25/2033 | 3,420,000 | 3,430,274 | |||||||
CIFC Funding Ltd. Series 2014-5A Class A1R2† | 6.778% (3 mo. USD Term SOFR + 1.46%) | # | 10/17/2031 | 3,830,000 | 3,834,213 | |||||||
Dryden 107 CLO Ltd. Series 2023-107A Class C† | 8.307% (3 mo. USD Term SOFR + 3.00%) | # | 8/15/2035 | 4,420,000 | 4,454,004 | |||||||
Elmwood CLO Ltd. Series 2023-3A Class B† | 7.694% (3 mo. USD Term SOFR + 2.35%) | # | 12/11/2033 | 6,450,000 | 6,492,567 | |||||||
Fairstone Financial Issuance Trust I Series 2020-1A Class D† | 6.873% | 10/20/2039 | CAD | 2,649,000 | 1,816,184 | |||||||
Fairstone Financial Issuance Trust Series I 2020-1A Class C† | 5.162% | 10/20/2039 | CAD | 20,760,000 | 14,229,219 |
See Notes to Schedule of Investments. | 281 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Galaxy XXI CLO Ltd. Series 2015-21A Class AR† | 6.599% (3 mo. USD Term SOFR + 1.28%) | # | 4/20/2031 | $ | 1,673,390 | $ | 1,672,721 | |||||
GoldenTree Loan Management U.S. CLO Ltd. Series 2022-16A Class BR† | 7.857% (3 mo. USD Term SOFR + 2.50%) | # | 1/20/2034 | 7,560,000 | 7,608,861 | |||||||
GoldenTree Loan Management U.S. CLO Ltd. Series 2024-19A Class C† | 7.671% (3 mo. USD Term SOFR + 2.35%) | # | 4/20/2037 | 5,040,000 | 5,046,949 | |||||||
Greywolf CLO VII Ltd. Series 2018-2A Class A1† | 6.758% (3 mo. USD Term SOFR + 1.44%) | # | 10/20/2031 | 3,800,000 | 3,814,820 | |||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 11,751,000 | 10,905,269 | ||||||||
Lendmark Funding Trust Series 2021-1A Class A† | 1.90% | 11/20/2031 | 8,300,000 | 7,584,769 | ||||||||
LoanCore Issuer Ltd. Series 2022-CRE7 Class A† | 6.874% (30 day USD SOFR Average + 1.55%) | # | 1/17/2037 | 6,399,603 | 6,343,606 | |||||||
Magnetite XXXVIII Ltd. Series 2024-38A Class B†(a) | 5.96% (3 mo. USD Term SOFR + 2.00%) | # | 4/15/2037 | 6,500,000 | 6,500,000 | |||||||
Marble Point CLO XVII Ltd. Series 2020-1A Class A† | 6.879% (3 mo. USD Term SOFR + 1.56%) | # | 4/20/2033 | 7,154,498 | 7,140,904 | |||||||
ME Funding LLC Series 2019-1 Class A2† | 6.448% | 7/30/2049 | 2,524,928 | 2,512,779 | ||||||||
MF1 LLC Series 2024-FL14 Class A† | 7.055% (1 mo. USD Term SOFR + 1.74%) | # | 3/19/2039 | 7,680,000 | 7,704,061 | (b) | ||||||
Mountain View CLO LLC Series 2017-1A Class AR† | 6.666% (3 mo. USD Term SOFR + 1.35%) | # | 10/16/2029 | 2,190,205 | 2,191,300 | |||||||
Neuberger Berman CLO XVII Ltd. Seires 2014-17A Class BR2† | 7.079% (3 mo. USD Term SOFR + 1.76%) | # | 4/22/2029 | 7,380,000 | 7,401,986 | |||||||
OCP CLO Ltd. Series 2014-5 Class A1R† | 6.666% (3 mo. USD Term SOFR + 1.34%) | # | 4/26/2031 | 3,473,367 | 3,486,091 | |||||||
Parallel Ltd. Series 2017-1A Class A1R† | 6.609% (3 mo. USD Term SOFR + 1.29%) | # | 7/20/2029 | 595,254 | 596,776 | |||||||
Peebles Park CLO Ltd. Series 2024-1A Class B1†(a) | 8.529% (3 mo. USD Term SOFR + 2.00%) | # | 4/21/2037 | 5,370,000 | 5,370,000 | |||||||
RAD CLO 6 Ltd. Series 2019-6A Class A1† | 6.959% (3 mo. USD Term SOFR + 1.64%) | # | 1/20/2033 | 8,550,000 | 8,580,625 |
282 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Other (continued) | ||||||||||||
Regatta XXVII Funding Ltd. Series 2024-1A Class B†(a) | 5.69% (3 mo. USD Term SOFR + 2.00%) | # | 4/26/2037 | $ | 5,500,000 | $ | 5,500,000 | |||||
Rockford Tower CLO Ltd. Series 2018-1A Class A† | 6.681% (3 mo. USD Term SOFR + 1.36%) | # | 5/20/2031 | 7,803,718 | 7,792,793 | |||||||
RR Ltd. Series 2022-24A Class A2R† | 7.747% (3 mo. USD Term SOFR + 2.40%) | # | 1/15/2036 | 7,460,000 | 7,507,184 | |||||||
SCF Equipment Leasing LLC Series 2021-1A Class E† | 3.56% | 8/20/2032 | 3,600,000 | 3,385,674 | ||||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 6,393,975 | 6,011,103 | ||||||||
Signal Peak CLO 8 Ltd. Series 2020-8A Class A† | 6.849% (3 mo. USD Term SOFR + 1.53%) | # | 4/20/2033 | 12,021,647 | 12,004,815 | |||||||
Sunrun Demeter Issuer LLC Series 2021-2A Class A† | 2.27% | 1/30/2057 | 1,625,360 | 1,375,806 | ||||||||
Texas Debt Capital CLO Ltd. Series 2024-1A Class B†(a) | 7.263% (3 mo. USD Term SOFR + 1.95%) | # | 4/22/2037 | 8,660,000 | 8,660,000 | |||||||
Valley Stream Park CLO Ltd. Series 2022-1A Class BR† | 7.568% (3 mo. USD Term SOFR + 2.25%) | # | 10/20/2034 | 6,310,000 | 6,350,055 | |||||||
Voya CLO Ltd. Series 2018-1A Class A2† | 6.871% (3 mo. USD Term SOFR + 1.56%) | # | 4/19/2031 | 4,240,000 | 4,246,360 | |||||||
Voya CLO Ltd. Series 2018-2A Class A1† | 6.576% (3 mo. USD Term SOFR + 1.26%) | # | 7/15/2031 | 5,265,999 | 5,270,738 | |||||||
Total | 331,400,831 | |||||||||||
Rec Vehicle Loan 0.05% | ||||||||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 1,741,902 | 1,733,888 | ||||||||
Student Loan 0.00% | ||||||||||||
Towd Point Asset Trust Series 2018-SL1 Class A† | 6.035% (1 mo. USD Term SOFR + 0.71%) | # | 1/25/2046 | 119,921 | 119,856 | |||||||
Total Asset-Backed Securities (cost $547,749,968) | 542,721,257 | |||||||||||
CORPORATE BONDS 48.01% | ||||||||||||
Advertising 0.10% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.† | 7.50% | 6/1/2029 | 4,141,000 | 3,431,067 |
See Notes to Schedule of Investments. | 283 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Aerospace/Defense 0.27% | ||||||||||||
Bombardier, Inc. (Canada)†(c) | 6.00% | 2/15/2028 | $ | 3,261,000 | $ | 3,168,908 | ||||||
Spirit AeroSystems, Inc.† | 9.375% | 11/30/2029 | 2,917,000 | 3,157,956 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 3,334,000 | 3,060,212 | ||||||||
Total | 9,387,076 | |||||||||||
Agriculture 0.98% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 9,864,000 | 9,749,039 | ||||||||
BAT Capital Corp. | 5.834% | 2/20/2031 | 3,251,000 | 3,241,085 | ||||||||
BAT Capital Corp. | 6.343% | 8/2/2030 | 8,550,000 | 8,834,410 | ||||||||
Philip Morris International, Inc. | 5.625% | 11/17/2029 | 6,862,000 | 7,029,692 | ||||||||
Viterra Finance BV (Netherlands)†(c) | 4.90% | 4/21/2027 | 4,776,000 | 4,677,287 | ||||||||
Total | 33,531,513 | |||||||||||
Airlines 0.35% | ||||||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | 3,269,000 | 3,299,182 | ||||||||
British Airways Pass-Through Trust Class A (United Kingdom)†(c) | 4.25% | 5/15/2034 | 6,106,664 | 5,690,780 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(c)(d) | 7.875% | 5/1/2027 | 3,396,000 | 2,879,847 | ||||||||
Total | 11,869,809 | |||||||||||
Apparel 0.25% | ||||||||||||
Tapestry, Inc. | 7.35% | 11/27/2028 | 8,190,000 | 8,573,020 | ||||||||
Auto Manufacturers 0.75% | ||||||||||||
Ford Motor Credit Co. LLC | 3.375% | 11/13/2025 | 4,291,000 | 4,118,658 | ||||||||
Ford Motor Credit Co. LLC | 4.134% | 8/4/2025 | 3,940,000 | 3,846,054 | ||||||||
Hyundai Capital America† | 1.80% | 10/15/2025 | 5,169,000 | 4,874,418 | ||||||||
Hyundai Capital America† | 5.40% | 1/8/2031 | 5,010,000 | 5,018,371 | ||||||||
Hyundai Capital America† | 5.80% | 6/26/2025 | 3,586,000 | 3,600,471 | ||||||||
JB Poindexter & Co., Inc.† | 8.75% | 12/15/2031 | 3,921,000 | 4,021,742 | ||||||||
Total | 25,479,714 | |||||||||||
Auto Parts & Equipment 0.09% | ||||||||||||
Goodyear Tire & Rubber Co. | 5.00% | 7/15/2029 | 3,430,000 | 3,160,955 | ||||||||
Banks 14.47% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(c) | 3.324% (5 yr. CMT + 1.90%) | # | 3/13/2037 | 5,400,000 | 4,299,568 | |||||||
Bank of America Corp. | 1.658% (SOFR + 0.91%) | # | 3/11/2027 | 4,792,000 | 4,447,607 | |||||||
Bank of America Corp. | 2.087% (SOFR + 1.06%) | # | 6/14/2029 | 17,835,000 | 15,679,685 |
284 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Bank of America Corp. | 2.687% (SOFR + 1.32%) | # | 4/22/2032 | $ | 3,157,000 | $ | 2,645,007 | |||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23%) | # | 3/15/2025 | 7,498,000 | 7,492,077 | |||||||
Bank of America Corp. | 3.593% (3 mo. USD Term SOFR + 1.63%) | # | 7/21/2028 | 10,476,000 | 9,934,530 | |||||||
Bank of America Corp. | 3.97% (3 mo. USD Term SOFR + 1.33%) | # | 3/5/2029 | 5,597,000 | 5,324,995 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 2,367,000 | 2,333,130 | ||||||||
Bank of New York Mellon Corp. | 4.967% (SOFR + 1.61%) | # | 4/26/2034 | 5,472,000 | 5,334,883 | |||||||
BankUnited, Inc. | 5.125% | 6/11/2030 | 6,768,000 | 6,130,347 | ||||||||
Barclays PLC (United Kingdom)(c) | 3.932% (3 mo. USD LIBOR + 1.61%) | # | 5/7/2025 | 11,506,000 | 11,461,801 | |||||||
BBVA Bancomer SA† | 8.125% (5 yr. CMT + 4.21%) | # | 1/8/2039 | 6,200,000 | 6,430,857 | |||||||
BNP Paribas SA (France)†(c) | 2.219% (SOFR + 2.07%) | # | 6/9/2026 | 9,609,000 | 9,201,717 | |||||||
BNP Paribas SA (France)†(c) | 4.375% (5 yr. USD Swap + 1.48%) | # | 3/1/2033 | 9,174,000 | 8,622,261 | |||||||
BNP Paribas SA (France)†(c) | 5.738% (SOFR + 1.88%) | # | 2/20/2035 | 6,580,000 | 6,518,832 | |||||||
Citigroup, Inc. | 3.887% (3 mo. USD Term SOFR + 1.82%) | # | 1/10/2028 | 13,692,000 | 13,163,898 | |||||||
Citigroup, Inc. | 3.98% (3 mo. USD Term SOFR + 1.60%) | # | 3/20/2030 | 26,656,000 | 24,996,201 | |||||||
Citigroup, Inc. | 4.14% (SOFR + 1.37%) | # | 5/24/2025 | 3,361,000 | 3,345,676 | |||||||
Citigroup, Inc. | 5.827% (SOFR + 2.06%) | # | 2/13/2035 | 8,705,000 | 8,519,880 | |||||||
Citizens Bank NA | 4.119% (SOFR + 1.40%) | # | 5/23/2025 | 7,144,000 | 7,093,131 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45%) | # | 10/24/2025 | 2,405,000 | 2,391,620 | |||||||
Danske Bank AS (Denmark)†(c) | 3.773% (1 yr. CMT + 1.45%) | # | 3/28/2025 | 16,133,000 | 16,102,131 | |||||||
Danske Bank AS (Denmark)†(c) | 6.466% (1 yr. CMT + 2.10%) | # | 1/9/2026 | 8,151,000 | 8,184,395 | |||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72%) | # | 9/27/2025 | 6,617,000 | 6,488,605 | |||||||
Freedom Mortgage Corp.† | 12.25% | 10/1/2030 | 3,000,000 | 3,304,527 |
See Notes to Schedule of Investments. | 285 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
HSBC Holdings PLC (United Kingdom)(c) | 3.803% (3 mo. USD Term SOFR + 1.47%) | # | 3/11/2025 | $ | 6,281,000 | $ | 6,277,869 | |||||
Intesa Sanpaolo SpA (Italy)†(c) | 6.625% | 6/20/2033 | 8,959,000 | 9,064,855 | ||||||||
JPMorgan Chase & Co. | 2.739% (3 mo. USD Term SOFR + 1.51%) | # | 10/15/2030 | 10,975,000 | 9,633,463 | |||||||
JPMorgan Chase & Co. | 3.54% (3 mo. USD Term SOFR + 1.64%) | # | 5/1/2028 | 9,410,000 | 8,946,847 | |||||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98%) | # | 6/14/2025 | 11,388,000 | 11,319,184 | |||||||
M&T Bank Corp. | 5.053% (SOFR + 1.85%) | # | 1/27/2034 | 5,074,000 | 4,661,109 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 3.624% | 6/3/2030 | 2,821,000 | 2,479,741 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 2.691% (SOFR + 1.44%) | # | 6/23/2032 | 11,002,000 | 9,056,982 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% (3 mo. USD LIBOR + 1.73%) | # | 3/27/2029 | 9,640,000 | 9,321,449 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(c) | 5.541% (1 yr. CMT + 1.50%) | # | 4/17/2026 | 3,928,000 | 3,926,175 | |||||||
Morgan Stanley | 4.21% (SOFR + 1.61%) | # | 4/20/2028 | 4,606,000 | 4,459,148 | |||||||
Morgan Stanley | 4.431% (3 mo. USD Term SOFR + 1.89%) | # | 1/23/2030 | 31,126,000 | 29,895,604 | |||||||
Morgan Stanley | 5.297% (SOFR + 2.62%) | # | 4/20/2037 | 4,900,000 | 4,696,085 | |||||||
NatWest Group PLC (United Kingdom)(c) | 4.269% (3 mo. USD LIBOR + 1.76%) | # | 3/22/2025 | 13,020,000 | 13,008,890 | |||||||
NatWest Group PLC (United Kingdom)(c) | 5.808% (1 yr. CMT + 1.95%) | # | 9/13/2029 | 4,202,000 | 4,246,743 | |||||||
NatWest Group PLC (United Kingdom)(c) | 7.472% (1 yr. CMT + 2.85%) | # | 11/10/2026 | 6,251,000 | 6,424,717 | |||||||
Royal Bank of Canada (Canada)(c) | 6.00% | 11/1/2027 | 7,909,000 | 8,146,741 | ||||||||
State Street Corp. | 4.164% (SOFR + 1.73%) | # | 8/4/2033 | 5,123,000 | 4,740,866 | |||||||
Truist Financial Corp. | 5.711% (SOFR + 1.92%) | # | 1/24/2035 | 7,223,000 | 7,156,155 | |||||||
U.S. Bancorp | 4.839% (SOFR + 1.60%) | # | 2/1/2034 | 7,299,000 | 6,872,434 | |||||||
U.S. Bancorp | 4.967% (SOFR + 2.11%) | # | 7/22/2033 | 12,314,000 | 11,513,687 | |||||||
U.S. Bancorp | 5.678% (SOFR + 1.86%) | # | 1/23/2035 | 7,274,000 | 7,261,188 |
286 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Banks (continued) | ||||||||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | $ | 9,363,000 | $ | 9,339,827 | ||||||
UBS Group AG (Switzerland)†(c) | 1.364% (1 yr. CMT + 1.08%) | # | 1/30/2027 | 5,819,000 | 5,363,588 | |||||||
UBS Group AG (Switzerland)†(c) | 1.494% (1 yr. CMT + 0.85%) | # | 8/10/2027 | 8,920,000 | 8,083,370 | |||||||
UBS Group AG (Switzerland)†(c) | 4.703% (1 yr. CMT + 2.05%) | # | 8/5/2027 | 4,487,000 | 4,398,863 | |||||||
UBS Group AG (Switzerland)†(c) | 4.988% (1 yr. CMT + 2.40%) | # | 8/5/2033 | 8,174,000 | 7,795,367 | |||||||
UBS Group AG (Switzerland)†(c) | 6.327% (1 yr. CMT + 1.60%) | # | 12/22/2027 | 2,685,000 | 2,739,643 | |||||||
UBS Group AG (Switzerland)†(c) | 6.373% (SOFR + 3.34%) | # | 7/15/2026 | 12,446,000 | 12,534,317 | |||||||
UBS Group AG (Switzerland)†(c) | 6.442% (SOFR + 3.70%) | # | 8/11/2028 | 11,155,000 | 11,468,267 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00%) | # | 4/30/2026 | 7,724,000 | 7,413,737 | |||||||
Wells Fargo & Co. | 2.393% (SOFR + 2.10%) | # | 6/2/2028 | 20,155,000 | 18,391,842 | |||||||
Wells Fargo & Co. | 2.406% (3 mo. USD Term SOFR + 1.09%) | # | 10/30/2025 | 9,758,000 | 9,548,560 | |||||||
Wells Fargo & Co. | 3.584% (3 mo. USD Term SOFR + 1.57%) | # | 5/22/2028 | 10,914,000 | 10,348,713 | |||||||
Wells Fargo & Co. | 5.389% (SOFR + 2.02%) | # | 4/24/2034 | 1,978,000 | 1,946,133 | |||||||
Yapi ve Kredi Bankasi AS (Turkey)†(c) | 9.25% (5 yr. CMT + 5.28%) | # | 1/17/2034 | 2,562,000 | 2,649,428 | |||||||
Total | 494,578,948 | |||||||||||
Beverages 0.34% | ||||||||||||
Bacardi Ltd./Bacardi-Martini BV† | 5.40% | 6/15/2033 | 6,256,000 | 6,160,010 | ||||||||
Constellation Brands, Inc. | 4.80% | 1/15/2029 | 5,433,000 | 5,358,936 | ||||||||
Total | 11,518,946 | |||||||||||
Biotechnology 0.06% | ||||||||||||
Baxalta, Inc. | 4.00% | 6/23/2025 | 2,070,000 | 2,033,854 | ||||||||
Building Materials 0.37% | ||||||||||||
Carrier Global Corp. | 5.90% | 3/15/2034 | 2,938,000 | 3,049,376 | ||||||||
Eco Material Technologies, Inc.† | 7.875% | 1/31/2027 | 3,232,000 | 3,228,134 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 3,346,000 | 3,249,030 | ||||||||
Standard Industries, Inc.† | 4.375% | 7/15/2030 | 3,523,000 | 3,144,332 | ||||||||
Total | 12,670,872 |
See Notes to Schedule of Investments. | 287 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Chemicals 0.86% | ||||||||||||
Celanese U.S. Holdings LLC | 6.05% | 3/15/2025 | $ | 10,644,000 | $ | 10,672,759 | ||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 6.125% | 6/15/2028 | 3,972,000 | 3,759,240 | ||||||||
International Flavors & Fragrances, Inc.† | 1.23% | 10/1/2025 | 12,233,000 | 11,405,714 | ||||||||
Rain Carbon, Inc.† | 12.25% | 9/1/2029 | 3,350,000 | 3,354,623 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 70,000 | 68,421 | ||||||||
Total | 29,260,757 | |||||||||||
Coal 0.10% | ||||||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | 3,791,000 | 3,408,052 | ||||||||
Commercial Services 0.74% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)(c) | 4.00% | 7/30/2027 | 3,580,000 | 3,277,897 | ||||||||
Allied Universal Holdco LLC† | 7.875% | 2/15/2031 | 3,427,000 | 3,407,567 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 6.00% | 6/1/2029 | 4,043,000 | 3,351,889 | ||||||||
ERAC USA Finance LLC† | 5.00% | 2/15/2029 | 7,261,000 | 7,218,241 | ||||||||
Global Payments, Inc. | 4.95% | 8/15/2027 | 8,207,000 | 8,135,627 | ||||||||
Total | 25,391,221 | |||||||||||
Computers 0.26% | ||||||||||||
Leidos, Inc. | 5.75% | 3/15/2033 | 4,202,000 | 4,273,503 | ||||||||
McAfee Corp.† | 7.375% | 2/15/2030 | 5,301,000 | 4,684,748 | ||||||||
Total | 8,958,251 | |||||||||||
Diversified Financial Services 2.36% | ||||||||||||
Aircastle Ltd.† | 2.85% | 1/26/2028 | 6,919,000 | 6,159,107 | ||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 4,918,000 | 4,573,730 | ||||||||
Aviation Capital Group LLC† | 5.50% | 12/15/2024 | 11,453,000 | 11,400,389 | ||||||||
Aviation Capital Group LLC† | 6.375% | 7/15/2030 | 7,653,000 | 7,809,782 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 2.125% | 2/21/2026 | 16,888,000 | 15,680,475 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 4.25% | 4/15/2026 | 5,671,000 | 5,470,020 | ||||||||
Capital One Financial Corp. | 5.70% (SOFR + 1.91%) | # | 2/1/2030 | 4,734,000 | 4,747,364 | |||||||
GGAM Finance Ltd. (Ireland)†(c) | 8.00% | 2/15/2027 | 3,237,000 | 3,319,856 | ||||||||
LPL Holdings, Inc.† | 4.00% | 3/15/2029 | 8,718,000 | 8,002,999 | ||||||||
Navient Corp. | 4.875% | 3/15/2028 | 5,613,000 | 5,130,759 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 4,745,000 | 4,557,319 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 4,780,000 | 3,852,751 | ||||||||
Total | 80,704,551 |
288 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Electric 3.51% | ||||||||||||
AES Corp.† | 3.95% | 7/15/2030 | $ | 9,000,000 | $ | 8,203,885 | ||||||
Alfa Desarrollo SpA (Chile)†(c) | 4.55% | 9/27/2051 | 5,741,951 | 4,272,728 | ||||||||
Ausgrid Finance Pty. Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 7,124,000 | 6,814,224 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 3,474,000 | 3,306,959 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 5,767,000 | 5,952,792 | ||||||||
Duke Energy Corp. | 4.50% | 8/15/2032 | 8,370,000 | 7,861,197 | ||||||||
Electricite de France SA (France)†(c) | 6.25% | 5/23/2033 | 9,711,000 | 10,149,678 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)(c) | 6.35% | 8/10/2028 | 3,260,000 | 3,121,760 | ||||||||
Indiana Michigan Power Co. | 5.625% | 4/1/2053 | 3,692,000 | 3,702,221 | ||||||||
Indianapolis Power & Light Co.† | 5.65% | 12/1/2032 | 9,456,000 | 9,634,460 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 4.625% | 8/10/2030 | 5,979,544 | 5,661,640 | ||||||||
Minejesa Capital BV (Netherlands)(c) | 5.625% | 8/10/2037 | 1,361,000 | 1,192,426 | ||||||||
National Grid PLC (United Kingdom)(c) | 5.809% | 6/12/2033 | 9,665,000 | 9,773,347 | ||||||||
NextEra Energy Operating Partners LP† | 7.25% | 1/15/2029 | 3,897,000 | 3,964,539 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 3,410,000 | 3,171,891 | ||||||||
Oncor Electric Delivery Co. LLC | 5.65% | 11/15/2033 | 6,274,000 | 6,485,667 | ||||||||
Southern Co. | 4.475% | (e) | 8/1/2024 | 13,655,000 | 13,561,372 | |||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 9,911,000 | 9,822,525 | ||||||||
Vistra Operations Co. LLC† | 7.75% | 10/15/2031 | 3,099,000 | 3,208,261 | ||||||||
Total | 119,861,572 | |||||||||||
Energy-Alternate Sources 0.16% | ||||||||||||
Greenko Dutch BV (Netherlands)†(c) | 3.85% | 3/29/2026 | 5,650,825 | 5,332,853 | ||||||||
Engineering & Construction 0.47% | ||||||||||||
Cellnex Finance Co. SA (Spain)†(c) | 3.875% | 7/7/2041 | 8,808,000 | 6,860,023 | ||||||||
Irb Infrastructure Developers (India)(a)(c) | 7.11% | 3/11/2032 | 4,174,000 | 4,170,535 | ||||||||
Weekley Homes LLC/Weekley Finance Corp.† | 4.875% | 9/15/2028 | 5,381,000 | 5,013,209 | ||||||||
Total | 16,043,767 | |||||||||||
Entertainment 0.36% | ||||||||||||
Cinemark USA, Inc.† | 5.875% | 3/15/2026 | 3,245,000 | 3,199,179 | ||||||||
Jacobs Entertainment, Inc.† | 6.75% | 2/15/2029 | 3,610,000 | 3,444,788 | ||||||||
Warnermedia Holdings, Inc. | 3.788% | 3/15/2025 | 5,808,000 | 5,694,642 | ||||||||
Total | 12,338,609 | |||||||||||
Environmental Control 0.10% | ||||||||||||
Veralto Corp.† | 5.45% | 9/18/2033 | 3,289,000 | 3,305,805 | ||||||||
Food 0.09% | ||||||||||||
NBM U.S. Holdings, Inc. | 7.00% | 5/14/2026 | 3,165,000 | 3,161,456 |
See Notes to Schedule of Investments. | 289 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Gas 0.54% | ||||||||||||
CenterPoint Energy Resources Corp. | 4.40% | 7/1/2032 | $ | 7,179,000 | $ | 6,800,871 | ||||||
National Fuel Gas Co. | 5.50% | 1/15/2026 | 7,186,000 | 7,165,247 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 4,810,000 | 4,400,916 | ||||||||
Total | 18,367,034 | |||||||||||
Hand/Machine Tools 0.21% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 7,251,000 | 7,283,749 | ||||||||
Health Care-Products 0.98% | ||||||||||||
GE HealthCare Technologies, Inc. | 5.65% | 11/15/2027 | 11,685,000 | 11,873,322 | ||||||||
Revvity, Inc. | 0.85% | 9/15/2024 | 8,876,000 | 8,645,874 | ||||||||
Solventum Corp.† | 5.45% | 3/13/2031 | 6,885,000 | 6,828,718 | ||||||||
Solventum Corp.† | 5.60% | 3/23/2034 | 6,224,000 | 6,187,108 | ||||||||
Total | 33,535,022 | |||||||||||
Health Care-Services 1.54% | ||||||||||||
Centene Corp. | 2.45% | 7/15/2028 | 8,616,000 | 7,601,284 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 16,397,000 | 14,478,919 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 4,989,000 | 4,751,034 | ||||||||
CHS/Community Health Systems, Inc.† | 5.25% | 5/15/2030 | 5,963,000 | 4,763,562 | ||||||||
Humana, Inc. | 1.35% | 2/3/2027 | 8,740,000 | 7,839,842 | ||||||||
Humana, Inc. | 5.875% | 3/1/2033 | 3,474,000 | 3,572,150 | ||||||||
LifePoint Health, Inc.† | 9.875% | 8/15/2030 | 3,134,000 | 3,255,405 | ||||||||
Molina Healthcare, Inc.† | 4.375% | 6/15/2028 | 3,393,000 | 3,163,958 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 3,303,000 | 3,268,368 | ||||||||
Total | 52,694,522 | |||||||||||
Housewares 0.09% | ||||||||||||
Newell Brands, Inc. | 6.375% | 9/15/2027 | 3,216,000 | 3,125,409 | ||||||||
Insurance 0.82% | ||||||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 3,488,000 | 2,839,665 | ||||||||
GA Global Funding Trust† | 3.85% | 4/11/2025 | 9,989,000 | 9,784,836 | ||||||||
Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC (United Kingdom)†(c) | 7.25% | 2/15/2031 | 3,794,000 | 3,802,290 | ||||||||
HUB International Ltd.† | 7.375% | 1/31/2032 | 2,658,000 | 2,668,082 | ||||||||
Metropolitan Life Global Funding I† | 4.05% | 8/25/2025 | 2,599,000 | 2,555,969 | ||||||||
New York Life Global Funding† | 4.55% | 1/28/2033 | 6,595,000 | 6,285,973 | ||||||||
Total | 27,936,815 |
290 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Internet 0.52% | ||||||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | $ | 4,715,000 | $ | 4,837,471 | ||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 4,686,000 | 4,977,138 | ||||||||
Prosus NV (Netherlands)†(c) | 3.257% | 1/19/2027 | 8,550,000 | 7,872,677 | ||||||||
Total | 17,687,286 | |||||||||||
Iron-Steel 0.08% | ||||||||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | 2,785,000 | 2,820,216 | ||||||||
Leisure Time 0.31% | ||||||||||||
Carnival Corp.† | 6.00% | 5/1/2029 | 5,229,000 | 5,113,115 | ||||||||
Royal Caribbean Cruises Ltd.†(a) | 6.25% | 3/15/2032 | 2,215,000 | 2,222,301 | ||||||||
Royal Caribbean Cruises Ltd.† | 7.25% | 1/15/2030 | 3,062,000 | 3,185,904 | ||||||||
Total | 10,521,320 | |||||||||||
Lodging 0.29% | ||||||||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 3,462,000 | 3,230,627 | ||||||||
MGM China Holdings Ltd. (Macau)(c) | 4.75% | 2/1/2027 | 3,450,000 | 3,248,221 | ||||||||
Wynn Macau Ltd. (Macau)†(c) | 5.625% | 8/26/2028 | 3,500,000 | 3,292,873 | ||||||||
Total | 9,771,721 | |||||||||||
Machinery-Diversified 0.40% | ||||||||||||
nVent Finance SARL (Luxembourg)(c) | 4.55% | 4/15/2028 | 13,974,000 | 13,496,704 | ||||||||
Media 0.88% | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 3,671,000 | 3,126,297 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.908% | 7/23/2025 | 6,121,000 | 6,037,943 | ||||||||
CSC Holdings LLC† | 11.75% | 1/31/2029 | 3,323,000 | 3,475,682 | ||||||||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.† | 5.875% | 8/15/2027 | 3,500,000 | 3,305,994 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 9,354,000 | 8,138,268 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(c) | 4.875% | 1/22/2030 | 3,192,000 | 2,779,556 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 3,604,000 | 3,204,372 | ||||||||
Total | 30,068,112 | |||||||||||
Mining 0.50% | ||||||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(c) | 4.375% | 4/1/2031 | 5,290,000 | 4,745,975 | ||||||||
Freeport Indonesia PT (Indonesia)(c) | 6.20% | 4/14/2052 | 3,580,000 | 3,432,043 | ||||||||
Glencore Funding LLC† | 4.875% | 3/12/2029 | 5,934,000 | 5,856,346 | ||||||||
Glencore Funding LLC† | 6.375% | 10/6/2030 | 3,016,000 | 3,171,453 | ||||||||
Total | 17,205,817 |
See Notes to Schedule of Investments. | 291 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Miscellaneous Manufacturing 0.09% | ||||||||||||
LSB Industries, Inc.† | 6.25% | 10/15/2028 | $ | 3,377,000 | $ | 3,205,568 | ||||||
Multi-National 0.71% | ||||||||||||
Inter-American Investment Corp. | 4.25% | 2/14/2029 | 24,601,000 | 24,327,178 | ||||||||
Oil & Gas 4.47% | ||||||||||||
Antero Resources Corp.† | 7.625% | 2/1/2029 | 6,006,000 | 6,191,021 | ||||||||
Apache Corp. | 4.25% | 1/15/2030 | 3,751,000 | 3,448,411 | ||||||||
Baytex Energy Corp. (Canada)†(c) | 8.50% | 4/30/2030 | 4,388,000 | 4,566,258 | ||||||||
CITGO Petroleum Corp.† | 8.375% | 1/15/2029 | 3,227,000 | 3,391,654 | ||||||||
Civitas Resources, Inc.† | 8.375% | 7/1/2028 | 4,574,000 | 4,792,061 | ||||||||
CNX Resources Corp.† | 6.00% | 1/15/2029 | 3,250,000 | 3,126,555 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 6,684,000 | 6,174,439 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 22,000,000 | 21,579,527 | ||||||||
Cosan Luxembourg SA (Luxembourg)†(c) | 7.25% | 6/27/2031 | 2,941,000 | 2,994,600 | ||||||||
Coterra Energy, Inc.(a) | 5.60% | 3/15/2034 | 8,418,000 | 8,418,694 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 4,555,000 | 4,771,214 | ||||||||
Diamond Foreign Asset Co./Diamond Finance LLC (Cayman Islands)†(c) | 8.50% | 10/1/2030 | 3,115,000 | 3,192,102 | ||||||||
Ecopetrol SA (Colombia)(c) | 8.375% | 1/19/2036 | 5,092,000 | 5,115,550 | ||||||||
EQT Corp. | 5.75% | 2/1/2034 | 5,314,000 | 5,230,230 | ||||||||
EQT Corp. | 7.00% | 2/1/2030 | 15,389,000 | 16,308,708 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.00% | 2/1/2031 | 3,408,000 | 3,299,202 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 12,069,000 | 12,711,312 | ||||||||
OGX Austria GmbH (Brazil)†(c)(f) | 8.50% | 6/1/2018 | 1,730,000 | 35 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 6,037,000 | 6,190,662 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 2,730,000 | 2,557,694 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 6.00% | 2/15/2028 | 3,425,000 | 3,333,946 | ||||||||
Permian Resources Operating LLC† | 8.00% | 4/15/2027 | 4,578,000 | 4,725,329 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 6.70% | 2/16/2032 | 8,173,000 | 6,595,617 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 3,504,000 | 3,231,296 | ||||||||
Transocean, Inc.† | 8.00% | 2/1/2027 | 4,792,000 | 4,681,784 | ||||||||
Valaris Ltd.† | 8.375% | 4/30/2030 | 3,060,000 | 3,140,287 | ||||||||
Vital Energy, Inc. | 10.125% | 1/15/2028 | 3,015,000 | 3,157,926 | ||||||||
Total | 152,926,114 | |||||||||||
Oil & Gas Services 0.10% | ||||||||||||
Kodiak Gas Services LLC† | 7.25% | 2/15/2029 | 3,370,000 | 3,433,511 |
292 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Packaging & Containers 0.33% | ||||||||||||
Clydesdale Acquisition Holdings, Inc.† | 8.75% | 4/15/2030 | $ | 5,244,000 | $ | 4,996,922 | ||||||
LABL, Inc.† | 9.50% | 11/1/2028 | 2,992,000 | 2,996,454 | ||||||||
Mauser Packaging Solutions Holding Co.† | 9.25% | 4/15/2027 | 3,375,000 | 3,285,944 | ||||||||
Total | 11,279,320 | |||||||||||
Pharmaceuticals 1.12% | ||||||||||||
Bayer U.S. Finance LLC† | 6.375% | 11/21/2030 | 5,643,000 | 5,688,482 | ||||||||
Cigna Group | 2.40% | 3/15/2030 | 11,761,000 | 10,089,986 | ||||||||
CVS Health Corp. | 1.75% | 8/21/2030 | 6,300,000 | 5,119,856 | ||||||||
CVS Health Corp. | 3.25% | 8/15/2029 | 18,488,000 | 16,848,548 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 461,000 | 411,569 | ||||||||
Total | 38,158,441 | |||||||||||
Pipelines 2.05% | ||||||||||||
Cheniere Energy Partners LP | 3.25% | 1/31/2032 | 4,113,000 | 3,440,989 | ||||||||
Columbia Pipeline Group, Inc. | 4.50% | 6/1/2025 | 4,393,000 | 4,330,641 | ||||||||
Eastern Gas Transmission & Storage, Inc. | 3.00% | 11/15/2029 | 4,956,000 | 4,419,797 | ||||||||
EIG Pearl Holdings SARL (Luxembourg)†(c) | 3.545% | 8/31/2036 | 8,400,000 | 7,156,800 | ||||||||
Enbridge, Inc. (Canada)(c) | 6.20% | 11/15/2030 | 3,484,000 | 3,654,838 | ||||||||
Enbridge, Inc. (Canada)(c) | 8.50% (5 yr. CMT + 4.43%) | # | 1/15/2084 | 7,804,000 | 8,341,063 | |||||||
EQM Midstream Partners LP† | 7.50% | 6/1/2030 | 3,093,000 | 3,290,723 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(c) | 3.25% | 9/30/2040 | 9,000,000 | 6,824,029 | ||||||||
Kinder Morgan Energy Partners LP | 4.25% | 9/1/2024 | 7,507,000 | 7,451,666 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp.† | 8.375% | 2/15/2032 | 4,299,000 | 4,370,329 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 3,129,000 | 2,673,132 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 8,107,000 | 8,097,727 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 6,074,000 | 6,148,261 | ||||||||
Total | 70,199,995 | |||||||||||
Real Estate 0.19% | ||||||||||||
Howard Hughes Corp.† | 5.375% | 8/1/2028 | 3,459,000 | 3,267,112 | ||||||||
Kennedy-Wilson, Inc. | 4.75% | 2/1/2030 | 4,128,000 | 3,270,511 | ||||||||
Total | 6,537,623 | |||||||||||
REITS 1.32% | ||||||||||||
American Tower Corp. | 2.40% | 3/15/2025 | 5,260,000 | 5,086,835 | ||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 2,739,000 | 2,677,312 | ||||||||
American Tower Corp. | 3.80% | 8/15/2029 | 5,139,000 | 4,759,978 |
See Notes to Schedule of Investments. | 293 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
REITS (continued) | ||||||||||||
Crown Castle, Inc. | 2.10% | 4/1/2031 | $ | 5,073,000 | $ | 4,075,042 | ||||||
Crown Castle, Inc. | 3.30% | 7/1/2030 | 12,698,000 | 11,219,121 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 2,808,000 | 2,655,799 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 4,652,000 | 4,419,142 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 4,895,000 | 4,561,357 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 5,519,000 | 5,519,201 | ||||||||
Total | 44,973,787 | |||||||||||
Retail 0.49% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(c) | 5.267% | 2/12/2034 | 6,939,000 | 6,879,905 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 3,872,000 | 3,944,392 | ||||||||
Evergreen Acqco 1 LP/TVI, Inc.† | 9.75% | 4/26/2028 | 2,507,000 | 2,647,129 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 3,362,000 | 3,241,086 | ||||||||
Total | 16,712,512 | |||||||||||
Semiconductors 0.44% | ||||||||||||
Broadcom, Inc.† | 4.15% | 4/15/2032 | 7,000,000 | 6,431,507 | ||||||||
Micron Technology, Inc. | 5.30% | 1/15/2031 | 3,923,000 | 3,884,583 | ||||||||
SK Hynix, Inc. (South Korea)†(c) | 5.50% | 1/16/2029 | 4,695,000 | 4,689,609 | ||||||||
Total | 15,005,699 | |||||||||||
Software 0.84% | ||||||||||||
Cloud Software Group, Inc.† | 6.50% | 3/31/2029 | 3,433,000 | 3,199,154 | ||||||||
Cloud Software Group, Inc.† | 9.00% | 9/30/2029 | 3,494,000 | 3,265,139 | ||||||||
Oracle Corp. | 2.875% | 3/25/2031 | 10,577,000 | 9,125,469 | ||||||||
Oracle Corp. | 6.25% | 11/9/2032 | 6,337,000 | 6,696,113 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 7,018,000 | 6,345,674 | ||||||||
Total | 28,631,549 | |||||||||||
Telecommunications 1.48% | ||||||||||||
AT&T, Inc. | 4.30% | 2/15/2030 | 5,326,000 | 5,082,189 | ||||||||
AT&T, Inc. | 5.40% | 2/15/2034 | 5,141,000 | 5,149,753 | ||||||||
Frontier Communications Holdings LLC† | 5.00% | 5/1/2028 | 3,539,000 | 3,278,916 | ||||||||
Frontier Communications Holdings LLC | 5.875% | 11/1/2029 | 3,928,000 | 3,368,475 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 5,781,000 | 6,152,932 | ||||||||
T-Mobile USA, Inc. | 3.50% | 4/15/2025 | 4,634,000 | 4,531,216 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 11,827,000 | 10,984,249 | ||||||||
T-Mobile USA, Inc. | 4.85% | 1/15/2029 | 8,888,000 | 8,778,249 | ||||||||
Viasat, Inc.† | 5.625% | 9/15/2025 | 3,441,000 | 3,343,052 | ||||||||
Total | 50,669,031 |
294 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
Transportation 0.09% | ||||||||||||
Rand Parent LLC† | 8.50% | 2/15/2030 | $ | 3,274,000 | $ | 3,184,201 | ||||||
Trucking & Leasing 0.09% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 3,375,000 | 3,236,157 | ||||||||
Total Corporate Bonds (cost $1,683,379,172) | 1,640,997,081 | |||||||||||
FLOATING RATE LOANS(g) 1.65% | ||||||||||||
Building Materials 0.15% | ||||||||||||
Emrld Borrower LP Term Loan B | – | (h) | 5/31/2030 | 5,135,856 | 5,130,720 | |||||||
Commercial Services 0.06% | ||||||||||||
PG Investment Co. 59 SARL Term Loan B | – | (h) | 2/24/2031 | 1,954,615 | 1,958,690 | |||||||
Entertainment 0.54% | ||||||||||||
Flutter Financing BV Term Loan B (Netherlands)(c) | 7.698% (3 mo. USD Term SOFR + 2.25%) | 11/25/2030 | 18,486,000 | 18,441,726 | ||||||||
Financial 0.10% | ||||||||||||
Hudson River Trading LLC 2021 Term Loan | – | (h) | 3/20/2028 | 3,440,000 | 3,423,350 | |||||||
Insurance 0.15% | ||||||||||||
Asurion LLC 2020 Term Loan B8 | – | (h) | 12/23/2026 | 5,143,022 | 5,120,161 | |||||||
Lodging 0.23% | ||||||||||||
Hilton Domestic Operating Co., Inc. 2023 Term Loan B3 | 7.171% (1 mo. USD Term SOFR + 1.75%) | 6/21/2028 | 7,750,000 | 7,760,385 | ||||||||
Media 0.35% | ||||||||||||
Charter Communications Operating LLC 2019 Term Loan B2 | 7.076% (1 mo. USD Term SOFR + 1.75%) | 2/1/2027 | 4,552,455 | 4,542,144 | ||||||||
Charter Communications Operating LLC 2023 Term Loan B4 | 7.329% (3 mo. USD Term SOFR + 2.00%) | 12/7/2030 | 7,588,345 | 7,474,520 | ||||||||
Total | 12,016,664 | |||||||||||
Pipelines 0.07% | ||||||||||||
Oryx Midstream Services Permian Basin LLC 2024 Term Loan B | – | (h) | 10/5/2028 | 1,546,379 | 1,547,021 | |||||||
WhiteWater DBR HoldCo LLC Term Loan B | – | (h) | 2/17/2031 | 1,055,424 | 1,056,083 | |||||||
Total | 2,603,104 | |||||||||||
Total Floating Rate Loans (cost $56,566,244) | 56,454,800 |
See Notes to Schedule of Investments. | 295 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS(c) 2.92% | ||||||||||||
Brazil 0.14% | ||||||||||||
Brazil Government International Bonds | 6.125% | 3/15/2034 | $ | 4,842,000 | $ | 4,791,883 | ||||||
Canada 1.06% | ||||||||||||
CDP Financial, Inc.† | 4.25% | 7/25/2028 | 36,713,000 | 36,156,234 | ||||||||
Colombia 0.15% | ||||||||||||
Colombia Government International Bonds | 7.50% | 2/2/2034 | 5,187,000 | 5,246,206 | ||||||||
Japan 0.63% | ||||||||||||
Development Bank of Japan, Inc.† | 1.25% | 10/20/2026 | 10,396,000 | 9,472,419 | ||||||||
Japan International Cooperation Agency | 2.125% | 10/20/2026 | 12,852,000 | 11,981,635 | ||||||||
Total | 21,454,054 | |||||||||||
Mexico 0.22% | ||||||||||||
Mexico Government International Bonds | 4.875% | 5/19/2033 | 7,890,000 | 7,435,077 | ||||||||
Senegal 0.08% | ||||||||||||
Senegal Government International Bonds† | 6.25% | 5/23/2033 | 3,380,000 | 2,816,909 | ||||||||
Sweden 0.54% | ||||||||||||
Svensk Exportkredit AB | 4.25% | 2/1/2029 | 18,598,000 | 18,427,337 | ||||||||
Turkey 0.10% | ||||||||||||
Turkiye Ihracat Kredi Bankasi AS† | 7.50% | 2/6/2028 | 3,458,000 | 3,458,519 | ||||||||
Total Foreign Government Obligations (cost $100,665,651) | 99,786,219 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.56% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series 145 Class A2 | 2.58% | 5/25/2032 | 8,521,000 | 7,274,971 | ||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Series G07 Class A2 | 3.123% | #(i) | 8/25/2032 | 13,216,000 | 11,732,865 | |||||||
Total Government Sponsored Enterprises
Collateralized Mortgage Obligations (cost $19,289,895) | 19,007,836 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 21.78% | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.00% | 9/1/2050 | 9,936,162 | 7,879,569 | ||||||||
Federal Home Loan Mortgage Corp. | 2.50% | 11/1/2050 - 5/1/2052 | 19,382,555 | 16,151,087 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 2/1/2046 | 5,423,159 | 4,984,612 | ||||||||
Federal Home Loan Mortgage Corp. | 4.50% | 8/1/2052 | 13,870,013 | 13,305,121 |
296 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 - 8/1/2052 | $ | 29,653,065 | $ | 29,087,984 | ||||||
Federal National Mortgage Association | 2.00% | 6/1/2051 - 11/1/2051 | 31,042,112 | 24,634,595 | ||||||||
Federal National Mortgage Association | 2.50% | 8/1/2050 - 5/1/2052 | 152,633,016 | 128,022,783 | ||||||||
Federal National Mortgage Association | 3.00% | 12/1/2048 - 1/1/2051 | 28,777,351 | 25,127,526 | ||||||||
Federal National Mortgage Association | 3.50% | 7/1/2045 - 4/1/2052 | 20,131,296 | 18,225,060 | ||||||||
Federal National Mortgage Association | 4.00% | 5/1/2052 - 6/1/2052 | 23,867,640 | 22,331,027 | ||||||||
Federal National Mortgage Association | 5.00% | 7/1/2052 - 8/1/2052 | 20,883,939 | 20,512,554 | ||||||||
Government National Mortgage Association(j) | 2.00% | TBA | 8,873,000 | 7,231,146 | ||||||||
Government National Mortgage Association(j) | 2.50% | TBA | 23,065,000 | 19,524,749 | ||||||||
Government National Mortgage Association(j) | 3.00% | TBA | 49,582,000 | 43,495,755 | ||||||||
Government National Mortgage Association(j) | 3.50% | TBA | 25,296,000 | 22,887,221 | ||||||||
Government National Mortgage Association(j) | 4.00% | TBA | 30,398,000 | 28,299,360 | ||||||||
Government National Mortgage Association(j) | 4.50% | TBA | 27,108,000 | 25,894,135 | ||||||||
Government National Mortgage Association(j) | 5.00% | TBA | 33,061,000 | 32,297,873 | ||||||||
Government National Mortgage Association(j) | 5.50% | TBA | 34,097,000 | 33,858,587 | ||||||||
Government National Mortgage Association(j) | 6.00% | TBA | 34,999,000 | 35,145,048 | ||||||||
Government National Mortgage Association(j) | 6.50% | TBA | 20,086,000 | 20,356,885 | ||||||||
Uniform Mortgage-Backed Security(j) | 2.00% | TBA | 18,561,000 | 14,590,946 | ||||||||
Uniform Mortgage-Backed Security(j) | 2.50% | TBA | 8,832,000 | 7,266,270 | ||||||||
Uniform Mortgage-Backed Security(j) | 3.00% | TBA | 4,594,000 | 3,929,943 | ||||||||
Uniform Mortgage-Backed Security(j) | 4.00% | TBA | 9,098,000 | 8,375,620 | ||||||||
Uniform Mortgage-Backed Security(j) | 5.00% | TBA | 3,900,000 | 3,782,850 | ||||||||
Uniform Mortgage-Backed Security(j) | 5.50% | TBA | 18,499,000 | 18,540,675 | ||||||||
Uniform Mortgage-Backed Security(j) | 6.00% | TBA | 52,417,000 | 52,890,779 | ||||||||
Uniform Mortgage-Backed Security(j) | 6.50% | TBA | 36,374,000 | 37,001,291 | ||||||||
Uniform Mortgage-Backed Security(j) | 7.00% | TBA | 18,398,000 | 18,877,789 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $767,476,984) | 744,508,840 | |||||||||||
MUNICIPAL BONDS 0.14% | ||||||||||||
Natural Gas | ||||||||||||
Texas Natural Gas Securitization Finance Corp. (cost $4,692,000) | 5.102% | 4/1/2035 | 4,692,000 | 4,728,594 |
See Notes to Schedule of Investments. | 297 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 8.31% | ||||||||||||
Angel Oak Mortgage Trust Series 2020-1 Class A1† | 2.466% | #(i) | 12/25/2059 | $ | 334,829 | $ | 318,131 | |||||
Angel Oak Mortgage Trust Series 2021-3 Class A1† | 1.068% | #(i) | 5/25/2066 | 4,067,410 | 3,423,977 | |||||||
Angel Oak Mortgage Trust Series 2022-3 Class A1† | 4.00% | 1/25/2067 | 23,460 | 22,046 | ||||||||
Bank Series 2022-BNK44 Class A5 | 5.745% | #(i) | 11/15/2055 | 2,830,000 | 2,957,349 | |||||||
Bank Series 2023-5YR2 Class A3 | 6.656% | #(i) | 7/15/2056 | 4,100,000 | 4,318,028 | |||||||
Bank Series 2023-5YR4 Class A3 | 6.50% | 12/15/2056 | 6,740,000 | 7,081,493 | ||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class A† | 6.389% (1 mo. USD Term SOFR + 1.07%) | # | 11/15/2034 | 832,000 | 591,266 | |||||||
BBCMS Mortgage Trust Series 2019-BWAY Class B† | 6.743% (1 mo. USD Term SOFR + 1.42%) | # | 11/15/2034 | 1,832,000 | 642,259 | |||||||
Benchmark Mortgage Trust Series 2024-V5 Class A3 | 5.805% | 1/10/2057 | 3,150,000 | 3,238,505 | ||||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.865% (1 mo. USD Term SOFR + 1.55%) | # | 7/15/2035 | 6,580,000 | 6,562,848 | |||||||
BMO Mortgage Trust Series 2023-5C2 Class A3 | 7.055% | #(i) | 11/15/2056 | 6,980,000 | 7,529,106 | |||||||
BMO Mortgage Trust Series 2023-C5 Class A4 | 5.494% | 6/15/2056 | 5,881,000 | 6,006,985 | ||||||||
BRAVO Residential Funding Trust Series 2021-NQM2 Class A1† | 0.97% | #(i) | 3/25/2060 | 6,976,971 | 6,485,012 | |||||||
BX Commercial Mortgage Trust Series 2021-XL2 Class A† | 6.121% (1 mo. USD Term SOFR + 0.80%) | # | 10/15/2038 | 2,480,282 | 2,457,278 | |||||||
BX Commercial Mortgage Trust Series 2024-XL4 Class A† | 6.76% (1 mo. USD Term SOFR + 1.44%) | # | 2/15/2039 | 8,480,000 | 8,493,106 | |||||||
CF Trust Series 2019-BOSS Class A1† | 8.615% (1 mo. USD Term SOFR + 3.30%) | # | 12/15/2024 | 4,660,000 | 4,522,391 | |||||||
Chase Home Lending Mortgage Trust Series 2024-1A2 Class A2† | 6.50% | #(i) | 1/25/2055 | 6,345,006 | 6,382,087 | |||||||
CIM Trust Series 2021-J3 Class A1† | 2.50% | #(i) | 6/25/2051 | 10,502,517 | 8,431,507 | |||||||
Citigroup Commercial Mortgage Trust Series 2014-GC25 Class XB(k) | 0.155% | #(i) | 10/10/2047 | 50,626,000 | 53,431 | |||||||
COMM Mortgage Trust Series 2014-CR17 Class AM | 4.174% | 5/10/2047 | 7,400,000 | 7,138,418 | ||||||||
COMM Mortgage Trust Series 2015-LC21 Class AM | 4.043% | #(i) | 7/10/2048 | 6,234,000 | 5,998,630 | |||||||
Commercial Mortgage Pass-Through Certificates Series 2014-UBS4 Class D† | 4.723% | #(i) | 8/10/2047 | 12,450,000 | 6,984,038 |
298 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Connecticut Avenue Securities Trust Series 2023-R07 Class 2M1† | 7.271% (30 day USD SOFR Average + 1.95%) | # | 9/25/2043 | $ | 2,193,108 | $ | 2,213,909 | |||||
CS Master Trust Series 2021-BLUF Class A†(f) | 9.614% (1 mo. USD Term SOFR + 4.29%) | # | 4/15/2023 | (l) | 3,300,000 | 3,211,286 | (b) | |||||
CSMC Trust Series 2020-AFC1 Class A1† | 3.24% | #(i) | 2/25/2050 | 1,088,427 | 996,883 | |||||||
Deephaven Residential Mortgage Trust Series 2021-3 Class A1† | 1.194% | #(i) | 8/25/2066 | 1,218,192 | 1,030,878 | |||||||
EQUS Mortgage Trust Series 2021-EQAZ Class A† | 6.187% (1 mo. USD Term SOFR + 0.87%) | # | 10/15/2038 | 3,241,935 | 3,216,165 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Notes Series 2022-HQA2 Class M1A† | 7.972% (30 day USD SOFR Average + 2.65%) | # | 7/25/2042 | 5,291,494 | 5,434,431 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Notes Series 2023-DNA2 Class M1A† | 7.422% (30 day USD SOFR Average + 2.10%) | # | 4/25/2043 | 6,116,824 | 6,237,030 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA3 Class M2† | 7.422% (30 day USD SOFR Average + 2.10%) | # | 10/25/2033 | 7,725,000 | 7,828,527 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA4 Class M1B† | 8.672% (30 day USD SOFR Average + 3.35%) | # | 5/25/2042 | 5,655,000 | 5,951,661 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2024-DNA1 Class A1† | 6.675% (30 day USD SOFR Average + 1.35%) | # | 2/25/2044 | 5,500,000 | 5,517,737 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R04 Class 1M2† | 8.871% (30 day USD SOFR Average + 3.55%) | # | 5/25/2043 | 4,200,000 | 4,474,798 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R08 Class 1M1† | 6.822% (30 day USD SOFR Average + 1.50%) | # | 10/25/2043 | 6,275,014 | 6,290,868 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2021-R01 Class 1M2† | 6.872% (30 day USD SOFR Average + 1.55%) | # | 10/25/2041 | 4,027,000 | 4,044,935 |
See Notes to Schedule of Investments. | 299 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
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 2023-R01 Class 1M1† | 7.721% (30 day USD SOFR Average + 2.40%) | # | 12/25/2042 | $ | 4,697,386 | $ | 4,814,014 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R02 Class 1M1† | 7.622% (30 day USD SOFR Average + 2.30%) | # | 1/25/2043 | 6,644,416 | 6,794,466 | |||||||
Flagstar Mortgage Trust Series 2021-3INV Class A2† | 2.50% | #(i) | 6/25/2051 | 7,651,758 | 6,149,753 | |||||||
Flagstar Mortgage Trust Series 2021-7 Class A1† | 2.50% | #(i) | 8/25/2051 | 6,604,130 | 5,307,771 | |||||||
GCAT Trust Series 2023-NQM1 Class A1† | 4.25% | #(i) | 10/25/2057 | 4,753,109 | 4,438,751 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class G† | 10.083% (1 mo. USD Term SOFR + 4.76%) | # | 5/15/2026 | 7,288,000 | 2,800,879 | |||||||
GS Mortgage-Backed Securities Trust Series 2021-PJ2 Class A2† | 2.50% | #(i) | 7/25/2051 | 5,495,645 | 4,416,876 | |||||||
GS Mortgage-Backed Securities Trust Series 2021-PJ8 Class A2† | 2.50% | #(i) | 1/25/2052 | 7,595,236 | 6,104,327 | |||||||
GS Mortgage-Backed Securities Trust Series 2022-PJ6 Class A4† | 3.00% | #(i) | 1/25/2053 | 16,356,929 | 13,694,135 | |||||||
GS Mortgage-Backed Securities Trust Series 2023-PJ1 Class A4† | 3.50% | #(i) | 2/25/2053 | 5,830,549 | 5,073,989 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class XB10†(k) | 0.541% | #(i) | 8/5/2034 | 19,156,000 | 2,481 | |||||||
Hudsons Bay Simon JV Trust Series 2015-HB7 Class XB7†(k) | 0.493% | #(i) | 8/5/2034 | 22,024,000 | 2,803 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-MINN Class A† | 6.635% (1 mo. USD Term SOFR + 1.32%) | # | 11/15/2035 | 3,436,000 | 3,278,026 | |||||||
JP Morgan Mortgage Trust Series 2021-13 Class A3† | 2.50% | #(i) | 4/25/2052 | 5,834,931 | 4,689,561 | |||||||
JP Morgan Mortgage Trust Series 2021-15 Class A2† | 3.00% | #(i) | 6/25/2052 | 10,047,404 | 8,411,757 | |||||||
JP Morgan Mortgage Trust Series 2021-INV8 Class A2† | 3.00% | #(i) | 5/25/2052 | 5,409,084 | 4,528,523 | |||||||
JP Morgan Mortgage Trust Series 2022-1 Class A2† | 3.00% | #(i) | 7/25/2052 | 5,815,929 | 4,869,137 | |||||||
JP Morgan Mortgage Trust Series 2022-3 Class A2† | 3.00% | #(i) | 8/25/2052 | 8,249,209 | 6,890,683 | |||||||
JP Morgan Mortgage Trust Series 2022-4 Class A3† | 3.00% | #(i) | 10/25/2052 | 4,570,133 | 3,826,147 |
300 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount‡ | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
New Residential Mortgage Loan Trust Series 2020-NQM1 Class A1† | 2.464% | #(i) | 1/26/2060 | $ | 384,249 | $ | 351,309 | |||||
PFP Ltd. Series 2023-10 Class A† | 7.685% (1 mo. USD Term SOFR + 2.36%) | # | 9/16/2038 | 7,050,000 | 7,050,052 | |||||||
Ready Capital Mortgage Financing LLC Series 2022-FL8 Class A† | 6.971% (30 day USD SOFR Average + 1.65%) | # | 1/25/2037 | 10,356,038 | 10,298,085 | |||||||
Starwood Mortgage Residential Trust Series 2020-1 Class A1† | 2.275% | #(i) | 2/25/2050 | 94,081 | 88,129 | |||||||
Starwood Mortgage Residential Trust Series 2020-3 Class A1† | 1.486% | #(i) | 4/25/2065 | 2,074,678 | 1,933,097 | |||||||
Verus Securitization Trust Series 2020-1 Class A1† | 3.417% | (e) | 1/25/2060 | 599,911 | 572,698 | |||||||
Verus Securitization Trust Series 2020-5 Class A1† | 1.218% | (e) | 5/25/2065 | 2,631,206 | 2,473,474 | |||||||
Verus Securitization Trust Series 2021-2 Class A1† | 1.031% | #(i) | 2/25/2066 | 5,077,311 | 4,395,121 | |||||||
Vista Point Securitization Trust Series 2020-2 Class A1† | 1.475% | #(i) | 4/25/2065 | 1,423,104 | 1,295,473 | |||||||
Wells Fargo Mortgage Backed Securities Trust Series 2021-INV2 Class A2† | 2.50% | #(i) | 9/25/2051 | 4,238,078 | 3,406,163 | |||||||
WFRBS Commercial Mortgage Trust Series 2014-C23 Class XA(k) | 0.543% | #(i) | 10/15/2057 | 50,291,145 | 31,135 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $297,428,066) | 284,075,814 | |||||||||||
U.S. TREASURY OBLIGATIONS 12.26% | ||||||||||||
U.S. Treasury Bonds | 2.25% | 5/15/2041 | 13,990,000 | 10,218,985 | ||||||||
U.S. Treasury Bonds | 3.875% | 2/15/2043 | 54,530,000 | 49,938,616 | ||||||||
U.S. Treasury Bonds | 4.375% | 8/15/2043 | 57,566,000 | 56,378,701 | ||||||||
U.S. Treasury Notes | 3.75% | 12/31/2028 | 22,502,000 | 21,993,947 | ||||||||
U.S. Treasury Notes | 4.00% | 2/15/2034 | 87,957,500 | 86,246,452 | ||||||||
U.S. Treasury Notes(d) | 4.25% | 1/31/2026 | 98,823,400 | 98,093,806 | ||||||||
U.S. Treasury Notes | 4.375% | 8/15/2026 | 30,176,400 | 30,080,920 | ||||||||
U.S. Treasury Notes | 4.625% | 2/28/2026 | 65,920,000 | 65,917,425 | ||||||||
Total U.S. Treasury Obligations (cost $423,608,995) | 418,868,852 | |||||||||||
Total Long-Term Investments (cost $3,900,856,975) | 3,811,149,293 | |||||||||||
SHORT-TERM INVESTMENTS 4.96% | ||||||||||||
U.S. TREASURY OBLIGATIONS 0.70% | ||||||||||||
U.S. Treasury Bills (Cost $23,811,923) | Zero Coupon | 4/4/2024 | 23,930,000 | 23,810,631 |
See Notes to Schedule of Investments. | 301 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Investments | Principal Amount‡ | Fair Value | ||||||
REPURCHASE AGREEMENTS 4.26% | ||||||||
Repurchase Agreement dated 2/29/2024, 5.300% due 3/1/2024 with Barclays Bank PLC collateralized by $98,487,000 of U.S. Treasury Bill at 0.250% due 3/15/2024; value: $98,400,831; proceeds: $96,485,606 (cost $96,471,403) |
$ | 96,471,403 | $ | 96,471,403 | ||||
Repurchase Agreement dated 2/29/2024, 5.310% due 3/1/2024 with Barclays Bank PLC collateralized by $32,463,000 of U.S. Treasury Bond at 3.500% due 2/15/2033; value: $30,600,000; proceeds: $30,004,425 (cost $30,000,000) |
30,000,000 | 30,000,000 | ||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $19,482,300 of U.S. Treasury Note at 4.625% due 2/28/2026; value: $19,471,646; proceeds: $19,091,253 (cost $19,089,769) |
19,089,769 | 19,089,769 | ||||||
Total Repurchase Agreements (cost $145,561,172) | 145,561,172 | |||||||
Total Short-Term Investments (cost $169,373,095) | 169,371,803 | |||||||
Total Investments in Securities 116.47% (cost $4,070,230,070) | 3,980,521,096 | |||||||
Other Assets and Liabilities – Net(m) (16.47)% | (562,780,866 | ) | ||||||
Net Assets 100.00% | $ | 3,417,740,230 |
CAD | Canadian Dollar. | |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
REMICS | Real Estate Mortgage Investment Conduits. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. | |
‡ | Principal/Shares Amount are denominated in U.S dollars unless otherwise noted. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $1,461,230,564, which represents 42.75% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Securities purchased on a when-issued basis. | |
(b) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Security has been fully or partially segregated for open reverse repurchase agreements as of February 29, 2024. | |
(e) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(f) | Defaulted (non-income producing security). | |
(g) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(h) | Interest Rate to be determined. | |
302 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
(i) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(j) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(k) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest only securities do not receive principal payments on the underlying debt obligation(s). | |
(l) | Maturity date has passed. As of February 29, 2024, an extension is avaiable to June 15, 2024. | |
(m) | 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 February 29, 2024:
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 | 5/9/2024 | 21,043,000 | $15,654,479 | $15,521,054 | $133,425 |
Futures Contracts at February 29, 2024:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. Ultra Treasury Bond | June 2024 | 1,874 | Long | $ | 236,543,946 | $ | 239,637,750 | $ | 3,093,804 | |||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Treasury Note | June 2024 | 853 | Long | $ | 94,212,900 | $ | 94,203,188 | $(9,712 | ) | |||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Note | June 2024 | 928 | Short | (105,635,165 | ) | (105,951,500 | ) | $ | (316,335 | ) | ||||||||
U.S. 2-Year Treasury Note | June 2024 | 1,600 | Long | 327,616,965 | 327,600,000 | (16,965 | ) | |||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (343,012 | ) |
See Notes to Schedule of Investments. | 303 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND February 29, 2024
Reverse Repurchase Agreement Payables as of February 29, 2024:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate | Trade Date | Maturity Date | Fair Value | ||||||||||||
Barclays Bank PLC | $ | 96,471,403 | $98,823,400 principal, U.S. Treasury Notes at 4.25% due 1/31/2026, $98,093,806 fair value | 4.100% | (1) | 02/29/2024 | 3/1/2024 | $ | 96,482,390 | (2) | ||||||||
Morgan Stanley | 1,460,975 | $1,754,000 principal, VistaJet Malta Finance PLC/ Vista Management Holding, Inc. at 7.875% due 5/1/2027, $1,487,412 fair value | (5.000%) | (3) | 12/04/2023 | 5/1/2027 | 1,443,524 | (4) | ||||||||||
Total | $ | 97,925,914 |
(1) | The positive interest rate on the reverse repurchase agreement results in interest expense to the Fund. | |
(2) | Total fair value of reverse repurchase agreement is presented net of interest payable of $10,987. | |
(3) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(4) | Total fair value of reverse repurchase agreement is presented net of interest receivable of $17,451. |
304 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
TOTAL RETURN FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 323,696,770 | $ | 7,704,061 | $ | 331,400,831 | ||||||||
Remaining Industries | – | 211,320,426 | – | 211,320,426 | ||||||||||||
Corporate Bonds | – | 1,640,997,081 | – | 1,640,997,081 | ||||||||||||
Floating Rate Loans | – | 56,454,800 | – | 56,454,800 | ||||||||||||
Foreign Government Obligations | – | 99,786,219 | – | 99,786,219 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 19,007,836 | – | 19,007,836 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 744,508,840 | – | 744,508,840 | ||||||||||||
Municipal Bonds | – | 4,728,594 | – | 4,728,594 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 280,864,528 | 3,211,286 | 284,075,814 | ||||||||||||
U.S. Treasury Obligations | – | 418,868,852 | – | 418,868,852 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Obligations | – | 23,810,631 | – | 23,810,631 | ||||||||||||
Repurchase Agreements | – | 145,561,172 | – | 145,561,172 | ||||||||||||
Total | $ | – | $ | 3,969,605,749 | $ | 10,915,347 | $ | 3,980,521,096 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 133,425 | $ | – | $ | 133,425 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 3,093,804 | – | – | 3,093,804 | ||||||||||||
Liabilities | (343,012 | ) | – | – | (343,012 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (97,925,914 | ) | – | (97,925,914 | ) | ||||||||||
Total | $ | 2,750,792 | $ | (97,792,489 | ) | $ | – | $ | (95,041,697 | ) |
(1) | Refer to Note 2(b) 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 Schedule of Investments. | 305 |
Schedule of Investments (unaudited)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 90.26% | ||||||||||||
ASSET-BACKED SECURITIES 22.81% | ||||||||||||
Automobiles 12.67% | ||||||||||||
Ally Auto Receivables Trust Series 2022-3 Class A2 | 5.29% | 6/16/2025 | $ | 5,596,963 | $ | 5,595,664 | ||||||
AmeriCredit Automobile Receivables Trust Series 2023-A2 Class A2 | 6.19% | 4/19/2027 | 44,290,402 | 44,429,482 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A Class A† | 1.19% | 1/15/2027 | 1,191,921 | 1,179,499 | ||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2019-3A Class A† | 2.36% | 3/20/2026 | 8,005,000 | 7,801,036 | ||||||||
Bank of America Auto Trust Series 2023-2A Class A3† | 5.74% | 6/15/2028 | 27,000,000 | 27,333,650 | ||||||||
BMW Vehicle Lease Trust Series 2023-1 Class A2 | 5.27% | 2/25/2025 | 8,284,121 | 8,282,553 | ||||||||
Capital One Prime Auto Receivables Trust Series 2022-2 Class A3 | 3.66% | 5/17/2027 | 32,235,000 | 31,603,268 | ||||||||
Capital One Prime Auto Receivables Trust Series 2023-1 Class A2 | 5.20% | 5/15/2026 | 7,950,416 | 7,940,560 | ||||||||
CarMax Auto Owner Trust Series 2020-1 Class D | 2.64% | 7/15/2026 | 12,237,000 | 12,218,884 | ||||||||
CarMax Auto Owner Trust Series 2023-1 Class A2A | 5.23% | 1/15/2026 | 8,644,336 | 8,634,732 | ||||||||
CarMax Auto Owner Trust Series 2023-4 Class A2A | 6.08% | 12/15/2026 | 19,335,000 | 19,443,210 | ||||||||
Carvana Auto Receivables Trust Series 2021-N1 Class B | 1.09% | 1/10/2028 | 8,176,902 | 7,774,448 | ||||||||
Carvana Auto Receivables Trust Series 2022-P3 Class A2 | 4.42% | 12/10/2025 | 3,678,572 | 3,674,308 | ||||||||
Citizens Auto Receivables Trust Series 2023-2 Class A2A† | 6.09% | 10/15/2026 | 23,100,000 | 23,167,392 | ||||||||
CPS Auto Receivables Trust Series 2022-C Class A† | 4.18% | 4/15/2030 | 2,692,954 | 2,688,505 | ||||||||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A2† | 0.56% | 12/11/2034 | 7,315,913 | 7,266,622 | ||||||||
Enterprise Fleet Financing LLC Series 2024-1 Class A2† | 5.23% | 3/20/2030 | 24,555,000 | 24,518,462 | ||||||||
First Investors Auto Owner Trust Series 2021-2A Class A† | 0.48% | 3/15/2027 | 15,539,464 | 15,340,892 | ||||||||
First Investors Auto Owners Trust Series 2022-2A Class A† | 6.26% | 7/15/2027 | 14,851,350 | 14,886,527 | ||||||||
Flagship Credit Auto Trust Series 2021-2 Class B† | 0.93% | 6/15/2027 | 5,559,055 | 5,503,294 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class A2† | 5.38% | 12/15/2026 | 6,190,860 | 6,176,125 | ||||||||
Flagship Credit Auto Trust Series 2023-3 Class A2† | 5.89% | 7/15/2027 | 43,389,726 | 43,441,707 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class A2A | 5.19% | 6/15/2025 | 3,191,852 | 3,190,110 |
306 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Ford Credit Auto Lease Trust Series 2023-A Class A3 | 4.94% | 3/15/2026 | $ | 48,600,000 | $ | 48,412,632 | ||||||
Ford Credit Auto Lease Trust Series 2024-A Class A3 | 5.06% | 5/15/2027 | 11,710,000 | 11,687,435 | ||||||||
Ford Credit Auto Lease Trust Series 2024-A Class B | 5.29% | 6/15/2027 | 11,665,000 | 11,637,816 | ||||||||
Ford Credit Auto Owner Trust Series 2023-C Class A3 | 5.53% | 9/15/2028 | 16,000,000 | 16,167,816 | ||||||||
Ford Credit Auto Owner Trust Series 2018-1 Class A† | 3.19% | 7/15/2031 | 51,475,000 | 50,492,744 | ||||||||
GLS Auto Receivables Issuer Trust Series 2021-3A Class C† | 1.11% | 9/15/2026 | 20,926,651 | 20,574,296 | ||||||||
GLS Auto Receivables Trust Series 2021-2A Class C† | 1.08% | 6/15/2026 | 9,712,167 | 9,606,038 | ||||||||
GM Financial Automobile Leasing Trust Series 2023-1 Class A2A | 5.27% | 6/20/2025 | 3,620,390 | 3,618,184 | ||||||||
GM Financial Consumer Automobile Receivables Trust Series 2023-1 Class A2A | 5.19% | 3/16/2026 | 22,662,543 | 22,633,748 | ||||||||
Hertz Vehicle Financing III LLC Series 2022-1A Class A† | 1.99% | 6/25/2026 | 12,150,000 | 11,686,661 | ||||||||
Hertz Vehicle Financing LLC Series 2021-1A Class A† | 1.21% | 12/26/2025 | 27,730,000 | 26,997,421 | ||||||||
Honda Auto Receivables Owner Trust Series 2022-2 Class A2 | 3.81% | 3/18/2025 | 11,034,754 | 11,016,269 | ||||||||
Honda Auto Receivables Owner Trust Series 2022-C Class A2A | 3.83% | 8/15/2025 | 16,406,105 | 16,363,375 | ||||||||
Honda Auto Receivables Owner Trust Series 2023-1 Class A3 | 5.04% | 4/21/2027 | 37,124,000 | 37,054,456 | ||||||||
Honda Auto Receivables Owner Trust Series 2023-4 Class A3 | 5.67% | 6/21/2028 | 36,322,000 | 36,836,995 | ||||||||
Huntington Auto Trust Series 2024-1A Class A2† | 5.50% | 3/15/2027 | 25,000,000 | 25,029,860 | ||||||||
Hyundai Auto Lease Securitization Trust Series 2023-A Class A2A† | 5.20% | 4/15/2025 | 4,377,749 | 4,375,563 | ||||||||
Mercedes-Benz Auto Receivables Trust Series 2023-1 Class A2 | 5.09% | 1/15/2026 | 3,583,561 | 3,579,667 | ||||||||
Mercedes-Benz Auto Receivables Trust Series 2023-2 Class A3 | 5.95% | 11/15/2028 | 13,870,000 | 14,153,592 | ||||||||
NextGear Floorplan Master Owner Trust Series 2022-1A Class A2† | 2.80% | 3/15/2027 | 56,666,000 | 55,094,714 | ||||||||
NextGear Floorplan Master Owner Trust Series 2023-1A Class A1† | 6.425% (30 day USD SOFR Average + 1.10%) | # | 3/15/2028 | 19,850,000 | 20,005,283 | |||||||
Nissan Auto Lease Trust Series 2023-B Class A3 | 5.69% | 7/15/2026 | 43,370,000 | 43,545,510 | ||||||||
Octane Receivables Trust Series 2024-1A Class A2† | 5.68% | 5/20/2030 | 28,000,000 | 27,995,688 |
See Notes to Schedule of Investments. | 307 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
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 | $ | 26,203,415 | $ | 25,237,641 | ||||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class B† | 1.26% | 7/14/2028 | 34,347,000 | 31,561,664 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-2 Class A3 | 2.98% | 10/15/2026 | 11,370,721 | 11,335,781 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-4 Class A2 | 6.18% | 2/16/2027 | 8,629,715 | 8,652,480 | ||||||||
Santander Drive Auto Receivables Trust Series 2024-1 Class A2 | 5.71% | 2/16/2027 | 16,640,000 | 16,648,493 | ||||||||
Santander Retail Auto Lease Trust Series 2021-B Class B† | 0.84% | 6/20/2025 | 2,866,726 | 2,858,604 | ||||||||
Santander Retail Auto Lease Trust Series 2021-C Class C† | 1.11% | 3/20/2026 | 14,400,000 | 14,240,330 | ||||||||
SBNA Auto Lease Trust Series 2023-A Class A2† | 6.27% | 4/20/2026 | 25,000,000 | 25,142,975 | ||||||||
SBNA Auto Lease Trust Series 2024-A Class A2† | 5.45% | 1/20/2026 | 46,600,000 | 46,582,795 | ||||||||
Toyota Auto Receivables Owner Trust Series 2023-D Class A3 | 5.54% | 8/15/2028 | 16,830,000 | 17,021,453 | ||||||||
Tricolor Auto Securitization Trust Series 2023-1A Class A† | 6.48% | 8/17/2026 | 2,348,601 | 2,349,142 | ||||||||
Volkswagen Auto Lease Trust Series 2022-A Class A3 | 3.44% | 7/21/2025 | 31,352,907 | 31,141,648 | ||||||||
Westlake Automobile Receivables Trust Series 2021-1A Class C† | 0.95% | 3/16/2026 | 24,910,994 | 24,775,349 | ||||||||
Westlake Automobile Receivables Trust Series 2021-2A Class D† | 1.23% | 12/15/2026 | 30,025,000 | 28,788,673 | ||||||||
Westlake Automobile Receivables Trust Series 2022-2A Class A2A† | 5.87% | 7/15/2026 | 17,358,931 | 17,370,502 | ||||||||
Westlake Automobile Receivables Trust Series 2023-4A Class A2† | 6.23% | 1/15/2027 | 21,000,000 | 21,099,490 | ||||||||
World Omni Automobile Lease Securitization Trust Series 2022-A Class A3 | 3.21% | 2/18/2025 | 13,719,773 | 13,664,038 | ||||||||
Total | 1,199,127,751 | |||||||||||
Credit Card 0.33% | ||||||||||||
Synchrony Card Funding LLC Series 2022-A1 Class A | 3.37% | 4/15/2028 | 15,000,000 | 14,677,022 | ||||||||
Synchrony Card Funding LLC Series 2022-A2 Class A | 3.86% | 7/15/2028 | 16,698,000 | 16,376,099 | ||||||||
Total | 31,053,121 |
308 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other 9.66% | ||||||||||||
Affirm Asset Securitization Trust Series 2022-X1 Class A† | 1.75% | 2/15/2027 | $ | 3,126,958 | $ | 3,084,243 | ||||||
Affirm Asset Securitization Trust Series 2023-A Class A† | 6.61% | 1/18/2028 | 6,500,000 | 6,541,750 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class 1A† | 6.82% | 9/15/2028 | 14,715,000 | 14,936,086 | ||||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 13,975,000 | 14,184,967 | ||||||||
Amur Equipment Finance Receivables XIII LLC Series 2024-1A Class A2† | 5.38% | 1/21/2031 | 33,900,000 | 33,827,830 | ||||||||
Aqua Finance Trust Series 2021-A Class A† | 1.54% | 7/17/2046 | 15,800,948 | 14,093,027 | ||||||||
Ares CLO Ltd.(a) | 1.00% | 4/17/2033 | 50,000,000 | 50,000,000 | ||||||||
Atalaya Equipment Leasing Trust Series 2021-1A Class A2† | 1.23% | 5/15/2026 | 1,878,398 | 1,868,148 | ||||||||
Atrium IX Series 9A Class AR2† | 6.589% (3 mo. USD Term SOFR + 1.25%) | # | 5/28/2030 | 39,202,830 | 39,261,636 | |||||||
Avant Loans Funding Trust Series 2021-REV1 Class A† | 1.21% | 7/15/2030 | 788,595 | 786,209 | ||||||||
Benefit Street Partners CLO V-B Ltd. Series 2018-5BA Class A1A† | 6.669% (3 mo. USD Term SOFR + 1.35%) | # | 4/20/2031 | 13,588,687 | 13,632,053 | |||||||
BlueMountain Fuji U.S. CLO I Ltd. Series 2017-1A Class A1R† | 6.559% (3 mo. USD Term SOFR + 1.24%) | # | 7/20/2029 | 49,465,556 | 49,529,864 | |||||||
CBAM Ltd. Series 2019-9A Class A† | 6.856% (3 mo. USD Term SOFR + 1.54%) | # | 2/12/2030 | 15,282,724 | 15,270,498 | |||||||
Dell Equipment Finance Trust Series 2021-2 Class B† | 0.81% | 12/22/2026 | 10,880,000 | 10,806,441 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class C† | 0.94% | 12/22/2026 | 7,370,000 | 7,319,208 | ||||||||
Dell Equipment Finance Trust Series 2021-2 Class D† | 1.21% | 6/22/2027 | 6,980,000 | 6,928,026 | ||||||||
DLLAA LLC Series 2023-1A Class A2† | 5.93% | 7/20/2026 | 45,381,766 | 45,505,141 | ||||||||
DLLST LLC Series 2024-1A Class A2† | 5.33% | 1/20/2026 | 12,500,000 | 12,484,513 | ||||||||
Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.549% (3 mo. USD Term SOFR + 1.24%) | # | 5/15/2030 | 8,315,276 | 8,345,773 | |||||||
FS Rialto Series 2021-FL2 Class A† | 6.656% (1 mo. USD Term SOFR + 1.33%) | # | 5/16/2038 | 10,434,602 | 10,292,555 | |||||||
Galaxy XIX CLO Ltd. Series 2015-19A Class A1RR† | 6.53% (3 mo. USD Term SOFR + 1.21%) | # | 7/24/2030 | 40,988,533 | 40,988,849 |
See Notes to Schedule of Investments. | 309 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
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 | $ | 13,239,031 | ||||||
HGI CRE CLO Ltd. Series 2021-FL1 Class A† | 6.486% (1 mo. USD Term SOFR + 1.16%) | # | 6/16/2036 | 8,499,063 | 8,435,400 | |||||||
HPEFS Equipment Trust Series 2023-1A Class A2† | 5.43% | 8/20/2025 | 14,605,783 | 14,592,682 | ||||||||
KREF Ltd. Series 2021-FL2 Class A† | 6.506% (1 mo. USD Term SOFR + 1.18%) | # | 2/15/2039 | 31,420,000 | 30,795,945 | |||||||
Lending Funding Trust Series 2020-2A Class A† | 2.32% | 4/21/2031 | 21,770,000 | 20,203,191 | ||||||||
LFT CRE Ltd. Series 2021-FL1 Class A† | 6.602% (1 mo. USD Term SOFR + 1.28%) | # | 6/15/2039 | 12,943,121 | 12,734,732 | |||||||
LFT CRE Ltd. Series 2021-FL1 Class B† | 7.182% (1 mo. USD Term SOFR + 1.86%) | # | 6/15/2039 | 15,210,000 | 14,757,006 | |||||||
Madison Park Funding XI Ltd. Series 2013-11A Class AR2† | 6.477% (3 mo. USD Term SOFR + 1.16%) | # | 7/23/2029 | 53,690,803 | 53,760,602 | |||||||
Madison Park Funding XVII Ltd. Series 2015-17A Class AR2† | 6.579% (3 mo. USD Term SOFR + 1.26%) | # | 7/21/2030 | 46,888,825 | 46,931,025 | |||||||
Marlette Funding Trust Series 2021-3A Class B† | 1.30% | 12/15/2031 | 13,006,943 | 12,867,831 | ||||||||
MF1 Ltd. Series 2021-FL6 Class A† | 6.536% (1 mo. USD Term SOFR + 1.21%) | # | 7/16/2036 | 21,606,076 | 21,511,009 | |||||||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R† | 6.579% (3 mo. USD Term SOFR + 1.26%) | # | 3/17/2030 | 55,448,042 | 55,492,400 | |||||||
Octagon Investment Partners 31 LLC Series 2017-1A Class AR† | 6.629% (3 mo. USD Term SOFR + 1.31%) | # | 7/20/2030 | 36,665,069 | 36,735,010 | |||||||
Octagon Investment Partners XIV Ltd. Series 2012-1A Class AARR† | 6.526% (3 mo. USD Term SOFR + 1.21%) | # | 7/15/2029 | 28,607,156 | 28,691,135 | |||||||
OZLM Funding II Ltd. Series 2012-2A Class A1A2† | 6.519% (3 mo. USD Term SOFR + 1.20%) | # | 7/30/2031 | 52,250,000 | 52,250,078 | |||||||
Pagaya AI Debt Trust Series 2022-1 Class A† | 2.03% | 10/15/2029 | 8,294,672 | 8,189,038 | ||||||||
Post Road Equipment Finance LLC Series 2024-1A Class A2† | 5.59% | 11/15/2029 | 21,000,000 | 20,981,379 | ||||||||
Regatta VIII Funding Ltd. Series 2017-1A Class A† | 6.828% (3 mo. USD Term SOFR + 1.51%) | # | 10/17/2030 | 11,438,214 | 11,476,774 |
310 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
TCI-Flatiron CLO Ltd. Series 2017-1A Class AR† | 6.541% (3 mo. USD Term SOFR + 1.22%) | # | 11/18/2030 | $ | 30,646,594 | $ | 30,724,982 | |||||
Verizon Master Trust Series 2022-7 Class A1A | 5.23% | 11/22/2027 | 19,900,000 | 19,870,140 | ||||||||
Total | 913,926,207 | |||||||||||
Rec Vehicle Loan 0.02% | ||||||||||||
Octane Receivables Trust Series 2021-1A Class A† | 0.93% | 3/22/2027 | 2,094,405 | 2,067,495 | ||||||||
Student Loan 0.13% | ||||||||||||
Navient Private Education Refi Loan Trust Series 2020-EA Class A† | 1.69% | 5/15/2069 | 14,285,862 | 12,841,833 | ||||||||
Total Asset-Backed Securities (cost $2,168,116,030) | 2,159,016,407 | |||||||||||
CORPORATE BONDS 60.27% | ||||||||||||
Aerospace/Defense 0.33% | ||||||||||||
Boeing Co. | 4.875% | 5/1/2025 | 25,852,000 | 25,619,701 | ||||||||
Howmet Aerospace, Inc. | 6.875% | 5/1/2025 | 5,718,000 | 5,781,944 | ||||||||
Total | 31,401,645 | |||||||||||
Agriculture 0.33% | ||||||||||||
Philip Morris International, Inc. | 5.125% | 11/15/2024 | 31,580,000 | 31,503,809 | ||||||||
Auto Manufacturers 5.93% | ||||||||||||
American Honda Finance Corp. | 5.894% (SOFR + 0.55%) | # | 2/12/2025 | 26,680,000 | 26,729,375 | |||||||
American Honda Finance Corp. | 5.943% (SOFR + 0.60%) | # | 8/14/2025 | 22,201,000 | 22,246,948 | |||||||
American Honda Finance Corp. | 6.054% (SOFR + 0.71%) | # | 1/9/2026 | 44,151,000 | 44,278,178 | |||||||
Daimler Truck Finance North America LLC† | 5.60% | 8/8/2025 | 28,926,000 | 29,001,413 | ||||||||
Ford Motor Credit Co. LLC | 2.30% | 2/10/2025 | 15,648,000 | 15,139,903 | ||||||||
Ford Motor Credit Co. LLC | 3.375% | 11/13/2025 | 3,090,000 | 2,965,895 | ||||||||
Ford Motor Credit Co. LLC | 4.063% | 11/1/2024 | 26,087,000 | 25,731,868 | ||||||||
Ford Motor Credit Co. LLC | 4.134% | 8/4/2025 | 16,761,000 | 16,361,346 | ||||||||
Ford Motor Credit Co. LLC | 4.389% | 1/8/2026 | 25,965,000 | 25,258,224 | ||||||||
Ford Motor Credit Co. LLC | 4.687% | 6/9/2025 | 9,515,000 | 9,383,568 | ||||||||
Ford Motor Credit Co. LLC | 5.125% | 6/16/2025 | 6,100,000 | 6,039,918 | ||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 10,717,000 | 10,715,833 | ||||||||
General Motors Financial Co., Inc. | 4.35% | 4/9/2025 | 9,808,000 | 9,682,805 | ||||||||
General Motors Financial Co., Inc. | 5.965% (SOFR + 0.62%) | # | 10/15/2024 | 44,943,000 | 44,980,207 |
See Notes to Schedule of Investments. | 311 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
General Motors Financial Co., Inc. | 6.694% (SOFR + 1.35%) | # | 5/8/2027 | $ | 26,796,000 | $ | 26,918,975 | |||||
Hyundai Capital America† | 3.40% | 6/20/2024 | 9,066,000 | 9,000,098 | ||||||||
Hyundai Capital America† | 5.80% | 6/26/2025 | 26,465,000 | 26,571,798 | ||||||||
Hyundai Capital America† | 6.495% (SOFR + 1.15%) | # | 8/4/2025 | 40,797,000 | 40,924,493 | |||||||
Hyundai Capital America† | 6.665% (SOFR + 1.32%) | # | 11/3/2025 | 40,746,000 | 40,941,426 | |||||||
Hyundai Capital America† | 6.845% (SOFR + 1.50%) | # | 1/8/2027 | 30,859,000 | 31,056,356 | |||||||
Toyota Motor Credit Corp. | 5.996% (SOFR + 0.65%) | # | 1/5/2026 | 53,162,000 | 53,305,262 | |||||||
Volkswagen Group of America Finance LLC† | 5.80% | 9/12/2025 | 22,115,000 | 22,216,251 | ||||||||
Volkswagen Group of America Finance LLC† | 6.284% (SOFR + 0.93%) | # | 9/12/2025 | 22,115,000 | 22,155,368 | |||||||
Total | 561,605,508 | |||||||||||
Banks 38.60% | ||||||||||||
AIB Group PLC (Ireland)†(b) | 4.263% (3 mo. USD LIBOR + 1.87%) | # | 4/10/2025 | 27,418,000 | 27,352,883 | |||||||
AIB Group PLC (Ireland)†(b) | 7.583% (SOFR + 3.46%) | # | 10/14/2026 | 34,618,000 | 35,513,908 | |||||||
ANZ New Zealand International Ltd. (United Kingdom)†(b) | 5.944% (SOFR + 0.60%) | # | 2/18/2025 | 17,916,000 | 17,966,892 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 6.155% (SOFR + 0.81%) | # | 1/18/2027 | 26,601,000 | 26,724,034 | |||||||
Bank of America Corp. | 0.981% (SOFR + 0.91%) | # | 9/25/2025 | 39,628,000 | 38,587,388 | |||||||
Bank of America Corp. | 2.015% (3 mo. USD Term SOFR + 0.90%) | # | 2/13/2026 | 20,717,000 | 20,018,089 | |||||||
Bank of America Corp. | 2.456% (3 mo. USD Term SOFR + 1.13%) | # | 10/22/2025 | 10,000,000 | 9,791,370 | |||||||
Bank of America Corp. | 3.093% (3 mo. USD Term SOFR + 1.35%) | # | 10/1/2025 | 62,757,000 | 61,825,559 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33%) | # | 4/2/2026 | 4,481,000 | 4,374,577 | |||||||
Bank of America Corp. | 3.458% (3 mo. USD Term SOFR + 1.23%) | # | 3/15/2025 | 30,943,000 | 30,918,556 | |||||||
Bank of America Corp. | 3.841% (SOFR + 1.11%) | # | 4/25/2025 | 27,670,000 | 27,586,208 | |||||||
Bank of Montreal (Canada)(b) | 5.20% | 12/12/2024 | 24,987,000 | 24,913,268 |
312 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Bank of Montreal (Canada)(b) | 6.064% (SOFR + 0.71%) | # | 3/8/2024 | $ | 53,961,000 | $ | 53,964,792 | |||||
Bank of Montreal (Canada)(b) | 6.303% (SOFR + 0.95%) | # | 9/25/2025 | 43,632,000 | 43,910,245 | |||||||
Bank of Montreal (Canada)(b) | 6.514% (SOFR + 1.16%) | # | 12/11/2026 | 26,605,000 | 26,950,243 | |||||||
Bank of Nova Scotia (Canada)(b) | 5.25% | 12/6/2024 | 44,634,000 | 44,536,883 | ||||||||
Bank of Nova Scotia (Canada)(b) | 6.444% (SOFR + 1.09%) | # | 6/12/2025 | 43,743,000 | 44,022,050 | |||||||
Barclays PLC (United Kingdom)(b) | 2.852% (SOFR + 2.71%) | # | 5/7/2026 | 38,434,000 | 37,170,478 | |||||||
Barclays PLC (United Kingdom)(b) | 3.932% (3 mo. USD LIBOR + 1.61%) | # | 5/7/2025 | 23,114,000 | 23,025,211 | |||||||
Barclays PLC (United Kingdom)(b) | 5.304% (1 yr. CMT + 2.30%) | # | 8/9/2026 | 17,383,000 | 17,276,418 | |||||||
Barclays PLC (United Kingdom)(b) | 7.325% (1 yr. CMT + 3.05%) | # | 11/2/2026 | 21,514,000 | 22,054,542 | |||||||
BBVA Bancomer SA† | 4.375% | 4/10/2024 | 2,253,000 | 2,248,980 | ||||||||
BNP Paribas SA (France)†(b) | 1.323% (SOFR + 1.00%) | # | 1/13/2027 | 18,750,000 | 17,349,494 | |||||||
BNP Paribas SA (France)†(b) | 2.219% (SOFR + 2.07%) | # | 6/9/2026 | 26,707,000 | 25,575,009 | |||||||
BNP Paribas SA (France)†(b) | 2.819% (3 mo. USD Term SOFR + 1.37%) | # | 11/19/2025 | 107,248,000 | 104,960,793 | |||||||
BPCE SA (France)†(b) | 4.625% | 7/11/2024 | 13,498,000 | 13,400,432 | ||||||||
BPCE SA (France)†(b) | 5.15% | 7/21/2024 | 34,141,000 | 33,988,729 | ||||||||
BPCE SA (France)†(b) | 5.915% (SOFR + 0.57%) | # | 1/14/2025 | 27,056,000 | 27,099,220 | |||||||
BPCE SA (France)†(b) | 5.975% (SOFR + 2.10%) | # | 1/18/2027 | 36,639,000 | 36,681,310 | |||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.144% | 4/28/2025 | 15,693,000 | 15,641,206 | ||||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 5.765% (SOFR + 0.42%) | # | 10/18/2024 | 13,509,000 | 13,523,757 | |||||||
Citibank NA | 6.157% (SOFR + 0.81%) | # | 9/29/2025 | 43,778,000 | 43,996,712 | |||||||
Citigroup, Inc. | 2.014% (SOFR + 0.69%) | # | 1/25/2026 | 83,108,000 | 80,315,932 | |||||||
Citigroup, Inc. | 3.106% (SOFR + 2.84%) | # | 4/8/2026 | 22,324,000 | 21,732,630 |
See Notes to Schedule of Investments. | 313 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Citigroup, Inc. | 3.352% (3 mo. USD Term SOFR + 1.16%) | # | 4/24/2025 | $ | 82,196,000 | $ | 81,886,659 | |||||
Citigroup, Inc. | 4.14% (SOFR + 1.37%) | # | 5/24/2025 | 8,591,000 | 8,551,830 | |||||||
Citigroup, Inc. | 5.61% (SOFR + 1.55%) | # | 9/29/2026 | 31,595,000 | 31,644,479 | |||||||
Citizens Bank NA | 4.119% (SOFR + 1.40%) | # | 5/23/2025 | 11,747,000 | 11,663,355 | |||||||
Citizens Bank NA | 6.064% (SOFR + 1.45%) | # | 10/24/2025 | 16,274,000 | 16,183,457 | |||||||
Credit Suisse AG | 2.95% | 4/9/2025 | 8,386,000 | 8,144,814 | ||||||||
Danske Bank AS (Denmark)†(b) | 1.621% (1 yr. CMT + 1.35%) | # | 9/11/2026 | 22,264,000 | 20,880,776 | |||||||
Danske Bank AS (Denmark)†(b) | 3.244% (3 mo. USD LIBOR + 1.59%) | # | 12/20/2025 | 5,831,000 | 5,699,538 | |||||||
Danske Bank AS (Denmark)†(b) | 6.466% (1 yr. CMT + 2.10%) | # | 1/9/2026 | 42,742,000 | 42,917,114 | |||||||
DNB Bank ASA (Norway)†(b) | 2.968% (SOFR + 0.81%) | # | 3/28/2025 | 22,826,000 | 22,780,460 | |||||||
First-Citizens Bank & Trust Co. | 2.969% (3 mo. USD Term SOFR + 1.72%) | # | 9/27/2025 | 60,672,000 | 59,494,727 | |||||||
Goldman Sachs Group, Inc. | 3.272% (3 mo. USD Term SOFR + 1.46%) | # | 9/29/2025 | 9,593,000 | 9,460,666 | |||||||
Goldman Sachs Group, Inc. | 5.835% (SOFR + 0.49%) | # | 10/21/2024 | 63,161,000 | 63,194,610 | |||||||
Goldman Sachs Group, Inc. | 6.409% (SOFR + 1.07%) | # | 8/10/2026 | 43,667,000 | 43,892,772 | |||||||
Goldman Sachs Group, Inc. | 6.744% (SOFR + 1.39%) | # | 3/15/2024 | 23,098,000 | 23,106,238 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 0.976% (SOFR + 0.71%) | # | 5/24/2025 | 29,628,000 | 29,294,889 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 1.645% (SOFR + 1.54%) | # | 4/18/2026 | 22,145,000 | 21,141,784 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 2.099% (SOFR + 1.93%) | # | 6/4/2026 | 8,933,000 | 8,549,061 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 2.999% (SOFR + 1.43%) | # | 3/10/2026 | 85,001,000 | 82,642,843 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 3.803% (3 mo. USD Term SOFR + 1.47%) | # | 3/11/2025 | 128,792,000 | 128,727,798 | |||||||
HSBC Holdings PLC (United Kingdom)(b) | 4.292% (3 mo. USD Term SOFR + 1.61%) | # | 9/12/2026 | 7,393,000 | 7,248,678 |
314 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
HSBC USA, Inc.(a) | 6.305% (SOFR + 0.96%) | # | 3/4/2027 | $ | 26,831,000 | $ | 26,914,828 | |||||
ING Groep NV (Netherlands)(b) | 3.869% (SOFR + 1.64%) | # | 3/28/2026 | 22,055,000 | 21,650,334 | |||||||
JPMorgan Chase & Co. | 2.301% (SOFR + 1.16%) | # | 10/15/2025 | 99,304,000 | 97,321,191 | |||||||
JPMorgan Chase & Co. | 3.845% (SOFR + 0.98%) | # | 6/14/2025 | 30,767,000 | 30,581,079 | |||||||
JPMorgan Chase & Co. | 5.546% (SOFR + 1.07%) | # | 12/15/2025 | 70,914,000 | 70,921,178 | |||||||
JPMorgan Chase Bank NA | 6.354% (SOFR + 1.00%) | # | 12/8/2026 | 26,705,000 | 27,146,949 | |||||||
KeyBank NA | 5.674% (SOFR + 0.32%) | # | 6/14/2024 | 6,521,000 | 6,498,463 | |||||||
Lloyds Banking Group PLC (United Kingdom)(b) | 3.87% (1 yr. CMT + 3.50%) | # | 7/9/2025 | 24,117,000 | 23,940,242 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 4.875% | 6/10/2025 | 9,554,000 | 9,434,174 | ||||||||
Macquarie Group Ltd. (Australia)†(b) | 1.34% (SOFR + 1.07%) | # | 1/12/2027 | 14,900,000 | 13,754,816 | |||||||
Macquarie Group Ltd. (Australia)†(b) | 6.207% | 11/22/2024 | 86,276,000 | 86,543,581 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 6.786% (SOFR + 1.44%) | # | 4/17/2026 | 35,250,000 | 35,533,356 | |||||||
Morgan Stanley | 0.864% (SOFR + 0.75%) | # | 10/21/2025 | 10,310,000 | 9,990,689 | |||||||
Morgan Stanley | 3.62% (SOFR + 1.16%) | # | 4/17/2025 | 55,387,000 | 55,222,094 | |||||||
Morgan Stanley | 4.679% (SOFR + 1.67%) | # | 7/17/2026 | 22,316,000 | 22,081,524 | |||||||
Morgan Stanley Bank NA | 6.125% (SOFR + 0.78%) | # | 7/16/2025 | 30,508,000 | 30,634,343 | |||||||
National Australia Bank Ltd. (Australia)†(b) | 5.983% (SOFR + 0.65%) | # | 12/10/2025 | 17,634,000 | 17,704,144 | |||||||
NatWest Group PLC (United Kingdom)(b) | 4.269% (3 mo. USD LIBOR + 1.76%) | # | 3/22/2025 | 118,509,000 | 118,407,874 | |||||||
NatWest Group PLC (United Kingdom)(b) | 5.125% | 5/28/2024 | 4,454,000 | 4,439,335 | ||||||||
NatWest Group PLC (United Kingdom)(b) | 7.472% (1 yr. CMT + 2.85%) | # | 11/10/2026 | 24,562,000 | 25,244,584 | |||||||
NatWest Markets PLC (United Kingdom)†(b) | 5.874% (SOFR + 0.53%) | # | 8/12/2024 | 22,842,000 | 22,853,223 | |||||||
NatWest Markets PLC (United Kingdom)†(b) | 6.803% (SOFR + 1.45%) | # | 3/22/2025 | 40,000,000 | 40,395,393 |
See Notes to Schedule of Investments. | 315 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Royal Bank of Canada (Canada)(b) | 6.295% (SOFR + 0.95%) | # | 1/19/2027 | $ | 22,170,000 | $ | 22,321,658 | |||||
Royal Bank of Canada (Canada)(b) | 6.425% (SOFR + 1.08%) | # | 7/20/2026 | 43,671,000 | 44,177,041 | |||||||
Santander U.K. Group Holdings PLC (United Kingdom)(b) | 1.089% (SOFR + 0.79%) | # | 3/15/2025 | 16,944,000 | 16,916,927 | |||||||
Skandinaviska Enskilda Banken AB (Sweden)†(a)(b) | 6.236% (SOFR + 0.89%) | # | 3/5/2027 | 22,357,000 | 22,399,133 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 2.819% (3 mo. USD LIBOR + 1.21%) | # | 1/30/2026 | 59,522,000 | 57,771,220 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 3.785% (3 mo. USD LIBOR + 1.56%) | # | 5/21/2025 | 35,271,000 | 35,084,685 | |||||||
State Street Corp. | 6.189% (SOFR + 0.85%) | # | 8/3/2026 | 43,600,000 | 43,724,145 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Japan)(b) | 6.645% (SOFR + 1.30%) | # | 7/13/2026 | 21,769,000 | 22,025,878 | |||||||
Svenska Handelsbanken AB (Sweden)†(b) | 6.604% (SOFR + 1.25%) | # | 6/15/2026 | 39,406,000 | 39,866,584 | |||||||
Swedbank AB (Sweden)†(b) | 6.734% (SOFR + 1.38%) | # | 6/15/2026 | 41,440,000 | 42,010,347 | |||||||
Toronto-Dominion Bank (Canada)(b) | 3.766% | 6/6/2025 | 21,057,000 | 20,684,485 | ||||||||
Toronto-Dominion Bank (Canada)(b) | 4.285% | 9/13/2024 | 63,599,000 | 63,161,876 | ||||||||
Toronto-Dominion Bank (Canada)(b) | 5.704% (SOFR + 0.35%) | # | 9/10/2024 | 4,700,000 | 4,703,240 | |||||||
Toronto-Dominion Bank (Canada)(b) | 6.426% (SOFR + 1.08%) | # | 7/17/2026 | 43,611,000 | 44,051,070 | |||||||
Truist Financial Corp. | 5.754% (SOFR + 0.40%) | # | 6/9/2025 | 45,630,000 | 45,517,021 | |||||||
UBS AG (United Kingdom)†(b) | 0.70% | 8/9/2024 | 24,006,000 | 23,516,258 | ||||||||
UBS AG (Switzerland)(b) | 5.125% | 5/15/2024 | 36,443,000 | 36,352,804 | ||||||||
UBS Group AG (Switzerland)†(b) | 2.193% (SOFR + 2.04%) | # | 6/5/2026 | 32,921,000 | 31,509,920 | |||||||
UBS Group AG (Switzerland)†(b) | 2.593% (SOFR + 1.56%) | # | 9/11/2025 | 44,522,000 | 43,763,678 | |||||||
UBS Group AG (Switzerland)(b) | 3.75% | 3/26/2025 | 25,394,000 | 24,876,133 | ||||||||
UBS Group AG (Switzerland)†(b) | 4.125% | 9/24/2025 | 26,655,000 | 26,078,927 | ||||||||
UBS Group AG (Switzerland)†(b) | 4.488% (1 yr. CMT + 1.55%) | # | 5/12/2026 | 33,697,000 | 33,164,913 |
316 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
UniCredit SpA (Italy)†(b) | 2.569% (1 yr. CMT + 2.30%) | # | 9/22/2026 | $ | 43,545,000 | $ | 41,263,795 | |||||
Wells Fargo & Co. | 2.164% (3 mo. USD Term SOFR + 1.01%) | # | 2/11/2026 | 49,079,000 | 47,482,633 | |||||||
Wells Fargo & Co. | 2.188% (SOFR + 2.00%) | # | 4/30/2026 | 44,216,000 | 42,439,901 | |||||||
Wells Fargo & Co. | 2.406% (3 mo. USD Term SOFR + 1.09%) | # | 10/30/2025 | 126,850,000 | 124,127,369 | |||||||
Wells Fargo & Co. | 3.908% (SOFR + 1.32%) | # | 4/25/2026 | 9,962,000 | 9,769,974 | |||||||
Wells Fargo Bank NA | 6.403% (SOFR + 1.06%) | # | 8/7/2026 | 44,218,000 | 44,717,299 | |||||||
Total | 3,652,796,654 | |||||||||||
Beverages 0.18% | ||||||||||||
PepsiCo, Inc. | 5.744% (SOFR + 0.40%) | # | 11/12/2024 | 17,138,000 | 17,156,458 | |||||||
Biotechnology 0.04% | ||||||||||||
Amgen, Inc. | 5.25% | 3/2/2025 | 4,114,000 | 4,104,670 | ||||||||
Building Materials 0.09% | ||||||||||||
Carrier Global Corp. | 5.80% | 11/30/2025 | 8,183,000 | 8,243,742 | ||||||||
Chemicals 0.24% | ||||||||||||
Celanese U.S. Holdings LLC | 6.05% | 3/15/2025 | 22,354,000 | 22,414,399 | ||||||||
Commercial Services 0.07% | ||||||||||||
Triton Container International Ltd.† | 1.15% | 6/7/2024 | 6,894,000 | 6,796,358 | ||||||||
Computers 0.21% | ||||||||||||
Hewlett Packard Enterprise Co. | 5.90% | 10/1/2024 | 19,673,000 | 19,696,987 | ||||||||
Diversified Financial Services 2.19% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 1.65% | 10/29/2024 | 17,587,000 | 17,114,456 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 1.75% | 10/29/2024 | 30,189,000 | 29,381,380 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(b) | 4.45% | 10/1/2025 | 16,543,000 | 16,230,148 | ||||||||
Aircastle Ltd. | 4.125% | 5/1/2024 | 9,876,000 | 9,844,323 | ||||||||
Aircastle Ltd.† | 5.25% | 8/11/2025 | 7,000,000 | 6,921,894 | ||||||||
American Express Co. | 6.275% (SOFR + 0.93%) | # | 3/4/2025 | 36,253,000 | 36,462,443 |
See Notes to Schedule of Investments. | 317 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
American Express Co. | 6.338% (SOFR + 1.33%) | # | 10/30/2026 | $ | 21,495,000 | $ | 21,829,367 | |||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 2.125% | 2/21/2026 | 34,088,000 | 31,650,640 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 2.875% | 2/15/2025 | 11,697,000 | 11,355,864 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 3.95% | 7/1/2024 | 16,847,000 | 16,722,642 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 7,180,000 | 6,925,541 | ||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | 2,755,000 | 2,724,185 | ||||||||
Total | 207,162,883 | |||||||||||
Electric 2.03% | ||||||||||||
American Electric Power Co., Inc. | 5.699% | 8/15/2025 | 9,376,000 | 9,391,449 | ||||||||
CenterPoint Energy, Inc. | 5.994% (SOFR + 0.65%) | # | 5/13/2024 | 21,787,000 | 21,790,541 | |||||||
Georgia Power Co. | 6.094% (SOFR + 0.75%) | # | 5/8/2025 | 21,750,000 | 21,814,407 | |||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 14,500,000 | 14,488,759 | ||||||||
Monongahela Power Co.† | 4.10% | 4/15/2024 | 13,665,000 | 13,630,129 | ||||||||
NextEra Energy Capital Holdings, Inc. | 2.94% | 3/21/2024 | 21,948,000 | 21,918,425 | ||||||||
NextEra Energy Capital Holdings, Inc. | 4.20% | 6/20/2024 | 4,898,000 | 4,874,770 | ||||||||
NextEra Energy Capital Holdings, Inc. | 5.749% | 9/1/2025 | 8,790,000 | 8,839,641 | ||||||||
NextEra Energy Capital Holdings, Inc. | 6.051% | 3/1/2025 | 7,428,000 | 7,456,144 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 19,136,000 | 18,965,174 | ||||||||
Vistra Operations Co. LLC† | 5.125% | 5/13/2025 | 49,155,000 | 48,795,318 | ||||||||
Total | 191,964,757 | |||||||||||
Electronics 0.05% | ||||||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 4,389,000 | 4,352,702 | ||||||||
Entertainment 0.50% | ||||||||||||
Warnermedia Holdings, Inc. | 3.428% | 3/15/2024 | 19,604,000 | 19,587,736 | ||||||||
Warnermedia Holdings, Inc. | 6.412% | 3/15/2026 | 27,674,000 | 27,671,806 | ||||||||
Total | 47,259,542 | |||||||||||
Gas 0.38% | ||||||||||||
East Ohio Gas Co.† | 1.30% | 6/15/2025 | 6,238,000 | 5,917,352 | ||||||||
Spire, Inc. | 5.30% | 3/1/2026 | 30,294,000 | 30,234,758 | ||||||||
Total | 36,152,110 | |||||||||||
Hand/Machine Tools 0.27% | ||||||||||||
Regal Rexnord Corp.† | 6.05% | 2/15/2026 | 25,378,000 | 25,492,620 |
318 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Products 1.21% | ||||||||||||
Baxter International, Inc. | 1.322% | 11/29/2024 | $ | 66,318,000 | $ | 64,218,714 | ||||||
GE HealthCare Technologies, Inc. | 5.55% | 11/15/2024 | 50,475,000 | 50,410,384 | ||||||||
Total | 114,629,098 | |||||||||||
Insurance 2.92% | ||||||||||||
Athene Global Funding† | 5.684% | 2/23/2026 | 30,976,000 | 30,973,090 | ||||||||
Brighthouse Financial Global Funding† | 6.105% (SOFR + 0.76%) | # | 4/12/2024 | 32,460,000 | 32,482,974 | |||||||
Corebridge Global Funding† | 6.653% (SOFR + 1.30%) | # | 9/25/2026 | 29,760,000 | 29,902,691 | |||||||
F&G Global Funding† | 0.90% | 9/20/2024 | 22,929,000 | 22,300,293 | ||||||||
GA Global Funding Trust† | 0.80% | 9/13/2024 | 37,195,000 | 36,193,948 | ||||||||
GA Global Funding Trust† | 1.625% | 1/15/2026 | 5,350,000 | 4,930,138 | ||||||||
GA Global Funding Trust† | 5.854% (SOFR + 0.50%) | # | 9/13/2024 | 7,486,000 | 7,481,123 | |||||||
GA Global Funding Trust† | 6.705% (SOFR + 1.36%) | # | 4/11/2025 | 51,514,000 | 51,658,002 | |||||||
Jackson National Life Global Funding† | 6.503% (SOFR + 1.15%) | # | 6/28/2024 | 49,131,000 | 49,241,675 | |||||||
RenaissanceRe Finance, Inc. | 3.70% | 4/1/2025 | 11,229,000 | 11,011,093 | ||||||||
Total | 276,175,027 | |||||||||||
Lodging 0.38% | ||||||||||||
Hyatt Hotels Corp. | 1.80% | 10/1/2024 | 11,059,000 | 10,812,438 | ||||||||
Las Vegas Sands Corp. | 2.90% | 6/25/2025 | 25,964,000 | 24,846,250 | ||||||||
Total | 35,658,688 | |||||||||||
Media 0.43% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.908% | 7/23/2025 | 35,968,000 | 35,479,945 | ||||||||
Discovery Communications LLC | 3.95% | 6/15/2025 | 4,923,000 | 4,810,445 | ||||||||
Total | 40,290,390 | |||||||||||
Mining 0.58% | ||||||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 55,531,000 | 55,410,511 | ||||||||
Miscellaneous Manufacturing 0.21% | ||||||||||||
Parker-Hannifin Corp. | 3.65% | 6/15/2024 | 19,759,000 | 19,647,071 | ||||||||
Oil & Gas 0.21% | ||||||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 10,464,000 | 10,409,340 | ||||||||
Ovintiv, Inc. | 5.65% | 5/15/2025 | 9,308,000 | 9,312,588 | ||||||||
Total | 19,721,928 |
See Notes to Schedule of Investments. | 319 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines 0.51% | ||||||||||||
TransCanada PipeLines Ltd. (Canada)(b) | 6.203% | 3/9/2026 | $ | 4,378,000 | $ | 4,378,096 | ||||||
TransCanada PipeLines Ltd. (Canada)(b) | 6.874% (SOFR + 1.52%) | # | 3/9/2026 | 43,659,000 | 43,674,773 | |||||||
Total | 48,052,869 | |||||||||||
REITS 1.34% | ||||||||||||
American Tower Corp. | 1.60% | 4/15/2026 | 37,582,000 | 34,818,710 | ||||||||
Crown Castle, Inc. | 1.35% | 7/15/2025 | 6,000,000 | 5,679,734 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.25% | 6/1/2025 | 15,153,000 | 15,029,077 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.375% | 4/15/2026 | 23,643,000 | 23,406,962 | ||||||||
Public Storage Operating Co. | 5.945% (SOFR + 0.60%) | # | 7/25/2025 | 13,071,000 | 13,126,873 | |||||||
VICI Properties LP | 4.375% | 5/15/2025 | 11,723,000 | 11,523,628 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 5.625% | 5/1/2024 | 23,286,000 | 23,286,848 | ||||||||
Total | 126,871,832 | |||||||||||
Semiconductors 0.37% | ||||||||||||
Qorvo, Inc. | 1.75% | 12/15/2024 | 36,498,000 | 35,462,623 | ||||||||
Telecommunications 0.67% | ||||||||||||
AT&T, Inc. | 5.539% | 2/20/2026 | 63,669,000 | 63,661,008 | ||||||||
Total Corporate Bonds (cost $5,678,652,980) | 5,703,685,889 | |||||||||||
FLOATING RATE LOANS(c) 3.22% | ||||||||||||
Aerospace/Defense 0.79% | ||||||||||||
RTX Corp. 2023 Term Loan | 6.605% (3 mo. USD Term SOFR + 1.38%) | 5/7/2025 | 75,000,000 | 74,765,625 | ||||||||
Automobile Manufacturers 0.23% | ||||||||||||
Allison Transmission, Inc. 2019 Term Loan B | – | (d) | 3/29/2026 | 21,859,689 | 21,909,420 | |||||||
Diversified Financial Services 0.61% | ||||||||||||
Intercontinental Exchange, Inc. Delayed Draw Term Loan | 6.196% (1 mo. USD Term SOFR + 0.88%) | 5/24/2024 | 58,045,867 | 58,082,436 | ||||||||
Health Care Products 0.04% | ||||||||||||
Baxter International, Inc. 2021 Delayed Draw Term Loan Tranche 1 | 6.555% (1 mo. USD Term SOFR + 1.13%) | 9/30/2024 | 3,307,722 | 3,309,789 | ||||||||
320 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines 0.09% | ||||||||||||
Targa Resources Corp. Term Loan | 6.571% (1 mo. USD Term SOFR + 1.25%) | 7/11/2025 | $ | 8,133,333 | $ | 8,148,583 | ||||||
Real Estate Investment Trusts 0.42% | ||||||||||||
Invitation Homes Operating Partnership LP 2020 Term Loan A | 6.426% (1 mo. USD Term SOFR + 1.00%) | 1/31/2025 | 40,000,000 | 39,750,000 | ||||||||
Semiconductors 0.81% | ||||||||||||
Broadcom, Inc. 2023 Term Loan A2 | 6.442% (3 mo. USD Term SOFR + 1.13%) | 8/15/2025 | 47,800,000 | 47,680,500 | ||||||||
Marvell Technology Group Ltd. 2020 5 Year Term Loan A | 6.801% (1 mo. USD Term SOFR + 1.38%) | 12/7/2025 | 29,062,500 | 29,080,664 | ||||||||
Total | 76,761,164 | |||||||||||
Software 0.23% | ||||||||||||
Atlassian, Inc. Delayed Draw Term Loan (Australia)(b) | 6.212% (1 mo. USD Term SOFR + 0.88%) | 10/28/2025 | 21,721,519 | 21,653,639 | ||||||||
Total Floating Rate Loans (cost $304,952,418) | 304,380,656 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(b) 0.16% | ||||||||||||
South Korea | ||||||||||||
Korea National Oil Corp.† (cost $15,000,000) | 6.424% (SOFR + 1.08%) | # | 11/14/2026 | 15,000,000 | 15,195,139 | |||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.22% | ||||||||||||
BX Trust Series 2021-ARIA Class A† | 6.332% (1 mo. USD Term SOFR + 1.01%) | # | 10/15/2036 | 9,304,000 | 9,190,453 | |||||||
BXHPP Trust Series 2021-FILM Class A† | 6.083% (1 mo. USD Term SOFR + 0.76%) | # | 8/15/2036 | 20,000,000 | 19,262,414 | |||||||
BXMT Ltd. Series 2020-FL2 Class A† | 6.336% (1 mo. USD Term SOFR + 1.01%) | # | 2/15/2038 | 15,461,041 | 14,789,905 | |||||||
BXMT Ltd. Series 2021-FL4 Class A† | 6.486% (1 mo. USD Term SOFR + 1.16%) | # | 5/15/2038 | 14,689,000 | 14,064,717 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-DNA6 Class M1† | 6.122% (30 day USD SOFR Average + 0.80%) | # | 10/25/2041 | 1,245,417 | 1,245,554 |
See Notes to Schedule of Investments. | 321 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA2 Class M1† | 6.022% (30 day USD SOFR Average + 0.70%) | # | 12/25/2033 | $ | 110,987 | $ | 110,956 | |||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA3 Class M1† | 6.172% (30 day USD SOFR Average + 0.85%) | # | 9/25/2041 | 5,480,352 | 5,459,454 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2021-HQA4 Class M1† | 6.272% (30 day USD SOFR Average + 0.95%) | # | 12/25/2041 | 9,538,326 | 9,496,452 | |||||||
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2022-DNA1 Class M1A† | 6.322% (30 day USD SOFR Average + 1.00%) | # | 1/25/2042 | 11,633,404 | 11,616,260 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2021-R02 Class 2M1† | 6.222% (30 day USD SOFR Average + 0.90%) | # | 11/25/2041 | 9,857,031 | 9,852,516 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2021-R01 Class 1M1† | 6.072% (30 day USD SOFR Average + 0.75%) | # | 10/25/2041 | 894,816 | 894,568 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R02 Class 2M1† | 6.522% (30 day USD SOFR Average + 1.20%) | # | 1/25/2042 | 14,598,500 | 14,613,796 | |||||||
Great Wolf Trust Series 2019-WOLF Class A† | 6.667% (1 mo. USD Term SOFR + 1.35%) | # | 12/15/2036 | 14,400,000 | 14,394,917 | |||||||
GS Mortgage Securities Corp. Trust Series 2018-HULA Class A† | 6.543% (1 mo. USD Term SOFR + 1.22%) | # | 7/15/2025 | 15,002,270 | 14,948,159 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ROSS Class A† | 6.583% (1 mo. USD Term SOFR + 1.26%) | # | 5/15/2026 | 40,000,000 | 37,296,176 | |||||||
Hilton Orlando Trust Series 2018-ORL Class A† | 6.385% (1 mo. USD Term SOFR + 1.07%) | # | 12/15/2034 | 9,095,000 | 9,088,532 | |||||||
KIND Trust Series 2021-KIND Class A† | 6.385% (1 mo. USD Term SOFR + 1.06%) | # | 8/15/2038 | 24,545,068 | 23,812,140 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $215,814,894) | 210,136,969 |
322 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 1.58% | ||||||||||||
U.S. Treasury Notes | 4.25% | 5/31/2025 | $ | 89,090,000 | $ | 88,374,844 | ||||||
U.S. Treasury Notes(e) | 4.25% | 1/31/2026 | 22,135,300 | 21,971,879 | ||||||||
U.S. Treasury Notes | 5.00% | 9/30/2025 | 39,279,000 | 39,408,652 | ||||||||
Total U.S. Treasury Obligations (cost $149,852,377) | 149,755,375 | |||||||||||
Total Long-Term Investments (cost $8,532,388,699) | 8,542,170,435 | |||||||||||
SHORT-TERM INVESTMENTS 12.19% | ||||||||||||
COMMERCIAL PAPER 11.19% | ||||||||||||
Aerospace/Defense 0.11% | ||||||||||||
L3Harris Technologies, Inc.† | 6.319% | 8/29/2024 | 10,000,000 | 9,708,773 | ||||||||
Commercial Services 0.19% | ||||||||||||
Global Payments, Inc. | 6.044% | 3/1/2024 | 18,000,000 | 18,000,000 | ||||||||
Diversified Financial Services 1.38% | ||||||||||||
Aviation Capital Group LLC† | 5.976% | 3/1/2024 | 40,000,000 | 40,000,000 | ||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.167% | 5/2/2024 | 3,750,000 | 3,713,145 | ||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.192% | 5/2/2024 | 9,628,000 | 9,533,376 | ||||||||
Brookfield Infrastructure Holdings Canada, Inc. | 6.564% | 4/18/2024 | 78,000,000 | 77,344,800 | ||||||||
Total | 130,591,321 | |||||||||||
Electric 0.21% | ||||||||||||
AES Corp. | 6.046% | 3/11/2024 | 20,000,000 | 19,966,944 | ||||||||
Electronics 0.75% | ||||||||||||
Flex Ltd.† | 5.984% | 3/1/2024 | 45,000,000 | 45,000,000 | ||||||||
Flex Ltd.† | 5.986% | 3/4/2024 | 26,000,000 | 25,987,217 | ||||||||
Total | 70,987,217 | |||||||||||
Health Care-Services 1.25% | ||||||||||||
CommonSpirit Health | 6.301% | 3/5/2024 | 50,000,000 | 49,965,833 | ||||||||
CommonSpirit Health | 6.301% | 3/26/2024 | 68,575,000 | 68,282,128 | ||||||||
Total | 118,247,961 | |||||||||||
Leisure Time 0.26% | ||||||||||||
Harley-Davidson Financial Services, Inc.† | 6.264% | 4/29/2024 | 25,007,000 | 24,758,229 | ||||||||
Oil & Gas 2.32% | ||||||||||||
APA Corp.† | 6.084% | 3/1/2024 | 88,000,000 | 88,000,000 | ||||||||
Ovintiv, Inc. | 6.078% | 3/5/2024 | 12,522,000 | 12,513,666 | ||||||||
Ovintiv, Inc. | 6.156% | 3/20/2024 | 33,105,000 | 32,999,294 | ||||||||
Ovintiv, Inc. | 6.234% | 3/20/2024 | 12,000,000 | 11,961,367 |
See Notes to Schedule of Investments. | 323 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Ovintiv, Inc. | 6.265% | 3/20/2024 | $ | 20,515,000 | $ | 20,448,736 | ||||||
Ovintiv, Inc. | 6.287% | 3/20/2024 | 9,000,000 | 8,970,787 | ||||||||
Ovintiv, Inc. | 6.29% | 3/20/2024 | 45,000,000 | 44,853,938 | ||||||||
Total | 219,747,788 | |||||||||||
Pharmaceuticals 1.56% | ||||||||||||
Bayer Corp.† | 6.349% | 7/8/2024 | 21,331,000 | 20,894,813 | ||||||||
Bayer Corp.† | 6.372% | 7/8/2024 | 81,379,000 | 79,714,920 | ||||||||
Bayer Corp.† | 6.373% | 7/9/2024 | 24,000,000 | 23,505,507 | ||||||||
Bayer Corp.† | 6.385% | 7/9/2024 | 24,000,000 | 23,505,507 | ||||||||
Total | 147,620,747 | |||||||||||
Pipelines 1.30% | ||||||||||||
Targa Resources Corp.† | 6.223% | 3/8/2024 | 7,500,000 | 7,491,104 | ||||||||
Targa Resources Corp.† | 6.267% | 3/1/2024 | 13,500,000 | 13,500,000 | ||||||||
Western Midstream Operating LP† | 6.246% | 3/1/2024 | 17,498,000 | 17,498,000 | ||||||||
Western Midstream Operating LP† | 6.248% | 3/4/2024 | 15,000,000 | 14,992,338 | ||||||||
Western Midstream Operating LP† | 6.249% | 3/12/2024 | 14,000,000 | 13,973,777 | ||||||||
Western Midstream Operating LP† | 6.255% | 3/8/2024 | 29,900,000 | 29,864,361 | ||||||||
Western Midstream Operating LP† | 6.258% | 3/13/2024 | 17,000,000 | 16,965,264 | ||||||||
Western Midstream Operating LP† | 6.259% | 3/21/2024 | 8,750,000 | 8,720,201 | ||||||||
Total | 123,005,045 | |||||||||||
Retail 0.74% | ||||||||||||
Walgreens Boots Alliance, Inc.† | 6.525% | 3/18/2024 | 28,693,000 | 28,606,284 | ||||||||
Walgreens Boots Alliance, Inc.†(a) | 6.53% | 4/5/2024 | 41,507,000 | 41,248,734 | ||||||||
Total | 69,855,018 | |||||||||||
Telecommunications 1.12% | ||||||||||||
Rogers Communications, Inc.† | 6.024% | 4/30/2024 | 107,119,000 | 106,105,221 | ||||||||
Total Commercial Paper (cost $1,058,437,993) | 1,058,594,264 | |||||||||||
U.S. TREASURY OBLIGATIONS 0.45% | ||||||||||||
U.S. Treasury Bills (Cost $42,159,713) | Zero Coupon | 7/5/2024 | 42,916,000 | 42,142,439 |
324 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND February 29, 2024
Investments | Principal Amount | Fair Value | ||||||
REPURCHASE AGREEMENTS 0.55% | ||||||||
Repurchase Agreement dated 2/29/2024, 2.800% due 3/1/2024 with Fixed Income Clearing Corp. collateralized by $31,456,900 of U.S. Treasury Note at 4.625% due 2/28/2026; value: $31,439,697; proceeds: $30,825,546 (cost $30,823,148) | $ | 30,823,148 | $ | 30,823,148 | ||||
Repurchase Agreement dated 2/29/2024, 5.300% due 3/1/2024 with Barclays Bank PLC collateralized by $22,060,000 of U.S. Treasury Bill at 0.250% due 3/15/2024; value: $22,040,649; proceeds: $21,611,661 (cost $21,608,480) | 21,608,480 | 21,608,480 | ||||||
Total Repurchase Agreements (cost $52,431,628) | 52,431,628 | |||||||
Total Short-Term Investments (cost $1,153,029,334) | 1,153,168,331 | |||||||
Total Investments in Securities 102.45% (cost $9,685,418,033) | 9,695,338,766 | |||||||
Other Assets and Liabilities – Net (2.45)% | (231,485,711 | ) | ||||||
Net Assets 100.00% | $ | 9,463,853,055 |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
REITS | Real Estate Investment Trusts. | |
REMICS | Real Estate Mortgage Investment Conduits. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. | |
† | 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 February 29, 2024, the total value of Rule 144A securities was $4,259,876,232, which represents 45.01% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at February 29, 2024. | |
(a) | Securities purchased on a when-issued basis. | |
(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 Secured Overnight Financing Rate (“SOFR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at February 29, 2024. | |
(d) | Interest Rate to be determined. | |
(e) | Security has been fully or partially segregated for open reverse repurchase agreements as of February 29, 2024. |
Reverse Repurchase Agreement Payables as of February 29, 2024:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date | Fair Value(2) | ||||||||||
Barclays Bank PLC | $ | 21,608,480 | $22,135,300 principal, U.S. Treasury Notes at 4.25% due 1/31/2026, $21,971,879 fair value | 4.100% | 02/29/2024 | 3/1/2024 | $ | 21,610,941 |
(1) | The positive interest rate on the reverse repurchase agreement results in interest expense to the Fund. | |
(2) | Total fair value of reverse repurchase agreement is presented net of interest payable of $2,461. |
See Notes to Schedule of Investments. | 325 |
Schedule of Investments (unaudited)(concluded)
ULTRA SHORT BOND FUND February 29, 2024
The following is a summary of the inputs used as of February 29, 2024 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 | $ | – | $ | 2,159,016,407 | $ | – | $ | 2,159,016,407 | ||||||||
Corporate Bonds | – | 5,703,685,889 | – | 5,703,685,889 | ||||||||||||
Floating Rate Loans | – | 304,380,656 | – | 304,380,656 | ||||||||||||
Foreign Government Obligations | – | 15,195,139 | – | 15,195,139 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 210,136,969 | – | 210,136,969 | ||||||||||||
U.S. Treasury Obligations | – | 149,755,375 | – | 149,755,375 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 1,058,594,264 | – | 1,058,594,264 | ||||||||||||
U.S. Treasury Obligations | – | 42,142,439 | – | 42,142,439 | ||||||||||||
Repurchase Agreements | – | 52,431,628 | – | 52,431,628 | ||||||||||||
Total | $ | – | $ | 9,695,338,766 | $ | – | $ | 9,695,338,766 | ||||||||
Other Financial Instruments | ||||||||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (21,610,941 | ) | – | (21,610,941 | ) | ||||||||||
Total | $ | – | $ | (21,610,941 | ) | $ | – | $ | (21,610,941 | ) |
(1) | Refer to Note 2(b) 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 year in relation to the Fund’s net assets.
326 | See Notes to Schedule of Investments. |
Notes to Schedule of Investments (unaudited)
1. | ORGANIZATION |
Lord Abbett Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on August 16, 1993. The Trust currently consists of the following fourteen funds (separately, a “Fund” and collectively, the “Funds”): Lord Abbett Convertible Fund (“Convertible Fund”), Lord Abbett Core Fixed Income Fund (“Core Fixed Income Fund”), Lord Abbett Core Plus Bond Fund (“Core Plus Bond Fund”), Lord Abbett Corporate Bond Fund (“Corporate Bond Fund”), Lord Abbett Floating Rate Fund (“Floating Rate Fund”), Lord Abbett High Yield Fund (“High Yield Fund”), Lord Abbett Income Fund (“Income Fund”), Lord Abbett Inflation Focused Fund (“Inflation Focused Fund”), Lord Abbett Multi-Asset Balanced Opportunity Fund (“Multi-Asset Balanced Opportunity Fund”), Lord Abbett Multi-Asset Income Fund (“Multi-Asset Income Fund”), Lord Abbett Short Duration Core Bond Fund (“Short Duration Core Bond Fund”), Lord Abbett Short Duration Income Fund (“Short Duration Income Fund”), Lord Abbett Total Return Fund (“Total Return Fund”) and Lord Abbett Ultra Short Bond Fund (“Ultra Short Bond Fund”).
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation-Under procedures approved by the Funds’ Board of Directors (the “Board”), the Board has designated the determination of fair value of the Funds’ portfolio investment 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 preforms the responsibilities on behalf of Lord Abbett, administers the pricing and valuation of the 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 Pricing Committee uses a third-party 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 |
327
Notes to Schedule of Investments (unaudited)(continued)
pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates.Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use 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. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | 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 February 29, 2024 and, if applicable, Level 3 rollforwards for the period 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. |
328
Notes to Schedule of Investments (unaudited)(continued)
3. | FEDERAL TAX INFORMATION |
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 generally three years after the filing of the tax returns. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
4. | 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 Fund’s 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.
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 February 29, 2024, the Funds did not have any securities on loan.
5. | 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. The Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund had the following transactions with affiliated issuers during the period ended February 29, 2024:
329
Notes to Schedule of Investments (unaudited)(continued)
Multi-Asset Balanced Opportunity Fund
Affiliated Issuer | Value at 11/30/2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Appreciation (Depreciation) | Value at 2/29/2024 | Shares as of 2/29/2024 | Dividend Income | ||||||||||||||||||||||||
Lord Abbett Affiliated Fund-Class I | $ | 180,037,886 | $ | 941,691 | $ | (7,369,271 | ) | $ | 375,042 | $ | 18,116,218 | $ | 192,101,566 | 10,713,975 | $ | 941,691 | ||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 19,964,976 | 130,055 | (696,363 | ) | (1,491 | ) | 1,221,456 | 20,618,633 | 1,578,762 | 130,055 | ||||||||||||||||||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 306,601,550 | 12,218,866 | (10,473,282 | ) | (2,395,392 | ) | 5,635,617 | 311,587,359 | 33,978,992 | 3,828,699 | ||||||||||||||||||||||
Lord Abbett Securities Trust-Dividend Growth Fund-Class I | 374,842,735 | 2,893,230 | (75,902,558 | ) | 12,834,493 | (a) | 22,632,062 | 335,412,823 | 15,858,762 | 1,006,091 | ||||||||||||||||||||||
Lord Abbett Emerging Markets Bond Fund-Class I | 71,952,100 | 695,951 | (2,649,000 | ) | (821,845 | ) | 3,148,068 | 72,325,274 | 17,597,390 | 1,031,521 | ||||||||||||||||||||||
Lord Abbett Investment Trust- Floating Rate Loan Fund-Class I | – | 38,668,499 | (188,000 | ) | 161 | 47,215 | 38,527,875 | 4,721,553 | 130,080 | |||||||||||||||||||||||
Lord Abbett Securities Trust- Fundamental Equity Fund-Class I | 179,655,644 | 19,177,030 | (3,895,000 | ) | 445,956 | 21,358,191 | 216,741,821 | 15,135,602 | – | |||||||||||||||||||||||
Lord Abbett Securities Trust- Growth Leaders Fund-Class I | 184,282,052 | 43,396,588 | (27,920,638 | ) | (7,052,836 | ) | 51,898,690 | 244,603,856 | 6,176,865 | – | ||||||||||||||||||||||
Lord Abbett High Yield Fund-Class I | 117,789,806 | 1,424,491 | (5,409,388 | ) | (661,082 | ) | 3,513,759 | 116,657,586 | 18,487,732 | 2,170,446 | ||||||||||||||||||||||
Lord Abbett Investment Trust- Income Fund-Class I | 149,141,183 | 51,094,804 | (5,856,000 | ) | (79,355 | ) | 3,171,732 | 197,472,364 | 81,600,150 | 2,558,677 | ||||||||||||||||||||||
Lord Abbett Investment Trust- Inflation Focused Fund-Class I | 58,674,642 | 140,163 | (59,370,583 | ) | (2,273,169 | ) | 2,828,947 | – | – | 182,713 | ||||||||||||||||||||||
Lord Abbett Securities Trust- International Equity Fund-Class I | 83,472,809 | 1,677,190 | (2,689,000 | ) | (259,362 | ) | 7,310,605 | 89,512,242 | 6,080,995 | 1,677,190 | ||||||||||||||||||||||
Lord Abbett Securities Trust- International Value Fund-Class I | 74,160,195 | 676,355 | (2,382,105 | ) | (131,135 | ) | 3,291,098 | 75,614,408 | 9,781,942 | 676,354 | ||||||||||||||||||||||
Lord Abbett Investment Trust- Short Duration Income Fund-Class I | – | 19,197,582 | (10,070,615 | ) | (25,264 | ) | (23,851 | ) | 9,077,852 | 2,364,024 | 154,201 | |||||||||||||||||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 76,846,090 | 521,535 | (33,801,497 | ) | 544,118 | (223,567 | ) | 43,886,679 | 4,401,874 | 725,654 | ||||||||||||||||||||||
Lord Abbett Private Credit Fund 1 LP | – | 1,320,388 | – | – | – | 1,320,388 | 1,320,388 | – | ||||||||||||||||||||||||
Total | $ | 498,839 | $ | 143,926,240 | $ | 1,965,460,726 | $ | 15,213,372 |
(a) | Includes $1,887,139 of capital gains. |
330
Notes to Schedule of Investments (unaudited)(concluded)
Multi-Asset Income Fund
Affiliated Issuer | Value at 11/30/2023 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Appreciation (Depreciation) | Value at 2/29/2024 | Shares as of 2/29/2024 | Dividend Income | ||||||||||||||||||||||||
Lord Abbett Affiliated Fund-Class I | $ | 44,620,631 | $ | 565,832 | $ | (5,715,548 | ) | $ | 273,054 | $ | 4,076,492 | $ | 43,820,461 | 2,443,974 | $ | 232,832 | ||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 2,468,781 | 16,090 | (2,572,567 | ) | (168 | ) | 87,864 | – | – | 16,090 | ||||||||||||||||||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 263,647,815 | 22,928,727 | (11,728,000 | ) | (2,583,703 | ) | 5,206,467 | 277,471,306 | 30,258,594 | 3,378,613 | ||||||||||||||||||||||
Lord Abbett Securities Trust- Dividend Growth Fund-Class I | 90,411,307 | 1,169,310 | (30,723,678 | ) | 3,235,481 | (a) | 4,244,170 | 67,910,411 | 3,210,894 | 227,131 | ||||||||||||||||||||||
Lord Abbett Emerging Markets Bond Fund-Class I | 26,924,420 | 472,212 | (1,168,000 | ) | (209,226 | ) | 1,078,990 | 27,098,396 | 6,593,284 | 384,500 | ||||||||||||||||||||||
Lord Abbett Investment Trust- Floating Rate Loan Fund-Class I | – | 16,242,754 | (95,000 | ) | 81 | 19,813 | 16,167,648 | 1,981,329 | 54,627 | |||||||||||||||||||||||
Lord Abbett Fundamental Equity Fund-Class I | 44,647,634 | 8,575,209 | (1,260,000 | ) | 132,268 | 5,529,954 | 57,625,065 | 4,024,097 | – | |||||||||||||||||||||||
Lord Abbett Growth Leaders Fund-Class I | 39,276,625 | 15,778,823 | (6,078,619 | ) | (1,475,831 | ) | 11,885,413 | 59,386,411 | 1,499,657 | – | ||||||||||||||||||||||
Lord Abbett High Yield Fund-Class I | 69,732,496 | 1,398,903 | (3,419,794 | ) | (45,633 | ) | 1,730,305 | 69,396,277 | 10,997,825 | 1,282,535 | ||||||||||||||||||||||
Lord Abbett Income Fund-Class I | 48,053,844 | 43,323,508 | (3,070,000 | ) | (40,987 | ) | 832,901 | 89,099,266 | 36,817,879 | 1,070,229 | ||||||||||||||||||||||
Lord Abbett Inflation Focused Fund-Class I | 47,667,276 | 95,843 | (48,271,304 | ) | (2,509,728 | ) | 3,017,913 | – | – | 102,142 | ||||||||||||||||||||||
Lord Abbett International Equity Fund-Class I | 40,230,217 | 1,107,767 | (4,730,654 | ) | (533,241 | ) | 3,709,726 | 39,783,815 | 2,702,705 | 806,767 | ||||||||||||||||||||||
Lord Abbett International Value Fund-Class I | 33,038,173 | 539,697 | (4,436,248 | ) | 121,722 | 1,187,392 | 30,450,736 | 3,939,293 | 300,697 | |||||||||||||||||||||||
Lord Abbett Short Duration Income Fund-Class I | 7,668,682 | 29,270,172 | (8,972,140 | ) | (54,921 | ) | 8,388 | 27,920,181 | 7,270,880 | 266,675 | ||||||||||||||||||||||
Lord Abbett Ultra Short Bond Fund-Class I | 44,018,646 | 453,417 | (32,464,936 | ) | 545,700 | (366,260 | ) | 12,186,567 | 1,222,324 | 361,507 | ||||||||||||||||||||||
Lord Abbett Private Credit Fund 1, LP | – | 577,670 | – | – | – | 577,670 | 577,670 | – | ||||||||||||||||||||||||
Total | $ | (3,571,311 | ) | $ | 42,249,528 | $ | 818,894,210 | $ | 8,910,524 |
(a) | Includes $426,179 of capital gains. |
331
Investments in Underlying Funds (unaudited)
The Funds invests in Underlying Funds managed by Lord Abbett. As of February 29, 2024, 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 Affiliated Fund, Inc. | 9.77% | |
Lord Abbett Investment Trust-Convertible Fund-Class I | 1.05% | |
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 15.85% | |
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 17.06% | |
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 3.68% | |
Lord Abbett Investment Trust-Floating Rate Fund-Class I | 1.96% | |
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 11.03% | |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 12.45% | |
Lord Abbett Investment Trust-High Yield Fund-Class I | 5.94% | |
Lord Abbett Investment Trust-Income Fund-Class I | 10.05% | |
Lord Abbett Securities Trust-International Equity Fund-Class I | 4.55% | |
Lord Abbett Securities Trust-International Value Fund-Class I | 3.85% | |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 0.46% | |
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 2.23% | |
Lord Abbett Private Credit Fund 1, LP | 0.07% | |
Total | 100.00% |
332
Investments in Underlying Funds (unaudited)(continued)
Multi-Asset Income Fund’s Investments:
Underlying Fund Name | % | |
Lord Abbett Affiliated Fund, Inc. | 5.35% | |
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 33.88% | |
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I | 8.29% | |
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 3.31% | |
Lord Abbett Investment Trust-Floating Rate Fund-Class I | 1.97% | |
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 7.04% | |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 7.25% | |
Lord Abbett Investment Trust-High Yield Fund-Class I | 8.48% | |
Lord Abbett Investment Trust-Income Fund-Class I | 10.88% | |
Lord Abbett Securities Trust-International Equity Fund-Class I | 4.86% | |
Lord Abbett Securities Trust-International Value Fund-Class I | 3.72% | |
Lord Abbett Short Duration Income Fund-Class I | 3.41% | |
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 1.49% | |
Lord Abbett Private Credit Fund 1 LP | 0.07% | |
Total | 100.00% |
The Ten Largest Holdings and the Holdings by Sector as of February 29, 2024, for each Underlying Fund are presented below. Each Underlying Fund’s annual and semiannual reports, which are sent to shareholders and filed with the SEC, contain information about the Underlying Fund’s portfolio holdings, including a complete schedule of holdings. A complete schedule of holdings for each Underlying Fund is also filed with the SEC on Form N-PORT as of the end of each respective Underlying Fund’s first and third quarters. In addition, on or about the first day of the second month following each calendar quarter-end, each Fund makes publicly available a complete schedule of its portfolio holdings as of the last day of each such quarter. The information for the most recently ended calendar quarter may be viewed at www.lordabbett.com or requested at no charge by calling Lord Abbett at 888-522-2388.
333
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Affiliated Fund, Inc.
Ten Largest Holdings | % of Investments | |
JPMorgan Chase & Co. | 4.71% | |
CRH PLC | 2.59% | |
Abbott Laboratories | 2.54% | |
Walmart, Inc. | 2.51% | |
Parker-Hannifin Corp. | 2.47% | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 2.43% | |
Comcast Corp. Class A | 2.33% | |
UnitedHealth Group, Inc. | 2.32% | |
AbbVie, Inc. | 2.22% | |
Ferguson PLC | 2.22% | |
Holdings by Sector | % of Investments | |
Communication Services | 3.79% | |
Consumer Discretionary | 5.62% | |
Consumer Staples | 8.83% | |
Energy | 8.05% | |
Financials | 23.21% | |
Health Care | 11.51% | |
Industrials | 16.59% | |
Information Technology | 13.81% | |
Materials | 4.57% | |
Utilities | 2.92% | |
Repurchase Agreements | 1.10% | |
Total | 100.00% |
334
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Convertible Fund
Ten Largest Holdings | % of Investments | |
Okta, Inc., 0.125%, 9/1/2025 | 5.19% | |
Euronet Worldwide, Inc., 0.750%, 3/15/2049 | 3.88% | |
Bank of America Corp., 7.250% | 3.77% | |
Bill Holdings, Inc., 4/1/2027 | 3.64% | |
BioMarin Pharmaceutical, Inc., 0.599%, 8/1/2024 | 3.61% | |
Lumentum Holdings, Inc., 0.250%, 3/15/2024 | 3.56% | |
Uber Technologies, Inc., 12/15/2025 | 3.26% | |
Shopify, Inc., 0.125%, 11/1/2025 | 2.78% | |
COPT Defense Properties LP, 5.250%, 9/15/2028 | 2.56% | |
Zillow Group, Inc., 2.750%, 5/15/2025 | 2.33% | |
Holdings by Sector | % of Investments | |
Banks | 5.75% | |
Biotechnology | 7.99% | |
Commercial Services | 5.35% | |
Computers | 5.51% | |
Diversified Financial Services | 0.46% | |
Electric | 0.93% | |
Energy-Alternate Sources | 1.51% | |
Engineering & Construction | 1.57% | |
Entertainment | 5.71% | |
Health Care-Products | 6.69% | |
Industrial | 3.58% | |
Internet | 24.46% | |
Machinery-Diversified | 0.28% | |
Oil & Gas | 0.54% | |
Pharmaceuticals | 2.90% | |
Private Equity | 3.58% | |
Retail | 5.43% | |
Software | 16.45% | |
Repurchase Agreements | 1.31% | |
Total | 100.00% |
335
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Core Fixed Income Fund
Ten Largest Holdings | % of Investments | |
U.S. Treasury Bonds, 4.375%, 8/15/2043 | 3.93% | |
U.S. Treasury Notes, 4.250%, 1/31/2026 | 3.58% | |
U.S. Treasury Notes, 3.750%, 12/31/2028 | 2.52% | |
U.S. Treasury Notes, 4.625%, 2/28/2026 | 2.33% | |
U.S. Treasury Notes, 4.250%, 12/31/2025 | 1.62% | |
U.S. Treasury Notes, 4.250%, 5/31/2025 | 1.51% | |
U.S. Treasury Bonds, 3.875%, 2/15/2043 | 1.34% | |
U.S. Treasury Notes, 4.000%, 2/15/2034 | 1.09% | |
Government National Mortgage Association, 6.000%, TBA | 0.96% | |
U.S. Treasury Bonds, 4.250%, 2/15/2054 | 0.93% | |
Holdings by Sector | % of Investments | |
Asset-Backed Securities | 13.09% | |
Basic Materials | 0.20% | |
Communications | 2.24% | |
Consumer Cyclical | 1.90% | |
Consumer Non-Cyclical | 4.23% | |
Energy | 2.77% | |
Financial | 14.24% | |
Foreign Government | 3.39% | |
Industrial | 1.36% | |
Mortgage-Backed Securities | 6.31% | |
Municipal | 0.08% | |
Technology | 0.93% | |
U.S. Government | 40.06% | |
Utilities | 4.09% | |
Repurchase Agreements | 5.11% | |
Total | 100.00% |
336
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Research Fund, Inc. – Dividend Growth Fund
Ten Largest Holdings | % of Investments | |
Microsoft Corp. | 8.93% | |
NVIDIA Corp. | 4.84% | |
Mastercard, Inc. Class A | 3.96% | |
Exxon Mobil Corp. | 3.60% | |
UnitedHealth Group, Inc. | 2.95% | |
Apple, Inc. | 2.87% | |
AbbVie, Inc. | 2.85% | |
Eli Lilly & Co. | 2.65% | |
Lam Research Corp. | 2.44% | |
Accenture PLC Class A | 2.39% | |
Holdings by Sector | % of Investments | |
Communication Services | 1.87% | |
Consumer Discretionary | 7.27% | |
Consumer Staples | 7.59% | |
Energy | 3.98% | |
Financials | 17.56% | |
Health Care | 14.33% | |
Industrials | 9.71% | |
Information Technology | 29.63% | |
Materials | 4.84% | |
Utilities | 2.26% | |
Repurchase Agreements | 0.96% | |
Total | 100.00% |
337
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund
Ten Largest Holdings | % of Investments | |
Saudi Government International Bonds, 3.450%, 2/2/2061 | 1.69% | |
Indonesia Government International Bonds, 1.850%, 3/12/2031 | 1.63% | |
Brazil Government International Bonds, 6.125%, 3/15/2034 | 1.39% | |
Peru Government International Bonds, 3.000%, 1/15/2034 | 1.38% | |
Brazil Government International Bonds, 7.125%, 5/13/2054 | 1.33% | |
Republic of South Africa Government International Bonds, 4.300%, 10/12/2028 | 1.25% | |
Egypt Government International Bonds, 7.600%, 3/1/2029 | 1.13% | |
QatarEnergy, 2.250%, 7/12/2031 | 1.11% | |
Colombia Government International Bonds, 5.000%, 6/15/2045 | 1.11% | |
Republic of Turkey Government International Bond, 7.625%, 5/15/2034 | 1.11% | |
Holdings by Sector | % of Investments | |
Basic Materials | 3.18% | |
Communications | 1.13% | |
Consumer, Cyclical | 2.24% | |
Consumer, Non-cyclical | 2.71% | |
Energy | 14.61% | |
Financial | 10.04% | |
Foreign Government | 57.27% | |
Industrial | 1.67% | |
Utilities | 6.23% | |
Repurchase Agreements | 0.92% | |
Total | 100.00% |
338
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Floating Rate Fund
Ten Largest Holdings | % of Investments | |
Invesco Senior Loan ETF | 1.22% | |
Cloud Software Group, Inc., 3/30/2029 | 0.75% | |
Jane Street Group LLC, 1/26/2028 | 0.66% | |
American Airlines, Inc., 4/20/2028 | 0.59% | |
ACBL Holdings Corp. | 0.57% | |
SPDR Blackstone Senior Loan ETF | 0.54% | |
MH Sub I LLC, 5/3/2028 | 0.52% | |
Peraton Corp., 2/1/2028 | 0.52% | |
Virgin Media Bristol LLC, 1/31/2028 | 0.51% | |
Fertitta Entertainment LLC, 1/27/2029 | 0.51% | |
Holdings by Sector | % of Investments | |
Asset Backed Securities | 1.93% | |
Basic Materials | 3.89% | |
Communications | 7.19% | |
Consumer, Cyclical | 15.03% | |
Consumer, Non-cyclical | 15.00% | |
Energy | 4.82% | |
ETF’s | 1.75% | |
Financial | 11.13% | |
Industrial | 13.99% | |
Technology | 15.03% | |
Utilities | 1.53% | |
Repurchase Agreements | 8.71% | |
Total | 100.00% |
339
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Research Fund, Inc. – Fundamental Equity Fund
Ten Largest Holdings | % of Investments | |
JPMorgan Chase & Co. | 4.01% | |
Allstate Corp. | 2.55% | |
Alphabet, Inc. Class A | 2.51% | |
Microsoft Corp. | 2.43% | |
Wells Fargo & Co. | 2.37% | |
Shell PLC ADR | 2.31% | |
KKR & Co., Inc. | 2.26% | |
AbbVie, Inc. | 2.25% | |
EMCOR Group, Inc. | 2.19% | |
Charles Schwab Corp. | 2.17% | |
Holdings by Sector | % of Investments | |
Communication Services | 4.29% | |
Consumer Discretionary | 6.77% | |
Consumer Staples | 6.20% | |
Energy | 8.04% | |
Financials | 23.86% | |
Health Care | 12.88% | |
Industrials | 16.12% | |
Information Technology | 10.90% | |
Materials | 4.48% | |
Real Estate | 3.29% | |
Utilities | 2.77% | |
Repurchase Agreements | 0.40% | |
Total | 100.00% |
340
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – Growth Leaders Fund
Ten Largest Holdings | % of Investments | |
NVIDIA Corp. | 10.92% | |
Microsoft Corp. | 7.02% | |
Meta Platforms, Inc. | 6.13% | |
Amazon.com, Inc. | 4.84% | |
Arista Networks, Inc. | 3.01% | |
Advanced Micro Devices, Inc. | 2.63% | |
MercadoLibre, Inc. | 2.58% | |
Netflix, Inc. | 2.58% | |
Eli Lilly & Co. | 2.36% | |
Uber Technologies, Inc. | 2.35% | |
Holdings by Sector | % of Investments | |
Communication Services | 12.87% | |
Consumer Discretionary | 14.77% | |
Financials | 4.67% | |
Health Care | 9.72% | |
Industrials | 9.55% | |
Information Technology | 46.57% | |
Repurchase Agreements | 1.85% | |
Total | 100.00% |
341
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – International Equity Fund
Ten Largest Holdings | % of Investments | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 3.26% | |
Novo Nordisk AS | 3.16% | |
ASML Holding NV | 2.57% | |
Shell PLC | 2.11% | |
Schneider Electric SE | 2.04% | |
CRH PLC | 1.98% | |
SAP SE | 1.95% | |
Hitachi Ltd. | 1.95% | |
LVMH Moet Hennessy Louis Vuitton SE | 1.81% | |
Samsung Electronics Co. Ltd. | 1.79% | |
Holdings by Sector | % of Investments | |
Communication Services | 4.66% | |
Consumer Discretionary | 11.80% | |
Consumer Staples | 5.07% | |
Energy | 5.09% | |
Financials | 18.28% | |
Health Care | 11.67% | |
Industrials | 14.53% | |
Information Technology | 17.96% | |
Materials | 6.11% | |
Real Estate | 2.36% | |
Utilities | 1.53% | |
Repurchase Agreements | 0.94% | |
Total | 100.00% |
342
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – High Yield Fund
Ten Largest Holdings | % of Investments | |
CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030 | 0.60% | |
Frontier Communications Holdings LLC, 6.000%, 1/15/2030 | 0.56% | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/1/2028 | 0.52% | |
Altice France SA, 5.125%, 7/15/2029 | 0.48% | |
Vistra Operations Co. LLC, 7.750%, 10/15/2031 | 0.48% | |
Bombardier, Inc., 6.000%, 2/15/2028 | 0.48% | |
Cloud Software Group, Inc., 6.500%, 3/31/2029 | 0.47% | |
American Airlines, Inc., 7.250%, 2/15/2028 | 0.45% | |
Carnival Corp., 6.000%, 5/1/2029 | 0.44% | |
Cloud Software Group, Inc., 9.000%, 9/30/2029 | 0.43% | |
Holdings by Sector | % of Investments | |
Basic Materials | 7.20% | |
Communications | 11.30% | |
Consumer Cyclical | 19.91% | |
Consumer Non-Cyclical | 13.10% | |
Diversified | 0.40% | |
Energy | 16.10% | |
Financial | 9.16% | |
Foreign Government | 0.15% | |
Industrial | 14.46% | |
Technology | 4.79% | |
Utilities | 3.37% | |
Repurchase Agreements | 0.06% | |
Total | 100.00% |
343
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Income Fund
Ten Largest Holdings | % of Investments | |
U.S. Treasury Bonds, 4.375%, 8/15/2043 | 2.90% | |
Government National Mortgage Association, 6.500%, TBA | 1.31% | |
BAT Capital Corp., 7.750%, 10/19/2032 | 0.99% | |
Sprint Capital Corp., 6.875%, 11/15/2028 | 0.93% | |
Continental Resources, Inc., 5.750%, 1/15/2031 | 0.88% | |
U.S. Treasury Inflation-Indexed Notes, 0.250%, 1/15/2025 | 0.80% | |
Centene Corp., 3.375%, 2/15/2030 | 0.76% | |
Charter Communications Operating LLC, Zero Coupon, 2/1/2027 | 0.76% | |
AES Corp., 6.046%, 3/11/2024 | 0.74% | |
JPMorgan Chase & Co., 4.912% (SOFR + 2.08%), 7/25/2033 | 0.71% | |
Holdings by Sector | % of Investments | |
Asset-Backed Securities | 5.43% | |
Basic Materials | 2.11% | |
Communications | 4.81% | |
Consumer Cyclical | 5.77% | |
Consumer Non-cyclical | 10.39% | |
Energy | 15.48% | |
Financial | 27.26% | |
Foreign Government | 0.36% | |
Industrial | 4.38% | |
Mortgage-Backed Securities | 0.12% | |
Municipal | 0.75% | |
Technology | 3.92% | |
U.S. Government | 7.47% | |
Utilities | 11.28% | |
Repurchase Agreements | 0.47% | |
Total | 100.00% |
344
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – International Value Fund
Ten Largest Holdings | % of Investments | |
Shell PLC | 4.32% | |
Novartis AG Registered Shares | 3.62% | |
Toyota Motor Corp. | 3.31% | |
Sanofi SA | 2.83% | |
BHP Group Ltd. | 2.79% | |
HSBC Holdings PLC | 2.60% | |
Sumitomo Mitsui Financial Group, Inc. | 2.25% | |
Orange SA | 2.23% | |
CRH PLC | 2.14% | |
AXA SA | 2.12% | |
Holdings by Sector | % of Investments | |
Communication Services | 3.42% | |
Consumer Discretionary | 6.37% | |
Consumer Staples | 6.68% | |
Energy | 9.37% | |
Financials | 25.53% | |
Health Care | 8.65% | |
Industrials | 16.09% | |
Information Technology | 6.10% | |
Materials | 6.64% | |
Real Estate | 4.06% | |
Utilities | 4.06% | |
Repurchase Agreements | 3.03% | |
Total | 100.00% |
345
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Short Duration Income Fund
Ten Largest Holdings | % of Investments | |
U.S. Treasury Inflation-Indexed Notes, 0.250%, 1/15/2025 | 0.75% | |
U.S. Treasury Notes, 5.000%, 9/30/2025 | 0.73% | |
U.S. Treasury Notes, 4.125%, 1/31/2025 | 0.66% | |
Citigroup, Inc., 3.106%, 4/8/2026 | 0.58% | |
U.S. Treasury Notes, 4.625%, 2/28/2026 | 0.57% | |
Invitation Homes Operating Partnership LP, 1/31/2025 | 0.57% | |
Intesa Sanpaolo SpA, 5.017%, 6/26/2024 | 0.56% | |
Charter Communications Operating LLC, 2/1/2027 | 0.45% | |
HCA, Inc., 5.250%, 4/15/2025 | 0.44% | |
Manufacturers & Traders Trust Co., 4.650%, 1/27/2026 | 0.43% | |
Holdings by Sector | % of Investments | |
Asset-Backed Securities | 23.44% | |
Basic Materials | 2.21% | |
Communications | 2.00% | |
Consumer Cyclical | 5.75% | |
Consumer Non-Cyclical | 6.41% | |
Energy | 6.75% | |
Financial | 32.27% | |
Foreign Government | 0.09% | |
Industrial | 2.18% | |
Mortgage-Backed Securities | 7.19% | |
Technology | 1.15% | |
U.S. Government | 3.35% | |
Utilities | 5.72% | |
Repurchase Agreements | 1.49% | |
Total | 100.00% |
346
Investments in Underlying Funds (unaudited)(concluded)
Lord Abbett Investment Trust – Ultra Short Bond Fund
Ten Largest Holdings | % of Investments | |
HSBC Holdings PLC 3.803% (3 mo. USD Term SOFR + 1.47%), 3/11/2025 | 1.33% | |
Wells Fargo & Co., 2.406% (3 mo. USD Term SOFR + 1.09%), 10/30/2025 | 1.28% | |
NatWest Group PLC 4.269% (3 mo. USD LIBOR + 1.76%), 3/22/2025 | 1.22% | |
Rogers Communications, Inc., 6.024%, 4/30/2024 | 1.09% | |
BNP Paribas SA 2.819% (3 mo. USD Term SOFR + 1.37%), 11/19/2025 | 1.08% | |
JPMorgan Chase & Co., 2.301% (SOFR + 1.16%), 10/15/2025 | 1.00% | |
U.S. Treasury Notes, 4.250%, 5/31/2025 | 0.91% | |
APA Corp., 6.084%, 3/1/2024 | 0.91% | |
Macquarie Group Ltd. 6.207%, 11/22/2024 | 0.89% | |
HSBC Holdings PLC 2.999% (SOFR + 1.43%), 3/10/2026 | 0.85% | |
Holdings by Sector | % of Investments | |
Asset-Backed Securities | 22.27% | |
Basic Materials | 0.79% | |
Communications | 2.17% | |
Consumer, Cyclical | 9.37% | |
Consumer, Non-cyclical | 3.24% | |
Energy | 4.32% | |
Financial | 46.33% | |
Foreign Government | 0.16% | |
Industrial | 1.98% | |
Mortgage-Backed Securities | 2.52% | |
Technology | 2.17% | |
U.S. Government | 0.54% | |
Utilities | 1.58% | |
Repurchase Agreements | 2.56% | |
Total | 100.00% |
347
QPHR-INV-1Q
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