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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07989
Metropolitan West Funds
(Exact name of registrant as specified in charter)
865 South Figueroa Street
Los Angeles, CA 90017
(Address of principal executive offices) (Zip code)
David B. Lippman
Metropolitan West Funds
865 South Figueroa Street
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213)244-0000
Date of fiscal year end: March 31
Date of reporting period: March 31, 2020
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.TCW.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary (such as a broker-dealer, bank, or retirement plan), or by calling1-800-241-4671 if you invest directly with the Funds.
You may elect to receive all future reports in paper free of charge. Contact your financial intermediary or, if you invest directly with the Funds, call1-800-241-4671, to request that you continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held through your financial intermediary or directly with TCW.
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Dear Fellow Shareholder,
Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the year ended March 31, 2020. During the reporting period, overall assets across the complex increased to approximately $87 billion, which we are gratified to see - particularly against a backdrop of heightened volatility and rebalancing activity in early 2020.
The March 31, 2020 Annual Report covers the following Metropolitan West Funds:
Metropolitan West AlphaTrak 500 Fund | M-Class (MWATX) | |
Metropolitan West Corporate Bond Fund | M-Class (MWCSX),I-Class (MWCBX) | |
Metropolitan West Flexible Income Fund | M-Class (MWFSX ),I-Class (MWFEX) | |
Metropolitan West Floating Rate Income Fund | M-Class (MWFRX),I-Class (MWFLX) | |
Metropolitan West High Yield Bond Fund | M-Class (MWHYX),I-Class (MWHIX) | |
Metropolitan West Intermediate Bond Fund | M-Class (MWIMX),I-Class (MWIIX) | |
Metropolitan West Investment Grade Credit Fund | M-Class (MWISX),I-Class (MWIGX) | |
Metropolitan West Low Duration Bond Fund | M-Class (MWLDX),I-Class (MWLIX), | |
Administrative-Class (MWLNX) | ||
Metropolitan West Strategic Income Fund | M-Class (MWSTX),I-Class (MWSIX) | |
Metropolitan West Total Return Bond Fund | M-Class (MWTRX),I-Class (MWTIX), | |
I-2-Class (MWTTX), | ||
Administrative-Class (MWTNX), | ||
Plan-Class (MWTSX) | ||
Metropolitan West Ultra Short Bond Fund | M-Class (MWUSX),I-Class (MWUIX) | |
Metropolitan West Unconstrained Bond Fund | M-Class (MWCRX),I-Class (MWCIX), | |
Plan-Class (MWCPX) |
Economic Review and Market Environment
With devastating speed, the longest bull market in U.S. history was brought to an end in the first quarter of 2020, laid low by the global transmission of the novel coronavirus and the strict economic curbs invoked to slow its further spread. The consequent market volatility sent risk premiums soaring across the bond markets as well, with no sector spared the repricing, particularly as leveraged investor (forced) sales and more routine redemptions tested liquidity in a fashion unhappily reminiscent of 2008. Assessing the damage, the S&P 500 saw all of its gains since 2016 erased in anear-20% first quarter loss, punctuated by a 34% tumble from February 19 through March 23 and aone-day plummet of 12% on March 16. The swing in sentiment in the first quarter of 2020 was dramatic, particularly so given that it occurred on the heels of a year in which equities experienced over 30% gains. Corporate fixed income’s difficulties were nearly as staggering, posting intra-quarterpeak-to-trough slides of 15.4% in investment grade and close to 21% in high yield. In a testament to the volatility and unusual circumstances, the U.S. Treasury market rallied ferociously with the entire curve trading below 1% in early March. Not to be left out, as well as to foreshadow a coming cascade of stimulus, the Federal Reserve weighed in with two between-meeting cuts to its target rate, lopping the final 150 basis points in a return to a zero interest rate policy (ZIRP), and resuming/expanding its asset purchase programs. Over the trailingone-year period, the Treasury yield curve collapsed, led by shorter maturities where yields were down over 230 bps, though the bellwether10-Year yield dropped nearly 200 bps lower as well, closing March at 0.67%.
Fixed income total returns benefitted from the drop in rates, reflected in an 8.9% gain for the Bloomberg Barclays U.S. Aggregate Index for the period, though negative excess returns were over 322 bps on the increasednon-U.S. Treasuries risk premiums. Most noteworthy, investment grade corporate spreads moved substantially wider from cycle tights to close March 2020 at 272 bps, and the sector trailed duration-matched Treasuries by 10.6%. High yield corporates repriced more precipitously, with spreads nearly 500 bps wider on average, leading to a 6.9% decline. Both investment grade and high yield bond funds saw some panic selling throughmid-March, with outflows particularly sharp in short-dated investment grade as investors sold more liquid, shorter-dated securities in a rush for liquidity. Outside of credit, securitized products generally fared better, though still experienced spread widening. Of note, agency mortgage-backed securities (MBS) have had a historically volatile year, as the better part of 2019 was marked by Fed balance sheet reduction, Treasury rate volatility, and changes to the TBA market which caused spreads to fluctuate. Moving forward into 2020, spreads gapped wider in March (touching as high as 132 bps), then remediated as investors started to price in the renewed Fed support (i.e., it became clear that purchases were committed until trading levels stabilized fully) and ended the period at 60 bps. In securitized credit,non-agency MBS provided consistent positive returns through the better part of the period, though the sector experienced some pricing weakness late in 2019, followed by sharper action in late March on selling pressures from mortgage REITs, despite no concurrent change in fundamentals. Asset-backed securities (ABS) returned 2.8% for the period, while commercial MBS (CMBS) was led higher by strong returns from agency CMBS (+8.8%) whilenon-agency backed issues trailed (+4.4%).
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The Economy and Market Ahead
Given the unique impact of the coronavirus across the economy, there are more questions than answers in terms of outlook. Without doubt, the ramifications of the coronavirus will be widespread and longstanding, with disproportionate effects on certain industries and even permanent changes to previously routineday-to-day activity. What’s clear right now is that large portions of the economy have been shut down, capital markets are in turmoil - beset by uncertainty, illiquidity, deleveraging andde-risking - and the Federal Reserve and U.S. Government are responding aggressively. For that reason, it’s difficult to envision av-shaped recovery – instead expecting a more muted, protracted rebound as solutions to the pandemic materialize. From a more sector-specific perspective, it’s likely thatdown-in-quality names will remain under stress, with periods ofmark-to-market volatility and illiquidity, particularly for high yield and emerging market debt. Rating agency activity should intensify with downgrades and accelerate fallen angel activity, in numerous areas, most obviously hospitality and leisure, but also in the commodity-related space as oil prices have been hit hard by both OPEC disagreements leading to supply glut coupled with plummeting global demand on slowed economic activity. Recent market stresses have created opportunities, though extreme caution is still warranted as a recession will likely trigger a significant wave of downgrades and defaults.
Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch.
Fund Performance Commentary
The performance data presented below represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month end is available on the Funds’ website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in a Fund, when redeemed, may be worth more or less than its original purchase cost.
Metropolitan West AlphaTrak 500 Fund
(MWATX)
The MetWest AlphaTrak 500 Fund (“Fund”) fell 9.36% (net of fees) for the year ended March 31, 2020, while the S&P 500 Index declined 6.98%. The Fund’s 0.6 year duration positioning from the beginning of the period was extended to 0.8 years, benefiting performance as yields declined to historic lows toward the latter part of the timeframe. Despite good performance in 2019, short corporates weighed on returns as spreads widened over 200 bps with investors selling short to hold on to cash amid the pandemic. No corporate sector was spared of the widening, but those of lower quality and with more market sensitivities like energy and basic industry were among the worst performing. Similarly, securitized products also weighed on returns despite positive performance in 2019, as the sector was not immune from the market volatility due to the pandemic.Non-agency MBS was a particular drag on performance as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have solid underlying fundamentals. Meanwhile, issue selection favoring higher rated, senior ABS and CMBS helped returns, with the small exposure to agency MBS further additive on the unlimited Fed sponsorship instituted toward the end of the period.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues while high yield comprised only a small allocation, skewed to more creditworthy issuers, in keeping with the prevailing late-cycle view. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on legacynon-agency residential MBS (RMBS), both agency andnon-agency CMBS,AAA-rated collateralized loan obligations (CLOs) and Federal Family Education Loan Program (FFELP) student loan receivables. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned. Corporate credit exposure has increased modestly, with a continued focus on higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the agency CMBS position. The ABS exposure remains focused on government-guaranteed student loans andAAA-rated CLOs, though the positions may be modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market. Finally, a duration positioning with mostlyfront-end exposure will be maintained given historically low rates with the propensity to add duration faster on a rate backup than reduced on a fall in rates. As always, these and future Fund actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.
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Performance Through March 31, 2020 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWATX (Inception: June 29, 1998) | -14.84% | -9.36% | 3.89% | 7.33% | 12.05% | 6.01% | ||||||
Standard & Poor’s 500 Index | -12.31% | -6.98% | 5.10% | 6.72% | 10.52% | 5.83% |
Metropolitan West Corporate Bond Fund
M-Class (MWCSX),I-Class (MWCBX)
For the one year period ending March 31, 2020, the MetWest Corporate Bond Fund–I Class (“Fund”) gained 9.46% (net of fees), outpacing the Bloomberg Barclays U.S. Corporate Index by 448 bps. Outperformance was driven by the underweight to investment grade corporates, which widened to end the period amid virus-induced volatility, despite good 2019 performance. No corporate industry was spared, though those with more market sensitivities like energy and cyclicals performed the worst, benefiting the Fund’s bias for more defensive industries like communications such as cable and wirelines, though an underweight to banking detracted as the sector outpaced the Index. The underweight to emerging market debt was another boost to returns, as the sector was among the worst performers in fixed income during this timeframe, while detracting were issue selection among municipals and high yield corporates, as these sectors also widened. Further benefiting the Fund issue selection among senior, higher rated CMBS, as well as agency MBS, which overcame 2019 underperformance to pace fixed income for the period given unlimited Fed sponsorship. Finally, the impact from duration positioning was negative with a relatively neutral profile extending to slightly long toward the end of 2019 as rates fell, while shortening further as yields plunged to record lows in March 2020.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, positioning manifested itself across via a more conservative posture, with core holdings focused on higher quality, more senior areas of fixed income and a short duration profile relative to the Index. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned. The corporate credit exposure favors higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; with additions largely being funded through a reduction in the CMBS position. With anticipation that there will be further bouts of volatility in the credit market, lower quality areas of the credit markets are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more, as distressed sellers appear. These opportunities will allow the Fund to deploy capital in lower rated credits at more attractive entry points. Outside of credit, the focus remains on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis onnon-agency CMBS and agency MBS. Given the unlimited purchasing power of the Fed, we believe agency MBS will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. Finally, the duration position was shortened as rates rallied to historic lows, bringing the relative position to roughly 1.8 year short versus the Index. As always, these and future Fund actions will be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.
Performance Through March 31, 2020 | ||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||
MWCSX (Inception: June 29, 2018) | 0.84% | 9.19% | — | — | — | 9.71% | ||||||||
Bloomberg Barclays U.S. Corporate Index | -2.49% | 4.98% | — | — | — | 6.26% | ||||||||
MWCBX (Inception: June 29, 2018) | 0.97% | 9.46% | — | — | — | 9.99% | ||||||||
Bloomberg Barclays U.S. Corporate Index | -2.49% | 4.98% | — | — | — | 6.26% | ||||||||
Metropolitan West Flexible Income Fund
M-Class (MWFSX),I-Class (MWFEX)
The MetWest Flexible Income Fund – I Class (“Fund”) gained 10.14% (net of fees) for the one year period ended March 31, 2020, 121 bps ahead of the Bloomberg Barclays U.S. Aggregate Index. While relative performance was weighed down late in the period by the overweight to securitized products given pricing volatility, this was more than offset by strong returns during 2019. The Fund was considerably overweight commercial MBS, and itsnon-agency CMBS positions, in particular, were beneficial to returns over the trailing year period. Issue selection favoring higher quality, senior ABS was also favorable to returns. In terms of credit exposures, the drag on performance from an underweight to outperforming investment grade corporates in 2019 was overcome by spread widening during the first quarter of 2020, resulting in a positive for the full year period. Issue selection favoring more defensive sectors like consumernon-cyclicals and communications further contributed to returns. The small exposure to high yield, however,
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held back returns as the sector was among the worst performing in the fixed income universe, though an underweight to trailing emerging market debt was additive. Finally, the duration positioning was maintained considerably short relative to the Index, resulting in a large drag on relative performance as rates declined to historic lows during the period.
Given our late cycle concerns, the Fund was defensively positioned going into this crisis, providing us with ample flexibility to respond to rapidly changing market valuations and add to high quality sectors that either benefit directly from Fed activity or that are robust enough to survive without assistance. In the corporate sector, the Fund maintains a slight overweight, with positioning concentrated among high conviction, high quality names as well as defensive sectors likenon-cyclicals, communications, and pharmaceuticals/healthcare. Additions in this cheapening phase are focused on long-dated bonds from issuers with “fortress balance sheets” at now attractive yield premiums as well asFed-supported assets such as money center banks given potential for very strong returns if spreads tighten. A small position in high yield credit is maintained, with expectations for this to be increased if valuations improve. The Fund’s securitized products holdings emphasize commercial MBS, though the allocation was trimmed over the course of the period given better relative opportunities elsewhere. Amongnon-agency MBS, the strategy will look for longer duration, deeply discounted senior legacynon-agency MBS bonds with solid, stable fundamentals and significant upside. Finally, the ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs.
Performance Through March 31, 2020 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWFSX (Inception: November 30, 2018) | 2.45% | 9.82% | — | — | — | 15.45% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 3.33% | 8.93% | — | — | — | 10.46% | ||||||
MWFEX (Inception: November 30, 2018) | 2.54% | 10.14% | — | — | — | 15.69% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 3.33% | 8.93% | — | — | — | 10.46% | ||||||
Metropolitan West Floating Rate Income Fund
M-Class (MWFRX),I-Class (MWFLX)
For the one year period ending March 31, 2020, the MetWest Floating Rate Bond Fund – I Class (“Fund”) fell 5.17% (net of fees), outperforming the S&P/LSTA Leveraged Loan Index by 399 bps. Outperformance was driven by a defensive orientation held by the Fund, boosted by the underweight to industries that have more market sensitivities like cyclicals, metals/minerals, and energy, as these were among the worst performing in the loans universe amid coronavirus-induced volatility, with energy further weighed down by a collapse in oil prices given abundant supply besides the downturn in demand due to social distancing. Further bolstering performance was issue selection favoring higher quality names in cyclicals like services, while avoiding leisure, lodging, and retailers which were most adversely impacted byCOVID-19 due tostay-at-home measures, though gaming was a modest drag on performance. Other positive contributions came from issue selection within food, drugs, financials, packaging, chemicals, communications, and technology. Finally, the Fund’sup-in-quality orientation boosted performance, with lower rated loans (CCCs/Split CCCs) returning-21% while better rated (split BBBs) returned-2.3% for the specified one year period.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, positioning manifested itself via a more conservative posture, with core holdings focused on higher quality, more senior areas of the leveraged loan market. Through the course of the first quarter’s cheapening phase, the Fund began to add in exposure as spreads widened considerably. Additions included swapping into loans that are now at attractive yield premiums, with an overall focus on issuers with “fortress balance sheets” – those able to withstand ongoing market volatility, like consumernon-cyclicals, banking, communications, packaging, as well as cyclicals and technology on weakness. With anticipation that there will be further bouts of volatility in the loans market, lower quality areas are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more at attractive entry points, as distressed sellers appear.As the coronavirus crisis hit markets, subsequent volatility in the loans universe was unparalleled in past history. Rating agencies have done their best to make their mark in this environment, with Moody’s and S&P downgrading about 15% of loans secured in collateralized loan obligations (CLOs) by the end of March. This action has increased the segment of loans that are precluded from CLOs, as CCCs have fallensub-80 in price, the point at which CLOs do not sponsor, making it more difficult for the broader loans market to recover going forward. As such, the Fund continues to emphasize what are viewed as more resilient, defensive areas such asnon-cyclical, recession-resistant sectors (i.e., communications, food & beverage, pharmaceuticals, and healthcare) while cyclicals, financials (except banking), and technology represent a relative underweight.
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Performance Through March 31, 2020 | ||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||
MWFRX (Inception: June 28, 2013) | -7.78% | -5.36% | 0.24% | 1.38% | — | 2.15% | ||||||||||
S&P/LSTA Leveraged Loan Index | -11.54% | -9.16% | -0.80% | 1.12% | — | 1.81% | ||||||||||
MWFLX (Inception: June 28, 2013) | -7.60% | -5.17% | 0.44% | 1.60% | — | 2.35% | ||||||||||
S&P/LSTA Leveraged Loan Index | -11.54% | -9.16% | -0.80% | 1.12% | — | 1.81% | ||||||||||
Metropolitan West High Yield Bond Fund
M-Class (MWHYX),I-Class (MWHIX)
The MetWest High Yield Bond Fund – I Class (“Fund”) returned 0.19% (net of fees) for theone-year period ended March 31, 2020, outpacing the return of the Bloomberg Barclays High Yield 2% Issuer Capped Index by 713 bps. Positive issue selection was a large driver of relative returns, particularly within the energy space, where avoiding credit accidents became increasingly important given that certain names held in the Index lost over 60% during the period on oil price weakness. Communications and consumernon-cyclicals credits held in the Fund also outperformed those in the Index, further bolstering relative returns. From a quality tiering perspective, while no cohort was spared from the significant degree of volatility that plagued the broader market, lower rated bonds disproportionately underperformed, as CCCs lost 18.8% relative to a 3.2% and 6.8% fall in BB andB-rated credits during the period. As such, the Fund’s overall focus on higher quality issues was beneficial given the significant underperformance of the lower quality cohort. In terms of sector allocation, an underweight to energy and consumer cyclicals in favor of high quality, defensivenon-cyclicals and communications contributed to returns, though this was somewhat offset by lagging electric utility names. Energy was the worst performing high yield sector, with especially poor performance by oil field services and independent Exploration and Production (E&P) (down 55% and 48% on a total return basis, respectively), while communications names outperformed, with wireless and cable satellite delivering positive returns. Finally, the duration positioning was maintained at a relative short to the Index, weighing on performance as rate volatility persisted and the10-Year bellwether yield moved nearly 195 bps lower during the period.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, the positioning manifested itself across via a more conservative posture, with core holdings focused on higher quality, more senior areas of the high yield market and a short duration profile relative to the Index. Through the course of the first quarter’s cheapening phase, the Fund began to add in exposure as spreads widened considerably. Additions included swapping into longer-dated bonds atnow-attractive yield premiums, with an overall focus on issuers with “fortress balance sheets” able to withstand ongoing market volatility, while also adding to gaming, autos, and technology names on weakness, and taking advantage of attractive new issue offerings among cable satellite, technology and banking. Finally, the duration position was modestly shortened as rates rallied to historic lows, bringing the relative position to roughlysix-tenths of a year short versus the Index. With anticipation that there will be further bouts of volatility in the credit market, lower quality areas of the credit markets are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more, as distressed sellers appear. These opportunities will allow the portfolio to deploy capital in lower rated credits (i.e. CCC and below) at more attractive entry points. Meanwhile, the Fund continues to emphasize what are viewed as more resilient, defensive areas of the market such asnon-cyclical, recession-resistant sectors (e.g., communications and healthcare) while financial, retail and select leisure credits represent a relative underweight.
Performance Through March 31, 2020 | ||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||
MWHYX (Inception: September 30, 2002) | -4.23% | -0.06% | 2.82% | 2.99% | 4.65% | 7.59% | ||||||||||
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap | -10.40% | -6.94% | 0.76% | 2.78% | 5.63% | 7.88% | ||||||||||
MWHIX (Inception: March 31, 2003) | -4.21% | 0.19% | 3.03% | 3.22% | 4.90% | 6.99% | ||||||||||
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap | -10.40% | -6.94% | 0.76% | 2.78% | 5.63% | 7.26% | ||||||||||
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Metropolitan West Intermediate Bond Fund
M-Class (MWIMX),I-Class (MWIIX)
The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 5.60% (net of fees) for the one year period ended March 31, 2020, 128 bps behind the Bloomberg Barclays Intermediate Government/Credit Index (“Index”). Relative performance was weighed down by the overweight to securitized products, as the sector was not immune from pricing dislocations stemming from coronavirus-related volatility in the first quarter of 2020, despite positive performance in 2019. Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals. The overweight positions to ABS and CMBS also detracted from performance, though this was somewhat offset by positive issue selection among higher quality holdings. As agency MBS spreads widened given Fed tapering and prepayment risk lurked around the corner as yields fell, the Fund increased its mortgage basis at attractive entry points, to nearly 25% by the end of March 2020 from 10% during the middle of 2019. This upsized shift benefited Fund performance as agency MBS spreads retraced on Fed’s massive buying instituted inmid-March. In terms of credit exposures, the drag from an underweight to outperforming investment grade corporates in 2019 was overcome by spread widening during the first quarter of 2020, resulting in a slight positive for the full year period, with issue selection favoring more defensive sectors like consumernon-cyclicals and communications further contributing. The Fund opportunistically increased its corporate allocation in early March to take advantage of this weakness, moving from an underweight to a small overweight by the end of the period. The small exposure to high yield, however, held back returns as the sector was among the worst performing in the fixed income universe, though an underweight to trailing emerging market debt was additive. Finally, duration positioning had a minimal effect on Fund performance for the period, given that the benefit of a longer duration profile as yields fell in 2019 was offset by a headwind from a relative short position in the first quarter of 2020 as rates declined to historic lows.
Given our late cycle concerns, the Fund was defensively positioned going into this crisis, providing us with ample flexibility to respond to rapidly changing market valuations. Our approach has been to add risk aggressively in high quality sectors that either benefit directly from Fed activity or that are robust enough to survive without assistance. As those sectors recover, we will look to migrate down the quality spectrum to take advantage of expected further dislocation in more credit-sensitive sectors. In the corporate sector, the Fund is now overweight overall, with positioning concentrated among high conviction, high quality names as well as defensive sectors likenon-cyclicals, communications, and pharmaceuticals/healthcare. Additions in this cheapening phase are focused on long-dated bonds from issuers with “fortress balance sheets” at now attractive yield premiums as well asFed-supported assets such as money center banks given potential for very strong returns if spreads tighten. A small position in high yield credit is maintained, with expectations for this to be increased if valuations improve. The securitized products allocation emphasizes agency MBS, with the position upsized as spreads widened. The sector remains attractive given explicit Fed support and potential for tighter spreads, though the position has been and will continue to be trimmed as spreads tighten back in. Amongnon-agency MBS, the strategy will look for opportunities in longer duration, deeply discounted senior legacynon-agency MBS bonds with solid, stable fundamentals and significant upside. Within CMBS, the agency CMBS was trimmed to fund relative value additions in corporate credit, whilenon-agency CMBS continues to favor single asset single borrower deals. Finally, the ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs, though these positions were modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market.
Performance Through March 31, 2020 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWIMX (Inception: June 30, 2003) | 1.50% | 5.27% | 3.18% | 2.19% | 3.66% | 4.22% | ||||||
Bloomberg Barclays Intermediate U.S. Government/Credit Index | 2.78% | 6.88% | 3.79% | 2.76% | 3.14% | 3.54% | ||||||
MWIIX (Inception: June 28, 2002) | 1.71% | 5.60% | 3.41% | 2.43% | 3.89% | 5.06% | ||||||
Bloomberg Barclays Intermediate U.S. Government/Credit Index | 2.78% | 6.88% | 3.79% | 2.76% | 3.14% | 3.93% | ||||||
Metropolitan West Investment Grade Credit Fund
M-Class (MWISX),I-Class (MWIGX)
For the one year period ending March 31, 2020, the MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 5.02% (net of fees), outpacing the Bloomberg Barclays U.S. Intermediate Credit Index by 174 bps. Outperformance was driven by the underweight to investment grade corporates, which widened to end the period amid virus-induced volatility, despite good 2019 performance. No corporate industry was spared, though those with more market sensitivities like energy and cyclicals performed the worst, benefiting the Fund’s bias for more defensive industries like communications such as wirelines andnon-cyclicals such as healthcare and food & beverage, though an underweight to banking detracted as the sector outpaced the Index. The underweight to emerging market debt andnon-U.S. sovereigns was another boost to returns, as these were among the worst performers in fixed income during this timeframe. Further benefiting the Fund was theoff-Index allocation to securitized products overall, despite a drag coming from
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ABS andnon-agency MBS.Non-agency MBS experienced considerable markdowns towards the end of the period – even among higher quality holdings that have solid underlying fundamentals, while ABS was weighed down by REITs which came under pressure from margin calls. However, issue selection within senior, higher rated CMBS was additive, along with a sizable allocation to agency MBS, which overcame 2019 underperformance to pace fixed income for the period given unlimited Fed sponsorship. Finally, the impact from duration positioning was negative with a relatively neutral profile extending to slightly long toward the end of 2019 as rates fell, while shortening further as yields plunged to record lows in March 2020.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, positioning manifested itself across via a more conservative posture, with core holdings focused on higher quality, more senior areas of fixed income and a short duration profile relative to the Index. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned. The corporate credit exposure has increased slightly, with a continued focus on higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the agency CMBS position. With anticipation that there will be further bouts of volatility in the credit market, lower quality areas of the credit markets are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more, as distressed sellers appear. These opportunities will allow the Fund to deploy capital in lower rated credits at more attractive entry points. Outside of credit, the focus remains on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on agency MBS and collateralized mortgage obligations (CMOs), both agency andnon-agency CMBS, FFELP student loan receivables, and legacynon-agency RMBS. Agency MBS is the largest securitized sector in the Fund. Given the unlimited purchasing power of the Fed, we believe the sector will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. Finally, the duration position was shortened as rates rallied to historic lows, bringing the relative position to roughly seven-tenths of a year short versus the Index. As always, these and future Fund actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.
Performance Through March 31, 2020 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWISX (Inception: June 29, 2018) | -0.29% | 4.80% | — | — | — | 7.90% | ||||||
Bloomberg Barclays U.S. Intermediate Credit Index | -1.40% | 3.28% | — | — | — | 4.77% | ||||||
MWIGX (Inception: June 29, 2018) | -0.19% | 5.02% | — | — | — | 8.12% | ||||||
Bloomberg Barclays U.S. Intermediate Credit Index | -1.40% | 3.28% | — | — | — | 4.77% | ||||||
Metropolitan West Low Duration Bond Fund
M-Class (MWLDX),I-Class (MWLIX), Administrative-Class (MWLNX)
The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 2.14% (net of fees) for the one year period ended March 31, 2020, a shortfall of 328 bps to the ICE BofAML1-3 Year U.S. Treasury Index. Relative performance was weighed down by the exposure to corporates, which widened to end the period as coronavirus-related volatility in 2020 overcame the positive performance notched in 2019, with industries that have more market sensitivities like energy and cyclicals trailing most. Further detracting from relative returns was the overweight to securitized products, as the sector was not immune from the market volatility, despite positive performance in 2019.Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals. Meanwhile, issue selection favoring higher quality, senior ABS was favorable to returns. As agency MBS spreads widened in 2019 given Fed tapering and prepayment risk lurked around the corner as yields fell, the Fund increased its allocation to the sector at attractive entry points to over 13% by the end of March from around 6% in 2019. This upsized shift benefited Fund performance on the margin as agency MBS spreads retraced on Fed’s unlimited buying instituted inmid-March. Finally, a neutral duration positioning was reduced as rates declined, with a shorter duration profile holding back performance as yields weakened further to historic lows.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues while high yield and emerging market debt comprised only a small allocation, skewed to more creditworthy issuers, in keeping with the prevailing late-cycle view. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on legacynon-agency RMBS, both agency andnon-agency CMBS,AAA-rated CLOs and FFELP student loan
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receivables. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned, reflected first in a considerable increase to agency MBS exposure on weakness to over 13% of the Fund’s market value by Marchmonth-end from about 6% at the end of 2019. Given the unlimited purchasing power of the Fed, we believe the sector will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. For now, corporate credit exposure has increased modestly, with a continued focus on higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the agency CMBS position. The ABS exposure remains focused on government-guaranteed student loans andAAA-rated CLOs, though the positions may be modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market. Finally, duration remains shorter than the Index with yields hovering near record lows. As always, these and future Fund actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.
Performance Through March 31, 2020 | ||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||
MWLDX (Inception: March 31, 1997) | -0.23% | 1.93% | 1.77% | 1.38% | 2.60% | 3.54% | ||||||||
ICE BofAML1-3 Year U.S. Treasury Index | 3.33% | 5.42% | 2.70% | 1.85% | 1.43% | 3.28% | ||||||||
MWLIX (Inception: March 31, 2000) | -0.13% | 2.14% | 1.99% | 1.57% | 2.80% | 3.21% | ||||||||
ICE BofAML1-3 Year U.S. Treasury Index | 3.33% | 5.42% | 2.70% | 1.85% | 1.43% | 2.92% | ||||||||
MWLNX (Inception: September 22, 2009) | -0.27% | 1.90% | 1.66% | 1.27% | 2.45% | 3.07% | ||||||||
ICE BofAML1-3 Year U.S. Treasury Index | 3.33% | 5.42% | 2.70% | 1.85% | 1.43% | 1.45% | ||||||||
Metropolitan West Strategic Income Fund
M-Class (MWSTX),I-Class (MWSIX)
As market volatility soared and liquidity demands amplifiedmark-to-market repricing in most sectors during the latter part of theone-year period ending March 31, 2020, the MetWest Strategic Income Bond Fund – I Class (“Fund”) fell 3.61% (net of fees), 791 bps behind the Merrill Lynch3-Month T-Bill+200 bps. The largest drag on returns came from the allocation to securitized products, as the sector was not immune from pricing dislocations stemming from coronavirus-related volatility in the first quarter of 2020, despite positive performance in 2019.Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals, though CMBS andABS exposures also detracted. Meanwhile, another drag on performance came from the exposure to investment grade credit as the abrupt halt in economic activity and uncertainty over the length and severity of the coronavirus outbreak caused severe volatility and dislocation in credit markets (even among more defensive sectors). Furthermore, notwithstanding positive issue selection, the allocation to high yield corporates and emerging markets debt (which was increased on weakness) weighed on returns due to the sectors’ underperformance in therisk-off environment. Finally, the duration position that averaged 1.9 years over the period, was a tailwind to performance as Treasury rates collapsed, with the10-Year yield falling nearly 195 bps year-over-year.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues while high yield and emerging market debt comprised only a small allocation, skewed to more creditworthy issuers, in keeping with the prevailing late-cycle view. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on legacynon-agency RMBS, both agency andnon-agency CMBS,AAA-rated CLOs and FFELP student loan receivables. With the recent market volatility, the opportunity set among spread products has become more attractive and consequent repositioning has been focused on corporate credit additions. Additions have thus far been focused on high quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility – while the allocation to high yield corporates and emerging market has also been increased at attractive entry points. These additions have largely been funded through a reduction in the CMBS position. The ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs, though these positions were modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market. As always, these and future portfolio actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.
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Performance Through March 31, 2020 | ||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||
MWSTX (Inception: June 30, 2003) | -6.41% | -3.86% | 0.59% | 1.01% | 3.77% | 3.63% | ||||||||||
ICE BofAML3-Month U.S. Treasury Bill Index | 2.04% | 4.30% | 3.84% | 3.20% | 2.64% | 3.42% | ||||||||||
MWSIX (Inception: March 31, 2004) | -6.29% | -3.61% | 0.85% | 1.31% | 4.06% | 3.09% | ||||||||||
ICE BofAML3-Month U.S. Treasury Bill Index | 2.04% | 4.30% | 3.84% | 3.20% | 2.64% | 3.43% | ||||||||||
Metropolitan West Total Return Bond Fund
M-Class (MWTRX),I-Class (MWTIX),I-2-Class (MWTTX), Administrative-Class (MWTNX), Plan-Class (MWTSX)
The MetWest Total Return Bond Fund – I Class (“Fund”) gained 8.16% (net of fees) for the one year period ended March 31, 2020, though this was a 77 bps shortfall to the Bloomberg Barclays U.S.Aggregate Index. Relative performance was weighed down by the overweight to securitized products, as the sector was not immune from pricing dislocations stemming from coronavirus-related volatility in the first quarter of 2020, despite positive performance in 2019. Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals. Meanwhile, issue selection favoring higher quality, senior CMBS and ABS was favorable to returns. As agency MBS spreads widened given Fed tapering and prepayment risk lurked around the corner as yields fell, the Fund increased its mortgage basis at attractive entry points, to nearly 50% by end of March 2020 from 25% during the middle of 2019. This upsized shift benefited Fund performance as agency MBS spreads retraced on Fed’s massive buying instituted inmid-March. In terms of credit exposures, the drag from an underweight to outperforming investment grade corporates in 2019 was overcome by spread widening during the first quarter of 2020, resulting in a slight positive for the full year period, with issue selection favoring more defensive sectors like consumernon-cyclicals and communications further contributing. The Fund opportunistically increased its corporate allocation in early March to take advantage of this weakness, moving from an underweight to a small overweight by the end of the period. The small exposure to high yield, however, held back returns as the sector was among the worst performing in the fixed income universe, though an underweight to trailing emerging market debt was additive. Finally, duration positioning had a minimal effect on Fund performance for the period, given that the benefit of a longer duration profile as yields fell in 2019 was offset by a headwind from a relative short position in the first quarter of 2020 as rates declined to historic lows.
Given our late cycle concerns, the Fund was defensively positioned going into this crisis, providing us with ample flexibility to respond to rapidly changing market valuations. Our approach has been to add risk aggressively in high quality sectors that either benefit directly from Fed activity or that are robust enough to survive without assistance. As those sectors recover, we will look to migrate down the quality spectrum to take advantage of expected further dislocation in more credit-sensitive sectors. In the corporate sector, the Fund is now overweight overall, with positioning concentrated among high conviction, high quality names as well as defensive sectors likenon-cyclicals, communications, and pharmaceuticals/healthcare. Additions in this cheapening phase are focused on long-dated bonds from issuers with “fortress balance sheets” at now attractive yield premiums as well asFed-supported assets such as money center banks given potential for very strong returns if spreads tighten. A small position in high yield credit is maintained, with expectations for this to be increased if valuations improve. The securitized products allocation emphasizes agency MBS, with the position upsized as spreads widen. The sector remains attractive given explicit Fed support and potential for tighter spreads, though the position has been and will continue to be trimmed as spreads tighten back in. Amongnon-agency MBS, the strategy will look for opportunities in longer duration, deeply discounted senior legacynon-agency MBS bonds with solid, stable fundamentals and significant upside. Within CMBS, the agency CMBS was trimmed meaningfully to fund relative value additions in corporate credit, whilenon-agency CMBS continues to favor single asset single borrower deals. Finally, the ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs, though these positions were modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market.
9 / Annual Report March 2020
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Performance Through March 31, 2020 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWTRX (Inception: March 31, 1997) | 2.41% | 7.93% | 4.41% | 2.97% | 4.58% | 6.12% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 3.33% | 8.93% | 4.82% | 3.35% | 3.88% | 5.29% | ||||||
MWTIX (Inception: March 31, 2000) | 2.52% | 8.16% | 4.65% | 3.22% | 4.81% | 5.99% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 3.33% | 8.93% | 4.82% | 3.35% | 3.88% | 5.08% | ||||||
MWTTX (Inception: March 6, 2020) | — | — | — | — | — | -2.93%1 | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | — | — | — | — | ||||||
MWTNX (Inception: December 18, 2009) | 2.35% | 7.80% | 4.30% | 2.87% | 4.43% | 4.61% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 3.33% | 8.93% | 4.82% | 3.35% | 3.88% | 3.86% | ||||||
MWTSX (Inception: August 1, 2011) | 2.54% | 8.29% | 4.72% | 3.29% | — | 4.23% | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 3.33% | 8.93% | 4.82% | 3.35% | — | 3.43% | ||||||
1Non-annualized. Cumulative return for theI-2 Class during the period of March 6, 2020 through March 31, 2020. |
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX),I-Class (MWUIX)
The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 1.78% (net of fees) for the one year period ended March 31, 2020, a shortfall of 207 bps to the ICE BofAML1-Year U.S. Treasury Index. With Treasuries outperforming all spread sectors due to the coronavirus-induced volatility, relative performance was weighed down by the exposure to corporates as short corporate spreads widened with investors selling short to raise cash toward the end of the period. Industries that have more market sensitivities like energy and cyclicals underperformed the most. Further detracting from relative returns was the overweight to securitized products, as the sector was not immune from the market volatility, despite positive performance in 2019.Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have favorable underlying fundamentals. Meanwhile, issue selection emphasizing higher quality, senior ABS and CMBS was favorable to returns on the margin. The allocation to agency MBS was further additive as the sector overcame underperformance due to Fed tapering in 2019 to outpace fixed income in first quarter 2020 on the Fed’s unlimited buying. Finally, a neutral duration positioning was reduced as rates declined, with a shorter duration profile holding back performance as yields weakened further to historic lows.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues favoringnon-cyclicals and financials. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on agency MBS, both agency andnon-agency CMBS, FFELP student loan receivables, and legacynon-agency RMBS. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned. The corporate credit exposure has increased slightly, with a continued focus on higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the agency CMBS position. In addition, modest additions were opportunistically made in traditional ABS in autos and credit cards, favoring senior and high quality issues, while a modest exposure is maintained in government-guaranteed student loans. The ABS allocation may be trimmed modestly going forward in favor of longer duration, more discounted opportunities across the securitized market. Agency MBS remains the largest securitized exposure. Given the unlimited purchasing power of the Fed, we believe the sector will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. Finally, duration remains shorter than the Index with yields hovering near record lows. As always, these and future Fund actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.
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Performance Through March 31, 2020 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWUSX (Inception: June 30, 2003) | 0.41% | 1.85% | 1.63% | 1.24% | 2.04% | 1.87% | ||||||
ICE BofAML1-Year U.S. Treasury Note Index | 2.31% | 3.85% | 2.30% | 1.57% | 0.98% | 1.75% | ||||||
MWUIX (Inception: July 31, 2004) | 0.26% | 1.78% | 1.80% | 1.36% | 2.20% | 1.70% | ||||||
ICE BofAML1-Year U.S. Treasury Note Index | 2.31% | 3.85% | 2.30% | 1.57% | 0.98% | 1.81% |
Metropolitan West Unconstrained Bond Fund
M-Class (MWCRX),I-Class (MWCIX), Plan-Class (MWCPX)
As market volatility soared and liquidity demands amplifiedmark-to-market repricing in most sectors during the latter part of theone-year period ending March 31, 2020, the MetWest Unconstrained Bond Fund – I Class (“Fund”) fell 2.11% (net of fees), 437 bps behind the Merrill Lynch U.S. LIBOR3-Month Average Index (“Index”). The largest drag on returns came from the allocation to securitized products, as the sector was not immune from pricing dislocations stemming from coronavirus-related volatility in the first quarter of 2020, despite positive performance in 2019.Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals. As agency MBS spreads widened given Fed tapering and prepayment risk lurked around the corner as yields fell, the Fund increased its mortgage basis at attractive entry points, from a minimal exposure to nearly 7% by the end of March 2020. This upsized shift benefited Fund performance as agency MBS spreads retraced on Fed’s massive buying instituted inmid-March. Meanwhile, another drag on performance came from the exposure to investment grade credit as the abrupt halt in economic activity and uncertainty over the length and severity of the coronavirus outbreak caused severe volatility and dislocation in credit markets (even among more defensive sectors). Furthermore, notwithstanding positive issue selection, the small position in high yield corporates and emerging markets debt weighed on returns due to the sectors’ underperformance in therisk-off environment. Finally, the duration position of approximately 1.7 years was a tailwind to performance as Treasury rates collapsed, with the10-Year yield falling nearly 195 bps year-over-year.
The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues while high yield and emerging market debt comprised only a small allocation, skewed to more creditworthy issuers, in keeping with the prevailing late-cycle view. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on legacynon-agency RMBS, both agency andnon-agency CMBS,AAA-rated CLOs and FFELP student loan receivables. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned, reflected first in a considerable increase to agency MBS exposure on weakness to nearly 7% of the portfolio’s market value by Marchmonth-end. Given the unlimited purchasing power of the Fed, we believe the sector will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. For now, corporate credit exposure has also increased, with a continued focus on high quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the CMBS position. Finally, the ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs, though these positions were modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market. As always, these and future portfolio actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.
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Performance Through March 31, 2020 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWCRX (Inception: October 1, 2011) | -5.30% | -2.47% | 0.97% | 1.39% | — | 4.36% | ||||||
ICE BofAML U.S. Dollar3-Month Deposit Offered Rate Average Index | 0.98% | 2.26% | 2.04% | 1.46% | — | 0.99% | ||||||
MWCIX (Inception: October 1, 2011) | -5.10% | -2.11% | 1.30% | 1.71% | — | 4.64% | ||||||
ICE BofAML U.S. Dollar3-Month Deposit Offered Rate Average Index | 0.98% | 2.26% | 2.04% | 1.46% | — | 0.99% | ||||||
MWCPX (Inception: March 6, 2020) | — | — | — | — | — | -6.88%1 | ||||||
ICE BofAML U.S. Dollar3-Month Deposit Offered Rate Average Index | — | — | — | — | — | — | ||||||
1Non-annualized. Cumulative return for the Plan Class during the period of March 6, 2020 through March 31, 2020. |
A Disciplined Value Philosophy
The start of 2020 presented unprecedented challenges in terms of volatility and liquidity, as market sentiments quickly turned and resulted in a very disruptive reversal in pricing. As a result of this episode, with late-cycle conditions taken over by what are expected to be substantial coronavirus-induced contractionary forces, TCW has been diligently“re-underwriting” its client portfolio exposures to ensure adequate protection and appropriate valuation. In short, our approach remains unchanged, steeped in fundamental analysis and abundantly aware of the asymmetric risks faced by bond investors, a key driver of the MetWest Funds’ full-cycle approach. Most importantly, the discipline to vary the risk budgets in accordance with market conditions and valuations, we believe, has delivered and will continue to deliver to our investors.
Thank you again for your investment in the Metropolitan West Funds. We look forward to continuing to assist you in the fulfillment of your financial goals.
Sincerely,
David B. Lippman
President and Principal Executive Officer of the Trust
Metropolitan West Funds
Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.
Bond Funds have similar interest rate, issue, and credit risks as those risks associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. Additional risks to the Funds include derivatives risk, foreign securities risk, asset-backed securities investment risk, and prepayment risk. The HighYield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including leverage risk. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.
Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the risk that the value of a Fund’s investments in foreign securities may decline based on changes to currency values, or political and economic environments in the countries where the Fund invests. Asset-backed securities investment risk refers to the risk that the impairment of the value of the collateral underlying the security in which a Fund invests, such as thenon-payment of loans, will result in a reduction in the value of the security. Prepayment risk refers to the possibility that falling interest rates may cause the underlying loans to pay off at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of a Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage risk refers to the limited ability of a Fund to borrow from broker-dealers or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding, which could create interest expenses that can exceed the income from the assets retained.
The views and forecasts expressed here are as of April 2020, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.
This report must be preceded or accompanied by a prospectus.
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Illustration of an Assumed Investment of $10,000
The graphs below illustrate the assumed investment of $10,000 for each of the Metropolitan West Funds. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recentmonth-end may be obtained at www.tcw.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.
Metropolitan West AlphaTrak 500 Fund
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were-9.36% and 12.05%, respectively. The graph assumes that distributions were reinvested.
Metropolitan West Corporate Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Corporate Bond Fund Class M with the performance of the U.S. Corporate Index. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class M were 9.19% and 9.71%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.
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The inception date for the Metropolitan West Corporate Bond Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class I were 9.46% and 9.99%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Corporate Bond Fund Class I shares would have been valued at $11,816.
Metropolitan West Flexible Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Flexible Income Fund Class M with the performance of the U.S. Corporate Index. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class M were 9.82% and 15.45%, respectively. The inception date for Class M was November 20, 2018. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Flexible Income Fund Class I was November 20, 2018. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class I were 10.14% and 15.69%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Flexible Income Fund Class I shares would have been valued at $12,142.
Metropolitan West Floating Rate Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the S&P/LSTA Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were-5.36% and 2.15%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.
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The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class I were-5.17% and 2.35%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class I shares would have been valued at $11,701.
Metropolitan West High Yield Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap Index. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were-0.06% and 4.65%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West High Yield Bond Fund Class I, the one year and average annual 10 year total returns were 0.19% and 4.90%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $16,130.
Metropolitan West Intermediate Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were 5.27% and 3.66%, respectively. The graph assumes that distributions were reinvested.
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For the Metropolitan West Intermediate Bond Fund Class I, the one year and average annual 10 year total returns were 5.60% and 3.89%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $14,653.
Metropolitan West Investment Grade Credit Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class M with the performance of the U.S. Intermediate Credit Index. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class M were 4.80% and 7.90%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested
The inception date for the Metropolitan West Investment Grade Credit Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class I were 5.02% and 8.12%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $11,468.
Metropolitan West Low Duration Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the ICE BofAML1-3 Year U.S.Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were 1.93% and 2.60%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns were 2.14% and 2.80%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $13,176.
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For the Metropolitan West Low Duration Bond Fund Administrative Class, the one year and average annual 10 year total returns were 1.90% and 2.45%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $12,736.
Metropolitan West Strategic Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the ICE BofAML3-Month U.S. Treasury Bill Index. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were-3.86% and 3.77%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Strategic Income Fund Class I, the one year and average annual 10 year total returns were-3.61% and 4.06%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $14,885.
Metropolitan West Total Return Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were 7.93% and 4.58%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Total Return Bond Fund Class I, the one year and average annual 10 year total returns were 8.16% and 4.81%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $16,004.
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The inception date for the Metropolitan West Total Return Bond FundClass I-2 was March 6, 2020. The since inception total return for the Metropolitan West Total Return Bond FundClass I-2 was-2.93%. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond FundClass I-2 shares would have been valued at $9,707.
For the Metropolitan West Total Return Bond Fund Administrative Class, the one year and average annual 10 year total returns were 7.80% and 4.43%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $15,421.
The inception date for the Metropolitan West Total Return Bond Fund Plan Class was August 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Plan Class were 8.29% and 4.23%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $14,325.
Metropolitan West Ultra Short Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the ICE BofAML1-Year U.S. Treasury Note Index. The one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class M were 1.85% and 2.04%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Ultra Short Bond Fund Class I, the one year and average annual 10 year total returns were 1.78% and 2.20%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $12,435.
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Metropolitan West Unconstrained Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the ICE BofAML U.S. Dollar3-Month Deposit Offered Rate Average Index. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class M were-2.47% and 4.36%, respectively. The inception date for Class M was October 1, 2011. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Unconstrained Bond Fund Class I was October 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class I were-2.11% and 4.64%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $14,710.
The inception date for the Metropolitan West Unconstrained Bond Fund Plan Class was March 6, 2020. The since inception total return for the Metropolitan West Unconstrained Bond Fund Plan Class was-6.88%. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Plan Class shares would have been valued at $9,312.
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Disclosure of Fund Expenses (Unaudited)
For the Six Months Ended March 31, 2020
We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
This table illustrates your Fund’s costs in two ways:
Actual Fund Return:This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’sactualreturn for the pastsix-month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.
You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”
Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission (SEC) requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expense shown in the table are meant to highlight and help you compare yourongoingcosts only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning Account Value 10/01/19 | Ending Account Value 03/31/20 | Expense Ratio1 | Expenses Paid During Period2 | |||||||||
ALPHATRAK 500 FUND | ||||||||||||
Actual Fund Return | $1,000.00 | $ 851.60 | 0.90% | $4.17 | ||||||||
Hypothetical 5% Return | $1,000.00 | $1,020.50 | 0.90% | $4.55 | ||||||||
CORPORATE BOND FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $1,008.40 | 0.75% | $3.77 | ||||||||
Class I | $1,000.00 | $1,009.70 | 0.50% | $2.51 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,021.25 | 0.75% | $3.79 | ||||||||
Class I | $1,000.00 | $1,022.50 | 0.50% | $2.53 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect theone-half year period shown). |
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Beginning Account Value 10/01/19 | Ending Account Value 03/31/20 | Expense Ratio1 | Expenses Paid During Period2 | |||||||
FLEXIBLE INCOME FUND | ||||||||||
Actual Fund Return | ||||||||||
Class M | $1,000.00 | $1,024.50 | 0.80% | $4.05 | ||||||
Class I | $1,000.00 | $1,025.40 | 0.55% | $2.78 | ||||||
Hypothetical 5% Return | ||||||||||
Class M | $1,000.00 | $1,021.00 | 0.80% | $4.04 | ||||||
Class I | $1,000.00 | $1,022.25 | 0.55% | $2.78 | ||||||
FLOATING RATE INCOME FUND | ||||||||||
Actual Fund Return | ||||||||||
Class M | $1,000.00 | $ 922.20 | 0.90% | $4.32 | ||||||
Class I | $1,000.00 | $ 924.00 | 0.70% | $3.37 | ||||||
Hypothetical 5% Return | ||||||||||
Class M | $1,000.00 | $1,020.50 | 0.90% | $4.55 | ||||||
Class I | $1,000.00 | $1,021.50 | 0.70% | $3.54 | ||||||
HIGH YIELD BOND FUND | ||||||||||
Actual Fund Return | ||||||||||
Class M | $1,000.00 | $ 957.70 | 0.85% | $4.16 | ||||||
Class I | $1,000.00 | $ 957.90 | 0.60% | $2.94 | ||||||
Hypothetical 5% Return | ||||||||||
Class M | $1,000.00 | $1,020.75 | 0.85% | $4.29 | ||||||
Class I | $1,000.00 | $1,022.00 | 0.60% | $3.03 | ||||||
INTERMEDIATE BOND FUND | ||||||||||
Actual Fund Return | ||||||||||
Class M | $1,000.00 | $1,015.00 | 0.70% | $3.53 | ||||||
Class I | $1,000.00 | $1,017.10 | 0.48% | $2.42 | ||||||
Hypothetical 5% Return | ||||||||||
Class M | $1,000.00 | $1,021.50 | 0.70% | $3.54 | ||||||
Class I | $1,000.00 | $1,022.60 | 0.48% | $2.43 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect theone-half year period shown). |
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Beginning Account Value 10/01/19 | Ending Account Value 03/31/20 | Expense Ratio1 | Expenses Paid During Period2 | |||||||||
INVESTMENT GRADE CREDIT FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $ 997.10 | 0.70% | $ 3.49 | ||||||||
Class I | $1,000.00 | $ 998.10 | 0.49% | $ 2.45 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,021.50 | 0.70% | $ 3.54 | ||||||||
Class I | $1,000.00 | $1,022.55 | 0.49% | $ 2.48 | ||||||||
LOW DURATION BOND FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $ 997.70 | 0.62% | $ 3.10 | ||||||||
Class I | $1,000.00 | $ 998.70 | 0.41% | $ 2.05 | ||||||||
Administrative Class | $1,000.00 | $ 997.30 | 0.72% | $ 3.60 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,021.90 | 0.62% | $ 3.13 | ||||||||
Class I | $1,000.00 | $1,022.95 | 0.41% | $ 2.07 | ||||||||
Administrative Class | $1,000.00 | $1,021.40 | 0.72% | $ 3.64 | ||||||||
STRATEGIC INCOME FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $ 935.90 | 2.35% | $11.37 | ||||||||
Class I | $1,000.00 | $ 937.10 | 2.10% | $10.17 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,013.25 | 2.35% | $11.83 | ||||||||
Class I | $1,000.00 | $1,014.50 | 2.10% | $10.58 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect theone-half year period shown). |
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Beginning Account Value 10/01/19 | Ending Account Value 03/31/20 | Expense Ratio | Expenses Paid During Period | |||||||
TOTAL RETURN BOND FUND | ||||||||||
Actual Fund Return | ||||||||||
Class M | $1,000.00 | $1,024.10 | 0.67%1 | $3.392 | ||||||
Class I | $1,000.00 | $1,025.20 | 0.45%1 | $2.282 | ||||||
Class I-2 | $1,000.003 | $ 970.70 | 0.33%4 | $0.205 | ||||||
Administrative Class | $1,000.00 | $1,023.50 | 0.78%1 | $3.952 | ||||||
Plan Class | $1,000.00 | $1,025.40 | 0.37%1 | $1.872 | ||||||
Hypothetical 5% Return | ||||||||||
Class M | $1,000.00 | $1,021.65 | 0.67%1 | $3.392 | ||||||
Class I | $1,000.00 | $1,022.75 | 0.45%1 | $2.282 | ||||||
Class I-2 | $1,000.003 | $1,002.93 | 0.33%4 | $0.215 | ||||||
Administrative Class | $1,000.00 | $1,021.10 | 0.78%1 | $3.942 | ||||||
Plan Class | $1,000.00 | $1,023.15 | 0.37%1 | $1.872 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect theone-half year period shown). |
3 | The Total Return Bond FundClass I-2 Shares commenced operations on March 6, 2020. |
4 | Annualized, based on the Fund’s expenses for the period between March 6, 2020 (the commencement date of theClass I-2) and March 31, 2020. |
5 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 25 days of expenses, then divided by 366 (to reflect the period shown between March 6, 2020 and March 31, 2020). |
Beginning Account Value 10/01/19 | Ending Account Value 03/31/20 | Expense Ratio1 | Expenses Paid During Period2 | |||||
ULTRA SHORT BOND FUND | ||||||||
Actual Fund Return | ||||||||
Class M | $1,000.00 | $1,004.10 | 0.50% | $2.51 | ||||
Class I | $1,000.00 | $1,002.60 | 0.34% | $1.70 | ||||
Hypothetical 5% Return | ||||||||
Class M | $1,000.00 | $1,022.50 | 0.50% | $2.53 | ||||
Class I | $1,000.00 | $1,023.30 | 0.34% | $1.72 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect theone-half year period shown). |
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Beginning Account Value 10/01/19 | Ending Account Value 03/31/20 | Expense Ratio | Expenses Paid During Period | |||||||||
UNCONSTRAINED BOND FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $ 947.00 | 1.01%1 | $4.922 | ||||||||
Class I | $1,000.00 | $ 949.00 | 0.75%1 | $3.652 | ||||||||
Plan Class | $1,000.003 | $ 931.20 | 0.68%4 | $0.415 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,019.95 | 1.01%1 | $5.102 | ||||||||
Class I | $1,000.00 | $1,021.25 | 0.75%1 | $3.792 | ||||||||
Plan Class | $1,000.003 | $1,002.71 | 0.68%4 | $0.435 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect theone-half year period shown). |
3 | The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020. |
4 | Annualized, based on the Fund’s expenses for the period between March 6, 2020 (the commencement date of the Plan Class) and March 31, 2020. |
5 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 25 days of expenses, then divided by 366 (to reflect the period shown between March 6, 2020 and March 31, 2020). |
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Summary of Portfolio Holdings
March 31, 2020
These tables are provided to give you a quick reference to the composition of each Fund. The “Sector Diversification” table is a percentage of net assets. We hope that this information enhances your understanding of the different kinds of investments in the Funds.
ALPHATRAK 500 FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 36.13% | |||
Money Market Funds | 17.41% | |||
Asset-Backed Securities | 9.32% | |||
U.S. Treasury Bills | 9.31% | |||
Non-Agency Mortgage-Backed | 8.29% | |||
Mutual Funds | 8.24% | |||
Non-Agency Commercial Mortgage-Backed | 4.90% | |||
U.S. Treasury Securities | 4.32% | |||
U.S. Agency Commercial Mortgage-Backed | 2.53% | |||
Commercial Paper | 0.45% | |||
U.S. Agency Mortgage-Backed | 0.16% | |||
Other* | (1.06)% | |||
Total | 100.00% | |||
| ||||
CORPORATE BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 60.44% | |||
Money Market Funds | 25.45% | |||
U.S. Agency Mortgage-Backed | 7.95% | |||
Non-Agency Commercial Mortgage-Backed | 5.43% | |||
U.S. Agency Commercial Mortgage-Backed | 2.89% | |||
Municipal Bonds | 1.69% | |||
U.S. Treasury Bills | 0.55% | |||
U.S. Treasury Securities | 0.52% | |||
Commercial Paper | 0.30% | |||
Other* | (5.22)% | |||
Total | 100.00% |
FLEXIBLE INCOME FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 26.87% | |||
Money Market Funds | 17.14% | |||
Non-Agency Commercial Mortgage-Backed | 17.13% | |||
Non-Agency Mortgage-Backed | 12.88% | |||
Asset-Backed Securities | 9.12% | |||
U.S. Agency Commercial Mortgage-Backed | 7.64% | |||
U.S. Agency Mortgage-Backed | 7.54% | |||
Municipal Bonds | 0.97% | |||
U.S. Treasury Bills | 0.30% | |||
Commercial Paper | 0.22% | |||
Other * | 0.19% | |||
Total | 100.00% | |||
| ||||
FLOATING RATE INCOME FUND | ||||
Sector Diversification | ||||
Bank Loans | 81.13% | |||
Money Market Funds | 14.03% | |||
Corporate Bonds | 9.99% | |||
U.S. Treasury Bills | 3.90% | |||
Municipal Bonds | 0.16% | |||
Other * | (9.21)% | |||
Total | 100.00% | |||
| ||||
HIGH YIELD BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 74.03% | |||
Bank Loans | 16.25% | |||
Money Market Funds | 6.17% | |||
Non-Agency Mortgage-Backed | 4.70% | |||
Municipal Bonds | 0.46% | |||
Non-Agency Commercial Mortgage-Backed | 0.46% | |||
U.S. Treasury Bills | 0.38% | |||
Common Stock | 0.01% | |||
Warrant | 0.00% | |||
Other * | (2.46)% | |||
Total | 100.00% |
25 / Annual Report March 2020
Table of Contents
INTERMEDIATE BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 35.87% | |||
U.S. Agency Mortgage-Backed | 25.60% | |||
U.S. Treasury Securities | 22.44% | |||
Money Market Funds | 8.33% | |||
Asset-Backed Securities | 5.44% | |||
Non-Agency Mortgage-Backed | 5.42% | |||
U.S. Treasury Bills | 5.25% | |||
Non-Agency Commercial Mortgage-Backed | 3.03% | |||
Foreign Government Obligations | 2.66% | |||
Bank Loans | 1.35% | |||
Municipal Bonds | 1.34% | |||
U.S. Agency Commercial Mortgage-Backed | 0.81% | |||
Commercial Paper | 0.27% | |||
U.S. Agency Securities | 0.03% | |||
Common Stock | 0.00% | |||
Other * | (17.84)% | |||
Total | 100.00% | |||
| ||||
INVESTMENT GRADE CREDIT FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 54.01% | |||
Money Market Funds | 11.66% | |||
U.S. Agency Mortgage-Backed | 10.29% | |||
Asset-Backed Securities | 8.94% | |||
U.S. Agency Commercial Mortgage-Backed | 5.36% | |||
Non-Agency Mortgage-Backed | 4.30% | |||
Non-Agency Commercial Mortgage-Backed | 4.14% | |||
Municipal Bonds | 1.14% | |||
U.S. Treasury Bills | 0.37% | |||
Commercial Paper | 0.27% | |||
Other * | (0.48)% | |||
Total | 100.00% |
LOW DURATION BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 32.92% | |||
U.S. Agency Mortgage-Backed | 14.97% | |||
U.S. Treasury Bills | 10.22% | |||
Asset-Backed Securities | 9.98% | |||
Non-Agency Commercial Mortgage-Backed | 9.46% | |||
Money Market Funds | 9.15% | |||
Non-Agency Mortgage-Backed | 7.45% | |||
U.S. Agency Discount Notes | 4.71% | |||
U.S. Agency Commercial Mortgage-Backed | 3.44% | |||
Foreign Government Obligations | 2.67% | |||
Bank Loans | 1.47% | |||
U.S. Treasury Securities | 1.33% | |||
Commercial Paper | 0.19% | |||
Common Stock | 0.00% | |||
Purchased Swaptions | 0.00% | |||
Written Swaptions | 0.00% | |||
Other * | (7.96)% | |||
Total | 100.00% | |||
| ||||
STRATEGIC INCOME FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 36.14% | |||
Non-Agency Mortgage-Backed | 28.93% | |||
Asset-Backed Securities | 13.02% | |||
U.S. Agency Commercial Mortgage-Backed | 4.59% | |||
Non-Agency Commercial Mortgage-Backed | 4.41% | |||
U.S. Agency Mortgage-Backed | 3.69% | |||
Foreign Government Obligations | 2.90% | |||
Money Market Funds | 2.77% | |||
Municipal Bonds | 1.07% | |||
Commercial Paper | 0.94% | |||
U.S. Treasury Bills | 0.60% | |||
Other * | 0.94% | |||
Total | 100.00% |
Annual Report March 2020 / 26
Table of Contents
TOTAL RETURN BOND FUND | ||||
Sector Diversification | ||||
U.S. Agency Mortgage-Backed | 49.65% | |||
Corporate Bonds | 28.27% | |||
U.S. Treasury Securities | 12.62% | |||
Money Market Funds | 8.76% | |||
Non-Agency Mortgage-Backed | 6.00% | |||
Asset-Backed Securities | 4.22% | |||
Foreign Government Obligations | 3.41% | |||
U.S. Agency Discount Notes | 1.49% | |||
Non-Agency Commercial Mortgage-Backed | 1.30% | |||
U.S. Treasury Bills | 1.27% | |||
Municipal Bonds | 1.22% | |||
Bank Loans | 1.20% | |||
Commercial Paper | 0.41% | |||
U.S. Agency Commercial Mortgage-Backed | 0.31% | |||
Common Stock | 0.00% | |||
Written Options | (0.01)% | |||
Other * | (20.12)% | |||
Total | 100.00% | |||
| ||||
ULTRA SHORT BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 21.44% | |||
U.S. Treasury Bills | 19.01% | |||
U.S. Treasury Securities | 16.43% | |||
U.S. Agency Mortgage-Backed | 12.86% | |||
Money Market Funds | 11.07% | |||
Asset-Backed Securities | 7.02% | |||
U.S. Agency Commercial Mortgage-Backed | 3.23% | |||
Non-Agency Commercial Mortgage-Backed | 3.16% | |||
Non-Agency Mortgage-Backed | 2.53% | |||
Foreign Government Obligations | 2.43% | |||
Commercial Paper | 0.29% | |||
Other * | 0.53% | |||
Total | 100.00% |
UNCONSTRAINED BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 35.30% | |||
Non-Agency Mortgage-Backed | 24.09% | |||
Asset-Backed Securities | 13.56% | |||
U.S. Agency Mortgage-Backed | 8.48% | |||
Non-Agency Commercial Mortgage-Backed | 6.44% | |||
Foreign Government Obligations | 4.32% | |||
Money Market Funds | 4.26% | |||
U.S. Agency Commercial Mortgage-Backed | 3.86% | |||
Municipal Bonds | 1.76% | |||
Bank Loans | 1.47% | |||
Commercial Paper | 0.60% | |||
U.S. Treasury Bills | 0.57% | |||
Common Stock | 0.00% | |||
Other * | (4.71)% | |||
Total | 100.00% |
* Includes cash and equivalents, futures, foreign currency exchange contracts, swaps, pending trades, fund share transactions, interest and dividends receivable and accrued expenses payable.
In addition to the annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormNPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
27 / Annual Report March 2020
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 65.65% | ||||||||||||
ASSET-BACKED SECURITIES — 9.32%** |
| |||||||||||
Access Group, Inc., Series2015-1, Class A |
| |||||||||||
(LIBOR USD1-Month plus 0.70%) |
| |||||||||||
1.65% | 07/25/56 | 1,2 | $ | 16,262 | $ | 15,448 | ||||||
AMMC CLO XIV Ltd., Series2014-14A, |
| |||||||||||
Class A1LR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.25%) |
| |||||||||||
3.04% | 07/25/29 | 1,2,3 | 35,000 | 33,737 | ||||||||
Atrium XII, Series 12A, Class AR |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD3-Month plus 0.83%) |
| |||||||||||
2.63% | 04/22/27 | 1,2,3 | 90,000 | 87,456 | ||||||||
Barings BDC Static CLO Ltd., |
| |||||||||||
Series2019-1A, Class A1 |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD3-Month plus 1.02%) |
| |||||||||||
2.85% | 04/15/27 | 1,2,3 | 52,512 | 48,521 | ||||||||
Barings CLO Ltd., Series2013-IA, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 0.80%) |
| |||||||||||
2.62% | 01/20/28 | 1,2,3 | 75,000 | 70,803 | ||||||||
Barings CLO Ltd., Series2018-3A, |
| |||||||||||
Class A1 (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 0.95%) |
| |||||||||||
2.77% | 07/20/29 | 1,2,3 | 85,000 | 81,837 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series2004-3, Class A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.56%) |
| |||||||||||
1.50% | 01/25/35 | 1,2 | 11,928 | 10,742 | ||||||||
BlueMountain CLO Ltd., Series2013-2A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.18%) |
| |||||||||||
2.98% | 10/22/30 | 1,2,3 | 50,000 | 48,300 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series2010-1, Class A2 |
| |||||||||||
(LIBOR USD3-Month plus 1.20%) |
| |||||||||||
2.88% | 02/25/35 | 1 | 215,000 | 209,331 | ||||||||
Dryden XXVI Senior Loan Fund, |
| |||||||||||
Series2013-26A, Class AR |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD3-Month plus 0.90%) |
| |||||||||||
2.73% | 04/15/29 | 1,2,3 | 50,000 | 47,975 | ||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series2011-1, Class A2 |
| |||||||||||
(LIBOR USD3-Month plus 0.65%) |
| |||||||||||
2.44% | 04/25/35 | 1 | 3,125 | 2,945 | ||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series2012-1, Class A |
| |||||||||||
(LIBOR USD1-Month plus 1.05%) |
| |||||||||||
2.00% | 03/25/36 | 1 | 33,257 | 32,891 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Higher Education Funding I, Series2014-1, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD3-Month plus 1.05%) |
| |||||||||||
2.73% | 05/25/34 | 1,2 | $ | 168,254 | $ | 164,800 | ||||||
LCM XIII LP, Series 2013A, Class ARR |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD3-Month plus 1.14%) |
| |||||||||||
2.96% | 07/19/27 | 1,2,3 | 80,000 | 77,578 | ||||||||
Madison Park Funding XXX Ltd., |
| |||||||||||
Series2018-30A, Class A (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 0.75%) |
| |||||||||||
2.58% | 04/15/29 | 1,2,3 | 100,000 | 96,440 | ||||||||
Magnetite XXI Ltd., Series2019-21A, |
| |||||||||||
Class A (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.28%) |
| |||||||||||
3.10% | 04/20/30 | 1,2,3 | 85,000 | 81,830 | ||||||||
Navient Student Loan Trust, Series2014-1, |
| |||||||||||
Class A3 | ||||||||||||
(LIBOR USD1-Month plus 0.51%) |
| |||||||||||
1.46% | 06/25/31 | 1 | 109,280 | 106,595 | ||||||||
Navient Student Loan Trust, Series2016-7A, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD1-Month plus 1.15%) |
| |||||||||||
2.10% | 03/25/66 | 1,2 | 79,566 | 77,050 | ||||||||
Navient Student Loan Trust, Series2017-2A, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD1-Month plus 1.05%) |
| |||||||||||
2.00% | 12/27/66 | 1,2 | 73,504 | 72,138 | ||||||||
Navient Student Loan Trust, Series2017-4A, |
| |||||||||||
Class A2 | ||||||||||||
(LIBOR USD1-Month plus 0.50%) |
| |||||||||||
1.45% | 09/27/66 | 1,2 | 96,232 | 94,465 | ||||||||
Nelnet Student Loan Trust, Series2014-3A, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD1-Month plus 0.58%) |
| |||||||||||
1.53% | 06/25/41 | 1,2 | 17,614 | 16,298 | ||||||||
North Carolina State Education Authority, |
| |||||||||||
Series2011-1, Class A3 |
| |||||||||||
(LIBOR USD3-Month plus 0.90%) |
| |||||||||||
2.69% | 10/25/41 | 1 | 11,305 | 10,558 | ||||||||
Northstar Education Finance, Inc., |
| |||||||||||
Series2007-1, Class A2 |
| |||||||||||
LIBOR USD3-Month | ||||||||||||
2.54% | 01/29/46 | 1 | 8,232 | 8,145 | ||||||||
PHEAA Student Loan Trust, Series2016-1A, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD1-Month plus 1.15%) |
| |||||||||||
2.10% | 09/25/65 | 1,2 | 78,162 | 73,567 | ||||||||
SLM Student Loan Trust, Series2003-10A, |
| |||||||||||
Class A3 | ||||||||||||
(LIBOR USD3-Month plus 0.47%) |
| |||||||||||
1.21% | 12/15/27 | 1,2 | 47,167 | 46,778 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 28 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series2003-11, |
| |||||||||||
Class A6 | ||||||||||||
(LIBOR USD3-Month plus 0.55%) |
| |||||||||||
1.29% | 12/15/25 | 1,2 | $ | 50,556 | $ | 49,988 | ||||||
SLM Student Loan Trust, Series2004-1, |
| |||||||||||
Class A4 | ||||||||||||
(LIBOR USD3-Month plus 0.26%) |
| |||||||||||
2.05% | 10/27/25 | 1 | 65,001 | 64,120 | ||||||||
SLM Student Loan Trust, Series2005-4, |
| |||||||||||
Class A3 | ||||||||||||
(LIBOR USD3-Month plus 0.12%) |
| |||||||||||
1.91% | | 01/25/27 | 1 | 87,689 | 86,018 | |||||||
SLM Student Loan Trust, Series2005-5, |
| |||||||||||
Class A4 | ||||||||||||
(LIBOR USD3-Month plus 0.14%) |
| |||||||||||
1.93% | 10/25/28 | 1 | 165,569 | 162,246 | ||||||||
SLM Student Loan Trust, Series2005-8, |
| |||||||||||
Class A4 | ||||||||||||
(LIBOR USD3-Month plus 0.55%) |
| |||||||||||
2.34% | 01/25/28 | 1 | 33,242 | 33,109 | ||||||||
SLM Student Loan Trust, Series2007-6, |
| |||||||||||
Class A4 | ||||||||||||
(LIBOR USD3-Month plus 0.38%) |
| |||||||||||
2.17% | 10/25/24 | 1 | 28,872 | 28,536 | ||||||||
SLM Student Loan Trust, Series2008-5, |
| |||||||||||
Class A4 | ||||||||||||
(LIBOR USD3-Month plus 1.70%) |
| |||||||||||
3.49% | 07/25/23 | 1 | 130,398 | 123,284 | ||||||||
SLM Student Loan Trust, Series2008-6, |
| |||||||||||
Class A4 | ||||||||||||
(LIBOR USD3-Month plus 1.10%) |
| |||||||||||
2.89% | 07/25/23 | 1 | 173,282 | 169,036 | ||||||||
SLM Student Loan Trust, Series2008-9, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD3-Month plus 1.50%) |
| |||||||||||
3.29% | 04/25/23 | 1 | 48,772 | 48,349 | ||||||||
SLM Student Loan Trust, Series2011-1, |
| |||||||||||
Class A1 | ||||||||||||
(LIBOR USD1-Month plus 0.52%) |
| |||||||||||
1.47% | 03/25/26 | 1 | 6,940 | 6,936 | ||||||||
SLM Student Loan Trust, Series2011-2, |
| |||||||||||
Class A1 | ||||||||||||
(LIBOR USD1-Month plus 0.60%) |
| |||||||||||
1.55% | 11/25/27 | 1 | 5,022 | 4,992 | ||||||||
SLM Student Loan Trust, Series2012-1, |
| |||||||||||
Class A3 | ||||||||||||
(LIBOR USD1-Month plus 0.95%) |
| |||||||||||
1.90% | 09/25/28 | 1 | 168,022 | 161,482 | ||||||||
SLM Student Loan Trust, Series2012-2, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD1-Month plus 0.70%) |
| |||||||||||
1.65% | 01/25/29 | 1 | 96,766 | 92,695 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series2013-4, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD1-Month plus 0.55%) |
| |||||||||||
1.50% | 06/25/43 | 1 | $ | 6,960 | $ | 6,724 | ||||||
TCI-Flatiron CLO Ltd., Series2016-1A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.22%) |
| |||||||||||
3.06% | 07/17/28 | 1,2,3 | 35,000 | 34,192 | ||||||||
Voya CLO Ltd., Series2014-3A, Class A1R |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 0.72%) |
| |||||||||||
2.51% | 07/25/26 | 1,2,3 | 20,707 | 20,367 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $2,789,999) |
| 2,708,302 | ||||||||||
|
| |||||||||||
CORPORATES — 36.13%* |
| |||||||||||
Banking — 4.62% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.74% | 01/23/22 | 4 | 325,000 | 326,036 | ||||||||
3.00% | 12/20/23 | 4 | 91,000 | 92,971 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.21% | 04/01/23 | 4 | 200,000 | 203,620 | ||||||||
(LIBOR USD3-Month plus 0.68%) |
| |||||||||||
2.26% | 06/01/21 | 1 | 75,000 | 74,559 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 3,4 | 200,000 | 197,993 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.88% | 08/05/21 | 3 | 75,000 | 74,653 | ||||||||
3.13% | 01/08/21 | 3 | 125,000 | 124,681 | ||||||||
Wells Fargo Bank N.A. (BKNT) |
| |||||||||||
2.08% | 09/09/22 | 4 | 250,000 | 248,904 | ||||||||
|
| |||||||||||
1,343,417 | ||||||||||||
|
| |||||||||||
Communications — 2.12% |
| |||||||||||
AT&T, Inc. | ||||||||||||
(LIBOR USD3-Month plus 1.18%) |
| |||||||||||
1.96% | 06/12/24 | 1 | 175,000 | 162,751 | ||||||||
CCO Holdings LLC/CCO Holdings |
| |||||||||||
Capital Corp. | ||||||||||||
4.50% | 08/15/30 | 2 | 25,000 | 24,750 | ||||||||
4.50% | 05/01/32 | 2 | 19,000 | 18,553 | ||||||||
5.38% | 06/01/29 | 2 | 14,000 | 14,464 | ||||||||
CSC Holdings LLC |
| |||||||||||
5.38% | 02/01/28 | 2 | 5,000 | 5,135 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 2,3 | 20,000 | 12,794 | ||||||||
9.75% | 07/15/25 | 2,3 | 61,000 | 38,694 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
4.63% | 09/15/27 | 2 | 13,000 | 12,993 | ||||||||
5.38% | 05/01/25 | 12,000 | 12,120 |
See accompanying Notes to Financial Statements. |
29 / Annual Report March 2020 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Sprint Corp. | ||||||||||||
7.88% | 09/15/23 | $ | 3,000 | $ | 3,312 | |||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC | ||||||||||||
3.36% | 09/20/21 | 2 | 136,875 | 136,704 | ||||||||
4.74% | | 03/20/25 | 2 | 50,000 | 51,437 | |||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) | ||||||||||||
5.50% | | 05/15/29 | 2,3 | 5,000 | 5,029 | |||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
(LIBOR USD3-Month plus 0.99%) |
| |||||||||||
2.83% | 01/16/24 | 1,3 | 125,000 | 117,962 | ||||||||
|
| |||||||||||
616,698 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.72% |
| |||||||||||
BAT Capital Corp. | ||||||||||||
2.76% | 08/15/22 | 165,000 | 162,364 | |||||||||
Constellation Brands, Inc. |
| |||||||||||
(LIBOR USD3-Month plus 0.70%) |
| |||||||||||
2.39% | 11/15/21 | 1 | 50,000 | 47,145 | ||||||||
|
| |||||||||||
209,509 | ||||||||||||
|
| |||||||||||
Electric — 2.78% | ||||||||||||
Dominion Energy, Inc., Series B |
| |||||||||||
2.75% | 09/15/22 | 150,000 | 149,372 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 2 | 50,000 | 53,296 | ||||||||
6.40% | 09/15/20 | 2 | 100,000 | 102,238 | ||||||||
Evergy, Inc. | ||||||||||||
4.85% | 06/01/21 | 100,000 | 101,092 | |||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
2.40% | 09/01/21 | 30,000 | 29,996 | |||||||||
(LIBOR USD3-Month plus 0.48%) |
| |||||||||||
2.23% | 05/04/21 | 1 | 55,000 | 54,069 | ||||||||
(LIBOR USD3-Month plus 0.55%) |
| |||||||||||
2.16% | 08/28/21 | 1 | 40,000 | 39,200 | ||||||||
PNM Resources, Inc. | ||||||||||||
3.25% | 03/09/21 | 175,000 | 176,164 | |||||||||
Puget Energy, Inc. | ||||||||||||
6.50% | 12/15/20 | 100,000 | 102,141 | |||||||||
|
| |||||||||||
807,568 | ||||||||||||
|
| |||||||||||
Energy — 0.61% | ||||||||||||
Antero Resources Corp. | ||||||||||||
5.00% | 03/01/25 | 28,000 | 10,570 | |||||||||
5.13% | 12/01/22 | 11,000 | 5,779 | |||||||||
5.63% | 06/01/23 | 15,000 | 6,375 | |||||||||
Cheniere Energy Partners LP |
| |||||||||||
5.25% | 10/01/25 | 5,000 | 4,637 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) | ||||||||||||
Energy Transfer Operating LP |
| |||||||||||
5.50% | 06/01/27 | $ | 12,000 | $ | 10,489 | |||||||
NGPL Pipe Co. LLC | ||||||||||||
4.38% | | 08/15/22 | 2 | 100,000 | 95,554 | |||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
| |||||||||||
6.88% | 01/15/29 | 4,000 | 3,261 | |||||||||
Transocean Phoenix 2 Ltd. (Cayman Islands) |
| |||||||||||
7.75% | 10/15/24 | 2,3 | 14,700 | 12,807 | ||||||||
Transocean Pontus Ltd. (Cayman Islands) |
| |||||||||||
6.13% | 08/01/25 | 2,3 | 5,010 | 4,096 | ||||||||
Transocean Poseidon Ltd. (Cayman Islands) |
| |||||||||||
6.88% | 02/01/27 | 2,3 | 18,000 | 14,705 | ||||||||
Transocean Proteus Ltd. (Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 2,3 | 2,800 | 2,264 | ||||||||
USA Compression Partners LP/USA |
| |||||||||||
Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 5,000 | 3,153 | |||||||||
6.88% | 09/01/27 | 5,000 | 3,200 | |||||||||
|
| |||||||||||
176,890 | ||||||||||||
|
| |||||||||||
Entertainment — 0.03% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 2 | 11,000 | 9,851 | ||||||||
|
| |||||||||||
Finance — 8.47% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| |||||||||||
4.45% | 12/16/21 | 3 | 150,000 | 138,050 | ||||||||
Air Lease Corp. | ||||||||||||
2.25% | 01/15/23 | 75,000 | 62,394 | |||||||||
3.50% | 01/15/22 | 65,000 | 58,792 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) | ||||||||||||
5.13% | 10/01/23 | 2,3 | 5,000 | 4,328 | ||||||||
5.25% | 05/15/24 | 2,3 | 5,000 | 3,968 | ||||||||
BMW U.S. Capital LLC |
| |||||||||||
(LIBOR USD3-Month plus 0.38%) |
| |||||||||||
2.28% | 04/06/20 | 1,2 | 60,000 | 59,975 | ||||||||
Citigroup, Inc. | ||||||||||||
2.88% | 07/24/23 | 4 | 225,000 | 225,973 | ||||||||
(LIBOR USD3-Month plus 0.95%) |
| |||||||||||
2.75% | 07/24/23 | 1 | 30,000 | 28,351 | ||||||||
Daimler Finance North America LLC |
| |||||||||||
(LIBOR USD3-Month plus 0.90%) |
| |||||||||||
2.59% | 02/15/22 | 1,2 | 150,000 | 139,069 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 30 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.20% | 01/15/21 | $ | 160,000 | $ | 156,000 | | ||||||
3.81% | 10/12/21 | 35,000 | 33,753 | |||||||||
5.75% | 02/01/21 | 75,000 | 73,500 | |||||||||
5.88% | 08/02/21 | 80,000 | 78,800 | |||||||||
(LIBOR USD3-Month plus 0.79%) |
| |||||||||||
1.57% | 06/12/20 | 1 | 15,000 | 14,556 | ||||||||
(LIBOR USD3-Month plus 0.81%) |
| |||||||||||
2.18% | | 04/05/21 | 1 | 45,000 | 40,541 | |||||||
GE Capital International Funding Co. (Ireland) |
| |||||||||||
2.34% | | 11/15/20 | 3 | 420,000 | 418,001 | |||||||
General Motors Financial Co., Inc. |
| |||||||||||
4.20% | 11/06/21 | 60,000 | 56,387 | |||||||||
4.38% | 09/25/21 | 135,000 | 124,396 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.88% | | 10/31/22 | 4 | 170,000 | 171,101 | |||||||
Goldman Sachs Group, Inc. (The) (MTN) |
| |||||||||||
(LIBOR USD3-Month plus 1.60%) |
| |||||||||||
3.21% | | 11/29/23 | 1 | 75,000 | 72,736 | |||||||
Morgan Stanley | ||||||||||||
(LIBOR USD3-Month plus 0.93%) |
| |||||||||||
2.73% | | 07/22/22 | 1 | 200,000 | 194,685 | |||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) | ||||||||||||
3.62% | | 04/26/23 | 2,3,4 | 75,000 | 74,644 | |||||||
4.36% | 08/01/24 | 2,3,4 | 75,000 | 75,454 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) | ||||||||||||
4.50% | | 03/15/23 | 2,3 | 175,000 | 152,106 | |||||||
5.25% | | 08/15/22 | 2,3 | 5,000 | 4,525 | |||||||
|
| |||||||||||
2,462,085 | ||||||||||||
|
| |||||||||||
Food — 0.95% | ||||||||||||
Conagra Brands, Inc. |
| |||||||||||
(LIBOR USD3-Month plus 0.50%) |
| |||||||||||
1.82% | | 10/09/20 | 1 | 60,000 | 59,170 | |||||||
JBS USA LUX SA/JBS USA |
| |||||||||||
Food Co./JBS USA Finance, Inc. (Canada) |
| |||||||||||
5.50% | | 01/15/30 | 2,3 | 5,000 | 5,190 | |||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.00% | 06/15/23 | 150,000 | 151,452 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% | | 09/30/27 | 2 | 5,000 | 5,032 | |||||||
Post Holdings, Inc. | ||||||||||||
4.63% | | 04/15/30 | 2 | 5,000 | 4,825 | |||||||
Tyson Foods, Inc. | ||||||||||||
(LIBOR USD3-Month plus 0.45%) |
| |||||||||||
2.15% | | 08/21/20 | 1 | 50,000 | 49,906 | |||||||
|
| |||||||||||
275,575 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Gaming — 0.13% | ||||||||||||
Churchill Downs, Inc. | ||||||||||||
4.75% | | 01/15/28 | 2 | $ | 10,000 | $ | 8,756 | |||||
5.50% | | 04/01/27 | 2 | 31,000 | 29,278 | |||||||
|
| |||||||||||
38,034 | ||||||||||||
|
| |||||||||||
Health Care — 4.77% | ||||||||||||
AbbVie, Inc. | ||||||||||||
3.75% | 11/14/23 | 125,000 | 129,749 | |||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.45% | | 03/15/22 | 3 | 50,000 | 51,957 | |||||||
Allergan Sales LLC | ||||||||||||
5.00% | | 12/15/21 | 2 | 40,000 | 41,473 | |||||||
Bausch Health Americas, Inc. |
| |||||||||||
9.25% | | 04/01/26 | 2 | 5,000 | 5,328 | |||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
5.75% | 08/15/27 | 2,3 | 10,000 | 10,351 | ||||||||
7.00% | 03/15/24 | 2,3 | 95,000 | 97,375 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
2.20% | 07/15/22 | 2 | 150,000 | 145,709 | ||||||||
2.75% | 07/15/21 | 2 | 90,000 | 89,124 | ||||||||
3.88% | 12/15/23 | 2 | 50,000 | 51,261 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
3.25% | 11/12/20 | 100,000 | 99,501 | |||||||||
Centene Corp. | ||||||||||||
3.38% | 02/15/30 | 2 | 3,000 | 2,797 | ||||||||
5.38% | 08/15/26 | 2 | 10,000 | 10,313 | ||||||||
Cigna Corp., Series WI | ||||||||||||
(LIBOR USD3-Month plus 0.65%) |
| |||||||||||
1.49% | 09/17/21 | 1 | 100,000 | 96,026 | ||||||||
CVS Health Corp. | ||||||||||||
4.00% | 12/05/23 | 125,000 | 130,642 | |||||||||
(LIBOR USD3-Month plus 0.72%) |
| |||||||||||
1.72% | 03/09/21 | 1 | 32,000 | 31,346 | ||||||||
Encompass Health Corp. | ||||||||||||
4.75% | 02/01/30 | 20,000 | 19,711 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/22 | 2 | 100,000 | 103,720 | ||||||||
HCA, Inc. | ||||||||||||
5.00% | 03/15/24 | 75,000 | 77,826 | |||||||||
5.88% | 02/01/29 | 7,000 | 7,429 | |||||||||
Hologic, Inc. | ||||||||||||
4.63% | 02/01/28 | 2 | 2,000 | 2,010 | ||||||||
Humana, Inc. | ||||||||||||
3.85% | 10/01/24 | 130,000 | 132,436 | |||||||||
Tenet Healthcare Corp. | ||||||||||||
4.63% | 07/15/24 | 10,000 | 9,600 |
See accompanying Notes to Financial Statements. |
31 / Annual Report March 2020 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
(LIBOR USD3-Month plus 0.75%) |
| |||||||||||
1.80% | 03/19/21 | 1 | $ | 40,000 | $ | 39,522 | ||||||
|
| |||||||||||
1,385,206 | ||||||||||||
|
| |||||||||||
Industrials — 1.47% | ||||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
2.85% | 12/15/20 | 2 | 100,000 | 99,748 | ||||||||
Bemis Co., Inc. | ||||||||||||
4.50% | 10/15/21 | 2 | 160,000 | 166,737 | ||||||||
Berry Global, Inc. | ||||||||||||
4.88% | 07/15/26 | 2 | 11,000 | 11,172 | ||||||||
General Electric Co. (MTN) |
| |||||||||||
(LIBOR USD3-Month plus 0.38%) |
| |||||||||||
2.12% | 05/05/26 | 1 | 30,000 | 24,391 | ||||||||
(LIBOR USD3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 1 | 75,000 | 57,206 | ||||||||
General Electric Co., Series NOTZ |
| |||||||||||
(LIBOR USD3-Month plus 1.00%) |
| |||||||||||
2.83% | 04/15/23 | 1 | 50,000 | 48,727 | ||||||||
Matthews International Corp. |
| |||||||||||
5.25% | 12/01/25 | 2 | 6,000 | 5,348 | ||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 2 | 5,000 | 4,637 | ||||||||
Sealed Air Corp. | ||||||||||||
4.00% | 12/01/27 | 2 | 5,000 | 4,701 | ||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% | 08/15/26 | 2,3 | 5,000 | 5,025 | ||||||||
|
| |||||||||||
427,692 | ||||||||||||
|
| |||||||||||
Information Technology — 1.56% |
| |||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. |
| |||||||||||
3.63% | 01/15/24 | 40,000 | 40,070 | |||||||||
Broadcom, Inc. | ||||||||||||
3.13% | 04/15/21 | 2 | 125,000 | 123,676 | ||||||||
Change Healthcare Holdings LLC/Change |
| |||||||||||
Healthcare Finance, Inc. |
| |||||||||||
5.75% | 03/01/25 | 2 | 5,000 | 4,700 | ||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 2 | 95,000 | 95,012 | ||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.13% | 06/01/21 | 2,3 | 160,000 | 161,575 | ||||||||
4.63% | 06/01/23 | 2,3 | 10,000 | 10,333 | ||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% | 09/30/27 | 2 | 16,000 | 16,765 | ||||||||
|
| |||||||||||
452,131 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Insurance — 0.10% | ||||||||||||
Allstate Corp. (The) | ||||||||||||
(LIBOR USD3-Month plus 0.43%) |
| |||||||||||
1.80% | 03/29/21 | 1 | $ | 30,000 | $ | 29,292 | ||||||
|
| |||||||||||
Materials — 0.52% | ||||||||||||
Georgia-Pacific LLC | ||||||||||||
5.40% | 11/01/20 | 2 | 50,000 | 51,271 | ||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
3.40% | 09/25/20 | 100,000 | 100,433 | |||||||||
|
| |||||||||||
151,704 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 4.14% |
| |||||||||||
Boston Properties LP | ||||||||||||
4.13% | 05/15/21 | 150,000 | 152,644 | |||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | 55,000 | 55,073 | |||||||||
CubeSmart LP | ||||||||||||
4.80% | 07/15/22 | 75,000 | 75,786 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 140,000 | 134,490 | |||||||||
Essex Portfolio LP | ||||||||||||
3.63% | 08/15/22 | 100,000 | 99,219 | |||||||||
5.20% | 03/15/21 | 50,000 | 50,830 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 85,000 | 77,609 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 150,000 | 149,999 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
4.25% | 11/15/23 | 60,000 | 56,806 | |||||||||
Kimco Realty Corp. | ||||||||||||
3.40% | 11/01/22 | 100,000 | 98,225 | |||||||||
MGM Growth Properties Operating Partnership LP/MGP |
| |||||||||||
Finance Co.-Issuer, Inc. |
| |||||||||||
4.50% | 01/15/28 | 6,000 | 5,151 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
(LIBOR USD3-Month plus 0.98%) |
| |||||||||||
2.67% | 08/16/21 | 1 | 100,000 | 97,340 | ||||||||
WEA Finance LLC | ||||||||||||
3.15% | 04/05/22 | 2 | 50,000 | 48,696 | ||||||||
Welltower, Inc. | ||||||||||||
3.75% | 03/15/23 | 100,000 | 100,825 | |||||||||
|
| |||||||||||
1,202,693 | ||||||||||||
|
| |||||||||||
Retail — 0.20% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
2.70% | 07/26/22 | 2,3 | 30,000 | 29,696 | ||||||||
Dollar Tree, Inc. | ||||||||||||
(LIBOR USD3-Month plus 0.70%) |
| |||||||||||
2.54% | 04/17/20 | 1 | 17,000 | 16,996 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 32 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Retail (continued) | ||||||||||||
Rite Aid Corp. | ||||||||||||
6.13% | 04/01/23 | 2 | $ | 13,000 | $ | 11,278 | ||||||
|
| |||||||||||
57,970 | ||||||||||||
|
| |||||||||||
Services — 0.89% | ||||||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.13% | 12/15/26 | 2,3 | 22,000 | 21,615 | ||||||||
Global Payments, Inc. |
| |||||||||||
3.80% | 04/01/21 | 100,000 | 100,658 | |||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
5.00% | 11/01/22 | 2,3 | 115,000 | 121,255 | ||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 2 | 17,000 | 15,891 | ||||||||
|
| |||||||||||
259,419 | ||||||||||||
|
| |||||||||||
Transportation — 2.05% |
| |||||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series2013-2, Class A |
| |||||||||||
4.95% | 01/15/23 | 165,135 | 168,439 | |||||||||
Aviation Capital Group LLC |
| |||||||||||
(LIBOR USD3-Month plus 0.95%) |
| |||||||||||
2.53% | 06/01/21 | 1,2 | 100,000 | 95,493 | ||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series2000-1, Class A1 |
| |||||||||||
8.05% | 11/01/20 | 28,081 | 28,380 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series2000-2, Class A |
| |||||||||||
7.71% | 04/02/21 | 13,369 | 13,203 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 129,442 | 132,826 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 88,229 | 88,958 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series2001-1, Class G |
| |||||||||||
7.08% | 03/20/21 | 22,849 | 22,984 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 45,047 | 45,235 | |||||||||
|
| |||||||||||
595,518 | ||||||||||||
|
| |||||||||||
Total Corporates | ||||||||||||
(Cost $10,837,824) | 10,501,252 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 15.88%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 4.90% |
| |||||||||||
1345 Avenue of the Americas & Park Avenue |
| |||||||||||
Plaza Trust, Series2005-1, Class A3 |
| |||||||||||
5.28% | 08/10/35 | 2 | 50,000 | 50,949 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Bear Stearns Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2005-PWR9, |
| |||||||||||
Class D |
| |||||||||||
5.07% | 09/11/42 | 4 | $ | 100,000 | $ | 100,437 | ||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series2012-GC8,Class AAB |
| |||||||||||
2.61% | 09/10/45 | 67,830 | 67,853 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2013-GC11,Class AAB |
| |||||||||||
2.69% | 04/10/46 | 74,330 | 75,163 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2015-GC29,Class AAB |
| |||||||||||
2.98% | 04/10/48 | 90,000 | 91,600 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2006-GG7,Class AM |
| |||||||||||
5.51% | 07/10/38 | 4 | 7,668 | 7,635 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2012-CR4, Class XA (IO) |
| |||||||||||
1.70% | 10/15/45 | 4 | 330,124 | 10,705 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR11, Class ASB |
| |||||||||||
3.66% | 08/10/50 | 15,165 | 15,640 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR13, Class XA (IO) |
| |||||||||||
0.77% | 11/10/46 | 4 | 536,238 | 12,910 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2013-CR7, Class XA (IO) |
| |||||||||||
1.24% | 03/10/46 | 4 | 1,322,703 | 39,573 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2013-LC6, Class XB (IO) |
| |||||||||||
0.41% | 01/10/46 | 2,4 | 1,750,000 | 20,484 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series2010-C1, Class X (IO) |
| |||||||||||
1.22% | 08/10/43 | 2,4 | 7,461,557 | 72,961 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series2010-C2, Class A1 |
| |||||||||||
3.85% | 12/10/43 | 2 | 3,908 | 3,915 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series2011-GC3, Class X (IO) |
| |||||||||||
0.65% | 03/10/44 | 2,4 | 9,772,368 | 27,084 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GCJ7, Class A4 |
| |||||||||||
3.38% | 05/10/45 | 70,650 | 71,609 | |||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series2013-C17, Class XA (IO) |
| |||||||||||
0.76% | 01/15/47 | 4 | 1,716,610 | 40,319 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series2014-C26, Class ASB |
| |||||||||||
3.29% | 01/15/48 | 78,388 | 80,573 |
See accompanying Notes to Financial Statements.
33 / Annual Report March 2020 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2012-C6, |
| |||||||||||
Class ASB |
| |||||||||||
3.14% | 05/15/45 | $ | 83,949 | $ | 85,236 | |||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2013-C13, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.13% | 01/15/46 | 4 | 8,909,248 | 33,998 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2013-LC11, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.26% | 04/15/46 | 4 | 3,362,822 | 105,388 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2015-JP1, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.08% | 01/15/49 | 4,5,6 | 955,111 | 32,328 | ||||||||
LB-UBS Commercial Mortgage Trust, |
| |||||||||||
Series2006-C6, Class XCL (IO) |
| |||||||||||
0.68% | 09/15/39 | 2,4 | 532,330 | 3,503 | ||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series2013-C13, Class ASB |
| |||||||||||
3.56% | 11/15/46 | 19,407 | 19,923 | |||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series2014-C14, Class XA (IO) |
| |||||||||||
1.00% | 02/15/47 | 4 | 1,852,911 | 44,926 | ||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series2015-C26, |
| |||||||||||
Class ASB 3.32% | 10/15/48 | 80,000 | 82,381 | |||||||||
TMSQ Mortgage Trust, Series 2014-1500, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.15% | 10/10/36 | 2,4 | 14,000,000 | 106,702 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series2012-C3, Class XB (IO) |
| |||||||||||
0.20% | 08/10/49 | 2,4,5,6 | 3,000,000 | 16,354 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series2011-C5, Class XA (IO) |
| |||||||||||
1.69% | 11/15/44 | 2,4 | 5,690,310 | 106,143 | ||||||||
|
| |||||||||||
1,426,292 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 8.29% |
| |||||||||||
Alternative Loan Trust, |
| |||||||||||
Series2005-J4, Class M2 |
| |||||||||||
(LIBOR USD1-Month plus 0.64%) |
| |||||||||||
1.59% | 07/25/35 | 1 | 159,821 | 156,650 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series2007-22, Class 2A16 |
| |||||||||||
6.50% | 09/25/37 | 231,486 | 135,466 | |||||||||
Ameriquest Mortgage Securities, Inc., |
| |||||||||||
Asset-Backed Pass-Through Certificates, |
| |||||||||||
Series2005-R3, Class M2 |
| |||||||||||
(LIBOR USD1-Month plus 0.71%) |
| |||||||||||
1.65% | 05/25/35 | 1 | 3,050 | 3,039 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2006-OPT1, Class A2 |
| |||||||||||
(LIBOR USD1-Month plus 0.14%) |
| |||||||||||
1.09% | 09/25/36 | 1 | $ | 19,648 | $ | 19,111 | ||||||
Banc of America Funding Trust, |
| |||||||||||
Series2006-G, Class 2A4 |
| |||||||||||
(LIBOR USD1-Month plus 0.58%) |
| |||||||||||
1.35% | 07/20/36 | 1 | 35,283 | 34,346 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series2014-R7, Class 1A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.15%) |
| |||||||||||
1.10% | 05/26/36 | 1,2 | 83,893 | 79,314 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series2015-R7, Class 1A1 |
| |||||||||||
(Federal Reserve US12-Month Cumulative |
| |||||||||||
Average plus 0.92%) |
| |||||||||||
2.62% | 09/26/46 | 1,2 | 136,253 | 129,990 | ||||||||
CIM Trust, Series2019-R1, Class A |
| |||||||||||
3.25% | 10/25/58 | 2,4 | 149,046 | 138,439 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series2007-13, Class 2A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.90%) |
| |||||||||||
1.85% | 10/25/47 | 1 | 97,174 | 84,923 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series2005-9, |
| |||||||||||
Class 1A1 | ||||||||||||
(LIBOR USD1-Month plus 0.60%) |
| |||||||||||
1.55% | 05/25/35 | 1 | 63,613 | 47,751 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series2016-2R, Class 2A1 |
| |||||||||||
3.00% | 07/25/37 | 2 | 62,043 | 62,000 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series2003-CB1, |
| |||||||||||
Class AF (STEP-reset date 05/25/20) |
| |||||||||||
3.95% | 01/25/33 | 11,071 | 10,809 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series2003-CB5, |
| |||||||||||
Class M1 | ||||||||||||
(LIBOR USD1-Month plus 1.02%) |
| |||||||||||
1.97% | 11/25/33 | 1 | 14,804 | 13,382 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series2004-AR3, Class 2A2A |
| |||||||||||
(LIBOR USD1-Month plus 0.74%) |
| |||||||||||
1.49% | 07/19/44 | 1 | 3,903 | 3,274 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series2006-FF4, Class A3 |
| |||||||||||
(LIBOR USD1-Month plus 0.28%) |
| |||||||||||
2.19% | 03/25/36 | 1 | 108,441 | 87,609 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 34 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||||
Series2006-AR1, Class 1A1 |
| |||||||||||
3.78% | 04/19/36 | 4 | $ | 98,361 | $ | 76,936 | ||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series2005-4, Class 2A |
| |||||||||||
4.35% | 07/19/35 | 4 | 1,283 | 1,161 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series2005-9, Class 2A1A |
| |||||||||||
(LIBOR USD1-Month plus 0.34%) |
| |||||||||||
1.11% | 06/20/35 | 1 | 165,526 | 146,301 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2006-OPT1, Class 2A4 |
| |||||||||||
(LIBOR USD1-Month plus 0.30%) |
| |||||||||||
1.25% | 12/25/35 | 1 | 37,660 | 32,573 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series2007-WF1, Class 1A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.16%) |
| |||||||||||
1.11% | 05/25/37 | 1 | 126,034 | 111,973 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series2004-AR5, Class 2A1A |
| |||||||||||
(LIBOR USD1-Month plus 0.86%) |
| |||||||||||
1.81% | 08/25/34 | 1 | 8,186 | 6,585 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series2006-AR4, Class A1A |
| |||||||||||
(LIBOR USD1-Month plus 0.21%) |
| |||||||||||
1.16% | 05/25/46 | 1 | 120,508 | 99,247 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2007, Class AR1 |
| |||||||||||
3.56% | 06/25/37 | 4 | 80,263 | 61,681 | ||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series2007-CH5,Class A4 |
| |||||||||||
(LIBOR USD1-Month plus 0.16%) |
| |||||||||||
1.11% | 06/25/36 | 1 | 1,625 | 1,435 | ||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||
Series2019-GS1, Class A1 |
| |||||||||||
(STEP-reset date 04/25/20) |
| |||||||||||
4.00% | 01/25/59 | 2 | 144,761 | 132,792 | ||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||
Series2004-4, Class 1A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.56%) |
| |||||||||||
1.51% | 10/25/34 | 1 | 100,360 | 77,071 | ||||||||
Option One Mortgage Loan Trust, |
| |||||||||||
Series2006-1, Class 1A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.22%) |
| |||||||||||
1.17% | 01/25/36 | 1 | 158,654 | 145,219 | ||||||||
Park Place Securities, Inc., Asset-Backed |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 2005-WCW3, Class M1 |
| |||||||||||
(LIBOR USD1-Month plus 0.48%) |
| |||||||||||
1.43% | 08/25/35 | 1 | 137,783 | 130,546 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series2004-SL1, Class A2 |
| |||||||||||
8.50% | 11/25/31 | $ | 4,097 | $ | 1 | |||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series2005-RZ3, Class M3 |
| |||||||||||
(LIBOR USD1-Month plus 0.55%) |
| |||||||||||
1.50% | 09/25/35 | 1 | 100,000 | 98,222 | ||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series2006-AR1, Class 3A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.23%) |
| |||||||||||
1.18% | 02/25/36 | 1 | 85,926 | 71,448 | ||||||||
Terwin NIMs Trust, Series 2004-13AL, |
| |||||||||||
Class 2PX (IO) |
| |||||||||||
0.34% | 08/25/34 | 2,5,6 | 2,436,636 | 35,849 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series2002-AR6, Class A |
| |||||||||||
(Federal Reserve US12-Month Cumulative |
| |||||||||||
Average plus 1.40%) |
| |||||||||||
3.37% | 06/25/42 | 1 | 2,846 | 2,405 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series2005-AR8, Class 2AB2 |
| |||||||||||
(LIBOR USD1-Month plus 0.84%) |
| |||||||||||
1.79% | 07/25/45 | 1 | 146,518 | 132,101 | ||||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||||
Series2005-2, Class M1 |
| |||||||||||
(LIBOR USD1-Month plus 0.45%) |
| |||||||||||
2.30% | 10/25/35 | 1 | 26,781 | 26,970 | ||||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||||||
Trust, Series2003-I, Class A1 |
| |||||||||||
4.71% | 09/25/33 | 4 | 13,533 | 13,122 | ||||||||
|
| |||||||||||
2,409,741 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 2.53% |
| |||||||||||
FannieMae-Aces, Series2014-M2, |
| |||||||||||
Class ASV2 |
| |||||||||||
2.78% | 06/25/21 | 4 | 8,365 | 8,408 | ||||||||
FannieMae-Aces, Series2015-M4, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
0.39% | 07/25/22 | 4 | 11,493,309 | 66,278 | ||||||||
FannieMae-Aces, Series2019-M32 |
| |||||||||||
Class X2 (IO) |
| |||||||||||
1.06% | 10/25/29 | 4 | 1,000,000 | 76,531 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K031, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.21% | 04/25/23 | 4 | 8,016,982 | 48,310 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K033, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.30% | 07/25/23 | 4 | 4,188,570 | 37,178 |
See accompanying Notes to Financial Statements.
35 / Annual Report March 2020 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K036, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.73% | 10/25/23 | 4 | $ | 5,408,556 | $ | 124,665 | ||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K044, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.74% | 01/25/25 | 4 | 1,449,526 | 41,210 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K732, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.17% | 05/25/46 | 4 | 250,000 | 23,865 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KAIV, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
3.61% | 06/25/41 | 4 | 250,000 | 9,485 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC01, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.69% | 12/25/22 | 4 | 11,183,690 | 83,965 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC05, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.20% | 06/25/27 | 4 | 999,490 | 62,617 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KIR1, |
| |||||||||||
Class X (IO) |
| |||||||||||
1.07% | 03/25/26 | 4 | 933,848 | 50,413 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS07, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.65% | 09/25/25 | 4 | 3,000,000 | 96,053 | ||||||||
Ginnie Mae, Series2010-140, Class IO (IO) |
| |||||||||||
0.00% | 10/16/43 | 4 | 2,225,117 | 5,727 | ||||||||
|
| |||||||||||
734,705 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 0.16% |
| |||||||||||
Fannie Mae Pool 802665 |
| |||||||||||
(LIBOR USD6-Month plus 1.74%) |
| |||||||||||
3.74% | 12/01/34 | 1 | 682 | 688 | ||||||||
Fannie Mae Pool AL0851 |
| |||||||||||
6.00% | 10/01/40 | 3,431 | 3,960 | |||||||||
Fannie Mae REMICS, Series1997-91, |
| |||||||||||
Class SL (IO) |
| |||||||||||
(-2.00 X LIBOR USD1-Month plus 16.00%, 7.50% Cap) |
| |||||||||||
7.50% | 11/25/23 | 1 | 18,740 | 1,628 | ||||||||
Fannie Mae REMICS, Series2003-11, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD1-Month plus 1.00%) |
| |||||||||||
1.95% | 09/25/32 | 1 | 6,619 | 6,740 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series2010-109, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD1-Month plus 0.40%) |
| |||||||||||
1.35% | 10/25/40 | 1 | $ | 6,017 | $ | 5,939 | ||||||
Fannie Mae REMICS, SeriesG-36, |
| |||||||||||
Class ZB |
| |||||||||||
7.00% | 11/25/21 | 25 | 25 | |||||||||
Freddie Mac REMICS, Series 2684, |
| |||||||||||
Class F |
| |||||||||||
(LIBOR USD1-Month plus 0.90%) |
| |||||||||||
1.60% | 01/15/33 | 1 | 6,389 | 6,428 | ||||||||
Freddie Mac Strips, Series 263, |
| |||||||||||
Class F5 |
| |||||||||||
(LIBOR USD1-Month plus 0.50%) |
| |||||||||||
1.20% | 06/15/42 | 1 | 21,422 | 21,023 | ||||||||
|
| |||||||||||
46,431 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $5,164,091) | 4,617,169 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 4.32% |
| |||||||||||
U.S. Treasury Notes — 4.32% |
| |||||||||||
0.35% | 07/31/21 | 1 | 700,000 | 700,739 | ||||||||
1.13% | 02/28/22 | 545,000 | 554,474 | |||||||||
|
| |||||||||||
1,255,213 | ||||||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $1,251,650) | 1,255,213 | |||||||||||
|
| |||||||||||
Total Bonds – 65.65% |
| |||||||||||
(Cost $20,043,564) | 19,081,936 | |||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
MUTUAL FUNDS — 8.24% |
| |||||||||||
Mutual Funds — 8.24% |
| |||||||||||
iShares Core S&P 500 ETF |
| 3,845 | 993,548 | |||||||||
SPDR S&P 500 ETF Trust7 |
| 5,439 | 1,401,902 | |||||||||
|
| |||||||||||
2,395,450 | ||||||||||||
|
| |||||||||||
Total Mutual Funds |
| |||||||||||
(Cost $2,790,415) |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 36 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 27.17% |
| |||||||||||
Commercial Paper — 0.45% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.88%8 | 01/08/21 | $ | 75,000 | $ | 70,348 | |||||||
3.20%8 | 10/08/20 | 60,000 | 59,093 | |||||||||
|
| |||||||||||
129,441 | ||||||||||||
|
| |||||||||||
Money Market Funds — 17.41% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%9 | 1,376,000 | 1,376,000 | ||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%9 | 917,230 | 917,230 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%9 | 1,428,000 | 1,428,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%9 | 1,339,000 | 1,339,000 | ||||||||||
|
| |||||||||||
5,060,230 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 9.31% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.22%8,10 | 09/10/20 | 2,708,000 | 2,706,733 | |||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $7,897,986) |
| 7,896,404 | ||||||||||
|
| |||||||||||
Total Investments – 101.06% |
| |||||||||||
(Cost $30,731,965) |
| 29,373,790 | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other |
| |||||||||||
Assets – (1.06)% |
| (307,649 | ) | |||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 29,066,141 | |||||||||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
4 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $84,531, which is 0.29% of total net assets. |
7 | SPDR S&P 500 ETF Trust (the “S&P 500 ETF”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940, as amended. The S&P 500 ETF was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Index (the “S&P 500 Index”). Each unit of fractional undivided interest in the S&P 500 ETF is referred to as a “Unit”. The S&P 500 ETF seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. You can access the financial statements of this ETF by going to its homepage at (https://us.spdrs.com/en/etf/spdr-sp-500-etf-SPY). |
8 | Represents annualized yield at date of purchase. |
9 | Represents the current yield as of March 31, 2020. |
10 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,706,213. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industrysub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(CLO): Collateralized loan obligation
(ETF): Exchange-traded fund
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(S&P): Standard and Poor’s
(SPDR): Standard and Poor’s Depositary Receipts
(STEP): Step coupon bond
(USD): U.S. dollar
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized (Depreciation) | |||||||
FUTURES CONTRACTS: LONG POSITIONS | ||||||||||||
S&P 500 Emini Index | 206 | 06/19/20 | $26,496,750 | $(1,659,457) | $(1,659,457) |
See accompanying Notes to Financial Statements.
37 / Annual Report March 2020 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 78.92% |
| |||||||||||
CORPORATES — 60.44%* |
| |||||||||||
Banking — 4.56% |
| |||||||||||
Bank of America Corp. (MTN) |
| |||||||||||
3.97% | 03/05/29 | 1 | $ | 20,000 | $ | 21,301 | ||||||
4.08% | 03/20/51 | 1 | 5,000 | 5,744 | ||||||||
4.27% | 07/23/29 | 1 | 10,000 | 10,951 | ||||||||
Bank of New York Mellon Corp. (The) (MTN) |
| |||||||||||
3.25% | 09/11/24 | 5,000 | 5,229 | |||||||||
Discover Bank (BKNT) |
| |||||||||||
4.20% | 08/08/23 | 10,000 | 10,404 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
4.01% | 04/23/29 | 1 | 20,000 | 21,734 | ||||||||
4.20% | 07/23/29 | 1 | 15,000 | 16,491 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 1,2 | 10,000 | 9,900 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.57% | 01/10/23 | 2 | 10,000 | 9,959 | ||||||||
4.80% | 11/15/24 | 1,2 | 5,000 | 5,244 | ||||||||
State Street Corp. |
| |||||||||||
3.78% | 12/03/24 | 1 | 5,000 | 5,242 | ||||||||
Wells Fargo & Co. (MTN) |
| |||||||||||
3.58% | 05/22/28 | 1 | 20,000 | 20,377 | ||||||||
5.01% | 04/04/51 | 1 | 5,000 | 6,439 | ||||||||
|
| |||||||||||
149,015 | ||||||||||||
|
| |||||||||||
Communications — 7.21% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
3.88% | 01/15/26 | 11,000 | 11,361 | |||||||||
4.35% | 06/15/45 | 40,000 | 42,212 | |||||||||
Charter Communications Operating LLC/ |
| |||||||||||
Charter Communications Operating Capital |
| |||||||||||
5.38% | 05/01/47 | 15,000 | 16,460 | |||||||||
Comcast Corp. |
| |||||||||||
3.97% | 11/01/47 | 10,000 | 11,360 | |||||||||
4.00% | 11/01/49 | 15,000 | 17,557 | |||||||||
4.70% | 10/15/48 | 8,000 | 10,409 | |||||||||
Fox Corp. | ||||||||||||
3.50% | 04/08/30 | 15,000 | 14,970 | |||||||||
4.71% | 01/25/29 | 3 | 3,000 | 3,295 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.40% | 03/01/27 | 3 | 5,000 | 4,787 | ||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 3 | 10,000 | 8,341 | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
5.15% | 03/20/28 | 3 | 10,000 | 10,735 | ||||||||
Time Warner Cable LLC |
| |||||||||||
5.50% | 09/01/41 | 3,000 | 3,148 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Verizon Communications, Inc. |
| |||||||||||
4.02% | 12/03/29 | $ | 45,000 | $ | 50,614 | |||||||
ViacomCBS, Inc. | ||||||||||||
4.95% | 01/15/31 | 8,000 | 7,890 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.25% | 09/17/50 | 2 | 1,000 | 1,057 | ||||||||
4.88% | 06/19/49 | 2 | 6,000 | 6,701 | ||||||||
5.25% | 05/30/48 | 2 | 3,000 | 3,630 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
6.20% | 12/15/34 | 8,000 | 11,130 | |||||||||
|
| |||||||||||
235,657 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 2.02% |
| |||||||||||
Altria Group, Inc. |
| |||||||||||
5.38% | 01/31/44 | 5,000 | 5,551 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.60% | 04/15/48 | 20,000 | 21,294 | |||||||||
4.75% | 01/23/29 | 5,000 | 5,531 | |||||||||
Bacardi Ltd. (Bermuda) |
| |||||||||||
4.70% | 05/15/28 | 2,3 | 8,000 | 8,564 | ||||||||
BAT Capital Corp. |
| |||||||||||
4.39% | 08/15/37 | 5,000 | 4,628 | |||||||||
4.54% | 08/15/47 | 5,000 | 4,575 | |||||||||
NIKE, Inc. | ||||||||||||
3.38% | 03/27/50 | 5,000 | 5,466 | |||||||||
Reynolds American, Inc. |
| |||||||||||
4.45% | 06/12/25 | 5,000 | 5,039 | |||||||||
5.85% | 08/15/45 | 5,000 | 5,296 | |||||||||
|
| |||||||||||
65,944 | ||||||||||||
|
| |||||||||||
Consumer Products — 0.24% |
| |||||||||||
Procter & Gamble Co. (The) |
| |||||||||||
3.00% | 03/25/30 | 7,000 | 7,810 | |||||||||
|
| |||||||||||
Electric — 7.35% |
| |||||||||||
AEP Transmission Co. LLC, Series M |
| |||||||||||
3.65% | 04/01/50 | 10,000 | 10,328 | |||||||||
Ameren Corp. |
| |||||||||||
3.50% | 01/15/31 | 15,000 | 14,964 | |||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 10,000 | 11,023 | |||||||||
Consolidated Edison Co. of New York, Inc.,Series 2017 |
| |||||||||||
3.88% | 06/15/47 | 10,000 | 9,977 | |||||||||
Consolidated Edison Co. of New York, Inc., Series 20B |
| |||||||||||
3.95% | 04/01/50 | 5,000 | 5,309 | |||||||||
Duke Energy Carolinas LLC |
| |||||||||||
3.75% | 06/01/45 | 25,000 | 26,831 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 38 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 3 | $ | 2,000 | $ | 2,132 | ||||||
6.40% | 09/15/20 | 3 | 8,000 | 8,179 | ||||||||
Evergy, Inc. |
| |||||||||||
2.45% | 09/15/24 | 5,000 | 4,914 | |||||||||
Florida Power & Light Co. |
| |||||||||||
4.13% | 02/01/42 | 15,000 | 17,177 | |||||||||
ITC Holdings Corp. |
| |||||||||||
4.05% | 07/01/23 | 10,000 | 10,258 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
4.00% | 04/15/25 | 3 | 9,000 | 9,729 | ||||||||
4.30% | 01/15/29 | 3 | 4,000 | 4,183 | ||||||||
MidAmerican Energy Co. |
| |||||||||||
4.25% | 05/01/46 | 10,000 | 11,264 | |||||||||
Northern States Power Co./MN |
| |||||||||||
4.13% | 05/15/44 | 10,000 | 11,506 | |||||||||
PacifiCorp. |
| |||||||||||
4.13% | 01/15/49 | 30,000 | 33,681 | |||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 5,000 | 5,137 | |||||||||
Southern Co. (The) |
| |||||||||||
3.25% | 07/01/26 | 6,000 | 5,957 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
3.85% | 03/15/23 | 10,000 | 10,648 | |||||||||
Virginia Electric & Power Co., Series B |
| |||||||||||
3.80% | 09/15/47 | 20,000 | 21,256 | |||||||||
Vistra Operations Co. LLC |
| |||||||||||
3.55% | 07/15/24 | 3 | 6,000 | 5,706 | ||||||||
|
| |||||||||||
240,159 | ||||||||||||
|
| |||||||||||
Energy — 6.61% |
| |||||||||||
BP Capital Markets America, Inc. |
| |||||||||||
3.00% | 02/24/50 | 5,000 | 4,685 | |||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.50% | 09/15/40 | 10,000 | 9,983 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
4.95% | 06/15/28 | 15,000 | 12,435 | |||||||||
EQM Midstream Partners LP |
| |||||||||||
6.50% | 07/15/48 | 8,000 | 4,478 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 5,000 | 3,486 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
4.33% | 03/19/50 | 10,000 | 12,273 | |||||||||
Hess Corp. |
| |||||||||||
4.30% | 04/01/27 | 18,000 | 13,230 | |||||||||
KeySpan Gas East Corp. |
| |||||||||||
5.82% | 04/01/41 | 3 | 15,000 | 18,667 | ||||||||
Kinder Morgan Energy Partners LP (MTN) |
| |||||||||||
6.95% | 01/15/38 | 15,000 | 15,650 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Occidental Petroleum Corp. |
| |||||||||||
3.50% | 08/15/29 | $ | 5,000 | $ | 2,368 | |||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
7.69% | 01/23/50 | 2,3 | 10,000 | 6,900 | ||||||||
Plains All American Pipeline LP/PAA |
| |||||||||||
Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 10,000 | 8,125 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
6.88% | 04/15/40 | 3 | 4,000 | 2,470 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
6.50% | 04/01/22 | 3 | 7,348 | 6,558 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
4.20% | 03/15/28 | 3,000 | 2,536 | |||||||||
5.75% | 05/15/24 | 10,000 | 9,282 | |||||||||
Shell International Finance BV (Netherlands) |
| |||||||||||
3.13% | 11/07/49 | 2 | 5,000 | 4,961 | ||||||||
Southern Co. Gas Capital Corp. |
| |||||||||||
2.45% | 10/01/23 | 13,000 | 12,984 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 6,000 | 4,800 | |||||||||
TC PipeLines LP |
| |||||||||||
3.90% | 05/25/27 | 15,000 | 14,516 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% | 10/15/22 | 3 | 10,000 | 10,035 | ||||||||
TransCanada PipeLines Ltd. (Canada) |
| |||||||||||
5.00% | 10/16/43 | 2 | 15,000 | 15,431 | ||||||||
Western Midstream Operating LP |
| |||||||||||
4.05% | 02/01/30 | 10,000 | 4,375 | |||||||||
5.25% | 02/01/50 | 5,000 | 2,087 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
3.70% | 01/15/23 | 7,000 | 6,480 | |||||||||
3.90% | 01/15/25 | 8,000 | 7,380 | |||||||||
|
| |||||||||||
216,175 | ||||||||||||
|
| |||||||||||
Finance — 6.72% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) |
| |||||||||||
3.88% | 01/23/28 | 2 | 14,000 | 10,997 | ||||||||
Air Lease Corp. |
| |||||||||||
3.63% | 12/01/27 | 14,000 | 11,191 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 2,3 | 5,000 | 3,987 | ||||||||
Citigroup, Inc. |
| |||||||||||
3.67% | 07/24/28 | 1 | 20,000 | 20,821 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
5.75% | 02/01/21 | 5,000 | 4,900 | |||||||||
5.88% | 08/02/21 | 20,000 | 19,700 | |||||||||
GE Capital International Funding Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 2 | 23,000 | 24,747 |
See accompanying Notes to Financial Statements. |
39 / Annual Report March 2020 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.20% | 07/06/21 | $ | 5,000 | $ | 4,763 | |||||||
4.20% | 11/06/21 | 5,000 | 4,699 | |||||||||
4.38% | 09/25/21 | 5,000 | 4,607 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.60% | 02/07/30 | 20,000 | 18,901 | |||||||||
3.50% | 11/16/26 | 5,000 | 5,084 | |||||||||
Morgan Stanley (GMTN) |
| |||||||||||
3.70% | 10/23/24 | 5,000 | 5,291 | |||||||||
3.77% | 01/24/29 | 1 | 20,000 | 21,153 | ||||||||
Morgan Stanley (MTN) |
| |||||||||||
3.62% | 04/01/31 | 1 | 5,000 | 5,241 | ||||||||
Morgan Stanley, Series F |
| |||||||||||
3.88% | 04/29/24 | 10,000 | 10,526 | |||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 1,2,3 | 5,000 | 4,976 | ||||||||
3.77% | 03/08/24 | 1,2,3 | 5,000 | 4,849 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
5.50% | 02/15/24 | 2,3 | 5,000 | 4,313 | ||||||||
Pipeline Funding Co. LLC |
| |||||||||||
7.50% | 01/15/30 | 3 | 9,213 | 13,417 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
3.63% | 09/15/26 | 10,000 | 10,127 | |||||||||
4.65% | 04/01/30 | 5,000 | 5,197 | |||||||||
|
| |||||||||||
219,487 | ||||||||||||
|
| |||||||||||
Food — 1.20% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.60% | 11/01/25 | 6,000 | 6,339 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.38% | 06/01/46 | 10,000 | 9,093 | |||||||||
5.00% | 07/15/35 | 13,000 | 13,011 | |||||||||
Kroger Co. (The) |
| |||||||||||
4.50% | 01/15/29 | 5,000 | 5,607 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
5.20% | 04/01/29 | 3 | 5,000 | 5,042 | ||||||||
|
| |||||||||||
39,092 | ||||||||||||
|
| |||||||||||
Health Care — 9.16% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
4.40% | 11/06/42 | 20,000 | 22,353 | |||||||||
Alcon Finance Corp. |
| |||||||||||
3.00% | 09/23/29 | 3 | 10,000 | 10,008 | ||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.80% | 03/15/25 | 2 | 5,000 | 5,125 | ||||||||
4.55% | 03/15/35 | 2 | 10,000 | 11,040 | ||||||||
Amgen, Inc. |
| |||||||||||
4.40% | 05/01/45 | 15,000 | 17,770 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Anthem, Inc. |
| |||||||||||
4.38% | 12/01/47 | $ | 10,000 | $ | 10,803 | |||||||
AstraZeneca PLC (United Kingdom) |
| |||||||||||
3.38% | 11/16/25 | 2 | 10,000 | 10,427 | ||||||||
Barnabas Health, Inc., Series 2012 |
| |||||||||||
4.00% | 07/01/28 | 5,000 | 5,113 | |||||||||
Baxter International, Inc. |
| |||||||||||
3.95% | 04/01/30 | 3 | 5,000 | 5,372 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
3.88% | 12/15/23 | 3 | 5,000 | 5,126 | ||||||||
4.25% | 12/15/25 | 3 | 5,000 | 5,205 | ||||||||
4.38% | 12/15/28 | 3 | 5,000 | 5,351 | ||||||||
4.88% | 06/25/48 | 3 | 5,000 | 5,867 | ||||||||
Bristol-Myers Squibb Co. |
| |||||||||||
3.90% | 02/20/28 | 3 | 13,000 | 14,451 | ||||||||
Centene Corp. |
| |||||||||||
5.38% | 08/15/26 | 3 | 4,000 | 4,125 | ||||||||
Cigna Corp. |
| |||||||||||
3.88% | 10/15/47 | 3 | 15,000 | 15,104 | ||||||||
4.38% | 10/15/28 | 5,000 | 5,379 | |||||||||
CVS Health Corp. |
| |||||||||||
3.25% | 08/15/29 | 10,000 | 9,787 | |||||||||
4.30% | 03/25/28 | 5,000 | 5,359 | |||||||||
5.05% | 03/25/48 | 10,000 | 11,470 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.65% | 08/28/28 | 5,000 | 5,282 | |||||||||
Fresenius U.S. Finance II, Inc. |
| |||||||||||
4.25% | 02/01/21 | 3 | 5,000 | 5,025 | ||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 9,000 | 9,339 | |||||||||
5.25% | 06/15/49 | 2,000 | 2,147 | |||||||||
Kaiser Foundation Hospitals |
| |||||||||||
3.15% | 05/01/27 | 10,000 | 10,304 | |||||||||
MedStar Health, Inc., Series 20A |
| |||||||||||
3.63% | 08/15/49 | 10,000 | 10,679 | |||||||||
NYU Langone Hospitals, Series 2020 |
| |||||||||||
3.38% | 07/01/55 | 15,000 | 14,010 | |||||||||
Pfizer, Inc. |
| |||||||||||
4.10% | 09/15/38 | 10,000 | 11,910 | |||||||||
Providence St. Joseph Health Obligated Group, Series H |
| |||||||||||
2.75% | 10/01/26 | 10,000 | 10,699 | |||||||||
Quest Diagnostics, Inc. |
| |||||||||||
4.20% | 06/30/29 | 5,000 | 5,403 | |||||||||
Thermo Fisher Scientific, Inc. |
| |||||||||||
4.50% | 03/25/30 | 6,000 | 6,753 | |||||||||
UnitedHealth Group, Inc. |
| |||||||||||
4.25% | 04/15/47 | 15,000 | 17,732 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 40 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | $ | 5,000 | $ | 4,992 | |||||||
|
| |||||||||||
299,510 | ||||||||||||
|
| |||||||||||
Industrials — 1.77% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 3 | 10,000 | 10,365 | ||||||||
General Electric Co. (MTN) |
| |||||||||||
(LIBOR USD3-Month plus 0.38%) |
| |||||||||||
2.12% | 05/05/26 | 4 | 10,000 | 8,130 | ||||||||
Ingersoll-Rand Luxembourg Finance SA (Luxembourg) |
| |||||||||||
3.55% | 11/01/24 | 2 | 5,000 | 4,998 | ||||||||
L3Harris Technologies, Inc. |
| |||||||||||
3.85% | 06/15/23 | 3 | 10,000 | 10,452 | ||||||||
Raytheon Technologies Corp. |
| |||||||||||
4.13% | 11/16/28 | 12,000 | 13,201 | |||||||||
Sydney Airport Finance Co. Pty Ltd. (Australia) |
| |||||||||||
3.63% | 04/28/26 | 2,3 | 5,000 | 5,467 | ||||||||
WRKCo, Inc. |
| |||||||||||
4.90% | 03/15/29 | 5,000 | 5,389 | |||||||||
|
| |||||||||||
58,002 | ||||||||||||
|
| |||||||||||
Information Technology — 1.88% |
| |||||||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||||
Finance Ltd. |
| |||||||||||
3.00% | 01/15/22 | 5,000 | 4,948 | |||||||||
Broadcom, Inc. |
| |||||||||||
3.63% | 10/15/24 | 3 | 5,000 | 4,929 | ||||||||
Intel Corp. |
| |||||||||||
3.25% | 11/15/49 | 5,000 | 5,406 | |||||||||
NVIDIA Corp. |
| |||||||||||
3.50% | 04/01/50 | 10,000 | 10,904 | |||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.13% | 06/01/21 | 2,3 | 10,000 | 10,098 | ||||||||
Oracle Corp. |
| |||||||||||
3.60% | 04/01/50 | 25,000 | 25,114 | |||||||||
|
| |||||||||||
61,399 | ||||||||||||
|
| |||||||||||
Insurance — 3.01% |
| |||||||||||
Aon Corp. |
| |||||||||||
3.75% | 05/02/29 | 5,000 | 5,281 | |||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.20% | 08/15/48 | 20,000 | 23,586 | |||||||||
Farmers Insurance Exchange |
| |||||||||||
4.75% | 11/01/57 | 1,3 | 20,000 | 21,230 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
3.03% | 12/15/24 | 1,3 | 10,000 | 10,074 | ||||||||
Teachers Insurance & Annuity |
| |||||||||||
Association of America |
| |||||||||||
4.38% | 09/15/54 | 1,3 | 20,000 | 21,575 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Insurance (continued) |
| |||||||||||
Travelers Cos., Inc. (The) |
| |||||||||||
4.05% | 03/07/48 | $ | 10,000 | $ | 11,771 | |||||||
Willis North America, Inc. |
| |||||||||||
2.95% | 09/15/29 | 5,000 | 4,777 | |||||||||
|
| |||||||||||
98,294 | ||||||||||||
|
| |||||||||||
Materials — 0.32% |
| |||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
4.45% | 09/26/28 | 5,000 | 5,868 | |||||||||
Sherwin-Williams Co. (The) |
| |||||||||||
2.30% | 05/15/30 | 5,000 | 4,696 | |||||||||
|
| |||||||||||
10,564 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 3.03% |
| |||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
4.50% | 07/30/29 | 6,000 | 6,299 | |||||||||
American Campus Communities |
| |||||||||||
Operating Partnership LP |
| |||||||||||
3.63% | 11/15/27 | 5,000 | 4,985 | |||||||||
Crown Castle International Corp. |
| |||||||||||
3.30% | 07/01/30 | 10,000 | 9,918 | |||||||||
CubeSmart LP |
| |||||||||||
4.38% | 02/15/29 | 5,000 | 5,204 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 5,000 | 4,803 | |||||||||
3.45% | 11/15/29 | 15,000 | 13,410 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
4.00% | 01/15/30 | 5,000 | 3,900 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 5,000 | 5,000 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.70% | 04/15/23 | 10,000 | 9,686 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
3.88% | 08/15/24 | 10,000 | 10,477 | |||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.95% | 11/01/27 | 5,000 | 4,770 | |||||||||
Kilroy Realty LP |
| |||||||||||
3.45% | 12/15/24 | 10,000 | 10,636 | |||||||||
Ventas Realty LP |
| |||||||||||
4.13% | 01/15/26 | 10,000 | 10,015 | |||||||||
|
| |||||||||||
99,103 | ||||||||||||
|
| |||||||||||
Retail — 1.25% |
| |||||||||||
Family Dollar Stores, Inc. |
| |||||||||||
5.00% | 02/01/21 | 5,000 | 5,015 | |||||||||
Home Depot, Inc. (The) |
| |||||||||||
3.90% | 12/06/28 | 5,000 | 5,562 | |||||||||
Lowe’s Cos., Inc. |
| |||||||||||
3.65% | 04/05/29 | 5,000 | 5,153 |
See accompanying Notes to Financial Statements. |
41 / Annual Report March 2020 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Retail (continued) |
| |||||||||||
Starbucks Corp. |
| |||||||||||
3.35% | 03/12/50 | $ | 5,000 | $ | 4,768 | |||||||
3.80% | 08/15/25 | 5,000 | 5,312 | |||||||||
Target Corp. |
| |||||||||||
2.65% | 09/15/30 | 5,000 | 5,155 | |||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
4.80% | 11/18/44 | 10,000 | 9,895 | |||||||||
|
| |||||||||||
40,860 | ||||||||||||
|
| |||||||||||
Services — 1.66% |
| |||||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
4.75% | 08/01/28 | 2 | 5,000 | 5,268 | ||||||||
5.00% | 11/01/22 | 2,3 | 5,000 | 5,272 | ||||||||
RELX Capital, Inc. |
| |||||||||||
4.00% | 03/18/29 | 10,000 | 10,344 | |||||||||
University of Chicago (The), Series 20B |
| |||||||||||
2.76% | 04/01/45 | 5,000 | 4,735 | |||||||||
University of Southern California |
| |||||||||||
2.81% | 10/01/50 | 10,000 | 9,932 | |||||||||
Waste Connections, Inc. (Canada) |
| |||||||||||
2.60% | 02/01/30 | 2 | 5,000 | 4,769 | ||||||||
3.05% | 04/01/50 | 2 | 5,000 | 4,487 | ||||||||
Waste Management, Inc. |
| |||||||||||
3.20% | 06/15/26 | 5,000 | 5,214 | |||||||||
William Marsh Rice University |
| |||||||||||
2.60% | 05/15/50 | 5,000 | 4,356 | |||||||||
|
| |||||||||||
54,377 | ||||||||||||
|
| |||||||||||
Transportation — 2.45% |
| |||||||||||
Burlington Northern Santa Fe LLC |
| |||||||||||
4.40% | 03/15/42 | 8,000 | 9,122 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series2020-1, Class AA |
| |||||||||||
2.00% | 06/10/28 | 25,000 | 22,759 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series2019-1, Class AA |
| |||||||||||
2.75% | 05/15/32 | 15,000 | 13,144 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series2011-1, Class A |
| |||||||||||
7.13% | 10/22/23 | 27,094 | 27,187 | |||||||||
United Airlines Pass-Through Trust, |
| |||||||||||
Series2016-2, Class AA |
| |||||||||||
2.88% | 10/07/28 | 8,943 | 7,932 | |||||||||
|
| |||||||||||
80,144 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $1,918,827) |
| 1,975,592 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED — 16.27%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 5.43% |
| |||||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2013-CR7, Class XA (IO) |
| |||||||||||
1.24% | 03/10/46 | 1 | $ | 345,533 | $ | 10,338 | ||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS5, Class XA (IO) |
| |||||||||||
0.87% | 09/10/47 | 1,5,6 | 637,306 | 18,990 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS6, Class XA (IO) |
| |||||||||||
0.89% | 12/10/47 | 1 | 489,121 | 15,811 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series2010-C1, Class X (IO) |
| |||||||||||
1.22% | 08/10/43 | 1,3 | 6,121,241 | 59,855 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series2011-GC3, Class X (IO) |
| |||||||||||
0.65% | 03/10/44 | 1,3 | 2,443,092 | 6,771 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2011-C3, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.95% | 02/15/46 | 1,3 | 1,042,949 | 5,822 | ||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series2012-C5, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.43% | 08/15/45 | 1,3 | 242,987 | 6,203 | ||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series2012-C6, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.61% | 11/15/45 | 1,3,5,6 | 156,129 | 4,830 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series2012-C3, Class XB (IO) |
| |||||||||||
0.20% | 08/10/49 | 1,3,5,6 | 2,200,000 | 11,993 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2016-LC25, Class XA (IO) |
| |||||||||||
0.98% | 12/15/59 | 1 | 470,009 | 20,200 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series2012-C7, Class XA (IO) |
| |||||||||||
1.34% | 06/15/45 | 1,3 | 794,120 | 16,674 | ||||||||
|
| |||||||||||
177,487 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 2.89% |
| |||||||||||
FannieMae-Aces, Series2014-M6, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
0.26% | 05/25/21 | 1 | 13,366,237 | 33,910 | ||||||||
FannieMae-Aces, Series2015-M4, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
0.39% | 07/25/22 | 1 | 522,125 | 3,011 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 42 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K723, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.95% | 08/25/23 | 1 | $ | 932,580 | $ | 23,851 | ||||||
Ginnie Mae, Series2009-111, Class IO (IO) |
| |||||||||||
0.22% | 09/16/51 | 1 | 591,021 | 33,824 | ||||||||
|
| |||||||||||
94,596 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 7.95% |
| |||||||||||
Fannie Mae REMICS, Series2011-116, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD1-Month plus 6.55%, 6.55% Cap) |
| |||||||||||
5.05% | 11/25/41 | 4 | 116,000 | 18,509 | ||||||||
Fannie Mae REMICS, Series2012-128, |
| |||||||||||
Class UA |
| |||||||||||
2.50% | 06/25/42 | 35,438 | 36,096 | |||||||||
Freddie Mac REMICS, Series 4638, |
| |||||||||||
Class UF |
| |||||||||||
(LIBOR USD1-Month plus 1.00%) |
| |||||||||||
2.02% | 09/15/44 | 4 | 56,595 | 56,077 | ||||||||
Ginnie Mae, Series2011-53, |
| |||||||||||
Class IO (IO) |
| |||||||||||
0.00% | 05/16/51 | 1 | 3,178,514 | 10,628 | ||||||||
Ginnie Mae, Series2012-144, Class IO (IO) |
| |||||||||||
0.40% | 01/16/53 | 1 | 390,390 | 8,855 | ||||||||
UMBS (TBA) |
| |||||||||||
2.50% | 05/01/35 | 125,000 | 129,612 | |||||||||
|
| |||||||||||
259,777 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $544,735) |
| 531,860 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.69%* |
| |||||||||||
California — 1.35% |
| |||||||||||
Los Angeles Department of Water & Power |
| |||||||||||
Power System Revenue, Build America |
| |||||||||||
Taxable Bonds, Water Utility Improvements, |
| |||||||||||
Series SY |
| |||||||||||
6.01% | 07/01/39 | 5,000 | 6,607 | |||||||||
Los Angeles Unified School District, Build |
| |||||||||||
America Bonds, School Improvements, |
| |||||||||||
Series RY |
| |||||||||||
6.76% | 07/01/34 | 5,000 | 6,915 | |||||||||
Los Angeles Unified School District, Build |
| |||||||||||
America Taxable Bonds, School |
| |||||||||||
Improvements, Series KR |
| |||||||||||
5.75% | 07/01/34 | 5,000 | 6,433 | |||||||||
5.76% | 07/01/29 | 5,000 | 5,994 | |||||||||
Regents of the University of California |
| |||||||||||
Medical Center Pooled Revenue, Taxable |
| |||||||||||
Bonds, Health, Hospital and Nursing Home |
| |||||||||||
Improvements, Series N |
| |||||||||||
3.26% | 05/15/60 | 5,000 | 4,553 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
California (continued) |
| |||||||||||
State of California, Build America Bonds, |
| |||||||||||
Public Improvements, General Obligation |
| |||||||||||
7.30% | 10/01/39 | $5,000 | $ | 7,700 | ||||||||
University of California, Taxable, College & |
| |||||||||||
University, Revenue Bonds, University & |
| |||||||||||
College Improvements, Series AJ |
| |||||||||||
4.60% | 05/15/31 | 5,000 | 5,825 | |||||||||
|
| |||||||||||
44,027 | ||||||||||||
|
| |||||||||||
Missouri — 0.18% |
| |||||||||||
Health & Educational Facilities Authority of the State of Missouri, Taxable Revenue |
| |||||||||||
Bonds, Washington University, University and College Improvements |
| |||||||||||
3.65% | 08/15/57 | 5,000 | 5,866 | |||||||||
|
| |||||||||||
New York — 0.16% |
| |||||||||||
New York City Transitional Finance Authority |
| |||||||||||
Future Tax Secured Revenue, Taxable |
| |||||||||||
Bonds, Public Improvements |
| |||||||||||
3.73% | 08/01/29 | 5,000 | 5,445 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $53,225) |
| 55,338 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 0.52% |
| |||||||||||
U.S. Treasury Notes — 0.52% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.38% | 03/31/22 | 17,000 | 17,050 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $17,037) |
| 17,050 | ||||||||||
|
| |||||||||||
Total Bonds – 78.92% |
| |||||||||||
(Cost $2,533,824) |
| 2,579,840 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 26.30% |
| |||||||||||
Commercial Paper — 0.30% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.88%7 | 01/08/21 | 5,000 | 4,690 | |||||||||
3.20%7 | 10/08/20 | 5,000 | 4,924 | |||||||||
|
| |||||||||||
9,614 | ||||||||||||
|
| |||||||||||
Money Market Funds — 25.45% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%8 | 121,000 | 121,000 |
See accompanying Notes to Financial Statements. |
43 / Annual Report March 2020 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
Money Market Funds (continued) |
| |||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%8 | 468,933 | $468,933 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%8 | 121,000 | 121,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%8 | 121,000 | 121,000 | ||||||||||
|
| |||||||||||
831,933 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 0.55% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.27%7,9 | 09/10/20 | $18,000 | 17,992 | |||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $859,719) |
| 859,539 | ||||||||||
|
| |||||||||||
Total Investments – 105.22% |
| |||||||||||
(Cost $3,393,543) |
| 3,439,379 | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other |
| |||||||||||
Assets – (5.22)% |
| (170,587 | ) | |||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 3,268,792 | |||||||||
|
|
1 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
4 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $35,813, which is 1.10% of total net assets. |
7 | Represents annualized yield at date of purchase. |
8 | Represents the current yield as of March 31, 2020. |
9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $17,988. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industrysub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(GMTN): Global medium-term note
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term Note
(TBA): To be announced
(USD): U.S. dollar
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized (Depreciation) | |||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||
U.S. Treasury Five Year Note | 1 | 06/30/20 | $(125,359) | $(809) | $(809) |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 44 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 82.15% |
| |||||||||||
ASSET-BACKED SECURITIES — 9.12%** |
| |||||||||||
AMMC CLO 19 Ltd., Series2016-19A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.14%) |
| |||||||||||
2.97% | 10/16/28 | 1,2,3 | $ | 15,000 | $ | 14,591 | ||||||
AMMC CLO XIV Ltd., Series2014-14A, |
| |||||||||||
Class A1LR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.25%) |
| |||||||||||
3.04% | 07/25/29 | 1,2,3 | 10,000 | 9,639 | ||||||||
Corevest American Finance Trust, |
| |||||||||||
Series2019-3, Class XA (IO) |
| |||||||||||
2.04% | 10/15/52 | 3,4 | 975,239 | 86,701 | ||||||||
Dryden XXVIII Senior Loan Fund, |
| |||||||||||
Series2013-28A, Class A1LR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.20%) |
| |||||||||||
2.89% | 08/15/30 | 1,2,3 | 10,000 | 9,593 | ||||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD1-Month plus 0.65%) |
| |||||||||||
2.28% | 08/27/46 | 2,3 | 67,480 | 60,435 | ||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 3 | 52,289 | 50,084 | ||||||||
J.G. Wentworth XXXII LLC, |
| |||||||||||
Series2014-2A, Class A |
| |||||||||||
3.61% | 01/17/73 | 3 | 53,305 | 49,196 | ||||||||
Nelnet Student Loan Trust, Series2015-3A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD1-Month plus 0.90%) |
| |||||||||||
1.85% | 06/25/54 | 2,3 | 100,000 | 86,755 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series2019-4A, Class A1 (Cayman Islands) |
| |||||||||||
LIBOR USD3-Month |
| |||||||||||
2.70% | 10/24/27 | 1,2,3 | 38,064 | 36,979 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series2020-2A, Class A2 (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.55%) |
| |||||||||||
0.00% | 04/20/28 | 1,2,3 | 10,000 | 9,400 | ||||||||
PHEAA Student Loan Trust, Series2014-3A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD1-Month plus 0.59%) |
| |||||||||||
1.54% | 08/25/40 | 2,3 | 50,344 | 48,810 | ||||||||
Rockford Tower CLO Ltd., Series2017-2A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.02%) |
| |||||||||||
2.27% | 10/15/29 | 1,2,3 | 55,000 | 52,875 | ||||||||
SLM Student Loan Trust, Series2004-1, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 0.50%) |
| |||||||||||
2.29% | 07/25/39 | 2 | 72,018 | 65,976 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series2007-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 0.17%) |
| |||||||||||
1.96% | 07/25/25 | 2 | $ | 115,000 | $ | 93,769 | ||||||
SLM Student Loan Trust, Series2008-5, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD3-Month plus 1.70%) |
| |||||||||||
3.49% | 07/25/23 | 2 | 10,142 | 9,589 | ||||||||
SLM Student Loan Trust, Series2008-7, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD3-Month plus 0.90%) |
| |||||||||||
2.69% | 07/25/23 | 2 | 20,271 | 19,708 | ||||||||
SLM Student Loan Trust, Series2008-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 2 | 10,000 | 9,152 | ||||||||
Store Master Funding, Series2019-1, |
| |||||||||||
Class A2 |
| |||||||||||
3.65% | 11/20/49 | 3 | 99,314 | 91,684 | ||||||||
TCI-Flatiron CLO Ltd., Series2016-1A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.22%) |
| |||||||||||
3.06% | 07/17/28 | 1,2,3 | 10,000 | 9,769 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $863,707) | 814,705 | |||||||||||
|
| |||||||||||
CORPORATES — 26.87%* |
| |||||||||||
Banking — 1.68% |
| |||||||||||
Bank of America Corp. (MTN) |
| |||||||||||
2.88% | 10/22/30 | 4 | 5,000 | 5,009 | ||||||||
4.08% | 03/20/51 | 4 | 30,000 | 34,466 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.01% | 03/13/26 | 4 | 5,000 | 4,982 | ||||||||
3.20% | 06/15/26 | 5,000 | 5,204 | |||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 1,4 | 30,000 | 29,699 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.80% | 11/15/24 | 1,4 | 35,000 | 36,708 | ||||||||
Wells Fargo & Co. (MTN) |
| |||||||||||
2.57% | 02/11/31 | 4 | 15,000 | 14,385 | ||||||||
5.01% | 04/04/51 | 4 | 15,000 | 19,317 | ||||||||
|
| |||||||||||
149,770 | ||||||||||||
|
| |||||||||||
Communications — 3.80% |
| |||||||||||
AT&T, Inc. | ||||||||||||
4.35% | 06/15/45 | 55,000 | 58,041 | |||||||||
CCO Holdings LLC/CCO Holdings |
| |||||||||||
Capital Corp. |
| |||||||||||
4.50% | 08/15/30 | 3 | 8,000 | 7,920 | ||||||||
4.50% | 05/01/32 | 3 | 77,000 | 75,188 |
See accompanying Notes to Financial Statements.
45 / Annual Report March 2020 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Charter Communications Operating LLC/ |
| |||||||||||
Charter Communications Operating Capital |
| |||||||||||
5.38% | 05/01/47 | $26,000 | $ | 28,530 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 1,3 | 20,000 | 12,794 | ||||||||
9.75% | 07/15/25 | 1,3 | 35,000 | 22,202 | ||||||||
Koninklijke KPN NV (Netherlands) |
| |||||||||||
8.38% | 10/01/30 | 1 | 5,000 | 6,873 | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum |
| |||||||||||
Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
5.15% | 03/20/28 | 3 | 70,000 | 75,148 | ||||||||
Verizon Communications, Inc. |
| |||||||||||
3.15% | 03/22/30 | 5,000 | 5,397 | |||||||||
4.13% | 03/16/27 | 5,000 | 5,571 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.50% | 05/15/29 | 1,3 | 36,000 | 36,211 | ||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.38% | 05/30/28 | 1 | 5,000 | 5,292 | ||||||||
|
| |||||||||||
339,167 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.47% |
| |||||||||||
Bacardi Ltd. (Bermuda) |
| |||||||||||
4.70% | 05/15/28 | 1,3 | 5,000 | 5,352 | ||||||||
Reynolds American, Inc. |
| |||||||||||
4.45% | 06/12/25 | 10,000 | 10,077 | |||||||||
5.70% | 08/15/35 | 10,000 | 10,800 | |||||||||
5.85% | 08/15/45 | 15,000 | 15,888 | |||||||||
|
| |||||||||||
42,117 | ||||||||||||
|
| |||||||||||
Electric — 0.38% |
| |||||||||||
Evergy, Inc. |
| |||||||||||
4.85% | 06/01/21 | 20,000 | 20,218 | |||||||||
Eversource Energy, Series O |
| |||||||||||
4.25% | 04/01/29 | 8,000 | 8,677 | |||||||||
Pennsylvania Electric Co. |
| |||||||||||
4.15% | 04/15/25 | 3 | 5,000 | 5,373 | ||||||||
|
| |||||||||||
34,268 | ||||||||||||
|
| |||||||||||
Energy — 3.04% |
| |||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 15,000 | 5,663 | |||||||||
5.63% | 06/01/23 | 7,000 | 2,975 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
4.75% | 01/15/26 | 10,000 | 8,711 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 5,000 | 3,486 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Exxon Mobil Corp. |
| |||||||||||
3.48% | 03/19/30 | $ | 10,000 | $ | 11,058 | |||||||
4.23% | 03/19/40 | 10,000 | 11,741 | |||||||||
4.33% | 03/19/50 | 20,000 | 24,545 | |||||||||
Hess Corp. |
| |||||||||||
5.60% | 02/15/41 | 20,000 | 13,707 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
3.50% | 09/01/23 | 8,000 | 7,934 | |||||||||
4.25% | 09/01/24 | 5,000 | 4,895 | |||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
5.95% | 01/28/31 | 1,3 | 5,000 | 3,475 | ||||||||
6.63% | 06/15/35 | 1 | 5,000 | 3,415 | ||||||||
6.75% | 09/21/47 | 1 | 15,000 | 9,774 | ||||||||
6.95% | 01/28/60 | 1,3 | 5,000 | 3,400 | ||||||||
7.69% | 01/23/50 | 1,3 | 20,000 | 13,800 | ||||||||
Plains All American Pipeline LP/PAA |
| |||||||||||
Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 18,000 | 14,625 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.95% | 07/15/29 | 3 | 35,000 | 21,015 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 5,000 | 4,641 | |||||||||
Spectra Energy Partners LP |
| |||||||||||
4.75% | 03/15/24 | 10,000 | 9,948 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 28,000 | 22,402 | |||||||||
TC PipeLines LP |
| |||||||||||
3.90% | 05/25/27 | 20,000 | 19,355 | |||||||||
4.38% | 03/13/25 | 8,000 | 8,147 | |||||||||
Transocean Poseidon Ltd. (Cayman Islands) |
| |||||||||||
6.88% | 02/01/27 | 1,3 | 35,000 | 28,594 | ||||||||
USA Compression Partners LP/USA |
| |||||||||||
Compression Finance Corp. |
| |||||||||||
6.88% | 09/01/27 | 8,000 | 5,120 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
4.55% | 06/24/24 | 10,000 | 8,877 | |||||||||
|
| |||||||||||
271,303 | ||||||||||||
|
| |||||||||||
Entertainment — 0.19% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 3 | 19,000 | 17,015 | ||||||||
|
| |||||||||||
Finance — 3.40% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global |
| |||||||||||
Aviation Trust (Ireland) |
| |||||||||||
3.88% | 01/23/28 | 1 | 5,000 | 3,928 | ||||||||
4.50% | 05/15/21 | 1 | 10,000 | 9,177 | ||||||||
5.00% | 10/01/21 | 1 | 25,000 | 23,123 | ||||||||
Air Lease Corp. |
| |||||||||||
2.25% | 01/15/23 | 25,000 | 20,798 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 46 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Citigroup, Inc. |
| |||||||||||
3.70% | 01/12/26 | $20,000 | $ | 21,067 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.20% | 01/15/21 | 30,000 | 29,250 | |||||||||
3.81% | 10/12/21 | 10,000 | 9,644 | |||||||||
4.25% | 09/20/22 | 30,000 | 28,050 | |||||||||
5.60% | 01/07/22 | 5,000 | 4,863 | |||||||||
5.75% | 02/01/21 | 10,000 | 9,800 | |||||||||
5.88% | 08/02/21 | 5,000 | 4,925 | |||||||||
(LIBOR USD3-Month plus 0.81%) |
| |||||||||||
2.18% | 04/05/21 | 2 | 5,000 | 4,505 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.20% | 07/06/21 | 30,000 | 28,580 | |||||||||
4.38% | 09/25/21 | 10,000 | 9,214 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.60% | 02/07/30 | 5,000 | 4,725 | |||||||||
3.69% | 06/05/28 | 4 | 5,000 | 5,130 | ||||||||
3.81% | 04/23/29 | 4 | 5,000 | 5,199 | ||||||||
Morgan Stanley (GMTN) |
| |||||||||||
4.43% | 01/23/30 | 4 | 15,000 | 16,756 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.77% | 03/08/24 | 1,3,4 | 10,000 | 9,699 | ||||||||
4.36% | 08/01/24 | 1,3,4 | 25,000 | 25,151 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 30,000 | 26,075 | ||||||||
5.50% | 02/15/24 | 1,3 | 5,000 | 4,313 | ||||||||
|
| |||||||||||
303,972 | ||||||||||||
|
| |||||||||||
Food — 1.13% |
| |||||||||||
Campbell Soup Co. |
| |||||||||||
4.15% | 03/15/28 | 10,000 | 10,618 | |||||||||
Conagra Brands, Inc. |
| |||||||||||
4.85% | 11/01/28 | 10,000 | 10,729 | |||||||||
(LIBOR USD3-Month plus 0.50%) |
| |||||||||||
1.82% | 10/09/20 | 2 | 10,000 | 9,862 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.38% | 06/01/46 | 15,000 | 13,639 | |||||||||
4.88% | 10/01/49 | 3 | 20,000 | 18,267 | ||||||||
5.00% | 07/15/35 | 10,000 | 10,008 | |||||||||
6.88% | 01/26/39 | 10,000 | 11,417 | |||||||||
7.13% | 08/01/39 | 3 | 5,000 | 5,771 | ||||||||
Kroger Co. (The) |
| |||||||||||
4.50% | 01/15/29 | 5,000 | 5,607 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
5.20% | 04/01/29 | 3 | 5,000 | 5,042 | ||||||||
|
| |||||||||||
100,960 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Gaming — 0.81% |
| |||||||||||
Churchill Downs, Inc. |
| |||||||||||
5.50% | 04/01/27 | 3 | $77,000 | $ | 72,722 | |||||||
|
| |||||||||||
Health Care — 5.38% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
4.05% | 11/21/39 | 3 | 5,000 | 5,228 | ||||||||
4.25% | 11/21/49 | 3 | 35,000 | 37,665 | ||||||||
Aetna, Inc. |
| |||||||||||
3.50% | 11/15/24 | 10,000 | 10,154 | |||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.85% | 06/15/24 | 1 | 10,000 | 10,491 | ||||||||
Amgen, Inc. |
| |||||||||||
4.66% | 06/15/51 | 5,000 | 6,319 | |||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
4.38% | 12/15/28 | 3 | 10,000 | 10,702 | ||||||||
4.88% | 06/25/48 | 3 | 45,000 | 52,802 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
3.73% | 12/15/24 | 10,000 | 10,270 | |||||||||
Centene Corp. |
| |||||||||||
3.38% | 02/15/30 | 3 | 42,000 | 39,159 | ||||||||
4.75% | 05/15/22 | 55,000 | 55,569 | |||||||||
Cigna Corp. |
| |||||||||||
2.40% | 03/15/30 | 5,000 | 4,767 | |||||||||
3.40% | 03/01/27 | 3 | 10,000 | 10,145 | ||||||||
3.40% | 03/15/50 | 5,000 | 4,784 | |||||||||
4.90% | 12/15/48 | 15,000 | 18,086 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 30,000 | 34,410 | |||||||||
(LIBOR USD3-Month plus 0.72%) |
| |||||||||||
1.72% | 03/09/21 | 2 | 10,000 | 9,796 | ||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.02% | 08/28/23 | 29,000 | 29,389 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
4.13% | 10/15/20 | 3 | 10,000 | 9,959 | ||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 10,000 | 10,377 | |||||||||
5.25% | 06/15/49 | 10,000 | 10,735 | |||||||||
NYU Langone Hospitals, Series 2020 |
| |||||||||||
3.38% | 07/01/55 | 25,000 | 23,350 | |||||||||
Partners Healthcare System, Inc., |
| |||||||||||
Series 2020 |
| |||||||||||
3.34% | 07/01/60 | 10,000 | 10,057 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 3 | 43,000 | 41,400 | ||||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.70% | 08/15/49 | 5,000 | 5,600 | |||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | 20,000 | 19,966 | |||||||||
|
| |||||||||||
481,180 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
47 / Annual Report March 2020 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials — 1.47% |
| |||||||||||
General Electric Co. (MTN) |
| |||||||||||
(LIBOR USD3-Month plus 0.38%) |
| |||||||||||
2.12% | 05/05/26 | 2 | $ | 60,000 | $ | 48,782 | ||||||
(LIBOR USD3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 2 | 52,000 | 39,663 | ||||||||
General Electric Co., Series A (MTN) |
| |||||||||||
6.75% | 03/15/32 | 30,000 | 35,686 | |||||||||
Titan Acquisition Ltd./TitanCo-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 1,3 | 9,000 | 7,605 | ||||||||
|
| |||||||||||
131,736 | ||||||||||||
|
| |||||||||||
Information Technology — 0.98% |
| |||||||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||||
Finance Ltd. |
| |||||||||||
3.63% | 01/15/24 | 5,000 | 5,009 | |||||||||
Broadcom, Inc. |
| |||||||||||
3.13% | 04/15/21 | 3 | 25,000 | 24,735 | ||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 3 | 5,000 | 5,001 | ||||||||
Intel Corp. |
| |||||||||||
4.75% | 03/25/50 | 25,000 | 33,870 | |||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% | 09/30/27 | 3 | 18,000 | 18,861 | ||||||||
|
| |||||||||||
87,476 | ||||||||||||
|
| |||||||||||
Insurance — 0.44% |
| |||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.25% | 01/15/49 | 10,000 | 12,433 | |||||||||
Teachers Insurance & Annuity |
| |||||||||||
Association of America |
| |||||||||||
4.38% | 09/15/54 | 3,4 | 25,000 | 26,969 | ||||||||
|
| |||||||||||
39,402 | ||||||||||||
|
| |||||||||||
Materials — 0.17% |
| |||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 15,000 | 15,371 | |||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.80% |
| |||||||||||
Boston Properties LP |
| |||||||||||
2.75% | 10/01/26 | 10,000 | 9,539 | |||||||||
Crown Castle International Corp. |
| |||||||||||
3.30% | 07/01/30 | 35,000 | 34,713 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 5,000 | 4,803 | |||||||||
3.45% | 11/15/29 | 30,000 | 26,820 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
4.00% | 01/15/30 | 5,000 | 3,900 | |||||||||
5.25% | 06/01/25 | 5,000 | 4,675 | |||||||||
5.38% | 11/01/23 | 10,000 | 9,130 | |||||||||
5.75% | 06/01/28 | 10,000 | 8,907 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.70% | 04/15/23 | $ | 30,000 | $ | 29,058 | |||||||
Healthpeak Properties, Inc. |
| |||||||||||
3.40% | 02/01/25 | 25,000 | 24,769 | |||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.95% | 11/01/27 | 5,000 | 4,770 | |||||||||
|
| |||||||||||
161,084 | ||||||||||||
|
| |||||||||||
Retail — 0.08% |
| |||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
3.80% | 01/25/50 | 1,3 | 5,000 | 4,421 | ||||||||
Rite Aid Corp. |
| |||||||||||
6.13% | 04/01/23 | 3 | 3,000 | 2,603 | ||||||||
|
| |||||||||||
7,024 | ||||||||||||
|
| |||||||||||
Services — 0.76% |
| |||||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.13% | 12/15/26 | 1,3 | 18,000 | 17,685 | ||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
4.75% | 02/15/25 | 1,3 | 20,000 | 20,649 | ||||||||
5.00% | 11/01/22 | 1,3 | 10,000 | 10,544 | ||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 3 | 20,000 | 18,695 | ||||||||
|
| |||||||||||
67,573 | ||||||||||||
|
| |||||||||||
Transportation — 0.89% |
| |||||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series2000-1, Class A1 |
| |||||||||||
8.05% | 11/01/20 | 9,360 | 9,460 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series2001-1, Class A1 |
| |||||||||||
6.70% | 06/15/21 | 3,003 | 2,976 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series2020-1, Class AA |
| |||||||||||
2.00% | 06/10/28 | 25,000 | 22,759 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series2019-1, Class AA |
| |||||||||||
2.75% | 05/15/32 | 30,000 | 26,288 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 17,551 | 17,624 | |||||||||
|
| |||||||||||
79,107 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $2,516,750) | 2,401,247 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 45.19%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 17.13% |
| |||||||||||
20 Times Square Trust |
| |||||||||||
Series 2018-20TS, Class G |
| |||||||||||
3.10% | 05/15/35 | 3,4 | 5,000 | 4,212 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 48 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
BBCMS Mortgage Trust, |
| |||||||||||
Series 2015-SRCH, Class D |
| |||||||||||
4.96% | 08/10/35 | 3,4 | $ | 70,000 | $ | 70,290 | ||||||
BBCMS Mortgage Trust, |
| |||||||||||
Series2020-C6, Class F5TB |
| |||||||||||
3.69% | 02/15/53 | 3,4 | 75,000 | 46,675 | ||||||||
CCRESG Commercial Mortgage Trust, |
| |||||||||||
Series 2016-HEAT, Class X (IO) |
| |||||||||||
1.39% | 04/10/29 | 3,4 | 1,280,000 | 10,793 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2012-CR1, Class XA (IO) |
| |||||||||||
1.85% | 05/15/45 | 4 | 762,505 | 23,988 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2012-CR4, Class XA (IO) |
| |||||||||||
1.70% | 10/15/45 | 4 | 809,076 | 26,236 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series2012-LC4, Class XB (IO) |
| |||||||||||
0.54% | 12/10/44 | 3,4 | 1,800,000 | 17,886 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS5, Class XA (IO) |
| |||||||||||
0.87% | 09/10/47 | 4,5,6 | 749,772 | 22,341 | ||||||||
DBUBS Mortgage Trust, Series 2011-LC1A, |
| |||||||||||
Class XB (IO) |
| |||||||||||
0.30% | 11/10/46 | 3,4 | 300,000 | 795 | ||||||||
DBUBS Mortgage Trust, Series 2011-LC3A, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.28% | 08/10/44 | 3,4 | 25,428,790 | 57,367 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series2010-C1, Class X (IO) |
| |||||||||||
1.22% | 08/10/43 | 3,4 | 25,757,562 | 251,865 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series2011-GC3, Class X (IO) |
| |||||||||||
0.65% | 03/10/44 | 3,4 | 4,153,256 | 11,511 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GCJ9, Class XA (IO) |
| |||||||||||
1.94% | 11/10/45 | 4 | 693,459 | 28,553 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class F |
| |||||||||||
2.94% | 12/10/41 | 3,4 | 85,000 | 65,488 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series2013-C14, Class XA (IO) |
| |||||||||||
0.57% | 08/15/46 | 4 | 4,257,456 | 65,262 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series2014-C19, Class XA (IO) |
| |||||||||||
0.75% | 04/15/47 | 4 | 1,809,202 | 35,096 | ||||||||
JPMDB Commercial Mortgage Securities |
| |||||||||||
Trust, Series2016-C2, Class XA (IO) |
| |||||||||||
1.67% | 06/15/49 | 4 | 338,367 | 20,646 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2011-C3, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.95% | 02/15/46 | 3,4 | 16,687,185 | 93,150 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2012-LC9, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.50% | 12/15/47 | 4 | $ | 1,804,439 | $ | 57,014 | ||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2013-C10, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.98% | 12/15/47 | 4 | 1,258,287 | 29,619 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2020-NNN, |
| |||||||||||
Class XAFX (IO) |
| |||||||||||
1.88% | 01/16/37 | 3,4 | 450,000 | 33,409 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series2020-NNN, |
| |||||||||||
Class XBFX (IO) |
| |||||||||||
0.57% | 01/16/37 | 3,4 | 1,450,000 | 34,374 | ||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series2014-C18, Class XA (IO) |
| |||||||||||
0.71% | 10/15/47 | 4 | 117,636 | 2,749 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series2011-C2, Class XB (IO) |
| |||||||||||
0.33% | 06/15/44 | 3,4 | 21,644,659 | 176,274 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series2012-C4, Class XA (IO) |
| |||||||||||
2.07% | 03/15/45 | 3,4 | 690,645 | 20,305 | ||||||||
MSBAM Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2012-CKSV, Class XA (IO) |
| |||||||||||
1.06% | 10/15/30 | 3,4 | 1,135,156 | 23,591 | ||||||||
Natixis Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2018-ALXA, Class E |
| |||||||||||
4.32% | 01/15/43 | 3,4 | 70,000 | 48,903 | ||||||||
SFAVE Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-5AVE, Class A2B |
| |||||||||||
4.14% | 01/05/43 | 3,4 | 65,000 | 58,539 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series2012-C4, Class XA (IO) |
| |||||||||||
1.62% | 12/10/45 | 3,4 | 795,062 | 25,480 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series2012-LC5, Class XA (IO) |
| |||||||||||
1.75% | 10/15/45 | 3,4 | 908,382 | 31,307 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series2011-C2, Class XA (IO) |
| |||||||||||
0.79% | 02/15/44 | 3,4 | 1,044,996 | 4,477 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series2011-C3, Class XA (IO) |
| |||||||||||
1.31% | 03/15/44 | 3,4 | 2,240,752 | 23,685 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series2012-C10, Class XA (IO) |
| |||||||||||
1.54% | 12/15/45 | 3,4 | 1,186,033 | 41,102 |
See accompanying Notes to Financial Statements.
49 / Annual Report March 2020 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series2014-C24, Class XA (IO) |
| |||||||||||
0.84% | 11/15/474 | $ | 2,319,104 | $ | 67,310 | |||||||
|
| |||||||||||
1,530,292 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 12.88% |
| |||||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-16CB, Class 1A7 |
| |||||||||||
6.00% | 08/25/37 | 12,251 | 11,117 | |||||||||
American Home Mortgage Investment Trust, |
| |||||||||||
Series2006-1, Class 11A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.28%) |
| |||||||||||
1.23% | 03/25/46 | 2 | 22,826 | 19,275 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series2006-3, Class 5A3 |
| |||||||||||
5.50% | 03/25/36 | 11,890 | 10,659 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series2014-R7, Class 1A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.15%) |
| |||||||||||
1.10% | 05/26/36 | 2,3 | 38,133 | 36,052 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series2015-R4, Class 5A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.15%) |
| |||||||||||
1.78% | 10/25/36 | 2,3 | 24,841 | 23,100 | ||||||||
Bear StearnsALT-A Trust, Series2004-6, |
| |||||||||||
Class 1A |
| |||||||||||
(LIBOR USD1-Month plus 0.64%) |
| |||||||||||
1.59% | 07/25/34 | 2 | 6,050 | 6,025 | ||||||||
Bear Stearns ARM Trust, Series2004-3, |
| |||||||||||
Class 2A |
| |||||||||||
4.17% | 07/25/34 | 4 | 13,075 | 12,340 | ||||||||
Bombardier Capital Mortgage Securitization |
| |||||||||||
Corp., Series2000-A, Class A4 |
| |||||||||||
8.29% | 06/15/30 | 4 | 142,144 | 51,302 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series2006-WF1, Class A2C |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
4.86% | 03/25/36 | 39,320 | 23,861 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series2015-2, Class 1A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.20%) |
| |||||||||||
1.83% | 06/25/47 | 2,3 | 14,530 | 14,262 | ||||||||
CitiMortgage Alternative Loan Trust, |
| |||||||||||
Series2007-A3, Class 1A7 |
| |||||||||||
5.75% | 03/25/37 | 48,337 | 42,839 | |||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series2007-14, |
| |||||||||||
Class A3 |
| |||||||||||
6.25% | 09/25/37 | 32,191 | 25,028 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series2006-CB7, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD1-Month plus 0.16%) |
| |||||||||||
1.11% | 10/25/36 | 2 | $ | 55,526 | $ | 40,476 | ||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series2006-MH1, |
| |||||||||||
Class B1 (STEP-reset date 05/25/20) |
| |||||||||||
6.25% | 10/25/36 | 3 | 61,000 | 60,784 | ||||||||
Fremont Home Loan Trust, Series2005-E, |
| |||||||||||
Class 2A4 |
| |||||||||||
(LIBOR USD1-Month plus 0.33%) |
| |||||||||||
1.28% | 01/25/36 | 2 | 32,498 | 29,420 | ||||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||||
Series2005-AR3, Class 1A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.24%) |
| |||||||||||
1.19% | 08/25/45 | 2 | 10,138 | 9,068 | ||||||||
GSAA Trust, Series2007-3, Class 2A1B |
| |||||||||||
(LIBOR USD1-Month plus 0.10%) |
| |||||||||||
1.05% | 03/25/47 | 2 | 166,316 | 13,443 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series2005-AR6, Class 2A1 |
| |||||||||||
4.10% | 09/25/35 | 4 | 8,269 | 7,828 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series2005-9, Class 2A1A |
| |||||||||||
(LIBOR USD1-Month plus 0.34%) |
| |||||||||||
1.11% | 06/20/35 | 2 | 24,418 | 21,582 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series2005-9, Class 2X (IO) |
| |||||||||||
1.45% | 06/20/35 | 3,4,5,6 | 1,790,639 | 111,895 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series2007-F2, Class 1A4 |
| |||||||||||
6.00% | 07/25/37 | 13,070 | 12,111 | |||||||||
Lehman Mortgage Trust, Series2006-7, |
| |||||||||||
Class 2A5 (IO) |
| |||||||||||
(-1.00 X LIBOR USD1-Month plus 6.55%, 6.55% Cap) |
| |||||||||||
5.60% | 11/25/36 | 2,5,6 | 215,174 | 74,204 | ||||||||
Lehman Mortgage Trust, Series2007-5, |
| |||||||||||
Class 10A2 (IO) |
| |||||||||||
(-1.00 X LIBOR USD1-Month plus 6.34%, 6.34% Cap) |
| |||||||||||
5.39% | 06/25/37 | 2,5,6 | 281,193 | 53,134 | ||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series2005-2, Class 4A3 |
| |||||||||||
(LIBOR USD1-Month plus 0.40%) |
| |||||||||||
1.35% | 03/25/35 | 2 | 33,940 | 31,620 | ||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series2004-B, Class A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.50%) |
| |||||||||||
1.45% | 05/25/29 | 2 | 22,147 | 19,839 | ||||||||
Mid-State Capital Corp., Series2005-1, |
| |||||||||||
Class A |
| |||||||||||
5.75% | 01/15/40 | 9,995 | 10,261 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 50 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Mid-State Capital Corp., Series2006-1, |
| |||||||||||
Class A |
| |||||||||||
5.79% | | 10/15/40 | 3 | $ | 60,127 | $ | 62,898 | |||||
Mid-State Trust XI, Series 2011, Class A1 |
| |||||||||||
4.86% | 07/15/38 | 4,495 | 4,485 | |||||||||
Nationstar Home Equity Loan Trust, |
| |||||||||||
Series2007-C, Class 2AV4 |
| |||||||||||
(LIBOR USD1-Month plus 0.25%) |
| |||||||||||
1.20% | | 06/25/372 | | 35,000 | 30,535 | |||||||
Nomura Resecuritization Trust, |
| |||||||||||
Series2015-5R, Class 4A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.14%) |
| |||||||||||
2.85% | 07/26/37 | 2,3 | 17,632 | 17,185 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series2002-A, Class A2 |
| |||||||||||
5.01% | 03/15/20 | 4 | 19,924 | 19,822 | ||||||||
Park Place Securities, Inc., Asset-Backed |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 2005-WCH1, Class M4 |
| |||||||||||
(LIBOR USD1-Month plus 1.25%) |
| |||||||||||
2.19% | 01/25/36 | 2 | 25,000 | 24,270 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2006-EFC2, Class A4 |
| |||||||||||
(LIBOR USD1-Month plus 0.22%) |
| |||||||||||
1.17% | 12/25/36 | 2 | 100,000 | 84,094 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series2003-A15, Class 1A3 (IO) |
| |||||||||||
(-1.00 X LIBOR USD1-Month plus 7.55%, 7.55% Cap) |
| |||||||||||
6.60% | 02/25/34 | 2,5,6 | 763,225 | 96,040 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series2004-1, Class 4A1 |
| |||||||||||
3.87% | 02/25/34 | 4 | 2,610 | 2,317 | ||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series2006-AR2, Class A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.23%) |
| |||||||||||
1.18% | 02/25/36 | 2 | 28,816 | 23,351 | ||||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||||||
Trust, Series2006-AR4, Class 2A1 |
| |||||||||||
4.09% | 04/25/36 | 4 | 18,961 | 14,116 | ||||||||
|
| |||||||||||
1,150,638 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 7.64% |
| |||||||||||
FannieMae-Aces, Series2016-M11, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
2.73% | 07/25/39 | 4 | 1,292,976 | 57,348 | ||||||||
FannieMae-Aces, Series2016-M2, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.02% | 04/25/36 | 4 | 899,177 | 23,765 | ||||||||
FannieMae-Aces, Series2016-M4, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
2.65% | 01/25/39 | 4 | 1,361,623 | 90,926 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K017, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.20% | 12/25/39 | 4 | $ | 2,147,000 | $ | 76,149 | ||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K022, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.81% | 08/25/40 | 4 | 900,000 | 34,556 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K031, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.66% | 07/25/41 | 4 | 1,170,000 | 53,123 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K037, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.21% | 01/25/42 | 4 | 390,000 | 28,460 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K715, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.09% | 01/25/21 | 4 | 4,387,883 | 25,382 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KLU1, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
3.97% | 01/25/31 | 4 | 347,350 | 70,852 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS05, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.76% | 01/25/23 | 4 | 4,790,287 | 74,649 | ||||||||
FREMF Mortgage Trust, Series2012-K20, |
| |||||||||||
Class X2A (IO) |
| |||||||||||
0.20% | 05/25/45 | 3 | 3,693,296 | 12,086 | ||||||||
Ginnie Mae, Series2009-111, Class IO (IO) |
| |||||||||||
0.22% | 09/16/51 | 4 | 1,050,704 | 60,131 | ||||||||
Ginnie Mae, Series2011-119, Class IO (IO) |
| |||||||||||
0.29% | 08/16/51 | 4 | 2,141,876 | 17,518 | ||||||||
Ginnie Mae, Series2011-78, Class IX (IO) |
| |||||||||||
0.10% | 08/16/46 | 4 | 2,406,026 | 20,519 | ||||||||
Ginnie Mae, Series2012-135, Class IO (IO) |
| |||||||||||
0.58% | 01/16/53 | 4 | 568,946 | 18,058 | ||||||||
Ginnie Mae, Series2013-33, Class IO (IO) |
| |||||||||||
0.76% | 04/16/54 | 4 | 742,520 | 19,289 | ||||||||
|
| |||||||||||
682,811 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 7.54% |
| |||||||||||
Fannie Mae Pool 462209 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 2.18%) |
| |||||||||||
3.76% | 04/01/36 | 2 | 59,610 | 60,716 | ||||||||
Fannie Mae Pool AN6241 |
| |||||||||||
3.46% | 09/01/37 | 80,000 | 93,404 |
See accompanying Notes to Financial Statements. |
51 / Annual Report March 2020 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Fannie Mae REMICS, Series2005-56, |
| |||||||||||
Class SP |
| |||||||||||
(-6.50 X LIBOR USD1-Month plus 42.30%, 6.00% Cap) |
| |||||||||||
6.00% | 08/25/33 | 2 | $ | 11,441 | $ | 12,068 | ||||||
Fannie Mae REMICS, Series2011-116, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD1-Month plus 6.55%, 6.55% Cap) |
| |||||||||||
5.05% | 11/25/41 | 2 | 348,001 | 55,527 | ||||||||
Fannie Mae REMICS, Series2012-139, |
| |||||||||||
Class AI (IO) |
| |||||||||||
3.00% | 12/25/27 | 451,828 | 31,071 | |||||||||
Freddie Mac Strips, Series 240, |
| |||||||||||
Class IO (IO) |
| |||||||||||
5.50% | 07/15/36 | 469,604 | 91,486 | |||||||||
Ginnie Mae, Series2003-11, |
| |||||||||||
Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD1-Month plus 6.55%, 6.55% Cap) |
| |||||||||||
5.85% | 02/16/33 | 2 | 1,010,936 | 90,842 | ||||||||
Ginnie Mae, Series2003-110, Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
5.83% | 10/20/33 | 2 | 525,996 | 111,076 | ||||||||
Ginnie Mae, Series2012-73, Class NK |
| |||||||||||
3.00% | 08/20/40 | 9,961 | 10,056 | |||||||||
Ginnie Mae, Series2018-124, Class NW |
| |||||||||||
3.50% | 09/20/48 | 75,298 | 81,119 | |||||||||
Ginnie Mae, Series2018-154, Class BP |
| |||||||||||
3.50% | 11/20/48 | 34,794 | 36,176 | |||||||||
|
| |||||||||||
673,541 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $4,324,966) |
| 4,037,282 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.97%* |
| |||||||||||
California — 0.50% |
| |||||||||||
Regents of the University of California |
| |||||||||||
Medical Center Pooled Revenue, Taxable |
| |||||||||||
Bonds, Health, Hospital and Nursing Home |
| |||||||||||
Improvements, Series N |
| |||||||||||
3.26% | 05/15/60 | 30,000 | 27,319 | |||||||||
San Francisco City & County Airport |
| |||||||||||
Comm-San Francisco International Airport, |
| |||||||||||
Airport and Marina Improvements, Series A |
| |||||||||||
5.00% | 05/01/49 | 15,000 | 17,469 | |||||||||
|
| |||||||||||
44,788 | ||||||||||||
|
| |||||||||||
Indiana — 0.06% |
| |||||||||||
Indiana University, Taxable Revenue Bonds, |
| |||||||||||
University and College Improvements, Series B |
| |||||||||||
3.07% | 06/01/60 | 5,000 | 5,287 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Massachusetts — 0.11% |
| |||||||||||
Commonwealth of Massachusetts, |
| |||||||||||
Public Improvements, Series C |
| |||||||||||
3.00% | 03/01/48 | $ 10,000 | $ | 10,285 | ||||||||
|
| |||||||||||
New York — 0.30% |
| |||||||||||
New York City Transitional Finance Authority |
| |||||||||||
Future Tax Secured Revenue Bonds, Public |
| |||||||||||
Improvements, SeriesB-1 |
| |||||||||||
4.00% | 08/01/38 | 10,000 | 11,113 | |||||||||
New York City Water & Sewer System |
| |||||||||||
Revenue Bonds, Water Utility Improvements |
| |||||||||||
3.00% | 06/15/50 | 10,000 | 10,163 | |||||||||
New York State Dormitory Authority, |
| |||||||||||
Revenue Bonds, Health, Hospital and |
| |||||||||||
Nursing Home Improvements, Series A |
| |||||||||||
4.00% | 07/01/50 | 5,000 | 5,429 | |||||||||
|
| |||||||||||
26,705 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $86,970) |
| 87,065 | ||||||||||
|
| |||||||||||
Total Bonds – 82.15% |
| |||||||||||
(Cost $7,792,393) |
| 7,340,299 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 17.66% |
| |||||||||||
Commercial Paper — 0.22% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.20%7 | 10/08/20 | 20,000 | 19,698 | |||||||||
|
| |||||||||||
Money Market Funds — 17.14% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%8 | 380,000 | 380,000 | ||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%8 | 390,905 | 390,905 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.28%8 | 380,000 | 380,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%8 | 380,000 | 380,000 | ||||||||||
|
| |||||||||||
1,530,905 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 0.30% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.27%7,9 | 09/10/20 | 27,000 | 26,987 | |||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $1,577,545) |
| 1,577,590 | ||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 52 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2020
Value | ||||
Total Investments – 99.81% | ||||
(Cost $9,369,938) | $ | 8,917,889 | ||
|
| |||
Cash and Other Assets, Less | ||||
Liabilities – 0.19% | 17,186 | |||
|
| |||
Net Assets – 100.00% | $ | 8,935,075 | ||
|
|
1 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
2 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
4 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $357,614, which is 4.00% of total net assets. |
7 | Represents annualized yield at date of purchase. |
8 | Represents the current yield as of March 31, 2020. |
9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $26,982. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industrysub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(GMTN): Global medium-term note
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| |||||||||||||||||||
U.S. Treasury Five Year Note | 1 | 06/30/20 | $ 125,359 | $ 706 | $ 706 | |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| |||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 2 | 06/19/20 | (312,063) | (10,442) | (10,442) | |||||||||||||||
U.S. Treasury Ultra Bond | 1 | 06/19/20 | (221,875) | (13,721) | (13,721) | |||||||||||||||
(533,938) | (24,163) | (24,163) | ||||||||||||||||||
TOTAL FUTURES CONTRACTS | $(408,579) | $(23,457) | $(23,457) |
See accompanying Notes to Financial Statements. |
53 / Annual Report March 2020 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 91.28% |
| |||||||||||
BANK LOANS — 81.13%* |
| |||||||||||
Automotive — 0.30% |
| |||||||||||
Oeconnection LLC, |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.45% | 09/25/26 | 1,2 | $ | 681,640 | $ | 550,424 | ||||||
Panther BF Aggregator 2 LP |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.44% | 04/30/262 | 248,750 | 228,850 | |||||||||
779,274 | ||||||||||||
Communications — 14.46% |
| |||||||||||
A-L Parent LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 12/01/23 | 2 | 497,429 | 339,080 | ||||||||
Altice Financing SA, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.67% | 01/31/26 | 2 | 977,500 | 899,300 | ||||||||
Altice SA, |
| |||||||||||
Term Loan B13, 1st Lien (France) |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.70% | 08/14/26 | 2,3 | 493,750 | 472,766 | ||||||||
Beasley Mezzanine Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.95% | 11/01/23 | 2 | 205,722 | 164,578 | ||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 03/15/27 | 2 | 1,745,625 | 1,639,805 | ||||||||
Charter Communications Operating LLC, |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/30/25 | 2 | 1,955,000 | 1,891,463 | ||||||||
Charter Communications Operating LLC, |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 02/01/27 | 2 | 398,282 | 384,343 | ||||||||
Clear Channel Outdoor Holdings |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.49% | 08/21/26 | 2 | 1,741,250 | 1,480,063 | ||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 04/04/26 | 2 | 1,992,494 | 1,892,869 | ||||||||
Connect Finco SARL, |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 12/12/26 | 2 | 1,300,000 | 1,048,125 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
CoralusCo-Borrower LLC, |
| |||||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 01/31/28 | 2 | $ | 1,250,000 | $ | 1,185,937 | ||||||
Cox Media Group, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.70% | 12/17/26 | 2 | 1,047,375 | 950,493 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.86% | 01/15/26 | 2 | 990,000 | 955,350 | ||||||||
Dawn Acquisition LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.20% | 10/27/25 | 2 | 491,275 | 379,142 | ||||||||
Diamond Sports Group LLC |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.18% | 08/24/26 | 2 | 806,945 | 633,452 | ||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.21% | 06/17/24 | 2 | 3,314 | 3,167 | ||||||||
5.35% | 06/17/24 | 2 | 991,571 | 947,724 | ||||||||
Gray Television, Inc., |
| |||||||||||
Term Loan C, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
4.02% | 11/02/25 | 2 | 767,889 | 722,583 | ||||||||
GTT Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 05/31/25 | 2 | 1,474,981 | 1,073,049 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
6.63% | 01/02/24 | 2,3 | 500,000 | 469,375 | ||||||||
Lamar Media Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.50%) |
| |||||||||||
2.52% | 02/05/27 | 2 | 1,424,625 | 1,371,202 | ||||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) | ||||||||||||
2.74% | 03/01/27 | 2 | 2,337,328 | 2,204,392 | ||||||||
MacDonald Dettwiler & Associates Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 10/05/24 | 2 | 997,449 | 861,133 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 54 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Mediarena Acquisition BV, |
| |||||||||||
Term Loan, 1st Lien (Netherlands) |
| |||||||||||
(LIBOR plus 5.75%) | ||||||||||||
7.66% | 08/13/21 | 2,3 | $ | 308,477 | $ | 301,731 | ||||||
Mission Broadcasting, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.83% | 01/17/24 | 2 | 68,092 | 64,347 | ||||||||
National Cinemedia LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 06/20/25 | 2 | 491,250 | 363,832 | ||||||||
NEP/NCP Holdco, Inc., |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 7.00%) |
| |||||||||||
8.45% | 10/19/26 | 2 | 440,000 | 225,500 | ||||||||
New Insight Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 5.50%) |
| |||||||||||
7.26% | 12/20/24 | 2 | 488,750 | 439,875 | ||||||||
Nexstar Broadcasting, Inc. |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.19% | 01/17/24 | 2 | 264,012 | 249,491 | ||||||||
Nexstar Broadcasting, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.33% | 09/18/26 | 2 | 960,625 | 905,869 | ||||||||
Radiate Holdco LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) | ||||||||||||
3.99% | 02/01/24 | 2 | 1,965,948 | 1,838,161 | ||||||||
Sinclair Television Group, Inc., |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 01/03/24 | 2 | 1,925,355 | 1,857,968 | ||||||||
Sprint Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/02/24 | 2 | 2,306,190 | 2,297,542 | ||||||||
Virgin Media Bristol LLC, |
| |||||||||||
Term Loan N, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) | ||||||||||||
3.20% | 01/31/28 | 2 | 2,000,000 | 1,865,000 | ||||||||
Windstream Services LLC, |
| |||||||||||
Term Loan B6, 1st Lien |
| |||||||||||
(PRIME plus 5.00%) |
| |||||||||||
8.25% | 03/29/21 | 2 | 1,003,049 | 639,443 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 03/09/27 | 2 | 2,250,000 | 2,137,500 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Ziggo BV |
| |||||||||||
Term Loan I, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.20% | 04/30/28 | 2 | $ | 2,000,000 | $ | 1,910,000 | ||||||
|
| |||||||||||
37,065,650 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 6.74% |
| |||||||||||
AI Aqua Merger Sub, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.32% | 12/13/23 | 2 | 1,466,250 | 1,260,975 | ||||||||
AI Aqua Merger Sub, Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.32% | 12/13/23 | 2 | 493,639 | 424,529 | ||||||||
Allied Universal Holdco LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.24% | 07/10/26 | 2 | 748,125 | 695,756 | ||||||||
Arterra Wines Canada, Inc., |
| |||||||||||
Term Loan B1, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.80% | 12/15/23 | 2,3 | 2,427,366 | 2,087,535 | ||||||||
Boing U.S. Holdco, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 10/03/24 | 2 | 977,550 | 774,708 | ||||||||
CityCenter Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 04/18/24 | 2 | 2,194,280 | 1,937,549 | ||||||||
Four Seasons Hotels, Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 11/30/23 | 2 | 967,500 | 885,001 | ||||||||
KUEHG Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.20% | 02/21/25 | 2 | 337,890 | 257,134 | ||||||||
Nielsen Finance LLC, |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
3.01% | 10/04/23 | 2 | 1,209,547 | 1,130,170 | ||||||||
Prometric Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 01/29/25 | 2 | 982,556 | 761,481 | ||||||||
Refresco, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.95% | 03/28/25 | 2 | 1,980,000 | 1,831,500 |
See accompanying Notes to Financial Statements.
55 / Annual Report March 2020 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Consumer Discretionary (continued) |
| |||||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 02/05/23 | 2 | $ | 927,487 | $ | 883,432 | ||||||
Spin Holdco, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
5.09% | 11/14/22 | 2 | 1,951,155 | 1,756,040 | ||||||||
Whatabrands LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.77% | 07/31/26 | 2 | 1,495,003 | 1,253,156 | ||||||||
Wyndham Hotels & Resorts, Inc. |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 05/30/25 | 2 | 492,500 | 438,325 | ||||||||
Yum! Brands, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.36% | 04/03/25 | 2 | 944,341 | 901,845 | ||||||||
|
| |||||||||||
|
17,279,136 |
| ||||||||||
|
| |||||||||||
Consumer Products — 0.13% |
| |||||||||||
Hoffmaster Group, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.45% | 11/21/23 | 2,4 | 472,641 | 347,391 | ||||||||
|
| |||||||||||
Electric — 0.70% |
| |||||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.55% | 12/31/25 | 2 | 363,903 | 347,755 | ||||||||
2.74% | 12/31/25 | 2 | 1,520,417 | 1,452,948 | ||||||||
|
| |||||||||||
|
1,800,703 |
| ||||||||||
|
| |||||||||||
Energy — 1.28% |
| |||||||||||
Centurion Pipeline Co., LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 09/29/25 | 2 | 987,500 | 731,984 | ||||||||
EG America LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.07% | 02/07/25 | 2 | 232,601 | 173,055 | ||||||||
EG Finco Ltd., Term Loan B, |
| |||||||||||
1st Lien (United Kingdom) |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.07% | 02/07/25 | 2,3 | 1,070,986 | 796,814 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
EpicY-Grade Services LP, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 6.00%) |
| |||||||||||
7.62% | 06/07/25 | 2 | $ | 250,000 | $ | 186,500 | ||||||
Glass Mountain Pipeline Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
6.28% | 12/23/24 | 2,4 | 490,000 | 259,700 | ||||||||
KAMC Holdings, Inc. |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.61% | 08/14/26 | 2,4 | 746,250 | 570,881 | ||||||||
Traverse Midstream Partners LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 09/27/24 | 2 | 985,000 | 564,897 | ||||||||
|
| |||||||||||
|
3,283,831 |
| ||||||||||
|
| |||||||||||
Entertainment — 1.33% |
| |||||||||||
CineWorld Finance US, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.32% | 02/28/25 | 2 | 1,063,822 | 744,675 | ||||||||
Hornblower Sub LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.95% | 04/28/25 | 2 | 1,500,000 | 900,000 | ||||||||
NAI Entertainment Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 05/08/25 | 2 | 651,250 | 512,859 | ||||||||
Nascar Holdings, Inc. |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.67% | 10/19/26 | 2 | 943,617 | 839,819 | ||||||||
SMG U.S. Midco 2, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.43% | 01/23/25 | 2 | 490,022 | 422,644 | ||||||||
|
| |||||||||||
|
3,419,997 |
| ||||||||||
|
| |||||||||||
Finance — 3.53% |
| |||||||||||
Auris Lux III SA, |
| |||||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.74% | 02/27/26 | 2,3 | 1,237,501 | 949,782 | ||||||||
Avolon TLB Borrower 1 US LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.52% | 01/15/25 | 2 | 789,836 | 712,172 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 56 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Camelot Finance SA, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 10/30/26 | 2 | $ | 997,500 | $ | 952,613 | ||||||
CBAC Borrower LLC, Term Loan B, |
| |||||||||||
1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 07/08/24 | 2 | 773,829 | 619,063 | ||||||||
Cushman & Wakefield |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 08/21/25 | 2 | 641,875 | 569,664 | ||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 10/06/23 | 2 | 1,800,000 | 1,642,500 | ||||||||
First Eagle Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.95% | 02/01/27 | 2 | 1,496,250 | 1,275,553 | ||||||||
RPI 2019 Intermediate Finance Trust, |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 02/05/27 | 2 | 798,000 | 746,130 | ||||||||
RPI Intermediate Finance Trust, |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 02/11/27 | 2 | 197,500 | 185,403 | ||||||||
Telenet Financing USD LLC, |
| |||||||||||
Term Loan AR, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.70% | 04/30/28 | 2 | 1,500,000 | 1,393,500 | ||||||||
|
| |||||||||||
|
9,046,380 |
| ||||||||||
|
| |||||||||||
Food — 6.37% | ||||||||||||
8th Avenue Food & Provisions, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.30% | 10/01/25 | 2 | 246,875 | 229,182 | ||||||||
Agro Merchants Intermediate Holdings, LLC., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.20% | 12/06/24 | 2 | 1,511,203 | 1,269,411 | ||||||||
American Seafoods Group LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.77% | 08/21/23 | 2 | 1,157,786 | 1,082,530 | ||||||||
3.81% | 08/21/23 | 2 | 36,755 | 34,366 | ||||||||
CH Guenther Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 03/31/25 | 2 | 982,500 | 889,163 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
Chobani LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.50% | 10/10/23 | 2 | $ | 967,552 | $ | 872,006 | ||||||
Flora Food Group, |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.91% | 07/02/25 | 2 | 982,500 | 873,605 | ||||||||
Hearthside Group Holdings LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.69%) |
| |||||||||||
4.68% | 05/23/25 | 2 | 982,500 | 833,489 | ||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 08/03/25 | 2 | 662,283 | 627,513 | ||||||||
4.01% | 08/03/25 | 2 | 309,065 | 292,839 | ||||||||
4.03% | 08/03/25 | 2 | 1,481,612 | 1,403,827 | ||||||||
Houston Foods, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.74% | 07/20/25 | 2 | 1,277,250 | 1,079,276 | ||||||||
JBS USA LUX SA, |
| |||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
3.07% | 05/01/26 | 2,3 | 1,237,500 | 1,167,668 | ||||||||
Matterhorn Merger Sub LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 05/23/25 | 2 | 490,019 | 423,376 | ||||||||
Shearer’s Foods LLC, |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 03/31/22 | 2 | 1,494,185 | 1,401,732 | ||||||||
Snacking Investments Bidco, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 12/18/26 | 2 | 500,000 | 446,250 | ||||||||
U.S. Foods, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
3.07% | 09/13/26 | 2 | 1,990,000 | 1,834,780 | ||||||||
Utz Quality Foods LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.49% | 11/21/24 | 2 | 1,720,599 | 1,567,896 | ||||||||
|
| |||||||||||
|
16,328,909 |
| ||||||||||
|
|
See accompanying Notes to Financial Statements.
57 / Annual Report March 2020 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Gaming — 3.89% |
| |||||||||||
Affinity Gaming LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 07/03/23 | 2 | $ | 462,637 | $ | 355,435 | ||||||
Caesars Entertainment LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 10/07/24 | 2 | 811,849 | 669,776 | ||||||||
Caesars Resort Collection LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 12/23/24 | 2 | 1,466,250 | 1,202,325 | ||||||||
Churchill Downs, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 12/27/24 | 2 | 2,028,512 | 1,817,212 | ||||||||
Gateway Casinos & Entertainment Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.45% | 12/01/23 | 2 | 982,500 | 712,313 | ||||||||
Golden Entertainment, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.96% | 10/21/24 | 2 | 1,447,500 | 1,107,337 | ||||||||
Golden Nugget |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.49% | 10/04/23 | 2 | 371,211 | 291,401 | ||||||||
3.70% | 10/04/23 | 2 | 316,864 | 248,738 | ||||||||
GVC Holdings PLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.31% | 03/29/24 | 2 | 1,470,000 | 1,222,548 | ||||||||
Penn National Gaming, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 10/15/25 | 2 | 1,387,438 | 1,064,234 | ||||||||
Station Casinos LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 02/08/27 | 2 | 1,490,216 | 1,292,763 | ||||||||
|
| |||||||||||
|
9,984,082 |
| ||||||||||
|
| |||||||||||
Health Care — 12.06% |
| |||||||||||
Acadia Healthcare Co., Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/11/22 | 2 | 911,308 | 845,010 | ||||||||
Acadia Healthcare Co., Inc., |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.49% | 02/16/23 | 2 | 276,370 | 256,264 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Admi Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.20% | 04/30/25 | 2 | $ | 982,638 | $ | 825,907 | ||||||
Alphabet Holding Co., Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.49% | 09/26/24 | 2 | 487,500 | 394,063 | ||||||||
BCPE Eagle Buyer LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 03/13/24 | 2 | 1,358,731 | 1,053,017 | ||||||||
Catalent Pharma Solutions, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 05/18/26 | 2 | 990,000 | 965,250 | ||||||||
CCS-CMGC Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 5.50%) |
| |||||||||||
6.57% | 10/01/25 | 2 | 307,500 | 246,769 | ||||||||
7.28% | 10/01/25 | 2 | 186,250 | 149,466 | ||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 2 | 2,386,899 | 2,279,489 | ||||||||
Civitas Solutions, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 03/09/26 | 2 | 339,956 | 309,076 | ||||||||
5.46% | 03/09/26 | 2 | 133,801 | 121,647 | ||||||||
5.46% | 03/09/26 | 2 | 21,516 | 19,562 | ||||||||
Da Vinci Purchaser Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.87% | 01/08/27 | 2 | 1,750,000 | 1,675,625 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.75% | 02/04/27 | 2 | 2,358,000 | 2,257,785 | ||||||||
Emerald Topco, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.49% | 07/27/26 | 2 | 997,494 | 925,175 | ||||||||
Endo Luxembourg Finance I Co. SARL, |
| |||||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 04/29/24 | 2,3 | 498,718 | 451,340 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 07/02/25 | 2 | 1,447,737 | 1,368,112 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 58 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.68% | 11/15/27 | 2 | $ | 997,500 | $ | 951,780 | ||||||
Med Parentco LP, |
| |||||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.18% | 08/31/26 | 2,5 | 139,695 | 117,344 | ||||||||
Med Parentco LP, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.24% | 08/31/26 | 2 | 796,188 | 668,802 | ||||||||
Medical Solutions Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 06/14/24 | 2 | 975,175 | 851,649 | ||||||||
Medplast Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.20% | 07/02/25 | 2 | 985,000 | 868,770 | ||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.20% | 06/07/23 | 2 | 1,250,000 | 1,125,000 | ||||||||
NMN Holdings III Corp., |
| |||||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.74% | 11/13/25 | 2,6 | 42,651 | 35,294 | ||||||||
NMN Holdings III Corp. |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.74% | 11/13/25 | 2 | 1,223,203 | 1,012,201 | ||||||||
NMSC Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
6.62% | 04/19/23 | 2,4 | 1,171,254 | 819,878 | ||||||||
NSM Top Holdings Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 5.25%) |
| |||||||||||
6.70% | 11/16/26 | 2 | 997,500 | 897,750 | ||||||||
Premise Health Holding Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.95% | 07/10/25 | 2,7 | 1,149,536 | 977,106 | ||||||||
Romulus Merger Sub LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 02/14/25 | 2 | 1,963,012 | 1,642,393 | ||||||||
Surgery Center Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 09/02/24 | 2 | 1,221,181 | 947,026 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Tecomet, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(PRIME plus 2.50%) |
| |||||||||||
5.75% | 05/01/24 | 2 | $ | 198,495 | $ | 169,713 | ||||||
U.S. Renal Care, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
6.00% | 06/26/26 | 2 | 995,000 | 879,869 | ||||||||
UIC Merger Sub, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 08/30/24 | 2 | 1,723,136 | 1,515,825 | ||||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.36% | 11/27/25 | 2 | 512,500 | 489,437 | ||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.61% | 06/02/25 | 2 | 1,835,153 | 1,756,398 | ||||||||
Wink Holdco, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.45% | 12/02/24 | 2 | 975,616 | 833,176 | ||||||||
Wink Holdco, Inc., |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 6.75%) |
| |||||||||||
8.21% | 12/01/25 | 2 | 250,000 | 211,250 | ||||||||
|
| |||||||||||
30,914,218 | ||||||||||||
|
| |||||||||||
Industrials — 9.43% |
| |||||||||||
BCPE Empire Holdings, Inc., |
| |||||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 06/11/26 | 2,8 | 163,291 | 146,962 | ||||||||
BCPE Empire Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 06/11/26 | 2 | 1,039,082 | 935,174 | ||||||||
Berry Plastics Group, Inc., |
| |||||||||||
Term Loan Y, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.86% | 07/01/26 | 2 | 2,334,688 | 2,231,577 | ||||||||
Clean Harbors, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 06/30/24 | 2 | 1,808,948 | 1,675,538 | ||||||||
Conserve Merger Sub, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.49% | 08/08/25 | 2 | 1,970,000 | 1,649,875 |
See accompanying Notes to Financial Statements.
59 / Annual Report March 2020 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Curie Merger Sub LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.70% | 11/04/26 | 2 | $ | 1,000,000 | $ | 880,000 | ||||||
Energizer Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.88% | 12/17/25 | 2 | 313,500 | 296,257 | ||||||||
Engineered Machinery Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.70% | 07/19/24 | 2 | 748,106 | 654,593 | ||||||||
Jade Germany GMBH, |
| |||||||||||
Term Loan, 1st Lien (Germany) |
| |||||||||||
(LIBOR plus 5.50%) |
| |||||||||||
7.42% | 05/31/23 | 2,3 | 972,500 | 740,320 | ||||||||
Liqui-Box Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
6.15% | 02/26/27 | 2 | 1,000,000 | 865,000 | ||||||||
Mirion Technologies, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.07% | 03/06/26 | 2 | 997,481 | 897,733 | ||||||||
Patriot Container Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
5.10% | 03/20/25 | 2 | 1,496,183 | 1,339,084 | ||||||||
Pelican Products, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.50% | 05/01/25 | 2 | 491,250 | 397,913 | ||||||||
Penn Engineering & Manufacturing Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.12% | 06/27/24 | 2 | 620,282 | 550,500 | ||||||||
Plaze, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.57% | 07/30/26 | 2 | 1,246,875 | 1,078,547 | ||||||||
Spectrum Holdings III Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 01/31/25 | 2 | 1,419,874 | 1,008,111 | ||||||||
4.32% | 01/31/25 | 2 | 7,300 | 5,183 | ||||||||
4.70% | 01/31/25 | 2 | 3,650 | 2,592 | ||||||||
Technimark LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.35% | 08/08/25 | 2 | 987,500 | 802,344 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Titan Acquisition, Ltd., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.45% | 03/28/25 | 2 | $ | 498,728 | $ | 415,046 | ||||||
Transcendia Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.57% | 05/30/24 | 2 | 1,462,584 | 982,857 | ||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 05/30/25 | 2 | 1,496,250 | 1,379,041 | ||||||||
TricorBraun, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.69% | 11/30/23 | 2 | 1,452,272 | 1,223,539 | ||||||||
TruGreen Limited Partnership, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.75% | 03/19/26 | 2 | 990,000 | 910,800 | ||||||||
U.S. Ecology, Inc. |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.49% | 11/02/26 | 2 | 498,750 | 481,294 | ||||||||
VM Consolidated, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 02/28/25 | 2 | 1,442,397 | 1,312,581 | ||||||||
WP Deluxe Merger Sub, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.45% | 07/19/24 | 2 | 977,500 | 812,953 | ||||||||
Zep, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.07% | 08/12/24 | 2 | 731,250 | 493,594 | ||||||||
|
| |||||||||||
24,169,008 | ||||||||||||
|
| |||||||||||
Information Technology — 10.23% |
| |||||||||||
Ascend Learning LLC, Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 07/12/24 | 2 | 975,000 | 884,812 | ||||||||
AVSC Holding Corp., |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
6.20% | 10/15/26 | 2,4 | 498,750 | 311,719 | ||||||||
Broadcom, Inc., |
| |||||||||||
Delayed-Draw Term Loan A3 |
| |||||||||||
(LIBOR plus 1.13%) |
| |||||||||||
2.13% | 11/04/22 | 2 | 975,000 | 931,125 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 60 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
Buzz Merger Sub, Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 01/29/27 | 2 | $ | 500,000 | $ | 462,500 | ||||||
Castle U.S. Holding Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.20% | 01/29/27 | 2 | 1,000,000 | 815,005 | ||||||||
Ciena Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.52% | 09/26/25 | 2 | 495,000 | 464,218 | ||||||||
DCert Buyer, Inc. |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 10/16/26 | 2 | 1,000,000 | 899,170 | ||||||||
Dell International LLC, |
| |||||||||||
Term Loan B1 |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 09/19/25 | 2 | 1,291,922 | 1,241,459 | ||||||||
EagleView Technology Co., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
5.11% | 08/14/25 | 2 | 493,750 | 419,687 | ||||||||
GlobalLogic Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 08/01/25 | 2 | 432,109 | 410,504 | ||||||||
Helios Software Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.32% | 10/24/25 | 2 | 997,500 | 859,511 | ||||||||
Imperva, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.70% | 11/20/25 | 2 | 1,488,750 | 1,233,176 | ||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 01/17/25 | 2 | 967,482 | 893,310 | ||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 06/11/25 | 2 | 1,488,712 | 1,436,607 | ||||||||
Microchip Technology, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 05/29/25 | 2 | 287,446 | 278,822 | ||||||||
Navicure, Inc., |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 10/22/26 | 2 | 1,500,000 | 1,391,250 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
Oberthur Technologies Group SAS, |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.20% | 01/10/24 | 2 | $ | 460,128 | $ | 380,756 | ||||||
Perspecta, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 05/30/25 | 2 | 491,250 | 432,300 | ||||||||
Playtika Holding Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 6.00%) |
| |||||||||||
7.07% | 12/10/24 | 2 | 987,500 | 931,538 | ||||||||
Project Alpha Intermediate Holdings Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
5.38% | 04/26/24 | 2 | 972,500 | 884,975 | ||||||||
Scientific Games International, Inc., |
| |||||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 08/14/24 | 2 | 384,980 | 312,475 | ||||||||
4.37% | 08/14/24 | 2 | 1,583,748 | 1,285,473 | ||||||||
Sophia LP, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.70% | 09/30/22 | 2 | 2,095,603 | 2,011,779 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 2 | 901,527 | 851,943 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 2 | 643,301 | 607,920 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 2 | 1,988,593 | 1,881,090 | ||||||||
Surf Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.81% | 03/05/27 | 2 | 1,300,000 | 1,166,750 | ||||||||
TierPoint LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.75% | 05/06/24 | 2 | 461,205 | 413,932 | ||||||||
VT Topco, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.95% | 08/01/25 | 2 | 985,555 | 847,578 |
See accompanying Notes to Financial Statements.
61 / Annual Report March 2020 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
Web.Com Group, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.95% | 10/10/25 | 2 | $ | 500,000 | $ | 415,000 | ||||||
Zotec Partners LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.82% | 02/14/24 | 2 | 956,250 | 870,187 | ||||||||
|
| |||||||||||
26,226,571 | ||||||||||||
|
| |||||||||||
Insurance — 0.43% |
| |||||||||||
Kwor Acquisition, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.99% | 06/03/26 | 2,9 | 1,355,469 | 1,097,930 | ||||||||
|
| |||||||||||
Materials — 2.38% |
| |||||||||||
Angus Chemical, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.32% | 02/02/22 | 2 | 396,877 | 367,111 | ||||||||
Archroma Finance SARL, |
| |||||||||||
Term Loan B2, 1st Lien (Switzerland) |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.70% | 08/11/24 | 2,3 | 3,750 | 3,319 | ||||||||
6.10% | 08/11/24 | 2,3 | 727,500 | 643,838 | ||||||||
Cyanco Intermediate Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.49% | 03/16/25 | 2 | 451,025 | 387,884 | ||||||||
DCG Acquisition Corp., |
| |||||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.87% | 09/30/26 | 2 | 173,810 | 157,298 | ||||||||
DCG Acquisition Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.36% | 09/30/26 | 2 | 1,073,500 | 971,517 | ||||||||
Nouryon USA LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.86% | 10/01/25 | 2 | 964,654 | 875,424 | ||||||||
Polar U.S. Borrower LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.75%) |
| |||||||||||
5.73% | 10/15/25 | 2 | 582,229 | 513,817 | ||||||||
5.74% | 10/15/25 | 2 | 10,271 | 9,064 | ||||||||
SCIH Salt Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.24% | 03/03/27 | 2 | 500,000 | 452,500 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Materials (continued) |
| |||||||||||
WR Grace & Co., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 04/03/25 | 2 | $ | 725,789 | $ | 632,115 | ||||||
WR Grace & Co., |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 04/03/25 | 2 | 1,244,211 | 1,083,627 | ||||||||
|
| |||||||||||
6,097,514 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.88% |
| |||||||||||
SBA Senior Finance II LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/11/25 | 2 | 1,002,125 | 956,529 | ||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.67% | 12/20/24 | 2 | 1,409,091 | 1,311,335 | ||||||||
|
| |||||||||||
2,267,864 | ||||||||||||
|
| |||||||||||
Retail — 0.76% |
| |||||||||||
BC ULC/New Red Finance, Inc., |
| |||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 11/19/26 | 2,3 | 1,148,888 | 1,065,593 | ||||||||
BJ’s Wholesale Club, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.08% | 02/03/24 | 2 | 600,000 | 579,375 | ||||||||
Go Wireless, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 6.50%) |
| |||||||||||
7.50% | 12/22/24 | 2 | 369,792 | 300,147 | ||||||||
|
| |||||||||||
1,945,115 | ||||||||||||
|
| |||||||||||
Services — 4.53% |
| |||||||||||
Aramark Services, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 03/11/25 | 2 | 1,865,325 | 1,759,626 | ||||||||
GFL Environmental, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 05/30/25 | 2 | 2,168,983 | 2,113,858 | ||||||||
4.00% | 05/30/25 | 2 | 388,109 | 378,245 | ||||||||
Guidehouse LLP, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.49% | 05/01/25 | 2 | 497,468 | 407,924 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 62 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Services (continued) |
| |||||||||||
PowerTeam Services LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.70% | 03/06/25 | 2 | $ | 1,459,653 | $ | 1,228,539 | ||||||
PowerTeam Services LLC, |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 7.25%) |
| |||||||||||
8.70% | 03/06/26 | 2,4,10 | 750,000 | 596,250 | ||||||||
Prime Security Services Borrower LLC, |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.61% | 09/23/26 | 2 | 624,005 | 566,909 | ||||||||
SRS Distribution, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.57% | 05/23/25 | 2 | 498,750 | 438,900 | ||||||||
TKC Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.75% | 02/01/23 | 2 | 1,395,132 | 1,140,172 | ||||||||
University Support Services LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 07/17/25 | 2 | 1,944,163 | 1,885,838 | ||||||||
Worldstrides, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 12/16/24 | 2 | 1,476,219 | 1,087,479 | ||||||||
|
| |||||||||||
11,603,740 | ||||||||||||
|
| |||||||||||
Transportation — 1.70% |
| |||||||||||
American Airlines, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.69% | 01/29/27 | 2 | 273,833 | 227,452 | ||||||||
Genesee & Wyoming, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
3.45% | 12/30/26 | 2 | 2,500,000 | 2,412,513 | ||||||||
Kestrel Bidco, Inc. |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 12/11/26 | 2 | 498,750 | 392,349 | ||||||||
PODS LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.75% | 12/06/24 | 2 | 1,469,860 | 1,315,525 | ||||||||
|
| |||||||||||
4,347,839 | ||||||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $232,315,333) |
| 208,005,152 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES — 9.99%* |
| |||||||||||
Banking — 0.52% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
3.00% | 12/20/23 | 11 | $ | 1,300,000 | $ | 1,328,155 | ||||||
|
| |||||||||||
Communications — 0.94% |
| |||||||||||
T-Mobile USA, Inc. |
| |||||||||||
6.00% | 03/01/23 | 1,000,000 | 1,011,765 | |||||||||
Walt Disney Co. (The) |
| |||||||||||
3.80% | 03/22/30 | 1,250,000 | 1,410,852 | |||||||||
|
| |||||||||||
2,422,617 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.99% |
| |||||||||||
NIKE, Inc. |
| |||||||||||
2.85% | 03/27/30 | 2,400,000 | 2,536,321 | |||||||||
|
| |||||||||||
Energy — 0.12% |
| |||||||||||
USA Compression Partners LP/USA |
| |||||||||||
Compression Finance Corp. |
| |||||||||||
6.88% | 09/01/27 | 500,000 | 320,000 | |||||||||
|
| |||||||||||
Finance — 2.86% |
| |||||||||||
Citigroup, Inc. |
| |||||||||||
(LIBOR USD3-Month plus 0.55%) |
| |||||||||||
2.23% | 08/25/36 | 2 | 1,800,000 | 1,131,500 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.22% | 01/09/22 | 835,000 | 782,813 | |||||||||
3.81% | 10/12/21 | 170,000 | 163,945 | |||||||||
(LIBOR USD3-Month plus 0.81%) |
| |||||||||||
2.18% | 04/05/21 | 2 | 2,500,000 | 2,252,263 | ||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
4.42% | 11/15/35 | 3 | 75,000 | 80,697 | ||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
3.27% | 09/29/25 | 11 | 980,000 | 993,249 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 3,12 | 750,000 | 651,881 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.65% | 04/01/30 | 1,225,000 | 1,273,249 | |||||||||
|
| |||||||||||
7,329,597 | ||||||||||||
|
| |||||||||||
Health Care — 1.55% |
| |||||||||||
Cigna Corp. |
| |||||||||||
(LIBOR USD3-Month plus 0.89%) |
| |||||||||||
2.72% | 07/15/23 | 2 | 2,700,000 | 2,512,060 | ||||||||
CVS Health Corp. |
| |||||||||||
(LIBOR USD3-Month plus 0.72%) |
| |||||||||||
1.72% | 03/09/21 | 2 | 1,000,000 | 979,576 | ||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 12 | 500,000 | 481,400 | ||||||||
|
| |||||||||||
3,973,036 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
63 / Annual Report March 2020 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials — 0.94% |
| |||||||||||
General Electric Co. (MTN) |
| |||||||||||
(LIBOR USD3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 2 | $ | 850,000 | $ | 648,332 | ||||||
Sealed Air Corp. |
| |||||||||||
5.25% | 04/01/23 | 12 | 1,500,000 | 1,543,117 | ||||||||
Titan Acquisition Ltd./TitanCo-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 3,12 | 250,000 | 211,250 | ||||||||
|
| |||||||||||
2,402,699 | ||||||||||||
|
| |||||||||||
Information Technology — 1.11% |
| |||||||||||
Intel Corp. |
| |||||||||||
4.60% | 03/25/40 | 1,250,000 | 1,541,140 | |||||||||
NVIDIA Corp. |
| |||||||||||
2.85% | 04/01/30 | 1,250,000 | 1,306,187 | |||||||||
|
| |||||||||||
2,847,327 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.51% |
| |||||||||||
SL Green Operating Partnership LP |
| |||||||||||
(LIBOR USD3-Month plus 0.98%) |
| |||||||||||
2.67% | 08/16/21 | 2 | 1,350,000 | 1,314,094 | ||||||||
|
| |||||||||||
Retail — 0.31% |
| |||||||||||
Yum! Brands, Inc. |
| |||||||||||
7.75% | 04/01/25 | 12 | 750,000 | 789,375 | ||||||||
|
| |||||||||||
Transportation — 0.14% |
| |||||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series2013-2, Class B |
| |||||||||||
5.60% | 07/15/20 | 12 | 356,949 | 357,846 | ||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $26,066,839) |
| 25,621,067 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.16%* |
| |||||||||||
California — 0.16% |
| |||||||||||
State of California, Build America Bonds, |
| |||||||||||
School Improvements, General Obligation |
| |||||||||||
7.95% | 03/01/36 | 400,000 | 401,592 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $400,000) |
| |||||||||||
Total Bonds – 91.28% |
| |||||||||||
(Cost $258,782,172) |
| 234,027,811 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 17.93% |
| |||||||||||
Money Market Funds — 14.03% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%13 |
| 12,667,000 | $ | 12,667,000 | ||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%13 | 36,427 | 36,427 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%13 | 11,310,000 | 11,310,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%13 | 11,945,000 | 11,945,000 | ||||||||||
|
| |||||||||||
35,958,427 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 3.90% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
1.53%14 | 04/16/20 | $ 2,000,000 | 1,999,915 | |||||||||
|
| |||||||||||
1.53%14 | 07/16/20 | 3,000,000 | 2,999,393 | |||||||||
1.55%14 | 04/21/20 | 5,000,000 | 4,999,813 | |||||||||
|
| |||||||||||
9,999,121 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $45,939,442) |
| 45,957,548 | ||||||||||
|
| |||||||||||
Total Investments – 109.21% |
| |||||||||||
(Cost $304,721,614) |
| 279,985,359 | ||||||||||
|
| |||||||||||
Net unrealized depreciation on unfunded commitments (0.00)% |
| (100,942 | ) | |||||||||
Liabilities in Excess of Other |
| |||||||||||
Assets – (9.21)% |
| (23,613,547 | ) | |||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 256,270,870 | |||||||||
|
|
1 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $52,435, at an interest rate of 4.00% and a maturity of September 25, 2026. The investment is accruing an unused commitment fee of 0.50% per annum. |
2 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
5 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $50,114, at an interest rate of 4.25% and a maturity of August 31, 2026. The investment is accruing an unused commitment fee of 1.00% per annum. |
6 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $181,843, at an interest rate of 3.75% and a maturity of November 13, 2025. The investment is accruing an unused commitment fee of 0.25% per annum. |
7 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $78,724, at an interest rate of 1.00% and a maturity of July 10, 2025. The investment is accruing an unused commitment fee of 0.25% per annum. |
8 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $37,737, at an interest rate of 4.00% and a maturity of June 11, 2026.The investment is accruing an unused commitment fee of 0.16% per annum. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 64 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2020
9 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $110,623, at an interest rate of 4.00% and a maturity of June 03, 2026. The investment is accruing an unused commitment fee of 0.75% per annum. |
10 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $596,250, which is 0.23% of total net assets. |
11 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
12 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
13 | Represents the current yield as of March 31, 2020. |
14 | Represents annualized yield at date of purchase. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industrysub-classifications for more meaningful presentation for investors.
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(USD): U.S. dollar
See accompanying Notes to Financial Statements.
65 / Annual Report March 2020 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 95.90% |
| |||||||||||
BANK LOANS — 16.25%* |
| |||||||||||
Communications — 5.03% |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 03/15/27 | 1 | $ | 927,675 | $ | 871,439 | ||||||
Colorado Buyer, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 05/01/24 | 1 | 904,425 | 604,608 | ||||||||
Colorado Buyer, Inc., |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 7.25%) |
| |||||||||||
8.25% | 05/01/25 | 1 | 480,000 | 188,400 | ||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 04/04/26 | 1 | 995,000 | 945,250 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.86% | 07/17/25 | 1 | 4,593,150 | 4,417,095 | ||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.21% | 06/17/24 | 1 | 6,081 | 5,812 | ||||||||
5.35% | 06/17/24 | 1 | 1,819,533 | 1,739,073 | ||||||||
GTT Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 05/31/25 | 1 | 1,442,658 | 1,049,534 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
6.63% | 01/02/24 | 1,2 | 1,329,300 | 1,247,880 | ||||||||
MacDonald Dettwiler & Associates Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 10/05/24 | 1 | 1,341,569 | 1,158,223 | ||||||||
NEP/NCP Holdco, Inc., |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 7.00%) |
| |||||||||||
8.45% | 10/19/26 | 1 | 875,000 | 448,437 | ||||||||
Securus Technologies Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 11/01/24 | 1,3 | 1,548,081 | 1,230,725 | ||||||||
Sinclair Television Group, Inc., |
| |||||||||||
Term Loan B2B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.21% | 09/30/26 | 1 | 1,243,750 | 1,187,781 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Sprint Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/02/24 | 1 | $ | 2,650,878 | $ | 2,640,938 | ||||||
(LIBOR plus 3.00%) | ||||||||||||
4.00% | 02/02/24 | 1 | 997,475 | 993,734 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 03/09/27 | 1 | 2,325,000 | 2,208,750 | ||||||||
|
| |||||||||||
20,937,679 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.33% |
| |||||||||||
CityCenter Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 04/18/24 | 1 | 1,576,159 | 1,391,748 | ||||||||
|
| |||||||||||
Entertainment — 0.53% |
| |||||||||||
1232743 BC, Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.00% | 02/05/27 | 1 | 610,000 | 414,800 | ||||||||
CineWorld Finance US, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.32% | 02/28/25 | 1 | 996,940 | 697,858 | ||||||||
WMG Acquisition Corp., |
| |||||||||||
Term Loan F, 1st Lien |
| |||||||||||
(LIBOR plus 2.13%) |
| |||||||||||
3.11% | 11/01/23 | 1 | 1,100,000 | 1,078,000 | ||||||||
|
| |||||||||||
2,190,658 | ||||||||||||
|
| |||||||||||
Finance — 0.46% |
| |||||||||||
Auris Lux III SA, |
| |||||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.74% | 02/27/26 | 1,2 | 519,751 | 398,909 | ||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 10/06/23 | 1 | 1,650,000 | 1,505,625 | ||||||||
|
| |||||||||||
1,904,534 | ||||||||||||
|
| |||||||||||
Food — 1.00% |
| |||||||||||
Houston Foods, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.74% | 07/20/25 | 1 | 540,375 | 456,617 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 66 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
JBS USA LUX SA, |
| |||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
3.07% | 05/01/26 | 1,2 | $ | 3,907,114 | $ | 3,686,636 | ||||||
|
| |||||||||||
4,143,253 | ||||||||||||
|
| |||||||||||
Gaming — 0.71% |
| |||||||||||
Churchill Downs, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 12/27/24 | 1 | 2,217,982 | 1,986,946 | ||||||||
Golden Nugget |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.49% | 10/04/23 | 1 | 672,484 | 527,900 | ||||||||
3.70% | 10/04/23 | 1 | 574,029 | 450,612 | ||||||||
|
| |||||||||||
2,965,458 | ||||||||||||
|
| |||||||||||
Health Care — 3.62% |
| |||||||||||
Acadia Healthcare Co., Inc., |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.49% | 02/16/23 | 1 | 1,194,835 | 1,107,911 | ||||||||
Alphabet Holding Co., Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.49% | 09/26/24 | 1 | 993,412 | 803,010 | ||||||||
BCPE Eagle Buyer LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 03/13/24 | 1 | 771,101 | 597,603 | ||||||||
BCPE Eagle Buyer LLC, |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 8.00%) |
| |||||||||||
9.00% | 03/13/25 | 1,3 | 465,000 | 337,125 | ||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 1 | 1,846,122 | 1,763,047 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.75% | 02/04/27 | 1 | 3,855,000 | 3,691,163 | ||||||||
Endo Luxembourg Finance I Co. SARL, |
| |||||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 04/29/24 | 1,2 | 935,096 | 846,262 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 07/02/25 | 1 | 1,085,803 | 1,026,084 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.20% | 06/07/23 | 1 | $ | 1,425,000 | $ | 1,282,500 | ||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.36% | 11/27/25 | 1 | 1,489,303 | 1,422,284 | ||||||||
(LIBOR plus 3.00%) | ||||||||||||
3.61% | 06/02/25 | 1 | 1,528,041 | 1,462,465 | ||||||||
Wink Holdco, Inc., |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 6.75%) |
| |||||||||||
8.21% | 12/01/25 | 1 | 850,000 | 718,250 | ||||||||
|
| |||||||||||
15,057,704 | ||||||||||||
|
| |||||||||||
Industrials — 1.32% |
| |||||||||||
Berry Plastics Group, Inc., |
| |||||||||||
Term Loan Y, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.86% | 07/01/26 | 1 | 2,679,750 | 2,561,399 | ||||||||
Liqui-Box Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
6.15% | 02/26/27 | 1 | 1,500,000 | 1,297,500 | ||||||||
Titan Acquisition, Ltd., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.45% | 03/28/25 | 1 | 932,621 | 776,136 | ||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 05/30/25 | 1 | 937,650 | 864,199 | ||||||||
|
| |||||||||||
5,499,234 | ||||||||||||
|
| |||||||||||
Information Technology — 2.14% |
| |||||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 06/11/25 | 1 | 4,491,929 | 4,334,711 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 1 | 2,112,816 | 1,996,611 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 1 | 1,507,640 | 1,424,719 |
See accompanying Notes to Financial Statements.
67 / Annual Report March 2020 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
TierPoint LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.75% | 05/06/24 | 1 | $ | 1,255,337 | $ | 1,126,665 | ||||||
|
| |||||||||||
8,882,706 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.62% |
| |||||||||||
SBA Senior Finance II LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/11/25 | 1 | 927,640 | 885,432 | ||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.67% | 12/20/24 | 1 | 1,820,000 | 1,693,737 | ||||||||
|
| |||||||||||
2,579,169 | ||||||||||||
|
| |||||||||||
Services — 0.49% |
| |||||||||||
PowerTeam Services LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.70% | 03/06/25 | 1 | 935,000 | 786,957 | ||||||||
PowerTeam Services LLC, |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 7.25%) |
| |||||||||||
8.70% | 03/06/26 | 1,3,4 | 1,565,000 | 1,244,175 | ||||||||
|
| |||||||||||
2,031,132 | ||||||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $72,317,438) |
| 67,583,275 | ||||||||||
|
| |||||||||||
CORPORATES — 74.03%* |
| |||||||||||
Banking — 0.64% |
| |||||||||||
Bank of America Corp. (MTN) |
| |||||||||||
4.08% | 03/20/51 | 5 | 1,500,000 | 1,723,325 | ||||||||
Wells Fargo & Co. (MTN) |
| |||||||||||
5.01% | 04/04/51 | 5 | 715,000 | 920,792 | ||||||||
|
| |||||||||||
2,644,117 | ||||||||||||
|
| |||||||||||
Communications — 17.38% |
| |||||||||||
Block Communications, Inc. |
| |||||||||||
4.88% | 03/01/28 | 6 | 842,000 | 795,690 | ||||||||
CCO Holdings LLC/CCO Holdings |
| |||||||||||
Capital Corp. |
| |||||||||||
4.50% | 05/01/32 | 6 | 12,000,000 | 11,717,630 | ||||||||
5.38% | 06/01/29 | 6 | 700,000 | 723,205 | ||||||||
CenturyLink, Inc. |
| |||||||||||
4.00% | 02/15/27 | 6 | 3,426,000 | 3,327,591 | ||||||||
Comcast Corp. |
| |||||||||||
3.75% | 04/01/40 | 750,000 | 848,474 | |||||||||
CSC Holdings LLC |
| |||||||||||
6.50% | 02/01/29 | 6 | 388,000 | 420,637 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
6.63% | 10/15/25 | 6 | $ | 86,000 | $ | 90,540 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. |
| |||||||||||
5.38% | 08/15/26 | 6 | 520,000 | 423,557 | ||||||||
DISH DBS Corp. |
| |||||||||||
5.88% | 11/15/24 | 371,000 | 363,580 | |||||||||
7.75% | 07/01/26 | 373,000 | 387,025 | |||||||||
DISH Network Corp. |
| |||||||||||
3.38% | 08/15/26 | 1,398,000 | 1,138,463 | |||||||||
EW Scripps Co. (The) |
| |||||||||||
5.13% | 05/15/25 | 6 | 1,042,000 | 919,565 | ||||||||
Frontier Communications Corp. |
| |||||||||||
7.13% | 01/15/23 | 3,761,000 | 1,006,067 | |||||||||
8.00% | 04/01/27 | 6 | 718,000 | 712,636 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 2,6 | 1,353,000 | 865,514 | ||||||||
9.75% | 07/15/25 | 2,6 | 5,696,000 | 3,613,175 | ||||||||
Intelsat Luxembourg SA (Luxembourg) |
| |||||||||||
8.13% | 06/01/23 | 2 | 2,545,000 | 540,813 | ||||||||
Lamar Media Corp. |
| |||||||||||
3.75% | 02/15/28 | 6 | 1,745,000 | 1,640,632 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.88% | 11/15/29 | 6 | 4,630,000 | 4,371,137 | ||||||||
4.63% | 09/15/27 | 6 | 3,155,000 | 3,153,265 | ||||||||
Midcontinent Communications/Midcontinent Finance Corp. |
| |||||||||||
5.38% | 08/15/27 | 6 | 795,000 | 776,522 | ||||||||
Nexstar Broadcasting, Inc. |
| |||||||||||
5.63% | 07/15/27 | 6 | 1,871,000 | 1,845,274 | ||||||||
Outfront Media Capital LLC/Outfront Media |
| |||||||||||
Capital Corp. |
| |||||||||||
4.63% | 03/15/30 | 6 | 1,785,000 | 1,602,037 | ||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | 6,582,000 | 6,667,589 | |||||||||
7.25% | 09/15/25 | 1,500,000 | 1,556,250 | |||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 6 | 2,150,000 | 1,793,217 | ||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% | 08/01/22 | 6 | 4,799,000 | 4,793,001 | ||||||||
5.50% | 07/01/29 | 6 | 2,325,000 | 2,374,583 | ||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 3,250,000 | 3,587,464 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum |
| |||||||||||
Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
5.15% | 03/20/28 | 6 | 4,154,000 | 4,459,496 | ||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.50% | 05/15/29 | 2,6 | 3,766,000 | 3,788,068 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
4.70% | 03/23/50 | 1,500,000 | 1,962,046 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 68 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Windstream Services LLC/Windstream Finance Corp.7 |
| |||||||||||
9.00% | 06/30/25 | 6,8 | $ | 726,000 | $ | 36,300 | ||||||
|
| |||||||||||
72,301,043 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 3.28% |
| |||||||||||
Bacardi Ltd. (Bermuda) |
| |||||||||||
4.45% | 05/15/25 | 2,6 | 675,000 | 710,649 | ||||||||
4.50% | 01/15/21 | 2,6 | 899,000 | 907,297 | ||||||||
5.30% | 05/15/48 | 2,6 | 535,000 | 583,050 | ||||||||
BAT Capital Corp. |
| |||||||||||
5.28% | 04/02/50 | 2,010,000 | 2,021,963 | |||||||||
NIKE, Inc. |
| |||||||||||
3.38% | 03/27/50 | 2,000,000 | 2,186,410 | |||||||||
Reynolds Group Issuer, Inc./Reynolds Group |
| |||||||||||
Issuer LLC/Reynolds Group Issuer |
| |||||||||||
Luxembourg SA |
| |||||||||||
(LIBOR USD 3-Month plus 3.50%) |
| |||||||||||
5.33% | 07/15/21 | 1,6 | 7,373,000 | 7,238,443 | ||||||||
|
| |||||||||||
13,647,812 | ||||||||||||
|
| |||||||||||
Consumer Products — 0.32% |
| |||||||||||
Newell Brands, Inc. |
| |||||||||||
4.35% | 04/01/23 | 1,325,000 | 1,346,421 | |||||||||
|
| |||||||||||
Electric — 0.51% |
| |||||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Series 20B |
| |||||||||||
3.95% | 04/01/50 | 1,900,000 | 2,017,389 | |||||||||
Indiantown Cogeneration LP, Series A-10 |
| |||||||||||
9.77% | 12/15/20 | 3,4 | 86,333 | 89,537 | ||||||||
|
| |||||||||||
2,106,926 | ||||||||||||
|
| |||||||||||
Energy — 8.62% |
| |||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 1,000,000 | 377,500 | |||||||||
5.63% | 06/01/23 | 2,675,000 | 1,136,875 | |||||||||
Archrock Partners LP/Archrock Partners |
| |||||||||||
Finance Corp. |
| |||||||||||
6.25% | 04/01/28 | 6 | 1,940,000 | 1,358,000 | ||||||||
Cheniere Energy Partners LP |
| |||||||||||
4.50% | 10/01/29 | 6 | 1,349,000 | 1,167,844 | ||||||||
DCP Midstream Operating LP |
| |||||||||||
5.38% | 07/15/25 | 2,000,000 | 1,368,929 | |||||||||
Endeavor Energy Resources LP/EER |
| |||||||||||
Finance, Inc. |
| |||||||||||
5.75% | 01/30/28 | 6 | 2,480,000 | 1,700,164 | ||||||||
Energy Transfer Operating LP |
| |||||||||||
6.25% | 04/15/49 | 800,000 | 688,085 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 1,573,000 | 1,096,696 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Exxon Mobil Corp. |
| |||||||||||
4.33% | 03/19/50 | $ | 1,000,000 | $ | 1,227,274 | |||||||
Hess Corp. |
| |||||||||||
5.60% | 02/15/41 | 840,000 | 575,714 | |||||||||
NGPL Pipe Co. LLC |
| |||||||||||
4.38% | 08/15/22 | 6 | 3,295,000 | 3,148,492 | ||||||||
Occidental Petroleum Corp. |
| |||||||||||
2.60% | 04/15/22 | 1,340,000 | 967,223 | |||||||||
4.40% | 08/15/49 | 4,900,000 | 2,125,575 | |||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
6.75% | 09/21/47 | 2 | 524,000 | 341,438 | ||||||||
7.69% | 01/23/50 | 2,6 | 425,000 | 293,250 | ||||||||
Rockies Express Pipeline LLC |
| |||||||||||
6.88% | 04/15/40 | 6 | 2,578,000 | 1,591,915 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
4.20% | 03/15/28 | 2,250,000 | 1,901,783 | |||||||||
SM Energy Co. |
| |||||||||||
6.75% | 09/15/26 | 1,115,000 | 344,025 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.35% | 05/15/45 | 820,000 | 638,774 | |||||||||
5.40% | 10/01/47 | 500,000 | 400,028 | |||||||||
Targa Resources Partners LP/Targa |
| |||||||||||
Resources Partners Finance Corp. |
| |||||||||||
6.88% | 01/15/29 | 3,150,000 | 2,567,921 | |||||||||
TransMontaigne Partners LP/ |
| |||||||||||
TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 1,771,000 | 1,434,277 | |||||||||
Transocean Phoenix 2 Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
7.75% | 10/15/24 | 2,6 | 3,283,000 | 2,860,330 | ||||||||
Transocean Pontus Ltd. (Cayman Islands) |
| |||||||||||
6.13% | 08/01/25 | 2,6 | 1,341,845 | 1,096,918 | ||||||||
Transocean Proteus Ltd. (Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 2,6 | 1,752,100 | 1,417,002 | ||||||||
USA Compression Partners LP/USA |
| |||||||||||
Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 2,212,000 | 1,394,936 | |||||||||
6.88% | 09/01/27 | 2,887,000 | 1,847,680 | |||||||||
Valaris PLC (United Kingdom) |
| |||||||||||
7.75% | 02/01/26 | 2 | 2,958,000 | 296,022 | ||||||||
WPX Energy, Inc. |
| |||||||||||
5.25% | 09/15/24 | 814,000 | 502,621 | |||||||||
|
| |||||||||||
35,867,291 | ||||||||||||
|
| |||||||||||
Entertainment — 0.52% |
| |||||||||||
Banijay Entertainment SASU (France) |
| |||||||||||
5.38% | 03/01/25 | 2,6 | 1,730,000 | 1,614,445 |
See accompanying Notes to Financial Statements.
69 / Annual Report March 2020 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Entertainment (continued) |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 6 | $ | 602,000 | $ | 539,121 | ||||||
|
| |||||||||||
2,153,566 | ||||||||||||
|
| |||||||||||
Finance — 4.01% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global |
| |||||||||||
Aviation Trust (Ireland) |
| |||||||||||
3.50% | 01/15/25 | 2 | 450,000 | 365,575 | ||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
5.13% | 10/01/23 | 2,6 | 5,445,000 | 4,713,581 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.10% | 05/04/23 | 180,000 | 165,600 | |||||||||
3.34% | 03/18/21 | 1,257,000 | 1,209,165 | |||||||||
4.27% | 01/09/27 | 2,585,000 | 2,248,950 | |||||||||
5.11% | 05/03/29 | 2,360,000 | 2,057,625 | |||||||||
5.88% | 08/02/21 | 2,225,000 | 2,191,625 | |||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
4.42% | 11/15/35 | 2 | 466,000 | 501,398 | ||||||||
Mastercard, Inc. |
| |||||||||||
3.85% | 03/26/50 | 1,000,000 | 1,231,230 | |||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.65% | 04/01/30 | 1,940,000 | 2,016,410 | |||||||||
|
| |||||||||||
16,701,159 | ||||||||||||
|
| |||||||||||
Food — 6.72% |
| |||||||||||
JBS USA LUX SA/JBS USA |
| |||||||||||
Food Co./JBS USA Finance, Inc. (Canada) |
| |||||||||||
5.50% | 01/15/30 | 2,6 | 1,800,000 | 1,868,490 | ||||||||
6.50% | 04/15/29 | 2,6 | 865,000 | 932,686 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.50% | 06/06/22 | 3,110,000 | 3,103,428 | |||||||||
3.50% | 07/15/22 | 2,743,000 | 2,693,130 | |||||||||
4.63% | 10/01/39 | 6 | 1,991,000 | 1,824,073 | ||||||||
5.00% | 07/15/35 | 2,790,000 | 2,792,269 | |||||||||
5.00% | 06/04/42 | 945,000 | 898,809 | |||||||||
6.88% | 01/26/39 | 975,000 | 1,113,147 | |||||||||
Nathan’s Famous, Inc. |
| |||||||||||
6.63% | 11/01/25 | 6 | 696,000 | 657,720 | ||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.75% | 03/15/25 | 6 | 400,000 | 404,097 | ||||||||
5.88% | 09/30/27 | 6 | 2,300,000 | 2,314,903 | ||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% | 04/15/30 | 6 | 2,345,000 | 2,262,925 | ||||||||
5.00% | 08/15/26 | 6 | 1,500,000 | 1,552,050 | ||||||||
5.50% | 12/15/29 | 6 | 2,660,000 | 2,773,981 | ||||||||
5.75% | 03/01/27 | 6 | 750,000 | 779,783 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
Smithfield Foods, Inc. |
| |||||||||||
5.20% | 04/01/29 | 6 | $ | 1,950,000 | $ | 1,966,221 | ||||||
|
| |||||||||||
27,937,712 | ||||||||||||
|
| |||||||||||
Gaming — 1.12% |
| |||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% | 01/15/28 | 6 | 1,945,000 | 1,702,945 | ||||||||
5.50% | 04/01/27 | 6 | 3,120,000 | 2,946,645 | ||||||||
|
| |||||||||||
4,649,590 | ||||||||||||
|
| |||||||||||
Health Care — 10.86% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
4.25% | 11/21/49 | 6 | 383,000 | 412,165 | ||||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
5.50% | 11/01/25 | 2,6 | 888,000 | 902,701 | ||||||||
5.75% | 08/15/27 | 2,6 | 3,765,000 | 3,897,340 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
4.38% | 12/15/28 | 6 | 1,125,000 | 1,203,928 | ||||||||
5.50% | 08/15/25 | 6 | 600,000 | 655,610 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
3.25% | 11/12/20 | 3,000 | 2,985 | |||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
5.00% | 07/15/27 | 6 | 500,000 | 487,775 | ||||||||
Centene Corp. |
| |||||||||||
3.38% | 02/15/30 | 6 | 4,873,000 | 4,543,329 | ||||||||
4.25% | 12/15/27 | 6 | 1,600,000 | 1,576,880 | ||||||||
4.63% | 12/15/29 | 6 | 3,050,000 | 3,082,177 | ||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 909,000 | 1,042,627 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.02% | 08/28/23 | 3,590,000 | 3,638,185 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.50% | 02/01/28 | 1,000,000 | 987,500 | |||||||||
4.75% | 02/01/30 | 2,805,000 | 2,764,468 | |||||||||
Endo DAC/Endo Finance LLC/Endo Finco, |
| |||||||||||
Inc. (Ireland) |
| |||||||||||
6.00% | 07/15/23 | 2,6 | 915,000 | 682,636 | ||||||||
6.00% | 02/01/25 | 2,6 | 615,000 | 424,350 | ||||||||
HCA, Inc. |
| |||||||||||
3.50% | 09/01/30 | 1,500,000 | 1,368,193 | |||||||||
5.00% | 03/15/24 | 3,934,000 | 4,082,226 | |||||||||
5.25% | 06/15/49 | 1,450,000 | 1,556,529 | |||||||||
5.88% | 02/01/29 | 850,000 | 902,063 | |||||||||
Hill-Rom Holdings, Inc. |
| |||||||||||
4.38% | 09/15/27 | 6 | 1,160,000 | 1,152,509 | ||||||||
Molina Healthcare, Inc. |
| |||||||||||
4.88% | 06/15/25 | 6 | 900,000 | 885,371 | ||||||||
5.38% | 11/15/22 | 900,000 | 882,306 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 70 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 6 | $ | 5,300,000 | $ | 5,102,840 | ||||||
4.88% | 01/01/26 | 6 | 800,000 | 765,000 | ||||||||
5.13% | 11/01/27 | 6 | 2,250,000 | 2,151,563 | ||||||||
|
| |||||||||||
45,153,256 | ||||||||||||
|
| |||||||||||
Industrials — 7.38% |
| |||||||||||
Ardagh Packaging Finance PLC/Ardagh |
| |||||||||||
Holdings USA, Inc. (Ireland) |
| |||||||||||
4.13% | 08/15/26 | 2,6 | 2,850,000 | 2,778,750 | ||||||||
Ball Corp. |
| |||||||||||
4.88% | 03/15/26 | 1,428,000 | 1,495,830 | |||||||||
Bombardier, Inc. (Canada) |
| |||||||||||
6.13% | 01/15/23 | 2,6 | 2,296,000 | 1,633,041 | ||||||||
7.88% | 04/15/27 | 2,6 | 1,340,000 | 912,431 | ||||||||
Clean Harbors, Inc. |
| |||||||||||
4.88% | 07/15/27 | 6 | 567,000 | 558,183 | ||||||||
5.13% | 07/15/29 | 6 | 1,567,000 | 1,471,021 | ||||||||
General Electric Co. (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 1 | 1,300,000 | 991,567 | ||||||||
Graphic Packaging International LLC |
| |||||||||||
3.50% | 03/15/28 | 6 | 400,000 | 360,205 | ||||||||
4.75% | 07/15/27 | 6 | 541,000 | 534,508 | ||||||||
4.88% | 11/15/22 | 3,531,000 | 3,419,547 | |||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 6 | 600,000 | 556,482 | ||||||||
Sealed Air Corp. |
| |||||||||||
4.00% | 12/01/27 | 6 | 815,000 | 766,181 | ||||||||
5.50% | 09/15/25 | 6 | 4,898,000 | 5,042,478 | ||||||||
Silgan Holdings, Inc. |
| |||||||||||
4.13% | 02/01/28 | 6 | 1,745,000 | 1,622,850 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 2,6 | 2,195,000 | 1,854,775 | ||||||||
Trident TPI Holdings, Inc. |
| |||||||||||
6.63% | 11/01/25 | 6 | 2,073,000 | 1,681,732 | ||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% | 08/15/26 | 2,6 | 4,976,000 | 5,000,880 | ||||||||
|
| |||||||||||
30,680,461 | ||||||||||||
|
| |||||||||||
Information Technology — 2.77% |
| |||||||||||
Change Healthcare Holdings LLC/Change |
| |||||||||||
Healthcare Finance, Inc. |
| |||||||||||
5.75% | 03/01/25 | 6 | 2,665,000 | 2,505,100 | ||||||||
Intel Corp. |
| |||||||||||
4.75% | 03/25/50 | 1,450,000 | 1,964,486 | |||||||||
MSCI, Inc. |
| |||||||||||
3.63% | 09/01/30 | 6 | 870,000 | 830,306 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
NVIDIA Corp. |
| |||||||||||
3.50% | 04/01/50 | $ | 1,900,000 | $ | 2,071,774 | |||||||
Science Applications International Corp. |
| |||||||||||
4.88% | 04/01/28 | 6 | 1,760,000 | 1,692,006 | ||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% | 09/30/27 | 6 | 2,350,000 | 2,462,412 | ||||||||
|
| |||||||||||
11,526,084 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 2.41% |
| |||||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
3.45% | 11/15/29 | 2,830,000 | 2,530,014 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 4,885,000 | 4,460,208 | |||||||||
5.75% | 06/01/28 | 3,405,000 | 3,032,723 | |||||||||
|
| |||||||||||
10,022,945 | ||||||||||||
|
| |||||||||||
Retail — 0.88% |
| |||||||||||
Rite Aid Corp. |
| |||||||||||
6.13% | 04/01/23 | 6 | 833,000 | 722,627 | ||||||||
Yum! Brands, Inc. |
| |||||||||||
7.75% | 04/01/25 | 6 | 2,800,000 | 2,947,000 | ||||||||
|
| |||||||||||
3,669,627 | ||||||||||||
|
| |||||||||||
Services — 3.74% |
| |||||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.13% | 12/15/26 | 2,6 | 4,305,000 | 4,229,663 | ||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
4.75% | 02/15/25 | 2,6 | 1,420,000 | 1,466,107 | ||||||||
5.00% | 11/01/22 | 2,6 | 3,071,000 | 3,238,035 | ||||||||
Service Corp. International/U.S. |
| |||||||||||
4.63% | 12/15/27 | 946,000 | 952,591 | |||||||||
University of Southern California |
| |||||||||||
2.81% | 10/01/50 | 925,000 | 918,688 | |||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 6 | 5,103,000 | 4,770,118 | ||||||||
|
| |||||||||||
15,575,202 | ||||||||||||
|
| |||||||||||
Transportation — 2.87% |
| |||||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2013-1, Class B |
| |||||||||||
5.63% | 01/15/21 | 6 | 2,345,217 | 2,331,741 | ||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class B |
| |||||||||||
6.90% | 04/19/22 | 657,338 | 638,102 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2002-1, Class G1 |
| |||||||||||
6.72% | 01/02/23 | 5,931,683 | 5,973,135 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2010-1, Class A |
| |||||||||||
6.25% | 04/22/23 | 1,128,118 | 1,121,661 |
See accompanying Notes to Financial Statements.
71 / Annual Report March 2020 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Transportation (continued) |
| |||||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | $ | 1,872,068 | $ | 1,879,911 | |||||||
|
| |||||||||||
11,944,550 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $326,686,432) |
| 307,927,762 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 5.16%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2006-HE8, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 10/25/36 | 1 | 3,397,583 | 1,890,185 | ||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 4.70% |
| |||||||||||
ACE Securities Corp. Home Equity Loan |
| |||||||||||
Trust, Series 2006-ASP6, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
1.11% | 12/25/36 | 1 | 4,284,909 | 1,950,093 | ||||||||
Ajax Mortgage Loan Trust, |
| |||||||||||
Series 2019-D, Class A1 |
| |||||||||||
(STEP-reset date 04/25/20) |
| |||||||||||
2.96% | 09/25/65 | 6 | 2,030,661 | 1,986,752 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2004-J9, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||||
1.92% | 10/25/34 | 1 | 620,063 | 620,691 | ||||||||
GSAMP Trust, Series 2005-HE4, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
1.73% | 07/25/45 | 1 | 2,350,000 | 2,180,801 | ||||||||
GSAMP Trust, Series 2005-HE5, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||||
1.41% | 11/25/35 | 1 | 2,500,889 | 2,304,192 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2006-HE1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 10/25/36 | 1 | 2,645,664 | 1,051,894 | ||||||||
Lehman XS Trust, Series 2005-7N, |
| |||||||||||
Class 1A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||||
1.49% | 12/25/35 | 1 | 1,046,751 | 877,935 | ||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||
Series 2006-10, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 11/25/36 | 1 | 2,876,749 | 1,868,060 | ||||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||||
Series 2006-HE2, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 06/25/36 | 1 | 3,667,677 | 1,852,230 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2007-HE1, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
1.18% | 11/25/36 | 1 | $ | 1,864,626 | $ | 1,085,122 | ||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||||
Series 2014-R3, Class 2A |
| |||||||||||
3.00% | 07/26/48 | 5,6 | 1,860,290 | 1,829,545 | ||||||||
WaMu Asset-Backed Certificates, |
| |||||||||||
Series 2007-HE2, Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 02/25/37 | 1 | 4,856,992 | 1,957,607 | ||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $23,785,985) |
| 21,455,107 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.46%* |
| |||||||||||
California — 0.21% |
| |||||||||||
Regents of the University of California |
| |||||||||||
Medical Center Pooled Revenue, Taxable |
| |||||||||||
Bonds, Health, Hospital and Nursing Home |
| |||||||||||
Improvements, Series N |
| |||||||||||
3.26% | 05/15/60 | 960,000 | 874,210 | |||||||||
|
| |||||||||||
Missouri — 0.25% |
| |||||||||||
Health & Educational Facilities Authority of the State of Missouri, Taxable Revenue Bonds, Washington University, University and College Improvements |
| |||||||||||
3.65% | 08/15/57 | 885,000 | 1,038,326 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $1,977,712) |
| 1,912,536 | ||||||||||
|
| |||||||||||
Total Bonds – 95.90% |
| |||||||||||
(Cost $424,767,567) |
| 398,878,680 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.01% |
| |||||||||||
Automotive — 0.00% |
| |||||||||||
Motors Liquidation Co. GUC Trust7 | 346 | 3,377 | ||||||||||
|
| |||||||||||
Electric — 0.01% |
| |||||||||||
Homer City Holdings LLC3,4,7,9 | 502,908 | 27,660 | ||||||||||
|
| |||||||||||
Total Common Stock |
| |||||||||||
(Cost $27,171,821) |
| 31,037 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 72 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Shares | Value | ||||||||||
WARRANT — 0.00% |
| |||||||||||
Energy — 0.00% |
| |||||||||||
Sabine Oil & Gas Holdings, |
| |||||||||||
Inc. Warrant Tranche 13,4,7,† |
| 7 | $ | 114 | ||||||||
Sabine Oil & Gas Holdings, Inc.3,4,7,† |
| 359 | 4,696 | |||||||||
|
| |||||||||||
Total Warrant |
| |||||||||||
(Cost $ – ) |
| 4,810 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 6.55% |
| |||||||||||
Money Market Funds — 6.17% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.29%10 | 7,597,000 | 7,597,000 | ||||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.28%10 | 1,921,418 | 1,921,418 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.28%10 | 16,161,000 | 16,161,000 | ||||||||||
|
| |||||||||||
25,679,418 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 0.38% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.18%11,12 | 09/10/20 | $ | 1,575,000 | 1,574,263 | ||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $27,253,140) |
| 27,253,681 | ||||||||||
|
| |||||||||||
Total Investments – 102.46% |
| |||||||||||
(Cost $479,192,528) |
| 426,168,208 | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other |
| |||||||||||
Assets – (2.46)% |
| (10,228,901 | ) | |||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 415,939,307 | |||||||||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
3 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
4 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $1,366,182, which is 0.33% of total net assets. |
5 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
6 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
7 | Non-income producing security. |
8 | Security is currently in default with regard to scheduled interest or principal payments. |
9 | Affiliated investment. |
10 | Represents the current yield as of March 31, 2020. |
11 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,574,263. |
12 | Represents annualized yield at date of purchase. |
† | Fair valued security. The aggregate value of fair valued securities is $4,810, which is 0.00% of total net assets. Fair valued securities are not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industrysub-classifications for more meaningful presentation for investors.
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
See accompanying Notes to Financial Statements.
73 / Annual Report March 2020 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| ||||||||||||||||||||||||
U.S. Treasury Five Year Note | 1,192 | 06/30/20 | $149,428,375 | $4,426,730 | $4,426,730 | ||||||||||||||||||||
U.S. Treasury Two Year Note | 71 | 06/30/20 | 15,647,180 | 284,986 | 284,986 | ||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
165,075,555 | 4,711,716 | 4,711,716 | |||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| ||||||||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 382 | 06/19/20 | (59,603,938 | ) | (2,923,753 | ) | (2,923,753 | ) | |||||||||||||||||
U.S. Treasury Ultra Bond | 114 | 06/19/20 | (25,293,750 | ) | (1,022,451 | ) | (1,022,451 | ) | |||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
(84,897,688 | ) | (3,946,204 | ) | (3,946,204 | ) | ||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
TOTAL FUTURES CONTRACTS |
| $ 80,177,867 | $ 765,512 | $ 765,512 | |||||||||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 74 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 101.33% |
| |||||||||||
ASSET-BACKED SECURITIES — 5.44%** |
| |||||||||||
Academic Loan Funding Trust, |
| |||||||||||
Series2012-1A, Class A2 |
| |||||||||||
(LIBOR USD1-Month plus 1.10%) |
| |||||||||||
2.05% | 12/27/44 | 1,2 | $ | 708,710 | $ | 667,505 | ||||||
AMMC CLO 19 Ltd., Series2016-19A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.14%) |
| |||||||||||
2.97% | 10/16/28 | 1,2,3 | 920,000 | 894,914 | ||||||||
Barings CLO Ltd., Series2013-IA, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 0.80%) |
| |||||||||||
2.62% | 01/20/28 | 1,2,3 | 1,315,000 | 1,241,418 | ||||||||
Barings CLO Ltd., Series2016-2A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.08%) |
| |||||||||||
2.90% | 07/20/28 | 1,2,3 | 50,000 | 49,166 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series2004-3, Class A1 |
| |||||||||||
(LIBOR USD1-Month plus 0.56%) |
| |||||||||||
1.50% | 01/25/35 | 1,2 | 357,843 | 322,249 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series2010-1, Class A2 |
| |||||||||||
(LIBOR USD3-Month plus 1.20%) |
| |||||||||||
2.88% | 02/25/35 | 1 | 650,000 | 632,860 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series2011-1, Class A2 |
| |||||||||||
(LIBOR USD3-Month plus 0.80%) |
| |||||||||||
2.48% | 02/25/30 | 1 | 26,277 | 25,413 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series2011-2, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
2.79% | 10/27/36 | 1 | 1,030,000 | 942,256 | ||||||||
CIT Education Loan Trust, Series2007-1, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD3-Month plus 0.09%) |
| |||||||||||
1.31% | 03/25/42 | 1,2 | 254,030 | 230,004 | ||||||||
Corevest American Finance Trust, |
| |||||||||||
Series2019-1, Class XA (IO) |
| |||||||||||
2.16% | 03/15/52 | 2,4 | 5,940,781 | 498,696 | ||||||||
Dryden XXVI Senior Loan Fund, |
| |||||||||||
Series2013-26A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 0.90%) |
| |||||||||||
2.73% | 04/15/29 | 1,2,3 | 1,785,000 | 1,712,708 | ||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series2011-1, Class A2 |
| |||||||||||
(LIBOR USD3-Month plus 0.65%) |
| |||||||||||
2.44% | 04/25/35 | 1 | 267,159 | 251,797 | ||||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD1-Month plus 0.65%) |
| |||||||||||
2.28% | 08/27/46 | 1,2 | 769,270 | 688,960 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Global SC Finance II SRL, Series2014-1A, |
| |||||||||||
Class A2 (Barbados) |
| |||||||||||
3.09% | 07/17/29 | 2,3 | $ | 725,833 | $ | 674,952 | ||||||
Higher Education Funding I, Series2014-1, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD3-Month plus 1.05%) |
| |||||||||||
2.73% | 05/25/34 | 1,2 | 1,102,066 | 1,079,440 | ||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 2 | 437,918 | 419,456 | ||||||||
J.G. Wentworth XXXII LLC, |
| |||||||||||
Series2014-2A, Class A |
| |||||||||||
3.61% | 01/17/73 | 2 | 817,348 | 754,337 | ||||||||
LCM XVIII LP, Series 19A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.24%) |
| |||||||||||
3.07% | 07/15/27 | 1,2,3 | 50,000 | 48,893 | ||||||||
LCM XX LP, Series 20A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.04%) |
| |||||||||||
2.86% | 10/20/27 | 1,2,3 | 1,700,000 | 1,638,664 | ||||||||
Magnetite XVIII Ltd., Series2016-18A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.08%) |
| |||||||||||
2.77% | 11/15/28 | 1,2,3 | 50,000 | 48,925 | ||||||||
Navient Student Loan Trust, Series2014-1, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD1-Month plus 0.51%) |
| |||||||||||
1.46% | 06/25/31 | 1 | 728,535 | 710,635 | ||||||||
Navient Student Loan Trust, Series2014-2, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD1-Month plus 0.64%) |
| |||||||||||
1.59% | 03/25/83 | 1 | 66,476 | 63,179 | ||||||||
Navient Student Loan Trust, Series2014-3, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD1-Month plus 0.62%) |
| |||||||||||
1.57% | 03/25/83 | 1 | 1,795,846 | 1,704,421 | ||||||||
Navient Student Loan Trust, Series2014-4, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD1-Month plus 0.62%) |
| |||||||||||
1.57% | 03/25/83 | 1 | 1,641,385 | 1,557,217 | ||||||||
Navient Student Loan Trust, Series2016-2A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD1-Month plus 1.50%) |
| |||||||||||
2.45% | 06/25/65 | 1,2 | 1,640,000 | 1,653,616 | ||||||||
Nelnet Student Loan Trust, Series2014-4A, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD1-Month plus 0.95%) |
| |||||||||||
1.90% | 11/25/48 | 1,2 | 1,370,000 | 1,240,207 | ||||||||
Northstar Education Finance, Inc., |
| |||||||||||
Series2007-1, Class A2 |
| |||||||||||
LIBOR USD3-Month |
| |||||||||||
2.54% | 01/29/46 | 1 | 61,743 | 61,088 |
See accompanying Notes to Financial Statements. |
75 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Recette CLO Ltd., Series2015-1A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 0.92%) |
| |||||||||||
2.74% | 10/20/27 | 1,2,3 | $ | 1,388,087 | $ | 1,366,017 | ||||||
SLC Student Loan Trust, Series2004-1, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 0.29%) |
| |||||||||||
1.98% | 08/15/31 | 1 | 145,745 | 127,491 | ||||||||
SLC Student Loan Trust, Series2008-1, |
| |||||||||||
Class A4A |
| |||||||||||
(LIBOR USD3-Month plus 1.60%) |
| |||||||||||
2.34% | 12/15/32 | 1 | 319,090 | 318,414 | ||||||||
SLM Student Loan Trust, Series2004-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 0.47%) |
| |||||||||||
2.26% | 07/25/39 | 1 | 179,965 | 164,393 | ||||||||
SLM Student Loan Trust, Series2006-2, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD3-Month plus 0.17%) |
| |||||||||||
1.96% | 01/25/41 | 1 | 85,283 | 76,277 | ||||||||
SLM Student Loan Trust, Series2006-8, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD3-Month plus 0.16%) |
| |||||||||||
1.95% | 01/25/41 | 1 | 1,025,000 | 922,586 | ||||||||
SLM Student Loan Trust, Series2008-2, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD3-Month plus 0.75%) |
| |||||||||||
2.54% | 04/25/23 | 1 | 3,972,061 | 3,777,120 | ||||||||
SLM Student Loan Trust, Series2008-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 1.20%) |
| |||||||||||
2.99% | 01/25/83 | 1 | 185,000 | 145,163 | ||||||||
SLM Student Loan Trust, Series2008-3, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 1.20%) |
| |||||||||||
2.99% | 04/26/83 | 1 | 185,000 | 167,378 | ||||||||
SLM Student Loan Trust, Series2008-4, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 1.85%) |
| |||||||||||
3.64% | 04/25/73 | 1 | 185,000 | 156,519 | ||||||||
SLM Student Loan Trust, Series2008-5, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/25/73 | 1 | 2,235,000 | 1,982,873 | ||||||||
SLM Student Loan Trust, Series2008-6, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD3-Month plus 1.10%) |
| |||||||||||
2.89% | 07/25/23 | 1 | 2,115,484 | 2,063,646 | ||||||||
SLM Student Loan Trust, Series2008-6, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 1 | 185,000 | 168,250 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series2008-7, |
| |||||||||||
Class B (LIBOR USD3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 1 | $ | 185,000 | $ | 169,305 | ||||||
SLM Student Loan Trust, Series2008-8, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 2.25%) |
| |||||||||||
4.04% | 10/25/75 | 1 | 185,000 | 167,440 | ||||||||
SLM Student Loan Trust, Series2008-9, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD3-Month plus 1.50%) |
| |||||||||||
3.29% | 04/25/23 | 1 | 780,348 | 773,590 | ||||||||
SLM Student Loan Trust, Series2008-9, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD3-Month plus 2.25%) |
| |||||||||||
4.04% | 10/25/83 | 1 | 1,885,000 | 1,862,186 | ||||||||
SLM Student Loan Trust, Series2009-3, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD1-Month plus 0.75%) |
| |||||||||||
1.70% | 01/25/45 | 1,2 | 3,339,140 | 3,044,816 | ||||||||
SLM Student Loan Trust, Series2011-2, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD1-Month plus 1.20%) |
| |||||||||||
2.15% | 10/25/34 | 1 | 500,000 | 494,485 | ||||||||
SLM Student Loan Trust, Series2012-7, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD1-Month plus 0.65%) |
| |||||||||||
1.60% | 05/26/26 | 1 | 671,864 | 616,735 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series2010-A, Class B |
| |||||||||||
7.61% | 01/16/46 | 2 | 509,619 | 568,452 | ||||||||
Student Loan Consolidation Center Student |
| |||||||||||
Loan Trust I, Series2002-2, Class B2 |
| |||||||||||
(28 Day Auction Rate plus 0.00%) |
| |||||||||||
1.61% | 07/01/42 | 1,2 | 600,000 | 547,657 | ||||||||
TCI-Flatiron CLO Ltd., Series2016-1A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.22%) |
| |||||||||||
3.06% | 07/17/28 | 1,2,3 | 10,000 | 9,769 | ||||||||
Treman Park CLO Ltd., Series2015-1A, |
| |||||||||||
Class ARR (Cayman Islands) |
| |||||||||||
(LIBOR USD3-Month plus 1.07%) |
| |||||||||||
2.89% | 10/20/28 | 1,2,3 | 50,000 | 48,600 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $41,578,046) |
| 39,552,138 | ||||||||||
|
| |||||||||||
BANK LOANS — 1.35%* |
| |||||||||||
Automotive — 0.03% |
| |||||||||||
Panther BF Aggregator 2 LP |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.44% | 04/30/26 | 1 | 199,000 | 183,080 | ||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 76 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications — 0.40% |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan A, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 01/31/25 | 1 | $ | 246,875 | $ | 231,651 | ||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 03/15/27 | 1 | 349,125 | 327,961 | ||||||||
Charter Communications Operating LLC, |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 02/01/27 | 1 | 99,749 | 96,258 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.86% | 01/15/26 | 1 | 356,400 | 343,926 | ||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.21% | 06/17/24 | 1 | 1,740 | 1,663 | ||||||||
5.35% | 06/17/24 | 1 | 520,575 | 497,555 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
6.63% | 01/02/24 | 1,3 | 225,000 | 211,219 | ||||||||
Lamar Media Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.50%) |
| |||||||||||
2.52% | 02/05/27 | 1 | 196,500 | 189,131 | ||||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 03/01/27 | 1 | 400,000 | 377,250 | ||||||||
Sprint Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/02/24 | 1 | 153,768 | 153,192 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 03/09/27 | 1 | 500,000 | 475,000 | ||||||||
|
| |||||||||||
2,904,806 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.06% |
| |||||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 02/05/23 | 1 | 434,282 | 413,654 | ||||||||
|
| |||||||||||
Electric — 0.02% |
| |||||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.55% | 12/31/25 | 1 | 26,963 | 25,766 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
2.74% | 12/31/25 | 1 | $ | 112,654 | $ | 107,655 | ||||||
|
| |||||||||||
133,421 | ||||||||||||
|
| |||||||||||
Finance — 0.21% |
| |||||||||||
Avolon TLB Borrower 1 US LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.52% | 01/15/25 | 1 | 52,744 | 47,557 | ||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 10/06/23 | 1 | 1,631,095 | 1,488,374 | ||||||||
|
| |||||||||||
1,535,931 | ||||||||||||
|
| |||||||||||
Food — 0.04% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
4.03% | 08/03/25 | 1 | 299,248 | 283,538 | ||||||||
|
| |||||||||||
Gaming — 0.01% |
| |||||||||||
Churchill Downs, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 12/27/24 | 1 | 54,033 | 48,404 | ||||||||
|
| |||||||||||
Health Care — 0.21% |
| |||||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 1 | 343,450 | 327,994 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.75% | 02/04/27 | 1 | 950,000 | 909,625 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 07/02/25 | 1 | 29,625 | 27,996 | ||||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.68% | 11/15/27 | 1 | 99,750 | 95,178 | ||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.20% | 06/07/23 | 1 | 216,103 | 194,493 | ||||||||
|
| |||||||||||
1,555,286 | ||||||||||||
|
| |||||||||||
Industrials — 0.12% |
| |||||||||||
Berry Plastics Group, Inc., |
| |||||||||||
Term Loan Y, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
|
See accompanying Notes to Financial Statements. |
77 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
2.86% | 07/01/26 | 1 | $ | 547,371 | $ | 523,197 | ||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 05/30/25 | 1 | 396,990 | 365,892 | ||||||||
|
| |||||||||||
889,089 | ||||||||||||
|
| |||||||||||
Information Technology — 0.08% |
| |||||||||||
Broadcom, Inc., |
| |||||||||||
Delayed-Draw Term Loan A3 |
| |||||||||||
(LIBOR plus 1.13%) |
| |||||||||||
2.13% | 11/04/22 | 1 | 487,500 | 465,563 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 1 | 94,482 | 89,285 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 1 | 67,419 | 63,711 | ||||||||
|
| |||||||||||
618,559 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.14% |
| |||||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.67% | 12/20/24 | 1 | 1,125,000 | 1,046,953 | ||||||||
|
| |||||||||||
Services — 0.02% |
| |||||||||||
GFL Environmental, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 05/30/25 | 1 | 154,731 | 150,798 | ||||||||
|
| |||||||||||
Transportation — 0.01% |
| |||||||||||
American Airlines, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.69% | 01/29/27 | 1 | 75,000 | 62,297 | ||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $9,985,686) |
| 9,825,816 | ||||||||||
|
| |||||||||||
CORPORATES — 35.87%* |
| |||||||||||
Automotive — 0.10% |
| |||||||||||
General Motors Co. |
| |||||||||||
4.88% | 10/02/23 | 845,000 | 754,188 | |||||||||
|
| |||||||||||
Banking — 4.11% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
3.00% | 12/20/23 | 4 | 3,721,000 | 3,801,587 | ||||||||
Bank of America Corp. (MTN) |
| |||||||||||
2.02% | 02/13/26 | 4 | 1,415,000 | 1,383,474 | ||||||||
2.50% | 02/13/31 | 4 | 375,000 | 363,380 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
3.09% | 10/01/25 | 4 | $ | 152,000 | $ | 152,652 | ||||||
3.56% | 04/23/27 | 4 | 605,000 | 634,295 | ||||||||
3.97% | 03/05/29 | 4 | 40,000 | 42,601 | ||||||||
Bank of New York Mellon Corp. (The) (MTN) |
| |||||||||||
2.50% | 04/15/21 | 1,076,000 | 1,076,662 | |||||||||
2.60% | 02/07/22 | 665,000 | 670,532 | |||||||||
3.25% | 09/11/24 | 365,000 | 381,727 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.01% | 03/13/26 | 4 | 1,945,000 | 1,937,870 | ||||||||
3.20% | 06/15/26 | 715,000 | 744,219 | |||||||||
3.51% | 06/18/22 | 4 | 40,000 | 40,666 | ||||||||
3.96% | 01/29/27 | 4 | 50,000 | 53,883 | ||||||||
4.02% | 12/05/24 | 4 | 1,820,000 | 1,931,401 | ||||||||
4.49% | 03/24/31 | 4 | 1,485,000 | 1,715,885 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 3,4 | 3,020,000 | 2,989,700 | ||||||||
3.90% | 03/12/24 | 3 | 355,000 | 359,903 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.88% | 10/16/20 | 3 | 1,065,000 | 1,066,023 | ||||||||
4.80% | 11/15/24 | 3,4 | 795,000 | 833,798 | ||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
5.00% | 11/07/23 | 2,3 | 330,000 | 333,033 | ||||||||
U.S. Bancorp, Series V |
| |||||||||||
2.63% | 01/24/22 | 95,000 | 96,382 | |||||||||
Wells Fargo & Co. |
| |||||||||||
3.00% | 10/23/26 | 1,810,000 | 1,854,473 | |||||||||
3.07% | 01/24/23 | 50,000 | 50,573 | |||||||||
Wells Fargo & Co. (MTN) |
| |||||||||||
2.16% | 02/11/26 | 4 | 5,100,000 | 4,968,597 | ||||||||
2.88% | 10/30/30 | 4 | 240,000 | 238,156 | ||||||||
4.48% | 04/04/31 | 4 | 1,875,000 | 2,119,182 | ||||||||
|
| |||||||||||
29,840,654 | ||||||||||||
|
| |||||||||||
Communications — 3.33% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
3.40% | 05/15/25 | 325,000 | 338,671 | |||||||||
3.55% | 06/01/24 | 800,000 | 828,116 | |||||||||
3.60% | 07/15/25 | 1,155,000 | 1,205,258 | |||||||||
3.88% | 01/15/26 | 1,530,000 | 1,580,162 | |||||||||
4.10% | 02/15/28 | 50,000 | 52,584 | |||||||||
4.35% | 03/01/29 | 40,000 | 43,027 | |||||||||
(LIBOR USD 3-Month plus 1.18%) |
| |||||||||||
1.96% | 06/12/24 | 1 | 1,200,000 | 1,116,007 | ||||||||
CCO Holdings LLC/CCO Holdings |
| |||||||||||
Capital Corp. |
| |||||||||||
4.50% | 08/15/30 | 2 | 824,000 | 815,760 | ||||||||
4.50% | 05/01/32 | 2 | 413,000 | 403,282 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 78 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Charter Communications Operating LLC/ |
| |||||||||||
Charter Communications Operating Capital |
| |||||||||||
4.91% | 07/23/25 | $ | 500,000 | $ | 534,165 | |||||||
Comcast Corp. |
| |||||||||||
2.75% | 03/01/23 | 45,000 | 46,429 | |||||||||
3.40% | 04/01/30 | 2,540,000 | 2,756,552 | |||||||||
CSC Holdings LLC |
| |||||||||||
5.38% | 02/01/28 | 2 | 65,000 | 66,753 | ||||||||
5.50% | 05/15/26 | 2 | 350,000 | 364,461 | ||||||||
6.50% | 02/01/29 | 2 | 43,000 | 46,617 | ||||||||
Fox Corp. | ||||||||||||
3.50% | 04/08/30 | 1,500,000 | 1,496,985 | |||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 2,3 | 1,003,000 | 641,619 | ||||||||
9.75% | 07/15/25 | 2,3 | 585,000 | 371,086 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
4.63% | 09/15/27 | 2 | 196,000 | 195,892 | ||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 2 | 750,000 | 625,541 | ||||||||
SES SA (Luxembourg) |
| |||||||||||
3.60% | 04/04/23 | 2,3 | 1,500,000 | 1,472,103 | ||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% | 08/01/22 | 2 | 219,000 | 218,726 | ||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 65,000 | 71,749 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum |
| |||||||||||
Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 2 | 1,437,000 | 1,435,204 | ||||||||
4.74% | 03/20/25 | 2 | 780,000 | 802,421 | ||||||||
5.15% | 03/20/28 | 2 | 785,000 | 842,731 | ||||||||
Time Warner Cable LLC |
| |||||||||||
4.00% | 09/01/21 | 50,000 | 50,130 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
4.50% | 02/01/26 | 172,000 | 177,375 | |||||||||
6.00% | 03/01/23 | 280,000 | 283,294 | |||||||||
6.00% | 04/15/24 | 293,000 | 300,902 | |||||||||
6.50% | 01/15/24 | 367,000 | 373,423 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
3.15% | 03/22/30 | 515,000 | 555,902 | |||||||||
4.13% | 03/16/27 | 515,000 | 573,822 | |||||||||
ViacomCBS, Inc. |
| |||||||||||
2.50% | 02/15/23 | 40,000 | 38,304 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.50% | 05/15/29 | 2,3 | 65,000 | 65,381 | ||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.13% | 05/30/25 | 3 | 475,000 | 508,613 | ||||||||
4.38% | 05/30/28 | 3 | 780,000 | 825,483 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Walt Disney Co. (The) |
| |||||||||||
3.80% | 03/22/30 | $ | 1,855,000 | $ | 2,093,704 | |||||||
|
| |||||||||||
24,218,234 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.96% |
| |||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.75% | 01/23/29 | 730,000 | 807,528 | |||||||||
Bacardi Ltd. (Bermuda) |
| |||||||||||
4.70% | 05/15/28 | 2,3 | 605,000 | 647,653 | ||||||||
BAT Capital Corp. |
| |||||||||||
2.76% | 08/15/22 | 755,000 | 742,940 | |||||||||
3.46% | 09/06/29 | 770,000 | 716,514 | |||||||||
4.39% | 08/15/37 | 830,000 | 768,269 | |||||||||
NIKE, Inc. |
| |||||||||||
2.85% | 03/27/30 | 1,090,000 | 1,151,913 | |||||||||
Reckitt Benckiser Treasury Services PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.75% | 06/26/24 | 2,3 | 1,595,000 | 1,583,500 | ||||||||
Reynolds American, Inc. |
| |||||||||||
4.45% | 06/12/25 | 365,000 | 367,827 | |||||||||
5.70% | 08/15/35 | 185,000 | 199,804 | |||||||||
|
| |||||||||||
6,985,948 | ||||||||||||
|
| |||||||||||
Electric — 2.88% |
| |||||||||||
AEP Texas, Inc. |
| |||||||||||
3.85% | 10/01/25 | 2 | 1,150,000 | 1,156,760 | ||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Series 20A |
| |||||||||||
3.35% | 04/01/30 | 1,395,000 | 1,438,516 | |||||||||
Dominion Energy, Inc., Series A |
| |||||||||||
3.30% | 03/15/25 | 3,035,000 | 3,073,464 | |||||||||
Duke Energy Corp. |
| |||||||||||
2.65% | 09/01/26 | 30,000 | 29,835 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 2 | 395,000 | 421,042 | ||||||||
6.40% | 09/15/20 | 2 | 1,843,000 | 1,884,239 | ||||||||
Entergy Corp. |
| |||||||||||
4.00% | 07/15/22 | 955,000 | 982,544 | |||||||||
Entergy Mississippi LLC |
| |||||||||||
3.10% | 07/01/23 | 1,435,000 | 1,526,346 | |||||||||
Evergy Metro, Inc. |
| |||||||||||
3.65% | 08/15/25 | 640,000 | 666,881 | |||||||||
Florida Power & Light Co. |
| |||||||||||
2.85% | 04/01/25 | 2,000,000 | 2,086,633 | |||||||||
KCP&L Greater Missouri Operations Co. |
| |||||||||||
8.27% | 11/15/21 | 1,995,000 | 2,146,574 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
4.00% | 04/15/25 | 2 | 770,000 | 832,389 | ||||||||
MidAmerican Energy Co. |
| |||||||||||
3.10% | 05/01/27 | 45,000 | 46,345 |
See accompanying Notes to Financial Statements. |
79 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
2.16% | 08/28/21 | 1 | $ | 1,635,000 | $ | 1,602,292 | ||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 1,405,000 | 1,443,361 | |||||||||
Southwestern Electric Power Co. |
| |||||||||||
3.55% | 02/15/22 | 955,000 | 963,663 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
3.85% | 03/15/23 | 595,000 | 633,586 | |||||||||
|
| |||||||||||
20,934,470 | ||||||||||||
|
| |||||||||||
Energy — 3.14% |
| |||||||||||
Brooklyn Union Gas Co. (The) |
| |||||||||||
3.41% | 03/10/26 | 2 | 2,555,000 | 2,699,644 | ||||||||
Canadian Natural Resources Ltd. (Canada) |
| |||||||||||
3.85% | 06/01/27 | 3 | 8,000 | 6,340 | ||||||||
Cheniere Energy Partners LP |
| |||||||||||
5.25% | 10/01/25 | 65,000 | 60,286 | |||||||||
Concho Resources, Inc. |
| |||||||||||
3.75% | 10/01/27 | 30,000 | 25,499 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 385,000 | 302,763 | |||||||||
4.05% | 03/15/25 | 2,000,000 | 1,767,824 | |||||||||
5.50% | 06/01/27 | 71,000 | 62,062 | |||||||||
5.88% | 01/15/24 | 1,000,000 | 965,000 | |||||||||
Energy Transfer Partners LP/Regency |
| |||||||||||
Energy Finance Corp. |
| |||||||||||
5.00% | 10/01/22 | 130,000 | 118,777 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 170,000 | 118,524 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.48% | 03/19/30 | 3,795,000 | 4,196,559 | |||||||||
NiSource, Inc. |
| |||||||||||
2.65% | 11/17/22 | 970,000 | 961,385 | |||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
2.00% | 12/20/22 | 3 | 900,000 | 911,940 | ||||||||
5.95% | 01/28/31 | 2,3 | 2,360,000 | 1,640,200 | ||||||||
6.50% | 01/23/29 | 3 | 395,000 | 286,415 | ||||||||
6.63% | 06/15/35 | 3 | 1,780,000 | 1,215,562 | ||||||||
Plains All American Pipeline LP/PAA |
| |||||||||||
Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 780,000 | 633,750 | |||||||||
Range Resources Corp. |
| |||||||||||
4.88% | 05/15/25 | 134,000 | 78,155 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% | 05/15/30 | 2 | 400,000 | 248,000 | ||||||||
4.95% | 07/15/29 | 2 | 1,000,000 | 600,435 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
6.50% | 04/01/22 | 2 | 716,477 | 639,432 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | $ | 1,081,000 | $ | 1,003,375 | |||||||
Spectra Energy Partners LP |
| |||||||||||
4.75% | 03/15/24 | 1,500,000 | 1,492,227 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
3.45% | 01/15/23 | 105,000 | 90,519 | |||||||||
Targa Resources Partners LP/Targa |
| |||||||||||
Resources Partners Finance Corp. |
| |||||||||||
6.88% | 01/15/29 | 119,000 | 97,010 | |||||||||
TC PipeLines LP |
| |||||||||||
4.65% | 06/15/21 | 2,030,000 | 1,986,487 | |||||||||
USA Compression Partners LP/USA |
| |||||||||||
Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 60,000 | 37,837 | |||||||||
6.88% | 09/01/27 | 181,000 | 115,840 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
3.35% | 08/15/22 | 480,000 | 457,867 | |||||||||
|
| |||||||||||
22,819,714 | ||||||||||||
|
| |||||||||||
Entertainment — 0.03% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 2 | 227,000 | 203,290 | ||||||||
|
| |||||||||||
Finance — 6.59% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global |
| |||||||||||
Aviation Trust (Ireland) |
| |||||||||||
3.50% | 05/26/22 | 3 | 355,000 | 309,936 | ||||||||
3.65% | 07/21/27 | 3 | 355,000 | 275,479 | ||||||||
3.95% | 02/01/22 | 3 | 160,000 | 145,017 | ||||||||
4.45% | 12/16/21 | 3 | 750,000 | 690,248 | ||||||||
Air Lease Corp. |
| |||||||||||
2.25% | 01/15/23 | 1,000,000 | 831,918 | |||||||||
3.25% | 03/01/25 | 820,000 | 661,278 | |||||||||
3.25% | 10/01/29 | 525,000 | 420,302 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 2,3 | 1,160,000 | 925,062 | ||||||||
5.13% | 10/01/23 | 2,3 | 75,000 | 64,925 | ||||||||
5.25% | 05/15/24 | 2,3 | 95,000 | 75,387 | ||||||||
Citibank N.A. (BKNT) |
| |||||||||||
2.10% | 06/12/20 | 290,000 | 289,458 | |||||||||
Citigroup, Inc. |
| |||||||||||
3.70% | 01/12/26 | 1,415,000 | 1,490,478 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 80 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% | 10/30/21 | 2 | $ | 760,000 | $ | 729,451 | ||||||
3.00% | 02/22/21 | 2 | 30,000 | 29,163 | ||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
2.59% | 02/15/22 | 1,2 | 1,900,000 | 1,761,535 | ||||||||
Durrah MSN 35603 (Cayman Islands) |
| |||||||||||
1.68% | 01/22/25 | 3 | 2,815,782 | 2,827,379 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.34% | 11/02/20 | 1,095,000 | 1,067,625 | |||||||||
2.43% | 06/12/20 | 850,000 | 830,875 | |||||||||
3.20% | 01/15/21 | 2,500,000 | 2,437,500 | |||||||||
3.22% | 01/09/22 | 500,000 | 468,750 | |||||||||
3.34% | 03/28/22 | 40,000 | 37,552 | |||||||||
3.81% | 10/12/21 | 385,000 | 371,286 | |||||||||
5.60% | 01/07/22 | 1,330,000 | 1,293,425 | |||||||||
5.88% | 08/02/21 | 1,555,000 | 1,531,675 | |||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
2.18% | 04/05/21 | 1 | 850,000 | 765,769 | ||||||||
GE Capital International Funding Co. (Ireland) |
| |||||||||||
2.34% | 11/15/20 | 3 | 4,185,000 | 4,165,082 | ||||||||
4.42% | 11/15/35 | 3 | 1,000,000 | 1,075,962 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
2.65% | 04/13/20 | 50,000 | 49,961 | |||||||||
3.15% | 06/30/22 | 495,000 | 442,338 | |||||||||
3.20% | 07/06/21 | 1,040,000 | 990,776 | |||||||||
3.45% | 04/10/22 | 120,000 | 111,589 | |||||||||
3.55% | 04/09/21 | 1,000,000 | 958,442 | |||||||||
4.20% | 11/06/21 | 265,000 | 249,044 | |||||||||
4.38% | 09/25/21 | 220,000 | 202,719 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.60% | 02/07/30 | 1,130,000 | 1,067,924 | |||||||||
2.63% | 04/25/21 | 50,000 | 50,051 | |||||||||
2.75% | 09/15/20 | 1,275,000 | 1,278,388 | |||||||||
3.27% | 09/29/25 | 4 | 775,000 | 785,478 | ||||||||
3.75% | 02/25/26 | 20,000 | 20,709 | |||||||||
3.81% | 04/23/29 | 4 | 350,000 | 363,921 | ||||||||
Mastercard, Inc. |
| |||||||||||
3.35% | 03/26/30 | 1,090,000 | 1,209,629 | |||||||||
Morgan Stanley (GMTN) |
| |||||||||||
(SOFR Rate plus 0.70%) |
| |||||||||||
1.61% | 01/20/23 | 1 | 1,485,000 | 1,387,307 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 2,3,4 | 390,000 | 388,151 | ||||||||
3.77% | 03/08/24 | 2,3,4 | 730,000 | 708,012 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 2,3 | 1,330,000 | 1,156,003 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
5.25% | 08/15/22 | 2,3 | $ | 825,000 | $ | 746,685 | ||||||
5.50% | 02/15/24 | 2,3 | 240,000 | 207,039 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
3.63% | 09/15/26 | 250,000 | 253,167 | |||||||||
4.65% | 04/01/30 | 1,090,000 | 1,132,931 | |||||||||
5.63% | 04/01/24 | 1,990,000 | 2,176,326 | |||||||||
Safina Ltd. (Cayman Islands) |
| |||||||||||
2.00% | 12/30/23 | 3 | 4,644,106 | 4,689,592 | ||||||||
Sandalwood 2013 LLC |
| |||||||||||
2.90% | 07/10/25 | 1,661,388 | 1,719,323 | |||||||||
|
| |||||||||||
47,918,022 | ||||||||||||
|
| |||||||||||
Food — 1.05% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.60% | 11/01/25 | 1,400,000 | 1,479,068 | |||||||||
JBS USA LUX SA/JBS USA |
| |||||||||||
Food Co./JBS USA Finance, Inc. (Canada) |
| |||||||||||
5.50% | 01/15/30 | 2,3 | 70,000 | 72,664 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
5.00% | 07/15/35 | 5,660,000 | 5,664,603 | |||||||||
6.88% | 01/26/39 | 245,000 | 279,714 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% | 09/30/27 | 2 | 65,000 | 65,421 | ||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% | 04/15/30 | 2 | 65,000 | 62,725 | ||||||||
|
| |||||||||||
7,624,195 | ||||||||||||
|
| |||||||||||
Gaming — 0.12% |
| |||||||||||
Churchill Downs, Inc. |
| |||||||||||
5.50% | 04/01/27 | 2 | 908,000 | 857,549 | ||||||||
|
| |||||||||||
Health Care — 6.04% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.20% | 11/21/29 | 2 | 1,960,000 | 1,979,986 | ||||||||
3.60% | 05/14/25 | 1,767,000 | 1,857,618 | |||||||||
Aetna, Inc. |
| |||||||||||
2.80% | 06/15/23 | 50,000 | 49,952 | |||||||||
3.50% | 11/15/24 | 1,250,000 | 1,269,217 | |||||||||
Alcon Finance Corp. |
| |||||||||||
2.75% | 09/23/26 | 2 | 2,300,000 | 2,330,145 | ||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.85% | 06/15/24 | 3 | 1,342,000 | 1,407,912 | ||||||||
Allergan Sales LLC |
| |||||||||||
5.00% | 12/15/21 | 2 | 500,000 | 518,408 | ||||||||
Amgen, Inc. |
| |||||||||||
3.63% | 05/15/22 | 50,000 | 51,874 | |||||||||
Anthem, Inc. |
| |||||||||||
2.38% | 01/15/25 | 225,000 | 223,238 | |||||||||
3.13% | 05/15/22 | 1,995,000 | 2,031,322 |
See accompanying Notes to Financial Statements. |
81 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
5.75% | 08/15/27 | 2,3 | $ | 294,000 | $ | 304,334 | ||||||
Baxter International, Inc. |
| |||||||||||
3.95% | 04/01/30 | 2 | 1,000,000 | 1,074,376 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
3.88% | 12/15/23 | 2 | 130,000 | 133,278 | ||||||||
4.25% | 12/15/25 | 2 | 575,000 | 598,555 | ||||||||
4.38% | 12/15/28 | 2 | 2,900,000 | 3,103,460 | ||||||||
5.50% | 08/15/25 | 2 | 1,100,000 | 1,201,952 | ||||||||
Bayer U.S. Finance LLC |
| |||||||||||
3.38% | 10/08/24 | 2 | 1,020,000 | 1,027,690 | ||||||||
Baylor Scott & White Holdings |
| |||||||||||
2.65% | 11/15/26 | 1,530,000 | 1,578,365 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.89% | 06/06/22 | 820,000 | 822,780 | |||||||||
3.25% | 11/12/20 | 30,000 | 29,850 | |||||||||
3.73% | 12/15/24 | 1,300,000 | 1,335,066 | |||||||||
Centene Corp. |
| |||||||||||
3.38% | 02/15/30 | 2 | 333,000 | 310,472 | ||||||||
Cigna Corp. |
| |||||||||||
2.40% | 03/15/30 | 1,580,000 | 1,506,324 | |||||||||
3.05% | 10/15/27 | 2 | 1,315,000 | 1,302,474 | ||||||||
4.13% | 11/15/25 | 2,365,000 | �� | 2,534,114 | ||||||||
CVS Health Corp. |
| |||||||||||
2.88% | 06/01/26 | 50,000 | 50,650 | |||||||||
3.25% | 08/15/29 | 1,450,000 | 1,419,184 | |||||||||
4.30% | 03/25/28 | 3,250,000 | 3,483,225 | |||||||||
5.05% | 03/25/48 | 30,000 | 34,410 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
4.66% | 08/27/21 | 1,000,000 | 995,636 | |||||||||
Eli Lilly & Co. |
| |||||||||||
2.75% | 06/01/25 | 165,000 | 170,805 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 328,000 | 323,260 | |||||||||
HCA, Inc. |
| |||||||||||
4.13% | 06/15/29 | 1,145,000 | 1,150,332 | |||||||||
5.00% | 03/15/24 | 815,000 | 845,708 | |||||||||
5.25% | 04/15/25 | 206,000 | 216,477 | |||||||||
5.25% | 06/15/26 | 1,070,000 | 1,125,041 | |||||||||
Hologic, Inc. |
| |||||||||||
4.63% | 02/01/28 | 2 | 60,000 | 60,300 | ||||||||
Humana, Inc. |
| |||||||||||
3.85% | 10/01/24 | 860,000 | 876,117 | |||||||||
3.95% | 03/15/27 | 885,000 | 900,027 | |||||||||
Pfizer, Inc. |
| |||||||||||
2.63% | 04/01/30 | 1,250,000 | 1,316,029 | |||||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.70% | 12/15/25 | 1,500,000 | 1,625,259 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | $ | 765,000 | $ | 763,714 | |||||||
|
| |||||||||||
43,938,936 | ||||||||||||
|
| |||||||||||
Industrials — 2.01% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 2 | 1,950,000 | 2,021,154 | ||||||||
4.50% | 05/15/28 | 2 | 30,000 | 35,423 | ||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
3.80% | 10/07/24 | 2 | 630,000 | 644,329 | ||||||||
Berry Global, Inc. |
| |||||||||||
4.88% | 07/15/26 | 2 | 65,000 | 66,015 | ||||||||
Crane Co. |
| |||||||||||
4.45% | 12/15/23 | 1,130,000 | 1,213,253 | |||||||||
General Electric Co. (GMTN) |
| |||||||||||
4.63% | 01/07/21 | 1,080,000 | 1,066,861 | |||||||||
General Electric Co. (MTN) |
| |||||||||||
4.38% | 09/16/20 | 125,000 | 125,167 | |||||||||
5.55% | 05/04/20 | 1,000,000 | 1,002,580 | |||||||||
5.55% | 01/05/26 | 1,090,000 | 1,154,999 | |||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 1 | 1,115,000 | 850,459 | ||||||||
General Electric Co., Series A (MTN) |
| |||||||||||
6.75% | 03/15/32 | 250,000 | 297,384 | |||||||||
L3Harris Technologies, Inc. |
| |||||||||||
3.85% | 06/15/23 | 2 | 410,000 | 428,539 | ||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 2 | 65,000 | 60,286 | ||||||||
Northrop Grumman Corp. |
| |||||||||||
2.93% | 01/15/25 | 2,510,000 | 2,449,904 | |||||||||
Sealed Air Corp. |
| |||||||||||
4.00% | 12/01/27 | 2 | 65,000 | 61,107 | ||||||||
5.50% | 09/15/25 | 2 | 600,000 | 617,698 | ||||||||
Siemens Financieringsmaatschappij NV |
| |||||||||||
(Netherlands) |
| |||||||||||
2.00% | 09/15/23 | 2,3 | 1,275,000 | 1,267,540 | ||||||||
Sydney Airport Finance Co. Pty Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
3.38% | 04/30/25 | 2,3 | 410,000 | 406,880 | ||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% | 08/15/26 | 2,3 | 65,000 | 65,325 | ||||||||
WRKCo, Inc. |
| |||||||||||
4.65% | 03/15/26 | 730,000 | 772,876 | |||||||||
|
| |||||||||||
14,607,779 | ||||||||||||
|
| |||||||||||
Information Technology — 1.18% |
| |||||||||||
Apple, Inc. |
| |||||||||||
3.25% | 02/23/26 | 20,000 | 21,758 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 82 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||||
Finance Ltd. |
| |||||||||||
3.00% | 01/15/22 | $ | 570,000 | $ | 564,093 | |||||||
3.63% | 01/15/24 | 1,790,000 | 1,793,153 | |||||||||
Broadcom, Inc. |
| |||||||||||
3.13% | 04/15/21 | 2 | 130,000 | 128,623 | ||||||||
3.63% | 10/15/24 | 2 | 695,000 | 685,192 | ||||||||
Change Healthcare Holdings LLC/Change |
| |||||||||||
Healthcare Finance, Inc. |
| |||||||||||
5.75% | 03/01/25 | 2 | 65,000 | 61,100 | ||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 2 | 525,000 | 525,067 | ||||||||
Intel Corp. |
| |||||||||||
3.90% | 03/25/30 | 2,565,000 | 2,938,205 | |||||||||
IQVIA, Inc. |
| |||||||||||
5.00% | 05/15/27 | 2 | 224,000 | 231,280 | ||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.63% | 06/15/22 | 2,3 | 1,210,000 | 1,252,894 | ||||||||
Oracle Corp. |
| |||||||||||
2.40% | 09/15/23 | 40,000 | 41,037 | |||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% | 09/30/27 | 2 | 323,000 | 338,451 | ||||||||
|
| |||||||||||
8,580,853 | ||||||||||||
|
| |||||||||||
Insurance — 0.66% |
| |||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
1.85% | 03/12/30 | 1,550,000 | 1,510,851 | |||||||||
Berkshire Hathaway, Inc. |
| |||||||||||
3.13% | 03/15/26 | 55,000 | 58,921 | |||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
3.03% | 12/15/24 | 2,4 | 1,212,000 | 1,220,948 | ||||||||
New York Life Global Funding |
| |||||||||||
3.00% | 01/10/28 | 2 | 50,000 | 51,307 | ||||||||
Pricoa Global Funding I |
| |||||||||||
2.55% | 11/24/20 | 2 | 1,945,000 | 1,958,341 | ||||||||
|
| |||||||||||
4,800,368 | ||||||||||||
|
| |||||||||||
Materials — 0.13% |
| |||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
4.45% | 09/26/28 | 800,000 | 938,810 | |||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.94% |
| |||||||||||
American Campus Communities |
| |||||||||||
Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 50,000 | 50,788 | |||||||||
CC Holdings GS V LLC/Crown Castle GS III Corp. |
| |||||||||||
3.85% | 04/15/23 | 230,000 | 229,618 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 1,450,000 | 1,392,935 | |||||||||
3.45% | 11/15/29 | 1,000,000 | 893,998 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | $ | 1,140,000 | $ | 1,017,450 | |||||||
5.25% | 06/01/25 | 685,000 | 640,475 | |||||||||
5.38% | 11/01/23 | 30,000 | 27,391 | |||||||||
5.38% | 04/15/26 | 1,373,000 | 1,224,647 | |||||||||
5.75% | 06/01/28 | 325,000 | 289,467 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 25,000 | 25,000 | |||||||||
3.88% | 05/01/25 | 1,400,000 | 1,486,718 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.70% | 04/15/23 | 920,000 | 891,105 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
4.25% | 11/15/23 | 598,000 | 566,170 | |||||||||
Piedmont Operating Partnership LP |
| |||||||||||
3.40% | 06/01/23 | 1,210,000 | 1,212,747 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 1,350,000 | 1,411,542 | |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
2.67% | 08/16/21 | 1 | 1,000,000 | 973,403 | ||||||||
Ventas Realty LP |
| |||||||||||
3.25% | 10/15/26 | 1,155,000 | 1,093,723 | |||||||||
Ventas Realty LP/Ventas Capital Corp. |
| |||||||||||
3.25% | 08/15/22 | 40,000 | 41,477 | |||||||||
Welltower, Inc. |
| |||||||||||
3.75% | 03/15/23 | 640,000 | 645,280 | |||||||||
|
| |||||||||||
14,113,934 | ||||||||||||
|
| |||||||||||
Retail — 0.39% |
| |||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
2.70% | 07/26/22 | 2,3 | 10,000 | 9,899 | ||||||||
3.55% | 07/26/27 | 2,3 | 640,000 | 636,320 | ||||||||
Rite Aid Corp. |
| |||||||||||
6.13% | 04/01/23 | 2 | 248,000 | 215,140 | ||||||||
Starbucks Corp. |
| |||||||||||
2.00% | 03/12/27 | 1,165,000 | 1,101,147 | |||||||||
Target Corp. |
| |||||||||||
2.65% | 09/15/30 | 750,000 | 773,191 | |||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
3.80% | 11/18/24 | 65,000 | 66,116 | |||||||||
|
| |||||||||||
2,801,813 | ||||||||||||
|
| |||||||||||
Services — 0.55% |
| |||||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.13% | 12/15/26 | 2,3 | 337,000 | 331,103 | ||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
4.13% | 08/01/23 | 3 | 1,245,000 | 1,280,507 | ||||||||
4.75% | 02/15/25 | 2,3 | 1,340,000 | 1,383,510 | ||||||||
RELX Capital, Inc. |
| |||||||||||
4.00% | 03/18/29 | 740,000 | 765,435 |
See accompanying Notes to Financial Statements. |
83 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Services (continued) |
| |||||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 2 | $ | 274,000 | $ | 256,126 | ||||||
|
| |||||||||||
4,016,681 | ||||||||||||
|
| |||||||||||
Transportation — 0.66% |
| |||||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2013-2, Class A |
| |||||||||||
4.95% | 01/15/23 | 368,016 | 375,378 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 1,704,103 | 1,748,649 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2002-1, Class G1 |
| |||||||||||
6.72% | 01/02/23 | 505,464 | 508,996 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 869,457 | 876,645 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class G |
| |||||||||||
7.08% | 03/20/21 | 114,897 | 115,578 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2011-1, Class A |
| |||||||||||
7.13% | 10/22/23 | 536,946 | 538,797 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 365,638 | 367,170 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-2, Class A |
| |||||||||||
4.63% | 06/03/25 | 315,703 | 273,915 | |||||||||
|
| |||||||||||
4,805,128 | ||||||||||||
|
| |||||||||||
Total Corporates (Cost $263,812,296) |
| 260,760,566 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 34.86%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 3.03% |
| |||||||||||
Banc of America Merrill Lynch Commercial |
| |||||||||||
Mortgage Trust, Series 2018-PARK, Class A |
| |||||||||||
4.09% | 08/10/38 | 2,4 | 1,095,000 | 1,165,171 | ||||||||
BX Trust, Series 2019-OC11, Class A |
| |||||||||||
3.20% | 12/09/41 | 2 | 375,000 | 367,935 | ||||||||
CALI Mortgage Trust, Series 2019-101C, |
| |||||||||||
Class A |
| |||||||||||
3.96% | 03/10/39 | 2 | 805,000 | 879,879 | ||||||||
Century Plaza Towers, Series 2019-CPT, |
| |||||||||||
Class A |
| |||||||||||
2.87% | 11/13/39 | 2 | 715,000 | 707,594 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2016-GC36, Class A5 |
| |||||||||||
3.62% | 02/10/49 | 3,250,000 | 3,510,749 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2016-GC37, Class A4 |
| |||||||||||
3.31% | 04/10/49 | $ | 1,000,000 | $ | 1,046,342 | |||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-300P, Class A1 |
| |||||||||||
4.35% | 08/10/30 | 2 | 1,160,000 | 1,215,414 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-277P, Class A |
| |||||||||||
3.61% | 08/10/49 | 2,4 | 1,265,000 | 1,298,837 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS2, Class XA (IO) |
| |||||||||||
1.17% | 03/10/47 | 4 | 24,869,333 | 900,926 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2016-787S, Class A |
| |||||||||||
3.55% | 02/10/36 | 2 | 1,225,000 | 1,278,007 | ||||||||
DC Office Trust, Series 2019-MTC, Class A |
| |||||||||||
2.97% | 09/15/45 | 2 | 765,000 | 759,351 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-30HY, Class A |
| |||||||||||
3.23% | 07/10/39 | 2 | 760,000 | 811,851 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class A |
| |||||||||||
2.94% | 12/10/41 | 2,4 | 765,000 | 847,872 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-C29, Class XA (IO) |
| |||||||||||
0.74% | 05/15/48 | 4 | 32,693,953 | 837,152 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2019-OSB, |
| |||||||||||
Class A |
| |||||||||||
3.40% | 06/05/39 | 2 | 740,000 | 750,740 | ||||||||
MKT Mortgage Trust, Series 2020-525M, |
| |||||||||||
Class A |
| |||||||||||
2.69% | 02/12/40 | 2 | 945,000 | 897,133 | ||||||||
Natixis Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2020-2PAC, Class A |
| |||||||||||
2.97% | 12/15/38 | 2 | 775,000 | 798,893 | ||||||||
One Bryant Park Trust, |
| |||||||||||
Series 2019-OBP, Class A |
| |||||||||||
2.52% | 09/15/54 | 2 | 960,000 | 966,043 | ||||||||
RBS Commercial Funding, Inc., Trust, |
| |||||||||||
Series 2013-GSP, Class A |
| |||||||||||
3.83% | 01/15/32 | 2,4 | 1,170,000 | 1,217,637 | ||||||||
SFAVE Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-5AVE, Class A2B |
| |||||||||||
4.14% | 01/05/43 | 2,4 | 105,000 | 94,564 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-C26, Class XA (IO) |
| |||||||||||
1.21% | 02/15/48 | 4 | 35,202,129 | 1,681,748 | ||||||||
|
| |||||||||||
22,033,838 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 84 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed — 5.42% |
| |||||||||||
Ameriquest Mortgage Securities, Inc., |
| |||||||||||
Asset-Backed Pass-Through Certificates, |
| |||||||||||
Series 2004-R8, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.96%) |
| |||||||||||
1.91% | 09/25/34 | 1 | $ | 30,898 | $ | 31,054 | ||||||
Amresco Residential Securities Corp. |
| |||||||||||
Mortgage Loan Trust, Series 1998-1, |
| |||||||||||
Class A5 (STEP-reset date 05/25/20) |
| |||||||||||
6.59% | 10/25/27 | 21,865 | 21,252 | |||||||||
Asset-Backed Securities Corp. Home Equity |
| |||||||||||
Loan Trust, Series 2004-HE9, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||||
1.92% | 12/25/34 | 1 | 476,484 | 414,924 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2003-2, Class 1A1 |
| |||||||||||
6.50% | 06/25/32 | 6,258 | 6,415 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R2, Class 9A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.16% | 03/27/36 | 1,2 | 525,317 | 519,031 | ||||||||
Bear Stearns ALT-A Trust, Series 2004-12, |
| |||||||||||
Class 1M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||||
1.88% | 01/25/35 | 1 | 2,487,996 | 2,366,144 | ||||||||
Bear Stearns Asset-Backed Securities I |
| |||||||||||
Trust, Series 2005-HE12, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 12/25/35 | 1 | 2,353,002 | 2,274,184 | ||||||||
Chevy Chase Mortgage Funding LLC, |
| |||||||||||
Mortgage-Backed Certificates, |
| |||||||||||
Series 2005-2A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
1.13% | 05/25/36 | 1,2 | 68,558 | 55,845 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2004-HYB1, Class A41 |
| |||||||||||
2.94% | 02/25/34 | 4 | 7,160 | 6,932 | ||||||||
Conseco Finance Corp., Series 1996-7, |
| |||||||||||
Class M1 |
| |||||||||||
7.70% | 09/15/26 | 4 | 139,590 | 143,021 | ||||||||
Conseco Finance Corp., Series 1998-4, |
| |||||||||||
Class A5 |
| |||||||||||
6.18% | 04/01/30 | 86,194 | 86,304 | |||||||||
Conseco Finance Corp., Series 1998-6, |
| |||||||||||
Class A8 |
| |||||||||||
6.66% | 06/01/30 | 4 | 126,440 | 128,000 | ||||||||
Conseco Finance Home Equity Loan Trust, |
| |||||||||||
Series 2002-C, Class BF2 |
| |||||||||||
8.00% | 06/15/32 | 2,4 | 78,229 | 79,327 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2004-14, |
| |||||||||||
Class 4A1 |
| |||||||||||
3.79% | 08/25/34 | 4 | 84,901 | 71,926 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2003-CB3, |
| |||||||||||
Class AF1 (STEP-reset date 05/25/20) |
| |||||||||||
3.38% | 12/25/32 | $ | 706,514 | $ | 687,829 | |||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2006-CB2, |
| |||||||||||
Class AF4 (STEP-reset date 05/25/20) |
| |||||||||||
3.30% | 12/25/36 | 437,233 | 336,511 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB5, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.06%) |
| |||||||||||
1.01% | 04/25/37 | 1 | 132,360 | 80,398 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB5, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 04/25/37 | 1 | 1,572,783 | 1,094,036 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2005-FFH4, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
1.43% | 12/25/35 | 1 | 2,821,251 | 2,721,998 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2004-AA3, Class A1 |
| |||||||||||
3.53% | 09/25/34 | 4 | 100,027 | 91,528 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2004-9, Class 5A7 |
| |||||||||||
4.14% | 08/25/34 | 4 | 46,971 | 44,318 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2007-7, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.95% | 10/25/37 | 1 | 2,613,042 | 2,245,276 | ||||||||
HomeBanc Mortgage Trust, Series 2005-4, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||||
1.22% | 10/25/35 | 1 | 47,150 | 45,972 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2005-OPT1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||||
1.58% | 11/25/35 | 1 | 435,013 | 419,299 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR7, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.86%) |
| |||||||||||
1.81% | 09/25/34 | 1 | 11,283 | 9,784 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR8, Class 2A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.75% | 11/25/34 | 1 | 33,894 | 27,443 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2007-AR11, Class 1A1 |
| |||||||||||
3.25% | 06/25/37 | 4 | 746,038 | 663,087 |
See accompanying Notes to Financial Statements. |
85 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1997-1, |
| |||||||||||
Class A3 |
| |||||||||||
6.61% | 02/25/28 | $ | 82,518 | $ | 82,474 | |||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1997-1, |
| |||||||||||
Class A4 |
| |||||||||||
6.75% | 02/25/28 | 21,967 | 21,978 | |||||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1998-1, |
| |||||||||||
Class A4 |
| |||||||||||
6.49% | 09/25/28 | 96,542 | 98,167 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2006-CH1, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 07/25/36 | 1 | 3,745,000 | 3,480,760 | ||||||||
JPMorgan Mortgage Trust, Series 2007-A3, |
| |||||||||||
Class 3A2 |
| |||||||||||
4.03% | 05/25/37 | 4 | 182,430 | 170,363 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2003-6, Class 4A2 |
| |||||||||||
3.93% | 01/25/34 | 4 | 77,873 | 76,244 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-5, Class 3A1 |
| |||||||||||
4.12% | 06/25/34 | 4 | 1,807 | 1,715 | ||||||||
MASTR Seasoned Securitization Trust, |
| |||||||||||
Series 2004-1, Class 4A1 |
| |||||||||||
4.47% | 10/25/32 | 4 | 10,043 | 9,057 | ||||||||
MASTR Seasoned Securitization Trust, |
| |||||||||||
Series 2005-1, Class 4A1 |
| |||||||||||
4.51% | 10/25/32 | 4 | 23,323 | 20,995 | ||||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||||
Trust, Series 2007-3, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
1.13% | 06/25/37 | 1 | 447,169 | 346,275 | ||||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||||
Trust, Series 2007-3, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 06/25/37 | 1 | 826,356 | 619,456 | ||||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||||
Class A |
| |||||||||||
6.01% | 08/15/37 | 262,415 | 272,828 | |||||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||||
Class B |
| |||||||||||
8.90% | 08/15/37 | 360,178 | 399,052 | |||||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||||
Class M1 |
| |||||||||||
6.50% | 08/15/37 | 257,270 | 265,239 | |||||||||
Mid-State Capital Corp., Series 2005-1, |
| |||||||||||
Class M2 |
| |||||||||||
7.08% | 01/15/40 | 453,770 | 482,917 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Mid-State Trust XI, Series 2011, Class A1 |
| |||||||||||
4.86% | 07/15/38 | $ | 619,145 | $ | 617,788 | |||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2004-NC7, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||||
1.88% | 07/25/34 | 1 | 165,869 | 149,046 | ||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2006-NC1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 12/25/35 | 1 | 210,748 | 206,306 | ||||||||
New Century Home Equity Loan Trust, |
| |||||||||||
Series 2005-D, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 02/25/36 | 1 | 3,077,099 | 2,874,131 | ||||||||
New York Mortgage Trust, Series 2005-3, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
1.43% | 02/25/36 | 1 | 1,017,274 | 935,704 | ||||||||
Nomura Resecuritization Trust, |
| |||||||||||
Series 2014-7R, Class 2A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.83% | 12/26/35 | 1,2 | 1,286,494 | 1,255,886 | ||||||||
Option One Mortgage Loan Trust, |
| |||||||||||
Series 2005-2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
1.61% | 05/25/35 | 1 | 146,647 | 143,664 | ||||||||
RBSSP Resecuritization Trust, |
| |||||||||||
Series 2009-12, Class 17A2 |
| |||||||||||
4.10% | 10/25/35 | 2,4 | 5,343,607 | 4,842,431 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2003-SL1, Class A41 |
| |||||||||||
8.00% | 04/25/31 | 25,977 | 27,604 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL1, Class A7 |
| |||||||||||
7.00% | 11/25/31 | 12,729 | 12,892 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2006-NC1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 01/25/36 | 1 | 2,266,458 | 2,056,937 | ||||||||
Residential Asset Securities Corp., |
| |||||||||||
Series 2005-AHL3, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.34%) |
| |||||||||||
1.29% | 11/25/35 | 1 | 61,157 | 56,425 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2004-IP2, Class 2A1 |
| |||||||||||
4.07% | 12/25/34 | 4 | 20,056 | 17,591 | ||||||||
STRU JPM-2598 Coll |
| |||||||||||
2.46% | 04/01/40 | 1,160,000 | 1,208,859 | |||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-15, Class A |
| |||||||||||
4.04% | 10/25/34 | 4 | 938,597 | 839,169 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 86 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2005-AR1, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
1.23% | 04/19/35 | 1 | $ | 657,475 | $ | 597,187 | ||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2005-AR8, Class A2 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.48%) |
| |||||||||||
3.63% | 02/25/36 | 1 | 530,304 | 464,205 | ||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2006-AR3, Class 22A1 |
| |||||||||||
3.56% | 05/25/36 | 4 | 2,123,860 | 1,297,690 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2002-AR18, Class A |
| |||||||||||
4.10% | 01/25/33 | 4 | 5,231 | 4,641 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR13, Class A1A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
1.73% | 10/25/45 | 1 | 869,021 | 761,939 | ||||||||
|
| |||||||||||
39,389,453 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 0.81% |
| |||||||||||
Fannie Mae-Aces, Series 2015-M4, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
0.39% | 07/25/22 | 4 | 86,429,687 | 498,414 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K021, |
| |||||||||||
Class A2 |
| |||||||||||
2.40% | 06/25/22 | 105,000 | 107,804 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K158, |
| |||||||||||
Class A3 |
| |||||||||||
3.90% | 10/25/33 | 4 | 1,250,000 | 1,466,309 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K159, |
| |||||||||||
Class A3 | ||||||||||||
3.95% | 11/25/33 | 4 | 3,265,000 | 3,843,471 | ||||||||
|
| |||||||||||
5,915,998 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 25.60% |
| |||||||||||
Fannie Mae Pool 253974 |
| |||||||||||
7.00% | 08/01/31 | 1,441 | 1,626 | |||||||||
Fannie Mae Pool 254232 |
| |||||||||||
6.50% | 03/01/22 | 1,259 | 1,302 | |||||||||
Fannie Mae Pool 527247 |
| |||||||||||
7.00% | 09/01/26 | 19 | 21 | |||||||||
Fannie Mae Pool 545191 |
| |||||||||||
7.00% | 09/01/31 | 829 | 958 | |||||||||
Fannie Mae Pool 545646 |
| |||||||||||
7.00% | 09/01/26 | 10 | 11 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool 549740 |
| |||||||||||
6.50% | 10/01/27 | $ | 3,993 | $ | 4,431 | |||||||
Fannie Mae Pool 606108 |
| |||||||||||
7.00% | 03/01/31 | 384 | 387 | |||||||||
Fannie Mae Pool 630599 |
| |||||||||||
7.00% | 05/01/32 | 3,459 | 4,060 | |||||||||
Fannie Mae Pool 655928 |
| |||||||||||
7.00% | 08/01/32 | 2,732 | 3,345 | |||||||||
Fannie Mae Pool 735207 |
| |||||||||||
7.00% | 04/01/34 | 1,088 | 1,306 | |||||||||
Fannie Mae Pool 735646 |
| |||||||||||
4.50% | 07/01/20 | 6 | 6 | |||||||||
Fannie Mae Pool 735686 |
| |||||||||||
6.50% | 12/01/22 | 390 | 402 | |||||||||
Fannie Mae Pool 735861 |
| |||||||||||
6.50% | 09/01/33 | 67,077 | 74,983 | |||||||||
Fannie Mae Pool 764388 |
| |||||||||||
(LIBOR USD 6-Month plus 1.40%) |
| |||||||||||
3.19% | 03/01/34 | 1 | 26,050 | 26,256 | ||||||||
Fannie Mae Pool 776708 |
| |||||||||||
5.00% | 05/01/34 | 108,752 | 120,993 | |||||||||
Fannie Mae Pool 817611 |
| |||||||||||
(LIBOR USD 6-Month plus 1.58%) |
| |||||||||||
3.58% | 11/01/35 | 1 | 6,377 | 6,444 | ||||||||
Fannie Mae Pool 844773 |
| |||||||||||
(LIBOR USD 12-Month plus 1.59%) |
| |||||||||||
3.59% | 12/01/35 | 1 | 8,722 | 8,798 | ||||||||
Fannie Mae Pool 889125 |
| |||||||||||
5.00% | 12/01/21 | 388 | 390 | |||||||||
Fannie Mae Pool 889184 |
| |||||||||||
5.50% | 09/01/36 | 90,613 | 102,608 | |||||||||
Fannie Mae Pool 890221 |
| |||||||||||
5.50% | 12/01/33 | 138,906 | 156,884 | |||||||||
Fannie Mae Pool 918445 |
| |||||||||||
(LIBOR USD 12-Month plus 1.57%) |
| |||||||||||
3.57% | 05/01/37 | 1 | 513 | 528 | ||||||||
Fannie Mae Pool 939419 |
| |||||||||||
(LIBOR USD 12-Month plus 1.27%) |
| |||||||||||
4.14% | 05/01/37 | 1 | 22,713 | 22,931 | ||||||||
Fannie Mae Pool AL0209 |
| |||||||||||
4.50% | 05/01/41 | 356,382 | 395,695 | |||||||||
Fannie Mae Pool AM7901 |
| |||||||||||
3.36% | 02/01/30 | 32,068 | 36,601 | |||||||||
Fannie Mae Pool AM8645 |
| |||||||||||
2.69% | 05/01/27 | 99,264 | 107,941 | |||||||||
Fannie Mae Pool AN2786 |
| |||||||||||
2.76% | 09/01/36 | 49,598 | 54,687 |
See accompanying Notes to Financial Statements. |
87 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool AN9612 |
| |||||||||||
3.72% | 07/01/33 | $ | 60,000 | $ | 69,287 | |||||||
Fannie Mae Pool BL0661 |
| |||||||||||
3.99% | 11/01/33 | 3,503,421 | 4,330,156 | |||||||||
Fannie Mae Pool CA1710 |
| |||||||||||
4.50% | 05/01/48 | 33,185 | 35,798 | |||||||||
Fannie Mae Pool CA1711 |
| |||||||||||
4.50% | 05/01/48 | 2,310,027 | 2,491,935 | |||||||||
Fannie Mae Pool CA2208 |
| |||||||||||
4.50% | 08/01/48 | 33,287 | 35,825 | |||||||||
Fannie Mae Pool FM2318 |
| |||||||||||
3.50% | 09/01/49 | 6,332,077 | 6,745,822 | |||||||||
Fannie Mae Pool FN0039 |
| |||||||||||
3.19% | 09/01/27 | 4 | 42,741 | 47,738 | ||||||||
Fannie Mae Pool MA1527 |
| |||||||||||
3.00% | 08/01/33 | 27,447 | 28,959 | |||||||||
Fannie Mae Pool MA1561 |
| |||||||||||
3.00% | 09/01/33 | 1,512,849 | 1,596,203 | |||||||||
Fannie Mae Pool MA1608 |
| |||||||||||
3.50% | 10/01/33 | 1,377,298 | 1,465,163 | |||||||||
Fannie Mae Pool MA3427 |
| |||||||||||
4.00% | 07/01/33 | 30,193 | 31,854 | |||||||||
Fannie Mae Pool MA3537 |
| |||||||||||
4.50% | 12/01/48 | 2,918,701 | 3,138,509 | |||||||||
Fannie Mae Pool MA3811 |
| |||||||||||
3.00% | 10/01/49 | 3,690,714 | 3,808,546 | |||||||||
Fannie Mae Pool MA3834 |
| |||||||||||
3.00% | 11/01/49 | 3,924,363 | 4,115,939 | |||||||||
Fannie Mae Pool MA3905 |
| |||||||||||
3.00% | 01/01/50 | 1,503,013 | 1,577,962 | |||||||||
Fannie Mae REMICS, Series 1993-80, |
| |||||||||||
Class S |
| |||||||||||
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap) |
| |||||||||||
9.72% | 05/25/23 | 1 | 1,688 | 1,885 | ||||||||
Fannie Mae REMICS, Series 2001-52, |
| |||||||||||
Class YZ |
| |||||||||||
6.50% | 10/25/31 | 132,294 | 156,477 | |||||||||
Fannie Mae REMICS, Series 2003-124, |
| |||||||||||
Class TS |
| |||||||||||
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap) |
| |||||||||||
9.80% | 01/25/34 | 1 | 4,876 | 5,947 | ||||||||
Fannie Mae REMICS, Series 2007-64, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.47%) |
| |||||||||||
1.42% | 07/25/37 | 1 | 62,503 | 62,334 | ||||||||
Fannie Mae REMICS, Series 2008-50, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) |
| |||||||||||
5.10% | 11/25/36 | 1 | 1,092,925 | 198,497 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2018-38, |
| |||||||||||
Class PA |
| |||||||||||
3.50% | 06/25/47 | $ | 17,791 | $ | 18,644 | |||||||
Fannie Mae REMICS, Series 2018-43, |
| |||||||||||
Class CT |
| |||||||||||
3.00% | 06/25/48 | 957,974 | 1,004,639 | |||||||||
Fannie Mae REMICS, Series 2018-55, |
| |||||||||||
Class PA |
| |||||||||||
3.50% | 01/25/47 | 177,586 | 186,182 | |||||||||
Fannie Mae REMICS, Series 2018-86, |
| |||||||||||
Class JA |
| |||||||||||
4.00% | 05/25/47 | 1,162,020 | 1,239,028 | |||||||||
Fannie Mae Trust, Series 2003-W6, |
| |||||||||||
Class 5T (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 8.15%, 8.15% Cap) |
| |||||||||||
0.55% | 09/25/42 | 1 | 10,020,741 | 147,522 | ||||||||
Freddie Mac Gold Pool A25162 |
| |||||||||||
5.50% | 05/01/34 | 114,125 | 129,282 | |||||||||
Freddie Mac Gold Pool A33262 |
| |||||||||||
5.50% | 02/01/35 | 36,392 | 41,618 | |||||||||
Freddie Mac Gold Pool A68781 |
| |||||||||||
5.50% | 10/01/37 | 7,403 | 8,424 | |||||||||
Freddie Mac Gold Pool C03813 |
| |||||||||||
3.50% | 04/01/42 | 974,345 | 1,044,148 | |||||||||
Freddie Mac Gold Pool C90504 |
| |||||||||||
6.50% | 12/01/21 | 142 | 147 | |||||||||
Freddie Mac Gold Pool G01548 |
| |||||||||||
7.50% | 07/01/32 | 244,412 | 305,593 | |||||||||
Freddie Mac Gold Pool G01644 |
| |||||||||||
5.50% | 02/01/34 | 69,748 | 78,925 | |||||||||
Freddie Mac Gold Pool G02366 |
| |||||||||||
6.50% | 10/01/36 | 52,650 | 61,766 | |||||||||
Freddie Mac Gold Pool G08844 |
| |||||||||||
5.00% | 10/01/48 | 697,961 | 755,373 | |||||||||
Freddie Mac Gold Pool G12393 |
| |||||||||||
5.50% | 10/01/21 | 10,757 | 10,907 | |||||||||
Freddie Mac Gold Pool G12909 |
| |||||||||||
6.00% | 11/01/22 | 40,748 | 42,484 | |||||||||
Freddie Mac Gold Pool G13032 |
| |||||||||||
6.00% | 09/01/22 | 14,407 | 14,755 | |||||||||
Freddie Mac Gold Pool G15897 |
| |||||||||||
2.50% | 09/01/31 | 36,472 | 38,047 | |||||||||
Freddie Mac Gold Pool G16085 |
| |||||||||||
2.50% | 02/01/32 | 2,171,222 | 2,267,272 | |||||||||
Freddie Mac Gold Pool G16524 |
| |||||||||||
3.50% | 05/01/33 | 101,130 | 107,280 | |||||||||
Freddie Mac Gold Pool G16756 |
| |||||||||||
3.50% | 01/01/34 | 2,272,326 | 2,413,388 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 88 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac Gold Pool G18581 |
| |||||||||||
2.50% | 01/01/31 | $ | 43,197 | $ | 44,931 | |||||||
Freddie Mac Gold Pool G18713 |
| |||||||||||
3.50% | 11/01/33 | 70,848 | 74,648 | |||||||||
Freddie Mac Gold Pool J06246 |
| |||||||||||
5.50% | 10/01/21 | 3,991 | 4,056 | |||||||||
Freddie Mac Pool SD7503 |
| |||||||||||
3.50% | 08/01/49 | 7,179,621 | 7,647,077 | |||||||||
Freddie Mac Pool SD8044 |
| |||||||||||
3.00% | 02/01/50 | 848,420 | 890,803 | |||||||||
Freddie Mac REMICS, Series 1602, |
| |||||||||||
Class SN |
| |||||||||||
(-4.25 X PRIME plus 46.22%, 10.09% Cap) |
| |||||||||||
10.09% | 10/15/23 | 1 | 9,492 | 10,276 | ||||||||
Freddie Mac REMICS, Series 2174, |
| |||||||||||
Class PN |
| |||||||||||
6.00% | 07/15/29 | 26,064 | 29,438 | |||||||||
Freddie Mac REMICS, Series 3460, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) |
| |||||||||||
5.50% | 06/15/38 | 1 | 1,052,793 | 217,511 | ||||||||
Freddie Mac REMICS, Series 4030, |
| |||||||||||
Class HS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) |
| |||||||||||
5.91% | 04/15/42 | 1 | 904,045 | 184,841 | ||||||||
Ginnie Mae I Pool 782810 |
| |||||||||||
4.50% | 11/15/39 | 764,704 | 855,068 | |||||||||
Ginnie Mae II Pool 80968 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.25% | 07/20/34 | 1 | 20,215 | 20,891 | ||||||||
Ginnie Mae II Pool MA4454 |
| |||||||||||
5.00% | 05/20/47 | 42,624 | 46,022 | |||||||||
Ginnie Mae II Pool MA4511 |
| |||||||||||
4.00% | 06/20/47 | 13,316 | 14,242 | |||||||||
Ginnie Mae II Pool MA4588 |
| |||||||||||
4.50% | 07/20/47 | 450,215 | 487,423 | |||||||||
Ginnie Mae II Pool MA4589 |
| |||||||||||
5.00% | 07/20/47 | 2,222,413 | 2,397,470 | |||||||||
Ginnie Mae II Pool MA4838 |
| |||||||||||
4.00% | 11/20/47 | 1,210,323 | 1,291,306 | |||||||||
Ginnie Mae II Pool MA4901 |
| |||||||||||
4.00% | 12/20/47 | 986,840 | 1,052,870 | |||||||||
Ginnie Mae II Pool MA5399 |
| |||||||||||
4.50% | 08/20/48 | 1,506,236 | 1,608,323 | |||||||||
Ginnie Mae II Pool MA5530 |
| |||||||||||
5.00% | 10/20/48 | 19,786 | 21,035 | |||||||||
Ginnie Mae II Pool MA6030 |
| |||||||||||
3.50% | 07/20/49 | 822,428 | 853,959 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Ginnie Mae II Pool MA6080 |
| |||||||||||
3.00% | 08/20/49 | $ | 297,214 | $ | 309,477 | |||||||
Ginnie Mae II Pool MA6209 |
| |||||||||||
3.00% | 10/20/49 | 3,798,569 | 3,962,812 | |||||||||
Ginnie Mae Pool (TBA) |
| |||||||||||
3.00% | 05/20/50 | 7,450,000 | 7,866,734 | |||||||||
Ginnie Mae, Series 2004-8, Class SE |
| |||||||||||
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) |
| |||||||||||
12.45% | 11/26/23 | 1 | 15,602 | 18,035 | ||||||||
UMBS (TBA) |
| |||||||||||
2.50% | 05/01/35 | 81,600,000 | 84,610,616 | |||||||||
2.50% | 05/01/50 | 14,275,000 | 14,761,241 | |||||||||
3.00% | 05/01/35 | 165,000 | 172,420 | |||||||||
3.00% | 05/01/50 | 3,075,000 | 3,222,144 | |||||||||
3.50% | 05/01/50 | 9,975,000 | 10,538,042 | |||||||||
5.00% | 05/01/50 | 1,700,000 | 1,832,463 | |||||||||
|
| |||||||||||
186,040,028 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $250,992,277) |
| 253,379,317 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.34%* |
| |||||||||||
California — 0.55% |
| |||||||||||
Los Angeles Department of Water & Power |
| |||||||||||
Power System Revenue, Taxable Bonds, |
| |||||||||||
Electric Light & Power Improvements, |
| |||||||||||
Series C |
| |||||||||||
5.52% | 07/01/27 | 50,000 | 61,777 | |||||||||
Los Angeles Unified School District, Build |
| |||||||||||
America Taxable Bonds, School |
| |||||||||||
Improvements, Series KR |
| |||||||||||
5.75% | 07/01/34 | 875,000 | 1,125,731 | |||||||||
State of California, Build America Bonds, |
| |||||||||||
School Improvements, General Obligation |
| |||||||||||
7.95% | 03/01/36 | 2,800,000 | 2,811,144 | |||||||||
|
| |||||||||||
3,998,652 | ||||||||||||
|
| |||||||||||
New York — 0.77% |
| |||||||||||
Metropolitan Transportation Authority, Build |
| |||||||||||
America Bonds, Transit Improvements |
| |||||||||||
6.55% | 11/15/31 | 25,000 | 30,212 | |||||||||
New York City Transitional Finance Authority |
| |||||||||||
Future Tax Secured Revenue Bonds, Public |
| |||||||||||
Improvements, Series B-1 |
| |||||||||||
4.00% | 08/01/38 | 800,000 | 889,072 | |||||||||
New York City Transitional Finance Authority |
| |||||||||||
Revenue, Future Tax Secured Revenue, |
| |||||||||||
Qualified School Construction Bonds, School |
| |||||||||||
Improvements, Series G-3 |
| |||||||||||
5.27% | 05/01/27 | 1,465,000 | 1,772,533 |
See accompanying Notes to Financial Statements. |
89 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
New York (continued) |
| |||||||||||
New York State Dormitory Authority, Build |
| |||||||||||
America Bonds, University & College |
| |||||||||||
Improvements, Series D |
| |||||||||||
5.50% | 03/15/30 | $ | 70,000 | $ | 83,561 | |||||||
New York State Dormitory Authority, |
| |||||||||||
Revenue Bonds, School Improvements, |
| |||||||||||
Series A |
| |||||||||||
5.00% | 03/15/47 | 640,000 | 781,414 | |||||||||
New York State Dormitory Authority, Taxable |
| |||||||||||
Bonds, Transit Improvements, Series F |
| |||||||||||
3.03% | 02/15/33 | 1,245,000 | 1,298,647 | |||||||||
New York State Environmental Facilities |
| |||||||||||
Corp., Revenue Bonds, Water Utility |
| |||||||||||
Improvements, Series B |
| |||||||||||
4.00% | 06/15/37 | 675,000 | 781,772 | |||||||||
|
| |||||||||||
5,637,211 | ||||||||||||
|
| |||||||||||
Pennsylvania — 0.01% |
| |||||||||||
Pennsylvania Economic Development |
| |||||||||||
Financing Authority, Taxable Bonds, |
| |||||||||||
University of Pittsburgh Medical Center, |
| |||||||||||
Series B |
| |||||||||||
3.20% | 11/15/27 | 40,000 | 43,402 | |||||||||
|
| |||||||||||
Washington — 0.01% |
| |||||||||||
State of Washington, Build America Bonds, |
| |||||||||||
Highway Improvements |
| |||||||||||
5.04% | 08/01/31 | 40,000 | 49,491 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $9,510,425) |
| 9,728,756 | ||||||||||
|
| |||||||||||
U.S. AGENCY SECURITIES — 0.03% |
| |||||||||||
U.S. Agency Securities — 0.03% |
| |||||||||||
Resolution Funding Corp. |
| |||||||||||
(Strip Principal) (PO) |
| |||||||||||
0.00% | 01/15/21 | 5 | 230,000 | 228,846 | ||||||||
|
| |||||||||||
Total U.S. Agency Securities |
| |||||||||||
(Cost $225,751) |
| |||||||||||
U.S. TREASURY SECURITIES — 22.44% |
| |||||||||||
U.S. Treasury Bonds — 0.23% |
| |||||||||||
U.S. Treasury Bonds (WI) |
| |||||||||||
2.00% | 02/15/50 | 1,455,000 | 1,686,209 | |||||||||
|
| |||||||||||
U.S. Treasury Notes — 22.21% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.50% | 03/31/25 | 59,825,000 | 60,191,892 | |||||||||
1.13% | 02/28/22 | 37,191,000 | 37,837,484 | |||||||||
1.38% | 01/31/22 | 16,255,000 | 16,597,879 | |||||||||
1.38% | 01/31/25 | 29,278,500 | 30,671,516 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES (continued) |
| |||||||||||
U.S. Treasury Notes (continued) |
| |||||||||||
U.S. Treasury Notes - Treasury Inflation |
| |||||||||||
Indexed Notes |
| |||||||||||
0.13% | 07/15/24 | 6 | $1,151,626 | $ | 1,154,206 | |||||||
0.13% | 10/15/24 | 6 | 6,374,743 | 6,448,451 | ||||||||
0.25% | 07/15/29 | 6 | 8,165,905 | 8,484,213 | ||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $160,043,534) |
| 163,071,850 | ||||||||||
|
| |||||||||||
Total Bonds – 101.33% |
| |||||||||||
(Cost $736,148,015) |
| 736,547,289 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.00% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings LLC7,8,9 |
| 8,014 | 441 | |||||||||
|
| |||||||||||
Total Common Stock |
| |||||||||||
(Cost $457,400) |
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 16.51% |
| |||||||||||
Commercial Paper — 0.27% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.20%10 | 10/08/20 | 2,000,000 | 1,969,758 | |||||||||
|
| |||||||||||
Foreign Government Obligations — 2.66% |
| |||||||||||
Japan Treasury Discount Bill, Series 892 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%3,10 | 06/08/20 | 2,085,000,000 | 19,321,383 | |||||||||
|
| |||||||||||
Money Market Funds — 8.33% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%11 |
| 36,471,000 | 36,471,000 | |||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%11,12 |
| 19,790 | 19,790 | |||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%11 |
| 23,948,000 | 23,948,000 | |||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%11 |
| 147,000 | 147,000 | |||||||||
|
| |||||||||||
60,585,790 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 90 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
U.S. Treasury Bills — 5.25% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.27%10,13 | 09/10/20 | $ 1,159,000 | $ | 1,158,458 | ||||||||
1.53%10 | 04/16/20 | 10,000,000 | 9,999,573 | |||||||||
1.53%10 | 07/16/20 | 5,000,000 | 4,998,988 | |||||||||
1.53%10 | 07/23/20 | 5,000,000 | 4,998,882 | |||||||||
1.55%10 | 04/21/20 | 10,000,000 | 9,999,625 | |||||||||
1.55%10 | 08/06/20 | 7,000,000 | 6,998,142 | |||||||||
|
| |||||||||||
38,153,668 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $120,416,434) |
| 120,030,599 | ||||||||||
|
| |||||||||||
Total Investments – 117.84% |
| |||||||||||
(Cost $857,021,849) |
| 856,578,329 | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other |
| |||||||||||
Assets – (17.84)% |
| (129,703,649 | ) | |||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 726,874,680 | |||||||||
|
| |||||||||||
1 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
4 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
5 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2020. |
6 | Inflation protected security. Principal amount reflects original security face amount. |
7 | Non-income producing security. |
8 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
9 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $441, which is 0.00% of total net assets. |
10 | Represents annualized yield at date of purchase. |
11 | Represents the current yield as of March 31, 2020. |
12 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $18. |
13 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,158,235. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(CLO): Collateralized Loan Obligation
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(PO): Principal only
(SOFR): Secured Overnight Financing Rate
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT | ||||||||||||||||
USD 19,891,394 | JPY 2,085,000,000 | Citigroup Global Markets, Inc. | 06/08/20 | $520,871 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS | |||||||||||||||||||
U.S. Treasury Two Year Note | 525 | 06/30/20 | $ | 115,700,976 | $ | 2,083,855 | $ | 2,083,855 | |||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | |||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 147 | 06/19/20 | (22,936,594 | ) | (379,479 | ) | (379,479 | ) | |||||||||||
|
|
|
|
|
| ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 92,764,382 | $ | 1,704,376 | $ | 1,704,376 | |||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
91 / Annual Report March 2020 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||||||||||||
Descriptions | Put/Call | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount (000’s) | Value | Premiums (Received) | Unrealized | ||||||||||||||||||||||||||||||||||||
SWAPS: INTEREST RATE | ||||||||||||||||||||||||||||||||||||||||||||||
Interest Rate | 3-month | |||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/23 | 1.57% | Semi-annually | USD LIBOR | Quarterly | $ | 22,465 | $ | 548,827 | $ | — | $ | 548,827 | ||||||||||||||||||||||||||||||||
Interest Rate | 3-month | |||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/23 | 1.58% | Semi-annually | USD LIBOR | Quarterly | 37,475 | 920,547 | 7,078 | 913,469 | ||||||||||||||||||||||||||||||||||||
Interest Rate | 3 month | |||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/26 | USD LIBOR | Quarterly | 1.67% | Semi-annually | 9,140 | (510,505 | ) | — | (510,505 | ) | ||||||||||||||||||||||||||||||||||
Interest Rate | 3 month | |||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/26 | USD LIBOR | Quarterly | 1.68% | Semi-annually | 15,245 | (857,481 | ) | (4,903) | (852,578 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||
TOTAL SWAPS CONTRACTS | $ | 84,325 | $ | 101,388 | $ | 2,175 | $ | 99,213 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
1 | Centrally cleared. |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 92 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 88.18% |
| |||||||||||
ASSET-BACKED SECURITIES — 8.94%** |
| |||||||||||
CarMax Auto Owner Trust, Series 2016-2, |
| |||||||||||
Class B |
| |||||||||||
2.16% | 12/15/21 | $30,000 | $ | 29,579 | ||||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series 2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
2.28% | 08/27/46 | 1,2 | 70,854 | 63,457 | ||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series 2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 2 | 39,217 | 37,563 | ||||||||
Navient Student Loan Trust, Series 2014-2, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||||
1.59% | 03/25/83 | 1 | 77,555 | 73,709 | ||||||||
SLC Student Loan Trust, Series 2006-1, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||||
0.90% | 03/15/55 | 1 | 60,000 | 51,240 | ||||||||
SLM Student Loan Trust, Series 2007-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
1.96% | 07/25/25 | 1 | 70,000 | 57,077 | ||||||||
SLM Student Loan Trust, Series 2008-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 01/25/83 | 1 | 20,000 | 15,693 | ||||||||
SLM Student Loan Trust, Series 2008-3, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 04/26/83 | 1 | 20,000 | 18,095 | ||||||||
SLM Student Loan Trust, Series 2008-5, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/25/73 | 1 | 35,000 | 31,052 | ||||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||||
2.89% | 07/25/23 | 1 | 36,100 | 35,216 | ||||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 1 | 20,000 | 18,189 | ||||||||
SLM Student Loan Trust, Series 2008-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 1 | 20,000 | 18,303 | ||||||||
SLM Student Loan Trust, Series 2008-8, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
3.29% | 04/25/23 | 1 | 23,895 | 23,835 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2008-8, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
4.04% | 10/25/75 | 1 | $30,000 | $ | 27,152 | |||||||
SLM Student Loan Trust, Series 2008-9, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
3.29% | 04/25/23 | 1 | 18,289 | 18,131 | ||||||||
SLM Student Loan Trust, Series 2008-9, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
4.04% | 10/25/83 | 1 | 15,000 | 14,818 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-B, Class A |
| |||||||||||
3.73% | 08/15/36 | 2 | 74,634 | 74,486 | ||||||||
Wachovia Student Loan Trust, |
| |||||||||||
Series 2006-1, Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
1.96% | 04/25/40 | 1,2 | 44,881 | 41,837 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $676,021) |
| 649,432 | ||||||||||
|
| |||||||||||
CORPORATES — 54.01%* |
| |||||||||||
Banking — 6.27% |
| |||||||||||
Bank of America Corp. | ||||||||||||
3.00% | 12/20/23 | 3 | 15,000 | 15,325 | ||||||||
Bank of America Corp. (MTN) |
| |||||||||||
2.50% | 02/13/31 | 3 | 5,000 | 4,845 | ||||||||
3.97% | 03/05/29 | 3 | 60,000 | 63,902 | ||||||||
3.97% | 02/07/30 | 3 | 30,000 | 32,399 | ||||||||
Bank of New York Mellon Corp. (The) (MTN) |
| |||||||||||
3.25% | 09/11/24 | 5,000 | 5,229 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.21% | 04/01/23 | 3 | 50,000 | 50,905 | ||||||||
3.56% | 04/23/24 | 3 | 70,000 | 73,360 | ||||||||
4.01% | 04/23/29 | 3 | 20,000 | 21,734 | ||||||||
4.20% | 07/23/29 | 3 | 15,000 | 16,491 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 3,4 | 40,000 | 39,599 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.37% | 01/05/24 | 3,4 | 30,000 | 29,189 | ||||||||
3.57% | 01/10/23 | 4 | 10,000 | 9,959 | ||||||||
State Street Corp. |
| |||||||||||
3.78% | 12/03/24 | 3 | 15,000 | 15,725 | ||||||||
Wells Fargo & Co. (MTN) |
| |||||||||||
2.16% | 02/11/26 | 3 | 40,000 | 38,969 | ||||||||
2.88% | 10/30/30 | 3 | 5,000 | 4,962 |
See accompanying Notes to Financial Statements.
93 / Annual Report March 2020 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
3.58% | 05/22/28 | 3 | $20,000 | $ | 20,377 | |||||||
5.01% | 04/04/51 | 3 | 10,000 | 12,878 | ||||||||
|
| |||||||||||
455,848 | ||||||||||||
|
| |||||||||||
Communications — 5.16% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
3.88% | 01/15/26 | 10,000 | 10,328 | |||||||||
4.30% | 02/15/30 | 70,000 | 75,208 | |||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital |
| |||||||||||
3.75% | 02/15/28 | 42,000 | 42,291 | |||||||||
Comcast Corp. |
| |||||||||||
3.40% | 04/01/30 | 20,000 | 21,705 | |||||||||
Fox Corp. |
| |||||||||||
3.50% | 04/08/30 | 30,000 | 29,940 | |||||||||
Koninklijke KPN NV (Netherlands) |
| |||||||||||
8.38% | 10/01/30 | 4 | 5,000 | 6,873 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.40% | 03/01/27 | 2 | 15,000 | 14,361 | ||||||||
SES SA (Luxembourg) |
| |||||||||||
3.60% | 04/04/23 | 2,4 | 15,000 | 14,721 | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC | ||||||||||||
5.15% | 03/20/28 | 2 | 30,000 | 32,206 | ||||||||
Verizon Communications, Inc. |
| |||||||||||
4.33% | 09/21/28 | 40,000 | 45,458 | |||||||||
ViacomCBS, Inc. |
| |||||||||||
4.95% | 01/15/31 | 20,000 | 19,725 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.38% | 05/30/28 | 4 | 40,000 | 42,332 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
6.20% | 12/15/34 | 4,000 | 5,565 | |||||||||
7.75% | 01/20/24 | 12,000 | 14,367 | |||||||||
|
| |||||||||||
375,080 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 2.40% |
| |||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.00% | 04/13/28 | 52,000 | 53,825 | |||||||||
4.75% | 01/23/29 | 15,000 | 16,593 | |||||||||
Bacardi Ltd. (Bermuda) |
| |||||||||||
4.70% | 05/15/28 | 2,4 | 30,000 | 32,115 | ||||||||
BAT Capital Corp. |
| |||||||||||
2.76% | 08/15/22 | 30,000 | 29,521 | |||||||||
Constellation Brands, Inc. |
| |||||||||||
4.25% | 05/01/23 | 15,000 | 15,518 | |||||||||
Reynolds American, Inc. |
| |||||||||||
5.70% | 08/15/35 | 25,000 | 27,001 | |||||||||
|
| |||||||||||
174,573 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Consumer Products — 0.31% |
| |||||||||||
Procter & Gamble Co. (The) |
| |||||||||||
3.00% | 03/25/30 | $20,000 | $ | 22,313 | ||||||||
|
| |||||||||||
Electric — 3.45% |
| |||||||||||
Ameren Corp. |
| |||||||||||
3.50% | 01/15/31 | 35,000 | 34,917 | |||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 5,000 | 5,511 | |||||||||
Berkshire Hathaway Energy Co. |
| |||||||||||
3.70% | 07/15/30 | 2 | 25,000 | 26,776 | ||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Series 20A | ||||||||||||
3.35% | 04/01/30 | 30,000 | 30,936 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 2 | 23,000 | 24,516 | ||||||||
6.40% | 09/15/20 | 2 | 7,000 | 7,157 | ||||||||
ITC Holdings Corp. |
| |||||||||||
4.05% | 07/01/23 | 10,000 | 10,258 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
4.00% | 04/15/25 | 2 | 25,000 | 27,026 | ||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 10,000 | 10,273 | |||||||||
Southwestern Electric Power Co., Series M |
| |||||||||||
4.10% | 09/15/28 | 20,000 | 21,513 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
5.15% | 11/15/21 | 30,000 | 31,352 | |||||||||
Xcel Energy, Inc. |
| |||||||||||
3.40% | 06/01/30 | 20,000 | 20,297 | |||||||||
|
| |||||||||||
250,532 | ||||||||||||
|
| |||||||||||
Energy — 3.84% |
| |||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.05% | 03/15/25 | 10,000 | 8,839 | |||||||||
4.95% | 06/15/28 | 5,000 | 4,145 | |||||||||
EQM Midstream Partners LP |
| |||||||||||
5.50% | 07/15/28 | 8,000 | 4,467 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 15,000 | 10,458 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.48% | 03/19/30 | 30,000 | 33,174 | |||||||||
Hess Corp. |
| |||||||||||
4.30% | 04/01/27 | 12,000 | 8,820 | |||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.63% | 11/15/23 | 2 | 25,000 | 26,234 | ||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
5.35% | 02/12/28 | 4 | 15,000 | 10,500 | ||||||||
5.95% | 01/28/31 | 2,4 | 30,000 | 20,850 | ||||||||
Plains All American Pipeline LP/PAA |
| |||||||||||
Finance Corp. | ||||||||||||
4.65% | 10/15/25 | 15,000 | 12,187 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 94 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.95% | 07/15/29 | 2 | $10,000 | $ | 6,004 | |||||||
Ruby Pipeline LLC |
| |||||||||||
6.50% | 04/01/22 | 2 | 18,371 | 16,396 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
4.20% | 03/15/28 | 12,000 | 10,143 | |||||||||
Shell International Finance BV (Netherlands) |
| |||||||||||
2.38% | 11/07/29 | 4 | 15,000 | 14,837 | ||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
3.90% | 07/15/26 | 10,000 | 7,957 | |||||||||
4.00% | 10/01/27 | 10,000 | 7,903 | |||||||||
TC PipeLines LP |
| |||||||||||
3.90% | 05/25/27 | 30,000 | 29,032 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% | 10/15/22 | 2 | 10,000 | 10,035 | ||||||||
Western Midstream Operating LP |
| |||||||||||
4.05% | 02/01/30 | 25,000 | 10,938 | |||||||||
5.25% | 02/01/50 | 10,000 | 4,174 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
4.55% | 06/24/24 | 25,000 | 22,192 | |||||||||
|
| |||||||||||
279,285 | ||||||||||||
|
| |||||||||||
Finance — 7.88% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) |
| |||||||||||
3.88% | 01/23/28 | 4 | 11,000 | 8,641 | ||||||||
3.95% | 02/01/22 | 4 | 35,000 | 31,722 | ||||||||
Air Lease Corp. |
| |||||||||||
3.00% | 09/15/23 | 30,000 | 25,591 | |||||||||
3.63% | 12/01/27 | 11,000 | 8,793 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 2,4 | 5,000 | 3,987 | ||||||||
Citigroup, Inc. |
| |||||||||||
3.20% | 10/21/26 | 20,000 | 20,757 | |||||||||
3.67% | 07/24/28 | 3 | 20,000 | 20,821 | ||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% | 10/30/21 | 2 | 20,000 | 19,196 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.81% | 10/12/21 | 5,000 | 4,822 | |||||||||
4.25% | 09/20/22 | 25,000 | 23,375 | |||||||||
5.60% | 01/07/22 | 5,000 | 4,863 | |||||||||
5.88% | 08/02/21 | 5,000 | 4,925 | |||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
2.84% | 08/03/22 | 1 | 35,000 | 28,919 | ||||||||
GE Capital International Funding Co. (Ireland) |
| |||||||||||
4.42% | 11/15/35 | 4 | 16,000 | 17,215 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 10,000 | 8,936 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
3.20% | 07/06/21 | $20,000 | $ | 19,053 | ||||||||
4.20% | 11/06/21 | 15,000 | 14,097 | |||||||||
4.38% | 09/25/21 | 5,000 | 4,607 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.60% | 02/07/30 | 20,000 | 18,901 | |||||||||
2.88% | 10/31/22 | 3 | 75,000 | 75,486 | ||||||||
Morgan Stanley (GMTN) |
| |||||||||||
3.70% | 10/23/24 | 70,000 | 74,081 | |||||||||
3.77% | 01/24/29 | 3 | 20,000 | 21,153 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 2,3,4 | 10,000 | 9,953 | ||||||||
3.77% | 03/08/24 | 2,3,4 | 25,000 | 24,247 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 2,4 | 10,000 | 8,692 | ||||||||
5.50% | 02/15/24 | 2,4 | 15,000 | 12,940 | ||||||||
Pipeline Funding Co. LLC |
| |||||||||||
7.50% | 01/15/30 | 2 | 18,426 | 26,833 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
3.63% | 09/15/26 | 30,000 | 30,380 | |||||||||
|
| |||||||||||
572,986 | ||||||||||||
|
| |||||||||||
Food — 1.24% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.60% | 11/01/25 | 16,000 | 16,904 | |||||||||
General Mills, Inc. |
| |||||||||||
3.70% | 10/17/23 | 15,000 | 15,296 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
5.00% | 07/15/35 | 48,000 | 48,039 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
5.20% | 04/01/29 | 2 | 10,000 | 10,083 | ||||||||
|
| |||||||||||
90,322 | ||||||||||||
|
| |||||||||||
Health Care — 8.95% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.20% | 11/21/29 | 2 | 40,000 | 40,408 | ||||||||
3.60% | 05/14/25 | 25,000 | 26,282 | |||||||||
Alcon Finance Corp. |
| |||||||||||
2.75% | 09/23/26 | 2 | 20,000 | 20,262 | ||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.80% | 03/15/25 | 4 | 5,000 | 5,125 | ||||||||
Allergan Sales LLC |
| |||||||||||
5.00% | 12/15/21 | 2 | 25,000 | 25,920 | ||||||||
Anthem, Inc. |
| |||||||||||
3.65% | 12/01/27 | 40,000 | 41,364 | |||||||||
Barnabas Health, Inc., Series 2012 |
| |||||||||||
4.00% | 07/01/28 | 15,000 | 15,339 | |||||||||
Baxalta, Inc. |
| |||||||||||
3.60% | 06/23/22 | 25,000 | 25,327 |
See accompanying Notes to Financial Statements.
95 / Annual Report March 2020 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Baxter International, Inc. |
| |||||||||||
3.95% | 04/01/30 | 2 | $15,000 | $ | 16,116 | |||||||
Bayer U.S. Finance II LLC |
| |||||||||||
3.88% | 12/15/23 | 2 | 10,000 | 10,252 | ||||||||
4.38% | 12/15/28 | 2 | 45,000 | 48,157 | ||||||||
4.40% | 07/15/44 | 2 | 5,000 | 4,820 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
3.36% | 06/06/24 | 15,000 | 14,934 | |||||||||
Bristol-Myers Squibb Co. |
| |||||||||||
3.90% | 02/20/28 | 2 | 40,000 | 44,465 | ||||||||
Cigna Corp. |
| |||||||||||
2.40% | 03/15/30 | 25,000 | 23,834 | |||||||||
4.38% | 10/15/28 | 30,000 | 32,274 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.65% | 08/28/28 | 15,000 | 15,846 | |||||||||
Fresenius U.S. Finance II, Inc. |
| |||||||||||
4.25% | 02/01/21 | 2 | 15,000 | 15,075 | ||||||||
HCA, Inc. |
| |||||||||||
4.13% | 06/15/29 | 15,000 | 15,070 | |||||||||
5.00% | 03/15/24 | 15,000 | 15,565 | |||||||||
Humana, Inc. |
| |||||||||||
2.90% | 12/15/22 | 15,000 | 15,066 | |||||||||
3.13% | 08/15/29 | 15,000 | 14,277 | |||||||||
NYU Langone Hospitals, Series 2020 |
| |||||||||||
3.38% | 07/01/55 | 20,000 | 18,680 | |||||||||
Pfizer, Inc. |
| |||||||||||
2.63% | 04/01/30 | 15,000 | 15,792 | |||||||||
Providence St. Joseph Health Obligated Group, Series H |
| |||||||||||
2.75% | 10/01/26 | 20,000 | 21,398 | |||||||||
Quest Diagnostics, Inc. |
| |||||||||||
4.20% | 06/30/29 | 10,000 | 10,805 | |||||||||
Thermo Fisher Scientific, Inc. |
| |||||||||||
4.50% | 03/25/30 | 15,000 | 16,884 | |||||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.70% | 12/15/25 | 20,000 | 21,670 | |||||||||
3.88% | 12/15/28 | 40,000 | 44,226 | |||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | 15,000 | 14,975 | |||||||||
|
| |||||||||||
650,208 | ||||||||||||
|
| |||||||||||
Industrials — 2.32% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 2 | 5,000 | 5,182 | ||||||||
4.50% | 05/15/28 | 2 | 15,000 | 17,712 | ||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
3.80% | 10/07/24 | 2 | 25,000 | 25,569 | ||||||||
General Electric Co. (MTN) |
| |||||||||||
5.55% | 01/05/26 | 10,000 | 10,596 | |||||||||
5.88% | 01/14/38 | 30,000 | 35,615 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Ingersoll-Rand Co. |
| |||||||||||
9.00% | 08/15/21 | $10,000 | $ | 11,182 | ||||||||
L3Harris Technologies, Inc. |
| |||||||||||
3.85% | 06/15/23 | 2 | 15,000 | 15,678 | ||||||||
Northrop Grumman Corp. |
| |||||||||||
2.93% | 01/15/25 | 15,000 | 14,641 | |||||||||
Sydney Airport Finance Co. Pty Ltd. (Australia) |
| |||||||||||
3.63% | 04/28/26 | 2,4 | 15,000 | 16,402 | ||||||||
WRKCo, Inc. |
| |||||||||||
4.65% | 03/15/26 | 15,000 | 15,881 | |||||||||
|
| |||||||||||
168,458 | ||||||||||||
|
| |||||||||||
Information Technology — 1.71% |
| |||||||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||||
Finance Ltd. |
| |||||||||||
3.00% | 01/15/22 | 15,000 | 14,845 | |||||||||
3.63% | 01/15/24 | 20,000 | 20,035 | |||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 2 | 15,000 | 15,002 | ||||||||
Intel Corp. |
| |||||||||||
3.90% | 03/25/30 | 20,000 | 22,910 | |||||||||
NVIDIA Corp. |
| |||||||||||
2.85% | 04/01/30 | 20,000 | 20,899 | |||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.13% | 06/01/21 | 2,4 | 30,000 | 30,295 | ||||||||
|
| |||||||||||
123,986 | ||||||||||||
|
| |||||||||||
Insurance — 1.42% |
| |||||||||||
Aon Corp. |
| |||||||||||
3.75% | 05/02/29 | 10,000 | 10,562 | |||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
1.85% | 03/12/30 | 10,000 | 9,747 | |||||||||
Farmers Insurance Exchange |
| |||||||||||
4.75% | 11/01/57 | 2,3 | 25,000 | 26,538 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
3.03% | 12/15/24 | 2,3 | 20,000 | 20,148 | ||||||||
Teachers Insurance & Annuity |
| |||||||||||
Association of America |
| |||||||||||
4.38% | 09/15/54 | 2,3 | 25,000 | 26,969 | ||||||||
Willis North America, Inc. |
| |||||||||||
2.95% | 09/15/29 | 10,000 | 9,553 | |||||||||
|
| |||||||||||
103,517 | ||||||||||||
|
| |||||||||||
Materials — 0.86% |
| |||||||||||
FMC Corp. |
| |||||||||||
3.45% | 10/01/29 | 20,000 | 19,003 | |||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
4.45% | 09/26/28 | 25,000 | 29,338 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 96 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Materials (continued) |
| |||||||||||
Sherwin-Williams Co. (The) |
| |||||||||||
2.30% | 05/15/30 | $15,000 | $ | 14,089 | ||||||||
|
| |||||||||||
62,430 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 3.95% |
| |||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
3.80% | 04/15/26 | 5,000 | 5,040 | |||||||||
4.50% | 07/30/29 | 8,000 | 8,399 | |||||||||
American Campus Communities |
| |||||||||||
Operating Partnership LP |
| |||||||||||
3.63% | 11/15/27 | 5,000 | 4,985 | |||||||||
American Tower Corp. |
| |||||||||||
3.55% | 07/15/27 | 15,000 | 14,970 | |||||||||
Boston Properties LP |
| |||||||||||
2.75% | 10/01/26 | 10,000 | 9,539 | |||||||||
3.40% | 06/21/29 | 10,000 | 9,637 | |||||||||
CC Holdings GS V LLC/Crown Castle |
| |||||||||||
GS III Corp. |
| |||||||||||
3.85% | 04/15/23 | 15,000 | 14,975 | |||||||||
Crown Castle International Corp. |
| |||||||||||
3.30% | 07/01/30 | 20,000 | 19,836 | |||||||||
CubeSmart LP |
| |||||||||||
4.38% | 02/15/29 | 15,000 | 15,612 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 15,000 | 14,410 | |||||||||
3.45% | 11/15/29 | 30,000 | 26,820 | |||||||||
Digital Realty Trust LP |
| |||||||||||
3.63% | 10/01/22 | 15,000 | 15,325 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | 15,000 | 13,387 | |||||||||
5.30% | 01/15/29 | 15,000 | 12,858 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 15,000 | 15,000 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
3.88% | 08/15/24 | 20,000 | 20,955 | |||||||||
4.25% | 11/15/23 | 10,000 | 9,468 | |||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.95% | 11/01/27 | 10,000 | 9,541 | |||||||||
Kilroy Realty LP |
| |||||||||||
3.05% | 02/15/30 | 5,000 | 4,589 | |||||||||
4.38% | 10/01/25 | 15,000 | 16,153 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 15,000 | 15,684 | |||||||||
Ventas Realty LP |
| |||||||||||
4.13% | 01/15/26 | 10,000 | 10,015 | |||||||||
|
| |||||||||||
287,198 | ||||||||||||
|
| |||||||||||
Retail — 0.72% |
| |||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
2.95% | 01/25/30 | 2,4 | 15,000 | 13,933 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Retail (continued) |
| |||||||||||
3.80% | 01/25/50 | 2,4 | $20,000 | $ | 17,685 | |||||||
Home Depot, Inc. (The) |
| |||||||||||
3.90% | 12/06/28 | 10,000 | 11,124 | |||||||||
Starbucks Corp. |
| |||||||||||
2.00% | 03/12/27 | 10,000 | 9,452 | |||||||||
|
| |||||||||||
52,194 | ||||||||||||
|
| |||||||||||
Services — 1.26% |
| |||||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
4.75% | 08/01/28 | 4 | 5,000 | 5,268 | ||||||||
5.00% | 11/01/22 | 2,4 | 25,000 | 26,360 | ||||||||
RELX Capital, Inc. |
| |||||||||||
4.00% | 03/18/29 | 20,000 | 20,687 | |||||||||
Republic Services, Inc. |
| |||||||||||
2.90% | 07/01/26 | 15,000 | 15,222 | |||||||||
Waste Connections, Inc. (Canada) |
| |||||||||||
2.60% | 02/01/30 | 4 | 25,000 | 23,844 | ||||||||
|
| |||||||||||
91,381 | ||||||||||||
|
| |||||||||||
Transportation — 2.27% |
| |||||||||||
Burlington Northern Santa Fe LLC |
| |||||||||||
4.40% | 03/15/42 | 4,000 | 4,561 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 25,888 | 26,565 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class AA |
| |||||||||||
2.00% | 06/10/28 | 50,000 | 45,519 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series 2019-1, Class AA |
| |||||||||||
2.75% | 05/15/32 | 33,000 | 28,917 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2010-1, Class A |
| |||||||||||
6.25% | 04/22/23 | 4,512 | 4,487 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2011-1, Class A |
| |||||||||||
7.13% | 10/22/23 | 22,168 | 22,244 | |||||||||
Union Pacific Corp. |
| |||||||||||
3.95% | 09/10/28 | 30,000 | 32,283 | |||||||||
|
| |||||||||||
164,576 | ||||||||||||
|
| |||||||||||
Total Corporates | ||||||||||||
(Cost $3,947,610) | 3,924,887 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 24.09%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 4.14% |
| |||||||||||
DBUBS Mortgage Trust, Series 2011-LC2A, Class XA (IO) |
| |||||||||||
1.02% | 07/10/44 | 2,3 | 788,044 | 5,614 |
See accompanying Notes to Financial Statements.
97 / Annual Report March 2020 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2010-C1, Class X (IO) |
| |||||||||||
1.22% | 08/10/43 | 2,3 | $ | 11,843,741 | $115,812 | |||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC5, Class XA (IO) |
| |||||||||||
1.33% | 08/10/44 | 2,3 | 1,605,168 | 17,638 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2014-GC20, Class XA (IO) |
| |||||||||||
1.06% | 04/10/47 | 3 | 1,738,975 | 49,864 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2010-C2, |
| |||||||||||
Class XB (IO) |
| |||||||||||
0.72% | 11/15/43 | 2,3 | 1,397,175 | 2,956 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2012-LC9, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.50% | 12/15/47 | 3 | 902,219 | 28,507 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2019-OSB, |
| |||||||||||
Class A |
| |||||||||||
3.40% | 06/05/39 | 2 | 5,000 | 5,073 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C3, Class XB (IO) |
| |||||||||||
0.20% | 08/10/49 | 2,3,5,6 | 3,700,000 | 20,170 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C3, Class XA (IO) |
| |||||||||||
1.31% | 03/15/44 | 2,3 | 2,623,341 | 27,729 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C7, Class XA (IO) |
| |||||||||||
1.34% | 06/15/45 | 2,3 | 1,318,239 | 27,679 | ||||||||
|
| |||||||||||
301,042 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 4.30% |
| |||||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2014-R7, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 09/26/36 | 1,2 | 36,176 | 33,942 | ||||||||
Bear Stearns ARM Trust, Series 2004-1, |
| |||||||||||
Class 12A5 |
| |||||||||||
3.95% | 04/25/34 | 3 | 12,230 | 10,688 | ||||||||
Bombardier Capital Mortgage Securitization |
| |||||||||||
Corp., Series 2000-A, Class A2 |
| |||||||||||
7.58% | 06/15/30 | 3 | 19,426 | 6,021 | ||||||||
CIT Mortgage Loan Trust, Series 2007-1, |
| |||||||||||
Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||||
2.30% | 10/25/37 | 1,2 | 11,407 | 11,091 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2005-OPT1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||||
1.58% | 02/25/35 | 1 | 18,328 | 16,574 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Conseco Finance Corp., Series 1998-4, |
| |||||||||||
Class A5 |
| |||||||||||
6.18% | 04/01/30 | $ | 25,479 | $ | 25,512 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2007-13, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 10/25/47 | 1 | 30,110 | 26,314 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR6, Class 2A1 |
| |||||||||||
4.10% | 09/25/35 | 3 | 20,672 | 19,570 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2007-WF1, Class 1A1 | ||||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
1.11% | 05/25/37 | 1 | 29,655 | 26,347 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2007-FLX3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 06/25/37 | 1 | 14,588 | 12,158 | ||||||||
JPMorgan Mortgage Trust, Series 2005-A3, |
| |||||||||||
Class 2A1 |
| |||||||||||
4.05% | 06/25/35 | 3 | 13,905 | 12,554 | ||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||
Series 2006-1, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 02/25/36 | 1 | 8,290 | 7,678 | ||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2004-5AR, Class 3A1 |
| |||||||||||
3.85% | 07/25/34 | 3 | 19,588 | 17,776 | ||||||||
Saxon Asset Securities Trust, Series 2007-2, |
| |||||||||||
Class A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||||
1.05% | 05/25/47 | 1 | 89,379 | 70,072 | ||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2004-AR1, Class 1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
1.45% | 03/19/34 | 1 | 2,720 | 2,410 | ||||||||
Wells Fargo Home Equity Trust Mortgage |
| |||||||||||
Pass-Through Certificates, Series 2004-1, |
| |||||||||||
Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 04/25/34 | 1 | 15,579 | 13,914 | ||||||||
|
| |||||||||||
312,621 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 5.36% |
| |||||||||||
Fannie Mae-Aces, Series 2016-M11, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
2.73% | 07/25/39 | 3 | 1,375,070 | 60,990 | ||||||||
Fannie Mae-Aces, Series 2016-M4, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
2.65% | 01/25/39 | 3 | 507,691 | 33,903 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 98 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K011, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.57% | 12/25/43 | 3 | $ | 1,067,620 | $ | 11,623 | ||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K013, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.81% | 01/25/43 | 3 | 860,000 | 13,766 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K015, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.81% | 08/25/39 | 3 | 350,000 | 12,124 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K717, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.63% | 11/25/42 | 3 | 900,000 | 18,480 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KAIV, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
3.61% | 06/25/41 | 3 | 200,000 | 7,588 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC01, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.69% | 12/25/22 | 3 | 4,659,871 | 34,986 | ||||||||
Ginnie Mae, Series 2011-78, Class IX (IO) |
| |||||||||||
0.10% | 08/16/46 | 3 | 4,651,651 | 39,670 | ||||||||
Ginnie Mae, Series 2012-112, Class IO (IO) |
| |||||||||||
0.24% | 02/16/53 | 3 | 5,412,026 | 70,861 | ||||||||
Ginnie Mae, Series 2013-1, Class IO (IO) |
| |||||||||||
0.61% | 02/16/54 | 3 | 1,606,025 | 46,033 | ||||||||
Ginnie Mae, Series 2013-125, Class IO (IO) |
| |||||||||||
0.65% | 10/16/54 | 3 | 1,490,560 | 39,589 | ||||||||
|
| |||||||||||
389,613 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 10.29% |
| |||||||||||
Fannie Mae REMICS, Series 2011-116, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap) |
| |||||||||||
5.05% | 11/25/41 | 1 | 290,001 | 46,273 | ||||||||
Fannie Mae REMICS, Series 2012-128, |
| |||||||||||
Class UA |
| |||||||||||
2.50% | 06/25/42 | 93,257 | 94,990 | |||||||||
Fannie Mae REMICS, Series 2013-5, |
| |||||||||||
Class GF |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
2.05% | 10/25/42 | 1 | 76,169 | 75,681 | ||||||||
Freddie Mac REMICS, Series 4064, |
| |||||||||||
Class TB |
| |||||||||||
3.50% | 06/15/42 | 103,000 | 108,270 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac REMICS, Series 4638, |
| |||||||||||
Class UF |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
2.02% | 09/15/44 | 1 | $ | 56,595 | $ | 56,077 | ||||||
Freddie Mac Strips, Series 240, |
| |||||||||||
Class IO (IO) |
| |||||||||||
5.50% | 07/15/36 | 293,502 | 57,179 | |||||||||
Ginnie Mae, Series 2003-11, Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap) |
| |||||||||||
5.85% | 02/16/33 | 1 | 505,188 | 45,396 | ||||||||
Ginnie Mae, Series 2003-110, Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
5.83% | 10/20/33 | 1 | 338,140 | 71,406 | ||||||||
Ginnie Mae, Series 2018-124, Class NW |
| |||||||||||
3.50% | 09/20/48 | 62,748 | 67,599 | |||||||||
Ginnie Mae, Series 2018-154, Class BP |
| |||||||||||
3.50% | 11/20/48 | 30,155 | 31,352 | |||||||||
Ginnie Mae, Series 2019-15, Class GT |
| |||||||||||
3.50% | 02/20/49 | 88,495 | 93,513 | |||||||||
|
| |||||||||||
747,736 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $2,067,659) | 1,751,012 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.14%* |
| |||||||||||
California — 0.90% |
| |||||||||||
Los Angeles Unified School District, Build |
| |||||||||||
America Bonds, School Improvements, |
| |||||||||||
Series RY |
| |||||||||||
6.76% | 07/01/34 | 10,000 | 13,831 | |||||||||
Los Angeles Unified School District, Build |
| |||||||||||
America Taxable Bonds, School |
| |||||||||||
Improvements, Series KR |
| |||||||||||
5.75% | 07/01/34 | 25,000 | 32,164 | |||||||||
San Francisco City & County Airport |
| |||||||||||
Comm-San Francisco International Airport, |
| |||||||||||
Airport and Marina Improvements, Series A |
| |||||||||||
5.00% | 05/01/49 | 10,000 | 11,646 | |||||||||
State of California, Build America Bonds, |
| |||||||||||
Public Improvements, General Obligation |
| |||||||||||
7.30% | 10/01/39 | 5,000 | 7,700 | |||||||||
|
| |||||||||||
65,341 | ||||||||||||
|
| |||||||||||
New York — 0.24% |
| |||||||||||
New York City Transitional Finance Authority |
| |||||||||||
Future Tax Secured Revenue, Taxable |
| |||||||||||
Bonds, Public Improvements |
| |||||||||||
3.73% | 08/01/29 | 5,000 | 5,445 | |||||||||
New York State Dormitory Authority, |
| |||||||||||
Revenue Bonds, School Improvements, |
| |||||||||||
Series A |
| |||||||||||
5.00% | 03/15/47 | 5,000 | 6,105 |
See accompanying Notes to Financial Statements. |
99 / Annual Report March 2020 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
New York (continued) |
| |||||||||||
New York State Environmental Facilities |
| |||||||||||
Corp., Revenue Bonds, Water Utility |
| |||||||||||
Improvements, Series B |
| |||||||||||
4.00% | 06/15/37 | $5,000 | $ | 5,791 | ||||||||
|
| |||||||||||
17,341 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $81,272) |
| 82,682 | ||||||||||
|
| |||||||||||
Total Bonds – 88.18% |
| |||||||||||
(Cost $6,772,562) |
| 6,408,013 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 12.30% |
| |||||||||||
Commercial Paper — 0.27% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.20%7 | 10/08/20 | 20,000 | 19,698 | |||||||||
|
| |||||||||||
Money Market Funds — 11.66% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund | ||||||||||||
0.29%8 | 309,000 | 309,000 | ||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%8 | 20,351 | 20,351 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%8 | 309,000 | 309,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%8 | 209,000 | 209,000 | ||||||||||
|
| |||||||||||
847,351 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 0.37% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.28%7,9 | 09/10/20 | 27,000 | 26,987 | |||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $893,991) |
| 894,036 | ||||||||||
|
|
Value | ||||
Total Investments – 100.48% | ||||
(Cost $7,666,553) | $ | 7,302,049 | ||
|
| |||
Liabilities in Excess of Other | ||||
Assets – (0.48)% | (34,915 | ) | ||
|
| |||
Net Assets – 100.00% | $ | 7,267,134 | ||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
3 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $20,170, which is 0.28% of total net assets. |
7 | Represents annualized yield at date of purchase. |
8 | Represents the current yield as of March 31, 2020. |
9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $26,982. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(GMTN): Global medium-term note
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term Note
(USD): U.S. dollar
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| |||||||||||||||
U.S. Treasury Five Year Note | 8 | 06/30/20 | $ | 1,002,875 | $ | 35,634 | $ | 35,634 | ||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 5 | 06/19/20 | (780,156 | ) | (26,612 | ) | (26,612 | ) | ||||||||
U.S. Treasury Two Year Note | 1 | 06/30/20 | (220,383 | ) | 29 | 29 | ||||||||||
|
|
|
|
|
| |||||||||||
(1,000,539 | ) | (26,583 | ) | (26,583 | ) | |||||||||||
|
|
|
|
|
| |||||||||||
TOTAL FUTURES CONTRACTS | $ | 2,336 | $ | 9,051 | $ | 9,051 | ||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 100 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2020
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||
Descriptions | Put/Call | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount (000’s) | Value | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
SWAPS: INTEREST RATE |
| |||||||||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/23 | 1.57% | Semi-annually | 3-month USD LIBOR | Quarterly | $ | 180 | $ | 4,397 | $ | — | $ | 4,397 | ||||||||||||||||
Interest Rate Swap1 | Call | 01/21/23 | 1.58% | Semi-annually | 3-month USD LIBOR | Quarterly | 320 | 7,861 | 60 | 7,801 | ||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/26 | 3 month USD LIBOR | Quarterly | 1.67% | Semi-annually | 70 | (3,910 | ) | — | (3,910 | ) | ||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/26 | 3 month USD LIBOR | Quarterly | 1.68% | Semi-annually | 130 | (7,312 | ) | (42 | ) | (7,270 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL SWAPS CONTRACTS | $ | 700 | $ | 1,036 | $ | 18 | $ | 1,018 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
1 | Centrally cleared. |
See accompanying Notes to Financial Statements. |
101 / Annual Report March 2020 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 81.02% |
| |||||||||||
ASSET-BACKED SECURITIES — 9.98%** |
| |||||||||||
Access Group, Inc., Series 2015-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
1.65% | 07/25/56 | 1,2 | $ | 1,695,279 | $ | 1,610,503 | ||||||
AMMC CLO 19 Ltd., Series 2016-19A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
2.97% | 10/16/28 | 1,2,3 | 2,200,000 | 2,140,013 | ||||||||
Barings CLO Ltd., Series 2013-IA, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
2.62% | 01/20/28 | 1,2,3 | 6,700,000 | 6,325,095 | ||||||||
Barings CLO Ltd., Series 2016-2A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
2.90% | 07/20/28 | 1,2,3 | 5,500,000 | 5,408,244 | ||||||||
Barings CLO Ltd., Series 2018-3A, |
| |||||||||||
Class A1 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
2.77% | 07/20/29 | 1,2,3 | 3,877,000 | 3,732,737 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2005-1A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 04/25/35 | 1,2 | 192,392 | 166,463 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
2.48% | 02/25/30 | 1 | 78,832 | 76,239 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-2, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
2.79% | 10/27/36 | 1 | 5,075,000 | 4,642,667 | ||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||
Series 2018-A1, Class A1 |
| |||||||||||
2.49% | 01/20/23 | 9,950,000 | 10,039,113 | |||||||||
Education Loan Asset-Backed Trust I, |
| |||||||||||
Series 2013-1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.75% | 04/26/32 | 1,2 | 8,375,000 | 8,075,206 | ||||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series 2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
2.28% | 08/27/46 | 1,2 | 6,930,177 | 6,206,684 | ||||||||
Goal Capital Funding Trust, |
| |||||||||||
Series 2006-1, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
2.13% | 08/25/42 | 1 | 2,245,134 | 2,027,199 | ||||||||
Higher Education Funding I, Series 2014-1, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
2.73% | 05/25/34 | 1,2 | 1,009,526 | 988,800 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Honda Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-1, Class A3 |
| |||||||||||
2.64% | 02/15/22 | $ | 1,628,377 | $ | 1,635,981 | |||||||
Honda Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-3, Class A3 |
| |||||||||||
2.95% | 08/22/22 | 2,516,756 | 2,543,348 | |||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series 2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 2 | 3,709,230 | 3,552,858 | ||||||||
Magnetite VII Ltd., Series 2012-7A, |
| |||||||||||
Class A1R2 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
2.63% | 01/15/28 | 1,2,3 | 5,685,000 | 5,518,953 | ||||||||
Navient Student Loan Trust, Series 2015-2, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.57%) |
| |||||||||||
1.52% | 11/26/40 | 1 | 5,058,795 | 4,848,590 | ||||||||
Navient Student Loan Trust, Series 2016-7A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
2.10% | 03/25/66 | 1,2 | 9,614,213 | 9,310,215 | ||||||||
Navient Student Loan Trust, Series 2017-2A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
2.00% | 12/27/66 | 1,2 | 2,756,402 | 2,705,161 | ||||||||
Nelnet Student Loan Trust, Series 2013-1A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 06/25/41 | 1,2 | 2,483,940 | 2,382,554 | ||||||||
Nelnet Student Loan Trust, Series 2014-5A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 07/25/46 | 1,2 | 8,009,714 | 7,427,439 | ||||||||
Northstar Education Finance, Inc., |
| |||||||||||
Series 2007-1, Class A1 |
| |||||||||||
LIBOR USD 3-Month |
| |||||||||||
1.89% | 04/28/30 | 1 | 929,326 | 927,274 | ||||||||
Palmer Square CLO Ltd., |
| |||||||||||
Series 2018-1A, Class A1 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.03%) |
| |||||||||||
2.85% | 04/18/31 | 1,2,3 | 2,375,000 | 2,262,767 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2020-2A, Class A1 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
0.00% | 04/20/28 | 1,2,3 | 5,000,000 | 4,849,995 | ||||||||
PFS Financing Corp., |
| |||||||||||
Series 2017-D, Class A |
| |||||||||||
2.40% | 10/17/22 | 2 | 5,780,000 | 5,789,560 | ||||||||
PFS Financing Corp., |
| |||||||||||
Series 2018-B, Class A |
| |||||||||||
2.89% | 02/15/23 | 2 | 7,020,000 | 6,981,841 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 102 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
PFS Financing Corp., |
| |||||||||||
Series 2018-C, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
1.18% | 04/15/22 | 1,2 | $ | 1,990,000 | $ | 1,994,701 | ||||||
PHEAA Student Loan Trust, Series 2016-1A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
2.10% | 09/25/65 | 1,2 | 8,337,329 | 7,847,143 | ||||||||
Recette CLO Ltd., Series 2015-1A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.92%) |
| |||||||||||
2.74% | 10/20/27 | 1,2,3 | 3,775,597 | 3,715,565 | ||||||||
SLC Student Loan Trust, Series 2007-1, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.06%) |
| |||||||||||
1.75% | 05/15/29 | 1 | 3,798,917 | 3,564,905 | ||||||||
SLM Student Loan Trust, Series 2003-10A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
1.21% | 12/15/27 | 1,2 | 5,704,056 | 5,657,050 | ||||||||
SLM Student Loan Trust, Series 2003-11, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
1.29% | 12/15/25 | 1,2 | 3,210,303 | 3,174,255 | ||||||||
SLM Student Loan Trust, Series 2006-9, |
| |||||||||||
Class A5 |
| |||||||||||
(LIBOR USD 3-Month plus 0.10%) |
| |||||||||||
1.89% | 01/26/26 | 1 | 754,434 | 752,249 | ||||||||
SLM Student Loan Trust, Series 2007-6, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
2.17% | 10/25/24 | 1 | 2,670,632 | 2,639,625 | ||||||||
SLM Student Loan Trust, Series 2008-1, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
2.44% | 01/25/22 | 1 | 5,256,383 | 4,974,523 | ||||||||
SLM Student Loan Trust, Series 2008-4, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
3.44% | 07/25/22 | 1 | 4,448,971 | 4,136,068 | ||||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||||
2.89% | 07/25/23 | 1 | 3,010,774 | 2,936,998 | ||||||||
SLM Student Loan Trust, Series 2011-1, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||||
1.47% | 03/25/26 | 1 | 16,310 | 16,300 | ||||||||
SLM Student Loan Trust, Series 2012-2, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
1.65% | 01/25/29 | 1 | 2,490,124 | 2,385,362 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2012-7, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
1.60% | 05/26/26 | 1 | $ | 9,809,218 | $ | 9,004,327 | ||||||
SLM Student Loan Trust, Series 2013-4, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 06/25/43 | 1 | 3,010,205 | 2,908,022 | ||||||||
SLM Student Loan Trust, Series 2014-1, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 02/26/29 | 1 | 4,844,578 | 4,517,506 | ||||||||
Student Loan Consolidation Center Student |
| |||||||||||
Loan Trust I, Series 2002-2, Class B2 |
| |||||||||||
(28 Day Auction Rate plus 0.00%) |
| |||||||||||
1.61% | 07/01/42 | 1,2 | 3,500,000 | 3,194,664 | ||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2017-C, Class A4 |
| |||||||||||
1.98% | 12/15/22 | 4,505,000 | 4,511,806 | |||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-A, Class A3 |
| |||||||||||
2.35% | 05/16/22 | 1,565,652 | 1,569,750 | |||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2020-A, Class A2 |
| |||||||||||
1.67% | 11/15/22 | 8,510,000 | 8,485,474 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $195,929,171) |
| 190,161,792 | ||||||||||
|
| |||||||||||
BANK LOANS — 1.47%* |
| |||||||||||
Automotive — 0.03% |
| |||||||||||
Panther BF Aggregator 2 LP |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.44% | 04/30/26 | 1 | 597,000 | 549,240 | ||||||||
|
| |||||||||||
Communications — 0.63% |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan A, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 01/31/25 | 1 | 592,500 | 555,963 | ||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 03/15/27 | 1 | 897,750 | 843,328 | ||||||||
Charter Communications Operating LLC, |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 02/01/27 | 1 | 249,373 | 240,645 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.86% | 01/15/26 | 1 | 1,188,000 | 1,146,420 |
See accompanying Notes to Financial Statements. |
103 / Annual Report March 2020 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.21% | 06/17/24 | 1 | $ | 5,633 | $ | 5,384 | ||||||
5.35% | 06/17/24 | 1 | 1,685,671 | 1,611,131 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B4, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
6.43% | 01/02/24 | 1,3 | 488,919 | 455,673 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
6.63% | 01/02/24 | 1,3 | 4,252,054 | 3,991,615 | ||||||||
Lamar Media Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.50%) |
| |||||||||||
2.52% | 02/05/27 | 1 | 491,250 | 472,828 | ||||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 03/01/27 | 1 | 1,250,000 | 1,178,906 | ||||||||
Sprint Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/02/24 | 1 | 783,838 | 780,899 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 03/09/27 | 1 | 800,000 | 760,000 | ||||||||
|
| |||||||||||
12,042,792 | ||||||||||||
|
| |||||||||||
Electric — 0.01% |
| |||||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.55% | 12/31/25 | 1 | 249,315 | 238,252 | ||||||||
|
| |||||||||||
Finance — 0.19% |
| |||||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 10/06/23 | 1 | 3,950,655 | 3,604,973 | ||||||||
|
| |||||||||||
Food — 0.03% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
4.03% | 08/03/25 | 1 | 648,371 | 614,331 | ||||||||
|
| |||||||||||
Health Care — 0.23% |
| |||||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 1 | 1,000,000 | 955,000 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.75% | 02/04/27 | 1 | $ | 2,500,000 | $ | 2,393,750 | ||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.68% | 11/15/27 | 1 | 249,375 | 237,945 | ||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.20% | 06/07/23 | 1 | 250,000 | 225,000 | ||||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.61% | 06/02/25 | 1 | 660,000 | 631,676 | ||||||||
|
| |||||||||||
4,443,371 | ||||||||||||
|
| |||||||||||
Industrials — 0.11% |
| |||||||||||
Berry Plastics Group, Inc., |
| |||||||||||
Term Loan Y, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.86% | 07/01/26 | 1 | 1,343,616 | 1,284,275 | ||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 05/30/25 | 1 | 897,750 | 827,425 | ||||||||
|
| |||||||||||
2,111,700 | ||||||||||||
|
| |||||||||||
Information Technology — 0.15% |
| |||||||||||
Broadcom, Inc., |
| |||||||||||
Delayed-Draw Term Loan A3 |
| |||||||||||
(LIBOR plus 1.13%) |
| |||||||||||
2.13% | 11/04/22 | 1 | 1,218,750 | 1,163,906 | ||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 03/07/24 | 1 | 450,337 | 419,939 | ||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 06/11/25 | 1 | 740,615 | 714,694 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 1 | 267,616 | 252,898 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 1 | 190,963 | 180,460 | ||||||||
|
| |||||||||||
2,731,897 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 104 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) — 0.01% |
| |||||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.67% | 12/20/24 | 1 | $ | 250,000 | $ | 232,656 | ||||||
|
| |||||||||||
Services — 0.07% |
| |||||||||||
GFL Environmental, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 05/30/25 | 1 | 1,359,461 | 1,324,910 | ||||||||
|
| |||||||||||
Transportation — 0.01% |
| |||||||||||
American Airlines, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.69% | 01/29/27 | 1 | 250,000 | 207,656 | ||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $28,653,165) |
| 28,101,778 | ||||||||||
|
| |||||||||||
CORPORATES — 32.92%* |
| |||||||||||
Banking — 4.04% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.74% | 01/23/22 | 4 | 9,705,000 | 9,735,950 | ||||||||
3.00% | 12/20/23 | 4 | 2,801,000 | 2,861,662 | ||||||||
Bank of America Corp. (GMTN) |
| |||||||||||
2.37% | 07/21/21 | 4 | 18,025,000 | 18,007,512 | ||||||||
Bank of America N.A. |
| |||||||||||
3.34% | 01/25/23 | 4 | 1,015,000 | 1,038,461 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
4.50% | 01/24/22 | 5,267,000 | 5,478,581 | |||||||||
JPMorgan Chase Bank N.A. (BKNT) |
| |||||||||||
3.09% | 04/26/21 | 4 | 261,000 | 260,899 | ||||||||
Lloyds Bank PLC (United Kingdom) |
| |||||||||||
3.30% | 05/07/21 | 3 | 6,475,000 | 6,520,589 | ||||||||
6.38% | 01/21/21 | 3 | 2,000,000 | 2,058,142 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 3,4 | 1,245,000 | 1,232,509 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.88% | 08/05/21 | 3 | 13,000,000 | 12,939,933 | ||||||||
3.37% | 01/05/24 | 3,4 | 1,000,000 | 972,963 | ||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
2.50% | 01/05/21 | 3 | 2,250,000 | 2,190,472 | ||||||||
Wells Fargo Bank N.A. (BKNT) |
| |||||||||||
2.08% | 09/09/22 | 4 | 5,105,000 | 5,082,623 | ||||||||
3.33% | 07/23/21 | 4 | 8,635,000 | 8,651,034 | ||||||||
|
| |||||||||||
77,031,330 | ||||||||||||
|
| |||||||||||
Communications — 2.10% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
3.40% | 05/15/25 | 2,655,000 | 2,766,684 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
3.88% | 01/15/26 | $ | 1,400,000 | $ | 1,445,900 | |||||||
3.90% | 03/11/24 | 1,700,000 | 1,778,896 | |||||||||
(LIBOR USD 3-Month plus 1.18%) |
| |||||||||||
1.96% | 06/12/24 | 1 | 475,000 | 441,753 | ||||||||
Charter Communications Operating LLC/ |
| |||||||||||
Charter Communications Operating Capital |
| |||||||||||
4.50% | 02/01/24 | 1,720,000 | 1,775,579 | |||||||||
4.91% | 07/23/25 | 2,200,000 | 2,350,326 | |||||||||
Comcast Corp. |
| |||||||||||
3.40% | 04/01/30 | 8,310,000 | 9,018,483 | |||||||||
Cox Communications, Inc. |
| |||||||||||
7.63% | 06/15/25 | 900,000 | 1,065,891 | |||||||||
Discovery Communications LLC |
| |||||||||||
2.80% | 06/15/20 | 715,000 | 713,354 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 2 | 6,712,500 | 6,704,109 | ||||||||
4.74% | 03/20/25 | 2 | 4,650,000 | 4,783,664 | ||||||||
5.15% | 03/20/28 | 2 | 1,175,000 | 1,261,412 | ||||||||
ViacomCBS, Inc. |
| |||||||||||
2.50% | 02/15/23 | 2,095,000 | 2,006,171 | |||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
3.75% | 01/16/24 | 3 | 668,000 | 700,334 | ||||||||
4.13% | 05/30/25 | 3 | 3,000,000 | 3,212,295 | ||||||||
|
| |||||||||||
40,024,851 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.74% |
| |||||||||||
BAT Capital Corp. |
| |||||||||||
2.76% | 08/15/22 | 8,530,000 | 8,393,749 | |||||||||
NIKE, Inc. |
| |||||||||||
2.40% | 03/27/25 | 825,000 | 858,352 | |||||||||
2.85% | 03/27/30 | 4,000,000 | 4,227,202 | |||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer |
| |||||||||||
LLC/Reynolds Group Issuer Luxembourg SA |
| |||||||||||
(LIBOR USD 3-Month plus 3.50%) |
| |||||||||||
5.33% | 07/15/21 | 1,2 | 550,000 | 539,963 | ||||||||
|
| |||||||||||
14,019,266 | ||||||||||||
|
| |||||||||||
Electric — 2.72% |
| |||||||||||
American Electric Power Co., Inc., Series I |
| |||||||||||
3.65% | 12/01/21 | 5,000,000 | 5,063,649 | |||||||||
Black Hills Corp. |
| |||||||||||
4.25% | 11/30/23 | 4,050,000 | 4,268,862 | |||||||||
Dominion Energy, Inc. |
| |||||||||||
2.45% | 01/15/23 | 2 | 5,000,000 | 4,928,921 | ||||||||
Dominion Energy, Inc., Series A |
| |||||||||||
3.30% | 03/15/25 | 4,600,000 | 4,658,299 | |||||||||
Evergy Metro, Inc. |
| |||||||||||
3.65% | 08/15/25 | 2,555,000 | 2,662,315 |
See accompanying Notes to Financial Statements. |
105 / Annual Report March 2020 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
LG&E & KU Energy LLC |
| |||||||||||
3.75% | 11/15/20 | $ | 3,400,000 | $ | 3,377,094 | |||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
2.23% | 05/04/21 | 1 | 10,650,000 | 10,469,690 | ||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
2.16% | 08/28/21 | 1 | 3,952,000 | 3,872,940 | ||||||||
Pennsylvania Electric Co. |
| |||||||||||
4.15% | 04/15/25 | 2 | 500,000 | 537,292 | ||||||||
5.20% | 04/01/20 | 1,262,000 | 1,261,999 | |||||||||
PNM Resources, Inc. |
| |||||||||||
3.25% | 03/09/21 | 10,732,000 | 10,803,393 | |||||||||
|
| |||||||||||
51,904,454 | ||||||||||||
|
| |||||||||||
Energy — 2.32% |
| |||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.90% | 02/01/24 | 4,292,000 | 3,837,472 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.48% | 03/19/30 | 9,690,000 | 10,715,324 | |||||||||
NGPL Pipe Co. LLC |
| |||||||||||
4.38% | 08/15/22 | 2 | 4,699,000 | 4,490,065 | ||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
5.35% | 02/12/28 | 3 | 6,470,000 | 4,529,000 | ||||||||
6.50% | 01/23/29 | 3 | 955,000 | 692,471 | ||||||||
Plains All American Pipeline LP/PAA |
| |||||||||||
Finance Corp. |
| |||||||||||
3.85% | 10/15/23 | 5,422,000 | 4,705,899 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
6.50% | 04/01/22 | 2 | 2,876,932 | 2,567,564 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 1,715,000 | 1,591,848 | |||||||||
Spectra Energy Partners LP |
| |||||||||||
4.60% | 06/15/21 | 1,725,000 | 1,702,240 | |||||||||
4.75% | 03/15/24 | 4,519,000 | 4,495,584 | |||||||||
TC PipeLines LP |
| |||||||||||
4.65% | 06/15/21 | 4,900,000 | 4,794,968 | |||||||||
|
| |||||||||||
44,122,435 | ||||||||||||
|
| |||||||||||
Finance — 6.88% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) |
| |||||||||||
3.95% | 02/01/22 | 3 | 1,935,000 | 1,753,802 | ||||||||
4.88% | 01/16/24 | 3 | 718,000 | 603,171 | ||||||||
5.00% | 10/01/21 | 3 | 1,000,000 | 924,919 | ||||||||
Air Lease Corp. |
| |||||||||||
3.50% | 01/15/22 | 4,170,000 | 3,771,718 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
3.63% | 05/01/22 | 2,3 | 2,860,000 | 2,538,945 | ||||||||
5.25% | 05/15/24 | 2,3 | 170,000 | 134,903 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
BMW U.S. Capital LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
2.28% | 04/06/20 | 1,2 | $ | 8,000,000 | $ | 7,996,648 | ||||||
Citibank N.A. (BKNT) |
| |||||||||||
3.05% | 05/01/20 | 11,605,000 | 11,600,556 | |||||||||
Daimler Finance North America LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
2.59% | 02/15/22 | 1,2 | 8,195,000 | 7,597,780 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.43% | 06/12/20 | 2,500,000 | 2,443,750 | |||||||||
3.16% | 08/04/20 | 3,260,000 | 3,211,589 | |||||||||
3.20% | 01/15/21 | 5,000,000 | 4,875,000 | |||||||||
3.22% | 01/09/22 | 1,090,000 | 1,021,875 | |||||||||
3.81% | 10/12/21 | 1,005,000 | 969,202 | |||||||||
5.60% | 01/07/22 | 1,662,000 | 1,616,295 | |||||||||
5.75% | 02/01/21 | 5,241,000 | 5,136,180 | |||||||||
5.88% | 08/02/21 | 1,000,000 | 985,000 | |||||||||
(LIBOR USD 3-Month plus 0.79%) |
| |||||||||||
1.57% | 06/12/20 | 1 | 2,080,000 | 2,018,365 | ||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
2.18% | 04/05/21 | 1 | 1,205,000 | 1,085,591 | ||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
2.73% | 10/12/21 | 1 | 2,500,000 | 2,299,370 | ||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
2.84% | 08/03/22 | 1 | 2,700,000 | 2,230,875 | ||||||||
GE Capital International Funding Co. (Ireland) |
| |||||||||||
2.34% | 11/15/20 | 3 | 17,475,000 | 17,391,830 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
4.20% | 03/01/21 | 3,000,000 | 2,888,078 | |||||||||
4.20% | 11/06/21 | 7,405,000 | 6,959,142 | |||||||||
4.38% | 09/25/21 | 4,000,000 | 3,685,794 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.63% | 04/25/21 | 1,880,000 | 1,881,933 | |||||||||
2.88% | 10/31/22 | 4 | 726,000 | 730,701 | ||||||||
2.91% | 07/24/23 | 4 | 6,814,000 | 6,801,066 | ||||||||
Mastercard, Inc. |
| |||||||||||
3.35% | 03/26/30 | 2,820,000 | 3,129,498 | |||||||||
Morgan Stanley (GMTN) |
| |||||||||||
5.50% | 07/24/20 | 3,450,000 | 3,482,791 | |||||||||
5.50% | 07/28/21 | 5,260,000 | 5,471,271 | |||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 2,3,4 | 7,715,000 | 7,678,429 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
3.63% | 03/15/21 | 2,3 | 860,000 | 863,665 | ||||||||
4.50% | 03/15/23 | 2,3 | 2,070,000 | 1,799,192 | ||||||||
5.25% | 08/15/22 | 2,3 | 3,950,000 | 3,575,037 | ||||||||
|
| |||||||||||
131,153,961 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 106 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food — 1.38% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.50%) |
| |||||||||||
1.82% | 10/09/20 | 1 | $ | 8,203,000 | $ | 8,089,486 | ||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.55% | 10/22/20 | 1 | 1,572,000 | 1,555,504 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.50% | 06/06/22 | 1,445,000 | 1,441,946 | |||||||||
3.95% | 07/15/25 | 3,795,000 | 3,783,884 | |||||||||
4.00% | 06/15/23 | 11,326,000 | 11,435,601 | |||||||||
|
| |||||||||||
26,306,421 | ||||||||||||
|
| |||||||||||
Health Care — 5.82% |
| |||||||||||
Aetna, Inc. |
| |||||||||||
3.50% | 11/15/24 | 3,136,000 | 3,184,212 | |||||||||
Allergan Finance LLC |
| |||||||||||
3.25% | 10/01/22 | 1,500,000 | 1,494,812 | |||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.45% | 03/15/22 | 3 | 3,000,000 | 3,117,450 | ||||||||
3.80% | 03/15/25 | 3 | 2,615,000 | 2,680,589 | ||||||||
3.85% | 06/15/24 | 3 | 2,500,000 | 2,622,787 | ||||||||
Amgen, Inc. |
| |||||||||||
2.65% | 05/11/22 | 671,000 | 678,499 | |||||||||
Anthem, Inc. |
| |||||||||||
2.38% | 01/15/25 | 6,000,000 | 5,953,010 | |||||||||
3.70% | 08/15/21 | 1,478,000 | 1,509,045 | |||||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
7.00% | 03/15/24 | 2,3 | 5,000,000 | 5,124,975 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
2.20% | 07/15/22 | 2 | 1,455,000 | 1,413,381 | ||||||||
2.75% | 07/15/21 | 2 | 635,000 | 628,819 | ||||||||
2.85% | 04/15/25 | 2 | 2,300,000 | 2,102,854 | ||||||||
3.50% | 06/25/21 | 2 | 1,825,000 | 1,831,943 | ||||||||
3.88% | 12/15/23 | 2 | 9,065,000 | 9,293,547 | ||||||||
4.25% | 12/15/25 | 2 | 1,000,000 | 1,040,966 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
2.40% | 06/05/20 | 2,260,000 | 2,253,040 | |||||||||
3.25% | 11/12/20 | 875,000 | 870,638 | |||||||||
Bristol-Myers Squibb Co. |
| |||||||||||
3.25% | 08/15/22 | 2 | 2,278,000 | 2,351,615 | ||||||||
(LIBOR USD 3-Month plus 0.20%) |
| |||||||||||
1.89% | 11/16/20 | 1,2 | 4,100,000 | 4,068,799 | ||||||||
Cigna Corp. |
| |||||||||||
3.75% | 07/15/23 | 3,988,000 | 4,109,252 | |||||||||
Cigna Corp., Series WI |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
1.49% | 09/17/21 | 1 | 3,410,000 | 3,274,488 | ||||||||
Cigna Holding Co. |
| |||||||||||
5.13% | 06/15/20 | 1,725,000 | 1,737,229 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
CVS Health Corp. |
| |||||||||||
2.88% | 06/01/26 | $ | 4,330,000 | $ | 4,386,276 | |||||||
4.10% | 03/25/25 | 4,000,000 | 4,243,380 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
4.66% | 08/27/21 | 2,500,000 | 2,489,090 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
4.13% | 10/15/20 | 2 | 3,353,000 | 3,339,253 | ||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 4,665,000 | 4,840,769 | |||||||||
Humana, Inc. |
| |||||||||||
2.50% | 12/15/20 | 5,675,000 | 5,694,411 | |||||||||
3.15% | 12/01/22 | 2,000,000 | 2,008,821 | |||||||||
3.85% | 10/01/24 | 3,990,000 | 4,064,774 | |||||||||
Shire Acquisitions Investments Ireland DAC (Ireland) |
| |||||||||||
2.40% | 09/23/21 | 3 | 6,137,000 | 6,090,383 | ||||||||
Stanford Health Care, Series 2020 |
| |||||||||||
3.31% | 08/15/30 | 2,330,000 | 2,474,207 | |||||||||
Sutter Health, Series 13-C |
| |||||||||||
2.29% | 08/15/53 | 1,525,000 | 1,525,427 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 2 | 3,000,000 | 2,888,400 | ||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.05% | 01/15/26 | 3,000,000 | 2,953,542 | |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
1.80% | 03/19/21 | 1 | 2,685,000 | 2,652,926 | ||||||||
|
| |||||||||||
110,993,609 | ||||||||||||
|
| |||||||||||
Industrials — 1.67% |
| |||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
2.85% | 12/15/20 | 2 | 1,070,000 | 1,067,303 | ||||||||
Bemis Co., Inc. |
| |||||||||||
4.50% | 10/15/21 | 2 | 6,947,000 | 7,239,522 | ||||||||
General Electric Co. (GMTN) |
| |||||||||||
4.63% | 01/07/21 | 1,030,000 | 1,017,469 | |||||||||
General Electric Co. (MTN) |
| |||||||||||
2.00% | 02/15/21 | 7,000,000 | 6,909,014 | |||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
2.12% | 05/05/26 | 1 | 7,674,000 | 6,239,206 | ||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 1 | 2,182,000 | 1,664,306 | ||||||||
General Electric Co., Series NOTZ |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
2.83% | 04/15/23 | 1 | 4,936,000 | 4,810,354 | ||||||||
Ingersoll-Rand Co. |
| |||||||||||
9.00% | 08/15/21 | 1,100,000 | 1,229,975 | |||||||||
L3Harris Technologies, Inc. |
| |||||||||||
4.95% | 02/15/21 | 2 | 1,525,000 | 1,558,371 | ||||||||
|
| |||||||||||
31,735,520 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
107 / Annual Report March 2020 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology — 1.47% |
| |||||||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||||
Finance Ltd. |
| |||||||||||
3.00% | 01/15/22 | $ | 6,160,000 | $ | 6,096,161 | |||||||
Broadcom, Inc. |
| |||||||||||
3.13% | 04/15/21 | 2 | 2,525,000 | 2,498,258 | ||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 2 | 8,020,000 | 8,021,029 | ||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.13% | 06/01/21 | 2,3 | 9,720,000 | 9,815,682 | ||||||||
4.63% | 06/01/23 | 2,3 | 1,590,000 | 1,642,907 | ||||||||
|
| |||||||||||
28,074,037 | ||||||||||||
|
| |||||||||||
Insurance — 0.27% |
| |||||||||||
Metropolitan Life Global Funding I |
| |||||||||||
3.38% | 01/11/22 | 2 | 1,550,000 | 1,575,169 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
3.03% | 12/15/24 | 2,4 | 3,550,000 | 3,576,210 | ||||||||
|
| |||||||||||
5,151,379 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 2.53% |
| |||||||||||
Boston Properties LP |
| |||||||||||
4.13% | 05/15/21 | 1,495,000 | 1,521,356 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 6,440,000 | 6,186,554 | |||||||||
Digital Realty Trust LP |
| |||||||||||
2.75% | 02/01/23 | 1,030,000 | 1,025,538 | |||||||||
3.63% | 10/01/22 | 2,430,000 | 2,482,654 | |||||||||
Essex Portfolio LP |
| |||||||||||
5.20% | 03/15/21 | 1,405,000 | 1,428,315 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 7,673,000 | 7,005,769 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 5,000,000 | 4,999,981 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
4.25% | 11/15/23 | 3,412,000 | 3,230,388 | |||||||||
Highwoods Realty LP |
| |||||||||||
3.20% | 06/15/21 | 2,895,000 | 2,936,300 | |||||||||
Kilroy Realty LP |
| |||||||||||
3.45% | 12/15/24 | 1,558,000 | 1,657,058 | |||||||||
Kimco Realty Corp. |
| |||||||||||
3.40% | 11/01/22 | 4,000,000 | 3,929,010 | |||||||||
Realty Income Corp. |
| |||||||||||
3.25% | 10/15/22 | 3,000,000 | 3,015,987 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
2.67% | 08/16/21 | 1 | 5,000,000 | 4,867,014 | ||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC |
| |||||||||||
3.25% | 10/05/20 | 2 | 4,000,000 | 3,942,183 | ||||||||
|
| |||||||||||
48,228,107 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Retail — 0.12% |
| |||||||||||
Dollar Tree, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.70%) |
| |||||||||||
2.54% | 04/17/20 | 1 | $ | 2,334,000 | $ | 2,333,512 | ||||||
|
| |||||||||||
Services — 0.50% |
| |||||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
3.63% | 05/01/24 | 3 | 2,090,000 | 2,084,566 | ||||||||
5.00% | 11/01/22 | 2,3 | 7,046,000 | 7,429,239 | ||||||||
|
| |||||||||||
9,513,805 | ||||||||||||
|
| |||||||||||
Transportation — 0.36% |
| |||||||||||
America West Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class G |
| |||||||||||
7.10% | 04/02/21 | 54,850 | 54,949 | |||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2011-1, Class A |
| |||||||||||
5.25% | 01/31/21 | 650,916 | 639,537 | |||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2013-2, Class A |
| |||||||||||
4.95% | 01/15/23 | 943,631 | 962,507 | |||||||||
Aviation Capital Group LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
2.53% | 06/01/21 | 1,2 | 2,135,000 | 2,038,778 | ||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2000-2, Class A |
| |||||||||||
7.71% | 04/02/21 | 351,816 | 347,438 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class AA |
| |||||||||||
2.00% | 06/10/28 | 1,570,000 | 1,429,281 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 1,376,694 | 1,388,076 | |||||||||
|
| |||||||||||
6,860,566 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $638,524,851) |
| 627,453,253 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 35.32%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 9.46% |
| |||||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2018-B4, Class A1 |
| |||||||||||
3.13% | 07/15/51 | 2,625,611 | 2,673,692 | |||||||||
BX Commercial Mortgage Trust, |
| |||||||||||
Series 2018-IND, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
1.45% | 11/15/35 | 1,2 | 2,284,450 | 2,188,384 | ||||||||
BX Commercial Mortgage Trust, |
| |||||||||||
Series 2020-BXLP, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.50% | 12/15/36 | 1,2 | 5,429,000 | 5,130,109 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 108 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2010-C1, Class A3 |
| |||||||||||
4.21% | 07/10/46 | 2 | $ | 4,217,705 | $ | 4,223,582 | ||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR3, Class A3 |
| |||||||||||
2.82% | 10/15/45 | 10,852,512 | 10,978,593 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-LC6, Class ASB |
| |||||||||||
2.48% | 01/10/46 | 6,785,543 | 6,843,961 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR15, Class ASB |
| |||||||||||
3.60% | 02/10/47 | 4,974,214 | 5,120,724 | |||||||||
DBUBS Mortgage Trust, Series 2011-LC2A, |
| |||||||||||
Class A4 |
| |||||||||||
4.54% | 07/10/44 | 2 | 7,768,038 | 7,888,865 | ||||||||
Eleven Madison Mortgage Trust, |
| |||||||||||
Series 2015-11MD, Class A |
| |||||||||||
3.55% | 09/10/35 | 2,4 | 3,600,000 | 3,648,509 | ||||||||
GE Business Loan Trust, Series 2007-1A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
0.87% | 04/15/35 | 1,2 | 565,340 | 516,210 | ||||||||
GRACE Mortgage Trust, |
| |||||||||||
Series 2014-GRCE, Class A |
| |||||||||||
3.37% | 06/10/28 | 2 | 4,400,000 | 4,356,726 | ||||||||
GRACE Mortgage Trust, |
| |||||||||||
Series 2014-GRCE, Class B |
| |||||||||||
3.52% | 06/10/28 | 2 | 9,800,000 | 9,852,550 | ||||||||
GS Mortgage Securities Corp. II, |
| |||||||||||
Series 2018-GS10, Class A1 |
| |||||||||||
3.20% | 07/10/51 | 5,776,682 | 5,909,559 | |||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2010-C1, Class A2 |
| |||||||||||
4.59% | 08/10/43 | 2 | 4,194,565 | 4,180,596 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2010-C2, Class A3 |
| |||||||||||
4.07% | 11/15/43 | 2 | 5,094,919 | 4,995,048 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2011-C5, |
| |||||||||||
Class A3 |
| |||||||||||
4.17% | 08/15/46 | 1,696,221 | 1,725,594 | |||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2012-C6, |
| |||||||||||
Class ASB |
| |||||||||||
3.14% | 05/15/45 | 7,876,478 | 7,997,252 | |||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2013-LC11, |
| |||||||||||
Class A5 |
| |||||||||||
2.96% | 04/15/46 | 2,900,000 | 2,981,707 | |||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2018-BCON, |
| |||||||||||
Class A |
| |||||||||||
3.73% | 01/05/31 | 2 | 9,665,000 | 9,720,451 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
Morgan Stanley Capital Barclays Bank Trust, |
| |||||||||||
Series 2016-MART, Class A |
| |||||||||||
2.20% | 09/13/31 | 2 | $ | 4,565,000 | $ | 4,331,901 | ||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2011-C1, Class A4 |
| |||||||||||
5.03% | 09/15/47 | 2,4 | 962,096 | 973,813 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2011-C2, Class A4 |
| |||||||||||
4.66% | 06/15/44 | 2 | 5,052,772 | 5,202,994 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2011-C3, Class A4 |
| |||||||||||
4.12% | 07/15/49 | 4,279,544 | 4,309,480 | |||||||||
One Lincoln Street Commercial Mortgage, |
| |||||||||||
Series 2004-C3, Class A1 |
| |||||||||||
5.72% | 10/15/30 | 2,4 | 7,998,718 | 8,249,146 | ||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2018-C11, Class A1 |
| |||||||||||
3.21% | 06/15/51 | 2,116,253 | 2,137,972 | |||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2019-C16, Class A1 |
| |||||||||||
2.74% | 04/15/52 | 8,694,845 | 8,665,102 | |||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C2, Class A4 |
| |||||||||||
3.53% | 05/10/63 | 12,000,000 | 12,120,194 | |||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C4, Class A4 |
| |||||||||||
2.79% | 12/10/45 | 13,800,000 | 14,027,447 | |||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2013-C6, Class A4 |
| |||||||||||
3.24% | 04/10/46 | 5,170,000 | 5,240,502 | |||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2010-C1, Class A2 |
| |||||||||||
4.39% | 11/15/43 | 2 | 5,147,539 | 5,165,797 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-C29, Class A2 |
| |||||||||||
2.55% | 06/15/48 | 753,985 | 752,997 | |||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C7, Class A2 |
| |||||||||||
3.43% | 06/15/45 | 198,020 | 202,507 | |||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2013-C11, Class A4 |
| |||||||||||
3.04% | 03/15/45 | 8,050,000 | 7,993,129 | |||||||||
|
| |||||||||||
180,305,093 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 7.45% |
| |||||||||||
Accredited Mortgage Loan Trust, |
| |||||||||||
Series 2007-1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 02/25/37 | 1 | 10,839,291 | 10,402,660 |
See accompanying Notes to Financial Statements. |
109 / Annual Report March 2020 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
(continued) |
| |||||||||||
Aegis Asset-Backed Securities Trust, |
| |||||||||||
Series 2005-5, Class 2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 12/25/35 | 1 | $ | 2,806,026 | $ | 2,778,197 | ||||||
Amresco Residential Securities Corp. |
| |||||||||||
Mortgage Loan Trust, Series 1998-1, |
| |||||||||||
Class A5 (STEP-reset date 05/25/20) |
| |||||||||||
6.59% | 10/25/27 | 9,082 | 8,828 | |||||||||
Argent Securities, Inc., Asset-Backed |
| |||||||||||
Pass-Through Certificates, Series 2005-W2, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
1.21% | 10/25/35 | 1 | 204,329 | 205,294 | ||||||||
Banc of America Alternative Loan Trust, |
| |||||||||||
Series 2003-8, Class 1CB1 |
| |||||||||||
5.50% | 10/25/33 | 7,140,175 | 7,110,367 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R2, Class 9A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.16% | 03/27/36 | 1,2 | 2,275,639 | 2,248,408 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R4, Class 3A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.77% | 07/27/36 | 1,2 | 2,959,964 | 2,874,248 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2016-R1, Class A1 |
| |||||||||||
2.50% | 03/25/40 | 2,4 | 7,175,113 | 7,053,791 | ||||||||
BCAP LLC Trust, Series 2008-IND2, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.65%) |
| |||||||||||
2.60% | 04/25/38 | 1 | 2,731,982 | 2,670,074 | ||||||||
BCAP LLC Trust, Series 2013-RR5, |
| |||||||||||
Class 2A1 |
| |||||||||||
3.35% | 03/26/37 | 2,4 | 2,449,592 | 2,402,049 | ||||||||
Bear Stearns ARM Trust, Series 2004-3, |
| |||||||||||
Class 4A |
| |||||||||||
4.34% | 07/25/34 | 4 | 685,307 | 637,977 | ||||||||
Chase Funding Trust, |
| |||||||||||
Series 2002-2, Class 2M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 02/25/32 | 1 | 19,670 | 19,472 | ||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2007-A1, Class 8A1 |
| |||||||||||
4.26% | 02/25/37 | 4 | 6,014,872 | 5,506,068 | ||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2007-A2, Class 2A3 |
| |||||||||||
4.13% | 06/25/35 | 4 | 1,232,931 | 1,130,398 | ||||||||
Chevy Chase Mortgage Funding LLC, |
| |||||||||||
Mortgage-Backed Certificates, |
| |||||||||||
Series 2005-2A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
1.13% | 05/25/36 | 1,2 | 679,356 | 553,381 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
(continued) |
| |||||||||||
CIM Trust, Series 2018-R6, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.08%) |
| |||||||||||
2.66% | 09/25/58 | 1,2 | $ | 6,740,547 | $ | 6,428,651 | ||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2004-HYB1, Class A41 |
| |||||||||||
2.94% | 02/25/34 | 4 | 29,525 | 28,585 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2007-WFH4, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 1.30%) |
| |||||||||||
2.25% | 07/25/37 | 1 | 90,000 | 76,219 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2005-11, Class MV2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.49%) |
| |||||||||||
1.44% | 02/25/36 | 1 | 359,872 | 359,485 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2004-14, |
| |||||||||||
Class 4A1 |
| |||||||||||
3.79% | 08/25/34 | 4 | 11,628 | 9,851 | ||||||||
Credit Suisse First Boston Mortgage |
| |||||||||||
Securities Corp., Series 2004-AR1, |
| |||||||||||
Class 5A1 |
| |||||||||||
3.75% | 02/25/34 | 4 | 1,373,857 | 1,313,531 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2005-CB4, |
| |||||||||||
Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 07/25/35 | 1 | 2,422,526 | 2,373,926 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB5, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.06%) |
| |||||||||||
1.01% | 04/25/37 | 1 | 2,654,166 | 1,612,183 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR2, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||||
0.96% | 03/19/45 | 1 | 678,090 | 608,617 | ||||||||
Encore Credit Receivables Trust, |
| |||||||||||
Series 2005-2, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.69%) |
| |||||||||||
1.64% | 11/25/35 | 1 | 1,351,267 | 1,354,250 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2004-FF5, Class A3C |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.95% | 08/25/34 | 1 | 678,609 | 694,228 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2004-AA3, Class A1 |
| |||||||||||
3.53% | 09/25/34 | 4 | 3,691 | 3,377 | ||||||||
GMACM Home Equity Loan Trust, |
| |||||||||||
Series 2000-HE2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
2.84% | 06/25/30 | 1 | 136,026 | 106,198 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 110 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
(continued) |
| |||||||||||
GSAMP Trust, Series 2006-NC1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 02/25/36 | 1 | $ | 6,152,498 | $ | 5,640,770 | ||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR7, Class 2A1 |
| |||||||||||
4.15% | 11/25/35 | 4 | 291,806 | 269,815 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2005-NC1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.77%) |
| |||||||||||
1.71% | 07/25/35 | 1 | 1,605,527 | 1,622,891 | ||||||||
Impac CMB Trust, Series 2005-5, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||||
1.59% | 08/25/35 | 1 | 2,170,139 | 1,867,067 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR12, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
1.73% | 12/25/34 | 1 | 244,524 | 178,037 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR8, Class 2A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.75% | 11/25/34 | 1 | 756,242 | 612,307 | ||||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1998-1, |
| |||||||||||
Class A4 |
| |||||||||||
6.49% | 09/25/28 | 439,798 | 447,201 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2005-FRE1, Class A2F3 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.20% | 10/25/35 | 460,268 | 460,079 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-HE1, Class AV4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 03/25/47 | 1 | 50,000 | 38,783 | ||||||||
JPMorgan Mortgage Trust, Series 2007-A1, |
| |||||||||||
Class 1A1 |
| |||||||||||
4.54% | 07/25/35 | 4 | 854,412 | 743,402 | ||||||||
JPMorgan Mortgage Trust, Series 2007-A1, |
| |||||||||||
Class 5A2 |
| |||||||||||
3.98% | 07/25/35 | 4 | 196,843 | 181,113 | ||||||||
Lehman ABS Manufactured Housing |
| |||||||||||
Contract Trust, Series 2001-B, Class AIOC |
| |||||||||||
(IO) |
| |||||||||||
0.55% | 04/15/40 | 4,5,6 | 97,688,539 | 1,711,943 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2003-6, Class 4A2 |
| |||||||||||
3.93% | 01/25/34 | 4 | 6,840 | 6,697 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-13, Class 3A1 |
| |||||||||||
4.68% | 11/21/34 | 4 | 680,860 | 650,408 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
(continued) |
| |||||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-3, Class 3A3 |
| |||||||||||
3.63% | 04/25/34 | 4 | $ | 105,504 | $ | 93,679 | ||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-5, Class 3A1 |
| |||||||||||
4.12% | 06/25/34 | 4 | 30,664 | 29,101 | ||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2003-1, Class 1A1 |
| |||||||||||
6.25% | 12/25/32 | 2,092,318 | 2,171,416 | |||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2003-5, Class 4A1 |
| |||||||||||
5.50% | 07/25/33 | 3,400,585 | 3,564,174 | |||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2003-9, Class 4A1 |
| |||||||||||
5.25% | 11/25/33 | 3,601,787 | 3,685,439 | |||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2004-7, Class 1A1 |
| |||||||||||
5.50% | 07/25/34 | 3,362,368 | 3,514,414 | |||||||||
MASTR Seasoned Securitization Trust, |
| |||||||||||
Series 2004-1, Class 4A1 |
| |||||||||||
4.47% | 10/25/32 | 4 | 198,931 | 179,405 | ||||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||||
Trust, Series 2007-3, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
1.13% | 06/25/37 | 1 | 10,498,683 | 8,129,884 | ||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2004-A4, Class A1 |
| |||||||||||
4.32% | 08/25/34 | 4 | 926,090 | 853,691 | ||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2006-F1, Class 1A2 |
| |||||||||||
6.00% | 04/25/36 | 1,327,302 | 933,458 | |||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2006-FF1, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||||
1.26% | 08/25/36 | 1 | 102,888 | 103,358 | ||||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||||
Class B |
| |||||||||||
8.90% | 08/15/37 | 814,688 | 902,617 | |||||||||
Mid-State Capital Corp., Series 2006-1, |
| |||||||||||
Class A |
| |||||||||||
5.79% | 10/15/40 | 2 | 4,501,380 | 4,708,831 | ||||||||
Mid-State Trust, Series 2010-W, Class A2 |
| |||||||||||
5.82% | 02/15/36 | 548,774 | 567,834 | |||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2004-NC7, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||||
1.88% | 07/25/34 | 1 | 1,078,145 | 968,800 | ||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2004-6AR, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 07/25/34 | 1 | 101,239 | 100,313 |
See accompanying Notes to Financial Statements. |
111 / Annual Report March 2020 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
(continued) |
| |||||||||||
MortgageIT Trust, Series 2005-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 08/25/35 | 1 | $ | 254,188 | $ | 232,235 | ||||||
MortgageIT Trust, Series 2005-4, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 10/25/35 | 1 | 7,628,175 | 6,957,348 | ||||||||
New Century Home Equity Loan Trust, |
| |||||||||||
Series 2005-D, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 02/25/36 | 1 | 7,784,548 | 7,271,072 | ||||||||
Option One Mortgage Loan Trust, |
| |||||||||||
Series 2006-1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 01/25/36 | 1 | 3,332,245 | 3,050,081 | ||||||||
Park Place Securities, Inc., Asset-Backed |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 2004-WCW2, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||||
1.92% | 10/25/34 | 1 | 3,951,487 | 3,927,165 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2005-QA3, Class NB1 |
| |||||||||||
3.69% | 03/25/35 | 4 | 2,077,458 | 1,139,438 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL4, Class A3 |
| |||||||||||
6.50% | 07/25/32 | 174,100 | 169,697 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2005-SL1, Class A5 |
| |||||||||||
6.50% | 05/25/32 | 393,887 | 372,401 | |||||||||
Saxon Asset Securities Trust, Series 2005-3, |
| |||||||||||
Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||||
1.93% | 11/25/35 | 1 | 5,408,210 | 5,313,081 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2006-CB1, Class AF2 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.30% | 01/25/36 | 1,927,349 | 1,486,845 | |||||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 2003-26A, Class 3A5 |
| |||||||||||
3.82% | 09/25/33 | 4 | 517,239 | 487,344 | ||||||||
Terwin Mortgage Trust, Series 2004-7HE, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 07/25/34 | 1,2 | 113,282 | 100,208 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2002-AR18, Class A |
| |||||||||||
4.10% | 01/25/33 | 4 | 94,887 | 84,182 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2004-AR14, Class A1 |
| |||||||||||
3.87% | 01/25/35 | 4 | 541,437 | 507,763 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
(continued) |
| |||||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2004-CB2, Class 2A |
| |||||||||||
5.50% | 07/25/34 | $ | 3,174,085 | $ | 3,215,112 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR13, Class A1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 10/25/45 | 1 | 2,018,763 | 1,854,100 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR2, Class 2A21 |
| |||||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||||
1.28% | 01/25/45 | 1 | 314,815 | 282,900 | ||||||||
|
| |||||||||||
141,958,212 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 3.44% |
| |||||||||||
Fannie Mae-Aces, Series 2017-M14, |
| |||||||||||
Class A1 |
| |||||||||||
2.88% | 11/25/27 | 4 | 12,156,933 | 13,212,504 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.92% | 12/25/30 | 4 | 3,760,000 | 570,588 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
1.83% | 12/25/30 | 4 | 8,915,000 | 1,299,212 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.44% | 11/25/28 | 4 | 4,515,000 | 429,513 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X4 (IO) |
| |||||||||||
1.00% | 07/25/32 | 4 | 3,900,000 | 335,873 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X5 (IO) |
| |||||||||||
1.55% | 11/25/28 | 4 | 3,555,000 | 381,098 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X6 (IO) |
| |||||||||||
1.50% | 08/25/28 | 4 | 3,750,000 | 381,417 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X8 (IO) |
| |||||||||||
0.78% | 12/25/27 | 4 | 4,305,000 | 189,936 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X9 (IO) |
| |||||||||||
0.99% | 12/25/27 | 4 | 3,795,000 | 189,864 | ||||||||
Freddie Mac Multiclass Certificates, |
| |||||||||||
Series 2020-RR06, Class AX (IO) |
| |||||||||||
1.88% | 10/27/28 | 4 | 2,485,000 | 331,627 | ||||||||
Freddie Mac Multiclass Certificates, |
| |||||||||||
Series 2020-RR06, Class BX (IO) |
| |||||||||||
1.84% | 05/27/33 | 4 | 1,950,000 | 331,454 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 112 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series J22F, |
| |||||||||||
Class A1 |
| |||||||||||
3.45% | 05/25/23 | $ | 3,125,536 | $ | 3,186,410 | |||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K010, |
| |||||||||||
Class A2 |
| |||||||||||
4.33% | 10/25/20 | 4 | 8,170,229 | 8,188,752 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KJ17, |
| |||||||||||
Class A1 |
| |||||||||||
2.40% | 10/25/24 | 3,232,276 | 3,384,503 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KJ18, |
| |||||||||||
Class A1 |
| |||||||||||
2.46% | 03/25/22 | 285,520 | 287,514 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KJ24, |
| |||||||||||
Class A1 |
| |||||||||||
2.28% | 05/25/26 | 13,163,088 | 13,623,054 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KJ26, |
| |||||||||||
Class A1 |
| |||||||||||
2.14% | 07/25/25 | 11,456,353 | 11,993,349 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series Q004, |
| |||||||||||
Class AFL |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.74%) |
| |||||||||||
2.71% | 05/25/44 | 1 | 3,194,061 | 3,195,094 | ||||||||
Ginnie Mae, Series 2007-12, Class C |
| |||||||||||
5.28% | 04/16/41 | 4 | 1,043,000 | 1,052,639 | ||||||||
Ginnie Mae, Series 2008-92, Class E |
| |||||||||||
5.56% | 03/16/44 | 4 | 2,910,845 | 2,966,681 | ||||||||
|
| |||||||||||
65,531,082 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 14.97% |
| |||||||||||
Fannie Mae Pool 468764 |
| |||||||||||
4.16% | 07/01/21 | 13,090,000 | 13,284,825 | |||||||||
Fannie Mae Pool 567002 |
| |||||||||||
8.00% | 05/01/23 | 13,132 | 13,964 | |||||||||
Fannie Mae Pool 735861 |
| |||||||||||
6.50% | 09/01/33 | 11,571 | 12,935 | |||||||||
Fannie Mae Pool 770900 |
| |||||||||||
(LIBOR USD 12-Month plus 1.55%) |
| |||||||||||
4.43% | 04/01/34 | 1 | 167,887 | 170,012 | ||||||||
Fannie Mae Pool 995182 |
| |||||||||||
5.50% | 06/01/20 | 1 | 1 | |||||||||
Fannie Mae Pool AD0538 |
| |||||||||||
6.00% | 05/01/24 | 243,363 | 256,616 | |||||||||
Fannie Mae Pool AE0083 |
| |||||||||||
6.00% | 01/01/40 | 920,837 | 1,062,801 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool AL0851 |
| |||||||||||
6.00% | 10/01/40 | $ | 1,096,073 | $ | 1,265,044 | |||||||
Fannie Mae Pool AL2206 |
| |||||||||||
3.73% | 07/01/22 | 4 | 6,197,239 | 6,421,382 | ||||||||
Fannie Mae Pool FN0001 |
| |||||||||||
3.78% | 12/01/20 | 4 | 9,775,524 | 9,904,582 | ||||||||
Fannie Mae REMICS, Series 1997-76, |
| |||||||||||
Class FS |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.25% | 09/17/27 | 1 | 12,777 | 12,565 | ||||||||
Fannie Mae REMICS, Series 2001-60, |
| |||||||||||
Class OF |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.90% | 10/25/31 | 1 | 654,556 | 664,956 | ||||||||
Fannie Mae REMICS, Series 2003-130, |
| |||||||||||
Class HF |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 12/25/33 | 1 | 86,563 | 86,250 | ||||||||
Fannie Mae REMICS, Series 2007-61, |
| |||||||||||
Class AF |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 03/25/37 | 1 | 754,891 | 750,716 | ||||||||
Fannie Mae REMICS, Series 2007-64, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.47%) |
| |||||||||||
1.42% | 07/25/37 | 1 | 328,910 | 328,019 | ||||||||
Fannie Mae REMICS, Series 2009-111, |
| |||||||||||
Class DA |
| |||||||||||
5.00% | 12/25/39 | 79,599 | 80,438 | |||||||||
Fannie Mae REMICS, Series 2009-85, |
| |||||||||||
Class LF |
| |||||||||||
(LIBOR USD 1-Month plus 1.20%) |
| |||||||||||
2.15% | 10/25/49 | 1 | 2,623,929 | 2,647,443 | ||||||||
Fannie Mae REMICS, Series 2009-96, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 11/25/49 | 1 | 1,894,787 | 1,916,823 | ||||||||
Fannie Mae REMICS, Series 2010-109, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.35% | 10/25/40 | 1 | 1,158,751 | 1,143,737 | ||||||||
Fannie Mae REMICS, Series 2010-26, |
| |||||||||||
Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) |
| |||||||||||
5.28% | 11/25/36 | 1 | 6,748,880 | 1,478,179 | ||||||||
Fannie Mae REMICS, Series 2010-43, |
| |||||||||||
Class DP |
| |||||||||||
5.00% | 05/25/40 | 911,059 | 1,018,496 |
See accompanying Notes to Financial Statements. |
113 / Annual Report March 2020 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2010-6, |
| |||||||||||
Class BF |
| |||||||||||
(LIBOR USD 1-Month plus 0.76%) |
| |||||||||||
1.71% | 02/25/40 | 1 | $ | 1,412,726 | $ | 1,425,795 | ||||||
Fannie Mae REMICS, Series 2010-95, |
| |||||||||||
Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
5.65% | 09/25/40 | 1 | 5,143,274 | 1,295,435 | ||||||||
Fannie Mae REMICS, Series 2019-79, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 01/25/50 | 1 | 8,120,196 | 8,056,213 | ||||||||
Fannie Mae REMICS, Series 2020-10, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 03/25/50 | 1 | 24,654,223 | 24,435,802 | ||||||||
Fannie Mae REMICS, Series G92-10, |
| |||||||||||
Class Z |
| |||||||||||
7.75% | 01/25/22 | 151 | 156 | |||||||||
Freddie Mac Gold Pool A45796 |
| |||||||||||
7.00% | 01/01/33 | 2,755 | 3,015 | |||||||||
Freddie Mac Gold Pool C46104 |
| |||||||||||
6.50% | 09/01/29 | 5,884 | 6,585 | |||||||||
Freddie Mac Gold Pool G13032 |
| |||||||||||
6.00% | 09/01/22 | 179,970 | 184,315 | |||||||||
Freddie Mac Gold Pool G13475 |
| |||||||||||
6.00% | 01/01/24 | 27,644 | 28,722 | |||||||||
Freddie Mac REMICS, Series 2174, |
| |||||||||||
Class PN |
| |||||||||||
6.00% | 07/15/29 | 361,693 | 408,524 | |||||||||
Freddie Mac REMICS, Series 2454, |
| |||||||||||
Class FQ |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.70% | 06/15/31 | 1 | 6,133 | 6,241 | ||||||||
Freddie Mac REMICS, Series 2733, |
| |||||||||||
Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.30% | 10/15/33 | 1 | 2,648,502 | 2,646,048 | ||||||||
Freddie Mac REMICS, Series 3071, |
| |||||||||||
Class TF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 04/15/35 | 1 | 2,552,226 | 2,536,484 | ||||||||
Freddie Mac REMICS, Series 3084, |
| |||||||||||
Class FN |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.20% | 12/15/34 | 1 | 1,548,346 | 1,541,009 | ||||||||
Freddie Mac REMICS, Series 3294, |
| |||||||||||
Class CB |
| |||||||||||
5.50% | 03/15/37 | 216,594 | 252,659 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac REMICS, Series 3300, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 08/15/35 | 1 | $ | 716,432 | $ | 704,316 | ||||||
Freddie Mac REMICS, Series 3325, |
| |||||||||||
Class NF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 08/15/35 | 1 | 1,847,568 | 1,816,324 | ||||||||
Freddie Mac REMICS, Series 3524, |
| |||||||||||
Class FC |
| |||||||||||
(LIBOR USD 1-Month plus 0.94%) |
| |||||||||||
1.64% | 06/15/38 | 1 | 331,045 | 333,975 | ||||||||
Freddie Mac REMICS, Series 3531, |
| |||||||||||
Class FM |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.60% | 05/15/39 | 1 | 314,870 | 315,847 | ||||||||
Freddie Mac REMICS, Series 3672, |
| |||||||||||
Class A |
| |||||||||||
6.00% | 05/15/40 | 142,113 | 160,445 | |||||||||
Freddie Mac REMICS, Series 3792, |
| |||||||||||
Class DF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.10% | 11/15/40 | 1 | 295,270 | 295,519 | ||||||||
Freddie Mac REMICS, Series 4060, |
| |||||||||||
Class FJ |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.05% | 02/15/41 | 1 | 4,555,880 | 4,520,757 | ||||||||
Freddie Mac REMICS, Series 4109, |
| |||||||||||
Class KF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.10% | 05/15/32 | 1 | 312,354 | 312,382 | ||||||||
Freddie Mac REMICS, Series 4959, |
| |||||||||||
Class JF |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 03/25/50 | 1 | 10,232,791 | 10,113,200 | ||||||||
Freddie Mac Strips, Series 240, |
| |||||||||||
Class F30 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 07/15/36 | 1 | 2,054,517 | 2,022,700 | ||||||||
Freddie Mac Strips, Series 263, |
| |||||||||||
Class F5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.20% | 06/15/42 | 1 | 3,013,178 | 2,956,975 | ||||||||
Freddie Mac Strips, Series 319, |
| |||||||||||
Class F2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.20% | 11/15/43 | 1 | 13,603,096 | 13,353,917 | ||||||||
Ginnie Mae II Pool 1849 |
| |||||||||||
8.50% | 08/20/24 | 234 | 235 | |||||||||
Ginnie Mae II Pool 2020 |
| |||||||||||
8.50% | 06/20/25 | 248 | 254 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 114 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Ginnie Mae II Pool 2286 |
| |||||||||||
8.50% | 09/20/26 | $ | 382 | $ | 424 | |||||||
Ginnie Mae II Pool 2487 |
| |||||||||||
8.50% | 09/20/27 | 6,276 | 6,990 | |||||||||
Ginnie Mae II Pool 80059 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.88% | 04/20/27 | 1 | 13,348 | 13,802 | ||||||||
Ginnie Mae II Pool 80589 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
4.00% | 03/20/32 | 1 | 22,957 | 23,126 | ||||||||
Ginnie Mae II Pool 80610 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.88% | 06/20/32 | 1 | 8,394 | 8,711 | ||||||||
Ginnie Mae II Pool 80968 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.25% | 07/20/34 | 1 | 283,335 | 292,802 | ||||||||
Ginnie Mae II Pool 81201 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 2.00%) |
| |||||||||||
4.50% | 01/20/35 | 1 | 9,819 | 9,951 | ||||||||
Ginnie Mae II Pool 8599 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
4.00% | 02/20/25 | 1 | 10,551 | 10,638 | ||||||||
Ginnie Mae, Series 2003-11, Class FK |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 02/16/33 | 1 | 703,614 | 699,111 | ||||||||
Ginnie Mae, Series 2009-106, Class XI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) |
| |||||||||||
6.03% | 05/20/37 | 1 | 4,307,168 | 638,665 | ||||||||
Ginnie Mae, Series 2012-13, Class KF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.07% | 07/20/38 | 1 | 281,517 | 281,226 | ||||||||
Ginnie Mae, Series 2013-53, Class AD |
| |||||||||||
1.50% | 12/20/26 | 1,860,271 | 1,885,961 | |||||||||
NCUA Guaranteed Notes Trust, |
| |||||||||||
Series 2010-R1, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.43% | 10/07/20 | 1 | 5,584,211 | 5,541,331 | ||||||||
NCUA Guaranteed Notes Trust, |
| |||||||||||
Series 2010-R3, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
1.54% | 12/08/20 | 1 | 6,311,930 | 6,299,538 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
NCUA Guaranteed Notes Trust, |
| |||||||||||
Series 2010-R3, Class 2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
1.54% | 12/08/20 | 1 | $ | 2,916,587 | $ | 2,917,088 | ||||||
UMBS (TBA) |
| |||||||||||
2.50% | 05/01/35 | 79,375,000 | 82,303,525 | |||||||||
2.50% | 05/01/50 | 19,950,000 | 20,629,545 | |||||||||
3.50% | 05/01/50 | 39,375,000 | 41,597,536 | |||||||||
|
| |||||||||||
285,413,603 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $677,657,941) |
| 673,207,990 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 1.33% |
| |||||||||||
U.S. Treasury Notes — 1.33% |
| |||||||||||
U.S. Treasury Floating Rate Notes |
| |||||||||||
0.35% | 07/31/21 | 1 | 10,000,000 | 10,010,553 | ||||||||
U.S. Treasury Notes |
| |||||||||||
0.50% | 03/31/25 | 345,000 | 347,116 | |||||||||
1.13% | 02/28/22 | 14,790,000 | 15,047,092 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $25,323,332) |
| 25,404,761 | ||||||||||
|
| |||||||||||
Total Bonds – 81.02% |
| |||||||||||
(Cost $1,566,088,460) |
| 1,544,329,574 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.00% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings |
| |||||||||||
LLC5,6,7 |
| 106,501 | 5,858 | |||||||||
Total Common Stock |
| |||||||||||
(Cost $6,078,660) |
| |||||||||||
Purchased Swaptions – 0.00% |
| |||||||||||
(Cost $939,000) |
| 3,864 |
See accompanying Notes to Financial Statements. |
115 / Annual Report March 2020 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount/ Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 26.94% |
| |||||||||||
Commercial Paper — 0.19% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.20%8 | 10/08/20 | $ | 3,625,000 | $ | 3,570,187 | |||||||
|
| |||||||||||
Foreign Government Obligations — 2.67% |
| |||||||||||
Japan Treasury Discount Bill, Series 892 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%3,8 | 06/08/20 | 5,490,000,000 | 50,875,008 | |||||||||
|
| |||||||||||
Money Market Funds — 9.15% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%9 | 58,768,000 | 58,768,000 | ||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%9 | 678,186 | 678,186 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%9 | 94,238,000 | 94,238,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%9 | 20,714,000 | 20,714,000 | ||||||||||
|
| |||||||||||
174,398,186 | ||||||||||||
|
| |||||||||||
U.S. Agency Discount Notes — 4.71% |
| |||||||||||
Fannie Mae |
| |||||||||||
0.16%8 | 01/15/21 | 90,000,000 | 89,891,625 | |||||||||
|
| |||||||||||
U.S. Treasury Bills — 10.22% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.27%8,10 | 09/10/20 | 3,693,000 | 3,691,272 | |||||||||
1.36%8 | 04/30/20 | 60,000,000 | 59,998,308 | |||||||||
1.46%8 | 04/21/20 | 111,180,000 | 111,175,831 | |||||||||
1.53%8 | 07/16/20 | 20,000,000 | 19,995,951 | |||||||||
|
| |||||||||||
194,861,362 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $514,619,893) |
| 513,596,368 | ||||||||||
|
| |||||||||||
Total Investments Before Written |
| |||||||||||
Swaptions – 107.96% |
| |||||||||||
(Cost $2,087,726,013) |
| 2,057,935,664 | ||||||||||
|
| |||||||||||
Written Swaptions – 0.00% |
| |||||||||||
(Cost $(540,000)) |
| (2,919 | ) | |||||||||
|
| |||||||||||
Liabilities in Excess of Other |
| |||||||||||
Assets – (7.96)% |
| (151,681,577 | ) | |||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 1,906,251,168 | |||||||||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
4 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $1,717,801, which is 0.09% of total net assets. |
7 | Non-income producing security. |
8 | Represents annualized yield at date of purchase. |
9 | Represents the current yield as of March 31, 2020. |
10 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,690,563. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(CLO): Collateralized Loan Obligation
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 116 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT | ||||||||||||||||||||
USD 52,375,901 | JPY 5,490,000,000 | Citigroup Global Markets, Inc. | 06/08/20 | $ | 1,371,501 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS | |||||||||||||||||||
U.S. Treasury Two Year Note | 504 | 06/30/20 | $ | 111,072,937 | $ | 2,005,505 | $ | 2,005,505 | |||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | |||||||||||||||||||
U.S. Treasury Five Year Note | 893 | 06/30/20 | (111,945,922 | ) | (1,017,674 | ) | (1,017,674 | ) | |||||||||||
|
|
|
|
|
| ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (872,985 | ) | $ | 987,831 | $ | 987,831 | ||||||||||||
|
|
|
|
|
|
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||
Descriptions | Counterparty | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premiums Paid | Unrealized (Depreciation) | ||||||||||||||||||||||||||
PURCHASED SWAPTIONS | ||||||||||||||||||||||||||||||||||||
Option to enter into a 30-year | ||||||||||||||||||||||||||||||||||||
Interest Rate Swap | Goldman Sachs International | 12/24/23 | | 3 month USD LIBOR |
| Quarterly | | 6.00% | | Quarterly | $300,000 | $3,864 | $939,000 | $(935,136) | ||||||||||||||||||||||
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||
Descriptions | Counterparty | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premiums (Received) | Unrealized Appreciation | ||||||||||||||||||||||||||
WRITTEN SWAPTIONS | ||||||||||||||||||||||||||||||||||||
Option to enter into a 30-year | ||||||||||||||||||||||||||||||||||||
Interest Rate Swap | Goldman Sachs International | 12/24/23 | 7.50% | Quarterly | | 3 month USD LIBOR | | Quarterly | $300,000 | $(2,919) | $(540,000) | $537,081 |
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||||
Descriptions | Put/Call | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount (000’s) | Value | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
SWAPS: INTEREST RATE |
| |||||||||||||||||||||||||||||||||||||
Interest Rate | 3-month | |||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/23 | 1.57% | Semi-annually | USD LIBOR | Quarterly | $ | 46,340 | $ | 1,132,100 | $ | — | $ | 1,132,100 | ||||||||||||||||||||||||
Interest Rate | 3-month | |||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/23 | 1.58% | Semi-annually | USD LIBOR | Quarterly | 110,270 | 2,708,705 | 20,826 | 2,687,879 | ||||||||||||||||||||||||||||
Interest Rate | 3 month | |||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/26 | USD LIBOR | Quarterly | 1.67% | Semi-annually | 18,850 | (1,052,846 | ) | — | (1,052,846 | ) | ||||||||||||||||||||||||||
Interest Rate | 3month | |||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/26 | USD LIBOR | Quarterly | 1.68% | Semi-annually | 44,855 | (2,522,946 | ) | (14,425) | (2,508,521 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
TOTAL SWAPS CONTRACTS |
| $ | 220,315 | $ | 265,013 | $ | 6,401 | $ | 258,612 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
1 | Centrally cleared. |
See accompanying Notes to Financial Statements. |
117 / Annual Report March 2020 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 94.75% |
| |||||||||||
ASSET-BACKED SECURITIES — 13.02%** |
| |||||||||||
Atrium XII, Series 12A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.83%) |
| |||||||||||
2.63% | 04/22/27 | 1,2,3 | $ | 165,000 | $ | 160,336 | ||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
1.50% | 01/25/35 | 2,3 | 137,173 | 123,529 | ||||||||
BlueMountain CLO Ltd., Series 2013-1A, |
| |||||||||||
Class A1R2 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.23%) |
| |||||||||||
3.05% | 01/20/29 | 1,2,3 | 175,000 | 171,098 | ||||||||
Cedar Funding II CLO Ltd., Series 2013-1A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.23%) |
| |||||||||||
2.23% | 06/09/30 | 1,2,3 | 250,000 | 234,675 | ||||||||
Corevest American Finance Trust, |
| |||||||||||
Series 2019-1, Class XA (IO) |
| |||||||||||
2.16% | 03/15/52 | 3,4 | 584,177 | 49,038 | ||||||||
Corevest American Finance Trust, |
| |||||||||||
Series 2020-1, Class A2 |
| |||||||||||
2.30% | 03/15/50 | 3 | 140,000 | 132,464 | ||||||||
Crystal River CDO, Series 2005-1A, |
| |||||||||||
Class A (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.36%) |
| |||||||||||
2.68% | 03/02/46 | 1,2,3,5,6 | 419,900 | 35,927 | ||||||||
Dryden 30 Senior Loan Fund, |
| |||||||||||
Series 2013-30A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.82%) |
| |||||||||||
2.51% | 11/15/28 | 1,2,3 | 250,000 | 227,900 | ||||||||
Eaton Vance CLO Ltd., Series 2013-1A, |
| |||||||||||
Class A1RR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.16%) |
| |||||||||||
2.99% | 01/15/28 | 1,2,3 | 85,000 | 82,340 | ||||||||
Flagship CLO VIII Ltd., Series 2014-8A, |
| |||||||||||
Class ARR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||||
2.69% | 01/16/26 | 1,2,3 | 63,145 | 61,744 | ||||||||
Global SC Finance II SRL, Series 2014-1A, |
| |||||||||||
Class A2 (Barbados) |
| |||||||||||
3.09% | 07/17/29 | 1,3 | 132,167 | 122,902 | ||||||||
Nelnet Student Loan Trust, Series 2015-3A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 06/25/54 | 2,3 | 290,000 | 251,590 | ||||||||
Neuberger Berman CLO XVI-S Ltd., |
| |||||||||||
Series 2017-16SA, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||||
2.68% | 01/15/28 | 1,2,3 | 250,000 | 243,277 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2020-2A, Class A2 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
0.00% | 04/20/28 | 1,2,3 | $ | 100,000 | $ | 94,000 | ||||||
Panthera Aviation, Series 2013-1 |
| |||||||||||
10.00% | 01/25/22 | 5,6,† | 338,214 | 74,407 | ||||||||
Scholar Funding Trust, Series 2012-B, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
2.04% | 03/28/46 | 2,3 | 701,919 | 670,157 | ||||||||
SLC Student Loan Trust, Series 2004-1, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.29%) |
| |||||||||||
1.98% | 08/15/31 | 2 | 166,797 | 145,907 | ||||||||
SLM Student Loan Trust, Series 2004-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
2.26% | 07/25/39 | 2 | 325,737 | 297,551 | ||||||||
SLM Student Loan Trust, Series 2004-3A, |
| |||||||||||
Class A6A |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
2.34% | 10/25/64 | 2,3 | 267,054 | 249,469 | ||||||||
SLM Student Loan Trust, Series 2005-9, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.30%) |
| |||||||||||
2.09% | 01/25/41 | 2 | 249,437 | 221,691 | ||||||||
SLM Student Loan Trust, Series 2007-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.54% | 10/27/70 | 2 | 215,000 | 190,298 | ||||||||
SLM Student Loan Trust, Series 2008-1, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
2.44% | 01/25/22 | 2 | 187,728 | 177,662 | ||||||||
SLM Student Loan Trust, Series 2008-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 01/25/83 | 2 | 340,000 | 266,786 | ||||||||
SLM Student Loan Trust, Series 2008-3, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 04/26/83 | 2 | 340,000 | 307,613 | ||||||||
SLM Student Loan Trust, Series 2008-4, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 04/25/73 | 2 | 340,000 | 287,656 | ||||||||
SLM Student Loan Trust, Series 2008-5, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/25/73 | 2 | 235,000 | 208,490 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 118 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 2 | $ | 340,000 | $ | 309,216 | ||||||
SLM Student Loan Trust, Series 2008-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 2 | 340,000 | 311,155 | ||||||||
SLM Student Loan Trust, Series 2008-8, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
4.04% | 10/25/75 | 2 | 340,000 | 307,728 | ||||||||
Store Master Funding, Series 2019-1, |
| |||||||||||
Class A2 |
| |||||||||||
3.65% | 11/20/49 | 3 | 248,285 | 229,210 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-A, Class B |
| |||||||||||
7.61% | 01/16/46 | 3 | 305,771 | 341,071 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-B, Class B |
| |||||||||||
7.97% | 08/15/36 | 3 | 316,228 | 364,301 | ||||||||
Treman Park CLO Ltd., Series 2015-1A, |
| |||||||||||
Class ARR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.07%) |
| |||||||||||
2.89% | 10/20/28 | 1,2,3 | 450,000 | 437,400 | ||||||||
Wachovia Student Loan Trust, |
| |||||||||||
Series 2006-1, Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
1.96% | 04/25/40 | 2,3 | 269,286 | 251,021 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $8,663,748) |
| 7,639,609 | ||||||||||
|
| |||||||||||
CORPORATES — 36.14%* |
| |||||||||||
Banking — 0.92% |
| |||||||||||
Bank of America Corp. (MTN) |
| |||||||||||
2.88% | 10/22/30 | 4 | 55,000 | 55,095 | ||||||||
4.08% | 03/20/51 | 4 | 115,000 | 132,122 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.20% | 06/15/26 | 75,000 | 78,065 | |||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.37% | 01/05/24 | 1,4 | 200,000 | 194,593 | ||||||||
4.80% | 11/15/24 | 1,4 | 75,000 | 78,660 | ||||||||
|
| |||||||||||
538,535 | ||||||||||||
|
| |||||||||||
Communications — 5.14% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
4.80% | 06/15/44 | 350,000 | 381,081 | |||||||||
4.90% | 08/15/37 | 205,000 | 229,204 | |||||||||
5.25% | 03/01/37 | 60,000 | 70,168 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
CCO Holdings LLC/CCO Holdings |
| |||||||||||
Capital Corp. |
| |||||||||||
4.50% | 08/15/30 | 3 | $ | 127,000 | $ | 125,730 | ||||||
4.50% | 05/01/32 | 3 | 36,000 | 35,153 | ||||||||
5.38% | 06/01/29 | 3 | 80,000 | 82,652 | ||||||||
CenturyLink, Inc. |
| |||||||||||
4.00% | 02/15/27 | 3 | 24,000 | 23,311 | ||||||||
CSC Holdings LLC |
| |||||||||||
5.38% | 02/01/28 | 3 | 5,000 | 5,135 | ||||||||
6.50% | 02/01/29 | 3 | 117,000 | 126,841 | ||||||||
Discovery Communications LLC |
| |||||||||||
2.80% | 06/15/20 | 150,000 | 149,655 | |||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 1,3 | 180,000 | 115,146 | ||||||||
9.75% | 07/15/25 | 1,3 | 71,000 | 45,038 | ||||||||
Koninklijke KPN NV (Netherlands) |
| |||||||||||
8.38% | 10/01/30 | 1 | 40,000 | 54,982 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
4.63% | 09/15/27 | 3 | 45,000 | 44,975 | ||||||||
5.38% | 01/15/24 | 40,000 | 40,612 | |||||||||
5.38% | 05/01/25 | 16,000 | 16,160 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 70,000 | 72,625 | |||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 3 | 200,000 | 166,811 | ||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% | 08/01/22 | 3 | 75,000 | 74,906 | ||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 107,000 | 118,110 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum |
| |||||||||||
Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
4.74% | 03/20/25 | 3 | 230,000 | 236,611 | ||||||||
Time Warner Cable LLC |
| |||||||||||
5.50% | 09/01/41 | 230,000 | 241,311 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
4.50% | 02/01/26 | 45,000 | 46,406 | |||||||||
4.75% | 02/01/28 | 45,000 | 47,184 | |||||||||
6.00% | 04/15/24 | 108,000 | 110,913 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
3.15% | 03/22/30 | 55,000 | 59,368 | |||||||||
4.13% | 03/16/27 | 55,000 | 61,282 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.50% | 05/15/29 | 1,3 | 120,000 | 120,703 | ||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.25% | 09/17/50 | 1 | 10,000 | 10,572 | ||||||||
4.88% | 06/19/49 | 1 | 48,000 | 53,606 | ||||||||
5.25% | 05/30/48 | 1 | 40,000 | 48,400 | ||||||||
|
| |||||||||||
3,014,651 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
119 / Annual Report March 2020 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Consumer Discretionary — 0.98% |
| |||||||||||
Bacardi Ltd. (Bermuda) |
| |||||||||||
5.30% | 05/15/48 | 1,3 | $ | 65,000 | $ | 70,838 | ||||||
BAT Capital Corp. |
| |||||||||||
4.54% | 08/15/47 | 75,000 | 68,620 | |||||||||
Reynolds American, Inc. |
| |||||||||||
5.85% | 08/15/45 | 260,000 | 275,385 | |||||||||
Reynolds Group Issuer, Inc./Reynolds Group |
| |||||||||||
Issuer LLC/Reynolds Group Issuer |
| |||||||||||
Luxembourg SA |
| |||||||||||
(LIBOR USD 3-Month plus 3.50%) |
| |||||||||||
5.33% | 07/15/21 | 2,3 | 165,000 | 161,989 | ||||||||
|
| |||||||||||
576,832 | ||||||||||||
|
| |||||||||||
Electric — 1.56% | ||||||||||||
Dominion Energy, Inc., Series A |
| |||||||||||
3.30% | 03/15/25 | 230,000 | 232,915 | |||||||||
Entergy Texas, Inc. |
| |||||||||||
3.45% | 12/01/27 | 150,000 | 147,091 | |||||||||
Puget Energy, Inc. |
| �� | ||||||||||
6.00% | 09/01/21 | 250,000 | 256,597 | |||||||||
Southwestern Electric Power Co., Series K |
| |||||||||||
2.75% | 10/01/26 | 300,000 | 281,228 | |||||||||
|
| |||||||||||
917,831 | ||||||||||||
|
| |||||||||||
Energy — 5.52% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | 149,000 | 56,247 | |||||||||
5.13% | 12/01/22 | 35,000 | 18,387 | |||||||||
Cheniere Energy Partners LP |
| |||||||||||
5.25% | 10/01/25 | 50,000 | 46,374 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 25,000 | 19,660 | |||||||||
5.00% | 05/15/50 | 45,000 | 35,409 | |||||||||
5.50% | 06/01/27 | 3,000 | 2,622 | |||||||||
5.88% | 01/15/24 | 70,000 | 67,550 | |||||||||
EQM Midstream Partners LP |
| |||||||||||
4.13% | 12/01/26 | 350,000 | 199,500 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.10% | 08/16/49 | 25,000 | 25,437 | |||||||||
3.48% | 03/19/30 | 90,000 | 99,523 | |||||||||
4.23% | 03/19/40 | 55,000 | 64,575 | |||||||||
4.33% | 03/19/50 | 170,000 | 208,637 | |||||||||
Gulfport Energy Corp. |
| |||||||||||
6.38% | 05/15/25 | 13,000 | 3,266 | |||||||||
KazMunayGas National Co. JSC, |
| |||||||||||
Series REGS (Kazakhstan) |
| |||||||||||
5.38% | 04/24/30 | 1 | 200,000 | 198,688 | ||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.00% | 08/15/42 | 45,000 | 42,115 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Pertamina Persero PT (Indonesia) |
| |||||||||||
3.10% | 08/25/30 | 1,3 | $ | 200,000 | $ | 178,820 | ||||||
Petrobras Global Finance BV (Netherlands) |
| |||||||||||
5.09% | 01/15/30 | 1,3 | 100,000 | 91,125 | ||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
5.95% | 01/28/31 | 1,3 | 90,000 | 62,550 | ||||||||
6.63% | 06/15/35 | 1 | 100,000 | 68,290 | ||||||||
6.75% | 09/21/47 | 1 | 115,000 | 74,934 | ||||||||
6.95% | 01/28/60 | 1,3 | 35,000 | 23,800 | ||||||||
7.69% | 01/23/50 | 1,3 | 180,000 | 124,200 | ||||||||
Plains All American Pipeline LP/PAA |
| |||||||||||
Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 125,000 | 101,563 | |||||||||
Range Resources Corp. |
| |||||||||||
4.88% | 05/15/25 | 47,000 | 27,413 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% | 05/15/30 | 3 | 100,000 | 62,000 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
6.50% | 04/01/22 | 3 | 146,970 | 131,165 | ||||||||
Saudi Arabian Oil Co., |
| |||||||||||
Series REGS (EMTN) (Saudi Arabia) |
| |||||||||||
4.25% | 04/16/39 | 1 | 200,000 | 199,760 | ||||||||
Southern Co. Gas Capital Corp. |
| |||||||||||
3.25% | 06/15/26 | 500,000 | 493,221 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 174,000 | 139,210 | |||||||||
Targa Resources Partners LP/Targa |
| |||||||||||
Resources Partners Finance Corp. |
| |||||||||||
6.88% | 01/15/29 | 39,000 | 31,793 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% | 10/15/22 | 3 | 150,000 | 150,530 | ||||||||
TransMontaigne Partners LP/ |
| |||||||||||
TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 35,000 | 28,345 | |||||||||
Transocean Pontus Ltd. (Cayman Islands) |
| |||||||||||
6.13% | 08/01/25 | 1,3 | 34,235 | 27,986 | ||||||||
Transocean Poseidon Ltd. (Cayman Islands) |
| |||||||||||
6.88% | 02/01/27 | 1,3 | 109,000 | 89,049 | ||||||||
Transocean Proteus Ltd. (Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 1,3 | 13,300 | 10,756 | ||||||||
USA Compression Partners LP/USA |
| |||||||||||
Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 32,000 | 20,180 | |||||||||
6.88% | 09/01/27 | 22,000 | 14,080 | |||||||||
|
| |||||||||||
3,238,760 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 120 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Entertainment — 0.06% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 3 | $ | 40,000 | $ | 35,822 | ||||||
|
| |||||||||||
Finance — 3.66% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global |
| |||||||||||
Aviation Trust (Ireland) |
| |||||||||||
3.30% | 01/23/23 | 1 | 60,000 | 51,040 | ||||||||
3.65% | 07/21/27 | 1 | 20,000 | 15,520 | ||||||||
3.88% | 01/23/28 | 1 | 40,000 | 31,421 | ||||||||
3.95% | 02/01/22 | 1 | 125,000 | 113,295 | ||||||||
4.13% | 07/03/23 | 1 | 75,000 | 65,338 | ||||||||
Air Lease Corp. (MTN) |
| |||||||||||
2.30% | 02/01/25 | 100,000 | 76,504 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 1,3 | 75,000 | 59,810 | ||||||||
3.95% | 07/01/24 | 1,3 | 45,000 | 35,517 | ||||||||
5.13% | 10/01/23 | 1,3�� | 61,000 | 52,806 | ||||||||
5.25% | 05/15/24 | 1,3 | 10,000 | 7,935 | ||||||||
Daimler Finance North America LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
2.59% | 02/15/22 | 2,3 | 210,000 | 194,696 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.16% | 08/04/20 | 275,000 | 270,916 | |||||||||
3.20% | 01/15/21 | 175,000 | 170,625 | |||||||||
3.81% | 10/12/21 | 55,000 | 53,041 | |||||||||
5.88% | 08/02/21 | 40,000 | 39,400 | |||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
2.64% | 03/28/22 | 2 | 115,000 | 93,496 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 75,000 | 67,021 | |||||||||
3.20% | 07/06/21 | 25,000 | 23,817 | |||||||||
3.45% | 04/10/22 | 20,000 | 18,598 | |||||||||
3.55% | 04/09/21 | 95,000 | 91,052 | |||||||||
4.20% | 11/06/21 | 195,000 | 183,259 | |||||||||
4.38% | 09/25/21 | 25,000 | 23,036 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.60% | 02/07/30 | 30,000 | 28,352 | |||||||||
3.69% | 06/05/28 | 4 | 50,000 | 51,300 | ||||||||
3.81% | 04/23/29 | 4 | 75,000 | 77,983 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.77% | 03/08/24 | 1,3,4 | 85,000 | 82,440 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 35,000 | 30,421 | ||||||||
5.25% | 08/15/22 | 1,3 | 50,000 | 45,254 | ||||||||
5.50% | 02/15/24 | 1,3 | 110,000 | 94,893 | ||||||||
|
| |||||||||||
2,148,786 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food — 1.48% |
| |||||||||||
JBS USA LUX SA/JBS USA |
| |||||||||||
Food Co./JBS USA Finance, Inc. (Canada) |
| |||||||||||
5.50% | 01/15/30 | 1,3 | $ | 5,000 | $ | 5,190 | ||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.88% | 10/01/49 | 3 | 215,000 | 196,367 | ||||||||
5.00% | 07/15/35 | 15,000 | 15,012 | |||||||||
5.00% | 06/04/42 | 439,000 | 417,542 | |||||||||
5.20% | 07/15/45 | 25,000 | 24,151 | |||||||||
7.13% | 08/01/39 | 3 | 35,000 | 40,399 | ||||||||
Kroger Co. (The) |
| |||||||||||
5.40% | 01/15/49 | 16,000 | 19,415 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% | 09/30/27 | 3 | 73,000 | 73,473 | ||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% | 04/15/30 | 3 | 45,000 | 43,425 | ||||||||
5.75% | 03/01/27 | 3 | 32,000 | 33,271 | ||||||||
|
| |||||||||||
868,245 | ||||||||||||
|
| |||||||||||
Gaming — 0.32% | ||||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% | 01/15/28 | 3 | 125,000 | 109,444 | ||||||||
5.50% | 04/01/27 | 3 | 80,000 | 75,555 | ||||||||
|
| |||||||||||
184,999 | ||||||||||||
|
| |||||||||||
Health Care — 6.57% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.20% | 11/21/29 | 3 | 50,000 | 50,510 | ||||||||
3.60% | 05/14/25 | 50,000 | 52,564 | |||||||||
4.25% | 11/21/49 | 3 | 220,000 | 236,753 | ||||||||
4.45% | 05/14/46 | 61,000 | 66,714 | |||||||||
Allergan Finance LLC |
| |||||||||||
3.25% | 10/01/22 | 150,000 | 149,481 | |||||||||
Amgen, Inc. |
| |||||||||||
4.40% | 05/01/45 | 30,000 | 35,540 | |||||||||
Bausch Health Americas, Inc. |
| |||||||||||
9.25% | 04/01/26 | 3 | 7,000 | 7,459 | ||||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
7.00% | 03/15/24 | 1,3 | 110,000 | 112,749 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
4.25% | 12/15/25 | 3 | 45,000 | 46,843 | ||||||||
4.38% | 12/15/28 | 3 | 295,000 | 315,697 | ||||||||
4.63% | 06/25/38 | 3 | 110,000 | 117,829 | ||||||||
4.88% | 06/25/48 | 3 | 10,000 | 11,734 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
2.25% | 12/29/20 | 2 | 187,000 | 180,719 | ||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
4.88% | 01/15/26 | 3 | 75,000 | 73,391 |
See accompanying Notes to Financial Statements. |
121 / Annual Report March 2020 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Centene Corp. |
| |||||||||||
3.38% | 02/15/30 | 3 | $ | 167,000 | $ | 155,702 | ||||||
4.63% | 12/15/29 | 3 | 85,000 | 85,897 | ||||||||
5.25% | 04/01/25 | 3 | 40,000 | 40,650 | ||||||||
Cigna Corp. |
| |||||||||||
2.40% | 03/15/30 | 40,000 | 38,135 | |||||||||
3.40% | 03/15/50 | 105,000 | 100,472 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 335,000 | 384,247 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.65% | 08/28/28 | 160,000 | 169,027 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 119,000 | 117,280 | |||||||||
Fresenius U.S. Finance II, Inc. |
| |||||||||||
4.25% | 02/01/21 | 3 | 150,000 | 150,750 | ||||||||
HCA, Inc. |
| |||||||||||
4.75% | 05/01/23 | 30,000 | 30,774 | |||||||||
5.00% | 03/15/24 | 195,000 | 202,347 | |||||||||
5.25% | 04/15/25 | 12,000 | 12,610 | |||||||||
5.25% | 06/15/49 | 110,000 | 118,082 | |||||||||
Hologic, Inc. |
| |||||||||||
4.63% | 02/01/28 | 3 | 55,000 | 55,275 | ||||||||
Humana, Inc. |
| |||||||||||
4.95% | 10/01/44 | 35,000 | 39,904 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
5.38% | 11/15/22 | 83,000 | 81,368 | |||||||||
Partners Healthcare System, Inc., |
| |||||||||||
Series 2020 |
| |||||||||||
3.34% | 07/01/60 | 80,000 | 80,454 | |||||||||
Teleflex, Inc. |
| |||||||||||
4.63% | 11/15/27 | 10,000 | 10,150 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 07/15/24 | 46,000 | 44,160 | |||||||||
4.88% | 01/01/26 | 3 | 67,000 | 64,069 | ||||||||
5.13% | 11/01/27 | 3 | 170,000 | 162,563 | ||||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.70% | 08/15/49 | 50,000 | 55,999 | |||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | 195,000 | 194,672 | |||||||||
|
| |||||||||||
3,852,570 | ||||||||||||
|
| |||||||||||
Industrials — 2.20% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
4.50% | 05/15/28 | 3 | 145,000 | 171,213 | ||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 30,000 | 30,525 | |||||||||
Berry Global, Inc. |
| |||||||||||
4.88% | 07/15/26 | 3 | 24,000 | 24,375 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
General Electric Co. (GMTN) |
| |||||||||||
4.63% | 01/07/21 | $ | 100,000 | $ | 98,783 | |||||||
General Electric Co. (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 2 | 600,000 | 457,646 | ||||||||
General Electric Co., Series A (MTN) |
| |||||||||||
6.75% | 03/15/32 | 110,000 | 130,849 | |||||||||
Graphic Packaging International LLC |
| |||||||||||
4.75% | 07/15/27 | 3 | 40,000 | 39,520 | ||||||||
4.88% | 11/15/22 | 55,000 | 53,264 | |||||||||
Matthews International Corp. |
| |||||||||||
5.25% | 12/01/25 | 3 | 30,000 | 26,738 | ||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 3 | 5,000 | 4,637 | ||||||||
OI European Group BV (Netherlands) |
| |||||||||||
4.00% | 03/15/23 | 1,3 | 15,000 | 14,381 | ||||||||
Sealed Air Corp. |
| |||||||||||
4.00% | 12/01/27 | 3 | 5,000 | 4,701 | ||||||||
5.50% | 09/15/25 | 3 | 70,000 | 72,065 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 1,3 | 55,000 | 46,475 | ||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% | 08/15/26 | 1,3 | 115,000 | 115,575 | ||||||||
|
| |||||||||||
1,290,747 | ||||||||||||
|
| |||||||||||
Information Technology — 1.94% |
| |||||||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||||
Finance Ltd. |
| |||||||||||
3.63% | 01/15/24 | 50,000 | 50,088 | |||||||||
Broadcom, Inc. |
| |||||||||||
3.13% | 04/15/21 | 3 | 290,000 | 286,929 | ||||||||
Change Healthcare Holdings LLC/Change |
| |||||||||||
Healthcare Finance, Inc. |
| |||||||||||
5.75% | 03/01/25 | 3 | 5,000 | 4,700 | ||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 3 | 55,000 | 55,007 | ||||||||
Intel Corp. |
| |||||||||||
4.75% | 03/25/50 | 220,000 | 298,060 | |||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.63% | 06/15/22 | 1,3 | 365,000 | 377,939 | ||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% | 09/30/27 | 3 | 60,000 | 62,870 | ||||||||
|
| |||||||||||
1,135,593 | ||||||||||||
|
| |||||||||||
Insurance — 1.81% |
| |||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.25% | 01/15/49 | 95,000 | 118,110 | |||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% | 11/01/53 | 3,4 | 400,000 | 543,500 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 122 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Insurance (continued) |
| |||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
3.03% | 12/15/24 | 3,4 | $ | 400,000 | $ | 402,953 | ||||||
|
| |||||||||||
1,064,563 | ||||||||||||
|
| |||||||||||
Materials — 0.43% |
| |||||||||||
Indonesia Asahan Aluminum Persero PT |
| |||||||||||
(Indonesia) | ||||||||||||
6.53% | 11/15/28 | 1,3 | 200,000 | 211,358 | ||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 40,000 | 40,988 | |||||||||
|
| |||||||||||
252,346 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.65% |
| |||||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 80,000 | 76,852 | |||||||||
3.45% | 11/15/29 | 310,000 | 277,139 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
5.30% | 01/15/29 | 65,000 | 55,716 | |||||||||
5.38% | 04/15/26 | 205,000 | 182,850 | |||||||||
5.75% | 06/01/28 | 25,000 | 22,267 | |||||||||
SL Green Realty Corp. |
| |||||||||||
4.50% | 12/01/22 | 200,000 | 205,648 | |||||||||
Ventas Realty LP |
| |||||||||||
4.40% | 01/15/29 | 150,000 | 150,052 | |||||||||
|
| |||||||||||
970,524 | ||||||||||||
|
| |||||||||||
Retail — 0.54% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
2.70% | 07/26/22 | 1,3 | 45,000 | 44,545 | ||||||||
3.80% | 01/25/50 | 1,3 | 70,000 | 61,899 | ||||||||
Dollar Tree, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.70%) |
| |||||||||||
2.54% | 04/17/20 | 2 | 82,000 | 81,983 | ||||||||
Rite Aid Corp. |
| |||||||||||
6.13% | 04/01/23 | 3 | 60,000 | 52,050 | ||||||||
Starbucks Corp. |
| |||||||||||
2.25% | 03/12/30 | 80,000 | 75,049 | |||||||||
|
| |||||||||||
315,526 | ||||||||||||
|
| |||||||||||
Services — 0.78% | ||||||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.13% | 12/15/26 | 1,3 | 44,000 | 43,230 | ||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
4.00% | 03/01/26 | 1,3 | 7,000 | 6,927 | ||||||||
4.75% | 02/15/25 | 1,3 | 110,000 | 113,572 | ||||||||
5.00% | 11/01/22 | 1,3 | 170,000 | 179,246 | ||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 3 | 123,000 | 114,976 | ||||||||
|
| |||||||||||
457,951 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Transportation — 0.58% |
| |||||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class B |
| |||||||||||
6.90% | 04/19/22 | $ | 349,718 | $ | 339,484 | |||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $22,087,699) |
| 21,203,765 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.90% |
| |||||||||||
Foreign Government Obligations — 2.90% |
| |||||||||||
Bahrain Government International Bond, |
| |||||||||||
Series REGS (Bahrain) |
| |||||||||||
7.00% | 10/12/28 | 1 | 200,000 | 183,875 | ||||||||
Brazilian Government International Bond |
| |||||||||||
(Brazil) |
| |||||||||||
4.63% | 01/13/28 | 1 | 200,000 | 213,625 | ||||||||
Colombia Government International Bond |
| |||||||||||
(Colombia) |
| |||||||||||
3.00% | 01/30/30 | 1 | 200,000 | 183,400 | ||||||||
5.00% | 06/15/45 | 1 | 200,000 | 205,438 | ||||||||
Dominican Republic International Bond, |
| |||||||||||
Series REGS (Dominican Republic) |
| |||||||||||
6.00% | 07/19/28 | 1 | 150,000 | 141,345 | ||||||||
Mexico Government International Bond |
| |||||||||||
(Mexico) |
| |||||||||||
3.25% | 04/16/30 | 1 | 200,000 | 189,300 | ||||||||
Qatar Government International Bond, |
| |||||||||||
Series REGS (Qatar) |
| |||||||||||
4.50% | 04/23/28 | 1 | 200,000 | 219,629 | ||||||||
Republic of South Africa Government |
| |||||||||||
International Bond (South Africa) |
| |||||||||||
4.88% | 04/14/26 | 1 | 200,000 | 178,640 | ||||||||
Saudi Government International Bond |
| |||||||||||
(Saudi Arabia) |
| |||||||||||
3.75% | 01/21/55 | 1,3 | 200,000 | 186,000 | ||||||||
|
| |||||||||||
Total Foreign Government Obligations |
| |||||||||||
(Cost $1,831,216) |
| 1,701,252 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 41.62%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 4.41% |
| |||||||||||
BBCMS Mortgage Trust, |
| |||||||||||
Series 2020-C6, Class F5TB |
| |||||||||||
3.69% | 02/15/53 | 3,4 | 75,000 | 46,675 | ||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2020-IG1, Class XA (IO) |
| |||||||||||
0.51% | 09/15/43 | 4 | 605,000 | 24,304 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2012-GC8, Class XA (IO) |
| |||||||||||
1.77% | 09/10/45 | 3,4 | 1,462,184 | 50,323 | ||||||||
COBALT CMBS Commercial Mortgage Trust, |
| |||||||||||
Series 2007-C2, Class X (IO) |
| |||||||||||
0.56% | 04/15/47 | 3,4 | 1,566,855 | 6,363 |
See accompanying Notes to Financial Statements. |
123 / Annual Report March 2020 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR12, Class XA (IO) |
| |||||||||||
1.13% | 10/10/46 | 4 | $ | 1,841,266 | $ | 61,849 | ||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR13, Class XA (IO) |
| |||||||||||
0.77% | 11/10/46 | 4 | 1,533,090 | 36,908 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR7, Class XA (IO) |
| |||||||||||
1.24% | 03/10/46 | 4 | 8,499,323 | 254,284 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS5, Class XA (IO) |
| |||||||||||
0.87% | 09/10/47 | 4,5,6 | 2,196,832 | 65,460 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2020-CBM, Class XCP (IO) |
| |||||||||||
0.49% | 02/10/37 | 3,4 | 2,030,000 | 43,864 | ||||||||
Credit Suisse Commercial Mortgage Trust, |
| |||||||||||
Series 2007-C2, Class AJ |
| |||||||||||
5.60% | 01/15/49 | 4 | 3,998 | 4,019 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2014-USA, Class A2 |
| |||||||||||
3.95% | 09/15/37 | 3 | 75,000 | 76,006 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2014-USA, Class X1 (IO) |
| |||||||||||
0.55% | 09/15/37 | 3,4 | 10,000,000 | 228,938 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GC6, Class XB (IO) |
| |||||||||||
0.20% | 01/10/45 | 3,4 | 5,749,132 | 21,290 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GCJ9, Class XA (IO) |
| |||||||||||
1.94% | 11/10/45 | 4 | 2,773,836 | 114,214 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2013-GC12, Class XA (IO) |
| |||||||||||
1.42% | 06/10/46 | 4 | 7,307,752 | 268,070 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2020-UPTN, Class XA (IO) |
| |||||||||||
0.35% | 02/10/37 | 3,4 | 940,000 | 14,859 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class F |
| |||||||||||
2.94% | 12/10/41 | 3,4 | 50,000 | 38,522 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2013-C14, Class XA (IO) |
| |||||||||||
0.57% | 08/15/46 | 4 | 9,374,216 | 143,696 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2014-C21, Class XA (IO) |
| |||||||||||
1.00% | 08/15/47 | 4 | 560,693 | 18,446 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2014-C24, Class XA (IO) |
| |||||||||||
0.92% | 11/15/47 | 4 | 2,712,289 | 72,600 | ||||||||
JPMCC Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2017-JP5, Class XA (IO) |
| |||||||||||
1.04% | 03/15/50 | 4 | 5,706,949 | 273,054 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2012-LC9, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.50% | 12/15/47 | 4 | $ | 2,029,994 | $ | 64,140 | ||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2013-C13, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.13% | 01/15/46 | 4 | 6,629,132 | 25,297 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2013-LC11, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.26% | 04/15/46 | 4 | 2,819,403 | 88,358 | ||||||||
SFAVE Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-5AVE, Class A2A |
| |||||||||||
3.66% | 01/05/43 | 3,4 | 120,000 | 110,554 | ||||||||
SFAVE Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-5AVE, Class A2B |
| |||||||||||
4.14% | 01/05/43 | 3,4 | 45,000 | 40,527 | ||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C1, Class XA (IO) |
| |||||||||||
2.07% | 05/10/45 | 3,4 | 1,666,791 | 50,777 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C3, Class XA (IO) |
| |||||||||||
1.31% | 03/15/44 | 3,4 | 17,926,020 | 189,482 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C5, Class XA (IO) |
| |||||||||||
1.69% | 11/15/44 | 3,4 | 3,251,606 | 60,653 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C9, Class XA (IO) |
| |||||||||||
1.89% | 11/15/45 | 3,4 | 961,097 | 37,728 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2013-C14, Class XA (IO) |
| |||||||||||
0.73% | 06/15/46 | 4 | 3,006,274 | 53,876 | ||||||||
|
| |||||||||||
2,585,136 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 28.93% |
| |||||||||||
ACE Securities Corp. Home Equity Loan |
| |||||||||||
Trust, Series 2006-HE3, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 06/25/36 | 2 | 1,348,981 | 1,017,207 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-3, Class 5A3 |
| |||||||||||
5.50% | 03/25/36 | 267,529 | 239,818 | |||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2007-A1, Class 8A1 |
| |||||||||||
4.26% | 02/25/37 | 4 | 90,579 | 82,917 | ||||||||
Conseco Finance Corp., Series 1996-7, |
| |||||||||||
Class M1 |
| |||||||||||
7.70% | 09/15/26 | 4 | 153,022 | 156,784 | ||||||||
Conseco Finance Corp., Series 1998-3, |
| |||||||||||
Class A6 |
| |||||||||||
6.76% | 03/01/30 | 4 | 105,707 | 106,266 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 124 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Conseco Finance Corp., Series 1998-4, |
| |||||||||||
Class A6 |
| |||||||||||
6.53% | 04/01/30 | 4 | $ | 163,940 | $ | 166,651 | ||||||
Conseco Finance Corp., Series 1998-4, |
| |||||||||||
Class A7 |
| |||||||||||
6.87% | 04/01/30 | 4 | 81,178 | 82,802 | ||||||||
Conseco Finance Corp., Series 1999-5, |
| |||||||||||
Class A5 |
| |||||||||||
7.86% | 03/01/30 | 4 | 75,408 | 46,104 | ||||||||
Conseco Finance Home Equity Loan Trust, |
| |||||||||||
Series 2002-C, Class BF2 |
| |||||||||||
8.00% | 06/15/32 | 3,4 | 276,558 | 280,442 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2B |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.94% | 02/25/37 | 974,182 | 732,557 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2C |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.94% | 02/25/37 | 321,682 | 241,864 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB3, Class A3 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.69% | 03/25/37 | 993,499 | 471,355 | |||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF18, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||||
1.06% | 12/25/37 | 2 | 452,439 | 379,623 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF1, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 01/25/38 | 2 | 2,082,077 | 1,240,986 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF2, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||||
1.05% | 03/25/37 | 2 | 690,669 | 379,416 | ||||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||||
Series 2006-AR1, Class 1A1 |
| |||||||||||
3.78% | 04/19/36 | 4 | 296,060 | 231,573 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2007-AR2, Class 5A1A |
| |||||||||||
4.11% | 05/25/37 | 4 | 386,047 | 306,204 | ||||||||
HSI Asset Loan Obligation Trust, |
| |||||||||||
Series 2007-2, Class 2A12 |
| |||||||||||
6.00% | 09/25/37 | 331,905 | 282,846 | |||||||||
Impac CMB Trust, Series 2004-4, |
| |||||||||||
Class 1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||||
1.57% | 09/25/34 | 2 | 184,573 | 156,719 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR25, Class 2A1 |
| |||||||||||
3.51% | 12/25/35 | 4 | $ | 352,101 | $ | 293,704 | ||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2007-FLX2, Class A1C |
| |||||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||||
1.14% | 04/25/37 | 2 | 1,636,563 | 1,299,370 | ||||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1997-1, |
| |||||||||||
Class A3 |
| |||||||||||
6.61% | 02/25/28 | 109,948 | 109,889 | |||||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1997-1, |
| |||||||||||
Class A4 |
| |||||||||||
6.75% | 02/25/28 | 46,285 | 46,309 | |||||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1998-1, |
| |||||||||||
Class A4 |
| |||||||||||
6.49% | 09/25/28 | 75,100 | 76,364 | |||||||||
IndyMac Manufactured Housing Contract |
| |||||||||||
Pass-Through Certificates, Series 1998-1, |
| |||||||||||
Class A5 |
| |||||||||||
6.96% | 09/25/28 | 4 | 181,017 | 188,742 | ||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-HE1, Class AF6 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
4.25% | 03/25/47 | 805,769 | 521,119 | |||||||||
JPMorgan Mortgage Trust, Series 2006-S2, |
| |||||||||||
Class 2A2 |
| |||||||||||
5.88% | 06/25/21 | 118,810 | 109,115 | |||||||||
JPMorgan Mortgage Trust, Series 2007-S1, |
| |||||||||||
Class 1A2 |
| |||||||||||
5.50% | 03/25/22 | 21,925 | 20,619 | |||||||||
Lehman XS Trust, Series 2006-13, |
| |||||||||||
Class 1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.34%) |
| |||||||||||
1.29% | 09/25/36 | 2 | 9,550 | 11,715 | ||||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||||
Series 2007-HE1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 05/25/37 | 2 | 1,810,500 | 1,257,320 | ||||||||
Merrill Lynch Alternative Note Asset Trust, |
| |||||||||||
Series 2007-A3, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||||
1.28% | 04/25/37 | 2,5,6 | 1,696,107 | 150,846 | ||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2004-HE2, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 1.16%) |
| |||||||||||
2.11% | 08/25/35 | 2 | 709,726 | 602,359 |
See accompanying Notes to Financial Statements. |
125 / Annual Report March 2020 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||||
Class B |
| |||||||||||
8.90% | 08/15/37 | $ | 478,179 | $ | 529,789 | |||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||||
Class M1 |
| |||||||||||
6.50% | 08/15/37 | 330,712 | 340,956 | |||||||||
Mid-State Capital Corp., Series 2005-1, |
| |||||||||||
Class A |
| |||||||||||
5.75% | 01/15/40 | 149,924 | 153,920 | |||||||||
Mid-State Trust XI, Series 2011, Class B |
| |||||||||||
8.22% | 07/15/38 | 8,316 | 8,888 | |||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2004-7AR, Class 2A4 |
| |||||||||||
3.55% | 09/25/34 | 4 | 229,745 | 217,457 | ||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2006-7, Class 5A2 |
| |||||||||||
5.96% | 06/25/36 | 4 | 2,281,724 | 781,634 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 1998-A, Class M |
| |||||||||||
6.83% | 05/15/28 | 4 | 115,719 | 118,065 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 1999-B, Class A4 |
| |||||||||||
6.99% | 12/15/26 | 221,861 | 226,757 | |||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 2001-D, Class A3 |
| |||||||||||
5.90% | 09/15/22 | 4 | 757,861 | 539,419 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 2002-A, Class A3 |
| |||||||||||
6.03% | 05/15/24 | 4 | 242,475 | 249,509 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2005-QA3, Class NB1 |
| |||||||||||
3.69% | 03/25/35 | 4 | 266,431 | 146,132 | ||||||||
SG Mortgage Securities Trust, |
| |||||||||||
Series 2007-NC1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 12/25/36 | 2,3 | 1,360,135 | 853,977 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-12, Class 2A |
| |||||||||||
3.81% | 09/25/34 | 4 | 273,034 | 248,280 | ||||||||
Terwin Mortgage Trust, Series 2004-7HE, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 07/25/34 | 2,3 | 97,099 | 85,893 | ||||||||
Wells Fargo Home Equity Asset-Backed |
| |||||||||||
Securities Trust, Series 2007-1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
1.27% | 03/25/37 | 2 | 1,500,000 | 1,182,160 | ||||||||
|
| |||||||||||
16,972,441 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 4.59% |
| |||||||||||
Fannie Mae-Aces, Series 2006-M2, |
| |||||||||||
Class A2A |
| |||||||||||
5.27% | 10/25/32 | 4 | $ | 191,263 | $ | 220,448 | ||||||
Fannie Mae-Aces, Series 2011-M5, |
| |||||||||||
Class X (IO) |
| |||||||||||
1.14% | 07/25/21 | 4 | 2,769,250 | 31,852 | ||||||||
Fannie Mae-Aces, Series 2016-M11, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
2.73% | 07/25/39 | 4 | 1,292,976 | 57,348 | ||||||||
Fannie Mae-Aces, Series 2019-M32 |
| |||||||||||
Class X2 (IO) |
| |||||||||||
1.06% | 10/25/29 | 4 | 2,000,000 | 153,063 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K021, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.97% | 07/25/40 | 4 | 1,150,000 | 43,854 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K022, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.81% | 08/25/40 | 4 | 5,250,000 | 201,579 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K023, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.69% | 10/25/40 | 4 | 4,050,000 | 148,425 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K027, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.71% | 01/25/41 | 4 | 5,000,000 | 198,405 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K031, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.66% | 07/25/41 | 4 | 5,999,569 | 272,404 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K034, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.10% | 07/25/23 | 4 | 6,419,804 | 21,480 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K040, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.04% | 11/25/42 | 4 | 1,100,000 | 69,430 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K060, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.89% | 12/25/44 | 4 | 700,000 | 69,988 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K070, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.04% | 12/25/44 | 4 | 700,000 | 92,653 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K105, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.04% | 06/25/30 | 4 | 410,000 | 62,720 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 126 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K714, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.72% | 10/25/20 | 4 | $ | 9,193,364 | $ | 12,029 | ||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K732, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.17% | 05/25/46 | 4 | 700,000 | 66,823 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KAIV, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
3.61% | 06/25/41 | 4 | 1,220,000 | 46,285 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC04, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.25% | 12/25/26 | 4 | 2,270,000 | 140,420 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC05, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.20% | 06/25/27 | 4 | 1,998,981 | 125,234 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KHG2, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.41% | 02/25/30 | 4 | 685,000 | 17,466 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KIR1, |
| |||||||||||
Class X (IO) |
| |||||||||||
1.07% | 03/25/26 | 4 | 2,754,852 | 148,718 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KLU2, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.16% | 08/25/29 | 4 | 117,866 | 9,066 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS11, |
| |||||||||||
Class XFX (IO) |
| |||||||||||
1.60% | 06/25/29 | 4 | 350,000 | 40,595 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series Q010, |
| |||||||||||
Class XPT2 (IO) |
| |||||||||||
0.36% | 08/25/24 | 5,141,283 | 54,276 | |||||||||
FREMF Mortgage Trust, Series 2012-K23, |
| |||||||||||
Class X2A (IO) |
| |||||||||||
0.13% | 10/25/45 | 3 | 61,950,605 | 150,757 | ||||||||
Ginnie Mae, Series 2009-114, Class IO (IO) |
| |||||||||||
0.00% | 10/16/49 | 4 | 7,385,786 | 91 | ||||||||
Ginnie Mae, Series 2011-10, Class AC |
| |||||||||||
3.64% | 11/16/44 | 4 | 9,486 | 9,481 | ||||||||
Ginnie Mae, Series 2014-103, Class IO (IO) |
| |||||||||||
0.41% | 05/16/55 | 4 | 1,988,404 | 40,087 | ||||||||
Ginnie Mae, Series 2014-125, Class IO (IO) |
| |||||||||||
0.95% | 11/16/54 | 4 | 2,306,907 | 126,615 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Ginnie Mae, Series 2015-47, Class IO (IO) |
| |||||||||||
0.80% | 10/16/56 | 4 | $ | 1,226,742 | $ | 59,758 | ||||||
|
| |||||||||||
2,691,350 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 3.69% |
| |||||||||||
Fannie Mae REMICS, Series 1993-80, |
| |||||||||||
Class S |
| |||||||||||
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap) |
| |||||||||||
9.72% | 05/25/23 | 2 | 979 | 1,093 | ||||||||
Fannie Mae REMICS, Series 2000-45, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap) |
| |||||||||||
7.34% | 12/18/30 | 2 | 145,814 | 18,609 | ||||||||
Fannie Mae REMICS, Series 2001-42, |
| |||||||||||
Class SB |
| |||||||||||
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap) |
| |||||||||||
8.50% | 09/25/31 | 2 | 446 | 521 | ||||||||
Fannie Mae REMICS, Series 2003-124, |
| |||||||||||
Class TS |
| |||||||||||
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap) |
| |||||||||||
9.80% | 01/25/34 | 2 | 5,418 | 6,608 | ||||||||
Fannie Mae REMICS, Series 2005-92, |
| |||||||||||
Class US (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) |
| |||||||||||
5.15% | 10/25/25 | 2 | 806,892 | 66,806 | ||||||||
Fannie Mae REMICS, Series 2006-125, |
| |||||||||||
Class SM (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) |
| |||||||||||
6.25% | 01/25/37 | 2 | 887,504 | 222,960 | ||||||||
Fannie Mae REMICS, Series 2008-50, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) |
| |||||||||||
5.10% | 11/25/36 | 2 | 1,124,151 | 204,168 | ||||||||
Fannie Mae REMICS, Series 2010-43, |
| |||||||||||
Class KS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) |
| |||||||||||
5.47% | 05/25/40 | 2 | 962,919 | 201,140 | ||||||||
Freddie Mac Multifamily PC REMIC Trust, |
| |||||||||||
Series 2019-P002, Class X (IO) |
| |||||||||||
1.14% | 07/25/33 | 4 | 385,000 | 44,046 | ||||||||
Freddie Mac REMICS, Series 1602, |
| |||||||||||
Class SN |
| |||||||||||
(-4.25 X PRIME plus 46.22%, 10.09% Cap) |
| |||||||||||
10.09% | 10/15/23 | 2 | 9,492 | 10,276 | ||||||||
Freddie Mac REMICS, Series 1673, |
| |||||||||||
Class SD |
| |||||||||||
(-2.15 X US Treasury Yield Curve Rate T Note Constant Maturity 10 Year plus |
| |||||||||||
19.39%, 18.31% Cap) | ||||||||||||
17.26% | 02/15/24 | 2 | 51,505 | 61,215 |
See accompanying Notes to Financial Statements. |
127 / Annual Report March 2020 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
(continued) |
| |||||||||||
Freddie Mac REMICS, Series 3242, |
| |||||||||||
Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap) |
| |||||||||||
5.65% | 11/15/36 | 2 | $ | 2,963,177 | $ | 607,292 | ||||||
Freddie Mac REMICS, Series 3247, |
| |||||||||||
Class SI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.65%, 6.65% Cap) |
| |||||||||||
0.15% | 08/15/36 | 2 | 13,027,473 | 64,486 | ||||||||
Freddie Mac REMICS, Series 3260, |
| |||||||||||
Class AS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.38%, 6.38% Cap) |
| |||||||||||
5.68% | 01/15/37 | 2 | 2,096,378 | 382,288 | ||||||||
Freddie Mac REMICS, Series 3289, |
| |||||||||||
Class SD (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap) |
| |||||||||||
5.42% | 03/15/37 | 2 | 710,108 | 113,437 | ||||||||
Ginnie Mae, Series 2004-8, Class SE |
| |||||||||||
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) |
| |||||||||||
12.45% | 11/26/23 | 2 | 32,938 | 38,073 | ||||||||
Ginnie Mae, Series 2010-148, Class IO (IO) |
| |||||||||||
1.17% | 09/16/50 | 4 | 4,571,484 | 120,883 | ||||||||
|
| |||||||||||
2,163,901 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $29,548,065) |
| 24,412,828 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.07%* |
| |||||||||||
California — 0.59% |
| |||||||||||
Regents of the University of California |
| |||||||||||
Medical Center Pooled Revenue, Taxable |
| |||||||||||
Bonds, Health, Hospital and Nursing Home |
| |||||||||||
Improvements, Series N |
| |||||||||||
3.26% | 05/15/60 | 205,000 | 186,680 | |||||||||
San Francisco City & County Airport |
| |||||||||||
Comm-San Francisco International Airport, |
| |||||||||||
Airport and Marina Improvements, Series A |
| |||||||||||
5.00% | 05/01/49 | 140,000 | 163,044 | |||||||||
|
| |||||||||||
349,724 | ||||||||||||
|
| |||||||||||
Indiana — 0.12% |
| |||||||||||
Indiana University, Taxable Revenue Bonds, |
| |||||||||||
University and College Improvements, |
| |||||||||||
Series B |
| |||||||||||
3.07% | 06/01/60 | 65,000 | 68,729 | |||||||||
|
| |||||||||||
Massachusetts — 0.15% |
| |||||||||||
Commonwealth of Massachusetts, |
| |||||||||||
Public Improvements, Series C |
| |||||||||||
3.00% | 03/01/48 | 85,000 | 87,420 | |||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
New York — 0.21% |
| |||||||||||
New York City Water & Sewer System |
| |||||||||||
Revenue Bonds, Water Utility Improvements |
| |||||||||||
3.00% | 06/15/50 | $ 120,000 | $ | 121,962 | ||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $628,951) |
| 627,835 | ||||||||||
|
| |||||||||||
Total Bonds – 94.75% |
| |||||||||||
(Cost $62,759,679) |
| 55,585,289 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 4.31% |
| |||||||||||
Commercial Paper — 0.94% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.88%7 | 01/08/21 | 315,000 | 295,462 | |||||||||
3.20%7 | 10/08/20 | 260,000 | 256,069 | |||||||||
|
| |||||||||||
551,531 | ||||||||||||
|
| |||||||||||
Money Market Funds — 2.77% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%8 | 1,374,000 | 1,374,000 | ||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%8 | 20,916 | 20,916 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%8 |
| 229,000 | 229,000 | |||||||||
|
| |||||||||||
1,623,916 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 0.60% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.29%7,9 | 09/10/20 | 351,000 | 350,836 | |||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $2,538,302) |
| 2,526,283 | ||||||||||
|
| |||||||||||
Total Investments – 99.06% |
| |||||||||||
(Cost $65,297,981) |
| 58,111,572 | ||||||||||
|
| |||||||||||
Cash and Other Assets, Less |
| |||||||||||
Liabilities – 0.94% |
| 553,141 | ||||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 58,664,713 | |||||||||
|
|
1 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
2 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 128 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2020
4 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $326,640, which is 0.56% of total net assets. |
7 | Represents annualized yield at date of purchase. |
8 | Represents the current yield as of March 31, 2020. |
9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $350,768. |
† | Fair valued security. The aggregate value of fair valued securities is $74,407, which is 0.13% of total net assets. Fair valued securities are not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CDO): Collateralized Debt Obligations
(CLO): Collateralized Loan Obligation
(EMTN): Euro medium-term note
(GMTN): Global medium-term note
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | |||||||||||||||||||||||||
U.S. Treasury Five Year Note | 169 | 06/30/20 | $(21,185,734 | ) | $(569,189 | ) | $(569,189 | ) | |||||||||||||||||
U.S. Treasury Ultra Bond | 6 | 06/19/20 | (1,331,250 | ) | 1,049 | 1,049 | |||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
TOTAL FUTURES CONTRACTS | $(22,516,984 | ) | $(568,140 | ) | $(568,140 | ) | |||||||||||||||||||
|
|
|
|
|
|
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||||||||||||||||
Descriptions | Put/Call | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount (000’s) | Value | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||||||||||||||
SWAPS: INTEREST RATE |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Interest Rate | 3-month | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/23 | 1.57% | Semi-annually | USD LIBOR | Quarterly | $ | 2,135 | $ | 52,159 | $ | — | $ | 52,159 | ||||||||||||||||||||||||||||||||||||
Interest Rate | 3-month | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/23 | 1.58% | Semi-annually | USD LIBOR | Quarterly | 4,215 | 103,538 | 796 | 102,742 | ||||||||||||||||||||||||||||||||||||||||
Interest Rate | 3 month | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/26 | USD LIBOR | Quarterly | 1.67% | Semi-annually | 870 | (48,593 | ) | — | (48,593 | ) | ||||||||||||||||||||||||||||||||||||||
Interest Rate | 3 month | |||||||||||||||||||||||||||||||||||||||||||||||||
Swap1 | Call | 01/21/26 | USD LIBOR | Quarterly | 1.68% | Semi-annually | 1,715 | (96,463 | ) | (552 | ) | (95,911 | ) | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||
TOTAL SWAPS CONTRACTS |
| $ | 8,935 | $ | 10,641 | $ | 244 | $ | 10,397 | |||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
1 | Centrally cleared. |
See accompanying Notes to Financial Statements. |
129 / Annual Report March 2020 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 106.00% |
| |||||||||||
ASSET-BACKED SECURITIES — 4.22%** |
| |||||||||||
Academic Loan Funding Trust, |
| |||||||||||
Series 2012-1A, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
2.05% | 12/27/44 | 1,2 | $ | 23,324,035 | $ | 21,967,943 | ||||||
AIMCO CLO, Series 2015-AA, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||||
2.68% | 01/15/28 | 1,2,3 | 13,370,000 | 12,979,596 | ||||||||
AMMC CLO 19 Ltd., Series 2016-19A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
2.97% | 10/16/28 | 1,2,3 | 60,310,000 | 58,665,527 | ||||||||
Apidos CLO XXII, Series 2015-22A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.06%) |
| |||||||||||
0.00% | 04/20/31 | 1,2,3 | 21,475,000 | 20,592,893 | ||||||||
Atrium XII, Series 12A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.83%) |
| |||||||||||
2.63% | 04/22/27 | 1,2,3 | 26,460,000 | 25,712,002 | ||||||||
Barings BDC Static CLO Ltd., |
| |||||||||||
Series 2019-1A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.02%) |
| |||||||||||
2.85% | 04/15/27 | 1,2,3 | 2,775,038 | 2,564,135 | ||||||||
Barings CLO Ltd., Series 2013-IA, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
2.62% | 01/20/28 | 1,2,3 | 54,380,000 | 51,337,113 | ||||||||
Barings CLO Ltd., Series 2016-2A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
2.90% | 07/20/28 | 1,2,3 | 49,920,000 | 49,087,185 | ||||||||
Barings CLO Ltd., Series 2018-3A, |
| |||||||||||
Class A1 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
2.77% | 07/20/29 | 1,2,3 | 35,811,000 | 34,478,473 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
1.50% | 01/25/35 | 1,2 | 1,339,566 | 1,206,321 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2005-1A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 04/25/35 | 1,2 | 2,872,791 | 2,485,618 | ||||||||
BlueMountain CLO Ltd., Series 2015-2A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.93%) |
| |||||||||||
2.75% | 07/18/27 | 1,2,3 | 8,330,000 | 8,044,364 | ||||||||
Brazos Education Loan Authority, Inc., |
| |||||||||||
Series 2012-1, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
1.65% | 12/26/35 | 1 | $ | 41,234 | $ | 39,971 | ||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2010-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.88% | 02/25/35 | 1 | 14,100,000 | 13,728,203 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-1, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
2.73% | 11/25/33 | 1 | 16,050,000 | 15,085,610 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-2, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
2.79% | 10/27/36 | 1 | 24,361,000 | 22,285,717 | ||||||||
CIT Education Loan Trust, Series 2007-1, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 3-Month plus 0.09%) |
| |||||||||||
1.31% | 03/25/42 | 1,2 | 18,692,482 | 16,924,585 | ||||||||
CIT Education Loan Trust, Series 2007-1, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.30%) |
| |||||||||||
1.52% | 06/25/42 | 1,2 | 13,179,369 | 11,178,983 | ||||||||
Clear Creek CLO, Series 2015-1A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
3.02% | 10/20/30 | 1,2,3 | 27,190,000 | 25,961,175 | ||||||||
College Loan Corp. Trust, Series 2005-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.49%) |
| |||||||||||
2.32% | 01/15/37 | 1 | 2,649,024 | 2,203,621 | ||||||||
Dryden 30 Senior Loan Fund, |
| |||||||||||
Series 2013-30A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.82%) |
| |||||||||||
2.51% | 11/15/28 | 1,2,3 | 19,066,000 | 17,380,566 | ||||||||
Dryden 33 Senior Loan Fund, |
| |||||||||||
Series 2014-33A, Class AR2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.23%) |
| |||||||||||
3.06% | 04/15/29 | 1,2,3 | 1,000,000 | 968,410 | ||||||||
Dryden XXVI Senior Loan Fund, |
| |||||||||||
Series 2013-26A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
2.73% | 04/15/29 | 1,2,3 | 22,823,000 | 21,898,669 | ||||||||
Eaton Vance CLO Ltd., Series 2013-1A, |
| |||||||||||
Class A1RR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.16%) |
| |||||||||||
2.99% | 01/15/28 | 1,2,3 | 20,025,000 | 19,398,217 | ||||||||
ECMC Group Student Loan Trust, |
| |||||||||||
Series 2016-1A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||||
2.30% | 07/26/66 | 1,2 | 38,273,768 | 36,202,889 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 130 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Education Loan Asset-Backed Trust I, |
| |||||||||||
Series 2013-1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.75% | 04/26/32 | 1,2 | $ | 12,740,000 | $ | 12,283,955 | ||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series 2011-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
2.44% | 04/25/35 | 1 | 18,748 | 17,670 | ||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
2.00% | 03/25/36 | 1 | 11,927,535 | 11,796,538 | ||||||||
EFS Volunteer No. 2 LLC, Series 2012-1, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||||
2.30% | 03/25/36 | 1,2 | 14,745,663 | 14,089,773 | ||||||||
Flatiron CLO Ltd., Series 2015-1A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.89%) |
| |||||||||||
2.72% | 04/15/27 | 1,2,3 | 5,479,711 | 5,360,916 | ||||||||
Galaxy XXIX CLO Ltd., Series 2018-29A, |
| |||||||||||
Class A (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.79%) |
| |||||||||||
2.48% | 11/15/26 | 1,2,3 | 4,822,283 | 4,651,665 | ||||||||
GCO Education Loan Funding Trust, |
| |||||||||||
Series 2006-1, Class A11L |
| |||||||||||
(LIBOR USD 3-Month plus 0.23%) |
| |||||||||||
1.91% | 05/25/36 | 1 | 25,000,000 | 23,453,745 | ||||||||
Global SC Finance II SRL, Series 2014-1A, |
| |||||||||||
Class A2 (Barbados) |
| |||||||||||
3.09% | 07/17/29 | 2,3 | 38,586,167 | 35,881,280 | ||||||||
Goal Capital Funding Trust, Series 2005-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.53%) |
| |||||||||||
2.21% | 11/25/44 | 1 | 8,433,987 | 7,965,109 | ||||||||
Goal Capital Funding Trust, |
| |||||||||||
Series 2006-1, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
2.13% | 08/25/42 | 1 | 2,348,121 | 2,120,189 | ||||||||
Goal Structured Solutions Trust, |
| |||||||||||
Series 2015-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
1.60% | 09/25/41 | 1,2 | 63,164,862 | 58,938,811 | ||||||||
GoldenTree Loan Opportunities IX Ltd., |
| |||||||||||
Series 2014-9A, Class AR2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.11%) |
| |||||||||||
2.88% | 10/29/29 | 1,2,3 | 5,345,000 | 5,203,641 | ||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series 2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 2 | 683,021 | 654,227 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
J.G. Wentworth XXXII LLC, |
| |||||||||||
Series 2014-2A, Class A |
| |||||||||||
3.61% | 01/17/73 | 2 | $ | 44,318,033 | $ | 40,901,449 | ||||||
LCM XIII LP, Series 2013A, Class ARR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
2.96% | 07/19/27 | 1,2,3 | 25,525,000 | 24,752,307 | ||||||||
LCM XVIII LP, Series 19A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.24%) |
| |||||||||||
3.07% | 07/15/27 | 1,2,3 | 20,425,000 | 19,972,791 | ||||||||
LCM XX LP, Series 20A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.04%) |
| |||||||||||
2.86% | 10/20/27 | 1,2,3 | 7,120,000 | 6,863,110 | ||||||||
LCM XXI LP, Series 21A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
2.70% | 04/20/28 | 1,2,3 | 32,465,000 | 31,555,980 | ||||||||
Limerock CLO III LLC, Series 2014-3A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
3.02% | 10/20/26 | 1,2,3 | 32,286,896 | 32,006,000 | ||||||||
Madison Park Funding XXX Ltd., |
| |||||||||||
Series 2018-30A, Class A (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.58% | 04/15/29 | 1,2,3 | 22,672,500 | 21,865,450 | ||||||||
Magnetite XVIII Ltd., Series 2016-18A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
2.77% | 11/15/28 | 1,2,3 | 20,750,000 | 20,303,875 | ||||||||
Magnetite XXI Ltd., Series 2019-21A, |
| |||||||||||
Class A (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.28%) |
| |||||||||||
3.10% | 04/20/30 | 1,2,3 | 34,100,000 | 32,828,309 | ||||||||
Navient Student Loan Trust, Series 2014-1, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.51%) |
| |||||||||||
1.46% | 06/25/31 | 1 | 856,029 | 834,997 | ||||||||
Navient Student Loan Trust, Series 2014-2, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||||
1.59% | 03/25/83 | 1 | 63,099,258 | 59,969,888 | ||||||||
Navient Student Loan Trust, Series 2014-3, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||||
1.57% | 03/25/83 | 1 | 68,740,180 | 65,240,693 | ||||||||
Navient Student Loan Trust, Series 2014-4, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||||
1.57% | 03/25/83 | 1 | 103,468,801 | 98,163,055 |
See accompanying Notes to Financial Statements. |
131 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Navient Student Loan Trust, Series 2014-5, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||
1.57% | 03/25/831 | $ | 83,251,769 | $ | 75,557,870 | |||||
Navient Student Loan Trust, Series 2014-6, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.61%) |
| |||||||||
1.56% | 03/25/831 | 85,068,864 | 80,654,760 | |||||||
Navient Student Loan Trust, Series 2014-7, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.61%) |
| |||||||||
1.56% | 03/25/831 | 87,286,818 | 82,977,276 | |||||||
Navient Student Loan Trust, Series 2015-1, |
| |||||||||
Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
1.55% | 04/25/401 | 65,254,069 | 61,041,782 | |||||||
Navient Student Loan Trust, Series 2015-2, |
| |||||||||
Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.57%) |
| |||||||||
1.52% | 11/26/401 | 132,497,472 | 126,991,898 | |||||||
Navient Student Loan Trust, Series 2016-1A, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
1.65% | 02/25/701,2 | 30,243,159 | 29,252,514 | |||||||
Navient Student Loan Trust, Series 2016-7A, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||
2.10% | 03/25/661,2 | 61,811,432 | 59,856,979 | |||||||
Navient Student Loan Trust, Series 2018-3A, |
| |||||||||
Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
1.75% | 03/25/671,2 | 60,000,000 | 54,262,555 | |||||||
Nelnet Student Loan Trust, Series 2006-1, |
| |||||||||
Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||
2.13% | 08/23/361,2 | 12,500,000 | 11,986,495 | |||||||
Nelnet Student Loan Trust, Series 2007-2A, |
| |||||||||
Class A3L |
| |||||||||
(LIBOR USD 3-Month plus 0.35%) |
| |||||||||
1.57% | 03/25/261,2 | 25,834,392 | 25,337,137 | |||||||
Nelnet Student Loan Trust, Series 2012-5A, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
1.55% | 10/27/361,2 | 12,151,294 | 11,139,926 | |||||||
Nelnet Student Loan Trust, Series 2014-4A, |
| |||||||||
Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.90% | 11/25/481,2 | 11,630,000 | 10,528,184 | |||||||
Nelnet Student Loan Trust, Series 2014-5A, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||
1.50% | 07/25/461,2 | 66,792,640 | 61,937,076 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Nelnet Student Loan Trust, Series 2015-1A, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.59%) |
| |||||||||
1.54% | 04/25/461,2 | $ | 122,861,756 | $ | 110,433,200 | |||||
Nelnet Student Loan Trust, Series 2015-2A, |
| |||||||||
Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
1.55% | 09/25/471,2 | 53,190,309 | 49,617,021 | |||||||
Nelnet Student Loan Trust, Series 2015-3A, |
| |||||||||
Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.85% | 06/25/541,2 | 8,890,000 | 7,712,527 | |||||||
Neuberger Berman CLO XVI-S Ltd., |
| |||||||||
Series 2017-16SA, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||
2.68% | 01/15/281,2,3 | 1,690,000 | 1,644,549 | |||||||
North Carolina State Education Authority, |
| |||||||||
Series 2011-1, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
2.69% | 10/25/411 | 18,498,468 | 17,276,341 | |||||||
Northstar Education Finance, Inc., |
| |||||||||
Series 2007-1, Class A2 |
| |||||||||
LIBOR USD 3-Month |
| |||||||||
2.54% | 01/29/461 | 35,217,932 | 34,844,347 | |||||||
Octagon Investment Partners 25 Ltd., |
| |||||||||
Series 2015-1A, Class AR (Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||
2.62% | 10/20/261,2,3 | 17,760,000 | 17,527,326 | |||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2019-1, Class A1 (Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||
2.87% | 04/20/271,2,3 | 11,632,303 | 11,358,548 | |||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2019-4A, Class A1 (Cayman Islands) |
| |||||||||
LIBOR USD 3-Month |
| |||||||||
2.70% | 10/24/271,2,3 | 69,081,160 | 67,111,656 | |||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2020-2A, Class A1 (Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||
0.00% | 04/20/281,2,3 | 38,125,000 | 36,981,212 | |||||||
Panthera Aviation, Series 2013-1 |
| |||||||||
10.00% | 01/25/224,5,† | 13,004,312 | 2,860,949 | |||||||
Panthera Aviation, Series 2013-26 |
| |||||||||
10.00% | 03/20/244,5,7,† | 2,686,551 | 569,549 | |||||||
PHEAA Student Loan Trust, Series 2015-1A, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
1.55% | 10/25/411,2 | 135,268,881 | 124,978,336 | |||||||
Recette CLO Ltd., Series 2015-1A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.92%) |
| |||||||||
2.74% | 10/20/271,2,3 | 30,264,001 | 29,782,803 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 132 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Riserva CLO Ltd., Series 2016-3A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||
2.96% | 10/18/281,2,3 | $ | 13,270,000 | $ | 12,845,360 | |||||
Rockford Tower CLO Ltd., Series 2017-2A, |
| |||||||||
Class AR (Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.02%) |
| |||||||||
2.27% | 10/15/291,2,3 | 26,680,000 | 25,649,245 | |||||||
Scholar Funding Trust, Series 2012-B, |
| |||||||||
Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||
2.04% | 03/28/461,2 | 27,251,999 | 26,018,837 | |||||||
SLC Student Loan Trust, Series 2004-1, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.29%) |
| |||||||||
1.98% | 08/15/311 | 320,640 | 280,481 | |||||||
SLC Student Loan Trust, Series 2006-1, |
| |||||||||
Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||
0.90% | 03/15/551 | 9,645,000 | 8,236,897 | |||||||
SLC Student Loan Trust, Series 2006-2, |
| |||||||||
Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||
0.90% | 09/15/391 | 16,000,000 | 14,282,184 | |||||||
SLC Student Loan Trust, Series 2008-1, |
| |||||||||
Class A4A |
| |||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||
2.34% | 12/15/321 | 14,566,835 | 14,535,965 | |||||||
SLM Student Loan Trust, Series 2003-12, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.59%) |
| |||||||||
1.33% | 03/15/381 | 59,343 | 54,153 | |||||||
SLM Student Loan Trust, Series 2003-4, |
| |||||||||
Class A5E |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
1.49% | 03/15/331,2 | 5,254,454 | 4,860,370 | |||||||
SLM Student Loan Trust, Series 2004-3A, |
| |||||||||
Class A6A |
| |||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||
2.34% | 10/25/641,2 | 57,357,157 | 53,580,418 | |||||||
SLM Student Loan Trust, Series 2005-5, |
| |||||||||
Class A5 |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
2.54% | 10/25/401 | 7,134,000 | 6,679,024 | |||||||
SLM Student Loan Trust, Series 2005-8, |
| |||||||||
Class A5 |
| |||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||
1.96% | 01/25/401 | 430,000 | 397,356 | |||||||
SLM Student Loan Trust, Series 2005-9, |
| |||||||||
Class A7A |
| |||||||||
(LIBOR USD 3-Month plus 0.60%) |
| |||||||||
2.39% | 01/25/411 | 65,083,121 | 59,193,003 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2006-2, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
1.96% | 01/25/411 | $ | 36,484,013 | $ | 32,631,112 | |||||||
SLM Student Loan Trust, Series 2006-8, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||||
1.95% | 01/25/411 | 33,180,000 | 29,864,771 | |||||||||
SLM Student Loan Trust, Series 2007-1, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.14%) |
| |||||||||||
1.93% | 01/27/421 | 34,350,000 | 29,753,225 | |||||||||
SLM Student Loan Trust, Series 2007-1, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.22%) |
| |||||||||||
2.01% | 01/27/421 | 4,437,196 | 3,713,558 | |||||||||
SLM Student Loan Trust, Series 2007-3, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.06%) |
| |||||||||||
1.85% | 01/25/221 | 2,663,190 | 2,555,333 | |||||||||
SLM Student Loan Trust, Series 2007-6, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||||
2.64% | 04/27/431 | 4,486,059 | 3,925,594 | |||||||||
SLM Student Loan Trust, Series 2007-7, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.33%) |
| |||||||||||
2.12% | 01/25/221 | 66,106 | 63,536 | |||||||||
SLM Student Loan Trust, Series 2008-1, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
2.44% | 01/25/221 | 40,812,061 | 38,623,620 | |||||||||
SLM Student Loan Trust, Series 2008-2, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.54% | 04/25/231 | 93,245,245 | 88,668,965 | |||||||||
SLM Student Loan Trust, Series 2008-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 01/25/83 | 1 | 38,874,000 | 30,503,017 | ||||||||
SLM Student Loan Trust, Series 2008-3, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
2.79% | 10/25/211 | 19,274 | 18,159 | |||||||||
SLM Student Loan Trust, Series 2008-3, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 04/26/831 | 2,170,000 | 1,963,296 | |||||||||
SLM Student Loan Trust, Series 2008-4, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
3.44% | 07/25/221 | 2,297,742 | 2,136,139 |
See accompanying Notes to Financial Statements.
133 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
SLM Student Loan Trust, Series 2008-4, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
3.64% | 04/25/731 | $ | 8,759,000 | $ | 7,410,522 | |||||
SLM Student Loan Trust, Series 2008-5, |
| |||||||||
Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||
3.49% | 07/25/231 | 34,922,696 | 33,017,279 | |||||||
SLM Student Loan Trust, Series 2008-5, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
3.64% | 07/25/731 | 37,199,000 | 33,002,644 | |||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||
Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||
2.89% | 07/25/231 | 14,021,401 | 13,677,820 | |||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
3.64% | 07/26/831 | 31,424,000 | 28,578,830 | |||||||
SLM Student Loan Trust, Series 2008-7, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
3.64% | 07/26/831 | 17,126,000 | 15,673,085 | |||||||
SLM Student Loan Trust, Series 2008-8, |
| |||||||||
Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
3.29% | 04/25/231 | 3,084,824 | 3,077,136 | |||||||
SLM Student Loan Trust, Series 2008-8, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||
4.04% | 10/25/751 | 545,000 | 493,270 | |||||||
SLM Student Loan Trust, Series 2008-9, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
3.29% | 04/25/231 | 71,154,774 | 70,538,560 | |||||||
SLM Student Loan Trust, Series 2008-9, |
| |||||||||
Class B |
| |||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||
4.04% | 10/25/831 | 45,100,000 | 44,554,167 | |||||||
SLM Student Loan Trust, Series 2009-3, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
1.70% | 01/25/451,2 | 175,119,985 | 159,684,279 | |||||||
SLM Student Loan Trust, Series 2011-1, |
| |||||||||
Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||
2.10% | 10/25/341 | 3,070,000 | 3,040,973 | |||||||
SLM Student Loan Trust, Series 2012-1, |
| |||||||||
Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.90% | 09/25/281 | 302,439 | 290,667 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
SLM Student Loan Trust, Series 2012-2, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
1.65% | 01/25/291 | $ | 13,881,149 | $ | 13,297,157 | |||||
SLM Student Loan Trust, Series 2012-3, |
| |||||||||
Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
1.60% | 12/27/381 | 16,523,668 | 15,269,285 | |||||||
SLM Student Loan Trust, Series 2012-7, |
| |||||||||
Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
1.60% | 05/26/261 | 24,202,044 | 22,216,155 | |||||||
Student Loan Consolidation Center Student |
| |||||||||
Loan Trust I, Series 2002-2, Class B2 |
| |||||||||
(28 Day Auction Rate plus 0.00%) |
| |||||||||
1.61% | 07/01/421,2 | 20,900,000 | 19,076,705 | |||||||
TCI-Flatiron CLO Ltd., Series 2016-1A, |
| |||||||||
Class AR (Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.22%) |
| |||||||||
3.06% | 07/17/281,2,3 | 57,160,000 | 55,840,461 | |||||||
Treman Park CLO Ltd., Series 2015-1A, |
| |||||||||
Class ARR (Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.07%) |
| |||||||||
2.89% | 10/20/281,2,3 | 21,540,000 | 20,936,880 | |||||||
Vermont Student Assistance Corp., |
| |||||||||
Series 2012-1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
2.30% | 07/28/341 | 3,441,980 | 3,246,440 | |||||||
Voya CLO Ltd., Series 2014-3A, Class A1R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.72%) |
| |||||||||
2.51% | 07/25/261,2,3 | 14,523,983 | 14,285,325 | |||||||
Wachovia Student Loan Trust, |
| |||||||||
Series 2006-1, Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||
1.96% | 04/25/401,2 | 17,952 | 16,735 | |||||||
|
| |||||||||
Total Asset-Backed Securities |
| |||||||||
(Cost $3,596,119,324) |
| 3,402,534,018 | ||||||||
|
| |||||||||
BANK LOANS — 1.20%* |
| |||||||||
Automotive — 0.02% |
| |||||||||
Panther BF Aggregator 2 LP |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.44% | 04/30/261 | 20,135,658 | 18,524,805 | |||||||
|
| |||||||||
Communications — 0.33% |
| |||||||||
CenturyLink, Inc., |
| |||||||||
Term Loan A, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.99% | 01/31/251 | 34,118,360 | 32,014,451 | |||||||
CenturyLink, Inc., |
| |||||||||
Term Loan B, 1st Lien |
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 134 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 03/15/27 | 1 | $ | 8,977,500 | $ | 8,433,284 | ||||||
Charter Communications Operating LLC, |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 02/01/27 | 1 | 8,029,825 | 7,748,781 | ||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 04/04/26 | 1 | 15,687,459 | 14,903,086 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.86% | 07/17/25 | 1 | 3,874,805 | 3,726,283 | ||||||||
2.86% | 01/15/26 | 1 | 25,057,287 | 24,180,282 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B5 |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.11% | 04/15/27 | 1 | 7,000,000 | 6,778,310 | ||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.21% | 06/17/24 | 1 | 156,337 | 149,424 | ||||||||
5.35% | 06/17/24 | 1 | 46,781,440 | 44,712,765 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B4, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
6.43% | 01/02/24 | 1,3 | 2,000,000 | 1,864,000 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
6.63% | 01/02/24 | 1,3 | 25,379,651 | 23,825,148 | ||||||||
Lamar Media Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.50%) |
| |||||||||||
2.52% | 02/05/27 | 1 | 2,456,250 | 2,364,141 | ||||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 03/01/27 | 1 | 22,889,876 | 21,588,015 | ||||||||
Sprint Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/02/24 | 1 | 25,770,702 | 25,674,062 | ||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 02/02/24 | 1 | 12,689,375 | 12,641,790 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 03/09/27 | 1 | 34,500,000 | 32,775,000 | ||||||||
|
| |||||||||||
263,378,822 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Consumer Discretionary — 0.03% |
| |||||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 02/05/23 | 1 | $ | 26,249,953 | $ | 25,003,080 | ||||||
|
| |||||||||||
Electric — 0.04% |
| |||||||||||
Homer City Generation LP, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 11.00%) |
| |||||||||||
12.46% | 04/05/23 | 1,4,5 | 7,960,085 | 6,069,565 | ||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.55% | 12/31/25 | 1 | 5,307,898 | 5,072,360 | ||||||||
2.74% | 12/31/25 | 1 | 22,176,853 | 21,192,755 | ||||||||
|
| |||||||||||
32,334,680 | ||||||||||||
|
| |||||||||||
Entertainment — 0.01% |
| |||||||||||
CineWorld Finance US, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.32% | 02/28/25 | 1 | 7,900,752 | 5,530,527 | ||||||||
|
| |||||||||||
Finance — 0.11% |
| |||||||||||
Auris Lux III SA, |
| |||||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.74% | 02/27/26 | 1,3 | 1,488,724 | 1,142,595 | ||||||||
Avolon TLB Borrower 1 US LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.52% | 01/15/25 | 1 | 6,520,459 | 5,879,302 | ||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 10/06/23 | 1 | 58,903,731 | 53,749,655 | ||||||||
Telenet Financing USD LLC, |
| |||||||||||
Term Loan AR, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.70% | 04/30/28 | 1 | 28,600,000 | 26,569,400 | ||||||||
|
| |||||||||||
87,340,952 | ||||||||||||
|
| |||||||||||
Food — 0.02% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
4.03% | 08/03/25 | 1 | 16,628,221 | 15,755,239 | ||||||||
JBS USA LUX SA, |
| |||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
3.07% | 05/01/26 | 1,3 | 1,133,414 | 1,069,455 | ||||||||
|
| |||||||||||
16,824,694 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
135 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Gaming — 0.02% |
| |||||||||
Caesars Entertainment LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.99% | 10/07/241 | $ | 10,146,696 | $ | 8,371,025 | |||||
Churchill Downs, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.99% | 12/27/241 | 11,722,613 | 10,501,527 | |||||||
|
| |||||||||
18,872,552 | ||||||||||
|
| |||||||||
Health Care — 0.26% |
| |||||||||
Catalent Pharma Solutions, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.24% | 05/18/261 | 5,865,189 | 5,718,559 | |||||||
Change Healthcare Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
3.50% | 03/01/241 | 16,310,241 | 15,576,280 | |||||||
Elanco Animal Health, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.75% | 02/04/271 | 96,850,000 | 92,733,875 | |||||||
Gentiva Health Services, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 07/02/251 | 6,578,236 | 6,216,433 | |||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.68% | 11/15/271 | 8,029,875 | 7,661,826 | |||||||
HCA, Inc., |
| |||||||||
Term Loan B12, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 03/13/251 | 14,925,000 | 14,303,150 | |||||||
MPH Acquisition Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
4.20% | 06/07/231 | 14,592,776 | 13,133,498 | |||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
3.36% | 11/27/251 | 4,865,132 | 4,646,201 | |||||||
(LIBOR plus 3.00%) |
| |||||||||
3.61% | 06/02/251 | 53,412,269 | 51,120,081 | |||||||
|
| |||||||||
211,109,903 | ||||||||||
|
| |||||||||
Industrials — 0.07% |
| |||||||||
Berry Plastics Group, Inc., |
| |||||||||
Term Loan Y, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.86% | 07/01/261 | 27,400,980 | 26,190,816 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Industrials (continued) |
| |||||||||
Clean Harbors, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 06/30/241 | $ | 2,946,970 | $ | 2,729,631 | |||||
Energizer Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.88% | 12/17/251 | 1,254,000 | 1,185,030 | |||||||
TransDigm, Inc., |
| |||||||||
Term Loan E, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.24% | 05/30/251 | 21,396,375 | 19,720,290 | |||||||
TransDigm, Inc., |
| |||||||||
Term Loan F, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.24% | 12/09/251 | 5,458,472 | 5,030,882 | |||||||
|
| |||||||||
54,856,649 | ||||||||||
|
| |||||||||
Information Technology — 0.10% |
| |||||||||
Broadcom, Inc., |
| |||||||||
Delayed-Draw Term Loan A3 |
| |||||||||
(LIBOR plus 1.13%) |
| |||||||||
2.13% | 11/04/221 | 41,120,625 | 39,270,197 | |||||||
IQVIA, Inc., |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 03/07/241 | 13,182,323 | 12,292,516 | |||||||
IQVIA, Inc., |
| |||||||||
Term Loan B2, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 01/17/251 | 8,975,994 | 8,287,850 | |||||||
IQVIA, Inc., |
| |||||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
3.20% | 06/11/251 | 6,434,876 | 6,209,656 | |||||||
SS&C Technologies, Inc., |
| |||||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 04/16/251 | 7,778,483 | 7,350,666 | |||||||
SS&C Technologies, Inc., |
| |||||||||
Term Loan B4, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 04/16/251 | 5,550,483 | 5,245,207 | |||||||
SS&C Technologies, Inc., |
| |||||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 04/16/251 | 5,422,941 | 5,129,777 | |||||||
|
| |||||||||
83,785,869 | ||||||||||
|
| |||||||||
Real Estate Investment Trust (REIT) — 0.08% |
| |||||||||
SBA Senior Finance II LLC, |
| |||||||||
Term Loan B, 1st Lien |
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 136 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 04/11/251 | $ | 44,291,100 | $ | 42,275,855 | |||||
VICI Properties 1 LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.67% | 12/20/241 | 19,528,636 | 18,173,837 | |||||||
|
| |||||||||
60,449,692 | ||||||||||
|
| |||||||||
Retail — 0.03% |
| |||||||||
BC ULC/New Red Finance, Inc., |
| |||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 11/19/261,3 | 23,970,612 | 22,232,742 | |||||||
|
| |||||||||
Services — 0.05% |
| |||||||||
GFL Environmental, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.99% | 05/30/251 | 30,000,578 | 29,238,113 | |||||||
4.00% | 05/30/251 | 5,368,183 | 5,231,751 | |||||||
PowerTeam Services LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.70% | 03/06/251 | 10,000,000 | 8,416,650 | |||||||
|
| |||||||||
42,886,514 | ||||||||||
|
| |||||||||
Transportation — 0.03% |
| |||||||||
American Airlines, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.69% | 01/29/271 | 8,100,000 | 6,728,063 | |||||||
United Airlines, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.74% | 04/01/241 | 18,454,102 | 16,793,233 | |||||||
|
| |||||||||
23,521,296 | ||||||||||
|
| |||||||||
Total Bank Loans |
| |||||||||
(Cost $1,008,350,491) |
| 966,652,777 | ||||||||
|
| |||||||||
CORPORATES — 28.27%* |
| |||||||||
Automotive — 0.02% |
| |||||||||
Ford Motor Co. |
| |||||||||
7.45% | 07/16/31 | 200,000 | 144,678 | |||||||
General Motors Co. |
| |||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||
2.54% | 08/07/201 | 4,850,000 | 4,766,933 | |||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
1.80% | 09/10/211 | 8,685,000 | 7,839,969 | |||||||
|
| |||||||||
12,751,580 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Banking — 3.33% |
| |||||||||
Bank of America Corp. |
| |||||||||
2.74% | 01/23/228 | $ | 108,426,000 | $ | 108,771,774 | |||||
3.00% | 12/20/238 | 125,832,000 | 128,557,199 | |||||||
3.37% | 01/23/268 | 22,240,000 | 23,344,474 | |||||||
Bank of America Corp. (MTN) |
| |||||||||
2.33% | 10/01/218 | 32,930,000 | 32,890,196 | |||||||
2.50% | 02/13/318 | 14,457,000 | 14,009,024 | |||||||
3.12% | 01/20/238 | 11,762,000 | 11,960,719 | |||||||
3.97% | 02/07/308 | 3,000,000 | 3,239,856 | |||||||
4.08% | 03/20/518 | 352,496,000 | 404,976,662 | |||||||
4.27% | 07/23/298 | 40,000 | 43,802 | |||||||
Discover Bank |
| |||||||||
7.00% | 04/15/20 | 9,000,000 | 9,007,704 | |||||||
Discover Bank (BKNT) |
| |||||||||
2.70% | 02/06/30 | 10,000,000 | 8,865,771 | |||||||
3.10% | 06/04/20 | 5,843,000 | 5,834,427 | |||||||
3.20% | 08/09/21 | 5,860,000 | 5,826,592 | |||||||
4.20% | 08/08/23 | 18,795,000 | 19,554,231 | |||||||
Global Bank Corp. (Panama) |
| |||||||||
5.25% | 04/16/292,3,8 | 2,400,000 | 2,344,800 | |||||||
Grupo Aval Ltd. (Cayman Islands) |
| |||||||||
4.38% | 02/04/302,3 | 1,175,000 | 951,985 | |||||||
JPMorgan Chase & Co. |
| |||||||||
2.01% | 03/13/268 | 235,380,000 | 234,517,163 | |||||||
3.20% | 01/25/23 | 375,000 | 386,508 | |||||||
3.20% | 06/15/26 | 15,000,000 | 15,612,981 | |||||||
3.21% | 04/01/238 | 7,510,000 | 7,645,920 | |||||||
3.22% | 03/01/258 | 80,456,000 | 83,684,623 | |||||||
3.70% | 05/06/308 | 30,000,000 | 32,031,252 | |||||||
4.02% | 12/05/248 | 243,975,000 | 258,908,556 | |||||||
4.20% | 07/23/298 | 2,000,000 | 2,198,780 | |||||||
4.25% | 10/15/20 | 9,330,000 | 9,437,191 | |||||||
4.49% | 03/24/318 | 16,970,000 | 19,608,458 | |||||||
Lloyds Bank PLC (United Kingdom) |
| |||||||||
6.38% | 01/21/213 | 4,920,000 | 5,063,030 | |||||||
Lloyds Banking Group PLC |
| |||||||||
(United Kingdom) |
| |||||||||
2.86% | 03/17/233,8 | 136,460,000 | 134,685,455 | |||||||
2.91% | 11/07/233,8 | 169,145,000 | 167,447,943 | |||||||
3.90% | 03/12/243 | 36,376,000 | 36,878,403 | |||||||
4.05% | 08/16/233 | 4,605,000 | 4,754,617 | |||||||
PNC Bank N.A. (BKNT) |
| |||||||||
2.15% | 04/29/21 | 350,000 | 350,292 | |||||||
Santander UK Group Holdings PLC |
| |||||||||
(United Kingdom) |
| |||||||||
2.88% | 08/05/213 | 85,506,000 | 85,110,917 | |||||||
3.13% | 01/08/213 | 26,058,000 | 25,991,477 | |||||||
3.37% | 01/05/243,8 | 69,825,000 | 67,937,124 | |||||||
4.80% | 11/15/243,8 | 69,325,000 | 72,708,231 |
See accompanying Notes to Financial Statements.
137 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Banking (continued) |
| |||||||||
Wells Fargo & Co. (GMTN) |
| |||||||||
2.60% | 07/22/20 | $ | 10,326,000 | $ | 10,329,766 | |||||
Wells Fargo & Co. (MTN) |
| |||||||||
2.16% | 02/11/268 | 97,755,000 | 95,236,317 | |||||||
2.57% | 02/11/318 | 40,990,000 | 39,308,673 | |||||||
2.88% | 10/30/308 | 66,820,000 | 66,306,543 | |||||||
4.15% | 01/24/29 | 75,000 | 81,959 | |||||||
4.48% | 04/04/318 | 47,735,000 | 53,951,541 | |||||||
5.01% | 04/04/518 | 186,718,000 | 240,459,257 | |||||||
Wells Fargo Bank N.A. (BKNT) |
| |||||||||
2.08% | 09/09/228 | 131,536,000 | 130,959,442 | |||||||
|
| |||||||||
2,681,771,635 | ||||||||||
|
| |||||||||
Communications — 3.71% |
| |||||||||
AT&T, Inc. |
| |||||||||
3.88% | 01/15/26 | 100,000 | 103,279 | |||||||
4.30% | 02/15/30 | 27,050,000 | 29,062,636 | |||||||
4.30% | 12/15/42 | 13,752,000 | 14,576,483 | |||||||
4.35% | 03/01/29 | 34,945,000 | 37,589,553 | |||||||
4.35% | 06/15/45 | 28,531,000 | 30,108,450 | |||||||
4.50% | 05/15/35 | 31,710,000 | 34,147,516 | |||||||
4.50% | 03/09/48 | 35,987,000 | 38,878,206 | |||||||
4.55% | 03/09/49 | 18,622,000 | 20,122,759 | |||||||
4.75% | 05/15/46 | 124,446,000 | 138,261,576 | |||||||
4.80% | 06/15/44 | 141,302,000 | 153,849,985 | |||||||
4.85% | 03/01/39 | 4,572,000 | 5,139,517 | |||||||
4.90% | 08/15/37 | 12,466,000 | 13,937,841 | |||||||
5.15% | 11/15/46 | 14,600,000 | 17,226,729 | |||||||
5.25% | 03/01/37 | 158,179,000 | 184,985,905 | |||||||
C&W Senior Financing DAC (Ireland) |
| |||||||||
6.88% | 09/15/272,3 | 3,150,000 | 2,740,500 | |||||||
CCO Holdings LLC/CCO Holdings |
| |||||||||
Capital Corp. |
| |||||||||
4.50% | 08/15/302 | 98,836,000 | 97,847,640 | |||||||
4.50% | 05/01/322 | 79,982,000 | 78,099,956 | |||||||
4.75% | 03/01/302 | 6,192,000 | 6,195,406 | |||||||
5.00% | 02/01/282 | 9,000,000 | 9,072,450 | |||||||
5.13% | 05/01/272 | 5,545,000 | 5,567,027 | |||||||
5.38% | 06/01/292 | 18,207,000 | 18,810,562 | |||||||
5.88% | 04/01/242 | 3,638,000 | 3,751,706 | |||||||
CenturyLink, Inc. |
| |||||||||
4.00% | 02/15/272 | 19,050,000 | 18,502,802 | |||||||
Charter Communications Operating LLC/ |
| |||||||||
Charter Communications Operating Capital |
| |||||||||
4.50% | 02/01/24 | 672,000 | 693,715 | |||||||
4.80% | 03/01/50 | 20,253,000 | 21,406,408 | |||||||
4.91% | 07/23/25 | 27,999,000 | 29,912,172 | |||||||
5.38% | 04/01/38 | 2,025,000 | 2,228,393 | |||||||
5.38% | 05/01/47 | 46,143,000 | 50,632,960 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
5.75% | 04/01/48 | $ | 24,220,000 | $ | 27,775,012 | |||||||
Comcast Corp. |
| |||||||||||
3.45% | 02/01/50 | 2,000,000 | 2,159,413 | |||||||||
3.97% | 11/01/47 | 25,000,000 | 28,399,060 | |||||||||
4.00% | 11/01/49 | 1,865,000 | 2,182,866 | |||||||||
4.60% | 10/15/38 | 2,000,000 | 2,395,527 | |||||||||
4.70% | 10/15/48 | 2,000,000 | 2,602,125 | |||||||||
Cox Communications, Inc. |
| |||||||||||
3.15% | 08/15/242 | 14,235,000 | 14,618,283 | |||||||||
CSC Holdings LLC |
| |||||||||||
5.38% | 07/15/232 | 200,000 | 201,249 | |||||||||
5.38% | 02/01/282 | 30,826,000 | 31,657,300 | |||||||||
5.50% | 05/15/262 | 598,000 | 622,708 | |||||||||
5.50% | 04/15/272 | 3,945,000 | 4,089,093 | |||||||||
6.50% | 02/01/292 | 5,512,000 | 5,975,642 | |||||||||
6.63% | 10/15/252 | 1,217,000 | 1,281,244 | |||||||||
6.75% | 11/15/21 | 4,216,000 | 4,370,938 | |||||||||
Fox Corp. | ||||||||||||
3.50% | 04/08/30 | 3,105,000 | 3,098,759 | |||||||||
5.58% | 01/25/492 | 12,075,000 | 14,497,125 | |||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||||
5.50% | 08/01/233 | 19,276,000 | 12,746,351 | |||||||||
8.50% | 10/15/242,3 | 114,959,000 | 73,539,272 | |||||||||
9.75% | 07/15/252,3 | 39,693,000 | 25,178,675 | |||||||||
Koninklijke KPN NV (Netherlands) |
| |||||||||||
8.38% | 10/01/303 | 36,548,000 | 50,237,202 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.40% | 03/01/272 | 23,480,000 | 22,479,752 | |||||||||
3.88% | 11/15/292 | 48,075,000 | 45,387,127 | |||||||||
4.63% | 09/15/272 | 37,905,000 | 37,884,152 | |||||||||
5.38% | 01/15/24 | 6,147,000 | 6,241,049 | |||||||||
5.38% | 05/01/25 | 4,763,000 | 4,810,630 | |||||||||
5.63% | 02/01/23 | 2,171,000 | 2,176,362 | |||||||||
NBCUniversal Media LLC |
| |||||||||||
4.45% | 01/15/43 | 5,000,000 | 6,337,882 | |||||||||
Qwest Corp. | ||||||||||||
7.25% | 09/15/25 | 9,409,000 | 9,761,837 | |||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/442 | 50,505,000 | 42,123,909 | |||||||||
SES SA (Luxembourg) |
| |||||||||||
3.60% | 04/04/232,3 | 16,882,000 | 16,568,031 | |||||||||
Sirius XM Radio, Inc. |
| |||||||||||
5.50% | 07/01/292 | 5,232,000 | 5,343,578 | |||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 12,355,000 | 13,637,881 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/212 | 64,584,000 | 64,503,270 | |||||||||
4.74% | 03/20/252 | 90,931,000 | 93,544,812 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 138 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Communications (continued) |
| |||||||||
5.15% | 03/20/282 | $ | 231,108,000 | $ | 248,104,260 | |||||
TEGNA, Inc. |
| |||||||||
5.50% | 09/15/242 | 354,000 | 337,627 | |||||||
Time Warner Cable LLC |
| |||||||||
4.50% | 09/15/42 | 18,977,000 | 17,904,692 | |||||||
5.50% | 09/01/41 | 30,584,000 | 32,088,067 | |||||||
5.88% | 11/15/40 | 41,652,000 | 44,241,088 | |||||||
T-Mobile USA, Inc. |
| |||||||||
4.50% | 02/01/26 | 3,639,000 | 3,752,719 | |||||||
4.75% | 02/01/28 | 16,028,000 | 16,805,839 | |||||||
6.00% | 03/01/23 | 48,736,000 | 49,309,379 | |||||||
6.00% | 04/15/24 | 50,508,000 | 51,870,201 | |||||||
6.50% | 01/15/24 | 18,635,000 | 18,961,113 | |||||||
Verizon Communications, Inc. |
| |||||||||
3.15% | 03/22/30 | 34,565,000 | 37,310,192 | |||||||
4.13% | 03/16/27 | 14,370,000 | 16,011,305 | |||||||
4.13% | 08/15/46 | 3,995,000 | 4,659,121 | |||||||
4.50% | 08/10/33 | 2,000,000 | 2,362,303 | |||||||
4.52% | 09/15/48 | 10,000,000 | 12,834,195 | |||||||
ViacomCBS, Inc. |
| |||||||||
3.45% | 10/04/26 | 2,913,000 | 2,687,123 | |||||||
3.70% | 06/01/28 | 1,175,000 | 1,086,384 | |||||||
4.95% | 01/15/31 | 26,952,000 | 26,581,844 | |||||||
Virgin Media Secured Finance PLC |
| |||||||||
(United Kingdom) |
| |||||||||
5.50% | 08/15/262,3 | 19,102,000 | 19,521,623 | |||||||
5.50% | 05/15/292,3 | 66,710,000 | 67,100,906 | |||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||
3.75% | 01/16/243 | 35,000 | 36,694 | |||||||
4.13% | 05/30/253 | 20,399,000 | 21,842,537 | |||||||
4.25% | 09/17/503 | 90,875,000 | 96,070,866 | |||||||
4.88% | 06/19/493 | 159,908,500 | 178,583,152 | |||||||
5.25% | 05/30/483 | 86,981,500 | 105,247,276 | |||||||
Walt Disney Co. (The) |
| |||||||||
2.75% | 09/01/49 | 2,000,000 | 1,976,996 | |||||||
3.80% | 03/22/30 | 43,762,000 | 49,393,358 | |||||||
4.63% | 03/23/40 | 46,500,000 | 56,772,457 | |||||||
4.70% | 03/23/50 | 45,286,000 | 59,235,469 | |||||||
5.40% | 10/01/43 | 5,000,000 | 6,695,611 | |||||||
7.43% | 10/01/26 | 1,965,000 | 2,596,980 | |||||||
|
| |||||||||
2,993,861,625 | ||||||||||
|
| |||||||||
Consumer Discretionary — 0.78% |
| |||||||||
Anheuser-Busch Cos LLC/Anheuser-Busch |
| |||||||||
InBev Worldwide, Inc. |
| |||||||||
4.70% | 02/01/36 | 2,000,000 | 2,101,228 | |||||||
4.90% | 02/01/46 | 54,074,000 | 59,159,804 | |||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
4.00% | 04/13/28 | 100,000 | 103,509 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Consumer Discretionary (continued) |
| |||||||||
4.60% | 04/15/48 | $ | 21,130,000 | $ | 22,497,352 | |||||
5.45% | 01/23/39 | 2,000,000 | 2,308,413 | |||||||
Bacardi Ltd. (Bermuda) |
| |||||||||
4.70% | 05/15/282,3 | 10,806,000 | 11,567,839 | |||||||
5.15% | 05/15/382,3 | 12,881,000 | 13,496,908 | |||||||
5.30% | 05/15/482,3 | 39,816,000 | 43,391,975 | |||||||
BAT Capital Corp. |
| |||||||||
4.39% | 08/15/37 | 66,415,000 | 61,475,387 | |||||||
4.54% | 08/15/47 | 90,591,000 | 82,884,150 | |||||||
4.76% | 09/06/49 | 35,273,000 | 33,456,787 | |||||||
BAT International Finance PLC (EMTN) (United Kingdom) |
| |||||||||
2.25% | 09/09/523 | 11,770,000 | 9,246,539 | |||||||
Constellation Brands, Inc. |
| |||||||||
(LIBOR USD 3-Month plus 0.70%) |
| |||||||||
2.39% | 11/15/211 | 72,140,000 | 68,020,154 | |||||||
NIKE, Inc. |
| |||||||||
2.85% | 03/27/30 | 18,935,000 | 20,010,519 | |||||||
3.25% | 03/27/40 | 35,000,000 | 36,782,491 | |||||||
3.38% | 03/27/50 | 14,735,000 | 16,108,377 | |||||||
Reynolds American, Inc. |
| |||||||||
5.70% | 08/15/35 | 32,165,000 | 34,738,972 | |||||||
5.85% | 08/15/45 | 91,321,000 | 96,724,764 | |||||||
6.88% | 05/01/20 | 5,845,000 | 5,860,369 | |||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer |
| |||||||||
LLC/Reynolds Group Issuer Luxembourg SA |
| |||||||||
(LIBOR USD 3-Month plus 3.50%) |
| |||||||||
5.33% | 07/15/211,2 | 8,770,000 | 8,609,947 | |||||||
Spectrum Brands, Inc. |
| |||||||||
5.75% | 07/15/25 | 10,000 | 9,513 | |||||||
6.13% | 12/15/24 | 1,369,000 | 1,315,581 | |||||||
|
| |||||||||
629,870,578 | ||||||||||
|
| |||||||||
Consumer Products — 0.10% |
| |||||||||
Procter & Gamble Co. (The) |
| |||||||||
3.00% | 03/25/30 | 37,118,000 | 41,410,812 | |||||||
3.55% | 03/25/40 | 35,000,000 | 40,861,192 | |||||||
|
| |||||||||
82,272,004 | ||||||||||
|
| |||||||||
Electric — 1.55% |
| |||||||||
Alliant Energy Finance LLC |
| |||||||||
3.75% | 06/15/232 | 34,081,000 | 35,278,832 | |||||||
American Electric Power Co., Inc., Series F |
| |||||||||
2.95% | 12/15/22 | 4,511,000 | 4,382,803 | |||||||
American Electric Power Co., Inc., Series I |
| |||||||||
3.65% | 12/01/21 | 14,300,000 | 14,482,035 | |||||||
American Electric Power Co., Inc., Series J |
| |||||||||
4.30% | 12/01/28 | 18,480,000 | 19,716,816 | |||||||
Berkshire Hathaway Energy Co. |
| |||||||||
4.25% | 10/15/502 | 6,625,000 | 7,561,478 |
See accompanying Notes to Financial Statements.
139 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Electric (continued) |
| |||||||||
Black Hills Corp. |
| |||||||||
4.35% | 05/01/33 | $ | 40,000 | $ | 50,405 | |||||
Cleco Power LLC |
| |||||||||
6.00% | 12/01/40 | 50,000 | 80,802 | |||||||
Consolidated Edison Co. of New York, Inc. |
| |||||||||
3.70% | 11/15/59 | 5,740,000 | 5,598,015 | |||||||
Consolidated Edison Co. of New York, Inc., Series E |
| |||||||||
4.65% | 12/01/48 | 14,546,000 | 16,574,460 | |||||||
Dominion Energy, Inc. |
| |||||||||
2.45% | 01/15/232 | 160,175,000 | 157,897,994 | |||||||
(LIBOR USD 3-Month plus 0.40%) |
| |||||||||
1.98% | 12/01/201,2 | 45,075,000 | 44,919,548 | |||||||
Dominion Energy, Inc., Series A |
| |||||||||
3.30% | 03/15/25 | 16,875,000 | 17,088,867 | |||||||
Duke Energy Carolinas LLC |
| |||||||||
4.00% | 09/30/42 | 11,040,000 | 12,466,690 | |||||||
4.25% | 12/15/41 | 16,358,000 | 18,612,090 | |||||||
Duquesne Light Holdings, Inc. |
| |||||||||
6.40% | 09/15/202 | 19,829,000 | 20,272,690 | |||||||
Entergy Corp. |
| |||||||||
4.00% | 07/15/22 | 12,632,000 | 12,996,336 | |||||||
5.13% | 09/15/20 | 9,800,000 | 9,798,497 | |||||||
Evergy Metro, Inc. |
| |||||||||
3.65% | 08/15/25 | 13,885,000 | 14,468,195 | |||||||
Evergy, Inc. |
| |||||||||
2.45% | 09/15/24 | 38,140,000 | 37,485,653 | |||||||
4.85% | 06/01/21 | 2,521,000 | 2,548,534 | |||||||
Eversource Energy, Series N |
| |||||||||
3.80% | 12/01/23 | 12,025,000 | 12,574,355 | |||||||
FirstEnergy Corp., Series C |
| |||||||||
3.40% | 03/01/50 | 5,000,000 | 4,785,263 | |||||||
FirstEnergy Transmission LLC |
| |||||||||
4.35% | 01/15/252 | 23,330,000 | 24,895,849 | |||||||
4.55% | 04/01/492 | 13,175,000 | 13,283,985 | |||||||
5.45% | 07/15/442 | 24,625,000 | 27,576,333 | |||||||
Florida Power & Light Co. |
| |||||||||
3.70% | 12/01/47 | 1,211,000 | 1,338,822 | |||||||
ITC Holdings Corp. |
| |||||||||
3.65% | 06/15/24 | 5,165,000 | 5,351,689 | |||||||
Jersey Central Power & Light Co. |
| |||||||||
4.30% | 01/15/262 | 4,980,000 | 5,392,664 | |||||||
4.70% | 04/01/242 | 37,747,000 | 40,333,595 | |||||||
6.40% | 05/15/36 | 11,630,000 | 14,303,416 | |||||||
KCP&L Greater Missouri Operations Co. |
| |||||||||
8.27% | 11/15/21 | 75,000 | 80,698 | |||||||
LG&E & KU Energy LLC |
| |||||||||
4.38% | 10/01/21 | 14,595,000 | 14,714,608 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Electric (continued) |
| |||||||||
Metropolitan Edison Co. |
| |||||||||
3.50% | 03/15/232 | $ | 10,715,000 | $ | 10,718,613 | |||||
4.00% | 04/15/252 | 35,719,000 | 38,613,132 | |||||||
4.30% | 01/15/292 | 16,746,000 | 17,513,697 | |||||||
MidAmerican Energy Co. |
| |||||||||
3.95% | 08/01/47 | 5,000,000 | 5,539,981 | |||||||
Minejesa Capital BV (Netherlands) |
| |||||||||
5.63% | 08/10/372,3 | 4,400,000 | 3,972,650 | |||||||
Mong Duong Finance Holdings BV, Series REGS (Netherlands) |
| |||||||||
5.13% | 05/07/293 | 13,350,000 | 11,360,526 | |||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||
2.23% | 05/04/211 | 190,430,000 | 187,205,917 | |||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||
2.16% | 08/28/211 | 158,500,000 | 155,329,212 | |||||||
Niagara Mohawk Power Corp. |
| |||||||||
4.28% | 12/15/282 | 21,775,000 | 24,320,080 | |||||||
Pennsylvania Electric Co. |
| |||||||||
4.15% | 04/15/252 | 28,335,000 | 30,448,346 | |||||||
5.20% | 04/01/20 | 25,200,000 | 25,199,974 | |||||||
Perusahaan Listrik Negara PT, Series REGS (EMTN) (Indonesia) |
| |||||||||
6.15% | 05/21/483 | 8,400,000 | 9,158,562 | |||||||
PNM Resources, Inc. |
| |||||||||
3.25% | 03/09/21 | 34,395,000 | 34,623,808 | |||||||
Public Service Co. of New Mexico |
| |||||||||
3.85% | 08/01/25 | 14,390,000 | 14,782,893 | |||||||
5.35% | 10/01/21 | 5,065,000 | 5,281,439 | |||||||
Southwestern Electric Power Co. |
| |||||||||
3.55% | 02/15/22 | 15,882,000 | 16,026,070 | |||||||
Southwestern Electric Power Co., Series K |
| |||||||||
2.75% | 10/01/26 | 36,488,000 | 34,204,874 | |||||||
Tucson Electric Power Co. |
| |||||||||
4.85% | 12/01/48 | 8,755,000 | 10,066,951 | |||||||
|
| |||||||||
1,251,278,742 | ||||||||||
|
| |||||||||
Energy — 3.02% |
| |||||||||
Antero Resources Corp. |
| |||||||||
5.00% | 03/01/25 | 77,293,000 | 29,178,107 | |||||||
5.13% | 12/01/22 | 19,312,000 | 10,145,366 | |||||||
5.63% | 06/01/23 | 17,786,000 | 7,559,050 | |||||||
BP Capital Markets America, Inc. |
| |||||||||
3.00% | 02/24/50 | 12,150,000 | 11,384,402 | |||||||
Cheniere Energy Partners LP |
| |||||||||
5.25% | 10/01/25 | 7,040,000 | 6,529,389 | |||||||
Ecopetrol SA (Colombia) |
| |||||||||
5.88% | 05/28/453 | 3,600,000 | 3,226,734 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 140 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. |
| |||||||||
5.50% | 01/30/262 | $ | 2,377,000 | $ | 1,657,191 | |||||
5.75% | 01/30/282 | 2,109,000 | 1,445,825 | |||||||
Energy Transfer Operating LP |
| |||||||||
3.75% | 05/15/30 | 18,620,000 | 14,642,730 | |||||||
4.05% | 03/15/25 | 6,439,000 | 5,691,508 | |||||||
4.20% | 04/15/27 | 10,000,000 | 8,078,056 | |||||||
4.90% | 03/15/35 | 5,160,000 | 4,060,219 | |||||||
4.95% | 06/15/28 | 3,678,000 | 3,049,144 | |||||||
5.00% | 05/15/50 | 81,999,000 | 64,521,760 | |||||||
5.15% | 03/15/45 | 64,112,000 | 49,615,376 | |||||||
5.25% | 04/15/29 | 11,860,000 | 9,897,272 | |||||||
5.30% | 04/15/47 | 8,913,000 | 6,802,234 | |||||||
5.50% | 06/01/27 | 53,939,000 | 47,148,473 | |||||||
5.88% | 01/15/24 | 6,673,000 | 6,439,445 | |||||||
6.13% | 12/15/45 | 15,405,000 | 13,251,068 | |||||||
6.25% | 04/15/49 | 13,155,000 | 11,314,703 | |||||||
Enterprise Products Operating LLC |
| |||||||||
3.70% | 01/31/51 | 10,000,000 | 8,870,582 | |||||||
4.85% | 03/15/44 | 5,000,000 | 5,126,425 | |||||||
EQM Midstream Partners LP |
| |||||||||
5.50% | 07/15/28 | 30,315,000 | 16,928,701 | |||||||
6.50% | 07/15/48 | 4,310,000 | 2,412,307 | |||||||
EQT Corp. |
| |||||||||
3.90% | 10/01/27 | 108,408,000 | 75,582,058 | |||||||
7.00% | 02/01/30 | 8,946,000 | 6,684,923 | |||||||
Exxon Mobil Corp. |
| |||||||||
3.10% | 08/16/49 | 19,225,000 | 19,561,270 | |||||||
3.48% | 03/19/30 | 160,095,000 | 177,035,065 | |||||||
3.57% | 03/06/45 | 5,000,000 | 5,211,829 | |||||||
4.11% | 03/01/46 | 5,000,000 | 5,935,356 | |||||||
4.23% | 03/19/40 | 153,720,000 | 180,481,092 | |||||||
4.33% | 03/19/50 | 141,615,000 | 173,800,389 | |||||||
Gulfport Energy Corp. |
| |||||||||
6.38% | 05/15/25 | 5,618,000 | 1,411,494 | |||||||
Hess Corp. |
| |||||||||
4.30% | 04/01/27 | 10,000,000 | 7,350,000 | |||||||
5.60% | 02/15/41 | 34,496,000 | 23,642,661 | |||||||
5.80% | 04/01/47 | 19,220,000 | 12,834,676 | |||||||
6.00% | 01/15/40 | 5,095,000 | 3,693,875 | |||||||
HollyFrontier Corp. |
| |||||||||
5.88% | 04/01/26 | 15,800,000 | 13,574,025 | |||||||
KazMunayGas National Co. JSC, |
| |||||||||
Series REGS (Kazakhstan) |
| |||||||||
5.38% | 04/24/303 | 30,337,000 | 30,137,913 | |||||||
5.75% | 04/19/473 | 15,807,000 | 15,788,032 | |||||||
Kinder Morgan Energy Partners LP |
| |||||||||
4.70% | 11/01/42 | 5,000,000 | 4,772,303 | |||||||
5.00% | 08/15/42 | 5,775,000 | 5,404,790 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
5.40% | 09/01/44 | $ | 5,000,000 | $ | 3,838,469 | |||||
5.80% | 03/15/35 | 9,125,000 | 9,724,867 | |||||||
Kinder Morgan, Inc. |
| |||||||||
5.30% | 12/01/34 | 13,970,000 | 13,495,011 | |||||||
5.55% | 06/01/45 | 1,130,000 | 1,120,098 | |||||||
6.95% | 06/01/28 | 5,465,000 | 5,828,740 | |||||||
Kinder Morgan, Inc. (GMTN) |
| |||||||||
7.80% | 08/01/31 | 150,000 | 172,681 | |||||||
NGPL Pipe Co. LLC |
| |||||||||
4.38% | 08/15/222 | 22,454,000 | 21,455,613 | |||||||
Noble Energy, Inc. |
| |||||||||
5.05% | 11/15/44 | 8,018,000 | 4,721,625 | |||||||
Occidental Petroleum Corp. |
| |||||||||
4.40% | 08/15/49 | 7,000,000 | 3,036,536 | |||||||
4.50% | 07/15/44 | 16,496,000 | 6,971,210 | |||||||
Pertamina Persero PT (Indonesia) |
| |||||||||
3.10% | 08/25/302,3 | 44,071,000 | 39,403,881 | |||||||
Petrobras Global Finance BV (Netherlands) |
| |||||||||
5.09% | 01/15/302,3 | 40,263,000 | 36,689,659 | |||||||
Petroleos del Peru SA, Series REGS (Peru) |
| |||||||||
4.75% | 06/19/323 | 21,996,000 | 20,204,481 | |||||||
Petroleos Mexicanos (Mexico) |
| |||||||||
5.95% | 01/28/312,3 | 11,080,000 | 7,700,600 | |||||||
6.50% | 01/23/293 | 80,000 | 58,008 | |||||||
6.63% | 06/15/353 | 47,637,000 | 32,531,307 | |||||||
6.75% | 09/21/473 | 152,220,000 | 99,186,552 | |||||||
6.95% | 01/28/602,3 | 34,500,000 | 23,460,000 | |||||||
7.69% | 01/23/502,3 | 179,457,000 | 123,825,330 | |||||||
Plains All American Pipeline LP/PAA |
| |||||||||
Finance Corp. |
| |||||||||
3.55% | 12/15/29 | 31,332,000 | 22,520,081 | |||||||
3.85% | 10/15/23 | 1,442,000 | 1,251,550 | |||||||
4.50% | 12/15/26 | 2,454,000 | 1,976,986 | |||||||
4.65% | 10/15/25 | 55,693,000 | 45,250,563 | |||||||
Range Resources Corp. |
| |||||||||
4.88% | 05/15/25 | 14,184,000 | 8,272,750 | |||||||
Rockies Express Pipeline LLC |
| |||||||||
4.80% | 05/15/302 | 4,075,000 | 2,526,500 | |||||||
4.95% | 07/15/292 | 79,995,000 | 48,031,775 | |||||||
6.88% | 04/15/402 | 44,792,000 | 27,659,060 | |||||||
Ruby Pipeline LLC |
| |||||||||
6.50% | 04/01/222 | 69,646,000 | 62,156,687 | |||||||
Sabine Pass Liquefaction LLC |
| |||||||||
4.20% | 03/15/28 | 81,590,000 | 68,962,895 | |||||||
5.00% | 03/15/27 | 9,915,000 | 8,803,496 | |||||||
5.63% | 03/01/25 | 8,892,000 | 8,442,243 | |||||||
5.75% | 05/15/24 | 4,926,000 | 4,572,271 |
See accompanying Notes to Financial Statements.
141 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
Saudi Arabian Oil Co., |
| |||||||||
Series REGS (EMTN) (Saudi Arabia) |
| |||||||||
4.25% | 04/16/393 | $ | 5,663,000 | $ | 5,656,204 | |||||
Shell International Finance BV (Netherlands) |
| |||||||||
3.13% | 11/07/493 | 5,000,000 | 4,960,747 | |||||||
3.75% | 09/12/463 | 5,000,000 | 5,306,079 | |||||||
4.00% | 05/10/463 | 2,000,000 | 2,200,010 | |||||||
4.38% | 05/11/453 | 5,000,000 | 6,052,865 | |||||||
Southern Co. Gas Capital Corp. |
| |||||||||
2.45% | 10/01/23 | 49,306,000 | 49,246,732 | |||||||
5.88% | 03/15/41 | 12,990,000 | 14,371,798 | |||||||
Southern Gas Corridor CJSC, |
| |||||||||
Series REGS (Azerbaijan) |
| |||||||||
6.88% | 03/24/263 | 27,592,000 | 28,300,563 | |||||||
Spectra Energy Partners LP |
| |||||||||
4.60% | 06/15/21 | 6,115,000 | 6,034,317 | |||||||
4.75% | 03/15/24 | 8,777,000 | 8,731,520 | |||||||
Sunoco Logistics Partners Operations LP |
| |||||||||
3.90% | 07/15/26 | 26,289,000 | 20,918,611 | |||||||
4.00% | 10/01/27 | 9,339,000 | 7,380,432 | |||||||
5.30% | 04/01/44 | 6,630,000 | 5,238,934 | |||||||
5.35% | 05/15/45 | 1,718,000 | 1,338,310 | |||||||
5.40% | 10/01/47 | 47,493,000 | 37,997,072 | |||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
| |||||||||
6.88% | 01/15/29 | 7,086,000 | 5,776,600 | |||||||
TC PipeLines LP |
| |||||||||
3.90% | 05/25/27 | 68,904,000 | 66,680,852 | |||||||
4.38% | 03/13/25 | 44,100,000 | 44,911,676 | |||||||
4.65% | 06/15/21 | 6,108,000 | 5,977,074 | |||||||
TransCanada PipeLines Ltd. (Canada) |
| |||||||||
4.88% | 05/15/483 | 15,000,000 | 15,638,713 | |||||||
TransMontaigne Partners LP/ TLP Finance Corp. |
| |||||||||
6.13% | 02/15/26 | 26,170,000 | 21,194,263 | |||||||
Transocean Phoenix 2 Ltd. (Cayman Islands) |
| |||||||||
7.75% | 10/15/242,3 | 18,349,800 | 15,987,355 | |||||||
Transocean Pontus Ltd. (Cayman Islands) |
| |||||||||
6.13% | 08/01/252,3 | 20,434,120 | 16,704,280 | |||||||
Transocean Poseidon Ltd. (Cayman Islands) |
| |||||||||
6.88% | 02/01/272,3 | 31,359,000 | 25,619,284 | |||||||
Transocean Proteus Ltd. (Cayman Islands) |
| |||||||||
6.25% | 12/01/242,3 | 15,718,500 | 12,712,258 | |||||||
USA Compression Partners LP/USA Compression Finance Corp. |
| |||||||||
6.88% | 04/01/26 | 22,772,000 | 14,360,524 | |||||||
6.88% | 09/01/27 | 18,132,000 | 11,604,480 | |||||||
Williams Cos., Inc. (The) |
| |||||||||
3.35% | 08/15/22 | 7,025,000 | 6,701,074 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
3.90% | 01/15/25 | $ | 5,542,000 | $ | 5,112,725 | |||||
4.50% | 11/15/23 | 10,305,000 | 9,714,805 | |||||||
4.55% | 06/24/24 | 19,190,000 | 17,034,808 | |||||||
4.85% | 03/01/48 | 5,000,000 | 4,682,299 | |||||||
5.10% | 09/15/45 | 12,568,000 | 11,699,887 | |||||||
5.40% | 03/04/44 | 5,000,000 | 4,431,494 | |||||||
6.30% | 04/15/40 | 32,635,000 | 32,580,196 | |||||||
7.88% | 09/01/21 | 3,563,000 | 3,571,963 | |||||||
|
| |||||||||
2,432,160,147 | ||||||||||
|
| |||||||||
Entertainment — 0.03% |
| |||||||||
Live Nation Entertainment, Inc. |
| |||||||||
4.75% | 10/15/272 | 12,043,000 | 10,785,109 | |||||||
5.63% | 03/15/262 | 14,000,000 | 12,992,531 | |||||||
|
| |||||||||
23,777,640 | ||||||||||
|
| |||||||||
Finance — 4.62% |
| |||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| |||||||||
3.30% | 01/23/233 | 16,035,000 | 13,640,326 | |||||||
3.50% | 05/26/223 | 24,610,000 | 21,485,999 | |||||||
3.65% | 07/21/273 | 16,815,000 | 13,048,373 | |||||||
3.88% | 01/23/283 | 5,000,000 | 3,927,681 | |||||||
3.95% | 02/01/223 | 103,545,000 | 93,848,811 | |||||||
4.13% | 07/03/233 | 2,760,000 | 2,404,437 | |||||||
4.45% | 12/16/213 | 20,560,000 | 18,922,011 | |||||||
4.50% | 05/15/213 | 10,100,000 | 9,268,697 | |||||||
4.63% | 07/01/223 | 3,030,000 | 2,606,772 | |||||||
4.88% | 01/16/243 | 34,985,000 | 29,389,875 | |||||||
5.00% | 10/01/213 | 46,362,000 | 42,881,090 | |||||||
Air Lease Corp. |
| |||||||||
2.25% | 01/15/23 | 18,850,000 | 15,681,649 | |||||||
3.00% | 09/15/23 | 28,655,000 | 24,443,278 | |||||||
3.25% | 03/01/25 | 19,930,000 | 16,072,292 | |||||||
3.25% | 10/01/29 | 5,000,000 | 4,002,879 | |||||||
3.50% | 01/15/22 | 48,120,000 | 43,524,000 | |||||||
3.75% | 02/01/22 | 26,209,000 | 24,007,726 | |||||||
4.25% | 09/15/24 | 5,554,000 | 4,828,175 | |||||||
4.63% | 10/01/28 | 2,000,000 | 1,713,961 | |||||||
Air Lease Corp. (MTN) |
| |||||||||
2.30% | 02/01/25 | 40,320,000 | 30,846,591 | |||||||
3.00% | 02/01/30 | 2,000,000 | 1,578,607 | |||||||
4.25% | 02/01/24 | 5,000,000 | 4,355,787 | |||||||
Alta Wind Holdings LLC |
| |||||||||
7.00% | 06/30/352,4,5 | 4,489,027 | 5,264,767 | |||||||
Avolon Holdings Funding Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
2.88% | 02/15/252,3 | 43,090,000 | 34,362,861 | |||||||
3.63% | 05/01/222,3 | 15,545,000 | 13,799,965 | |||||||
3.95% | 07/01/242,3 | 35,484,000 | 28,006,436 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 142 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Finance (continued) |
| |||||||||
5.13% | 10/01/232,3 | $ | 67,446,000 | $ | 58,386,080 | |||||
5.25% | 05/15/242,3 | 22,540,000 | 17,886,510 | |||||||
5.50% | 01/15/232,3 | 14,689,000 | 13,205,876 | |||||||
Citigroup, Inc. |
| |||||||||
2.67% | 01/29/318 | 30,000,000 | 29,170,677 | |||||||
3.14% | 01/24/238 | 26,870,000 | 27,210,414 | |||||||
3.20% | 10/21/26 | 17,960,000 | 18,640,043 | |||||||
3.88% | 10/25/23 | 11,880,000 | 12,236,954 | |||||||
Daimler Finance North America LLC |
| |||||||||
2.00% | 07/06/212 | 89,345,000 | 86,195,056 | |||||||
2.20% | 05/05/202 | 5,950,000 | 5,951,291 | |||||||
2.20% | 10/30/212 | 19,600,000 | 18,812,169 | |||||||
3.75% | 11/05/212 | 6,858,000 | 6,804,873 | |||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
2.59% | 02/15/221,2 | 54,915,000 | 50,913,006 | |||||||
Discover Financial Services |
| |||||||||
3.85% | 11/21/22 | 8,794,000 | 8,988,206 | |||||||
Ford Motor Credit Co. LLC |
| |||||||||
2.34% | 11/02/20 | 47,293,000 | 46,110,675 | |||||||
2.43% | 06/12/20 | 40,044,000 | 39,143,010 | |||||||
3.16% | 08/04/20 | 36,578,000 | 36,034,817 | |||||||
3.20% | 01/15/21 | 15,464,000 | 15,077,400 | |||||||
3.22% | 01/09/22 | 139,243,000 | 130,540,312 | |||||||
3.34% | 03/18/21 | 59,245,000 | 56,990,464 | |||||||
3.34% | 03/28/22 | 46,311,000 | 43,476,445 | |||||||
3.47% | 04/05/21 | 23,000,000 | 22,188,100 | |||||||
3.81% | 10/12/21 | 49,724,000 | 47,952,831 | |||||||
4.25% | 09/20/22 | 19,823,000 | 18,534,505 | |||||||
5.09% | 01/07/21 | 76,500,000 | 74,947,050 | |||||||
5.60% | 01/07/22 | 51,828,000 | 50,402,730 | |||||||
5.75% | 02/01/21 | 59,229,000 | 58,044,420 | |||||||
5.88% | 08/02/21 | 83,282,000 | 82,032,770 | |||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||
2.18% | 04/05/211 | 13,705,000 | 12,346,906 | |||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||
2.73% | 10/12/211 | 58,530,000 | 53,832,856 | |||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||
2.84% | 08/03/221 | 11,790,000 | 9,741,487 | |||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||
2.64% | 03/28/221 | 62,180,000 | 50,553,027 | |||||||
(LIBOR USD 3-Month plus 3.14%) |
| |||||||||
4.53% | 01/07/221 | 12,075,000 | 9,781,691 | |||||||
GE Capital International Funding Co. (Ireland) |
| |||||||||
2.34% | 11/15/203 | 314,155,000 | 312,659,811 | |||||||
3.37% | 11/15/253 | 7,730,000 | 7,309,210 | |||||||
4.42% | 11/15/353 | 308,872,000 | 332,334,448 | |||||||
General Motors Financial Co., Inc. |
| |||||||||
2.45% | 11/06/20 | 12,986,000 | 12,602,545 | |||||||
3.15% | 06/30/22 | 11,076,000 | 9,897,655 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Finance (continued) |
| |||||||||
3.20% | 07/13/20 | $ | 25,722,000 | $ | 25,648,372 | |||||
3.20% | 07/06/21 | 31,130,000 | 29,656,589 | |||||||
3.45% | 04/10/22 | 24,225,000 | 22,526,952 | |||||||
3.55% | 04/09/21 | 65,795,000 | 63,060,689 | |||||||
3.70% | 11/24/20 | 4,574,000 | 4,529,782 | |||||||
4.20% | 03/01/21 | 26,759,000 | 25,760,695 | |||||||
4.20% | 11/06/21 | 131,955,000 | 124,009,935 | |||||||
4.38% | 09/25/21 | 91,185,000 | 84,022,275 | |||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||
2.17% | 04/09/211 | 10,000,000 | 9,206,796 | |||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||
2.60% | 02/07/30 | 68,929,000 | 65,142,447 | |||||||
2.88% | 10/31/228 | 50,000 | 50,324 | |||||||
2.91% | 06/05/238 | 4,605,000 | 4,599,754 | |||||||
2.91% | 07/24/238 | 8,399,000 | 8,383,057 | |||||||
3.27% | 09/29/258 | 99,798,000 | 101,147,239 | |||||||
3.69% | 06/05/288 | 6,372,000 | 6,537,666 | |||||||
3.81% | 04/23/298 | 1,390,000 | 1,445,288 | |||||||
5.25% | 07/27/21 | 38,245,000 | 39,501,938 | |||||||
5.75% | 01/24/22 | 9,580,000 | 10,181,979 | |||||||
Goldman Sachs Group, Inc. (The) (MTN) |
| |||||||||
3.85% | 07/08/24 | 28,407,000 | 29,633,849 | |||||||
Goldman Sachs Group, Inc. (The), Series D (MTN) |
| |||||||||
6.00% | 06/15/20 | 9,225,000 | 9,280,877 | |||||||
Mastercard, Inc. |
| |||||||||
3.35% | 03/26/30 | 10,855,000 | 12,046,348 | |||||||
Morgan Stanley (GMTN) |
| |||||||||
2.70% | 01/22/318 | 30,000,000 | 29,512,305 | |||||||
(SOFR Rate plus 0.70%) |
| |||||||||
1.61% | 01/20/231 | 155,405,000 | 145,181,482 | |||||||
Morgan Stanley (MTN) |
| |||||||||
2.72% | 07/22/258 | 15,000,000 | 15,053,639 | |||||||
Nationwide Building Society |
| |||||||||
(United Kingdom) |
| |||||||||
3.62% | 04/26/232,3,8 | 7,320,000 | 7,285,301 | |||||||
3.77% | 03/08/242,3,8 | 39,750,000 | 38,552,706 | |||||||
3.96% | 07/18/302,3,8 | 10,000,000 | 10,055,097 | |||||||
4.36% | 08/01/242,3,8 | 104,478,000 | 105,110,705 | |||||||
Park Aerospace Holdings Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
3.63% | 03/15/212,3 | 9,990,000 | 10,032,579 | |||||||
4.50% | 03/15/232,3 | 34,956,000 | 30,382,876 | |||||||
5.25% | 08/15/222,3 | 91,783,000 | 83,070,295 | |||||||
5.50% | 02/15/242,3 | 96,075,000 | 82,880,099 | |||||||
Pipeline Funding Co. LLC |
| |||||||||
7.50% | 01/15/302 | 25,308,111 | 36,855,501 | |||||||
Raymond James Financial, Inc. |
| |||||||||
4.95% | 07/15/46 | 56,006,000 | 65,457,789 | |||||||
|
| |||||||||
3,726,652,591 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
143 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food — 1.18% |
| |||||||||||
Campbell Soup Co. |
| |||||||||||
(LIBOR USD 3-Month plus 0.63%) |
| |||||||||||
1.37% | 03/15/21 | 1 | $ | 5,663,000 | $ | 5,523,956 | ||||||
Conagra Brands, Inc. |
| |||||||||||
4.60% | 11/01/25 | 24,443,000 | 25,823,465 | |||||||||
(LIBOR USD 3-Month plus 0.50%) |
| |||||||||||
1.82% | 10/09/20 | 1 | 8,270,000 | 8,155,559 | ||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.55% | 10/22/20 | 1 | 16,058,000 | 15,889,495 | ||||||||
JBS USA LLC/JBS USA Finance, Inc. (Canada) |
| |||||||||||
6.75% | 02/15/28 | 2,3 | 5,000,000 | 5,352,400 | ||||||||
JBS USA LUX SA/JBS USA |
| |||||||||||
Food Co./JBS USA Finance, Inc. (Canada) |
| |||||||||||
5.50% | 01/15/30 | 2,3 | 25,943,000 | 26,930,131 | ||||||||
6.50% | 04/15/29 | 2,3 | 1,725,000 | 1,859,981 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.75% | 04/01/30 | 2 | 89,250,000 | 85,003,389 | ||||||||
4.00% | 06/15/23 | 27,350,000 | 27,614,665 | |||||||||
4.38% | 06/01/46 | 131,816,000 | 119,858,799 | |||||||||
4.63% | 01/30/29 | 40,000 | 40,231 | |||||||||
4.63% | 10/01/39 | 2 | 79,995,000 | 73,288,153 | ||||||||
4.88% | 10/01/49 | 2 | 65,500,000 | 59,823,393 | ||||||||
5.00% | 07/15/35 | 110,400,000 | 110,489,783 | |||||||||
5.00% | 06/04/42 | 94,090,000 | 89,490,929 | |||||||||
5.20% | 07/15/45 | 73,131,000 | 70,647,052 | |||||||||
6.50% | 02/09/40 | 32,500,000 | 35,605,807 | |||||||||
6.75% | 03/15/32 | 3,475,000 | 4,078,961 | |||||||||
6.88% | 01/26/39 | 53,494,000 | 61,073,501 | |||||||||
(LIBOR USD 3-Month plus 0.57%) |
| |||||||||||
2.30% | 02/10/21 | 1 | 200,000 | 191,649 | ||||||||
Kroger Co. (The) |
| |||||||||||
3.95% | 01/15/50 | 15,000,000 | 15,943,145 | |||||||||
5.40% | 01/15/49 | 22,695,000 | 27,538,612 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.75% | 03/15/25 | 2 | 9,540,000 | 9,637,716 | ||||||||
5.88% | 09/30/27 | 2 | 12,165,000 | 12,243,822 | ||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% | 04/15/30 | 2 | 6,925,000 | 6,682,625 | ||||||||
5.00% | 08/15/26 | 2 | 8,344,000 | 8,633,537 | ||||||||
5.50% | 12/15/29 | 2 | 8,293,000 | 8,648,355 | ||||||||
5.63% | 01/15/28 | 2 | 6,545,000 | 6,708,625 | ||||||||
5.75% | 03/01/27 | 2 | 19,617,000 | 20,395,991 | ||||||||
Tyson Foods, Inc. |
| |||||||||||
5.10% | 09/28/48 | 7,000,000 | 8,641,720 | |||||||||
|
| |||||||||||
951,815,447 | ||||||||||||
|
| |||||||||||
Gaming — 0.05% |
| |||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% | 01/15/28 | 2 | 3,440,000 | 3,011,892 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Gaming (continued) |
| |||||||||||
5.50% | 04/01/27 | 2 | $ | 42,700,000 | $ | 40,327,476 | ||||||
MGM Resorts International |
| |||||||||||
6.00% | 03/15/23 | 30,000 | 28,933 | |||||||||
|
| |||||||||||
43,368,301 | ||||||||||||
|
| |||||||||||
Health Care — 5.05% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.20% | 11/21/29 | 2 | 198,692,000 | 200,718,090 | ||||||||
4.05% | 11/21/39 | 2 | 2,000,000 | 2,091,382 | ||||||||
4.25% | 11/14/28 | 2,000,000 | 2,157,909 | |||||||||
4.25% | 11/21/49 | 2 | 111,878,000 | 120,397,293 | ||||||||
4.40% | 11/06/42 | 76,481,000 | 85,477,494 | |||||||||
4.45% | 05/14/46 | 42,960,000 | 46,984,245 | |||||||||
4.88% | 11/14/48 | 25,029,000 | 29,558,881 | |||||||||
Aetna, Inc. |
| |||||||||||
4.13% | 11/15/42 | 6,375,000 | 6,478,947 | |||||||||
Alcon Finance Corp. |
| |||||||||||
2.75% | 09/23/26 | 2 | 5,000,000 | 5,065,532 | ||||||||
Allergan Finance LLC |
| |||||||||||
3.25% | 10/01/22 | 24,252,000 | 24,168,121 | |||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.80% | 03/15/25 | 3 | 88,527,000 | 90,747,430 | ||||||||
3.85% | 06/15/24 | 3 | 47,143,000 | 49,458,419 | ||||||||
4.85% | 06/15/44 | 3 | 6,130,000 | 7,632,502 | ||||||||
Amgen, Inc. |
| |||||||||||
3.38% | 02/21/50 | 11,235,000 | 11,764,384 | |||||||||
4.40% | 05/01/45 | 39,625,000 | 46,941,970 | |||||||||
4.66% | 06/15/51 | 14,463,000 | 18,278,082 | |||||||||
Anthem, Inc. |
| |||||||||||
2.38% | 01/15/25 | 15,565,000 | 15,443,099 | |||||||||
2.88% | 09/15/29 | 61,283,000 | 59,839,568 | |||||||||
3.30% | 01/15/23 | 20,420,000 | 20,754,768 | |||||||||
3.35% | 12/01/24 | 47,275,000 | 48,217,382 | |||||||||
3.50% | 08/15/24 | 22,515,000 | 23,130,503 | |||||||||
3.65% | 12/01/27 | 39,165,000 | 40,500,107 | |||||||||
3.70% | 09/15/49 | 34,730,000 | 33,909,462 | |||||||||
4.65% | 01/15/43 | 45,000 | 49,924 | |||||||||
5.10% | 01/15/44 | 5,000,000 | 5,887,139 | |||||||||
Bausch Health Americas, Inc. |
| |||||||||||
9.25% | 04/01/26 | 2 | 2,722,000 | 2,900,427 | ||||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
5.50% | 11/01/25 | 2,3 | 3,815,000 | 3,878,157 | ||||||||
5.75% | 08/15/27 | 2,3 | 9,446,000 | 9,778,027 | ||||||||
6.50% | 03/15/22 | 2,3 | 20,860,000 | 21,146,825 | ||||||||
7.00% | 03/15/24 | 2,3 | 34,744,000 | 35,612,426 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
3.88% | 12/15/23 | 2 | 61,135,000 | 62,676,336 | ||||||||
3.95% | 04/15/45 | 2 | 10,790,000 | 10,166,344 | ||||||||
4.25% | 12/15/25 | 2 | 31,732,000 | 33,031,934 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 144 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Health Care (continued) |
| |||||||||
4.38% | 12/15/282 | $ | 355,725,000 | $ | 380,682,186 | |||||
4.40% | 07/15/442 | 53,566,000 | 51,637,988 | |||||||
4.63% | 06/25/382 | 36,224,000 | 38,802,128 | |||||||
4.88% | 06/25/482 | 102,941,000 | 120,789,616 | |||||||
5.50% | 08/15/252 | 13,932,000 | 15,223,268 | |||||||
5.50% | 07/30/352 | 3,820,000 | 4,260,202 | |||||||
Bayer U.S. Finance LLC |
| |||||||||
3.38% | 10/08/242 | 9,000,000 | 9,067,850 | |||||||
Becton Dickinson and Co. |
| |||||||||
3.25% | 11/12/20 | 42,315,000 | 42,104,060 | |||||||
3.30% | 03/01/23 | 10,000,000 | 9,953,945 | |||||||
3.36% | 06/06/24 | 2,235,000 | 2,225,186 | |||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||
2.25% | 12/29/201 | 100,723,000 | 97,339,883 | |||||||
Bristol-Myers Squibb Co. |
| |||||||||
4.25% | 10/26/492 | 2,000,000 | 2,516,447 | |||||||
4.55% | 02/20/482 | 2,000,000 | 2,568,342 | |||||||
Catalent Pharma Solutions, Inc. |
| |||||||||
4.88% | 01/15/262 | 7,001,000 | 6,850,776 | |||||||
5.00% | 07/15/272 | 13,935,000 | 13,594,289 | |||||||
Centene Corp. |
| |||||||||
3.38% | 02/15/302 | 29,822,000 | 27,804,465 | |||||||
4.25% | 12/15/272 | 49,240,000 | 48,528,482 | |||||||
4.63% | 12/15/292 | 45,307,000 | 45,784,989 | |||||||
4.75% | 05/15/22 | 173,000 | 174,789 | |||||||
4.75% | 01/15/25 | 2,785,000 | 2,809,355 | |||||||
5.38% | 06/01/262 | 1,000,000 | 1,035,410 | |||||||
Cigna Corp. |
| |||||||||
2.40% | 03/15/30 | 15,000,000 | 14,300,543 | |||||||
3.05% | 10/15/272 | 91,451,000 | 90,579,852 | |||||||
3.20% | 03/15/40 | 40,000,000 | 37,344,208 | |||||||
3.40% | 03/01/272 | 11,810,000 | 11,980,749 | |||||||
3.40% | 03/15/50 | 35,160,000 | 33,643,617 | |||||||
3.75% | 07/15/23 | 21,313,000 | 21,961,005 | |||||||
3.88% | 10/15/472 | 35,257,000 | 35,501,960 | |||||||
4.38% | 10/15/28 | 20,060,000 | 21,580,904 | |||||||
4.50% | 02/25/262 | 11,097,000 | 11,987,876 | |||||||
4.80% | 08/15/38 | 40,478,000 | 45,698,964 | |||||||
4.80% | 07/15/462 | 41,113,000 | 48,968,982 | |||||||
4.90% | 12/15/48 | 18,535,000 | 22,347,809 | |||||||
(LIBOR USD 3-Month plus 0.89%) |
| |||||||||
2.72% | 07/15/231 | 62,890,000 | 58,512,396 | |||||||
CVS Health Corp. |
| |||||||||
2.13% | 06/01/21 | 2,865,000 | 2,868,976 | |||||||
3.25% | 08/15/29 | 16,710,000 | 16,354,872 | |||||||
3.88% | 07/20/25 | 250,000 | 260,245 | |||||||
4.30% | 03/25/28 | 10,805,000 | 11,580,383 | |||||||
4.78% | 03/25/38 | 55,556,000 | 61,654,075 | |||||||
4.88% | 07/20/35 | 22,450,000 | 25,441,939 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Health Care (continued) |
| |||||||||
5.05% | 03/25/48 | $ | 216,893,000 | $ | 248,777,325 | |||||
5.13% | 07/20/45 | 106,790,000 | 123,418,922 | |||||||
Elanco Animal Health, Inc. |
| |||||||||
4.66% | 08/27/21 | 20,850,000 | 20,759,008 | |||||||
5.02% | 08/28/23 | 37,890,000 | 38,398,563 | |||||||
5.65% | 08/28/28 | 12,539,000 | 13,246,466 | |||||||
Encompass Health Corp. |
| |||||||||
4.50% | 02/01/28 | 2,950,000 | 2,913,125 | |||||||
4.75% | 02/01/30 | 44,743,000 | 44,096,464 | |||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||
4.13% | 10/15/202 | 3,850,000 | 3,834,215 | |||||||
5.88% | 01/31/222 | 8,964,000 | 9,297,435 | |||||||
HCA, Inc. |
| |||||||||
3.50% | 09/01/30 | 7,345,000 | 6,699,587 | |||||||
4.75% | 05/01/23 | 10,472,000 | 10,742,312 | |||||||
5.00% | 03/15/24 | 69,110,000 | 71,713,937 | |||||||
5.13% | 06/15/39 | 25,000 | 25,936 | |||||||
5.25% | 04/15/25 | 21,815,000 | 22,924,450 | |||||||
5.25% | 06/15/26 | 28,762,000 | 30,241,511 | |||||||
5.25% | 06/15/49 | 224,056,000 | 240,517,007 | |||||||
5.88% | 02/01/29 | 4,039,000 | 4,286,389 | |||||||
Humana, Inc. |
| |||||||||
3.13% | 08/15/29 | 35,619,000 | 33,902,089 | |||||||
3.85% | 10/01/24 | 7,000,000 | 7,131,182 | |||||||
3.95% | 08/15/49 | 28,650,000 | 28,313,223 | |||||||
Johnson & Johnson |
| |||||||||
3.50% | 01/15/48 | 5,000,000 | 6,032,513 | |||||||
Molina Healthcare, Inc. |
| |||||||||
4.88% | 06/15/252 | 17,745,000 | 17,456,555 | |||||||
5.38% | 11/15/22 | 16,345,000 | 16,023,657 | |||||||
Pfizer, Inc. |
| |||||||||
2.63% | 04/01/30 | 1,455,000 | 1,531,858 | |||||||
4.00% | 03/15/49 | 5,000,000 | 6,136,654 | |||||||
Shire Acquisitions Investments Ireland DAC (Ireland) |
| |||||||||
2.88% | 09/23/233 | 200,000 | 199,142 | |||||||
Teleflex, Inc. |
| |||||||||
4.63% | 11/15/27 | 4,216,000 | 4,279,240 | |||||||
Tenet Healthcare Corp. |
| |||||||||
4.63% | 07/15/24 | 12,180,000 | 11,692,800 | |||||||
4.63% | 09/01/242 | 39,812,000 | 38,330,994 | |||||||
4.88% | 01/01/262 | 22,793,000 | 21,795,806 | |||||||
5.13% | 11/01/272 | 28,544,000 | 27,295,200 | |||||||
UnitedHealth Group, Inc. |
| |||||||||
3.70% | 08/15/49 | 41,400,000 | 46,367,542 | |||||||
3.88% | 08/15/59 | 17,805,000 | 19,369,397 | |||||||
4.25% | 04/15/47 | 13,825,000 | 16,343,147 | |||||||
4.25% | 06/15/48 | 20,000,000 | 23,836,725 | |||||||
4.45% | 12/15/48 | 30,116,000 | 36,540,092 | |||||||
4.75% | 07/15/45 | 34,236,000 | 43,912,432 |
See accompanying Notes to Financial Statements.
145 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Health Care (continued) |
| |||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||
2.70% | 04/01/20 | $ | 250,000 | $ | 250,000 | |||||
3.05% | 01/15/26 | 47,000,000 | 46,272,158 | |||||||
3.55% | 03/20/30 | 36,440,000 | 36,378,743 | |||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
1.80% | 03/19/211 | 16,850,000 | 16,648,716 | |||||||
|
| |||||||||
4,069,098,637 | ||||||||||
|
| |||||||||
Industrials — 0.78% |
| |||||||||
Amcor Finance USA, Inc. |
| |||||||||
3.63% | 04/28/262 | 11,781,000 | 12,210,878 | |||||||
4.50% | 05/15/282 | 4,210,000 | 4,971,078 | |||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
| |||||||||
(Ireland) |
| |||||||||
4.13% | 08/15/262,3 | 3,344,000 | 3,260,400 | |||||||
4.25% | 09/15/222,3 | 2,325,000 | 2,342,437 | |||||||
Ball Corp. |
| |||||||||
4.00% | 11/15/23 | 9,532,000 | 9,698,810 | |||||||
Berry Global, Inc. |
| |||||||||
4.88% | 07/15/262 | 25,728,000 | 26,129,923 | |||||||
General Electric Co. |
| |||||||||
4.13% | 10/09/42 | 6,416,000 | 6,087,529 | |||||||
General Electric Co. (GMTN) |
| |||||||||
4.63% | 01/07/21 | 80,148,000 | 79,172,911 | |||||||
6.88% | 01/10/39 | 4,273,000 | 5,301,140 | |||||||
General Electric Co. (MTN) |
| |||||||||
4.38% | 09/16/20 | 5,815,000 | 5,822,760 | |||||||
4.65% | 10/17/21 | 61,362,000 | 62,484,342 | |||||||
5.55% | 05/04/20 | 38,121,000 | 38,219,352 | |||||||
5.88% | 01/14/38 | 102,842,000 | 122,089,050 | |||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||
2.12% | 05/05/261 | 2,890,000 | 2,349,662 | |||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||
2.17% | 08/15/361 | 11,550,000 | 8,809,688 | |||||||
General Electric Co., Series A (MTN) |
| |||||||||
6.75% | 03/15/32 | 48,173,000 | 57,303,605 | |||||||
General Electric Co., Series NOTZ |
| |||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||
2.63% | 04/15/201 | 5,250,000 | 5,250,951 | |||||||
Graphic Packaging International LLC |
| |||||||||
3.50% | 03/15/282 | 2,540,000 | 2,287,300 | |||||||
4.13% | 08/15/24 | 1,325,000 | 1,263,712 | |||||||
4.75% | 07/15/272 | 6,346,000 | 6,269,848 | |||||||
4.88% | 11/15/22 | 5,665,000 | 5,486,190 | |||||||
L3 Technologies, Inc. |
| |||||||||
4.40% | 06/15/28 | 45,000 | 53,591 | |||||||
L3Harris Technologies, Inc. |
| |||||||||
3.95% | 05/28/242 | 17,890,000 | 19,476,055 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Industrials (continued) |
| |||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||
5.50% | 04/15/242 | $ | 11,325,000 | $ | 10,503,598 | |||||
Northrop Grumman Corp. |
| |||||||||
4.40% | 05/01/30 | 2,160,000 | 2,490,770 | |||||||
OI European Group BV (Netherlands) |
| |||||||||
4.00% | 03/15/232,3 | 3,364,000 | 3,225,218 | |||||||
Packaging Corp. of America |
| |||||||||
3.00% | 12/15/29 | 5,000,000 | 4,951,005 | |||||||
Raytheon Technologies Corp. |
| |||||||||
4.63% | 11/16/48 | 5,000,000 | 5,933,594 | |||||||
8.75% | 03/01/21 | 7,320,000 | 7,706,904 | |||||||
Sealed Air Corp. |
| |||||||||
4.00% | 12/01/272 | 6,930,000 | 6,514,893 | |||||||
4.88% | 12/01/222 | 6,050,000 | 6,068,696 | |||||||
5.13% | 12/01/242 | 3,255,000 | 3,295,687 | |||||||
5.25% | 04/01/232 | 3,800,000 | 3,909,231 | |||||||
5.50% | 09/15/252 | 21,591,000 | 22,227,877 | |||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||
5.50% | 08/15/262,3 | 50,356,000 | 50,607,780 | |||||||
WRKCo, Inc. |
| |||||||||
4.90% | 03/15/29 | 12,223,000 | 13,172,819 | |||||||
|
| |||||||||
626,949,284 | ||||||||||
|
| |||||||||
Information Technology — 1.00% |
| |||||||||
Amazon.com, Inc. |
| |||||||||
4.05% | 08/22/47 | 2,000,000 | 2,563,416 | |||||||
4.25% | 08/22/57 | 2,000,000 | 2,701,466 | |||||||
Apple, Inc. |
| |||||||||
2.95% | 09/11/49 | 5,000,000 | 5,345,494 | |||||||
3.75% | 11/13/47 | 2,000,000 | 2,402,092 | |||||||
3.85% | 05/04/43 | 3,423,000 | 4,071,713 | |||||||
3.85% | 08/04/46 | 2,000,000 | 2,446,436 | |||||||
4.38% | 05/13/45 | 2,000,000 | 2,571,538 | |||||||
4.65% | 02/23/46 | 2,000,000 | 2,660,799 | |||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||
Finance Ltd. |
| |||||||||
3.00% | 01/15/22 | 76,679,000 | 75,884,343 | |||||||
3.63% | 01/15/24 | 128,193,000 | 128,418,782 | |||||||
Broadcom, Inc. |
| |||||||||
3.13% | 04/15/212 | 24,920,000 | 24,656,078 | |||||||
3.13% | 10/15/222 | 77,850,000 | 77,207,977 | |||||||
3.63% | 10/15/242 | 23,025,000 | 22,700,063 | |||||||
Change Healthcare Holdings LLC/Change |
| |||||||||
Healthcare Finance, Inc. |
| |||||||||
5.75% | 03/01/252 | 15,455,000 | 14,527,700 | |||||||
Dell International LLC/EMC Corp. |
| |||||||||
4.42% | 06/15/212 | 68,450,000 | 68,458,781 | |||||||
Fiserv, Inc. |
| |||||||||
3.20% | 07/01/26 | 39,995,000 | 41,070,638 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 146 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Information Technology (continued) |
| |||||||||
4.40% | 07/01/49 | $ | 5,000,000 | $ | 5,301,267 | |||||
Intel Corp. |
| |||||||||
3.25% | 11/15/49 | 12,000,000 | 12,974,245 | |||||||
4.60% | 03/25/40 | 78,500,000 | 96,783,619 | |||||||
4.75% | 03/25/50 | 13,680,000 | 18,533,908 | |||||||
4.95% | 03/25/60 | 30,230,000 | 41,984,826 | |||||||
IQVIA, Inc. |
| |||||||||
5.00% | 05/15/272 | 14,032,000 | 14,488,040 | |||||||
Microsoft Corp. |
| |||||||||
3.70% | 08/08/46 | 2,000,000 | 2,399,733 | |||||||
4.25% | 02/06/47 | 2,000,000 | 2,602,644 | |||||||
4.75% | 11/03/55 | 10,000,000 | 14,244,262 | |||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||
3.88% | 09/01/222,3 | 4,600,000 | 4,623,438 | |||||||
4.13% | 06/01/212,3 | 20,965,000 | 21,171,376 | |||||||
Oracle Corp. |
| |||||||||
3.60% | 04/01/40 | 25,000,000 | 25,089,639 | |||||||
3.60% | 04/01/50 | 31,285,000 | 31,427,646 | |||||||
3.85% | 04/01/60 | 4,405,000 | 4,456,061 | |||||||
4.00% | 11/15/47 | 7,000,000 | 7,711,022 | |||||||
SS&C Technologies, Inc. |
| |||||||||
5.50% | 09/30/272 | 23,629,000 | 24,759,293 | |||||||
|
| |||||||||
806,238,335 | ||||||||||
|
| |||||||||
Insurance — 0.40% |
| |||||||||
Allstate Corp. (The) |
| |||||||||
4.20% | 12/15/46 | 5,000,000 | 5,673,809 | |||||||
Berkshire Hathaway Finance Corp. |
| |||||||||
1.85% | 03/12/30 | 10,000,000 | 9,747,426 | |||||||
4.20% | 08/15/48 | 5,000,000 | 5,896,505 | |||||||
4.25% | 01/15/49 | 7,000,000 | 8,702,814 | |||||||
Berkshire Hathaway, Inc. |
| |||||||||
4.50% | 02/11/43 | 5,000,000 | 6,111,827 | |||||||
Farmers Exchange Capital |
| |||||||||
7.05% | 07/15/282 | 13,283,000 | 17,283,445 | |||||||
7.20% | 07/15/482 | 18,265,000 | 26,900,875 | |||||||
Farmers Exchange Capital II |
| |||||||||
6.15% | 11/01/532,8 | 61,460,000 | 83,508,775 | |||||||
Farmers Exchange Capital III |
| |||||||||
5.45% | 10/15/542,8 | 68,575,000 | 86,490,219 | |||||||
Farmers Insurance Exchange |
| |||||||||
4.75% | 11/01/572,8 | 17,070,000 | 18,119,926 | |||||||
Nationwide Mutual Insurance Co. |
| |||||||||
3.03% | 12/15/242,8 | 35,189,000 | 35,448,804 | |||||||
Teachers Insurance & Annuity |
| |||||||||
Association of America |
| |||||||||
4.38% | 09/15/542,8 | 19,825,000 | 21,386,219 | |||||||
|
| |||||||||
325,270,644 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Materials — 0.27% |
| |||||||||
Corp. Nacional del Cobre de Chile, |
| |||||||||
Series REGS (Chile) |
| |||||||||
3.15% | 01/14/303 | $ | 30,738,000 | $ | 28,868,048 | |||||
Indonesia Asahan Aluminum Persero PT, |
| |||||||||
Series REGS (Indonesia) |
| |||||||||
6.53% | 11/15/283 | 2,067,000 | 2,184,380 | |||||||
6.76% | 11/15/483 | 13,119,000 | 14,093,624 | |||||||
Indonesia Asahan Aluminum Persero PT |
| |||||||||
(Indonesia) |
| |||||||||
6.53% | 11/15/282,3 | 9,000,000 | 9,511,087 | |||||||
International Flavors & Fragrances, Inc. |
| |||||||||
5.00% | 09/26/48 | 134,054,000 | 137,366,370 | |||||||
International Paper Co. |
| |||||||||
4.35% | 08/15/48 | 5,000,000 | 4,913,818 | |||||||
Sasol Financing USA LLC |
| |||||||||
5.88% | 03/27/24 | 8,420,000 | 3,661,016 | |||||||
Sherwin-Williams Co. (The) |
| |||||||||
2.30% | 05/15/30 | 11,910,000 | 11,186,935 | |||||||
3.30% | 05/15/50 | 5,000,000 | 4,698,383 | |||||||
|
| |||||||||
216,483,661 | ||||||||||
|
| |||||||||
Real Estate Investment Trust (REIT) — 1.03% |
| |||||||||
American Campus Communities |
| |||||||||
Operating Partnership LP |
| |||||||||
3.63% | 11/15/27 | 7,095,000 | 7,073,755 | |||||||
3.75% | 04/15/23 | 45,679,000 | 46,398,737 | |||||||
4.13% | 07/01/24 | 4,095,000 | 4,258,477 | |||||||
AvalonBay Communities, Inc. (MTN) |
| |||||||||
(LIBOR USD 3-Month plus 0.43%) |
| |||||||||
2.26% | 01/15/211 | 60,530,000 | 59,578,775 | |||||||
Boston Properties LP |
| |||||||||
3.20% | 01/15/25 | 39,740,000 | 40,181,436 | |||||||
4.13% | 05/15/21 | 350,000 | 356,170 | |||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||
2.90% | 11/15/24 | 78,873,000 | 75,768,953 | |||||||
Digital Realty Trust LP |
| |||||||||
3.63% | 10/01/22 | 5,530,000 | 5,649,825 | |||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||
3.35% | 09/01/24 | 28,739,000 | 25,649,557 | |||||||
4.00% | 01/15/30 | 20,000 | 15,600 | |||||||
5.25% | 06/01/25 | 70,042,000 | 65,489,270 | |||||||
5.30% | 01/15/29 | 34,705,000 | 29,748,085 | |||||||
5.38% | 11/01/23 | 33,993,000 | 31,037,025 | |||||||
5.38% | 04/15/26 | 79,306,000 | 70,736,987 | |||||||
5.75% | 06/01/28 | 34,128,000 | 30,396,700 | |||||||
Healthcare Realty Trust, Inc. |
| |||||||||
3.75% | 04/15/23 | 20,945,000 | 20,944,920 | |||||||
3.88% | 05/01/25 | 20,446,000 | 21,712,451 | |||||||
Healthcare Trust of America Holdings LP |
| |||||||||
3.75% | 07/01/27 | 18,945,000 | 17,509,424 |
See accompanying Notes to Financial Statements.
147 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||
Healthpeak Properties, Inc. |
| |||||||||
3.15% | 08/01/22 | $ | 10,530,000 | $ | 10,779,652 | |||||
3.88% | 08/15/24 | 19,274,000 | 20,194,086 | |||||||
4.20% | 03/01/24 | 15,709,000 | 16,568,073 | |||||||
4.25% | 11/15/23 | 36,440,000 | 34,500,387 | |||||||
Hudson Pacific Properties LP |
| |||||||||
3.95% | 11/01/27 | 2,000,000 | 1,908,140 | |||||||
4.65% | 04/01/29 | 9,585,000 | 9,847,874 | |||||||
Kilroy Realty LP |
| |||||||||
3.45% | 12/15/24 | 28,590,000 | 30,407,756 | |||||||
Kimco Realty Corp. |
| |||||||||
3.40% | 11/01/22 | 5,185,000 | 5,092,980 | |||||||
Life Storage LP |
| |||||||||
3.88% | 12/15/27 | 6,960,000 | 6,267,561 | |||||||
MGM Growth Properties Operating Partnership LP/MGP |
| |||||||||
Finance Co.-Issuer, Inc. |
| |||||||||
4.50% | 01/15/28 | 1,322,000 | 1,134,993 | |||||||
5.63% | 05/01/24 | 10,000 | 9,663 | |||||||
Mid-America Apartments LP |
| |||||||||
4.30% | 10/15/23 | 9,636,000 | 9,599,767 | |||||||
SBA Communications Corp. |
| |||||||||
4.88% | 09/01/24 | 2,524,000 | 2,583,945 | |||||||
SL Green Operating Partnership LP |
| |||||||||
3.25% | 10/15/22 | 44,126,000 | 46,137,568 | |||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||
2.67% | 08/16/211 | 21,735,000 | 21,156,910 | |||||||
SL Green Realty Corp. |
| |||||||||
4.50% | 12/01/22 | 15,745,000 | 16,189,607 | |||||||
Ventas Realty LP |
| |||||||||
3.50% | 02/01/25 | 12,540,000 | 12,309,756 | |||||||
3.75% | 05/01/24 | 9,555,000 | 8,661,919 | |||||||
4.00% | 03/01/28 | 2,000,000 | 1,998,833 | |||||||
Ventas Realty LP/Ventas Capital Corp. |
| |||||||||
3.25% | 08/15/22 | 7,357,000 | 7,628,658 | |||||||
WEA Finance LLC |
| |||||||||
3.15% | 04/05/222 | 6,330,000 | 6,164,913 | |||||||
Weyerhaeuser Co. |
| |||||||||
7.38% | 03/15/32 | 5,000,000 | 6,185,626 | |||||||
|
| |||||||||
827,834,814 | ||||||||||
|
| |||||||||
Retail — 0.44% |
| |||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||
2.70% | 07/26/222,3 | 3,803,000 | 3,764,514 | |||||||
2.95% | 01/25/302,3 | 15,000,000 | 13,932,666 | |||||||
3.55% | 07/26/272,3 | 9,320,000 | 9,266,407 | |||||||
3.80% | 01/25/502,3 | 95,790,000 | 84,704,189 | |||||||
Dollar Tree, Inc. |
| |||||||||
(LIBOR USD 3-Month plus 0.70%) |
| |||||||||
2.54% | 04/17/201 | 13,639,000 | 13,636,151 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Retail (continued) |
| |||||||||
Family Dollar Stores, Inc. |
| |||||||||
5.00% | 02/01/21 | $ | 17,730,000 | $ | 17,782,104 | |||||
Home Depot, Inc. (The) |
| |||||||||
3.13% | 12/15/49 | 5,000,000 | 4,983,347 | |||||||
Lowe’s Cos., Inc. |
| |||||||||
3.70% | 04/15/46 | 2,000,000 | 1,946,900 | |||||||
4.05% | 05/03/47 | 2,000,000 | 2,056,252 | |||||||
4.55% | 04/05/49 | 7,000,000 | 7,751,797 | |||||||
McDonald’s Corp. (MTN) |
| |||||||||
2.13% | 03/01/30 | 10,000,000 | 9,299,355 | |||||||
3.63% | 05/01/43 | 5,000,000 | 4,844,623 | |||||||
3.63% | 09/01/49 | 2,000,000 | 2,028,921 | |||||||
4.70% | 12/09/35 | 5,000,000 | 5,450,371 | |||||||
Rite Aid Corp. |
| |||||||||
6.13% | 04/01/232 | 11,404,000 | 9,892,970 | |||||||
Starbucks Corp. |
| |||||||||
2.00% | 03/12/27 | 26,750,000 | 25,283,839 | |||||||
2.25% | 03/12/30 | 42,285,000 | 39,668,117 | |||||||
3.35% | 03/12/50 | 14,130,000 | 13,475,268 | |||||||
3.55% | 08/15/29 | 5,000,000 | 5,204,320 | |||||||
4.45% | 08/15/49 | 7,000,000 | 8,038,782 | |||||||
Walgreens Boots Alliance, Inc. |
| |||||||||
3.45% | 06/01/26 | 42,647,000 | 42,247,694 | |||||||
3.80% | 11/18/24 | 6,213,000 | 6,319,644 | |||||||
4.80% | 11/18/44 | 13,049,000 | 12,911,853 | |||||||
Walmart, Inc. |
| |||||||||
2.95% | 09/24/49 | 7,000,000 | 7,567,466 | |||||||
4.05% | 06/29/48 | 2,000,000 | 2,504,830 | |||||||
|
| |||||||||
354,562,380 | ||||||||||
|
| |||||||||
Services — 0.34% |
| |||||||||
DP World Crescent Ltd. (Cayman Islands) |
| |||||||||
4.85% | 09/26/282,3 | 7,600,000 | 6,992,000 | |||||||
Georgetown University (The), Series 20A |
| |||||||||
2.94% | 04/01/50 | 5,000,000 | 4,380,093 | |||||||
GFL Environmental, Inc. (Canada) |
| |||||||||
5.13% | 12/15/262,3 | 26,715,000 | 26,247,487 | |||||||
Global Payments, Inc. |
| |||||||||
3.20% | 08/15/29 | 2,000,000 | 1,931,975 | |||||||
4.15% | 08/15/49 | 7,000,000 | 6,748,936 | |||||||
4.45% | 06/01/28 | 5,000,000 | 5,290,111 | |||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||
4.00% | 03/01/262,3 | 17,806,000 | 17,621,352 | |||||||
4.13% | 08/01/233 | 38,500,000 | 39,598,020 | |||||||
4.75% | 02/15/252,3 | 34,276,000 | 35,388,942 | |||||||
4.75% | 08/01/283 | 2,692,000 | 2,836,096 | |||||||
5.00% | 11/01/222,3 | 83,285,000 | 87,814,954 | |||||||
Service Corp. International/U.S. |
| |||||||||
4.63% | 12/15/27 | 1,922,000 | 1,935,392 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 148 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Services (continued) |
| |||||||||
Waste Pro USA, Inc. |
| |||||||||
5.50% | 02/15/262 | $ | 40,001,000 | $ | 37,391,635 | |||||
|
| |||||||||
274,176,993 | ||||||||||
|
| |||||||||
Transportation — 0.53% |
| |||||||||
America West Airlines Pass-Through Trust, |
| |||||||||
Series 2001-1, Class G |
| |||||||||
7.10% | 04/02/21 | 3,408,540 | 3,414,704 | |||||||
American Airlines Pass-Through Trust, |
| |||||||||
Series 2011-1, Class A |
| |||||||||
5.25% | 01/31/21 | 1,602,882 | 1,574,860 | |||||||
American Airlines Pass-Through Trust, |
| |||||||||
Series 2013-1, Class A |
| |||||||||
4.00% | 07/15/25 | 13,409,082 | 13,483,768 | |||||||
American Airlines Pass-Through Trust, |
| |||||||||
Series 2013-2, Class A |
| |||||||||
4.95% | 01/15/23 | 48,550,772 | 49,521,963 | |||||||
American Airlines Pass-Through Trust, |
| |||||||||
Series 2017-2, Class AA |
| |||||||||
3.35% | 10/15/29 | 18,325,798 | 17,850,835 | |||||||
Burlington Northern Santa Fe LLC |
| |||||||||
3.55% | 02/15/50 | 7,000,000 | 7,671,581 | |||||||
4.05% | 06/15/48 | 5,000,000 | 5,877,776 | |||||||
4.15% | 04/01/45 | 5,000,000 | 5,805,566 | |||||||
4.15% | 12/15/48 | 2,000,000 | 2,262,899 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2000-1, Class A1 |
| |||||||||
8.05% | 11/01/20 | 4,119 | 4,162 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2000-2, Class A |
| |||||||||
7.71% | 04/02/21 | 898,257 | 887,079 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2007-1, Class A |
| |||||||||
5.98% | 04/19/22 | 58,763,382 | 60,299,480 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2007-1, Class B |
| |||||||||
6.90% | 04/19/22 | 329,923 | 320,268 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2010-1, Class A |
| |||||||||
4.75% | 01/12/21 | 326,107 | 318,424 | |||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||
Series 2002-1, Class G1 |
| |||||||||
6.72% | 01/02/23 | 29,453,763 | 29,659,595 | |||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||
Series 2020-1, Class AA |
| |||||||||
2.00% | 06/10/28 | 90,146,000 | 82,066,214 | |||||||
Norfolk Southern Corp. |
| |||||||||
4.10% | 05/15/49 | 5,000,000 | 5,351,696 | |||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||
Series 2001-1, Class A1 |
| |||||||||
7.04% | 04/01/22 | 3,002,354 | 3,027,176 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Transportation (continued) |
| |||||||||
SMBC Aviation Capital Finance DAC (Ireland) |
| |||||||||
3.00% | 07/15/222,3 | $ | 20,315,000 | $ | 20,492,933 | |||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2001-1, Class G |
| |||||||||
7.08% | 03/20/21 | 456,976 | 459,686 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2010-1, Class A |
| |||||||||
6.25% | 04/22/23 | 15,304,050 | 15,216,453 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2011-1, Class A |
| |||||||||
7.13% | 10/22/23 | 2,881,776 | 2,891,706 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2012-1, Class A |
| |||||||||
5.90% | 10/01/24 | 36,503,565 | 36,656,504 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2012-2, Class A |
| |||||||||
4.63% | 06/03/25 | 8,851 | 7,680 | |||||||
Union Pacific Corp. |
| |||||||||
3.25% | 02/05/50 | 7,000,000 | 6,960,171 | |||||||
3.80% | 10/01/51 | 5,000,000 | 5,420,299 | |||||||
3.84% | 03/20/602 | 2,000,000 | 2,131,977 | |||||||
3.88% | 02/01/55 | 5,000,000 | 4,958,067 | |||||||
3.95% | 09/10/28 | 30,000 | 32,283 | |||||||
United Airlines Pass-Through Trust, |
| |||||||||
Series 2013-1, Class A |
| |||||||||
4.30% | 08/15/25 | 13,710,376 | 13,740,517 | |||||||
United Airlines Pass-Through Trust, |
| |||||||||
Series 2018-1, Class AA |
| |||||||||
3.50% | 03/01/30 | 32,585,955 | 32,056,434 | |||||||
|
| |||||||||
430,422,756 | ||||||||||
|
| |||||||||
Water — 0.04% |
| |||||||||
American Water Capital Corp. |
| |||||||||
3.45% | 06/01/29 | 34,192,000 | 35,215,563 | |||||||
|
| |||||||||
Total Corporates (Cost $23,377,869,006) |
| 22,795,833,357 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.21% |
| |||||||||
Foreign Government Obligations — 1.21% |
| |||||||||
Abu Dhabi Government International Bond, |
| |||||||||
Series REGS (United Arab Emirates) |
| |||||||||
2.50% | 09/30/293 | 38,500,000 | 37,554,748 | |||||||
Bahrain Government International Bond, |
| |||||||||
Series REGS (Bahrain) |
| |||||||||
6.75% | 09/20/293 | 6,118,000 | 5,496,641 | |||||||
7.00% | 10/12/283 | 30,874,000 | 28,384,784 | |||||||
Brazilian Government International Bond |
| |||||||||
(Brazil) |
| |||||||||
4.50% | 05/30/293 | 18,287,000 | 18,832,684 | |||||||
4.63% | 01/13/283 | 16,315,000 | 17,426,459 | |||||||
Chile Government International Bond (Chile) |
| |||||||||
2.55% | 01/27/323 | 35,827,000 | 35,989,341 |
See accompanying Notes to Financial Statements.
149 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Foreign Government Obligations |
| |||||||||||
3.24% | 02/06/28 | 3 | $ | 18,351,000 | $ | 19,329,108 | ||||||
Colombia Government International Bond |
| |||||||||||
(Colombia) |
| |||||||||||
3.00% | 01/30/30 | 3 | 20,859,000 | 19,127,703 | ||||||||
3.88% | 04/25/27 | 3 | 13,311,000 | 13,225,044 | ||||||||
5.00% | 06/15/45 | 3 | 20,916,000 | 21,484,654 | ||||||||
5.20% | 05/15/49 | 3 | 2,102,000 | 2,211,370 | ||||||||
Croatia Government International Bond, |
| |||||||||||
Series REGS (Croatia) |
| |||||||||||
6.00% | 01/26/24 | 3 | 18,065,000 | 19,628,752 | ||||||||
Dominican Republic International Bond |
| |||||||||||
(Dominican Republic) |
| |||||||||||
4.50% | 01/30/30 | 2,3 | 1,095,000 | 957,577 | ||||||||
Dominican Republic International Bond, |
| |||||||||||
Series REGS (Dominican Republic) |
| |||||||||||
5.50% | 01/27/25 | 3 | 12,019,000 | 11,470,934 | ||||||||
6.00% | 07/19/28 | 3 | 31,022,000 | 29,232,031 | ||||||||
Egypt Government International Bond |
| |||||||||||
(Egypt) | ||||||||||||
5.58% | 02/21/23 | 2,3 | 4,700,000 | 4,371,000 | ||||||||
7.60% | 03/01/29 | 2,3 | 3,550,000 | 3,195,355 | ||||||||
Hungary Government International Bond |
| |||||||||||
(Hungary) | ||||||||||||
5.38% | 03/25/24 | 3 | 23,298,000 | 25,672,066 | ||||||||
Indonesia Government International Bond |
| |||||||||||
(Indonesia) | ||||||||||||
2.85% | 02/14/30 | 3 | 12,786,000 | 12,463,499 | ||||||||
Indonesia Government International Bond, |
| |||||||||||
Series REGS (EMTN) (Indonesia) |
| |||||||||||
4.75% | 01/08/26 | 3 | 17,340,000 | 18,464,391 | ||||||||
Mexico Government International Bond |
| |||||||||||
(Mexico) | ||||||||||||
3.25% | 04/16/30 | 3 | 81,682,000 | 77,312,013 | ||||||||
3.75% | 01/11/28 | 3 | 10,635,000 | 10,654,941 | ||||||||
4.50% | 04/22/29 | 3 | 11,767,000 | 12,092,431 | ||||||||
4.60% | 01/23/46 | 3 | 18,506,000 | 18,410,578 | ||||||||
Mexico Government International Bond |
| |||||||||||
(MTN) (Mexico) | ||||||||||||
4.75% | 03/08/44 | 3 | 8,694,000 | 8,794,068 | ||||||||
Oman Government International Bond |
| |||||||||||
(Oman) | ||||||||||||
5.63% | 01/17/28 | 2,3 | 22,400,000 | 16,016,000 | ||||||||
Panama Government International Bond |
| |||||||||||
(Panama) | ||||||||||||
3.16% | 01/23/30 | 3 | 57,474,000 | 57,662,587 | ||||||||
3.88% | 03/17/28 | 3 | 13,200,000 | 14,196,600 | ||||||||
Paraguay Government International Bond, |
| |||||||||||
Series REGS (Paraguay) |
| |||||||||||
4.70% | 03/27/27 | 3 | 20,505,000 | 20,931,120 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Foreign Government Obligations |
| |||||||||||
Perusahaan Penerbit SBSN Indonesia III, |
| |||||||||||
Series REGS (Indonesia) |
| |||||||||||
4.15% | 03/29/27 | 3 | $ | 5,100,000 | $ | 5,140,641 | ||||||
Peruvian Government International Bond |
| |||||||||||
(Peru) | ||||||||||||
2.84% | 06/20/30 | 3 | 28,449,000 | 29,925,503 | ||||||||
4.13% | 08/25/27 | 3 | 31,282,000 | 35,537,994 | ||||||||
Philippine Government International Bond |
| |||||||||||
(Philippines) | ||||||||||||
3.00% | 02/01/28 | 3 | 56,307,000 | 59,186,461 | ||||||||
3.70% | 03/01/41 | 3 | 5,402,000 | 5,965,834 | ||||||||
3.75% | 01/14/29 | 3 | 8,982,000 | 10,016,547 | ||||||||
Qatar Government International Bond, |
| |||||||||||
Series REGS (Qatar) |
| |||||||||||
4.50% | 04/23/28 | 3 | 30,438,000 | 33,425,368 | ||||||||
4.63% | 06/02/46 | 3 | 11,215,000 | 13,037,437 | ||||||||
Republic of Azerbaijan International Bond, |
| |||||||||||
Series REGS (Azerbaijan) |
| |||||||||||
4.75% | 03/18/24 | 3 | 26,265,000 | 25,878,905 | ||||||||
Republic of South Africa Government |
| |||||||||||
International Bond (South Africa) |
| |||||||||||
4.30% | 10/12/28 | 3 | 38,733,000 | 31,935,591 | ||||||||
4.67% | 01/17/24 | 3 | 7,500,000 | 7,063,500 | ||||||||
Russian Foreign Bond - Eurobond, |
| |||||||||||
Series REGS (Russia) |
| |||||||||||
4.25% | 06/23/27 | 3 | 7,200,000 | 7,578,000 | ||||||||
4.38% | 03/21/29 | 3 | 19,200,000 | 20,601,600 | ||||||||
4.75% | 05/27/26 | 3 | 9,400,000 | 10,044,840 | ||||||||
Saudi Government International Bond, |
| |||||||||||
Series REGS (EMTN) (Saudi Arabia) |
| |||||||||||
3.63% | 03/04/28 | 3 | 24,942,000 | 25,413,404 | ||||||||
4.50% | 10/26/46 | 3 | 19,091,000 | 19,472,820 | ||||||||
Saudi Government International Bond |
| |||||||||||
(Saudi Arabia) | ||||||||||||
2.75% | 02/03/32 | 2,3 | 3,080,000 | 2,884,112 | ||||||||
3.75% | 01/21/55 | 2,3 | 4,255,000 | 3,957,150 | ||||||||
4.00% | 04/17/25 | 2,3 | 8,420,000 | 8,771,880 | ||||||||
Uruguay Government International Bond |
| |||||||||||
(Uruguay) | ||||||||||||
4.38% | 10/27/27 | 3 | 26,063,777 | 28,339,210 | ||||||||
4.38% | 01/23/31 | 3 | 10,570,000 | 11,553,116 | ||||||||
|
| |||||||||||
Total Foreign Government Obligations (Cost $1,006,222,093) |
| 976,318,392 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 57.26%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 1.30% |
| |||||||||||
Banc of America Merrill Lynch Commercial |
| |||||||||||
Mortgage Trust, Series 2018-PARK, Class A |
| |||||||||||
4.09% | 08/10/38 | 2,8 | 122,855,000 | 130,727,954 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 150 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||||
1.49% | 04/25/34 | 1,2 | $ | 23,602 | $ | 23,238 | ||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-2, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.43%) |
| |||||||||||
1.38% | 08/25/34 | 1,2 | 219,398 | 199,763 | ||||||||
BB-UBS Trust, Series 2012-SHOW, Class A |
| |||||||||||
3.43% | 11/05/36 | 2 | 8,640,000 | 8,586,875 | ||||||||
BX Trust, Series 2019-OC11, Class A |
| |||||||||||
3.20% | 12/09/41 | 2 | 42,245,000 | 41,449,130 | ||||||||
CALI Mortgage Trust, Series 2019-101C, |
| |||||||||||
Class A | ||||||||||||
3.96% | 03/10/39 | 2 | 80,200,000 | 87,659,955 | ||||||||
CALI Mortgage Trust, Series 2019-101C, |
| |||||||||||
Class XA (IO) | ||||||||||||
0.30% | 03/10/39 | 2,8 | 272,551,000 | 6,620,318 | ||||||||
Capmark Mortgage Securities, Inc., |
| |||||||||||
Series 1998-C2, Class X (IO) |
| |||||||||||
1.09% | 05/15/35 | 8 | 2,516,888 | 15,953 | ||||||||
Century Plaza Towers, Series 2019-CPT, |
| |||||||||||
Class A | ||||||||||||
2.87% | 11/13/39 | 2 | 32,595,000 | 32,257,402 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2015-GC31, Class A4 |
| |||||||||||
3.76% | 06/10/48 | 10,000,000 | 10,560,833 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-300P, Class A1 |
| |||||||||||
4.35% | 08/10/30 | 2 | 14,635,000 | 15,334,118 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR12, Class A4 |
| |||||||||||
4.05% | 10/10/46 | 440,000 | 469,790 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-SFS, Class A2 |
| |||||||||||
2.99% | 04/12/35 | 2,8 | 7,205,000 | 7,241,839 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-277P, Class A |
| |||||||||||
3.61% | 08/10/49 | 2,8 | 15,960,000 | 16,386,910 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2016-787S, Class A |
| |||||||||||
3.55% | 02/10/36 | 2 | 74,550,000 | 77,775,860 | ||||||||
DC Office Trust, Series 2019-MTC, Class A |
| |||||||||||
2.97% | 09/15/45 | 2 | 31,080,000 | 30,850,479 | ||||||||
Eleven Madison Mortgage Trust, |
| |||||||||||
Series 2015-11MD, Class A |
| |||||||||||
3.55% | 09/10/35 | 2,8 | 1,362,500 | 1,380,859 | ||||||||
GE Business Loan Trust, Series 2007-1A, |
| |||||||||||
Class A | ||||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
0.87% | 04/15/35 | 1,2 | 4,385,207 | 4,004,118 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed (continued) |
| |||||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2010-C2, Class A1 |
| |||||||||||
3.85% | 12/10/43 | 2 | $ | 934,010 | $ | 935,744 | ||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC5, Class A4 |
| |||||||||||
3.71% | 08/10/44 | 42,865,000 | 43,293,944 | |||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-30HY, Class A |
| |||||||||||
3.23% | 07/10/39 | 2 | 84,860,000 | 90,649,607 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class A |
| |||||||||||
2.94% | 12/10/41 | 2,8 | 80,970,000 | 89,741,428 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2015-JP1, |
| |||||||||||
Class A5 | ||||||||||||
3.91% | 01/15/49 | 8,610,000 | 9,299,197 | |||||||||
Lehman Brothers Small Balance Commercial |
| |||||||||||
Mortgage Trust, Series 2007-1A, Class 2A3 |
| |||||||||||
5.62% | 03/25/37 | 2,8 | 1,475,969 | 1,380,141 | ||||||||
One Bryant Park Trust, |
| |||||||||||
Series 2019-OBP, Class A |
| |||||||||||
2.52% | 09/15/54 | 2 | 147,597,000 | 148,526,101 | ||||||||
Queens Center Mortgage Trust, |
| |||||||||||
Series 2013-QCA, Class A |
| |||||||||||
3.28% | 01/11/37 | 2 | 15,810,000 | 15,998,710 | ||||||||
RBS Commercial Funding, Inc., Trust, |
| |||||||||||
Series 2013-GSP, Class A |
| |||||||||||
3.83% | 01/15/32 | 2,8 | 103,085,000 | 107,282,132 | ||||||||
SFAVE Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-5AVE, Class A1 |
| |||||||||||
3.87% | 01/05/43 | 2,8 | 48,415,000 | 45,946,401 | ||||||||
SFAVE Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-5AVE, Class A2B |
| |||||||||||
4.14% | 01/05/43 | 2,8 | 10,145,000 | 9,136,646 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2010-C1, Class A2 |
| |||||||||||
4.39% | 11/15/43 | 2 | 693,531 | 695,991 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-P2, Class A4 |
| |||||||||||
3.81% | 12/15/48 | 16,637,000 | 17,581,111 | |||||||||
|
| |||||||||||
1,052,012,547 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 6.00% |
| |||||||||||
Aames Mortgage Trust, |
| |||||||||||
Series 2002-1, Class A3 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
7.40% | 06/25/32 | 39,005 | 38,190 | |||||||||
Accredited Mortgage Loan Trust, |
| |||||||||||
Series 2007-1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 02/25/37 | 1 | 42,024,835 | 40,331,978 |
See accompanying Notes to Financial Statements. |
151 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
ACE Securities Corp. Home Equity Loan |
| |||||||||||
Trust, Series 2004-IN1, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||||
1.59% | 05/25/34 | 1 | $ | 3,666 | $ | 3,265 | ||||||
ACE Securities Corp. Home Equity Loan |
| |||||||||||
Trust, Series 2006-HE3, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 06/25/36 | 1 | 3,240,073 | 2,443,195 | ||||||||
ACE Securities Corp. Home Equity Loan |
| |||||||||||
Trust, Series 2007-ASAP2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||||
1.14% | 06/25/37 | 1 | 41,318,855 | 29,611,600 | ||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||
Series 2005-10, Class 6A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||||
1.49% | 01/25/36 | 1 | 294,147 | 245,629 | ||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||
Series 2006-3, Class 4A32 |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.15% | 08/25/36 | 1 | 6,749,007 | 6,674,624 | ||||||||
Aegis Asset-Backed Securities Trust, |
| |||||||||||
Series 2005-5, Class 1A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.30% | 12/25/35 | 1 | 108,663 | 105,532 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2004-J6, Class 2A1 |
| |||||||||||
6.50% | 11/25/31 | 7,172 | 7,431 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-38, Class A1 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.50%) |
| |||||||||||
3.47% | 09/25/35 | 1 | 524,475 | 435,385 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-76, Class 2A1 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.00%) |
| |||||||||||
2.97% | 02/25/36 | 1 | 53,823,248 | 35,922,590 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-84, Class 1A1 |
| |||||||||||
3.27% | 02/25/36 | 8 | 52,640 | 39,727 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2006-HY13, Class 4A1 |
| |||||||||||
3.83% | 02/25/37 | 8 | 1,467,715 | 1,264,584 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2006-OC5, Class 2A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
1.12% | 06/25/46 | 1 | 241,562 | 236,260 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-J1, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.15% | 03/25/37 | 1 | 599,414 | 137,361 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
American Home Mortgage Assets Trust, |
| |||||||||||
Series 2006-3, Class 2A12 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.15%) | ||||||||||||
3.12% | 10/25/46 | 1 | $ | 45,572,903 | $ | 33,670,650 | ||||||
American Home Mortgage Assets Trust, |
| |||||||||||
Series 2007-2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||||
1.07% | 03/25/47 | 1 | 13,449,954 | 9,650,160 | ||||||||
American Home Mortgage Investment Trust, |
| |||||||||||
Series 2004-3, Class 2A |
| |||||||||||
(LIBOR USD 6-Month plus 1.50%) |
| |||||||||||
3.26% | 10/25/34 | 1 | 6,053,274 | 5,582,883 | ||||||||
Ameriquest Mortgage Securities Trust, |
| |||||||||||
Series 2006-R1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.39%) |
| |||||||||||
1.34% | 03/25/36 | 1 | 15,067,659 | 14,668,625 | ||||||||
Ameriquest Mortgage Securities, Inc., |
| |||||||||||
Asset-Backed Pass-Through Certificates, |
| |||||||||||
Series 2004-R10, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
1.61% | 11/25/34 | 1 | 20,048,095 | 18,510,120 | ||||||||
Ameriquest Mortgage Securities, Inc., |
| |||||||||||
Asset-Backed Pass-Through Certificates, |
| |||||||||||
Series 2005-R11, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 01/25/36 | 1 | 9,421,430 | 9,308,036 | ||||||||
Amresco Residential Securities Corp. |
| |||||||||||
Mortgage Loan Trust, Series 1998-1, |
| |||||||||||
Class A5 (STEP-reset date 05/25/20) |
| |||||||||||
6.59% | 10/25/27 | 40,366 | 39,234 | |||||||||
Argent Securities, Inc., Asset-Backed |
| |||||||||||
Pass-Through Certificates Series 2005-W3, |
| |||||||||||
Class M1 | ||||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
1.39% | 11/25/35 | 1 | 19,840,000 | 17,938,588 | ||||||||
Argent Securities, Inc., Asset-Backed |
| |||||||||||
Pass-Through Certificates, Series 2005-W2, |
| |||||||||||
Class A1 | ||||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
1.21% | 10/25/35 | 1 | 800,821 | 804,602 | ||||||||
Argent Securities, Inc., Asset-Backed |
| |||||||||||
Pass-Through Certificates, Series 2005-W3, |
| |||||||||||
Class A1 | ||||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
1.21% | 11/25/35 | 1 | 21,944,714 | 19,921,913 | ||||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2005-HE1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||||
1.58% | 03/25/35 | 1 | 4,954,526 | 4,894,440 | ||||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2006-OPT3, Class A3B |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 152 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
1.11% | 11/25/36 | 1 | $ | 51,032,173 | $ | 26,991,799 | ||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2007-WMC1, Class A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
1.70% | 06/25/37 | 1 | 30,597,799 | 25,473,580 | ||||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2007-WMC1, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.95% | 06/25/37 | 1 | 22,352,764 | 19,102,234 | ||||||||
Asset-Backed Securities Corp. Home Equity |
| |||||||||||
Loan Trust, Series 2006-HE5, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||||
1.07% | 07/25/36 | 1 | 11,352,687 | 10,443,440 | ||||||||
Asset-Backed Securities Corp. Home Equity |
| |||||||||||
Loan Trust, Series 2006-HE6, Class A5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
1.18% | 11/25/36 | 1 | 18,411,000 | 15,374,614 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2003-2, Class 1A1 |
| |||||||||||
6.50% | 06/25/32 | 18,948 | 19,422 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-D, Class 3A1 |
| |||||||||||
4.10% | 05/20/36 | 8 | 4,691,562 | 4,268,705 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-E, Class 2A1 |
| |||||||||||
4.65% | 06/20/36 | 8 | 72,658 | 61,139 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-G, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
1.21% | 07/20/36 | 1 | 3,580,988 | 3,480,135 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-H, Class 3A1 |
| |||||||||||
4.17% | 09/20/46 | 8 | 1,198,743 | 941,947 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2014-R8, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 06/26/36 | 1,2 | 3,193,944 | 3,167,267 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R2, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 08/27/36 | 1,2 | 22,227,003 | 20,623,650 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R2, Class 3A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
1.21% | 04/29/37 | 1,2 | 6,521,688 | 6,439,451 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R2, Class 7A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 09/29/36 | 1,2 | 2,546,146 | 2,541,032 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R2, Class 9A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.16% | 03/27/36 | 1,2 | $ | 3,334,072 | $ | 3,294,176 | ||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R5, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||||
1.08% | 10/26/36 | 1,2 | 17,502,271 | 17,310,145 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R5, Class 1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||||
1.08% | 10/26/36 | 1,2 | 42,536,000 | 39,232,727 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2016-R1, Class A1 |
| |||||||||||
2.50% | 03/25/40 | 2,8 | 21,793,315 | 21,424,816 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2016-R1, Class B2 |
| |||||||||||
3.50% | 03/25/40 | 2,8 | 23,780,000 | 20,646,752 | ||||||||
Banc of America Mortgage Trust, |
| |||||||||||
Series 2004-F, Class 1A1 |
| |||||||||||
4.67% | 07/25/34 | 8 | 43,188 | 38,015 | ||||||||
Banc of America Mortgage Trust, |
| |||||||||||
Series 2005-C, Class 2A2 |
| |||||||||||
4.27% | 04/25/35 | 8 | 334,525 | 269,196 | ||||||||
Banc of America Mortgage Trust, |
| |||||||||||
Series 2006-2, Class A2 |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) |
| |||||||||||
6.00% | 07/25/46 | 1 | 133,187 | 124,297 | ||||||||
Banc of America Mortgage Trust, |
| |||||||||||
Series 2007-1, Class 1A24 |
| |||||||||||
6.00% | 03/25/37 | 694,967 | 629,825 | |||||||||
Banc of America Mortgage Trust, |
| |||||||||||
Series 2007-3, Class 1A1 |
| |||||||||||
6.00% | 09/25/37 | 350,554 | 324,825 | |||||||||
BCAP LLC Trust, Series 2007-AA2, |
| |||||||||||
Class 2A5 | ||||||||||||
6.00% | 04/25/37 | 290,421 | 212,435 | |||||||||
BCAP LLC Trust, Series 2007-AA5, |
| |||||||||||
Class A1 | ||||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
1.60% | 09/25/47 | 1 | 20,061,305 | 16,518,725 | ||||||||
Bear Stearns ALT-A Trust, Series 2005-4, |
| |||||||||||
Class 22A2 | ||||||||||||
4.00% | 05/25/35 | 8 | 16,986 | 15,846 | ||||||||
Bear Stearns ALT-A Trust, Series 2005-7, |
| |||||||||||
Class 11A1 | ||||||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||||
1.49% | 08/25/35 | 1 | 265,659 | 256,986 | ||||||||
Bear Stearns ALT-A Trust, Series 2006-4, |
| |||||||||||
Class 32A1 | ||||||||||||
4.02% | 07/25/36 | 8 | 1,793,991 | 1,420,880 |
See accompanying Notes to Financial Statements. |
153 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Bear Stearns ARM Trust, Series 2004-1, |
| |||||||||||
Class 13A2 | ||||||||||||
3.94% | 04/25/34 | 8 | $ | 7,497 | $ | 6,469 | ||||||
Bear Stearns ARM Trust, Series 2004-10, |
| |||||||||||
Class 14A1 | ||||||||||||
3.89% | 01/25/35 | 8 | 2,793,421 | 2,342,247 | ||||||||
Bear Stearns ARM Trust, Series 2006-4, |
| |||||||||||
Class 2A1 | ||||||||||||
3.80% | 10/25/36 | 8 | 479,006 | 416,687 | ||||||||
Bear Stearns Asset-Backed Securities I |
| |||||||||||
Trust, Series 2005-AC5, Class 2A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 08/25/20 | 1 | 1,559,095 | 841,703 | ||||||||
Bear Stearns Asset-Backed Securities I |
| |||||||||||
Trust, Series 2006-AC2, Class 21A3 |
| |||||||||||
6.00% | 03/25/36 | 539,743 | 550,957 | |||||||||
Bear Stearns Asset-Backed Securities I |
| |||||||||||
Trust, Series 2006-HE9, Class 3A |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 11/25/36 | 1 | 8,043,788 | 6,791,966 | ||||||||
Bear Stearns Asset-Backed Securities Trust, |
| |||||||||||
Series 2003-AC7, Class A1 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
5.50% | 01/25/34 | 642,813 | 619,381 | |||||||||
Bear Stearns Asset-Backed Securities Trust, |
| |||||||||||
Series 2003-AC7, Class A2 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
5.75% | 01/25/34 | 579,539 | 559,090 | |||||||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||||
Series 2006-AR3, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
1.13% | 10/25/36 | 1 | 2,062,339 | 1,804,769 | ||||||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||||
Series 2007-AR5, Class 1A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
1.12% | 06/25/47 | 1 | 554,466 | 435,619 | ||||||||
Carrington Mortgage Loan Trust, |
| |||||||||||
Series 2005-NC5, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
1.43% | 10/25/35 | 1 | 416,063 | 408,423 | ||||||||
Carrington Mortgage Loan Trust, |
| |||||||||||
Series 2006-NC1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||||
1.26% | 01/25/36 | 1 | 53,510,465 | 52,075,042 | ||||||||
Carrington Mortgage Loan Trust, |
| |||||||||||
Series 2006-OPT1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.30% | 02/25/36 | 1 | 155,000 | 147,122 | ||||||||
Centex Home Equity Loan Trust, |
| |||||||||||
Series 2006-A, Class AV4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 06/25/36 | 1 | 4,428,136 | 3,782,048 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Chase Funding Trust, |
| |||||||||||
Series 2003-5, Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 07/25/33 | 1 | $ | 3,059 | $ | 2,954 | ||||||
Chase Funding Trust, |
| |||||||||||
Series 2004-2, Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 02/26/35 | 1 | 5,668 | 4,573 | ||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2006-A1, Class 1A2 |
| |||||||||||
3.96% | 09/25/36 | 8 | 722,822 | 577,541 | ||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2006-S3, Class 2A1 |
| |||||||||||
5.50% | 11/25/21 | 1,657,999 | 993,371 | |||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2007-A2, Class 2A3 |
| |||||||||||
4.13% | 06/25/35 | 8 | 1,871,126 | 1,715,520 | ||||||||
Chaseflex Trust, Series 2005-2, Class 4A2 |
| |||||||||||
5.50% | 05/25/20 | 564,824 | 536,405 | |||||||||
Chaseflex Trust, Series 2006-2, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.15% | 09/25/36 | 1 | 7,790,360 | 5,779,307 | ||||||||
CIM Trust, Series 2017-5, Class A2A |
| |||||||||||
2.50% | 05/25/57 | 2,8 | 49,723,986 | 49,514,195 | ||||||||
CIM Trust, Series 2017-6, Class A1 |
| |||||||||||
3.02% | 06/25/57 | 2,8 | 51,571,906 | 48,644,674 | ||||||||
CIM Trust, Series 2017-8, Class A1 |
| |||||||||||
3.00% | 12/25/65 | 2,8 | 105,347,624 | 102,109,144 | ||||||||
CIM Trust, Series 2018-R1, Class A1 |
| |||||||||||
3.65% | 05/01/55 | 2 | 99,405,319 | 86,926,949 | ||||||||
CIM Trust, Series 2018-R2, Class A1 |
| |||||||||||
3.69% | 08/25/57 | 2,8 | 72,299,772 | 65,078,192 | ||||||||
CIM Trust, Series 2018-R4, Class A1 |
| |||||||||||
4.07% | 12/26/57 | 2,8 | 52,705,721 | 54,416,391 | ||||||||
CIM Trust, Series 2018-R5, Class A1 |
| |||||||||||
3.75% | 07/25/58 | 2,8 | 125,556,688 | 120,892,609 | ||||||||
CIM Trust, Series 2018-R6, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.08%) |
| |||||||||||
2.66% | 09/25/58 | 1,2 | 104,984,014 | 100,126,246 | ||||||||
CIM Trust, Series 2019-R1, Class A |
| |||||||||||
3.25% | 10/25/58 | 2,8 | 259,012,714 | 240,579,764 | ||||||||
CIM Trust, Series 2019-R3, Class A |
| |||||||||||
2.63% | 06/25/58 | 2,8 | 202,802,353 | 187,038,506 | ||||||||
CIM Trust, Series 2019-R4, Class A1 |
| |||||||||||
3.00% | 10/25/59 | 2,8 | 179,948,834 | 166,590,170 | ||||||||
CIM Trust, Series 2020-R1, Class A1 |
| |||||||||||
2.85% | 10/27/59 | 2,8 | 219,226,041 | 189,735,031 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 154 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
CIT Mortgage Loan Trust, Series 2007-1, |
| |||||||||||
Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||||
2.30% | 10/25/37 | 1,2 | $ | 51,560,139 | $ | 50,131,211 | ||||||
Citicorp Mortgage Securities, Inc., |
| |||||||||||
Series 2005-1, Class 1A12 |
| |||||||||||
5.00% | 02/25/35 | 203,978 | 197,446 | |||||||||
Citicorp Residential Mortgage Trust, |
| |||||||||||
Series 2006-2, Class A5 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
5.29% | 09/25/36 | 323,010 | 298,693 | |||||||||
Citicorp Residential Mortgage Trust, |
| |||||||||||
Series 2007-1, Class A5 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
5.26% | 03/25/37 | 650,000 | 642,894 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2004-HYB1, Class A41 |
| |||||||||||
2.94% | 02/25/34 | 8 | 33,298 | 32,238 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2005-5, Class 3A2A |
| |||||||||||
3.51% | 10/25/35 | 8 | 551,931 | 362,397 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2005-9, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
1.21% | 11/25/35 | 1 | 144,231 | 105,675 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-AR2, Class 1A1 |
| |||||||||||
3.98% | 03/25/36 | 8 | 10,545,956 | 8,664,904 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-AR3, Class 1A2A |
| |||||||||||
4.43% | 06/25/36 | 8 | 3,264,612 | 2,704,902 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-HE2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 08/25/36 | 1 | 305,000 | 278,249 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-WF2, Class A1 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
6.75% | 05/25/36 | 42,389,871 | 27,435,585 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2007-6, Class 1A4A |
| |||||||||||
2.98% | 03/25/37 | 8 | 362,905 | 285,802 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2007-WFH3, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 06/25/37 | 1 | 459,035 | 424,945 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2007-WFHE2, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.30% | 03/25/37 | 1 | 13,097 | 13,141 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2014-5, Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||||
3.69% | 02/20/36 | 1,2 | $ | 13,330,899 | $ | 11,896,435 | ||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2015-2, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.83% | 06/25/47 | 1,2 | 7,661,566 | 7,520,010 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2015-2, Class 4A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
2.75% | 03/25/47 | 1,2 | 12,487,271 | 11,715,359 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2015-3, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||||
2.17% | 03/25/36 | 1,2 | 3,793,813 | 3,723,386 | ||||||||
Conseco Finance Corp., Series 1996-7, |
| |||||||||||
Class M1 |
| |||||||||||
7.70% | 09/15/26 | 8 | 2,503,001 | 2,564,532 | ||||||||
Conseco Finance Corp., Series 1998-3, |
| |||||||||||
Class A6 |
| |||||||||||
6.76% | 03/01/30 | 8 | 991,452 | 996,698 | ||||||||
Conseco Finance Corp., Series 1998-6, |
| |||||||||||
Class A8 |
| |||||||||||
6.66% | 06/01/30 | 8 | 1,268,465 | 1,284,115 | ||||||||
Conseco Finance Home Equity Loan Trust, |
| |||||||||||
Series 2002-C, Class BF2 |
| |||||||||||
8.00% | 06/15/32 | 2,8 | 134,107 | 135,990 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2005-11, Class AF4 |
| |||||||||||
5.21% | 03/25/34 | 8 | 3,124,843 | 3,112,008 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2005-13, Class AF4 |
| |||||||||||
5.81% | 04/25/36 | 8 | 224,338 | 189,427 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2005-AB2, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||||
1.41% | 11/25/35 | 1 | 10,406,615 | 10,238,809 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2007-13, Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.75% | 10/25/47 | 1 | 11,134,538 | 9,667,887 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2001-HYB1, |
| |||||||||||
Class 1A1 |
| |||||||||||
3.96% | 06/19/31 | 8 | 9,361 | 8,952 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2003-J8, |
| |||||||||||
Class 1A4 |
| |||||||||||
5.25% | 09/25/23 | 52,471 | 51,827 |
See accompanying Notes to Financial Statements.
155 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2004-14, |
| |||||||||||
Class 4A1 |
| |||||||||||
3.79% | 08/25/34 | 8 | $ | 939,966 | $ | 796,320 | ||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2004-25, |
| |||||||||||
Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
1.61% | 02/25/35 | 1 | 106,513 | 99,269 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2004-HYB3, |
| |||||||||||
Class 1A |
| |||||||||||
4.74% | 06/20/34 | 8 | 20,450 | 18,394 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2004-HYB4, |
| |||||||||||
Class 2A1 |
| |||||||||||
4.10% | 09/20/34 | 8 | 1,000,639 | 877,444 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2005-11, |
| |||||||||||
Class 1A2 |
| |||||||||||
4.12% | 04/25/35 | 8 | 828,457 | 801,348 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2005-31, |
| |||||||||||
Class 2A3 | ||||||||||||
3.36% | 01/25/36 | 8 | 163,505 | 153,243 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2005-9, |
| |||||||||||
Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 05/25/35 | 1 | 3,609,437 | 2,709,395 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2007-HY5, |
| |||||||||||
Class 1A1 |
| |||||||||||
4.24% | 09/25/47 | 8 | 847,459 | 689,300 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2007-HYB1, |
| |||||||||||
Class 1A1 |
| |||||||||||
3.01% | 03/25/37 | 8 | 1,152,441 | 908,865 | ||||||||
Credit Suisse First Boston Mortgage |
| |||||||||||
Securities Corp., Series 2003-AR20, |
| |||||||||||
Class 2A4 |
| |||||||||||
4.31% | 08/25/33 | 8 | 14,150 | 12,995 | ||||||||
Credit Suisse First Boston Mortgage |
| |||||||||||
Securities Corp., Series 2005-6, |
| |||||||||||
Class 8A1 |
| |||||||||||
4.50% | 07/25/20 | 3,259 | 3,218 | |||||||||
Credit Suisse First Boston Mortgage-Backed |
| |||||||||||
Pass-Through Certificates, Series 2004-1, |
| |||||||||||
Class 2A1 |
| |||||||||||
6.50% | 02/25/34 | 26,993 | 27,984 | |||||||||
Credit Suisse First Boston Mortgage-Backed |
| |||||||||||
Pass-Through Certificates, Series 2004-AR5, |
| |||||||||||
Class 6A1 |
| |||||||||||
4.24% | 06/25/34 | 8 | 120,165 | 113,711 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2006-2, Class 5A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
1.65% | 03/25/36 | 1 | $ | 3,856,965 | $ | 1,331,827 | ||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2007-2, Class 3A4 |
| |||||||||||
5.50% | 03/25/37 | 1,789,547 | 1,427,732 | |||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2010-17R, Class 1A1 |
| |||||||||||
4.02% | 06/26/36 | 2,8 | 33,144 | 33,192 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2014-12R, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||||
3.33% | 08/27/36 | 1,2 | 6,011,178 | 5,866,279 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2015-1R, Class 5A1 |
| |||||||||||
3.82% | 09/27/35 | 2,8 | 2,132,786 | 2,098,617 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2015-2R, Class 4A1 |
| |||||||||||
1.83% | 06/27/47 | 2,8 | 9,904,401 | 9,606,595 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2015-6R, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.83% | 11/27/46 | 1,2 | 7,247,927 | 6,680,052 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2C |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.94% | 02/25/37 | 33,345,026 | 25,071,245 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2D |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.94% | 02/25/37 | 24,413,524 | 18,350,645 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2E |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.94% | 02/25/37 | 4,439,561 | 3,337,768 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2003-CB1, |
| |||||||||||
Class AF (STEP-reset date 05/25/20) |
| |||||||||||
3.95% | 01/25/33 | 12,928 | 12,623 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2003-CB4, |
| |||||||||||
Class M1 | ||||||||||||
(LIBOR USD 1-Month plus 1.04%) |
| |||||||||||
1.98% | 03/25/33 | 1 | 2,754,925 | 2,630,064 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2003-CB5, |
| |||||||||||
Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.02%) |
| |||||||||||
1.97% | 11/25/33 | 1 | 77,723 | 70,258 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 156 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2006-CB7, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 10/25/36 | 1 | $ | 52,459,748 | $ | 39,298,982 | ||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2006-CB8, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 10/25/36 | 1 | 16,171,584 | 13,001,102 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2006-CB9, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 11/25/36 | 1 | 29,802,395 | 15,333,198 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB1, |
| |||||||||||
Class AF4 (STEP-reset date 05/25/20) |
| |||||||||||
3.46% | 01/25/37 | 7,117,767 | 2,559,992 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB1, |
| |||||||||||
Class AF5 (STEP-reset date 05/25/20) |
| |||||||||||
3.46% | 01/25/37 | 13,375,980 | 4,813,371 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB5, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
1.12% | 04/25/37 | 1 | 27,603,413 | 19,997,867 | ||||||||
CSAB Mortgage-Backed Trust, |
| |||||||||||
Series 2006-4, Class A6B |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
5.78% | 12/25/36 | 5,268,016 | 449,321 | |||||||||
Deutsche ALT-A Securities Mortgage Loan |
| |||||||||||
Trust, Series 2006-AR3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||||
1.14% | 08/25/36 | 1 | 3,449,406 | 2,822,726 | ||||||||
Deutsche ALT-A Securities Mortgage Loan |
| |||||||||||
Trust, Series 2006-AR4, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||||
1.08% | 12/25/36 | 1 | 1,889,261 | 842,437 | ||||||||
Deutsche ALT-A Securities Mortgage Loan |
| |||||||||||
Trust, Series 2006-AR6, Class AR6 |
| |||||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||||
1.14% | 02/25/37 | 1 | 672,471 | 537,552 | ||||||||
Deutsche ALT-A Securities Mortgage Loan |
| |||||||||||
Trust, Series 2007-3, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.70%) |
| |||||||||||
3.28% | 10/25/47 | 1 | 34,307,087 | 31,098,977 | ||||||||
Deutsche ALT-A Securities Mortgage Loan |
| |||||||||||
Trust, Series 2007-OA3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 07/25/47 | 1 | 49,740,795 | 39,245,646 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Deutsche ALT-A Securities, Inc. Mortgage |
| |||||||||||
Loan Trust, Series 2005-6, Class 1A7 |
| |||||||||||
5.50% | 12/25/35 | $ | 402,371 | $ | 389,343 | |||||||
Deutsche ALT-A Securities, Inc. Mortgage |
| |||||||||||
Loan Trust, Series 2006-AR1, Class 2A1 |
| |||||||||||
3.83% | 02/25/36 | 8 | 1,018,270 | 907,549 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR4, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||||
1.11% | 01/19/45 | 1 | 2,211,011 | 1,832,486 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR1, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.25% | 02/19/45 | 1 | 280,372 | 252,351 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR3, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
0.99% | 07/19/45 | 1 | 178,706 | 147,713 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2006-AR2, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
0.95% | 10/19/36 | 1 | 18,047,393 | 12,210,029 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2007-AR1, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.89% | 04/19/47 | 1 | 9,184,684 | 6,492,154 | ||||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||||
Series 2002-4, Class M1 |
| |||||||||||
5.22% | 02/25/33 | 8 | 9,637 | 9,403 | ||||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||||
Series 2002-5, Class M1 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
5.80% | 11/25/32 | 36,213 | 35,873 | |||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF13, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
1.11% | 10/25/36 | 1 | 14,474,743 | 10,728,054 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF13, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 10/25/36 | 1 | 912,742 | 684,939 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF18, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||||
1.06% | 12/25/37 | 1 | 7,895,626 | 6,624,900 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF18, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
1.11% | 12/25/37 | 1 | 21,713,680 | 18,309,713 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF18, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.21%) |
|
See accompanying Notes to Financial Statements.
157 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
1.16% | 12/25/37 | 1 | $ | 15,737,368 | $ | 13,335,980 | ||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF5, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 04/25/36 | 1 | 23,858,805 | 21,807,412 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF8, Class IIA4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
1.18% | 07/25/36 | 1 | 31,440,000 | 27,367,206 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF1, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 01/25/38 | 1 | 70,683,841 | 41,546,060 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 03/25/37 | 1 | 64,771,834 | 45,235,431 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF2, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||||
1.05% | 03/25/37 | 1 | 26,690,525 | 14,662,309 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF2, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 03/25/37 | 1 | 15,301,251 | 8,487,480 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF2, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 03/25/37 | 1 | 28,490,524 | 16,016,723 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2004-AA2, Class 1A1 |
| |||||||||||
3.45% | 08/25/34 | 8 | 6,513,274 | 6,186,588 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2004-AA3, Class A1 |
| |||||||||||
3.53% | 09/25/34 | 8 | 23,500 | 21,503 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2004-AA4, Class A1 |
| |||||||||||
3.80% | 10/25/34 | 8 | 1,157,383 | 1,063,784 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2005-AA10, Class 1A1 |
| |||||||||||
3.73% | 12/25/35 | 8 | 14,018,449 | 11,900,728 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2005-AA12, Class 2A1 |
| |||||||||||
3.51% | 02/25/36 | 8 | 15,222,215 | 10,409,199 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2005-AA4, Class 2A1 |
| |||||||||||
3.43% | 06/25/35 | 8 | 14,900,195 | 12,871,107 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2005-AA7, Class 2A1 |
| |||||||||||
3.56% | 09/25/35 | 8 | 12,201,315 | 10,662,302 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2005-AA8, Class 2A1 |
| |||||||||||
3.59% | 10/25/35 | 8 | $ | 15,241,626 | $ | 11,376,127 | ||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2005-AA9, Class 2A1 |
| |||||||||||
3.81% | 11/25/35 | 8 | 14,936,044 | 13,054,758 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2006-AA1, Class 1A1 |
| |||||||||||
3.64% | 03/25/36 | 8 | 17,727,132 | 14,243,295 | ||||||||
First Horizon Alternative Mortgage Securities |
| |||||||||||
Trust, Series 2006-FA8, Class 1A7 |
| |||||||||||
6.00% | 02/25/37 | 11,109 | 7,264 | |||||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||||
Series 2004-AR6, Class 2A1 |
| |||||||||||
4.29% | 12/25/34 | 8 | 178,899 | 160,849 | ||||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||||
Series 2006-AR4, Class 1A2 |
| |||||||||||
3.99% | 01/25/37 | 8 | 85,795 | 66,932 | ||||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||||
Series 2007-AR3, Class 1A1 |
| |||||||||||
4.13% | 11/25/37 | 8 | 184,686 | 137,164 | ||||||||
FNBA Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.15% | 08/19/34 | 1 | 4,255 | 4,157 | ||||||||
GMACM Home Equity Loan Trust, |
| |||||||||||
Series 2000-HE2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
2.84% | 06/25/30 | 1 | 20,560 | 16,051 | ||||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||||
Series 2005-AR6, Class 3A1 |
| |||||||||||
3.83% | 11/19/35 | 8 | 547,337 | 458,208 | ||||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||||
Series 2006-AR2, Class 1A1 |
| |||||||||||
3.89% | 05/19/36 | 8 | 1,563,862 | 878,990 | ||||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||||
Series 2005-AR3, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 08/25/45 | 1 | 1,498,677 | 1,340,473 | ||||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||||
Series 2005-AR4, Class G41B |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.15% | 10/25/45 | 1 | 14,958,135 | 12,162,614 | ||||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||||
Series 2007-AR1, Class 3A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
1.11% | 02/25/37 | 1 | 1,330,417 | 1,295,603 | ||||||||
GS Mortgage-Backed Securities Trust, |
| |||||||||||
Series 2018-RPL1, Class A1A |
| |||||||||||
3.75% | 10/25/57 | 2 | 46,643,544 | 43,989,526 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 158 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
GSAA Home Equity Trust, Series 2005-11, |
| |||||||||||
Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 10/25/35 | 1 | $ | 3,869,931 | $ | 3,747,503 | ||||||
GSAA Home Equity Trust, Series 2005-11, |
| |||||||||||
Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
1.27% | 10/25/35 | 1 | 134,016 | 121,665 | ||||||||
GSAA Home Equity Trust, Series 2005-11, |
| |||||||||||
Class 3A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
1.27% | 10/25/35 | 1 | 127,713 | 123,450 | ||||||||
GSAA Home Equity Trust, Series 2005-6, |
| |||||||||||
Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.43%) |
| |||||||||||
1.38% | 06/25/35 | 1 | 150,000 | 145,658 | ||||||||
GSAMP Trust, Series 2005-AHL2, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.30% | 12/25/35 | 1 | 25,693,000 | 23,089,318 | ||||||||
GSAMP Trust, Series 2006-NC1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 02/25/36 | 1 | 139,403 | 127,808 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2004-9, Class 3A1 |
| |||||||||||
4.50% | 08/25/34 | 8 | 2,731 | 2,637 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2004-9, Class 5A7 |
| |||||||||||
4.14% | 08/25/34 | 8 | 250,911 | 236,739 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR5, Class 2A3 |
| |||||||||||
4.12% | 10/25/35 | 8 | 2,667,990 | 1,567,152 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR6, Class 4A5 |
| |||||||||||
4.51% | 09/25/35 | 8 | 115,125 | 112,905 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2007-AR2, Class 2A1 |
| |||||||||||
4.18% | 05/25/37 | 8 | 1,982,260 | 1,513,708 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2004-1, Class 2A |
| |||||||||||
3.76% | 04/19/34 | 8 | 6,123 | 5,540 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2004-11, Class 3A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||||
1.43% | 01/19/35 | 1 | 319,763 | 261,421 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2004-5, Class 2A6 |
| |||||||||||
3.98% | 06/19/34 | 8 | 2,862 | 2,659 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2005-3, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
1.23% | 06/19/35 | 1 | 379,146 | 352,857 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2005-4, Class 2A |
| |||||||||||
4.35% | 07/19/35 | 8 | $ | 43,366 | $ | 39,247 | ||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2006-10, Class 1A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
0.95% | 11/19/36 | 1 | 72,499,993 | 58,729,794 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2006-7, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||||
0.96% | 09/19/46 | 1 | 82,907,533 | 68,017,738 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2007-7, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.95% | 10/25/37 | 1 | 26,995,700 | 24,208,950 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2007-7, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.95% | 10/25/37 | 1 | 23,008,119 | 19,769,898 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2006-HE1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 10/25/36 | 1 | 61,334,515 | 24,386,088 | ||||||||
Impac CMB Trust, Series 2005-1, |
| |||||||||||
Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||||
1.47% | 04/25/35 | 1 | 4,134,707 | 3,551,736 | ||||||||
Impac CMB Trust, Series 2005-4, |
| |||||||||||
Class 1A1B |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 05/25/35 | 1 | 4,979,934 | 3,890,149 | ||||||||
Impac Secured Assets Corp., |
| |||||||||||
Series 2004-3, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 11/25/34 | 1 | 401,040 | 395,920 | ||||||||
Impac Secured Assets Corp., |
| |||||||||||
Series 2004-4, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 02/25/35 | 1 | 670,000 | 640,684 | ||||||||
Impac Secured Assets Trust, |
| |||||||||||
Series 2006-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
1.12% | 11/25/36 | 1 | 8,103,173 | 4,651,809 | ||||||||
Impac Secured Assets Trust, |
| |||||||||||
Series 2006-5, Class 1A1C |
| |||||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||||
1.22% | 02/25/37 | 1 | 9,530,821 | 7,748,872 | ||||||||
Impac Secured Assets Trust, |
| |||||||||||
Series 2007-2, Class 1A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||||
1.06% | 05/25/37 | 1 | 7,771,694 | 6,060,644 |
See accompanying Notes to Financial Statements.
159 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Impac Secured Assets Trust, |
| |||||||||
Series 2007-2, Class 1A1B |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
1.20% | 05/25/371 | $ | 57,159,855 | $ | 43,881,112 | |||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR4, Class 1A |
| |||||||||
3.88% | 08/25/348 | 1,135,528 | 1,015,462 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR5, Class 2A1B |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
1.75% | 08/25/341 | 17,444 | 13,933 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR7, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.86%) |
| |||||||||
1.81% | 09/25/341 | 58,109 | 50,387 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR1, Class 4A1 |
| |||||||||
3.63% | 03/25/358 | 536,126 | 515,932 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR17, Class 3A1 |
| |||||||||
3.69% | 09/25/358 | 4,251,795 | 3,178,088 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR19, Class A1 |
| |||||||||
3.41% | 10/25/358 | 24,748,995 | 19,176,321 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR31, Class 3A1 |
| |||||||||
3.61% | 01/25/368 | 1,065,885 | 922,604 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR6, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
1.43% | 04/25/351 | 563,237 | 434,806 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR19, Class 1A2 |
| |||||||||
3.81% | 08/25/368 | 14,964,450 | 10,528,447 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR21, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
1.07% | 08/25/361 | 158,996 | 128,819 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR27, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
1.15% | 10/25/361 | 22,605,385 | 19,685,664 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR35, Class 2A3A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
1.15% | 01/25/371 | 47,249,013 | 41,623,961 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR7, Class 1A1 | �� | |||||||||
3.40% | 05/25/368 | 3,866,943 | 3,040,402 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR7, Class 2A1 |
| |||||||||
3.71% | 05/25/368 | 26,187,030 | 18,500,980 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2007-AR1, Class 1A2 |
| |||||||||
3.68% | 03/25/378 | $ | 599,390 | $ | 508,028 | |||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2007-AR11, Class 1A1 |
| |||||||||
3.25% | 06/25/378 | 3,673,056 | 3,264,654 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2007-AR7, Class 1A1 |
| |||||||||
3.63% | 11/25/378 | 2,766,337 | 2,367,735 | |||||||
IndyMac Manufactured Housing Contract |
| |||||||||
Pass-Through Certificates, Series 1997-1, |
| |||||||||
Class A3 |
| |||||||||
6.61% | 02/25/28 | 68,089 | 68,053 | |||||||
JPMorgan Alternative Loan Trust, |
| |||||||||
Series 2006-A2, Class 2A1 |
| |||||||||
3.97% | 05/25/368 | 696,185 | 527,565 | |||||||
JPMorgan Alternative Loan Trust, |
| |||||||||
Series 2006-A2, Class 5A1 |
| |||||||||
3.98% | 05/25/368 | 7,089,053 | 4,934,687 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2005-WMC1, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
1.61% | 09/25/351 | 5,765,485 | 5,699,165 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-WF1, Class A3A |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
5.83% | 07/25/36 | 35,002,751 | 15,750,827 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-WF1, Class A6 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
6.00% | 07/25/36 | 4,881,049 | 2,171,815 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH1, Class MV1 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
1.18% | 11/25/361 | 34,878 | 35,037 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH3, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 03/25/371 | 461,568 | 460,350 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
1.10% | 05/25/371 | 48,294,946 | 42,895,298 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF1 |
| |||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||
1.05% | 03/25/471 | 136,438 | 66,561 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF2 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
4.25% | 03/25/47 | 8,925,516 | 5,772,452 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 160 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF3 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
4.25% | 05/25/35 | $ | 7,511,911 | $ | 4,858,223 | |||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF4 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
4.25% | 03/25/47 | 3,414,505 | 2,208,283 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AV4 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
1.23% | 03/25/471 | 240,000 | 186,157 | |||||||
JPMorgan Mortgage Trust, Series 2003-A2, |
| |||||||||
Class 2A3 |
| |||||||||
3.59% | 11/25/338 | 142,331 | 138,448 | |||||||
JPMorgan Mortgage Trust, Series 2004-A4, |
| |||||||||
Class 1A3 |
| |||||||||
4.79% | 09/25/348 | 377,437 | 335,935 | |||||||
JPMorgan Mortgage Trust, Series 2005-A5, |
| |||||||||
Class TA1 |
| |||||||||
4.22% | 08/25/358 | 116,502 | 101,359 | |||||||
JPMorgan Mortgage Trust, Series 2005-S2, |
| |||||||||
Class 4A3 |
| |||||||||
5.50% | 09/25/20 | 1,914,966 | 1,657,382 | |||||||
JPMorgan Mortgage Trust, Series 2006-A2, |
| |||||||||
Class 5A3 |
| |||||||||
4.11% | 11/25/338 | 4,415 | 4,213 | |||||||
JPMorgan Mortgage Trust, Series 2006-A3, |
| |||||||||
Class 2A1 |
| |||||||||
3.94% | 05/25/368 | 957,239 | 859,666 | |||||||
JPMorgan Mortgage Trust, Series 2006-A3, |
| |||||||||
Class 3A3 |
| |||||||||
3.87% | 05/25/368 | 665,147 | 602,230 | |||||||
JPMorgan Mortgage Trust, Series 2006-A4, |
| |||||||||
Class 1A1 |
| |||||||||
4.36% | 06/25/368 | 509,565 | 409,049 | |||||||
JPMorgan Mortgage Trust, Series 2006-A4, |
| |||||||||
Class 1A4 |
| |||||||||
4.36% | 06/25/368 | 1,642,676 | 1,431,929 | |||||||
JPMorgan Mortgage Trust, Series 2006-A5, |
| |||||||||
Class 2A4 |
| |||||||||
4.28% | 08/25/368 | 493,296 | 386,911 | |||||||
JPMorgan Mortgage Trust, Series 2007-A1, |
| |||||||||
Class 5A2 |
| |||||||||
3.98% | 07/25/358 | 1,516,141 | 1,394,987 | |||||||
JPMorgan Mortgage Trust, Series 2007-A3, |
| |||||||||
Class 2A3 |
| |||||||||
3.90% | 05/25/378 | 2,385,801 | 1,976,174 | |||||||
JPMorgan Mortgage Trust, Series 2007-A3, |
| |||||||||
Class 3A2 |
| |||||||||
4.03% | 05/25/378 | 392,225 | 366,281 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
JPMorgan Mortgage Trust, Series 2007-A4, |
| |||||||||
Class 1A1 |
| |||||||||
4.00% | 06/25/378 | $ | 3,526,809 | $ | 2,863,497 | |||||
JPMorgan Mortgage Trust, Series 2007-A4, |
| |||||||||
Class 2A3 |
| |||||||||
4.29% | 06/25/378 | 529,783 | 426,152 | |||||||
JPMorgan Resecuritization Trust, |
| |||||||||
Series 2015-1, Class 3A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||
1.82% | 12/27/461,2 | 7,123,933 | 6,870,721 | |||||||
Lehman XS Trust, Series 2005-5N, |
| |||||||||
Class 3A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
1.25% | 11/25/351 | 8,502,789 | 7,951,670 | |||||||
Lehman XS Trust, Series 2005-7N, |
| |||||||||
Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
1.49% | 12/25/351 | 418,700 | 351,174 | |||||||
Lehman XS Trust, Series 2006-12N, |
| |||||||||
Class A31A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
1.15% | 08/25/461 | 15,740,727 | 13,495,274 | |||||||
Lehman XS Trust, Series 2006-13, |
| |||||||||
Class 1A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.34%) |
| |||||||||
1.29% | 09/25/361 | 345,692 | 424,061 | |||||||
Lehman XS Trust, Series 2006-14N, |
| |||||||||
Class 3A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
1.19% | 08/25/361 | 48,984 | 44,399 | |||||||
Lehman XS Trust, Series 2006-5, |
| |||||||||
Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 04/25/361 | 30,584,583 | 25,151,635 | |||||||
Lehman XS Trust, Series 2006-8, |
| |||||||||
Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
1.11% | 06/25/361 | 38,142,084 | 29,998,067 | |||||||
Lehman XS Trust, Series 2007-4N, |
| |||||||||
Class 1A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
1.19% | 03/25/471 | 26,966,645 | 24,989,014 | |||||||
Long Beach Mortgage Loan Trust, |
| |||||||||
Series 2004-4, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.85% | 10/25/341 | 138,089 | 127,591 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2003-6, Class 4A2 |
| |||||||||
3.93% | 01/25/348 | 36,258 | 35,500 |
See accompanying Notes to Financial Statements.
161 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2003-7, Class 3A1 |
| |||||||||
3.78% | 11/25/338 | $ | 930,451 | $ | 864,368 | |||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-13, Class 3A1 |
| |||||||||
4.68% | 11/21/348 | 3,555,279 | 3,396,269 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-15, Class 9A1 |
| |||||||||
4.34% | 10/25/348 | 313,156 | 303,354 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-5, Class 3A1 |
| |||||||||
4.12% | 06/25/348 | 249 | 236 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-8, Class 2A1 |
| |||||||||
3.93% | 09/25/348 | 2,732,516 | 2,515,470 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2006-2, Class 5A1 |
| |||||||||
4.36% | 05/25/368 | 7,166,852 | 4,787,498 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2006-HE4, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
1.10% | 11/25/361 | 15,075,295 | 6,330,523 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2006-HE4, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 11/25/361 | 4,187,582 | 1,802,590 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2007-HE1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 05/25/371 | 32,245,259 | 29,199,649 | |||||||
MASTR Seasoned Securitization Trust, |
| |||||||||
Series 2004-1, Class 4A1 |
| |||||||||
4.47% | 10/25/328 | 17,444 | 15,732 | |||||||
Mellon Residential Funding Corp. Mortgage |
| |||||||||
Pass-Through Certificates, |
| |||||||||
Series 2001-TBC1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
1.40% | 11/15/311 | 1,161,839 | 1,083,192 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
1.09% | 04/25/371 | 177,634,241 | 103,176,309 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||
1.12% | 04/25/371 | 34,201,241 | 16,871,701 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-1, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
1.20% | 04/25/371 | 71,646,193 | 36,017,795 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-2, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
1.19% | 05/25/371 | $ | 34,765,696 | $ | 21,105,615 | |||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-2, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
1.27% | 05/25/371 | 17,168,810 | 10,612,358 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-3, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||
1.13% | 06/25/371 | 14,326,086 | 11,093,717 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-3, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
1.20% | 06/25/371 | 19,133,989 | 14,343,291 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-4, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
1.07% | 07/25/371 | 30,758,576 | 17,881,277 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-4, Class 2A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
1.11% | 07/25/371 | 22,546,801 | 13,753,207 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2003-A6, Class 2A |
| |||||||||
4.16% | 10/25/338 | 386,078 | 353,439 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2004-A4, Class A1 |
| |||||||||
4.32% | 08/25/348 | 1,345,841 | 1,240,627 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2005-A10, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 02/25/361 | 9,337 | 7,910 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2005-A6, Class 2A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.34%) |
| |||||||||
1.29% | 08/25/351 | 234,680 | 223,858 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2006-WMC2, Class A2B |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
5.61% | 03/25/37 | 30,784,601 | 8,263,695 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2006-WMC2, Class A2D |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
5.90% | 03/25/37 | 24,094,048 | 6,612,985 | |||||||
Merrill Lynch Mortgage-Backed Securities |
| |||||||||
Trust, Series 2007-2, Class 1A1 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 2.40%) |
| |||||||||
3.58% | 08/25/361 | 4,075,778 | 3,556,300 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 162 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||
Class A |
| |||||||||
6.01% | 08/15/37 | $ | 258,985 | $ | 269,262 | |||||
Mid-State Capital Corp., Series 2005-1, |
| |||||||||
Class A |
| |||||||||
5.75% | 01/15/40 | 13,603,881 | 13,966,440 | |||||||
Mid-State Capital Corp., Series 2006-1, |
| |||||||||
Class A |
| |||||||||
5.79% | 10/15/402 | 10,530,305 | 11,015,605 | |||||||
Mid-State Trust XI, Series 2011, Class A1 |
| |||||||||
4.86% | 07/15/38 | 223,611 | 223,121 | |||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||
Series 2006-NC1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
1.25% | 12/25/351 | 702,494 | 687,686 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2004-11AR, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
1.27% | 01/25/351 | 121,742 | 115,467 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2004-7AR, Class 2A4 |
| |||||||||
3.55% | 09/25/348 | 775,388 | 733,916 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2005-2AR, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
1.21% | 04/25/351 | 2,482,581 | 2,290,364 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2005-5AR, Class 1M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
1.70% | 09/25/351 | 77,283 | 76,908 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2006-7, Class 5A2 |
| |||||||||
5.96% | 06/25/368 | 771,687 | 264,351 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2007-6XS, Class 1A2S |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
5.50% | 02/25/47 | 99,434 | 97,947 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2007-7AX, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
1.07% | 04/25/371 | 5,326,410 | 1,961,876 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2013-R7, Class 2B |
| |||||||||
LIBOR USD 1-Month |
| |||||||||
2.11% | 12/26/461,2 | 12,685,755 | 12,387,784 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R2, Class 1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 0.82%) |
| |||||||||
2.87% | 12/26/461,2 | 6,803,728 | 6,665,836 |
Issues | Maturity | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R3, Class 4A |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 0.98%) |
| |||||||||
3.03% | 07/26/461,2 | $ | 1,931,523 | $ | 1,914,909 | |||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R4, Class 2A |
| |||||||||
4.29% | 08/26/342,8 | 1,064,924 | 1,049,893 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R8, Class 3A |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 0.75%) |
| |||||||||
2.61% | 06/26/471,2 | 15,368,898 | 14,851,748 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R8, Class 4A |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 0.96%) |
| |||||||||
3.01% | 06/26/471,2 | 4,030,496 | 3,966,480 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2015-R4, Class 2A |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
2.43% | 08/26/471,2 | 7,437,200 | 7,079,994 | |||||||
MortgageIT Trust, Series 2005-1, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
1.59% | 02/25/351 | 5,022,856 | 4,647,816 | |||||||
MortgageIT Trust, Series 2005-4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
1.23% | 10/25/351 | 6,190,292 | 5,645,913 | |||||||
MortgageIT Trust, Series 2005-5, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||
1.47% | 12/25/351 | 1,048,404 | 970,479 | |||||||
Nationstar Home Equity Loan Trust, |
| |||||||||
Series 2006-B, Class AV4 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
1.23% | 09/25/361 | 8,355,155 | 8,070,760 | |||||||
Nationstar Home Equity Loan Trust, |
| |||||||||
Series 2007-C, Class 2AV4 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
1.20% | 06/25/371 | 8,265,000 | 7,210,668 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2003-6, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 1.08%) |
| |||||||||
2.03% | 01/25/341 | 131,802 | 121,526 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||
1.62% | 03/25/351 | 560,375 | 499,799 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-D, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
1.17% | 02/25/361 | 264,688 | 247,228 |
See accompanying Notes to Financial Statements.
163 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-D, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
1.28% | 02/25/361 | $ | 103,609 | $ | 93,896 | |||||
Nomura Home Equity Loan, Inc., |
| |||||||||
Series 2006-HE2, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
1.22% | 03/25/361 | 19,856,368 | 19,275,047 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2013-1R, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
2.08% | 11/26/361,2 | 3,435,611 | 3,373,986 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2014-6R, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
2.42% | 03/26/371,2 | 4,078,091 | 3,993,642 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2014-7R, Class 4A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||
1.76% | 01/26/371,2 | 5,001,440 | 4,961,147 | |||||||
NRPL, Series 2019-3A, Class A1 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
3.00% | 07/25/592 | 50,765,249 | 47,339,701 | |||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||
Series 2000-A, Class A5 |
| |||||||||
8.16% | 09/15/298 | 21,353,497 | 10,878,102 | |||||||
Option One Mortgage Loan Trust, |
| |||||||||
Series 2006-1, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
1.17% | 01/25/361 | 15,243,480 | 13,952,713 | |||||||
Ownit Mortgage Loan Trust, |
| |||||||||
Series 2006-4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
1.09% | 05/25/371 | 19,128,277 | 17,012,296 | |||||||
Ownit Mortgage Loan Trust, |
| |||||||||
Series 2006-4, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
1.19% | 05/25/371 | 21,282,467 | 17,116,407 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-6, Class A5 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
3.65% | 01/25/36 | 22,910,000 | 17,299,563 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2006-D, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
1.21% | 11/25/361 | 62,738 | 60,076 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-A, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||
1.26% | 06/25/471 | 23,015,500 | 18,132,964 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Popular ABS, Inc., Series 1998-1, |
| |||||||||
Class A2 (STEP-reset date 05/25/20) |
| |||||||||
7.48% | 11/25/29 | $ | 47,793 | $ | 46,495 | |||||
Provident Funding Mortgage Loan Trust, |
| |||||||||
Series 2003-1, Class A |
| |||||||||
4.74% | 08/25/338 | 376,346 | 330,427 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA12, Class CB1 |
| |||||||||
4.48% | 12/25/358 | 4,386,043 | 2,553,288 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA4, Class A41 |
| |||||||||
4.23% | 04/25/358 | 942,238 | 744,721 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA7, Class A1 |
| |||||||||
4.03% | 07/25/358 | 3,406,614 | 2,827,736 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QO5, Class A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 1.00%) |
| |||||||||
2.97% | 01/25/461 | 5,618,968 | 4,587,838 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QA1, Class A11 |
| |||||||||
4.24% | 01/25/368 | 136,421 | 100,967 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QA1, Class A21 |
| |||||||||
4.68% | 01/25/368 | 14,469,925 | 11,600,333 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QA7, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||
1.13% | 08/25/361 | 24,858,083 | 20,151,558 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS10, Class AV (IO) |
| |||||||||
0.56% | 08/25/364,5,8 | 24,927,368 | 497,852 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS12, Class 2A9 |
| |||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||
1.33% | 09/25/361 | 237,433 | 169,608 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS2, Class 1AV (IO) |
| |||||||||
0.47% | 02/25/364,5,8 | 83,330,253 | 1,176,132 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS7, Class AV (IO) |
| |||||||||
0.70% | 06/25/364,5,8 | 41,939,937 | 1,074,426 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS8, Class AV (IO) |
| |||||||||
0.78% | 08/25/364,5,8 | 101,462,507 | 2,396,473 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS10, Class AV (IO) |
| |||||||||
0.47% | 09/25/374,5,8 | 74,561,321 | 1,432,077 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS4, Class 3AV (IO) |
| |||||||||
0.37% | 03/25/374,5,8 | 45,916,492 | 570,664 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 164 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QS5, Class AV (IO) |
| |||||||||||
0.27% | 03/25/37 | 4,5,8 | $ | 52,823,370 | $ | 431,519 | ||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QS6, Class AV (IO) |
| |||||||||||
0.31% | 04/25/37 | 4,5,8 | 111,604,624 | 1,481,144 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QS7, Class 2AV (IO) |
| |||||||||||
0.38% | 06/25/37 | 4,5,8 | 38,056,686 | 469,855 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QS8, Class AV (IO) |
| |||||||||||
0.40% | 06/25/37 | 4,5,8 | 95,148,441 | 1,730,650 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL1, Class A8 |
| |||||||||||
6.50% | 11/25/31 | 33,244 | 32,641 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL3, Class A4 |
| |||||||||||
8.50% | 12/25/31 | 24,029 | 15,765 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2005-RZ3, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 09/25/35 | 1 | 750,000 | 736,662 | ||||||||
Residential Asset Securities Corp., |
| |||||||||||
Series 2006-KS3, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||||
1.28% | 04/25/36 | 1 | 815,000 | 683,988 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2004-IP2, Class 1A1 |
| |||||||||||
4.09% | 12/25/34 | 8 | 245,544 | 229,361 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2004-IP2, Class 2A1 |
| |||||||||||
4.07% | 12/25/34 | 8 | 18,918 | 16,593 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2004-IP2, Class 3A1 |
| |||||||||||
4.12% | 12/25/34 | 8 | 406,405 | 381,590 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2006-A7CB, Class 1A3 |
| |||||||||||
6.25% | 07/25/36 | 2,232,233 | 2,118,102 | |||||||||
Residential Funding Mortgage Securities |
| |||||||||||
Trust, Series 2005-SA5, Class 1A |
| |||||||||||
3.85% | 11/25/35 | 8 | 4,298,428 | 3,008,139 | ||||||||
Residential Funding Mortgage Securities |
| |||||||||||
Trust, Series 2006-SA3, Class 3A1 |
| |||||||||||
4.78% | 09/25/36 | 8 | 736,185 | 600,910 | ||||||||
Residential Funding Mortgage Securities |
| |||||||||||
Trust, Series 2006-SA3, Class 4A1 |
| |||||||||||
5.38% | 09/25/36 | 8 | 348,980 | 273,328 | ||||||||
Residential Funding Mortgage Securities |
| |||||||||||
Trust, Series 2006-SA4, Class 2A1 |
| |||||||||||
5.25% | 11/25/36 | 8 | 90,072 | 72,063 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Residential Funding Mortgage Securities |
| |||||||||||
Trust, Series 2007-SA2, Class 2A2 |
| |||||||||||
4.37% | 04/25/37 | 8 | $ | 1,604,595 | $ | 1,329,761 | ||||||
Saxon Asset Securities Trust, Series 2001-2, |
| |||||||||||
Class AF6 (STEP-reset date 05/25/20) |
| |||||||||||
6.81% | 06/25/16 | 1,761 | 2,175 | |||||||||
Saxon Asset Securities Trust, Series 2007-1, |
| |||||||||||
Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 01/25/47 | 1 | 5,571,170 | 5,084,747 | ||||||||
Saxon Asset Securities Trust, Series 2007-3, |
| |||||||||||
Class 2A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.35% | 09/25/47 | 1 | 32,174,000 | 26,709,687 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2006-CB1, Class AF2 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.30% | 01/25/36 | 7,598,783 | 5,862,048 | |||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2007-BR1, Class A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||||
1.06% | 02/25/37 | 1 | 6,517,722 | 2,615,620 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2007-BR1, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||||
1.22% | 02/25/37 | 1 | 32,264,764 | 13,425,618 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2007-BR2, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
1.18% | 02/25/37 | 1 | 42,948,637 | 21,790,953 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2007-BR5, Class A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||||
1.08% | 05/25/37 | 1 | 18,478,966 | 14,064,809 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2007-BR5, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.30% | 05/25/37 | 1 | 13,936,677 | 10,902,965 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2007-NC1, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 12/25/36 | 1 | 33,703,088 | 20,124,508 | ||||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||||
Trust, Series 2007-NC2, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.09% | 01/25/37 | 1 | 18,375,040 | 14,505,207 | ||||||||
Sequoia Mortgage Trust, Series 2003-2, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
1.43% | 06/20/33 | 1 | 665 | 601 |
See accompanying Notes to Financial Statements. |
165 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Sequoia Mortgage Trust, Series 2003-8, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||||
1.41% | 01/20/34 | 1 | $ | 1,451 | $ | 1,343 | ||||||
Sequoia Mortgage Trust, Series 2004-3, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 6-Month plus 0.50%) |
| |||||||||||
2.47% | 05/20/34 | 1 | 331,753 | 310,658 | ||||||||
Sequoia Mortgage Trust, Series 2013-1, |
| |||||||||||
Class 1A1 |
| |||||||||||
1.45% | 02/25/43 | 8 | 117,070 | 112,823 | ||||||||
SG Mortgage Securities Trust, |
| |||||||||||
Series 2007-NC1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 12/25/36 | 1,2 | 14,652,259 | 9,199,595 | ||||||||
Soundview Home Loan Trust, |
| |||||||||||
Series 2005-OPT1, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||||
1.62% | 06/25/35 | 1 | 20,772,542 | 19,908,730 | ||||||||
STRU JPM-2598 Coll |
| |||||||||||
2.46% | 04/01/40 | 127,185,000 | 132,542,032 | |||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-1, Class 3A3 |
| |||||||||||
4.14% | 02/25/34 | 8 | 22,142 | 19,624 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-12, Class 2A |
| |||||||||||
3.81% | 09/25/34 | 8 | 6,193,443 | 5,631,934 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-14, Class 1A |
| |||||||||||
3.93% | 10/25/34 | 8 | 156,867 | 136,720 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-14, Class 2A |
| |||||||||||
3.98% | 10/25/34 | 8 | 7,273,665 | 6,806,186 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-15, Class A |
| |||||||||||
4.04% | 10/25/34 | 8 | 2,095,154 | 1,873,210 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-17, Class A1 |
| |||||||||||
2.55% | 11/25/34 | 8 | 35,712 | 29,336 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2004-20, Class 1A2 |
| |||||||||||
3.73% | 01/25/35 | 8 | 568,375 | 511,940 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2005-12, Class 3A1 |
| |||||||||||
4.02% | 06/25/35 | 8 | 1,834,601 | 1,625,070 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2005-18, Class 7A3 |
| |||||||||||
3.93% | 09/25/35 | 8 | 15,455,354 | 11,087,447 | ||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2006-12, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
1.11% | 01/25/37 | 1 | 30,190,904 | 24,890,761 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2007-9, Class 2A1 |
| |||||||||||
3.97% | 10/25/47 | 8 | $ | 739,053 | $ | 592,380 | ||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2005-AR8, Class A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 02/25/36 | 1 | 590,285 | 499,363 | ||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2005-AR8, Class A3 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 2.00%) |
| |||||||||||
4.15% | 02/25/36 | 1 | 19,041,444 | 14,863,037 | ||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2006-AR8, Class A1BG |
| |||||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||||
1.07% | 10/25/36 | 1 | 21,429,832 | 18,158,832 | ||||||||
Structured Asset Mortgage Investments II |
| |||||||||||
Trust, Series 2007-AR6, Class A1 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.50%) |
| |||||||||||
3.47% | 08/25/47 | 1 | 132,190,960 | 110,373,040 | ||||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 1997-2, Class 2A4 |
| |||||||||||
7.25% | 03/28/30 | 979 | 982 | |||||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 2003-26A, Class 3A5 |
| |||||||||||
3.82% | 09/25/33 | 8 | 122,529 | 115,447 | ||||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 2003-34A, Class 5A4 |
| |||||||||||
4.06% | 11/25/33 | 8 | 1,202,560 | 1,082,843 | ||||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||||
Pass-Through Certificates, |
| |||||||||||
Series 2004-23XS, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 01/25/35 | 1 | 1,084,287 | 1,073,089 | ||||||||
Structured Asset Securities Corp. Trust, |
| |||||||||||
Series 2005-5, Class 2A4 |
| |||||||||||
5.50% | 04/25/35 | 1,997,072 | 1,773,716 | |||||||||
Suntrust Adjustable Rate Mortgage Loan |
| |||||||||||
Trust, Series 2007-3, Class 1A1 |
| |||||||||||
4.70% | 06/25/37 | 8 | 2,371,551 | 1,895,721 | ||||||||
Thornburg Mortgage Securities Trust, |
| |||||||||||
Series 2004-4, Class 2A |
| |||||||||||
3.46% | 12/25/44 | 8 | 111,487 | 99,919 | ||||||||
Wachovia Mortgage Loan Trust, |
| |||||||||||
Series 2006-ALT1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
1.18% | 01/25/37 | 1 | 15,487,388 | 8,397,090 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 166 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Wachovia Mortgage Loan Trust, |
| |||||||||||
Series 2006-AMN1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 08/25/36 | 1 | $ | 17,816,736 | $ | 8,783,863 | ||||||
WaMu Asset-Backed Certificates, |
| |||||||||||
Series 2007-HE1, Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||||
1.06% | 01/25/37 | 1 | 3,838,454 | 2,275,966 | ||||||||
WaMu Asset-Backed Certificates, |
| |||||||||||
Series 2007-HE1, Class 2A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 01/25/37 | 1 | 35,433,244 | 21,164,865 | ||||||||
WaMu Asset-Backed Certificates, |
| |||||||||||
Series 2007-HE1, Class 2A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
1.18% | 01/25/37 | 1 | 11,894,342 | 7,208,794 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2003-AR6, Class A1 |
| |||||||||||
4.68% | 06/25/33 | 8 | 3,094,242 | 2,912,891 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2004-AR3, Class A2 |
| |||||||||||
4.37% | 06/25/34 | 8 | 31,736 | 28,783 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2004-AR6, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||||
1.37% | 05/25/44 | 1 | 941,196 | 920,095 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-3, Class 2A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 05/25/35 | 1 | 2,472,067 | 1,937,220 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-4, Class CB13 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 06/25/35 | 1 | 5,053,242 | 3,991,701 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR1, Class A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||||
1.59% | 01/25/45 | 1 | 671,268 | 598,251 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR11, Class A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
1.27% | 08/25/45 | 1 | 32,184,011 | 27,690,479 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR12, Class 1A6 |
| |||||||||||
3.86% | 10/25/35 | 8 | 1,073,448 | 942,135 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR13, Class A1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 10/25/45 | 1 | 5,017,049 | 4,607,827 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR14, Class 2A1 |
| |||||||||||
3.75% | 12/25/35 | 8 | $ | 3,824,117 | $ | 3,287,346 | ||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR15, Class A1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
1.21% | 11/25/45 | 1 | 26,264,364 | 22,891,042 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR17, Class A1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||||
1.22% | 12/25/45 | 1 | 12,326,536 | 11,204,708 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR19, Class A1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 12/25/45 | 1 | 13,868,840 | 12,603,161 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR2, Class 1A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||||
1.28% | 01/25/45 | 1 | 13,298,530 | 11,365,856 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR2, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||||
1.26% | 01/25/45 | 1 | 1,044,684 | 934,223 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR2, Class 2A23 |
| |||||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||||
1.33% | 01/25/45 | 1 | 3,709,667 | 3,343,784 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR6, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||||
1.41% | 04/25/45 | 1 | 143,256 | 132,840 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR1, Class 2A1A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.07%) |
| |||||||||||
3.04% | 01/25/46 | 1 | 27,608,883 | 25,101,632 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR10, Class 1A4 |
| |||||||||||
3.73% | 09/25/36 | 8 | 12,098,384 | 10,994,676 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR16, Class 3A1 |
| |||||||||||
3.52% | 12/25/36 | 8 | 730,120 | 607,018 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR3, Class A1A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.00%) |
| |||||||||||
2.97% | 02/25/46 | 1 | 15,947,139 | 14,330,996 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR4, Class 1A1A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.94%) |
| |||||||||||
2.99% | 05/25/46 | 1 | 5,164,699 | 4,484,152 |
See accompanying Notes to Financial Statements. |
167 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR7, Class 2A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.98%) |
| |||||||||||
2.95% | 07/25/46 | 1 | $ | 11,332,260 | $ | 9,349,271 | ||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2007-1, Class 2A1 |
| |||||||||||
6.00% | 01/25/22 | 169,732 | 156,743 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2007-HY7, Class 4A2 |
| |||||||||||
3.98% | 07/25/37 | 8 | 259,470 | 205,934 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2007-OA1, Class A1A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.70%) |
| |||||||||||
2.67% | 02/25/47 | 1 | 13,298,658 | 10,836,990 | ||||||||
WaMu MSC Mortgage Pass-Through |
| |||||||||||
Certificates, Series 2002-AR1, Class 1A1 |
| |||||||||||
4.09% | 11/25/30 | 8 | 311,812 | 286,892 | ||||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||||
Series 2007-PA5, Class 1A1 |
| |||||||||||
6.25% | 11/25/37 | 163,014 | 155,474 | |||||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||||||
Trust, Series 2006-AR1, Class 1A1 |
| |||||||||||
4.13% | 03/25/36 | 8 | 2,668,304 | 2,547,337 | ||||||||
|
| |||||||||||
4,839,742,503 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 0.31% |
| |||||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.92% | 12/25/30 | 8 | 266,302,348 | 40,411,967 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
1.83% | 12/25/30 | 8 | 462,145,801 | 67,350,033 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.44% | 11/25/28 | 8 | 181,817,667 | 17,296,351 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X4 (IO) |
| |||||||||||
1.00% | 07/25/32 | 8 | 136,646,096 | 11,768,126 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X5 (IO) |
| |||||||||||
1.55% | 11/25/28 | 8 | 190,395,878 | 20,410,552 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X6 (IO) |
| |||||||||||
1.50% | 08/25/28 | 8 | 218,911,000 | 22,265,701 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X8 (IO) |
| |||||||||||
0.78% | 12/25/27 | 8 | 181,389,000 | 8,002,865 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X9 (IO) |
| |||||||||||
0.99% | 12/25/27 | 8 | 124,936,645 | 6,250,580 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multiclass Certificates, |
| |||||||||||
Series 2020-RR06, Class AX (IO) |
| |||||||||||
1.88% | 10/27/28 | 8 | $ | 134,675,000 | $ | 17,972,594 | ||||||
Freddie Mac Multiclass Certificates, |
| |||||||||||
Series 2020-RR06, Class BX (IO) |
| |||||||||||
1.84% | 05/27/33 | 8 | 139,259,000 | 23,670,771 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K1510, |
| |||||||||||
Class A3 |
| |||||||||||
3.79% | 01/25/34 | 9,400,000 | 10,914,622 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K154, |
| |||||||||||
Class A2 |
| |||||||||||
3.42% | 04/25/32 | 750,000 | 902,550 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K157, |
| |||||||||||
Class A3 |
| |||||||||||
3.99% | 08/25/33 | 8 | 300,000 | 373,086 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K158, |
| |||||||||||
Class A2 |
| |||||||||||
3.90% | 12/25/30 | 8 | 4,640,000 | 5,390,166 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K158, |
| |||||||||||
Class A3 |
| |||||||||||
3.90% | 10/25/33 | 8 | 65,000 | 76,248 | ||||||||
|
| |||||||||||
253,056,212 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 49.65% |
| |||||||||||
Fannie Mae Grantor Trust, Series 2017-T1, |
| |||||||||||
Class A |
| |||||||||||
2.90% | 06/25/27 | 62,773,411 | 67,470,958 | |||||||||
Fannie Mae Pool 190375 |
| |||||||||||
5.50% | 11/01/36 | 718,138 | 815,069 | |||||||||
Fannie Mae Pool 190396 |
| |||||||||||
4.50% | 06/01/39 | 11,204 | 12,278 | |||||||||
Fannie Mae Pool 254232 |
| |||||||||||
6.50% | 03/01/22 | 5,011 | 5,180 | |||||||||
Fannie Mae Pool 313182 |
| |||||||||||
7.50% | 10/01/26 | 1,000 | 1,109 | |||||||||
Fannie Mae Pool 394854 |
| |||||||||||
6.50% | 05/01/27 | 829 | 928 | |||||||||
Fannie Mae Pool 468128 |
| |||||||||||
4.33% | 07/01/21 | 1,866,518 | 1,913,718 | |||||||||
Fannie Mae Pool 468587 |
| |||||||||||
3.84% | 08/01/21 | 594,574 | 608,049 | |||||||||
Fannie Mae Pool 545191 |
| |||||||||||
7.00% | 09/01/31 | 2,800 | 3,235 | |||||||||
Fannie Mae Pool 545756 |
| |||||||||||
7.00% | 06/01/32 | 634 | 736 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 168 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool 606108 |
| |||||||||||
7.00% | 03/01/31 | $ | 2,475 | $ | 2,498 | |||||||
Fannie Mae Pool 613142 |
| |||||||||||
7.00% | 11/01/31 | 8,647 | 10,002 | |||||||||
Fannie Mae Pool 625666 |
| |||||||||||
7.00% | 01/01/32 | 8,431 | 9,783 | |||||||||
Fannie Mae Pool 633698 |
| |||||||||||
7.50% | 02/01/31 | 30,072 | 36,414 | |||||||||
Fannie Mae Pool 655928 |
| |||||||||||
7.00% | 08/01/32 | 131,492 | 160,968 | |||||||||
Fannie Mae Pool 725257 |
| |||||||||||
5.50% | 02/01/34 | 899,998 | 1,018,316 | |||||||||
Fannie Mae Pool 734830 |
| |||||||||||
4.50% | 08/01/33 | 12,254 | 13,428 | |||||||||
Fannie Mae Pool 734922 |
| |||||||||||
4.50% | 09/01/33 | 1,697,182 | 1,860,988 | |||||||||
Fannie Mae Pool 735207 |
| |||||||||||
7.00% | 04/01/34 | 17,960 | 21,545 | |||||||||
Fannie Mae Pool 735224 |
| |||||||||||
5.50% | 02/01/35 | 3,331,042 | 3,770,957 | |||||||||
Fannie Mae Pool 735646 |
| |||||||||||
4.50% | 07/01/20 | 3,071 | 3,206 | |||||||||
Fannie Mae Pool 735651 |
| |||||||||||
4.50% | 06/01/35 | 4,034,265 | 4,396,206 | |||||||||
Fannie Mae Pool 735686 |
| |||||||||||
6.50% | 12/01/22 | 657 | 677 | |||||||||
Fannie Mae Pool 740297 |
| |||||||||||
5.50% | 10/01/33 | 1,724 | 1,951 | |||||||||
Fannie Mae Pool 745147 |
| |||||||||||
4.50% | 12/01/35 | 23,838 | 26,111 | |||||||||
Fannie Mae Pool 745592 |
| |||||||||||
5.00% | 01/01/21 | 2 | 2 | |||||||||
Fannie Mae Pool 753168 |
| |||||||||||
4.50% | 12/01/33 | 6,887 | 7,551 | |||||||||
Fannie Mae Pool 815422 |
| |||||||||||
4.50% | 02/01/35 | 32,281 | 35,375 | |||||||||
Fannie Mae Pool 817611 |
| |||||||||||
(LIBOR USD 6-Month plus 1.58%) |
| |||||||||||
3.58% | 11/01/35 | 1 | 178,387 | 180,250 | ||||||||
Fannie Mae Pool 839109 |
| |||||||||||
(LIBOR USD 12-Month plus 1.91%) |
| |||||||||||
4.04% | 11/01/35 | 1 | 3,874 | 3,910 | ||||||||
Fannie Mae Pool 844773 |
| |||||||||||
(LIBOR USD 12-Month plus 1.59%) |
| |||||||||||
3.59% | 12/01/35 | 1 | 4,935 | 4,978 | ||||||||
Fannie Mae Pool 888412 |
| |||||||||||
7.00% | 04/01/37 | 231,526 | 266,838 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool 889125 |
| |||||||||||
5.00% | 12/01/21 | $ | 13,677 | $ | 13,749 | |||||||
Fannie Mae Pool 889184 |
| |||||||||||
5.50% | 09/01/36 | 3,220,775 | 3,647,099 | |||||||||
Fannie Mae Pool 918445 |
| |||||||||||
(LIBOR USD 12-Month plus 1.57%) |
| |||||||||||
3.57% | 05/01/37 | 1 | 6,749 | 6,953 | ||||||||
Fannie Mae Pool AB1613 |
| |||||||||||
4.00% | 10/01/40 | 31,511,484 | 34,236,624 | |||||||||
Fannie Mae Pool AB1803 |
| |||||||||||
4.00% | 11/01/40 | 36,343,346 | 39,486,350 | |||||||||
Fannie Mae Pool AB2127 |
| |||||||||||
3.50% | 01/01/26 | 14,377,873 | 15,165,252 | |||||||||
Fannie Mae Pool AB3679 |
| |||||||||||
3.50% | 10/01/41 | 12,663,178 | 13,585,945 | |||||||||
Fannie Mae Pool AB3864 |
| |||||||||||
3.50% | 11/01/41 | 10,298,568 | 11,101,046 | |||||||||
Fannie Mae Pool AB4045 |
| |||||||||||
3.50% | 12/01/41 | 11,510,974 | 12,349,780 | |||||||||
Fannie Mae Pool AB4262 |
| |||||||||||
3.50% | 01/01/32 | 6,933,838 | 7,369,747 | |||||||||
Fannie Mae Pool AB6385 |
| |||||||||||
3.00% | 10/01/42 | 403,817 | 428,277 | |||||||||
Fannie Mae Pool AB9703 |
| |||||||||||
3.50% | 06/01/43 | 27,831,688 | 29,757,531 | |||||||||
Fannie Mae Pool AC8279 |
| |||||||||||
4.50% | 08/01/39 | 16,397 | 17,958 | |||||||||
Fannie Mae Pool AE0138 |
| |||||||||||
4.50% | 03/01/40 | 75,218 | 82,485 | |||||||||
Fannie Mae Pool AE0482 |
| |||||||||||
5.50% | 01/01/38 | 8,015,953 | 9,053,425 | |||||||||
Fannie Mae Pool AE0600 |
| |||||||||||
3.89% | 11/01/20 | 8 | 9,859,543 | 9,946,989 | ||||||||
Fannie Mae Pool AE0605 |
| |||||||||||
4.56% | 07/01/20 | 2,113,741 | 2,114,151 | |||||||||
Fannie Mae Pool AE0918 |
| |||||||||||
3.76% | 10/01/20 | 8 | 1,158,613 | 1,159,079 | ||||||||
Fannie Mae Pool AH3780 |
| |||||||||||
4.00% | 02/01/41 | 14,673,328 | 16,163,667 | |||||||||
Fannie Mae Pool AJ1404 |
| |||||||||||
4.00% | 09/01/41 | 21,041,401 | 22,976,415 | |||||||||
Fannie Mae Pool AL0209 |
| |||||||||||
4.50% | 05/01/41 | 21,394,429 | 23,754,447 | |||||||||
Fannie Mae Pool AL0290 |
| |||||||||||
4.46% | 04/01/21 | 8 | 13,597,368 | 13,988,539 | ||||||||
Fannie Mae Pool AL0834 |
| |||||||||||
4.02% | 10/01/21 | 8 | 18,892,160 | 19,358,348 |
See accompanying Notes to Financial Statements. |
169 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool AL0851 |
| |||||||||||
6.00% | 10/01/40 | $ | 13,242,078 | $ | 15,283,483 | |||||||
Fannie Mae Pool AL1445 |
| |||||||||||
4.30% | 11/01/21 | 8 | 41,416,787 | 42,342,624 | ||||||||
Fannie Mae Pool AL2521 |
| |||||||||||
3.50% | 09/01/42 | 187,574 | 200,959 | |||||||||
Fannie Mae Pool AL2669 |
| |||||||||||
4.15% | 09/01/21 | 8 | 13,032,036 | 13,113,892 | ||||||||
Fannie Mae Pool AL4597 |
| |||||||||||
4.00% | 01/01/44 | 54,907,969 | 60,684,161 | |||||||||
Fannie Mae Pool AL6348 |
| |||||||||||
3.50% | 02/01/45 | 56,549 | 60,699 | |||||||||
Fannie Mae Pool AL8037 |
| |||||||||||
4.50% | 07/01/34 | 230,678 | 253,637 | |||||||||
Fannie Mae Pool AL8256 |
| |||||||||||
3.00% | 08/01/43 | 615,815 | 653,759 | |||||||||
Fannie Mae Pool AL8356 |
| |||||||||||
4.50% | 07/01/34 | 587,585 | 643,094 | |||||||||
Fannie Mae Pool AL8960 |
| |||||||||||
4.50% | 05/01/46 | 50,573,170 | 55,072,320 | |||||||||
Fannie Mae Pool AL9106 |
| |||||||||||
4.50% | 02/01/46 | 66,208,803 | 72,328,526 | |||||||||
Fannie Mae Pool AL9217 |
| |||||||||||
3.50% | 10/01/46 | 36,307,111 | 38,977,592 | |||||||||
Fannie Mae Pool AL9472 |
| |||||||||||
4.00% | 10/01/43 | 10,081,136 | 10,904,279 | |||||||||
Fannie Mae Pool AL9722 |
| |||||||||||
4.50% | 08/01/46 | 217,368,493 | 236,706,286 | |||||||||
Fannie Mae Pool AL9846 |
| |||||||||||
4.50% | 02/01/47 | 219,631,443 | 239,170,554 | |||||||||
Fannie Mae Pool AM4869 |
| |||||||||||
4.07% | 12/01/25 | 1,787,355 | 2,027,093 | |||||||||
Fannie Mae Pool AN4429 |
| |||||||||||
3.22% | 01/01/27 | 23,130,000 | 25,886,341 | |||||||||
Fannie Mae Pool AN4435 |
| |||||||||||
3.22% | 01/01/27 | 29,420,000 | 32,925,904 | |||||||||
Fannie Mae Pool AN7345 |
| |||||||||||
3.21% | 11/01/37 | 81,499 | 93,417 | |||||||||
Fannie Mae Pool AN7981 |
| |||||||||||
2.95% | 01/01/28 | 100,000 | 110,792 | |||||||||
Fannie Mae Pool AN9814 |
| |||||||||||
3.63% | 08/01/28 | 133,025,867 | 152,484,567 | |||||||||
Fannie Mae Pool AS8605 |
| |||||||||||
3.00% | 01/01/32 | 250,112 | 263,858 | |||||||||
Fannie Mae Pool AS8663 |
| |||||||||||
4.50% | 01/01/47 | 38,242,581 | 41,242,136 | |||||||||
Fannie Mae Pool AS9830 |
| |||||||||||
4.00% | 06/01/47 | 156,413,828 | 167,791,556 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool AS9972 |
| |||||||||||
4.00% | 07/01/47 | $ | 132,859,567 | $ | 142,523,930 | |||||||
Fannie Mae Pool AU3739 |
| |||||||||||
3.50% | 08/01/43 | 37,573,581 | 40,617,495 | |||||||||
Fannie Mae Pool BD2450 |
| |||||||||||
3.50% | 01/01/47 | 156,194 | 166,065 | |||||||||
Fannie Mae Pool BL0004 |
| |||||||||||
3.50% | 09/01/28 | 6,290,000 | 7,238,468 | |||||||||
Fannie Mae Pool BL0937 |
| |||||||||||
3.83% | 12/01/28 | 92,914,412 | 107,843,100 | |||||||||
Fannie Mae Pool BM4299 |
| |||||||||||
3.00% | 03/01/30 | 60,092,080 | 62,883,272 | |||||||||
Fannie Mae Pool BM4304 |
| |||||||||||
3.00% | 02/01/30 | 84,024,278 | 87,927,087 | |||||||||
Fannie Mae Pool BM5164 |
| |||||||||||
4.00% | 11/01/48 | 96,944,496 | 104,553,782 | |||||||||
Fannie Mae Pool BN4316 |
| |||||||||||
4.00% | 01/01/49 | 56,900 | 61,155 | |||||||||
Fannie Mae Pool CA0996 |
| |||||||||||
3.50% | 01/01/48 | 20,651 | 22,098 | |||||||||
Fannie Mae Pool CA1187 |
| |||||||||||
3.50% | 02/01/48 | 169,566,879 | 180,121,692 | |||||||||
Fannie Mae Pool CA1710 |
| |||||||||||
4.50% | 05/01/48 | 116,148 | 125,294 | |||||||||
Fannie Mae Pool CA1711 |
| |||||||||||
4.50% | 05/01/48 | 33,300,870 | 35,923,229 | |||||||||
Fannie Mae Pool CA2208 |
| |||||||||||
4.50% | 08/01/48 | 79,683,536 | 85,759,202 | |||||||||
Fannie Mae Pool CA2327 |
| |||||||||||
4.00% | 09/01/48 | 60,497,187 | 65,509,320 | |||||||||
Fannie Mae Pool CA2493 |
| |||||||||||
4.50% | 10/01/48 | 24,148,934 | 25,972,117 | |||||||||
Fannie Mae Pool CA3633 |
| |||||||||||
3.50% | 06/01/49 | 43,407,020 | 46,394,356 | |||||||||
Fannie Mae Pool CA4011 |
| |||||||||||
3.50% | 08/01/49 | 206,564,551 | 214,623,687 | |||||||||
Fannie Mae Pool FM2318 |
| |||||||||||
3.50% | 09/01/49 | 600,798,872 | 640,055,774 | |||||||||
Fannie Mae Pool FM2388 |
| |||||||||||
3.50% | 04/01/48 | 32,943,898 | 35,346,211 | |||||||||
Fannie Mae Pool FN0001 |
| |||||||||||
3.78% | 12/01/20 | 8 | 27,039,100 | 27,396,075 | ||||||||
Fannie Mae Pool MA1146 |
| |||||||||||
4.00% | 08/01/42 | 51,767,942 | 56,010,753 | |||||||||
Fannie Mae Pool MA1177 |
| |||||||||||
3.50% | 09/01/42 | 61,124,925 | 65,355,182 | |||||||||
Fannie Mae Pool MA1404 |
| |||||||||||
3.50% | 04/01/43 | 4,795 | 5,127 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 170 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool MA1459 |
| |||||||||||
3.00% | 06/01/33 | $ | 41,417 | $ | 43,699 | |||||||
Fannie Mae Pool MA1527 |
| |||||||||||
3.00% | 08/01/33 | 58,452,151 | 61,672,724 | |||||||||
Fannie Mae Pool MA1561 |
| |||||||||||
3.00% | 09/01/33 | 36,512,689 | 38,524,450 | |||||||||
Fannie Mae Pool MA1582 |
| |||||||||||
3.50% | 09/01/43 | 18,720,993 | 20,016,727 | |||||||||
Fannie Mae Pool MA1584 |
| |||||||||||
3.50% | 09/01/33 | 57,861,060 | 61,552,318 | |||||||||
Fannie Mae Pool MA1608 |
| |||||||||||
3.50% | 10/01/33 | 40,340,751 | 42,914,298 | |||||||||
Fannie Mae Pool MA2895 |
| |||||||||||
3.00% | 02/01/47 | 106,359 | 111,924 | |||||||||
Fannie Mae Pool MA2960 |
| |||||||||||
4.00% | 04/01/47 | 87,344,989 | 93,308,977 | |||||||||
Fannie Mae Pool MA3027 |
| |||||||||||
4.00% | 06/01/47 | 65,445,718 | 69,914,405 | |||||||||
Fannie Mae Pool MA3029 |
| |||||||||||
3.00% | 06/01/32 | 54,843,457 | 57,536,907 | |||||||||
Fannie Mae Pool MA3182 |
| |||||||||||
3.50% | 11/01/47 | 104,168,504 | 110,443,514 | |||||||||
Fannie Mae Pool MA3210 |
| |||||||||||
3.50% | 12/01/47 | 182,252,170 | 193,230,866 | |||||||||
Fannie Mae Pool MA3238 |
| |||||||||||
3.50% | 01/01/48 | 151,562,917 | 160,692,922 | |||||||||
Fannie Mae Pool MA3276 |
| |||||||||||
3.50% | 02/01/48 | 64,420,506 | 68,301,135 | |||||||||
Fannie Mae Pool MA3305 |
| |||||||||||
3.50% | 03/01/48 | 74,186,547 | 78,452,081 | |||||||||
Fannie Mae Pool MA3332 |
| |||||||||||
3.50% | 04/01/48 | 241,079,612 | 255,193,943 | |||||||||
Fannie Mae Pool MA3364 |
| |||||||||||
3.50% | 05/01/33 | 27,252,508 | 28,714,884 | |||||||||
Fannie Mae Pool MA3537 |
| |||||||||||
4.50% | 12/01/48 | 60,676,431 | 65,245,970 | |||||||||
Fannie Mae Pool MA3802 |
| |||||||||||
3.00% | 10/01/49 | 32,886,677 | 34,492,107 | |||||||||
Fannie Mae Pool MA3811 |
| |||||||||||
3.00% | 10/01/49 | 50,302,942 | 51,908,944 | |||||||||
Fannie Mae Pool MA3834 |
| |||||||||||
3.00% | 11/01/49 | 97,743 | 102,514 | |||||||||
Fannie Mae Pool MA3864 |
| |||||||||||
2.50% | 12/01/34 | 208,217,147 | 216,090,575 | |||||||||
Fannie Mae Pool MA3905 |
| |||||||||||
3.00% | 01/01/50 | 609,082,811 | 639,455,377 | |||||||||
Fannie Mae Pool MA3937 |
| |||||||||||
3.00% | 02/01/50 | 777,089,055 | 815,024,227 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae Pool MA3942 |
| |||||||||||
3.00% | 02/01/50 | $ | 79,469,385 | $ | 82,006,572 | |||||||
Fannie Mae Pool MA3960 |
| |||||||||||
3.00% | 03/01/50 | 596,889,000 | 627,002,982 | |||||||||
Fannie Mae Pool MA3990 |
| |||||||||||
2.50% | 04/01/50 | 4,490,000 | 4,655,432 | |||||||||
Fannie Mae Pool MA3997 |
| |||||||||||
3.00% | 04/01/50 | 90,563,575 | 93,454,962 | |||||||||
Fannie Mae REMICS, Series 1991-65, |
| |||||||||||
Class Z |
| |||||||||||
6.50% | 06/25/21 | 356 | 362 | |||||||||
Fannie Mae REMICS, Series 1992-123, |
| |||||||||||
Class Z |
| |||||||||||
7.50% | 07/25/22 | 359 | 377 | |||||||||
Fannie Mae REMICS, Series 1993-132, |
| |||||||||||
Class D (PO) |
| |||||||||||
0.00% | 10/25/22 | 9 | 13,090 | 12,981 | ||||||||
Fannie Mae REMICS, Series 1993-29, |
| |||||||||||
Class PK |
| |||||||||||
7.00% | 03/25/23 | 1,167 | 1,223 | |||||||||
Fannie Mae REMICS, Series 1994-55, |
| |||||||||||
Class H |
| |||||||||||
7.00% | 03/25/24 | 6,709 | 7,342 | |||||||||
Fannie Mae REMICS, Series 1997-34, |
| |||||||||||
Class SA |
| |||||||||||
(Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap) |
| |||||||||||
5.48% | 10/25/23 | 1 | 1,773 | 2,061 | ||||||||
Fannie Mae REMICS, Series 1998-37, |
| |||||||||||
Class VZ |
| |||||||||||
6.00% | 06/17/28 | 4,636 | 4,915 | |||||||||
Fannie Mae REMICS, Series 1999-11, |
| |||||||||||
Class Z |
| |||||||||||
5.50% | 03/25/29 | 26,918 | 28,490 | |||||||||
Fannie Mae REMICS, Series 2001-52, |
| |||||||||||
Class YZ |
| |||||||||||
6.50% | 10/25/31 | 106,668 | 126,166 | |||||||||
Fannie Mae REMICS, Series 2005-104, |
| |||||||||||
Class NI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap) |
| |||||||||||
5.75% | 03/25/35 | 1 | 2,120,531 | 42,059 | ||||||||
Fannie Mae REMICS, Series 2005-117, |
| |||||||||||
Class LC |
| |||||||||||
5.50% | 11/25/35 | 4,368,149 | 4,588,101 | |||||||||
Fannie Mae REMICS, Series 2005-122, |
| |||||||||||
Class SG (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
5.65% | 11/25/35 | 1 | 57,041 | 7,758 | ||||||||
Fannie Mae REMICS, Series 2005-92, |
| |||||||||||
Class US (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) |
| |||||||||||
5.15% | 10/25/25 | 1 | 3,841,381 | 318,043 |
See accompanying Notes to Financial Statements. |
171 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2006-4, |
| |||||||||||
Class WE |
| |||||||||||
4.50% | 02/25/36 | $ | 69,513 | $ | 78,139 | |||||||
Fannie Mae REMICS, Series 2006-49, |
| |||||||||||
Class SE |
| |||||||||||
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap) |
| |||||||||||
25.21% | 04/25/36 | 1 | 1,805,504 | 2,861,632 | ||||||||
Fannie Mae REMICS, Series 2007-17, |
| |||||||||||
Class SI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) |
| |||||||||||
5.45% | 03/25/37 | 1 | 1,380,277 | 203,651 | ||||||||
Fannie Mae REMICS, Series 2007-34, |
| |||||||||||
Class SB (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap) |
| |||||||||||
5.16% | 04/25/37 | 1 | 3,214,195 | 696,667 | ||||||||
Fannie Mae REMICS, Series 2007-64, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.47%) |
| |||||||||||
1.42% | 07/25/37 | 1 | 4,363 | 4,352 | ||||||||
Fannie Mae REMICS, Series 2008-24, |
| |||||||||||
Class NA |
| |||||||||||
6.75% | 06/25/37 | 399,552 | 460,804 | |||||||||
Fannie Mae REMICS, Series 2010-116, |
| |||||||||||
Class SE (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
5.65% | 10/25/40 | 1 | 4,137,587 | 624,199 | ||||||||
Fannie Mae REMICS, Series 2010-135, |
| |||||||||||
Class EA |
| |||||||||||
3.00% | 01/25/40 | 8,779 | 9,001 | |||||||||
Fannie Mae REMICS, Series 2010-17, |
| |||||||||||
Class SB (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap) |
| |||||||||||
5.40% | 03/25/40 | 1 | 7,659,911 | 1,473,714 | ||||||||
Fannie Mae REMICS, Series 2010-43, |
| |||||||||||
Class KS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) |
| |||||||||||
5.47% | 05/25/40 | 1 | 13,572,201 | 2,835,035 | ||||||||
Fannie Mae REMICS, Series 2011-101, |
| |||||||||||
Class HE |
| |||||||||||
4.00% | 10/25/41 | 10,100,000 | 11,414,808 | |||||||||
Fannie Mae REMICS, Series 2011-111, |
| |||||||||||
Class DB |
| |||||||||||
4.00% | 11/25/41 | 23,245,910 | 25,620,093 | |||||||||
Fannie Mae REMICS, Series 2011-2, |
| |||||||||||
Class PD |
| |||||||||||
4.00% | 12/25/39 | 19,264 | 19,382 | |||||||||
Fannie Mae REMICS, Series 2012-84, |
| |||||||||||
Class VZ |
| |||||||||||
3.50% | 08/25/42 | 9,739,000 | 10,715,949 | |||||||||
Fannie Mae REMICS, Series 2013-101, |
| |||||||||||
Class BO (PO) |
| |||||||||||
0.00% | 10/25/43 | 9 | 19,792,130 | 18,553,463 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2013-101, |
| |||||||||||
Class CO (PO) |
| |||||||||||
0.00% | 10/25/43 | 9 | $ | 12,348,926 | $ | 11,336,593 | ||||||
Fannie Mae REMICS, Series 2016-45, |
| |||||||||||
Class AF |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 07/25/46 | 1 | 13,406,677 | 13,298,895 | ||||||||
Fannie Mae REMICS, Series 2016-72, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 10/25/46 | 1 | 32,343,866 | 32,073,088 | ||||||||
Fannie Mae REMICS, Series 2016-74, |
| |||||||||||
Class GF |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 10/25/46 | 1 | 21,797,557 | 21,551,129 | ||||||||
Fannie Mae REMICS, Series 2016-75, |
| |||||||||||
Class FL |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 10/25/46 | 1 | 20,687,826 | 20,454,689 | ||||||||
Fannie Mae REMICS, Series 2018-29, |
| |||||||||||
Class AP |
| |||||||||||
3.50% | 11/25/46 | 196,840,833 | 206,237,808 | |||||||||
Fannie Mae REMICS, Series 2018-38, |
| |||||||||||
Class LA |
| |||||||||||
3.00% | 06/25/48 | 66,888,929 | 69,628,136 | |||||||||
Fannie Mae REMICS, Series 2018-38, |
| |||||||||||
Class PA |
| |||||||||||
3.50% | 06/25/47 | 28,466 | 29,830 | |||||||||
Fannie Mae REMICS, Series 2018-45, |
| |||||||||||
Class GA |
| |||||||||||
3.00% | 06/25/48 | 80,234,648 | 84,143,066 | |||||||||
Fannie Mae REMICS, Series 2018-55, |
| |||||||||||
Class PA |
| |||||||||||
3.50% | 01/25/47 | 60,879,548 | 63,826,304 | |||||||||
Fannie Mae REMICS, Series 2018-57, |
| |||||||||||
Class QA |
| |||||||||||
3.50% | 05/25/46 | 67,160 | 70,864 | |||||||||
Fannie Mae REMICS, Series 2018-86, |
| |||||||||||
Class JA |
| |||||||||||
4.00% | 05/25/47 | 5,242,940 | 5,590,397 | |||||||||
Fannie Mae REMICS, Series 2018-94, |
| |||||||||||
Class KD |
| |||||||||||
3.50% | 12/25/48 | 22,388,828 | 23,635,112 | |||||||||
Fannie Mae REMICS, Series 2019-1, |
| |||||||||||
Class AB |
| |||||||||||
3.50% | 02/25/49 | 4,577,985 | 4,874,657 | |||||||||
Fannie Mae REMICS, Series 2019-1, |
| |||||||||||
Class KP |
| |||||||||||
3.25% | 02/25/49 | 8,315,917 | 8,784,030 | |||||||||
Fannie Mae REMICS, Series 2019-26, |
| |||||||||||
Class JE |
| |||||||||||
3.00% | 06/25/49 | 22,462,873 | 23,004,978 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 172 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2019-45, |
| |||||||||||
Class PA |
| |||||||||||
3.00% | 08/25/49 | $ | 50,101,393 | $ | 53,231,552 | |||||||
Fannie Mae REMICS, Series 2019-52, |
| |||||||||||
Class PA |
| |||||||||||
3.00% | 09/25/49 | 30,595,753 | 31,599,754 | |||||||||
Fannie Mae REMICS, Series 2019-67, |
| |||||||||||
Class FE |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 11/25/49 | 1 | 60,425,743 | 59,789,864 | ||||||||
Fannie Mae REMICS, Series G92-36, |
| |||||||||||
Class Z |
| |||||||||||
7.00% | 07/25/22 | 11 | 12 | |||||||||
Fannie Mae REMICS, Series G93-21, |
| |||||||||||
Class Z |
| |||||||||||
7.20% | 05/25/23 | 1,444 | 1,541 | |||||||||
Fannie Mae Trust, Series 2003-W2, |
| |||||||||||
Class 2A9 |
| |||||||||||
5.90% | 07/25/42 | 25,378 | 29,549 | |||||||||
Freddie Mac Gold Pool A24156 |
| |||||||||||
6.50% | 10/01/31 | 154,993 | 172,118 | |||||||||
Freddie Mac Gold Pool A25162 |
| |||||||||||
5.50% | 05/01/34 | 1,741,781 | 1,973,120 | |||||||||
Freddie Mac Gold Pool A39012 |
| |||||||||||
5.50% | 06/01/35 | 37,676 | 42,892 | |||||||||
Freddie Mac Gold Pool A54856 |
| |||||||||||
5.00% | 01/01/34 | 3,340,087 | 3,706,038 | |||||||||
Freddie Mac Gold Pool A61164 |
| |||||||||||
5.00% | 04/01/36 | 11,597 | 12,861 | |||||||||
Freddie Mac Gold Pool A97038 |
| |||||||||||
4.00% | 02/01/41 | 11,593,086 | 12,594,289 | |||||||||
Freddie Mac Gold Pool C01492 |
| |||||||||||
5.00% | 02/01/33 | 547,947 | 607,126 | |||||||||
Freddie Mac Gold Pool C04546 |
| |||||||||||
3.00% | 02/01/43 | 18,533,152 | 19,640,992 | |||||||||
Freddie Mac Gold Pool C04573 |
| |||||||||||
3.00% | 03/01/43 | 23,134,807 | 24,545,255 | |||||||||
Freddie Mac Gold Pool C46104 |
| |||||||||||
6.50% | 09/01/29 | 12,736 | 14,253 | |||||||||
Freddie Mac Gold Pool C55789 |
| |||||||||||
7.50% | 10/01/27 | 5,618 | 6,224 | |||||||||
Freddie Mac Gold Pool C90573 |
| |||||||||||
6.50% | 08/01/22 | 23,276 | 24,692 | |||||||||
Freddie Mac Gold Pool E02402 |
| |||||||||||
6.00% | 10/01/22 | 5,699 | 5,930 | |||||||||
Freddie Mac Gold Pool G00992 |
| |||||||||||
7.00% | 11/01/28 | 602 | 687 | |||||||||
Freddie Mac Gold Pool G01515 |
| |||||||||||
5.00% | 02/01/33 | 538,340 | 595,984 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac Gold Pool G02579 |
| |||||||||||
5.00% | 12/01/34 | $ | 855,348 | $ | 949,471 | |||||||
Freddie Mac Gold Pool G02884 |
| |||||||||||
6.00% | 04/01/37 | 2,169,032 | 2,529,047 | |||||||||
Freddie Mac Gold Pool G02955 |
| |||||||||||
5.50% | 03/01/37 | 3,166,051 | 3,549,434 | |||||||||
Freddie Mac Gold Pool G03357 |
| |||||||||||
5.50% | 08/01/37 | 1,265,260 | 1,439,849 | |||||||||
Freddie Mac Gold Pool G03676 |
| |||||||||||
5.50% | 12/01/37 | 2,173,486 | 2,435,532 | |||||||||
Freddie Mac Gold Pool G03783 |
| |||||||||||
5.50% | 01/01/38 | 1,571,495 | 1,761,269 | |||||||||
Freddie Mac Gold Pool G03985 |
| |||||||||||
6.00% | 03/01/38 | 18,832 | 22,086 | |||||||||
Freddie Mac Gold Pool G04438 |
| |||||||||||
5.50% | 05/01/38 | 4,537,461 | 5,084,622 | |||||||||
Freddie Mac Gold Pool G04703 |
| |||||||||||
5.50% | 08/01/38 | 4,008,002 | 4,491,317 | |||||||||
Freddie Mac Gold Pool G04706 |
| |||||||||||
5.50% | 09/01/38 | 164,094 | 183,882 | |||||||||
Freddie Mac Gold Pool G05866 |
| |||||||||||
4.50% | 02/01/40 | 16,211,663 | 18,037,130 | |||||||||
Freddie Mac Gold Pool G06361 |
| |||||||||||
4.00% | 03/01/41 | 21,987 | 24,229 | |||||||||
Freddie Mac Gold Pool G06498 |
| |||||||||||
4.00% | 04/01/41 | 21,897,012 | 23,984,166 | |||||||||
Freddie Mac Gold Pool G06499 |
| |||||||||||
4.00% | 03/01/41 | 10,350,458 | 11,250,088 | |||||||||
Freddie Mac Gold Pool G07408 |
| |||||||||||
3.50% | 06/01/43 | 20,699,745 | 22,299,529 | |||||||||
Freddie Mac Gold Pool G07786 |
| |||||||||||
4.00% | 08/01/44 | 196,301,527 | 215,604,121 | |||||||||
Freddie Mac Gold Pool G07848 |
| |||||||||||
3.50% | 04/01/44 | 103,577,718 | 111,714,312 | |||||||||
Freddie Mac Gold Pool G07849 |
| |||||||||||
3.50% | 05/01/44 | 14,761,921 | 15,819,484 | |||||||||
Freddie Mac Gold Pool G07924 |
| |||||||||||
3.50% | 01/01/45 | 21,344,920 | 22,874,099 | |||||||||
Freddie Mac Gold Pool G07925 |
| |||||||||||
4.00% | 02/01/45 | 12,663,079 | 13,794,354 | |||||||||
Freddie Mac Gold Pool G08676 |
| |||||||||||
3.50% | 11/01/45 | 74,754,124 | 79,759,201 | |||||||||
Freddie Mac Gold Pool G08681 |
| |||||||||||
3.50% | 12/01/45 | 49,115,754 | 52,404,243 | |||||||||
Freddie Mac Gold Pool G08710 |
| |||||||||||
3.00% | 06/01/46 | 275,017,286 | 289,401,308 | |||||||||
Freddie Mac Gold Pool G08711 |
| |||||||||||
3.50% | 06/01/46 | 21,140,636 | 22,516,445 |
See accompanying Notes to Financial Statements. |
173 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac Gold Pool G08715 |
| |||||||||||
3.00% | 08/01/46 | $ | 363,459,819 | $ | 382,469,586 | |||||||
Freddie Mac Gold Pool G08721 |
| |||||||||||
3.00% | 09/01/46 | 36,856,805 | 38,784,499 | |||||||||
Freddie Mac Gold Pool G08722 |
| |||||||||||
3.50% | 09/01/46 | 92,263,788 | 98,268,209 | |||||||||
Freddie Mac Gold Pool G08726 |
| |||||||||||
3.00% | 10/01/46 | 394,669,156 | 415,421,082 | |||||||||
Freddie Mac Gold Pool G08727 |
| |||||||||||
3.50% | 10/01/46 | 75,505,573 | 80,463,151 | |||||||||
Freddie Mac Gold Pool G08732 |
| |||||||||||
3.00% | 11/01/46 | 236,114,191 | 248,529,208 | |||||||||
Freddie Mac Gold Pool G08737 |
| |||||||||||
3.00% | 12/01/46 | 139,132,137 | 146,447,783 | |||||||||
Freddie Mac Gold Pool G08741 |
| |||||||||||
3.00% | 01/01/47 | 138,207,723 | 145,474,763 | |||||||||
Freddie Mac Gold Pool G08742 |
| |||||||||||
3.50% | 01/01/47 | 119,342,598 | 127,057,447 | |||||||||
Freddie Mac Gold Pool G08747 |
| |||||||||||
3.00% | 02/01/47 | 45,150,069 | 47,524,085 | |||||||||
Freddie Mac Gold Pool G08757 |
| |||||||||||
3.50% | 04/01/47 | 58,547,483 | 62,091,043 | |||||||||
Freddie Mac Gold Pool G08758 |
| |||||||||||
4.00% | 04/01/47 | 42,912 | 46,098 | |||||||||
Freddie Mac Gold Pool G08762 |
| |||||||||||
4.00% | 05/01/47 | 44,651,868 | 47,716,037 | |||||||||
Freddie Mac Gold Pool G08779 |
| |||||||||||
3.50% | 09/01/47 | 233,537 | 247,671 | |||||||||
Freddie Mac Gold Pool G08791 |
| |||||||||||
3.00% | 12/01/47 | 260,487,860 | 273,623,547 | |||||||||
Freddie Mac Gold Pool G08795 |
| |||||||||||
3.00% | 01/01/48 | 134,520 | 141,303 | |||||||||
Freddie Mac Gold Pool G08826 |
| |||||||||||
5.00% | 06/01/48 | 33,743,275 | 36,568,834 | |||||||||
Freddie Mac Gold Pool G08833 |
| |||||||||||
5.00% | 07/01/48 | 20,033,520 | 21,711,487 | |||||||||
Freddie Mac Gold Pool G08838 |
| |||||||||||
5.00% | 09/01/48 | 9,466,959 | 10,246,505 | |||||||||
Freddie Mac Gold Pool G08840 |
| |||||||||||
5.00% | 08/01/48 | 3,551,465 | 3,835,578 | |||||||||
Freddie Mac Gold Pool G08843 |
| |||||||||||
4.50% | 10/01/48 | 26,752,300 | 28,849,252 | |||||||||
Freddie Mac Gold Pool G08844 |
| |||||||||||
5.00% | 10/01/48 | 29,571,950 | 32,004,452 | |||||||||
Freddie Mac Gold Pool G08848 |
| |||||||||||
4.50% | 11/01/48 | 5,153,892 | 5,552,744 | |||||||||
Freddie Mac Gold Pool G08849 |
| |||||||||||
5.00% | 11/01/48 | 11,657,771 | 12,593,388 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac Gold Pool G12393 |
| |||||||||||
5.50% | 10/01/21 | $ | 356,388 | $ | 361,378 | |||||||
Freddie Mac Gold Pool G12399 |
| |||||||||||
6.00% | 09/01/21 | 280 | 286 | |||||||||
Freddie Mac Gold Pool G12824 |
| |||||||||||
6.00% | 08/01/22 | 449,556 | 467,376 | |||||||||
Freddie Mac Gold Pool G12909 |
| |||||||||||
6.00% | 11/01/22 | 1,238,033 | 1,290,777 | |||||||||
Freddie Mac Gold Pool G13032 |
| |||||||||||
6.00% | 09/01/22 | 140,540 | 143,933 | |||||||||
Freddie Mac Gold Pool G13058 |
| |||||||||||
4.50% | 10/01/20 | 305 | 306 | |||||||||
Freddie Mac Gold Pool G15897 |
| |||||||||||
2.50% | 09/01/31 | 72,944 | 76,094 | |||||||||
Freddie Mac Gold Pool G16085 |
| |||||||||||
2.50% | 02/01/32 | 4,895,058 | 5,111,605 | |||||||||
Freddie Mac Gold Pool G16502 |
| |||||||||||
3.50% | 05/01/33 | 146,370 | 154,267 | |||||||||
Freddie Mac Gold Pool G16524 |
| |||||||||||
3.50% | 05/01/33 | 46,145,975 | 48,951,966 | |||||||||
Freddie Mac Gold Pool G16584 |
| |||||||||||
3.50% | 08/01/33 | 9,863,339 | 10,412,502 | |||||||||
Freddie Mac Gold Pool G16607 |
| |||||||||||
3.50% | 09/01/33 | 90,669,423 | 96,269,697 | |||||||||
Freddie Mac Gold Pool G16623 |
| |||||||||||
2.50% | 09/01/32 | 45,084,707 | 46,934,012 | |||||||||
Freddie Mac Gold Pool G16755 |
| |||||||||||
3.50% | 02/01/34 | 100,490,617 | 106,383,472 | |||||||||
Freddie Mac Gold Pool G16756 |
| |||||||||||
3.50% | 01/01/34 | 7,900,006 | 8,390,425 | |||||||||
Freddie Mac Gold Pool G18581 |
| |||||||||||
2.50% | 01/01/31 | 48,279 | 50,217 | |||||||||
Freddie Mac Gold Pool G18596 |
| |||||||||||
3.00% | 04/01/31 | 55,325,321 | 58,089,712 | |||||||||
Freddie Mac Gold Pool G18691 |
| |||||||||||
3.00% | 06/01/33 | 26,540,040 | 27,814,083 | |||||||||
Freddie Mac Gold Pool G18692 |
| |||||||||||
3.50% | 06/01/33 | 41,478,628 | 43,703,711 | |||||||||
Freddie Mac Gold Pool G18713 |
| |||||||||||
3.50% | 11/01/33 | 51,283,240 | 54,034,119 | |||||||||
Freddie Mac Gold Pool G60023 |
| |||||||||||
3.50% | 04/01/45 | 18,289,578 | 19,627,620 | |||||||||
Freddie Mac Gold Pool G60080 |
| |||||||||||
3.50% | 06/01/45 | 214,367,408 | 229,724,979 | |||||||||
Freddie Mac Gold Pool G60138 |
| |||||||||||
3.50% | 08/01/45 | 152,131,196 | 163,271,539 | |||||||||
Freddie Mac Gold Pool G60238 |
| |||||||||||
3.50% | 10/01/45 | 66,155,752 | 70,915,913 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 174 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Freddie Mac Gold Pool G67700 |
| |||||||||
3.50% | 08/01/46 | $ | 48,609,575 | $ | 52,198,429 | |||||
Freddie Mac Gold Pool G67703 |
| |||||||||
3.50% | 04/01/47 | 488,785,467 | 523,649,973 | |||||||
Freddie Mac Gold Pool G67706 |
| |||||||||
3.50% | 12/01/47 | 263,734,483 | 282,381,527 | |||||||
Freddie Mac Gold Pool G67707 |
| |||||||||
3.50% | 01/01/48 | 575,119,863 | 619,759,488 | |||||||
Freddie Mac Gold Pool G67708 |
| |||||||||
3.50% | 03/01/48 | 658,747,213 | 702,235,300 | |||||||
Freddie Mac Gold Pool G67709 |
| |||||||||
3.50% | 03/01/48 | 432,295,184 | 464,139,647 | |||||||
Freddie Mac Gold Pool G67710 |
| |||||||||
3.50% | 03/01/48 | 452,074,001 | 480,479,121 | |||||||
Freddie Mac Gold Pool G67711 |
| |||||||||
4.00% | 03/01/48 | 118,072,926 | 128,564,696 | |||||||
Freddie Mac Gold Pool G67713 |
| |||||||||
4.00% | 06/01/48 | 172,763,602 | 187,261,448 | |||||||
Freddie Mac Gold Pool G67714 |
| |||||||||
4.00% | 07/01/48 | 196,424 | 213,879 | |||||||
Freddie Mac Gold Pool G67717 |
| |||||||||
4.00% | 11/01/48 | 167,893,456 | 182,726,676 | |||||||
Freddie Mac Gold Pool G67718 |
| |||||||||
4.00% | 01/01/49 | 263,393,047 | 285,084,716 | |||||||
Freddie Mac Gold Pool H00790 |
| |||||||||
5.50% | 05/01/37 | 15,322 | 16,946 | |||||||
Freddie Mac Gold Pool H05069 |
| |||||||||
5.50% | 05/01/37 | 404,747 | 448,214 | |||||||
Freddie Mac Gold Pool Q05804 |
| |||||||||
4.00% | 01/01/42 | 37,068,191 | 40,885,239 | |||||||
Freddie Mac Gold Pool U99097 |
| |||||||||
3.50% | 07/01/43 | 62,042,932 | 66,359,540 | |||||||
Freddie Mac Gold Pool V61222 |
| |||||||||
2.50% | 06/01/31 | 130,924 | 136,549 | |||||||
Freddie Mac Gold Pool V62078 |
| |||||||||
3.50% | 08/01/33 | 9,707,821 | 10,296,141 | |||||||
Freddie Mac Gold Pool V62129 |
| |||||||||
3.50% | 08/01/33 | 20,414,973 | 21,617,636 | |||||||
Freddie Mac Gold Pool V80356 |
| |||||||||
3.50% | 08/01/43 | 39,044,714 | 42,111,889 | |||||||
Freddie Mac Gold Pool WN1000 |
| |||||||||
3.70% | 07/01/33 | 140,700,000 | 166,471,557 | |||||||
Freddie Mac Pool RE6029 |
| |||||||||
3.00% | 02/01/50 | 26,091,666 | 27,182,274 | |||||||
Freddie Mac Pool SB8020 |
| |||||||||
2.50% | 12/01/34 | 661,149,194 | 686,149,586 | |||||||
Freddie Mac Pool SD7502 |
| |||||||||
3.50% | 07/01/49 | 23,345,966 | 24,793,039 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Freddie Mac Pool SD7503 |
| |||||||||
3.50% | 08/01/49 | $ | 43,903,403 | $ | 46,761,903 | |||||
Freddie Mac Pool SD7511 |
| |||||||||
3.50% | 01/01/50 | 38,754,928 | 41,314,550 | |||||||
Freddie Mac Pool SD8016 |
| |||||||||
3.00% | 10/01/49 | 19,006,214 | 19,934,040 | |||||||
Freddie Mac Pool SD8044 |
| |||||||||
3.00% | 02/01/50 | 88,409,283 | 92,825,806 | |||||||
Freddie Mac Pool ZT0277 |
| |||||||||
3.50% | 10/01/46 | 4,058,366 | 4,325,138 | |||||||
Freddie Mac Pool ZT1403 |
| |||||||||
3.50% | 11/01/33 | 59,223,277 | 62,487,984 | |||||||
Freddie Mac REMICS, Series 1073, |
| |||||||||
Class G |
| |||||||||
7.00% | 05/15/21 | 61 | 63 | |||||||
Freddie Mac REMICS, Series 1107, |
| |||||||||
Class ZC |
| |||||||||
6.50% | 07/15/21 | 634 | 650 | |||||||
Freddie Mac REMICS, Series 1980, |
| |||||||||
Class Z |
| |||||||||
7.00% | 07/15/27 | 69,560 | 79,869 | |||||||
Freddie Mac REMICS, Series 1983, |
| |||||||||
Class Z |
| |||||||||
6.50% | 12/15/23 | 22,291 | 24,173 | |||||||
Freddie Mac REMICS, Series 2098, |
| |||||||||
Class TZ |
| |||||||||
6.00% | 01/15/28 | 277,944 | 309,089 | |||||||
Freddie Mac REMICS, Series 2174, |
| |||||||||
Class PN |
| |||||||||
6.00% | 07/15/29 | 14,871 | 16,796 | |||||||
Freddie Mac REMICS, Series 2313, |
| |||||||||
Class LA |
| |||||||||
6.50% | 05/15/31 | 7,346 | 8,471 | |||||||
Freddie Mac REMICS, Series 2433, |
| |||||||||
Class SA |
| |||||||||
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap) |
| |||||||||
19.10% | 02/15/321 | 8,464 | 12,791 | |||||||
Freddie Mac REMICS, Series 2481, |
| |||||||||
Class AW |
| |||||||||
6.50% | 08/15/32 | 32,336 | 35,752 | |||||||
Freddie Mac REMICS, Series 3019, |
| |||||||||
Class SW (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) |
| |||||||||
6.50% | 08/15/351 | 1,334,272 | 315,647 | |||||||
Freddie Mac REMICS, Series 3063, |
| |||||||||
Class YG |
| |||||||||
5.50% | 11/15/35 | 3,426,068 | 3,971,516 | |||||||
Freddie Mac REMICS, Series 3300, |
| |||||||||
Class SA (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) |
| |||||||||
6.50% | 08/15/351 | 589,911 | 114,771 |
See accompanying Notes to Financial Statements.
175 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Freddie Mac REMICS, Series 3707, |
| |||||||||
Class EI (IO) |
| |||||||||
5.00% | 12/15/38 | $ | 7,382,742 | $ | 329,501 | |||||
Freddie Mac REMICS, Series 3730, |
| |||||||||
Class JG |
| |||||||||
3.00% | 09/15/39 | 8,855 | 9,091 | |||||||
Freddie Mac REMICS, Series 3752, |
| |||||||||
Class XL (IO) |
| |||||||||
4.50% | 11/15/40 | 57,415,869 | 64,201,162 | |||||||
Freddie Mac REMICS, Series 3891, |
| |||||||||
Class HS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap) |
| |||||||||
5.25% | 07/15/411 | 6,380,248 | 749,197 | |||||||
Freddie Mac REMICS, Series 3904, |
| |||||||||
Class JB |
| |||||||||
4.50% | 08/15/41 | 16,773,097 | 18,907,603 | |||||||
Freddie Mac REMICS, Series 3925, |
| |||||||||
Class LB |
| |||||||||
4.50% | 09/15/41 | 9,215,000 | 11,479,652 | |||||||
Freddie Mac REMICS, Series 3928, |
| |||||||||
Class JD |
| |||||||||
4.00% | 09/15/41 | 32,095,702 | 35,658,903 | |||||||
Freddie Mac REMICS, Series 4102, |
| |||||||||
Class TC |
| |||||||||
2.50% | 09/15/41 | 14,435,065 | 14,934,038 | |||||||
Freddie Mac REMICS, Series 4161, |
| |||||||||
Class BA |
| |||||||||
2.50% | 12/15/41 | 22,288,543 | 23,238,875 | |||||||
Freddie Mac REMICS, Series 4818, |
| |||||||||
Class CA |
| |||||||||
3.00% | 04/15/48 | 5,969,082 | 6,198,929 | |||||||
Freddie Mac REMICS, Series 4846, |
| |||||||||
Class PA |
| |||||||||
4.00% | 06/15/47 | 2,173,776 | 2,305,714 | |||||||
Freddie Mac REMICS, Series 4852, |
| |||||||||
Class CA |
| |||||||||
4.00% | 11/15/47 | 65,136,514 | 70,225,099 | |||||||
Freddie Mac REMICS, Series 4860, |
| |||||||||
Class BH |
| |||||||||
3.50% | 10/15/48 | 32,793,832 | 34,205,088 | |||||||
Freddie Mac REMICS, Series 4860, |
| |||||||||
Class PA |
| |||||||||
3.50% | 02/15/49 | 10,917,923 | 11,333,364 | |||||||
Freddie Mac REMICS, Series 4879, |
| |||||||||
Class BC |
| |||||||||
3.00% | 04/15/49 | 5,836,941 | 6,071,074 | |||||||
Freddie Mac REMICS, Series 4896, |
| |||||||||
Class DA |
| |||||||||
3.00% | 01/15/49 | 4,110,035 | 4,271,250 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Freddie Mac REMICS, Series 4937, |
| |||||||||
Class MF |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
1.40% | 12/25/491 | $ | 14,164,904 | $ | 14,019,805 | |||||
Freddie Mac Strips, Series 309, |
| |||||||||
Class PO (PO) |
| |||||||||
0.00% | 08/15/439 | 28,085,075 | 25,760,628 | |||||||
Freddie Mac Strips, Series 319, |
| |||||||||
Class F2 |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
1.20% | 11/15/431 | �� | 5,374,153 | 5,275,710 | ||||||
Ginnie Mae I Pool 782817 |
| |||||||||
4.50% | 11/15/39 | 16,792,337 | 18,654,443 | |||||||
Ginnie Mae I Pool AA5452 |
| |||||||||
3.50% | 07/15/42 | 223,989 | 241,129 | |||||||
Ginnie Mae II Pool 2631 |
| |||||||||
7.00% | 08/20/28 | 1,754 | 1,974 | |||||||
Ginnie Mae II Pool 3388 |
| |||||||||
4.50% | 05/20/33 | 4,356 | 4,687 | |||||||
Ginnie Mae II Pool 3427 |
| |||||||||
4.50% | 08/20/33 | 1,674 | 1,796 | |||||||
Ginnie Mae II Pool 3554 |
| |||||||||
4.50% | 05/20/34 | 1,622 | 1,739 | |||||||
Ginnie Mae II Pool 4058 |
| |||||||||
5.00% | 12/20/37 | 1,132 | 1,232 | |||||||
Ginnie Mae II Pool 4342 |
| |||||||||
5.00% | 01/20/39 | 1,409 | 1,587 | |||||||
Ginnie Mae II Pool 4520 |
| |||||||||
5.00% | 08/20/39 | 27,597 | 31,070 | |||||||
Ginnie Mae II Pool 5140 |
| |||||||||
4.50% | 08/20/41 | 58,879 | 64,979 | |||||||
Ginnie Mae II Pool 5175 |
| |||||||||
4.50% | 09/20/41 | 62,466 | 68,927 | |||||||
Ginnie Mae II Pool 5281 |
| |||||||||
4.50% | 01/20/42 | 17,888 | 19,740 | |||||||
Ginnie Mae II Pool 783591 |
| |||||||||
4.50% | 07/20/41 | 23,678 | 26,135 | |||||||
Ginnie Mae II Pool 80968 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||
3.25% | 07/20/341 | 13,746 | 14,206 | |||||||
Ginnie Mae II Pool 81267 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||
4.00% | 03/20/351 | 22,365 | 22,647 | |||||||
Ginnie Mae II Pool 81432 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||
3.25% | 08/20/351 | 23,092 | 23,965 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 176 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Ginnie Mae II Pool 81497 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||
3.13% | 10/20/351 | $ | 20,472 | $ | 21,271 | |||||
Ginnie Mae II Pool 8631 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||
3.88% | 05/20/251 | 3,769 | 3,889 | |||||||
Ginnie Mae II Pool 8644 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||
3.88% | 06/20/251 | 4,936 | 4,964 | |||||||
Ginnie Mae II Pool MA0627 |
| |||||||||
4.50% | 12/20/42 | 70,676 | 78,026 | |||||||
Ginnie Mae II Pool MA0701 |
| |||||||||
4.50% | 01/20/43 | 88,634 | 97,379 | |||||||
Ginnie Mae II Pool MA1157 |
| |||||||||
3.50% | 07/20/43 | 71,251 | 76,928 | |||||||
Ginnie Mae II Pool MA1997 |
| |||||||||
4.50% | 06/20/44 | 19,428 | 21,318 | |||||||
Ginnie Mae II Pool MA2374 |
| |||||||||
5.00% | 11/20/44 | 487,734 | 532,402 | |||||||
Ginnie Mae II Pool MA2756 |
| |||||||||
4.50% | 04/20/45 | 42,837 | 46,927 | |||||||
Ginnie Mae II Pool MA2828 |
| |||||||||
4.50% | 05/20/45 | 1,842,043 | 2,014,308 | |||||||
Ginnie Mae II Pool MA2894 |
| |||||||||
4.50% | 06/20/45 | 704,945 | 770,705 | |||||||
Ginnie Mae II Pool MA3036 |
| |||||||||
4.50% | 08/20/45 | 75,327 | 82,352 | |||||||
Ginnie Mae II Pool MA3309 |
| |||||||||
3.00% | 12/20/45 | 17,422 | 18,734 | |||||||
Ginnie Mae II Pool MA3456 |
| |||||||||
4.50% | 02/20/46 | 489,867 | 535,541 | |||||||
Ginnie Mae II Pool MA3521 |
| |||||||||
3.50% | 03/20/46 | 67,483,485 | 71,805,401 | |||||||
Ginnie Mae II Pool MA3524 |
| |||||||||
5.00% | 03/20/46 | 21,272 | 23,422 | |||||||
Ginnie Mae II Pool MA3597 |
| |||||||||
3.50% | 04/20/46 | 169,530,908 | 180,388,354 | |||||||
Ginnie Mae II Pool MA3600 |
| |||||||||
5.00% | 04/20/46 | 12,774,322 | 14,131,918 | |||||||
Ginnie Mae II Pool MA3663 |
| |||||||||
3.50% | 05/20/46 | 49,383,779 | 52,546,516 | |||||||
Ginnie Mae II Pool MA3665 |
| |||||||||
4.50% | 05/20/46 | 210,606 | 227,562 | |||||||
Ginnie Mae II Pool MA3666 |
| |||||||||
5.00% | 05/20/46 | 7,425,747 | 8,207,636 | |||||||
Ginnie Mae II Pool MA3738 |
| |||||||||
4.50% | 06/20/46 | 882,690 | 956,238 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Ginnie Mae II Pool MA3739 |
| |||||||||
5.00% | 06/20/46 | $ | 4,166,834 | $ | 4,609,955 | |||||
Ginnie Mae II Pool MA3805 |
| |||||||||
4.50% | 07/20/46 | 7,212,567 | 7,793,255 | |||||||
Ginnie Mae II Pool MA3806 |
| |||||||||
5.00% | 07/20/46 | 322,294 | 355,256 | |||||||
Ginnie Mae II Pool MA3876 |
| |||||||||
4.50% | 08/20/46 | 7,511,005 | 8,136,845 | |||||||
Ginnie Mae II Pool MA3877 |
| |||||||||
5.00% | 08/20/46 | 1,494,453 | 1,635,054 | |||||||
Ginnie Mae II Pool MA3937 |
| |||||||||
3.50% | 09/20/46 | 39,408,926 | 41,834,311 | |||||||
Ginnie Mae II Pool MA3939 |
| |||||||||
4.50% | 09/20/46 | 3,948,566 | 4,329,539 | |||||||
Ginnie Mae II Pool MA4003 |
| |||||||||
3.00% | 10/20/46 | 21,407,468 | 22,748,949 | |||||||
Ginnie Mae II Pool MA4006 |
| |||||||||
4.50% | 10/20/46 | 4,414,681 | 4,782,526 | |||||||
Ginnie Mae II Pool MA4007 |
| |||||||||
5.00% | 10/20/46 | 8,718,357 | 9,650,646 | |||||||
Ginnie Mae II Pool MA4069 |
| |||||||||
3.50% | 11/20/46 | 122,283,805 | 129,809,646 | |||||||
Ginnie Mae II Pool MA4071 |
| |||||||||
4.50% | 11/20/46 | 12,977,901 | 14,217,813 | |||||||
Ginnie Mae II Pool MA4072 |
| |||||||||
5.00% | 11/20/46 | 2,300,512 | 2,549,226 | |||||||
Ginnie Mae II Pool MA4126 |
| |||||||||
3.00% | 12/20/46 | 356,811,528 | 378,724,805 | |||||||
Ginnie Mae II Pool MA4127 |
| |||||||||
3.50% | 12/20/46 | 128,557,724 | 136,308,990 | |||||||
Ginnie Mae II Pool MA4129 |
| |||||||||
4.50% | 12/20/46 | 38,932,435 | 42,583,041 | |||||||
Ginnie Mae II Pool MA4198 |
| |||||||||
4.50% | 01/20/47 | 342,637 | 369,687 | |||||||
Ginnie Mae II Pool MA4199 |
| |||||||||
5.00% | 01/20/47 | 7,186,079 | 7,954,685 | |||||||
Ginnie Mae II Pool MA4264 |
| |||||||||
4.50% | 02/20/47 | 107,359,316 | 116,644,750 | |||||||
Ginnie Mae II Pool MA4265 |
| |||||||||
5.00% | 02/20/47 | 1,932,307 | 2,116,242 | |||||||
Ginnie Mae II Pool MA4324 |
| |||||||||
5.00% | 03/20/47 | 10,737,673 | 11,647,225 | |||||||
Ginnie Mae II Pool MA4382 |
| |||||||||
3.50% | 04/20/47 | 90,671,710 | 96,138,675 | |||||||
Ginnie Mae II Pool MA4384 |
| |||||||||
4.50% | 04/20/47 | 5,398,916 | 5,801,530 | |||||||
Ginnie Mae II Pool MA4385 |
| |||||||||
5.00% | 04/20/47 | 17,824,701 | 19,256,587 |
See accompanying Notes to Financial Statements.
177 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Ginnie Mae II Pool MA4453 |
| |||||||||
4.50% | 05/20/47 | $ | 282,191,786 | $ | 305,765,199 | |||||
Ginnie Mae II Pool MA4454 |
| |||||||||
5.00% | 05/20/47 | 41,948,103 | 45,291,642 | |||||||
Ginnie Mae II Pool MA4510 |
| |||||||||
3.50% | 06/20/47 | 81,047 | 85,908 | |||||||
Ginnie Mae II Pool MA4511 |
| |||||||||
4.00% | 06/20/47 | 18,603,540 | 19,897,106 | |||||||
Ginnie Mae II Pool MA4512 |
| |||||||||
4.50% | 06/20/47 | 997,037 | 1,079,594 | |||||||
Ginnie Mae II Pool MA4513 |
| |||||||||
5.00% | 06/20/47 | 787,879 | 850,678 | |||||||
Ginnie Mae II Pool MA4586 |
| |||||||||
3.50% | 07/20/47 | 154,609,182 | 163,882,880 | |||||||
Ginnie Mae II Pool MA4589 |
| |||||||||
5.00% | 07/20/47 | 39,230,391 | 42,320,531 | |||||||
Ginnie Mae II Pool MA4652 |
| |||||||||
3.50% | 08/20/47 | 11,661,867 | 12,361,363 | |||||||
Ginnie Mae II Pool MA4655 |
| |||||||||
5.00% | 08/20/47 | 48,426,354 | 52,609,040 | |||||||
Ginnie Mae II Pool MA4719 |
| |||||||||
3.50% | 09/20/47 | 152,586,917 | 161,739,316 | |||||||
Ginnie Mae II Pool MA4720 |
| |||||||||
4.00% | 09/20/47 | 369,876 | 394,625 | |||||||
Ginnie Mae II Pool MA4722 |
| |||||||||
5.00% | 09/20/47 | 879,178 | 948,799 | |||||||
Ginnie Mae II Pool MA4781 |
| |||||||||
5.00% | 10/20/47 | 11,670,903 | 12,590,209 | |||||||
Ginnie Mae II Pool MA4836 |
| |||||||||
3.00% | 11/20/47 | 328,716,591 | 349,265,050 | |||||||
Ginnie Mae II Pool MA4837 |
| |||||||||
3.50% | 11/20/47 | 365,630,548 | 387,447,375 | |||||||
Ginnie Mae II Pool MA4838 |
| |||||||||
4.00% | 11/20/47 | 122,873,255 | 131,094,802 | |||||||
Ginnie Mae II Pool MA4840 |
| |||||||||
5.00% | 11/20/47 | 3,339,781 | 3,627,681 | |||||||
Ginnie Mae II Pool MA4900 |
| |||||||||
3.50% | 12/20/47 | 23,635,690 | 25,046,010 | |||||||
Ginnie Mae II Pool MA4901 |
| |||||||||
4.00% | 12/20/47 | 82,820,284 | 88,361,855 | |||||||
Ginnie Mae II Pool MA4961 |
| |||||||||
3.00% | 01/20/48 | 1,099,557 | 1,168,292 | |||||||
Ginnie Mae II Pool MA4963 |
| |||||||||
4.00% | 01/20/48 | 144,643,228 | 154,321,420 | |||||||
Ginnie Mae II Pool MA5078 |
| |||||||||
4.00% | 03/20/48 | 88,912 | 94,861 | |||||||
Ginnie Mae II Pool MA5137 |
| |||||||||
4.00% | 04/20/48 | 57,979,331 | 62,444,747 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Ginnie Mae II Pool MA5399 |
| |||||||||
4.50% | 08/20/48 | $ | 12,267,758 | $ | 13,099,219 | |||||
Ginnie Mae II Pool MA5466 |
| |||||||||
4.00% | 09/20/48 | 21,264,478 | 22,688,256 | |||||||
Ginnie Mae II Pool MA5467 |
| |||||||||
4.50% | 09/20/48 | 47,586 | 50,796 | |||||||
Ginnie Mae II Pool MA5528 |
| |||||||||
4.00% | 10/20/48 | 99,669,162 | 106,342,585 | |||||||
Ginnie Mae II Pool MA5530 |
| |||||||||
5.00% | 10/20/48 | 20,552,880 | 21,849,780 | |||||||
Ginnie Mae II Pool MA5651 |
| |||||||||
4.00% | 12/20/48 | 35,068 | 37,491 | |||||||
Ginnie Mae II Pool MA6030 |
| |||||||||
3.50% | 07/20/49 | 164,674,020 | 170,987,458 | |||||||
Ginnie Mae II Pool MA6080 |
| |||||||||
3.00% | 08/20/49 | 24,362 | 25,367 | |||||||
Ginnie Mae II Pool MA6081 |
| |||||||||
3.50% | 08/20/49 | 48,891,842 | 50,766,307 | |||||||
Ginnie Mae II Pool MA6209 |
| |||||||||
3.00% | 10/20/49 | 32,670,386 | 34,082,991 | |||||||
Ginnie Mae II Pool MA6210 |
| |||||||||
3.50% | 10/20/49 | 19,926,374 | 20,719,947 | |||||||
Ginnie Mae Pool (TBA) |
| |||||||||
3.00% | 05/20/50 | 636,700,000 | 672,315,343 | |||||||
Ginnie Mae, Series 2003-86, Class ZK |
| |||||||||
5.00% | 10/20/33 | 6,938,974 | 7,729,966 | |||||||
Ginnie Mae, Series 2007-35, Class PY (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap) |
| |||||||||
6.05% | 06/16/371 | 13,035,961 | 2,659,367 | |||||||
Ginnie Mae, Series 2009-106, Class SD (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap) |
| |||||||||
5.48% | 03/20/361 | 10,845,181 | 1,255,296 | |||||||
Ginnie Mae, Series 2009-106, Class XI (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) |
| |||||||||
6.03% | 05/20/371 | 27,372,249 | 4,058,743 | |||||||
Ginnie Mae, Series 2009-124, Class SC (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap) |
| |||||||||
5.71% | 12/20/391 | 4,558,500 | 1,067,923 | |||||||
Ginnie Mae, Series 2009-17, Class P |
| |||||||||
4.00% | 08/16/38 | 6,623 | 6,858 | |||||||
Ginnie Mae, Series 2009-66, Class XS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) |
| |||||||||
6.10% | 07/16/391 | 46,110 | 7,876 | |||||||
Ginnie Mae, Series 2009-8, Class PS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap) |
| |||||||||
5.60% | 08/16/381 | 72,071 | 7,203 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 178 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
Ginnie Mae, Series 2010-4, Class SL (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) |
| |||||||||
5.70% | 01/16/401 | $ | 58,773 | $ | 13,045 | |||||
Ginnie Mae, Series 2010-4, Class SM (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap) |
| |||||||||
5.10% | 01/16/401 | 10,685,992 | 2,105,683 | |||||||
Ginnie Mae, Series 2010-6, Class BS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap) |
| |||||||||
5.80% | 09/16/391 | 2,518,926 | 230,379 | |||||||
Ginnie Mae, Series 2011-146, Class EI (IO) |
| |||||||||
5.00% | 11/16/41 | 128,527 | 27,217 | |||||||
Ginnie Mae, Series 2013-113, Class LY |
| |||||||||
3.00% | 05/20/43 | 51,184,000 | 55,833,846 | |||||||
Ginnie Mae, Series 2014-108, Class PA |
| |||||||||
2.63% | 12/20/39 | 15,817,214 | 16,447,775 | |||||||
Ginnie Mae, Series 2018-124, Class NW |
| |||||||||
3.50% | 09/20/48 | 1,844,791 | 1,987,419 | |||||||
Ginnie Mae, Series 2019-1, Class NP |
| |||||||||
3.50% | 01/20/49 | 33,681,762 | 35,827,917 | |||||||
Ginnie Mae, Series 2019-119, Class JE |
| |||||||||
3.00% | 09/20/49 | 55,096,547 | 57,294,963 | |||||||
Ginnie Mae, Series 2019-15, Class GT |
| |||||||||
3.50% | 02/20/49 | 33,532,532 | 35,433,949 | |||||||
Ginnie Mae, Series 2019-44, Class CA |
| |||||||||
3.50% | 12/20/48 | 18,847,557 | 19,820,615 | |||||||
Ginnie Mae, Series 2019-71, Class PT |
| |||||||||
3.00% | 06/20/49 | 18,070,444 | 19,025,640 | |||||||
Ginnie Mae, Series 2019-86, Class C |
| |||||||||
2.50% | 03/20/49 | 38,761,947 | 39,984,321 | |||||||
Ginnie Mae, Series 2019-90, Class HE |
| |||||||||
3.00% | 07/20/49 | 50,433,616 | 52,613,569 | |||||||
NCUA Guaranteed Notes Trust, |
| |||||||||
Series 2010-R1, Class 1A |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
1.43% | 10/07/201 | 5,760,731 | 5,716,496 | |||||||
NCUA Guaranteed Notes Trust, |
| |||||||||
Series 2010-R3, Class 1A |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
1.54% | 12/08/201 | 6,216,179 | 6,203,976 | |||||||
NCUA Guaranteed Notes Trust, |
| |||||||||
Series 2010-R3, Class 2A |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
1.54% | 12/08/201 | 16,822,458 | 16,825,344 | |||||||
UMBS (TBA) |
| |||||||||
2.50% | 05/01/35 | 7,686,000,000 | 7,969,573,433 | |||||||
2.50% | 05/01/50 | 2,277,850,000 | 2,355,439,038 | |||||||
3.00% | 05/01/50 | 4,854,300,000 | 5,086,585,779 | |||||||
3.50% | 05/01/35 | 42,875,000 | 45,080,718 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed |
| |||||||||
3.50% | 05/01/50 | $ | 1,099,875,000 | $ | 1,161,957,829 | |||||
5.00% | 05/01/50 | 200,175,000 | 215,772,490 | |||||||
|
| |||||||||
40,028,668,224 | ||||||||||
|
| |||||||||
Total Mortgage-Backed |
| |||||||||
(Cost $45,447,990,491) |
| 46,173,479,486 | ||||||||
|
| |||||||||
MUNICIPAL BONDS — 1.22%* |
| |||||||||
California — 0.57% |
| |||||||||
Los Angeles Department of Water & Power |
| |||||||||
Power System Revenue, Build America |
| |||||||||
Taxable Bonds, Water Utility Improvements, |
| |||||||||
Series SY |
| |||||||||
6.01% | 07/01/39 | 350,000 | 462,521 | |||||||
Los Angeles Department of Water & Power |
| |||||||||
Power System Revenue, Taxable Bonds, |
| |||||||||
Electric Light & Power Improvements, |
| |||||||||
Series C |
| |||||||||
5.52% | 07/01/27 | 12,625,000 | 15,598,566 | |||||||
Los Angeles Unified School District, Build |
| |||||||||
America Bonds, School Improvements, |
| |||||||||
Series RY |
| |||||||||
6.76% | 07/01/34 | 12,165,000 | 16,825,047 | |||||||
Los Angeles Unified School District, Build |
| |||||||||
America Taxable Bonds, School |
| |||||||||
Improvements, Series KR |
| |||||||||
5.75% | 07/01/34 | 10,755,000 | 13,836,845 | |||||||
Metropolitan Water District of Southern |
| |||||||||
California, Build America Bonds, Water Utility |
| |||||||||
Improvements |
| |||||||||
6.95% | 07/01/40 | 435,000 | 440,216 | |||||||
Regents of the University of California |
| |||||||||
Medical Center Pooled Revenue, Taxable |
| |||||||||
Bonds, Health, Hospital and Nursing Home |
| |||||||||
Improvements, Series N |
| |||||||||
3.01% | 05/15/50 | 197,625,000 | 180,447,433 | |||||||
3.26% | 05/15/60 | 40,020,000 | 36,443,612 | |||||||
San Francisco City & County Airport |
| |||||||||
Comm-San Francisco International Airport, |
| |||||||||
Airport and Marina Improvements, Series A |
| |||||||||
5.00% | 05/01/49 | 70,765,000 | 82,412,924 | |||||||
State of California, Build America Bonds, |
| |||||||||
School Improvements, General Obligation |
| |||||||||
7.95% | 03/01/36 | 77,500,000 | 77,808,450 | |||||||
State of California, Build America Taxable |
| |||||||||
Bonds, Various Purpose, Water Utility |
| |||||||||
Improvements |
| |||||||||
7.50% | 04/01/34 | 3,885,000 | 6,139,038 | |||||||
University of California, Taxable, College & |
| |||||||||
University, Revenue Bonds, University & |
| |||||||||
College Improvements, Series AP |
| |||||||||
3.93% | 05/15/45 | 30,040,000 | 32,771,838 | |||||||
|
| |||||||||
463,186,490 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
179 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MUNICIPAL BONDS (continued) |
| |||||||||
Florida — 0.02% |
| |||||||||
County of Miami-Dade Aviation Revenue |
| |||||||||
Bonds, Airport and Marina Improvements, |
| |||||||||
Series A |
| |||||||||
5.00% | 10/01/49 | $ | 11,900,000 | $ | 13,504,120 | |||||
|
| |||||||||
Massachusetts — 0.11% |
| |||||||||
Commonwealth of Massachusetts, Public Improvements, Series C |
| |||||||||
3.00% | 03/01/49 | 26,340,000 | 27,043,805 | |||||||
Commonwealth of Massachusetts, Public Improvements, Series C |
| |||||||||
3.00% | 03/01/48 | 59,745,000 | 61,445,940 | |||||||
|
| |||||||||
88,489,745 | ||||||||||
|
| |||||||||
Missouri — 0.01% |
| |||||||||
Health & Educational Facilities Authority of the State of Missouri, Taxable Revenue Bonds, Washington University, University and College Improvements |
| |||||||||
3.65% | 08/15/57 | 8,490,000 | 9,960,893 | |||||||
|
| |||||||||
New Jersey — 0.00% |
| |||||||||
Jersey City Municipal Utilities Authority, Taxable Bonds, Water Utility Improvements, Series B |
| |||||||||
5.47% | 05/15/27 | 400,000 | 456,080 | |||||||
New Jersey State Turnpike Authority, Build America Taxable Bonds, Highway Improvements, Series A |
| |||||||||
7.10% | 01/01/41 | 285,000 | 396,697 | |||||||
New Jersey Turnpike Authority, Taxable Bonds, Highway Revenue, Series F |
| |||||||||
3.73% | 01/01/36 | 300,000 | 331,881 | |||||||
|
| |||||||||
1,184,658 | ||||||||||
|
| |||||||||
New York — 0.50% |
| |||||||||
City of New York, Build America Bonds, Public Improvements |
| |||||||||
4.77% | 10/01/23 | 4,420,000 | 4,903,150 | |||||||
5.21% | 10/01/31 | 6,420,000 | 7,532,008 | |||||||
5.52% | 10/01/37 | 6,075,000 | 7,329,548 | |||||||
5.82% | 10/01/31 | 220,000 | 221,133 | |||||||
City of New York, Build America Taxable Bonds, Public Improvements, Series F1 |
| |||||||||
6.65% | 12/01/31 | 43,210,000 | 43,760,927 | |||||||
City of New York, General Obligation Bonds, Public Improvements, Series D-1 |
| |||||||||
4.00% | 03/01/50 | 7,000,000 | 7,831,600 | |||||||
New York City Municipal Water Finance Authority, Build America Bonds, Water Utility Improvements, Series SE |
| |||||||||
6.49% | 06/15/42 | 3,555,000 | 3,582,622 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MUNICIPAL BONDS (continued) |
| |||||||||
New York (continued) |
| |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements, Subseries C5 |
| |||||||||
3.90% | 05/01/31 | $ | 15,000,000 | $ | 16,875,450 | |||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements, Subseries FI |
| |||||||||
4.00% | 08/01/33 | 6,450,000 | 7,263,925 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements, Subseries SU |
| |||||||||
3.88% | 08/01/31 | 3,135,000 | 3,416,492 | |||||||
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds, Public Improvements |
| |||||||||
5.51% | 08/01/37 | 25,000,000 | 32,724,250 | |||||||
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, School Improvements, Series G-3 |
| |||||||||
5.27% | 05/01/27 | 13,135,000 | 15,892,299 | |||||||
New York City Water & Sewer System Revenue Bonds, Water Utility Improvements |
| |||||||||
3.00% | 06/15/50 | 25,595,000 | 26,013,478 | |||||||
New York City Water & Sewer System, Revenue Bonds, Series EE |
| |||||||||
3.50% | 06/15/42 | 80,000,000 | 90,652,802 | |||||||
New York State Dormitory Authority, Build America Bonds, University & College Improvements |
| |||||||||
5.29% | 03/15/33 | 44,990,000 | 52,714,333 | |||||||
New York State Dormitory Authority, Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series A |
| |||||||||
4.00% | 07/01/50 | 37,575,000 | 40,802,043 | |||||||
4.00% | 07/01/53 | 4,855,000 | 5,269,083 | |||||||
New York State Dormitory Authority, Revenue Bonds, School Improvements, Series A |
| |||||||||
4.00% | 03/15/48 | 9,870,000 | 10,999,325 | |||||||
New York State Dormitory Authority, Unrefunded Build America Bonds, University & College Improvements |
| |||||||||
5.43% | 03/15/39 | 21,400,000 | 25,112,258 | |||||||
|
| |||||||||
402,896,726 | ||||||||||
|
| |||||||||
Texas — 0.01% |
| |||||||||
Texas A&M University, Taxable Bond, University & College Improvements, Series B |
| |||||||||
2.69% | 05/15/25 | 350,000 | 365,224 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 180 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Texas (continued) |
| |||||||||||
Texas Transportation Commission State |
| |||||||||||
Highway Fund, Build America Taxable |
| |||||||||||
Bonds, Highway Improvements, Series B |
| |||||||||||
5.18% | 04/01/30 | $ | 3,075,000 | $ | 3,706,913 | |||||||
|
| |||||||||||
4,072,137 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $985,291,412) |
| 983,294,769 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 12.62% |
| |||||||||||
U.S. Treasury Bonds — 4.77% |
| |||||||||||
U.S. Treasury Bonds |
| |||||||||||
2.38% | 11/15/49 | 291,917,000 | 363,926,995 | |||||||||
U.S. Treasury Bonds - Treasury Inflation |
| |||||||||||
Indexed Bonds |
| |||||||||||
0.25% | 02/15/5010 | 1,132,657,235 | 1,166,165,699 | |||||||||
U.S. Treasury Bonds (WI) |
| |||||||||||
2.00% | 02/15/50 | 2,000,585,000 | 2,318,490,460 | |||||||||
|
| |||||||||||
3,848,583,154 | ||||||||||||
|
| |||||||||||
U.S. Treasury Notes — 7.85% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.50% | 03/31/25 | 3,357,453,000 | 3,378,043,420 | |||||||||
1.13% | 02/28/22 | 11,370,000 | 11,567,643 | |||||||||
1.13% | 02/28/25 | 83,714,000 | 86,833,657 | |||||||||
1.50% | 02/15/30 | 12,145,000 | 13,079,358 | |||||||||
1.75% | 12/31/24 | 953,425,000 | 1,015,323,143 | |||||||||
U.S. Treasury Notes - Treasury Inflation |
| |||||||||||
Indexed Notes |
| |||||||||||
0.13% | 07/15/2410 | 54,369,803 | 54,491,578 | |||||||||
0.13% | 10/15/2410 | 688,182,687 | 696,139,834 | |||||||||
0.13% | 07/15/2610 | 80,571,210 | 81,346,893 | |||||||||
0.25% | 07/15/2910 | 950,934,164 | 988,001,692 | |||||||||
|
| |||||||||||
6,324,827,218 | ||||||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $9,950,143,061) |
| 10,173,410,372 | ||||||||||
|
| |||||||||||
Total Bonds – 106.00% |
| |||||||||||
(Cost $85,371,985,878) |
| 85,471,523,171 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.00% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings LLC4,5,6,11 |
| 1,180,703 | 64,939 | |||||||||
Total Common Stock |
| |||||||||||
(Cost $65,187,440) |
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 14.13% |
| |||||||||||
Commercial Paper — 0.41% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.80%12 | 08/13/20 | $ | 50,000,000 | $ | 48,543,875 | |||||||
2.83%12 | 08/12/20 | 50,000,000 | 48,555,033 | |||||||||
2.88%12 | 01/08/21 | 38,155,000 | 35,788,468 | |||||||||
3.20%12 | 10/08/20 | 191,145,000 | 188,254,716 | |||||||||
3.20%12 | 10/14/20 | 7,200,000 | 7,088,438 | |||||||||
|
| |||||||||||
328,230,530 | ||||||||||||
|
| |||||||||||
Foreign Government Obligations — 2.20% |
| |||||||||||
Japan Treasury Discount Bill, Series 862 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%12 | 04/10/20 | 3 | 25,000,000,000 | 231,589,824 | ||||||||
Japan Treasury Discount Bill, Series 892 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%12 | 06/08/20 | 3 | 141,755,000,000 | 1,313,622,359 | ||||||||
Japan Treasury Discount Bill, Series 894 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%12 | 06/15/20 | 3 | 25,000,000,000 | 231,681,974 | ||||||||
|
| |||||||||||
1,776,894,157 | ||||||||||||
|
| |||||||||||
Money Market Funds — 8.76% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.29%13 | 2,226,896,464 | 2,226,896,464 | ||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%13,14 | 1,572,564,093 | 1,572,564,093 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%13 | 1,311,676,000 | 1,311,676,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%13 | 1,948,817,000 | 1,948,817,000 | ||||||||||
|
| |||||||||||
7,059,953,557 | ||||||||||||
|
| |||||||||||
U.S. Agency Discount Notes — 1.49% |
| |||||||||||
Federal Home Loan Bank |
| |||||||||||
1.51%12 | 07/10/20 | 300,000,000 | 299,878,470 | |||||||||
1.56%12 | 04/27/20 | 300,000,000 | 299,985,000 | |||||||||
1.56%12 | 05/04/20 | 300,000,000 | 299,983,500 | |||||||||
1.57%12 | 05/01/20 | 300,000,000 | 299,985,000 | |||||||||
|
| |||||||||||
1,199,831,970 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 1.27% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.00%12 | 10/01/20 | 45,730,000 | 45,706,881 | |||||||||
0.26%12,15 | 09/10/20 | 180,935,000 | 180,850,322 | |||||||||
0.27%12 | 07/09/20 | 570,000 | 569,855 |
See accompanying Notes to Financial Statements.
181 / Annual Report March 2020 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
U.S. Treasury Bills (continued) |
| |||||||||||
1.53%12 | 07/16/20 | $ | 500,000,000 | $ | 499,898,785 | |||||||
1.53%12 | 07/23/20 | 300,000,000 | 299,932,905 | |||||||||
|
| |||||||||||
1,026,958,748 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $11,410,805,022) |
| 11,391,868,962 | ||||||||||
|
| |||||||||||
Total Investments Before Written Options – 120.13% |
| |||||||||||
(Cost $96,847,978,340) |
| 96,863,457,072 | ||||||||||
|
| |||||||||||
Written Options - (0.01)% |
| |||||||||||
(Cost $(19,842,853)) |
| (9,464,531 | ) | |||||||||
|
| |||||||||||
Liabilities in Excess of Other Assets – (20.12)% |
| (16,226,098,067 | ) | |||||||||
|
| |||||||||||
Net Assets – 100.00% |
| $ | 80,627,894,474 | |||||||||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $26,090,561, which is 0.03% of total net assets. |
6 | Non-income producing security. |
7 | Security is currently in default with regard to scheduled interest or principal payments. |
8 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
9 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2020. |
10 | Inflation protected security. Principal amount reflects original security face amount. |
11 | Affiliated investment. |
12 | Represents annualized yield at date of purchase. |
13 | Represents the current yield as of March 31, 2020. |
14 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged for swaps is $182. |
15 | Securities, or a portion thereof, pledged as collateral for futures and options. The total market value of collateral pledged for futures is $125,532,094. The total market value of collateral pledged for options is $55,246,810. |
† | Fair valued security. The aggregate value of fair valued securities is $3,430,498, which is 0.00% of total net assets. Fair valued securities are not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale. See Notes to Financial Statements. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(CLO): Collateralized Loan Obligation
(EMTN): Euro medium-term note
(GBP): British Pound
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term Note
(PO): Principal only
(SOFR): Secured Overnight Financing Rate
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT |
| |||||||||||
GBP 1,750,000 | USD 2,108,475 | Goldman Sachs International | 04/24/20 | $ | 62,612 | |||||||
GBP 1,250,000 | USD 1,516,536 | Citigroup Global Markets, Inc. | 04/24/20 | 34,240 | ||||||||
USD 13,457,090 | GBP 10,350,000 | Goldman Sachs International | 04/24/20 | 616,664 | ||||||||
USD 1,338,403,520 | JPY 141,755,000,000 | Citigroup Global Markets, Inc. | 06/08/20 | 21,440,194 | ||||||||
USD 234,137,205 | JPY 25,000,000,000 | Citigroup Global Markets, Inc. | 06/15/20 | 1,814,738 | ||||||||
|
| |||||||||||
23,968,448 | ||||||||||||
|
| |||||||||||
USD 231,688,500 | JPY 25,000,000,000 | Barclay’s Capital | 04/10/20 | (12,883 | ) | |||||||
|
| |||||||||||
NET UNREALIZED APPRECIATION | $ | 23,955,565 | ||||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 182 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| ||||||||||||||||||||||||
U.S. Treasury Two Year Note | 17,354 | 06/30/20 | $ | 3,824,523,319 | $ | 69,900,922 | $ | 69,900,922 | |||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 10,759 | 06/19/20 | 1,678,740,219 | 40,785,542 | 40,785,542 | ||||||||||||||||||||
U.S. Treasury Five Year Note | 5,883 | 06/30/20 | 737,489,203 | 520,715 | 520,715 | ||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
6,240,752,741 | 111,207,179 | 111,207,179 | |||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| ||||||||||||||||||||||||
U.S. Treasury Ultra Bond | 63 | 06/19/20 | (13,978,125 | ) | 259,617 | 259,617 | |||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 6,226,774,616 | $ | 111,466,796 | $ | 111,466,796 | |||||||||||||||||||
|
|
|
|
|
|
Description | Number of contracts | Exercise Price | Expiration Date | Notional Amount | Value | |||||||||||||
WRITTEN CALL OPTIONS EXCHANGE TRADED — | ||||||||||||||||||
IMM Eurodollar 1 Year MIDCV Future Options | 9,930 | $140.50 | 05/22/20 | $ | (418,521,013 | ) | $ | (6,206,250 | ) | |||||||||
|
|
|
| |||||||||||||||
WRITTEN PUT OPTIONS EXCHANGE TRADED — | ||||||||||||||||||
IMM Eurodollar 1 Year MIDCV Future Options | 9,930 | $134.50 | 05/22/20 | $ | 203,958,414 | $ | (3,258,281 | ) | ||||||||||
|
|
|
|
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||||||||||||||||
Descriptions | Put/Call | Maturity | Rate | Frequency | Rate | Frequency | Notional Amount (000’s) | Value | Premiums Paid/ (Received) | Unrealized (Depreciation) | ||||||||||||||||||||||||||||||||||||||||
SWAPS: INTEREST RATE |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/23 | 1.57% | Semi-annually | | 3-month USD LIBOR | Quarterly | $ | 2,368,415 | $ | 57,861,089 | $ | — | $ | 57,861,089 | |||||||||||||||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/23 | 1.58% | Semi-annually | | 3-month USD LIBOR | Quarterly | 3,990,840 | 98,032,191 | 753,720 | 97,278,471 | |||||||||||||||||||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/26 | | 3 month USD LIBOR | Quarterly | 1.67% | Semi-annually | 963,415 | (53,810,485 | ) | — | (53,810,485 | ) | |||||||||||||||||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/26 | | 3 month USD LIBOR | Quarterly | 1.68% | Semi-annually | 1,623,390 | (91,310,330 | ) | (522,058 | ) | (90,788,272 | ) | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||||
TOTAL SWAPS CONTRACTS |
| $ | 8,946,060 | $ | 10,772,465 | $ | 231,662 | $ | 10,540,803 | |||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
1 | Centrally cleared. |
See accompanying Notes to Financial Statements.
183 / Annual Report March 2020 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 66.67% |
| |||||||||||
ASSET-BACKED SECURITIES — 7.02%** |
| |||||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||
Series 2014-A1, Class A1 |
| |||||||||||
2.88% | 01/23/23 | $ | 500,000 | $ | 505,183 | |||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||
Series 2018-A1, Class A1 |
| |||||||||||
2.49% | 01/20/23 | 500,000 | 504,478 | |||||||||
Higher Education Funding I, Series 2014-1, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
2.73% | 05/25/34 | 1,2 | 420,636 | 412,000 | ||||||||
Honda Auto Receivables Owner Trust, |
| |||||||||||
Series 2017-4, Class A4 |
| |||||||||||
2.21% | 03/21/24 | 300,000 | 301,515 | |||||||||
Honda Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-3, Class A3 |
| |||||||||||
2.95% | 08/22/22 | 542,830 | 548,565 | |||||||||
Honda Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-4, Class A3 |
| |||||||||||
3.16% | 01/17/23 | 400,000 | 407,090 | |||||||||
Nelnet Student Loan Trust, Series 2012-5A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 10/27/36 | 1,2 | 368,119 | 337,480 | ||||||||
PFS Financing Corp., |
| |||||||||||
Series 2017-D, Class A |
| |||||||||||
2.40% | 10/17/22 | 2 | 300,000 | 300,496 | ||||||||
PFS Financing Corp., |
| |||||||||||
Series 2018-B, Class A |
| |||||||||||
2.89% | 02/15/23 | 2 | 300,000 | 298,369 | ||||||||
PFS Financing Corp., |
| |||||||||||
Series 2018-C, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
1.18% | 04/15/22 | 1,2 | 300,000 | 300,709 | ||||||||
SLM Student Loan Trust, Series 2003-10A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
1.21% | 12/15/27 | 1,2 | 232,690 | 230,773 | ||||||||
SLM Student Loan Trust, Series 2003-14, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.30%) |
| |||||||||||
2.09% | 07/25/25 | 1 | 258,351 | 250,358 | ||||||||
SLM Student Loan Trust, Series 2005-8, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
2.34% | 01/25/28 | 1 | 212,235 | 211,387 | ||||||||
SLM Student Loan Trust, Series 2007-6, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
2.17% | 10/25/24 | 1 | 192,478 | 190,243 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2007-8, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
2.26% | 01/26/26 | 1 | $ | 171,851 | $ | 170,054 | ||||||
SLM Student Loan Trust, Series 2011-1, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||||
1.47% | 03/25/26 | 1 | 37,478 | 37,455 | ||||||||
SLM Student Loan Trust, Series 2013-4, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 06/25/43 | 1 | 132,240 | 127,751 | ||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-A, Class A3 |
| |||||||||||
2.35% | 05/16/22 | 522,133 | 523,499 | |||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-C, Class A3 |
| |||||||||||
3.02% | 12/15/22 | 350,000 | 355,212 | |||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-D, Class A3 |
| |||||||||||
3.18% | 03/15/23 | 500,000 | 509,603 | |||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2019-A, Class A3 |
| |||||||||||
2.91% | 07/17/23 | 300,000 | 305,827 | |||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2020-A, Class A2 |
| |||||||||||
1.67% | 11/15/22 | 520,000 | 518,501 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost $7,378,550) |
| 7,346,548 | ||||||||||
|
| |||||||||||
CORPORATES — 21.44%* |
| |||||||||||
Banking — 4.45% |
| |||||||||||
Bank of America Corp. (GMTN) |
| |||||||||||
2.37% | 07/21/21 | 3 | 1,750,000 | 1,748,302 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
(LIBOR USD 3-Month plus 0.68%) |
| |||||||||||
2.26% | 06/01/21 | 1 | 400,000 | 397,648 | ||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
2.83% | 01/15/23 | 1 | 200,000 | 190,478 | ||||||||
JPMorgan Chase Bank N.A. (BKNT) |
| |||||||||||
3.09% | 04/26/21 | 3 | 250,000 | 249,903 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 3,4 | 145,000 | 143,545 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.13% | 01/08/21 | 4 | 500,000 | 498,724 | ||||||||
3.57% | 01/10/23 | 4 | 150,000 | 149,387 | ||||||||
U.S. Bank N.A. (BKNT) |
| |||||||||||
3.05% | 07/24/20 | 550,000 | 550,928 | |||||||||
Wells Fargo & Co. (GMTN) |
| |||||||||||
2.60% | 07/22/20 | 250,000 | 250,091 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 184 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
Wells Fargo Bank N.A. (BKNT) |
| |||||||||||
3.33% | 07/23/21 | 3 | $ | 480,000 | $ | 480,891 | ||||||
|
| |||||||||||
4,659,897 | ||||||||||||
|
| |||||||||||
Communications — 0.52% |
| |||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum |
| |||||||||||
Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 2 | 390,000 | 389,513 | ||||||||
4.74% | 03/20/25 | 2 | 150,000 | 154,312 | ||||||||
|
| |||||||||||
543,825 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.49% |
| |||||||||||
BAT Capital Corp. |
| |||||||||||
2.76% | 08/15/22 | 400,000 | 393,611 | |||||||||
Constellation Brands, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.70%) |
| |||||||||||
2.39% | 11/15/21 | 1 | 125,000 | 117,861 | ||||||||
|
| |||||||||||
511,472 | ||||||||||||
|
| |||||||||||
Electric — 1.76% |
| |||||||||||
Dominion Energy, Inc., Series B |
| |||||||||||
2.75% | 09/15/22 | 350,000 | 348,534 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 2 | 250,000 | 266,482 | ||||||||
Evergy, Inc. |
| |||||||||||
4.85% | 06/01/21 | 325,000 | 328,550 | |||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
2.40% | 09/01/21 | 250,000 | 249,969 | |||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
2.16% | 08/28/21 | 1 | 250,000 | 244,999 | ||||||||
PNM Resources, Inc. |
| |||||||||||
3.25% | 03/09/21 | 400,000 | 402,661 | |||||||||
|
| |||||||||||
1,841,195 | ||||||||||||
|
| |||||||||||
Finance — 5.10% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global |
| |||||||||||
Aviation Trust (Ireland) |
| |||||||||||
4.45% | 12/16/21 | 4 | 100,000 | 92,033 | ||||||||
4.63% | 10/30/20 | 4 | 200,000 | 198,911 | ||||||||
5.00% | 10/01/21 | 4 | 150,000 | 138,738 | ||||||||
Air Lease Corp. |
| |||||||||||
3.50% | 01/15/22 | 200,000 | 180,898 | |||||||||
BMW U.S. Capital LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
2.28% | 04/06/20 | 1,2 | 375,000 | 374,843 | ||||||||
Citigroup, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
2.75% | 07/24/23 | 1 | 308,000 | 291,070 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% | 10/30/21 | 2 | $ | 65,000 | $ | 62,387 | ||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
2.59% | 02/15/22 | 1,2 | 290,000 | 268,866 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.34% | 11/02/20 | 50,000 | 48,750 | |||||||||
3.20% | 01/15/21 | 250,000 | 243,750 | |||||||||
3.81% | 10/12/21 | 50,000 | 48,219 | |||||||||
5.88% | 08/02/21 | 205,000 | 201,925 | |||||||||
(LIBOR USD 3-Month plus 0.79%) |
| |||||||||||
1.57% | 06/12/20 | 1 | 250,000 | 242,592 | ||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
2.18% | 04/05/21 | 1 | 480,000 | 432,435 | ||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
2.34% | 11/15/20 | 4 | 560,000 | 557,335 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
4.38% | 09/25/21 | 545,000 | 502,189 | |||||||||
Morgan Stanley (GMTN) |
| |||||||||||
5.50% | 07/24/20 | 500,000 | 504,752 | |||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 2,3,4 | 500,000 | 497,630 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
3.63% | 03/15/21 | 2,4 | 100,000 | 100,426 | ||||||||
4.50% | 03/15/23 | 2,4 | 100,000 | 86,917 | ||||||||
5.25% | 08/15/22 | 2,4 | 295,000 | 266,996 | ||||||||
|
| |||||||||||
5,341,662 | ||||||||||||
|
| |||||||||||
Food — 0.41% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.50%) |
| |||||||||||
1.82% | 10/09/20 | 1 | 325,000 | 320,503 | ||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.55% | 10/22/20 | 1 | 106,000 | 104,888 | ||||||||
|
| |||||||||||
425,391 | ||||||||||||
|
| |||||||||||
Health Care — 2.77% |
| |||||||||||
Allergan Finance LLC |
| |||||||||||
3.25% | 10/01/22 | 200,000 | 199,308 | |||||||||
Anthem, Inc. |
| |||||||||||
3.70% | 08/15/21 | 500,000 | 510,502 | |||||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
7.00% | 03/15/24 | 2,4 | 280,000 | 286,999 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
2.20% | 07/15/22 | 2 | 600,000 | 582,837 | ||||||||
3.88% | 12/15/23 | 2 | 140,000 | 143,530 |
See accompanying Notes to Financial Statements. |
185 / Annual Report March 2020 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Becton Dickinson and Co. |
| |||||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
2.25% | 12/29/20 | 1 | $ | 243,000 | $ | 234,838 | ||||||
Cigna Corp. |
| |||||||||||
3.20% | 09/17/20 | 200,000 | 200,310 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/22 | 2 | 200,000 | 207,439 | ||||||||
Shire Acquisitions Investments Ireland DAC |
| |||||||||||
(Ireland) |
| |||||||||||
2.40% | 09/23/21 | 4 | 300,000 | 297,721 | ||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
1.80% | 03/19/21 | 1 | 240,000 | 237,133 | ||||||||
|
| |||||||||||
2,900,617 | ||||||||||||
|
| |||||||||||
Industrials — 1.25% |
| |||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
2.85% | 12/15/20 | 2 | 350,000 | 349,118 | ||||||||
Bemis Co., Inc. |
| |||||||||||
4.50% | 10/15/21 | 2 | 385,000 | 401,211 | ||||||||
General Electric Co. (GMTN) |
| |||||||||||
4.63% | 01/07/21 | 310,000 | 306,228 | |||||||||
General Electric Co. (MTN) |
| |||||||||||
5.55% | 05/04/20 | 125,000 | 125,323 | |||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
2.12% | 05/05/26 | 1 | 150,000 | 121,955 | ||||||||
|
| |||||||||||
1,303,835 | ||||||||||||
|
| |||||||||||
Information Technology — 0.95% |
| |||||||||||
Broadcom, Inc. |
| |||||||||||
3.13% | 04/15/21 | 2 | 250,000 | 247,352 | ||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 2 | 250,000 | 250,032 | ||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.13% | 06/01/21 | 2,4 | 495,000 | 499,873 | ||||||||
|
| |||||||||||
997,257 | ||||||||||||
|
| |||||||||||
Materials — 0.29% |
| |||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
3.40% | 09/25/20 | 300,000 | 301,298 | |||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.64% |
| |||||||||||
Boston Properties LP |
| |||||||||||
4.13% | 05/15/21 | 500,000 | 508,814 | |||||||||
Essex Portfolio LP |
| |||||||||||
5.20% | 03/15/21 | 350,000 | 355,808 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 200,000 | 199,999 | |||||||||
Highwoods Realty LP |
| |||||||||||
3.20% | 06/15/21 | 400,000 | 405,706 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
Kimco Realty Corp. |
| |||||||||||
3.20% | 05/01/21 | $ | 250,000 | $ | 251,837 | |||||||
|
| |||||||||||
1,722,164 | ||||||||||||
|
| |||||||||||
Retail — 0.10% |
| |||||||||||
Dollar Tree, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.70%) |
| |||||||||||
2.54% | 04/17/20 | 1 | 100,000 | 99,979 | ||||||||
|
| |||||||||||
Services — 0.28% |
| |||||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
5.00% | 11/01/22 | 2,4 | 280,000 | 295,229 | ||||||||
|
| |||||||||||
Transportation — 1.43% |
| |||||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2013-2, Class A |
| |||||||||||
4.95% | 01/15/23 | 353,862 | 360,940 | |||||||||
Aviation Capital Group LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
2.53% | 06/01/21 | 1,2 | 250,000 | 238,733 | ||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2000-1, Class A1 |
| |||||||||||
8.05% | 11/01/20 | 93,604 | 94,602 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 323,605 | 332,064 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2002-1, Class G1 |
| |||||||||||
6.72% | 01/02/23 | 147,941 | 148,975 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 320,833 | 323,485 | |||||||||
|
| |||||||||||
1,498,799 | ||||||||||||
|
| |||||||||||
Total Corporates (Cost $22,898,978) |
| 22,442,620 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 21.78%** |
| |||||||||||
Non-Agency Commercial Mortgage-Backed — 3.16% |
| |||||||||||
BX Commercial Mortgage Trust, |
| |||||||||||
Series 2018-IND, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
1.45% | 11/15/35 | 1,2 | 113,092 | 108,336 | ||||||||
BX Commercial Mortgage Trust, |
| |||||||||||
Series 2020-BXLP, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.50% | 12/15/36 | 1,2 | 250,000 | 236,236 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2011-C4, |
| |||||||||||
Class A4 |
| |||||||||||
4.39% | 07/15/46 | 2 | 292,881 | 298,386 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 186 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2012-C6, |
| |||||||||||
Class ASB |
| |||||||||||
3.14% | 05/15/45 | $ | 335,794 | $ | 340,943 | |||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2013-LC11, |
| |||||||||||
Class A5 |
| |||||||||||
2.96% | 04/15/46 | 160,000 | 164,508 | |||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2011-C3, Class A4 |
| |||||||||||
4.12% | 07/15/49 | 147,452 | 148,484 | |||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2014-MP, Class A |
| |||||||||||
3.47% | 08/11/33 | 2 | 500,000 | 503,993 | ||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2018-C11, Class A1 |
| |||||||||||
3.21% | 06/15/51 | 112,867 | 114,025 | |||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C4, Class A4 |
| |||||||||||
2.79% | 12/10/45 | 400,000 | 406,593 | |||||||||
VNDO Mortgage Trust, Series 2012-6AVE, |
| |||||||||||
Class A |
| |||||||||||
3.00% | 11/15/30 | 2 | 920,000 | 925,978 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C9, Class XA (IO) |
| |||||||||||
1.89% | 11/15/45 | 2,3 | 1,473,682 | 57,849 | ||||||||
|
| |||||||||||
3,305,331 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 2.53% |
| |||||||||||
Aames Mortgage Investment Trust, |
| |||||||||||
Series 2006-1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
1.51% | 04/25/36 | 1 | 523,459 | 483,591 | ||||||||
Aames Mortgage Trust, |
| |||||||||||
Series 2002-1, Class A3 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
7.40% | 06/25/32 | 19,503 | 19,095 | |||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||
Series 2005-1, Class 1A1 |
| |||||||||||
3.99% | 05/25/35 | 3 | 53,107 | 49,247 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2004-J6, Class 2A1 |
| |||||||||||
6.50% | 11/25/31 | 58,714 | 60,829 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2003-2, Class 1A1 |
| |||||||||||
6.50% | 06/25/32 | 4,520 | 4,633 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2004-HYB1, Class A41 |
| |||||||||||
2.94% | 02/25/34 | 3 | 13,858 | 13,417 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-WFH2, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
1.17% | 08/25/36 | 1 | 651,444 | 610,887 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Credit Suisse First Boston Mortgage |
| |||||||||||
Securities Corp., Series 2002-AR31, |
| |||||||||||
Class 4A2 |
| |||||||||||
4.25% | 11/25/32 | 3 | $ | 21,299 | $ | 20,313 | ||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR3, Class 2A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.74%) |
| |||||||||||
1.49% | 07/19/44 | 1 | 138,568 | 116,229 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF10, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 07/25/36 | 1 | 14,322 | 14,380 | ||||||||
GE Mortgage Services LLC, |
| |||||||||||
Series 1998-HE1, Class A7 |
| |||||||||||
6.47% | 06/25/28 | 2 | 2 | |||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR12, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
1.73% | 12/25/34 | 1 | 380,251 | 276,860 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR6, Class 6A1 |
| |||||||||||
4.10% | 10/25/34 | 3 | 115,948 | 101,672 | ||||||||
JPMorgan Mortgage Trust, Series 2005-A2, |
| |||||||||||
Class 9A1 |
| |||||||||||
3.86% | 04/25/35 | 3 | 175,320 | 155,375 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-12, Class 5A1 |
| |||||||||||
4.58% | 10/25/34 | 3 | 177,791 | 177,791 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-5, Class 3A1 |
| |||||||||||
4.12% | 06/25/34 | 3 | 5,801 | 5,506 | ||||||||
MASTR Seasoned Securitization Trust, |
| |||||||||||
Series 2004-1, Class 4A1 |
| |||||||||||
4.47% | 10/25/32 | 3 | 38,627 | 34,836 | ||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2003-A1, Class 2A |
| |||||||||||
(LIBOR USD 12-Month plus 1.63%) |
| |||||||||||
3.16% | 12/25/32 | 1 | 158,401 | 135,810 | ||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2006-NC1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 12/25/35 | 1 | 26,344 | 25,788 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL1, Class A2 |
| |||||||||||
8.50% | 11/25/31 | 34,570 | 11 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL1, Class A8 |
| |||||||||||
6.50% | 11/25/31 | 42,540 | 41,768 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2004-IP2, Class 2A1 |
| |||||||||||
4.07% | 12/25/34 | 3 | 93,878 | 82,339 |
See accompanying Notes to Financial Statements. |
187 / Annual Report March 2020 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Terwin NIMs Trust, Series 2004-13AL, |
| |||||||||||
Class 2PX (IO) |
| |||||||||||
0.34% | 08/25/34 | 2,5,6 | $ | 1,689,837 | $ | 24,861 | ||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2002-AR6, Class A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.40%) |
| |||||||||||
3.37% | 06/25/42 | 1 | 23,482 | 19,843 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2003-AR6, Class A1 |
| |||||||||||
4.68% | 06/25/33 | 3 | 54,970 | 51,748 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-4, Class CB13 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 06/25/35 | 1 | 152,917 | 120,794 | ||||||||
|
| |||||||||||
2,647,625 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 3.23% |
| |||||||||||
Fannie Mae-Aces, Series 2012-M4, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.44% | 04/25/22 | 3 | 3,833,988 | 20,190 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.92% | 12/25/30 | 3 | 205,000 | 31,109 | ||||||||
Fannie Mae-Aces, Series 2020-M10, |
| |||||||||||
Class X9 (IO) |
| |||||||||||
0.99% | 12/25/27 | 3 | 210,000 | 10,506 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series J22F, |
| |||||||||||
Class A1 |
| |||||||||||
3.45% | 05/25/23 | 140,330 | 143,063 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K504, |
| |||||||||||
Class A2 |
| |||||||||||
2.57% | 09/25/20 | 3 | 404,942 | 404,888 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KJ26, |
| |||||||||||
Class A1 |
| |||||||||||
2.14% | 07/25/25 | 591,057 | 618,762 | |||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS07, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.65% | 09/25/25 | 3 | 3,500,000 | 112,062 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series Q004, |
| |||||||||||
Class A2H |
| |||||||||||
2.91% | 01/25/46 | 3 | 257,246 | 259,023 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series Q004, |
| |||||||||||
Class AFL |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.74%) |
| |||||||||||
2.71% | 05/25/44 | 1 | 306,630 | 306,729 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series Q010, |
| |||||||||||
Class APT1 |
| |||||||||||
2.68% | 04/25/46 | 3 | $ | 342,938 | $ | 345,557 | ||||||
Ginnie Mae, Series 2007-12, Class C |
| |||||||||||
5.28% | 04/16/41 | 3 | 249,012 | 251,313 | ||||||||
Ginnie Mae, Series 2008-92, Class E |
| |||||||||||
5.56% | 03/16/44 | 3 | 202,118 | 205,995 | ||||||||
Ginnie Mae, Series 2010-159, Class D |
| |||||||||||
4.29% | 09/16/44 | 3 | 499,842 | 517,271 | ||||||||
Ginnie Mae, Series 2011-165, Class IO (IO) |
| |||||||||||
0.39% | 10/16/51 | 3 | 7,920,977 | 46,949 | ||||||||
Ginnie Mae, Series 2012-135, Class IO (IO) |
| |||||||||||
0.58% | 01/16/53 | 3 | 3,465,660 | 109,999 | ||||||||
|
| |||||||||||
3,383,416 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 12.86% |
| |||||||||||
Fannie Mae Pool 254548 |
| |||||||||||
5.50% | 12/01/32 | 101,772 | 113,991 | |||||||||
Fannie Mae Pool 468764 |
| |||||||||||
4.16% | 07/01/21 | 630,000 | 639,377 | |||||||||
Fannie Mae Pool 555098 |
| |||||||||||
(LIBOR USD 12-Month plus 1.51%) |
| |||||||||||
3.58% | 11/01/32 | 1 | 13,908 | 14,007 | ||||||||
Fannie Mae Pool 555424 |
| |||||||||||
5.50% | 05/01/33 | 67,090 | 75,902 | |||||||||
Fannie Mae Pool 567002 |
| |||||||||||
8.00% | 05/01/23 | 12,535 | 13,330 | |||||||||
Fannie Mae Pool 655133 |
| |||||||||||
7.00% | 08/01/32 | 6,912 | 7,458 | |||||||||
Fannie Mae Pool 655151 |
| |||||||||||
7.00% | 08/01/32 | 13,040 | 14,022 | |||||||||
Fannie Mae Pool 762525 |
| |||||||||||
6.50% | 11/01/33 | 20,525 | 23,190 | |||||||||
Fannie Mae Pool 770900 |
| |||||||||||
(LIBOR USD 12-Month plus 1.55%) |
| |||||||||||
4.43% | 04/01/34 | 1 | 112,625 | 114,051 | ||||||||
Fannie Mae Pool AD0538 |
| |||||||||||
6.00% | 05/01/24 | 33,186 | 34,993 | |||||||||
Fannie Mae Pool AE0443 |
| |||||||||||
6.50% | 10/01/39 | 74,301 | 88,392 | |||||||||
Fannie Mae Pool AL0851 |
| |||||||||||
6.00% | 10/01/40 | 68,092 | 78,589 | |||||||||
Fannie Mae Pool AM4580 |
| |||||||||||
3.43% | 10/01/23 | 302,482 | 325,923 | |||||||||
Fannie Mae REMICS, Series 1993-80, |
| |||||||||||
Class S |
| |||||||||||
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap) |
| |||||||||||
9.72% | 05/25/23 | 1 | 540 | 603 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 188 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2001-42, |
| |||||||||||
Class SB |
| |||||||||||
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap) |
| |||||||||||
8.50% | 09/25/31 | 1 | $ | 1,211 | $ | 1,413 | ||||||
Fannie Mae REMICS, Series 2001-60, |
| |||||||||||
Class OF |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.90% | 10/25/31 | 1 | 95,295 | 96,809 | ||||||||
Fannie Mae REMICS, Series 2002-30, |
| |||||||||||
Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.95% | 08/25/31 | 1 | 113,156 | 113,484 | ||||||||
Fannie Mae REMICS, Series 2003-124, |
| |||||||||||
Class TS |
| |||||||||||
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap) |
| |||||||||||
9.80% | 01/25/34 | 1 | 15,828 | 19,305 | ||||||||
Fannie Mae REMICS, Series 2004-60, |
| |||||||||||
Class FW |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 04/25/34 | 1 | 344,427 | 341,378 | ||||||||
Fannie Mae REMICS, Series 2004-96, |
| |||||||||||
Class MT |
| |||||||||||
(-17.15 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap) |
| |||||||||||
7.00% | 12/25/34 | 1 | 10,049 | 12,266 | ||||||||
Fannie Mae REMICS, Series 2005-114, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||||
1.32% | 08/25/35 | 1 | 230,797 | 230,629 | ||||||||
Fannie Mae REMICS, Series 2005-73, |
| |||||||||||
Class DF |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 08/25/35 | 1 | 196,471 | 194,509 | ||||||||
Fannie Mae REMICS, Series 2006-84, |
| |||||||||||
Class WF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 02/25/36 | 1 | 12,634 | 12,616 | ||||||||
Fannie Mae REMICS, Series 2007-68, |
| |||||||||||
Class SC (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap) |
| |||||||||||
5.75% | 07/25/37 | 1 | 99,205 | 22,862 | ||||||||
Fannie Mae REMICS, Series 2009-111, |
| |||||||||||
Class DA |
| |||||||||||
5.00% | 12/25/39 | 4,934 | 4,986 | |||||||||
Fannie Mae REMICS, Series 2010-109, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.35% | 10/25/40 | 1 | 70,431 | 69,518 | ||||||||
Fannie Mae REMICS, Series 2010-26, |
| |||||||||||
Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) |
| |||||||||||
5.28% | 11/25/36 | 1 | 373,587 | 81,825 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2011-47, |
| |||||||||||
Class GF |
| |||||||||||
(LIBOR USD 1-Month plus 0.57%) |
| |||||||||||
1.52% | 06/25/41 | 1 | $ | 124,993 | $ | 124,689 | ||||||
Fannie Mae REMICS, Series 2011-8, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 01/25/40 | 1 | 50,276 | 50,120 | ||||||||
Fannie Mae REMICS, Series 2012-19, |
| |||||||||||
Class FP |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 12/25/39 | 1 | 405,950 | 404,555 | ||||||||
Fannie Mae REMICS, Series 2014-19, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.35% | 11/25/39 | 1 | 147,773 | 147,365 | ||||||||
Fannie Mae REMICS, Series 2018-79, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 11/25/48 | 1 | 101,495 | 99,102 | ||||||||
Fannie Mae REMICS, Series 2019-79, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 01/25/50 | 1 | 258,755 | 256,716 | ||||||||
Fannie Mae REMICS, Series 2020-10, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.45% | 03/25/50 | 1 | 1,246,835 | 1,235,789 | ||||||||
Freddie Mac Gold Pool C90474 |
| |||||||||||
7.00% | 08/01/21 | 4,822 | 4,951 | |||||||||
Freddie Mac Gold Pool G13107 |
| |||||||||||
5.50% | 07/01/20 | 33 | 33 | |||||||||
Freddie Mac REMICS, Series 1526, |
| |||||||||||
Class L |
| |||||||||||
6.50% | 06/15/23 | 1,212 | 1,291 | |||||||||
Freddie Mac REMICS, Series 2368, |
| |||||||||||
Class AF |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.65% | 10/15/31 | 1 | 67,011 | 68,423 | ||||||||
Freddie Mac REMICS, Series 2733, |
| |||||||||||
Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.30% | 10/15/33 | 1 | 675,157 | 674,532 | ||||||||
Freddie Mac REMICS, Series 2763, |
| |||||||||||
Class FC |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.05% | 04/15/32 | 1 | 37,051 | 36,990 | ||||||||
Freddie Mac REMICS, Series 2990, |
| |||||||||||
Class LE |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
1.02% | 10/15/34 | 1 | 337,982 | 335,450 |
See accompanying Notes to Financial Statements. |
189 / Annual Report March 2020 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac REMICS, Series 3066, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 04/15/35 | 1 | $ | 262,441 | $ | 261,947 | ||||||
Freddie Mac REMICS, Series 3085, |
| |||||||||||
Class FW |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
1.40% | 08/15/35 | 1 | 439,866 | 441,610 | ||||||||
Freddie Mac REMICS, Series 3139, |
| |||||||||||
Class FL |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 01/15/36 | 1 | 46,449 | 46,439 | ||||||||
Freddie Mac REMICS, Series 3196, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.05% | 04/15/32 | 1 | 315,089 | 314,310 | ||||||||
Freddie Mac REMICS, Series 3300, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 08/15/35 | 1 | 409,367 | 402,445 | ||||||||
Freddie Mac REMICS, Series 3325, |
| |||||||||||
Class NF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 08/15/35 | 1 | 82,236 | 80,845 | ||||||||
Freddie Mac REMICS, Series 3652, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
1.45% | 07/15/32 | 1 | 19,420 | 19,374 | ||||||||
Freddie Mac REMICS, Series 3767, |
| |||||||||||
Class JF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.00% | 02/15/39 | 1 | 169,133 | 169,076 | ||||||||
Freddie Mac REMICS, Series 3792, |
| |||||||||||
Class DF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.10% | 11/15/40 | 1 | 89,274 | 89,349 | ||||||||
Freddie Mac REMICS, Series 3806, |
| |||||||||||
Class DF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.10% | 08/15/25 | 1 | 75,034 | 74,611 | ||||||||
Freddie Mac REMICS, Series 3845, |
| |||||||||||
Class FQ |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
0.95% | 02/15/26 | 1 | 171,185 | 170,940 | ||||||||
Freddie Mac REMICS, Series 3879, |
| |||||||||||
Class MF |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.05% | 09/15/38 | 1 | 199,582 | 199,359 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac REMICS, Series 3895, |
| |||||||||||
Class BF |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.20% | 07/15/41 | 1 | $ | 269,736 | $ | 267,065 | ||||||
Freddie Mac REMICS, Series 3907, |
| |||||||||||
Class FM |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.05% | 05/15/26 | 1 | 95,655 | 95,263 | ||||||||
Freddie Mac REMICS, Series 3940, |
| |||||||||||
Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.05% | 05/15/40 | 1 | 563,100 | 561,758 | ||||||||
Freddie Mac REMICS, Series 3946, |
| |||||||||||
Class FG |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.05% | 10/15/39 | 1 | 273,745 | 271,796 | ||||||||
Freddie Mac REMICS, Series 4097, |
| |||||||||||
Class TF |
| |||||||||||
LIBOR USD 1-Month |
| |||||||||||
1.10% | 05/15/39 | 1 | 131,440 | 130,784 | ||||||||
Freddie Mac REMICS, Series 4109, |
| |||||||||||
Class KF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.10% | 05/15/32 | 1 | 18,772 | 18,774 | ||||||||
Freddie Mac Strips, Series 263, |
| |||||||||||
Class F5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
1.20% | 06/15/42 | 1 | 405,075 | 397,519 | ||||||||
Ginnie Mae II Pool 80546 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.13% | 10/20/31 | 1 | 8,108 | 8,411 | ||||||||
Ginnie Mae II Pool 80610 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.88% | 06/20/32 | 1 | 99,720 | 103,482 | ||||||||
Ginnie Mae II Pool 80614 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.25% | 07/20/32 | 1 | 11,550 | 11,983 | ||||||||
Ginnie Mae II Pool 80687 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.88% | 04/20/33 | 1 | 82,831 | 85,992 | ||||||||
Ginnie Mae II Pool 8339 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.13% | 12/20/23 | 1 | 9,326 | 9,550 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 190 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Ginnie Mae II Pool 8684 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.25% | 08/20/25 | 1 | $ | 21,070 | $ | 21,674 | ||||||
Ginnie Mae II Pool MA0331 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
3.25% | 08/20/42 | 1 | 103,110 | 105,741 | ||||||||
Ginnie Mae, Series 2002-72, Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.17% | 10/20/32 | 1 | 127,752 | 126,780 | ||||||||
Ginnie Mae, Series 2002-72, Class FC |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.17% | 10/20/32 | 1 | 188,448 | 187,016 | ||||||||
Ginnie Mae, Series 2003-42, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.10% | 07/16/31 | 1 | 628,913 | 628,115 | ||||||||
Ginnie Mae, Series 2004-2, Class FW |
| |||||||||||
(LIBOR USD 1-Month plus 1.40%) |
| |||||||||||
2.98% | 01/16/34 | 1 | 487,965 | 498,120 | ||||||||
Ginnie Mae, Series 2009-92, Class FC |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.50% | 10/16/39 | 1 | 140,290 | 140,779 | ||||||||
Ginnie Mae, Series 2010-19, Class FD |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.15% | 07/16/39 | 1 | 59,065 | 59,004 | ||||||||
Ginnie Mae, Series 2011-70, Class IL (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap) |
| |||||||||||
0.60% | 06/16/37 | 1 | 1,908,717 | 26,639 | ||||||||
Ginnie Mae, Series 2012-10, Class FP |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.07% | 01/20/41 | 1 | 24,743 | 24,695 | ||||||||
Ginnie Mae, Series 2012-13, Class KF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.07% | 07/20/38 | 1 | 86,047 | 85,958 | ||||||||
NCUA Guaranteed Notes Trust, |
| |||||||||||
Series 2010-R1, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.43% | 10/07/20 | 1 | 675,261 | 670,076 | ||||||||
NCUA Guaranteed Notes Trust, |
| |||||||||||
Series 2010-R3, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
1.54% | 12/08/20 | 1 | 477,232 | 476,295 | ||||||||
|
| |||||||||||
13,469,008 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $23,232,340) |
| 22,805,380 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES — 16.43% |
| |||||||||||
U.S. Treasury Notes — 16.43% |
| |||||||||||
U.S. Treasury Floating Rate Notes |
| |||||||||||
0.35% | 07/31/21 | 1 | $10,100,000 | $ | 10,110,658 | |||||||
U.S. Treasury Notes |
| |||||||||||
1.13% | 09/30/21 | 7,000,000 | 7,096,387 | |||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $17,153,029) |
| 17,207,045 | ||||||||||
|
| |||||||||||
Total Bonds – 66.67% |
| |||||||||||
(Cost $70,662,897) |
| 69,801,593 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 32.80% |
| |||||||||||
Commercial Paper — 0.29% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.88%7 | 01/08/21 | 150,000 | 140,696 | |||||||||
3.20%7 | 10/08/20 | 165,000 | 162,505 | |||||||||
|
| |||||||||||
303,201 | ||||||||||||
|
| |||||||||||
Foreign Government Obligations — 2.43% |
| |||||||||||
Japan Treasury Discount Bill, Series 892 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%7 | 06/08/20 | 4 | 275,000,000 | 2,548,384 | ||||||||
|
| |||||||||||
Money Market Funds — 11.07% |
| |||||||||||
Dreyfus Government Cash Management |
| |||||||||||
Fund |
| |||||||||||
0.29%8 | 3,419,000 | 3,419,000 | ||||||||||
Fidelity Investments Money Market Funds - |
| |||||||||||
Government Portfolio |
| |||||||||||
0.28%8 | 36,257 | 36,257 | ||||||||||
JPMorgan U.S. Government |
| |||||||||||
Money Market Fund |
| |||||||||||
0.28%8 | 3,331,000 | 3,331,000 | ||||||||||
Morgan Stanley Institutional Liquidity |
| |||||||||||
Funds-Government Portfolio |
| |||||||||||
0.23%8 | 4,800,000 | 4,800,000 | ||||||||||
|
| |||||||||||
11,586,257 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 19.01% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.29%7,9 | 09/10/20 | 68,000 | 67,968 | |||||||||
1.27%7 | 05/28/20 | 3,200,000 | 3,199,544 | |||||||||
1.46%7 | 04/21/20 | 10,200,000 | 10,199,617 | |||||||||
1.51%7 | 07/16/20 | 1,200,000 | 1,199,757 | |||||||||
1.53%7 | 04/16/20 | 500,000 | 499,979 | |||||||||
1.54%7 | 04/30/20 | 2,000,000 | 1,999,944 | |||||||||
1.57%7 | 04/14/20 | 2,735,000 | 2,734,911 | |||||||||
|
| |||||||||||
19,901,720 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $34,386,040) |
| 34,339,562 | ||||||||||
|
|
See accompanying Notes to Financial Statements. |
191 / Annual Report March 2020 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Value | ||||||||
Total Investments – 99.47% | ||||||||
(Cost $105,048,937) | $ | 104,141,155 | ||||||
|
| |||||||
Cash and Other Assets, Less | ||||||||
Liabilities – 0.53% | 553,149 | |||||||
|
| |||||||
Net Assets – 100.00% | $ | 104,694,304 | ||||||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
3 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $24,861, which is 0.02% of total net assets. |
7 | Represents annualized yield at date of purchase. |
8 | Represents the current yield as of March 31, 2020. |
9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $67,968. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT | ||||||||||||||||||||
USD 2,623,565 | JPY 275,000,000 | Citigroup Global Markets, Inc. |
| 06/08/20 | $68,700 | |||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized (Depreciation) | |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||||||
U.S. Treasury Two Year Note | 60 | 06/30/20 | $ | (13,222,969 | ) | $ | (46,450 | ) | $ | (46,450 | ) | |||||||||
U.S. Treasury Five Year Note | 33 | 06/30/20 | (4,136,859 | ) | (21,423 | ) | (21,423 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL | $ | (17,359,828 | ) | $ | (67,873 | ) | $ | (67,873 | ) | |||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 192 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 99.28% |
| |||||||||||
ASSET-BACKED SECURITIES — 13.56%** |
| |||||||||||
321 Henderson Receivables VI LLC |
| |||||||||||
Series 2010-1A, Class B |
| |||||||||||
9.31% | 07/15/61 | 1 | $ | 322,811 | $ | 373,822 | ||||||
Access Group, Inc., Series 2015-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
1.65% | 07/25/56 | 1,2 | 3,599,927 | 3,419,905 | ||||||||
AIMCO CLO, Series 2015-AA, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||||
2.68% | 01/15/28 | 1,2,3 | 10,000,000 | 9,708,000 | ||||||||
Apidos CLO XXII, Series 2015-22A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.06%) |
| |||||||||||
0.00% | 04/20/31 | 1,2,3 | 5,000,000 | 4,794,620 | ||||||||
ARES XXIX CLO Ltd., Series 2014-1A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.19%) |
| |||||||||||
3.03% | 04/17/26 | 1,2,3 | 1,820,956 | 1,810,394 | ||||||||
Babson CLO Ltd., Series 2044-1A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.15%) |
| |||||||||||
2.97% | 07/20/25 | 1,2,3 | 1,923,420 | 1,935,188 | ||||||||
Barings BDC Static CLO Ltd., |
| |||||||||||
Series 2019-1A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.02%) |
| |||||||||||
2.85% | 04/15/27 | 1,2,3 | 4,847,228 | 4,478,838 | ||||||||
Barings BDC Static CLO Ltd., |
| |||||||||||
Series 2019-1A, Class A2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
3.48% | 04/15/27 | 1,2,3 | 2,400,000 | 2,262,480 | ||||||||
Barings CLO Ltd., Series 2018-3A, |
| |||||||||||
Class A1 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
2.77% | 07/20/29 | 1,2,3 | 6,850,000 | 6,595,111 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
1.50% | 01/25/35 | 1,2 | 522,277 | 470,327 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2005-1A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
1.40% | 04/25/35 | 1,2 | 927,022 | 802,085 | ||||||||
BlueMountain CLO Ltd., Series 2013-1A, |
| |||||||||||
Class A1R2 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.23%) |
| |||||||||||
3.05% | 01/20/29 | 1,2,3 | 4,000,000 | 3,910,800 | ||||||||
BlueMountain CLO Ltd., Series 2015-1A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.33%) |
| |||||||||||
3.18% | 04/13/27 | 1,2,3 | 2,980,152 | 2,961,079 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
2.48% | 02/25/30 | 2 | $ | 42,044 | $ | 40,661 | ||||||
CIT Education Loan Trust, Series 2007-1, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 3-Month plus 0.09%) |
| |||||||||||
1.31% | 03/25/42 | 1,2 | 2,573,254 | 2,329,881 | ||||||||
CIT Education Loan Trust, Series 2007-1, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.30%) |
| |||||||||||
1.52% | 06/25/42 | 1,2 | 2,300,064 | 1,950,957 | ||||||||
Corevest American Finance Trust, |
| |||||||||||
Series 2019-1, Class XA (IO) |
| |||||||||||
2.16% | 03/15/52 | 1,4 | 24,540,376 | 2,060,032 | ||||||||
Corevest American Finance Trust, |
| |||||||||||
Series 2019-3, Class XA (IO) |
| |||||||||||
2.04% | 10/15/52 | 1,4 | 8,140,261 | 723,687 | ||||||||
Corevest American Finance Trust, |
| |||||||||||
Series 2020-1, Class A2 |
| |||||||||||
2.30% | 03/15/50 | 1 | 5,197,000 | 4,917,245 | ||||||||
Dryden 30 Senior Loan Fund, |
| |||||||||||
Series 2013-30A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.82%) |
| |||||||||||
2.51% | 11/15/28 | 1,2,3 | 7,500,000 | 6,837,000 | ||||||||
Eaton Vance CLO Ltd., Series 2013-1A, |
| |||||||||||
Class A1RR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.16%) |
| |||||||||||
2.99% | 01/15/28 | 1,2,3 | 4,200,000 | 4,068,540 | ||||||||
ECMC Group Student Loan Trust, |
| |||||||||||
Series 2016-1A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||||
2.30% | 07/26/66 | 1,2 | 15,596,202 | 14,752,338 | ||||||||
ECMC Group Student Loan Trust, |
| |||||||||||
Series 2017-2A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
2.00% | 05/25/67 | 1,2 | 14,799,456 | 13,360,288 | ||||||||
Edsouth Indenture No. 3 LLC, Series 2012-2, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.73%) |
| |||||||||||
1.68% | 04/25/39 | 1,2 | 121,204 | 114,006 | ||||||||
Education Loan Asset-Backed Trust I, |
| |||||||||||
Series 2013-1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.75% | 04/26/32 | 1,2 | 3,465,000 | 3,340,966 | ||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
2.00% | 03/25/36 | 2 | 72,297 | 71,503 |
See accompanying Notes to Financial Statements. |
193 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
EFS Volunteer No. 2 LLC, Series 2012-1, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||||
2.30% | 03/25/36 | 1,2 | $ | 5,867,096 | $ | 5,606,127 | ||||||
Flagship CLO VIII Ltd., Series 2014-8A, |
| |||||||||||
Class ARR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||||
2.69% | 01/16/26 | 1,2,3 | 4,555,058 | 4,453,995 | ||||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series 2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
2.28% | 08/27/46 | 1,2 | 2,530,493 | 2,266,316 | ||||||||
Global SC Finance II SRL, Series 2014-1A, |
| |||||||||||
Class A2 (Barbados) |
| |||||||||||
3.09% | 07/17/29 | 1,3 | 1,100,667 | 1,023,510 | ||||||||
Goal Capital Funding Trust, |
| |||||||||||
Series 2006-1, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
2.13% | 08/25/42 | 2 | 411,951 | 371,963 | ||||||||
GoldenTree Loan Management U.S. CLO 1, |
| |||||||||||
Ltd., Series 2017-1A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
2.60% | 04/20/29 | 1,2,3 | 4,650,000 | 4,533,745 | ||||||||
Higher Education Funding I, Series 2014-1, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
2.73% | 05/25/34 | 1,2 | 1,560,559 | 1,528,520 | ||||||||
J.G. Wentworth XXXVII LLC, |
| |||||||||||
Series 2016-1A, Class A |
| |||||||||||
3.41% | 06/15/67 | 1 | 6,718,691 | 6,631,898 | ||||||||
J.G. Wentworth XXXVIII LLC, |
| |||||||||||
Series 2017-1A, Class A |
| |||||||||||
3.99% | 08/16/60 | 1 | 3,540,116 | 3,313,952 | ||||||||
LCM XXI LP, Series 21A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
2.70% | 04/20/28 | 1,2,3 | 3,575,000 | 3,474,900 | ||||||||
Limerock CLO III LLC, Series 2014-3A, |
| |||||||||||
Class A1R (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
3.02% | 10/20/26 | 1,2,3 | 3,324,476 | 3,295,553 | ||||||||
Magnetite XVIII Ltd., Series 2016-18A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
2.77% | 11/15/28 | 1,2,3 | 2,550,000 | 2,495,175 | ||||||||
Navient Student Loan Trust, Series 2014-8, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 05/27/49 | 2 | 5,819,825 | 5,355,038 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Navient Student Loan Trust, Series 2016-2A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 1.50%) |
| |||||||||||
2.45% | 06/25/65 | 1,2 | $ | 11,200,000 | $ | 11,292,989 | ||||||
Navient Student Loan Trust, Series 2017-1A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
2.10% | 07/26/66 | 1,2 | 16,200,000 | 14,896,451 | ||||||||
Navient Student Loan Trust, Series 2017-3A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
2.00% | 07/26/66 | 1,2 | 18,400,000 | 16,794,173 | ||||||||
Navient Student Loan Trust, Series 2018-3A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
1.75% | 03/25/67 | 1,2 | 3,500,000 | 3,165,316 | ||||||||
Nelnet Student Loan Trust, Series 2006-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.20%) |
| |||||||||||
1.99% | 01/25/38 | 2 | 3,316,552 | 2,608,036 | ||||||||
Nelnet Student Loan Trust, Series 2007-1, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.07%) |
| |||||||||||
1.75% | 05/27/25 | 2 | 1,108,325 | 1,095,722 | ||||||||
Nelnet Student Loan Trust, Series 2012-5A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 10/27/36 | 1,2 | 109,760 | 100,625 | ||||||||
Nelnet Student Loan Trust, Series 2014-4A, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.90% | 11/25/48 | 1,2 | 1,865,000 | 1,688,312 | ||||||||
Nelnet Student Loan Trust, Series 2015-1A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.59%) |
| |||||||||||
1.54% | 04/25/46 | 1,2 | 2,145,801 | 1,928,734 | ||||||||
Nelnet Student Loan Trust, Series 2015-3A, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.85% | 06/25/54 | 1,2 | 11,000,000 | 9,543,060 | ||||||||
Northstar Education Finance, Inc., |
| |||||||||||
Series 2007-1, Class A2 |
| |||||||||||
LIBOR USD 3-Month |
| |||||||||||
2.54% | 01/29/46 | 2 | 111,137 | 109,958 | ||||||||
Octagon Investment Partners 25 Ltd., |
| |||||||||||
Series 2015-1A, Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
2.62% | 10/20/26 | 1,2,3 | 4,910,000 | 4,845,674 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2019-4A, Class A1 (Cayman Islands) |
| |||||||||||
LIBOR USD 3-Month |
| |||||||||||
2.70% | 10/24/27 | 1,2,3 | 4,377,345 | 4,252,547 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 194 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2020-2A, Class A2 (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
0.00% | 04/20/28 | 1,2,3 | $ | 4,000,000 | $ | 3,759,996 | ||||||
PHEAA Student Loan Trust, Series 2013-3A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
1.70% | 11/25/42 | 1,2 | 3,450,639 | 3,263,004 | ||||||||
SLC Student Loan Trust, Series 2004-1, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.29%) |
| |||||||||||
1.98% | 08/15/31 | 2 | 518,205 | 453,303 | ||||||||
SLC Student Loan Trust, Series 2005-2, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||||
0.90% | 12/15/39 | 2 | 12,000,000 | 11,091,976 | ||||||||
SLC Student Loan Trust, Series 2005-3, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.15%) |
| |||||||||||
0.89% | 12/15/39 | 2 | 13,800,000 | 12,670,056 | ||||||||
SLC Student Loan Trust, Series 2006-1, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||||
0.90% | 03/15/55 | 2 | 13,120,000 | 11,204,572 | ||||||||
SLC Student Loan Trust, Series 2008-1, |
| |||||||||||
Class A4A |
| |||||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||||
2.34% | 12/15/32 | 2 | 3,036,714 | 3,030,279 | ||||||||
SLM Student Loan Trust, Series 2003-12, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.59%) |
| |||||||||||
1.33% | 03/15/38 | 2 | 4,670,601 | 4,262,133 | ||||||||
SLM Student Loan Trust, Series 2003-4, |
| |||||||||||
Class A5D |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
1.49% | 03/15/33 | 1,2 | 2,239,050 | 2,043,703 | ||||||||
SLM Student Loan Trust, Series 2003-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.57%) |
| |||||||||||
1.31% | 09/15/39 | 2 | 3,292,371 | 2,980,276 | ||||||||
SLM Student Loan Trust, Series 2004-10, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.37%) |
| |||||||||||
2.16% | 01/25/40 | 2 | 9,549,069 | 8,365,926 | ||||||||
SLM Student Loan Trust, Series 2004-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
2.26% | 07/25/39 | 2 | 575,889 | 526,057 | ||||||||
SLM Student Loan Trust, Series 2005-3, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.15%) |
| |||||||||||
1.94% | 04/25/40 | 2 | 3,174,204 | 2,751,109 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2006-2, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
1.96% | 01/25/41 | 2 | $ | 11,769,036 | $ | 10,526,165 | ||||||
SLM Student Loan Trust, Series 2006-8, |
| |||||||||||
Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||||
1.95% | 01/25/41 | 2 | 1,800,000 | 1,620,150 | ||||||||
SLM Student Loan Trust, Series 2006-8, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.23%) |
| |||||||||||
2.02% | 01/25/41 | 2 | 3,608,598 | 3,193,047 | ||||||||
SLM Student Loan Trust, Series 2007-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
1.96% | 07/25/25 | 2 | 12,800,000 | 10,436,952 | ||||||||
SLM Student Loan Trust, Series 2007-3, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.06%) |
| |||||||||||
1.85% | 01/25/22 | 2 | 184,111 | 176,655 | ||||||||
SLM Student Loan Trust, Series 2007-3, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.15%) |
| |||||||||||
1.94% | 01/25/28 | 2 | 12,800,000 | 9,653,330 | ||||||||
SLM Student Loan Trust, Series 2007-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.54% | 10/27/70 | 2 | 2,195,000 | 1,942,813 | ||||||||
SLM Student Loan Trust, Series 2007-8, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
2.79% | 04/27/83 | 2 | 4,510,643 | 3,837,954 | ||||||||
SLM Student Loan Trust, Series 2008-2, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
2.54% | 04/25/23 | 2 | 13,862,046 | 13,181,726 | ||||||||
SLM Student Loan Trust, Series 2008-2, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 01/25/83 | 2 | 1,000,000 | 784,664 | ||||||||
SLM Student Loan Trust, Series 2008-3, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
2.99% | 04/26/83 | 2 | 710,000 | 642,369 | ||||||||
SLM Student Loan Trust, Series 2008-4, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
3.44% | 07/25/22 | 2 | 1,202,720 | 1,118,131 | ||||||||
SLM Student Loan Trust, Series 2008-4, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 04/25/73 | 2 | 710,000 | 600,693 |
See accompanying Notes to Financial Statements. |
195 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2008-5, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||||
3.49% | 07/25/23 | 2 | $ | 6,078,010 | $ | 5,746,388 | ||||||
SLM Student Loan Trust, Series 2008-5, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/25/73 | 2 | 7,315,000 | 6,489,807 | ||||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||||
2.89% | 07/25/23 | 2 | 9,191,165 | 8,965,945 | ||||||||
SLM Student Loan Trust, Series 2008-6, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 2 | 710,000 | 645,716 | ||||||||
SLM Student Loan Trust, Series 2008-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
3.64% | 07/26/83 | 2 | 820,000 | 750,434 | ||||||||
SLM Student Loan Trust, Series 2008-8, |
| |||||||||||
Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
3.29% | 04/25/23 | 2 | 1,534,049 | 1,530,226 | ||||||||
SLM Student Loan Trust, Series 2008-8, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
4.04% | 10/25/75 | 2 | 735,000 | 665,236 | ||||||||
SLM Student Loan Trust, Series 2008-9, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
3.29% | 04/25/23 | 2 | 2,149,614 | 2,130,998 | ||||||||
SLM Student Loan Trust, Series 2008-9, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
4.04% | 10/25/83 | 2 | 7,235,000 | 7,147,437 | ||||||||
SLM Student Loan Trust, Series 2009-3, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
1.70% | 01/25/45 | 1,2 | 8,149,232 | 7,430,929 | ||||||||
SLM Student Loan Trust, Series 2011-1, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
2.10% | 10/25/34 | 2 | 2,680,000 | 2,654,660 | ||||||||
SLM Student Loan Trust, Series 2011-2, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.20%) |
| |||||||||||
2.15% | 10/25/34 | 2 | 4,035,000 | 3,990,497 | ||||||||
SLM Student Loan Trust, Series 2012-1, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.90% | 09/25/28 | 2 | 873,712 | 839,704 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, Series 2012-2, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
1.65% | 01/25/29 | 2 | $ | 1,283,768 | $ | 1,229,759 | ||||||
SLM Student Loan Trust, Series 2012-7, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
1.60% | 05/26/26 | 2 | 3,284,670 | 3,015,147 | ||||||||
SLM Student Loan Trust, Series 2012-7, |
| |||||||||||
Class B |
| |||||||||||
(LIBOR USD 1-Month plus 1.80%) |
| |||||||||||
2.75% | 09/25/43 | 2 | 2,200,000 | 2,119,037 | ||||||||
SLM Student Loan Trust, Series 2013-4, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
1.50% | 06/25/43 | 2 | 1,183,202 | 1,143,038 | ||||||||
SLM Student Loan Trust, Series 2014-1, |
| |||||||||||
Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 02/26/29 | 2 | 1,178,506 | 1,098,942 | ||||||||
Store Master Funding, Series 2019-1, |
| |||||||||||
Class A2 |
| |||||||||||
3.65% | 11/20/49 | 1 | 5,055,078 | 4,666,714 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-A, Class B |
| |||||||||||
7.61% | 01/16/46 | 1 | 1,672,188 | 1,865,232 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-B, Class B |
| |||||||||||
7.97% | 08/15/36 | 1 | 1,138,420 | 1,311,483 | ||||||||
Student Loan Consolidation Center Student |
| |||||||||||
Loan Trust I, Series 2002-2, Class B2 |
| |||||||||||
(28 Day Auction Rate plus 0.00%) |
| |||||||||||
1.61% | 07/01/42 | 1,2 | 150,000 | 136,914 | ||||||||
TCI-Flatiron CLO Ltd., Series 2016-1A, |
| |||||||||||
Class AR (Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.22%) |
| |||||||||||
3.06% | 07/17/28 | 1,2,3 | 6,300,000 | 6,154,565 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $434,507,151) |
| 410,607,889 | ||||||||||
|
| |||||||||||
BANK LOANS — 1.47%* |
| |||||||||||
Automotive — 0.02% |
| |||||||||||
Panther BF Aggregator 2 LP |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.44% | 04/30/26 | 2 | 597,000 | 549,240 | ||||||||
|
| |||||||||||
Communications — 0.37% |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan A, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.99% | 01/31/25 | 2 | 987,500 | 926,606 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 196 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 03/15/27 | 2 | $ | 249,375 | $ | 234,258 | ||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.24% | 04/04/26 | 2 | 995,000 | 945,250 | ||||||||
Connect Finco SARL, |
| |||||||||||
Term Loan B |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 12/12/26 | 2 | 3,000,000 | 2,418,750 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.86% | 01/15/26 | 2 | 1,485,000 | 1,433,025 | ||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
5.21% | 06/17/24 | 2 | 7,456 | 7,126 | ||||||||
5.35% | 06/17/24 | 2 | 2,231,035 | 2,132,379 | ||||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 03/01/27 | 2 | 500,000 | 471,563 | ||||||||
Sprint Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/02/24 | 2 | 489,899 | 488,062 | ||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 02/02/24 | 2 | 987,500 | 983,797 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 03/09/27 | 2 | 1,250,000 | 1,187,500 | ||||||||
|
| |||||||||||
11,228,316 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.03% |
| |||||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.74% | 02/05/23 | 2 | 796,184 | 758,365 | ||||||||
|
| |||||||||||
Electric — 0.03% |
| |||||||||||
Homer City Generation LP, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 11.00%) |
| |||||||||||
12.46% | 04/05/23 | 2,5,6 | 704,156 | 536,919 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.55% | 12/31/25 | 2 | $ | 55,852 | $ | 53,373 | ||||||
2.74% | 12/31/25 | 2 | 233,354 | 222,999 | ||||||||
|
| |||||||||||
813,291 | ||||||||||||
|
| |||||||||||
Finance — 0.18% |
| |||||||||||
Avolon TLB Borrower 1 US LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.52% | 01/15/25 | 2 | 175,812 | 158,525 | ||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 10/06/23 | 2 | 5,956,840 | 5,435,617 | ||||||||
|
| |||||||||||
5,594,142 | ||||||||||||
|
| |||||||||||
Food — 0.03% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
4.03% | 08/03/25 | 2 | 1,047,368 | 992,382 | ||||||||
|
| |||||||||||
Health Care — 0.39% |
| |||||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 2 | 500,000 | 477,500 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.75% | 02/04/27 | 2 | 3,900,000 | 3,734,250 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 07/02/25 | 2 | 1,447,737 | 1,368,112 | ||||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.68% | 11/15/27 | 2 | 249,375 | 237,945 | ||||||||
MPH Acquisition Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
4.20% | 06/07/23 | 2 | 350,000 | 315,000 | ||||||||
U.S. Renal Care, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
6.00% | 06/26/26 | 2 | 1,691,500 | 1,495,777 |
See accompanying Notes to Financial Statements. |
197 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.61% | 06/02/25 | 2 | $ | 4,243,962 | $ | 4,061,832 | ||||||
|
| |||||||||||
11,690,416 | ||||||||||||
|
| |||||||||||
Industrials — 0.14% |
| |||||||||||
Berry Plastics Group, Inc., |
| |||||||||||
Term Loan Y, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.86% | 07/01/26 | 2 | 1,491,244 | 1,425,383 | ||||||||
Liqui-Box Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
6.15% | 02/26/27 | 2 | 1,750,000 | 1,513,750 | ||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.24% | 05/30/25 | 2 | 1,496,250 | 1,379,041 | ||||||||
|
| |||||||||||
4,318,174 | ||||||||||||
|
| |||||||||||
Information Technology — 0.14% |
| |||||||||||
Broadcom, Inc., |
| |||||||||||
Delayed-Draw Term Loan A3 |
| |||||||||||
(LIBOR plus 1.13%) |
| |||||||||||
2.13% | 11/04/22 | 2 | 1,950,000 | 1,862,250 | ||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 03/07/24 | 2 | 675,505 | �� | 629,908 | |||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
3.20% | 06/11/25 | 2 | 986,240 | 951,722 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 2 | 483,206 | 456,630 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/16/25 | 2 | 344,801 | 325,837 | ||||||||
|
| |||||||||||
4,226,347 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.08% |
| |||||||||||
SBA Senior Finance II LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 04/11/25 | 2 | 2,245,013 | 2,142,864 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.67% | 12/20/24 | 2 | $ | 250,000 | $ | 232,656 | ||||||
|
| |||||||||||
2,375,520 | ||||||||||||
|
| |||||||||||
Retail — 0.02% |
| |||||||||||
BC ULC/New Red Finance, Inc., |
| |||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.74% | 11/19/26 | 2,3 | 717,498 | 665,480 | ||||||||
|
| |||||||||||
Services — 0.04% |
| |||||||||||
GFL Environmental, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.99% | 05/30/25 | 2 | 1,052,311 | 1,025,567 | ||||||||
4.00% | 05/30/25 | 2 | 188,296 | 183,511 | ||||||||
|
| |||||||||||
1,209,078 | ||||||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $46,671,485) |
| 44,420,751 | ||||||||||
|
| |||||||||||
CORPORATES — 35.30%* |
| |||||||||||
Automotive — 0.01% |
| |||||||||||
Metalsa SA de CV, Series REGS (Mexico) |
| |||||||||||
4.90% | 04/24/23 | 3 | 500,000 | 424,200 | ||||||||
|
| |||||||||||
Banking — 3.28% |
| |||||||||||
Banco Internacional del Peru SAA Interbank, |
| |||||||||||
Series REGS (Peru) |
| |||||||||||
6.63% | 03/19/29 | 3,4 | 250,000 | 254,136 | ||||||||
Banco Nacional de Comercio Exterior |
| |||||||||||
SNC/Cayman Islands (Mexico) |
| |||||||||||
3.80% | 08/11/26 | 1,3,4 | 2,000,000 | 1,834,687 | ||||||||
Bank of America Corp. |
| |||||||||||
2.74% | 01/23/22 | 4 | 8,625,000 | 8,652,505 | ||||||||
3.00% | 12/20/23 | 4 | 1,515,000 | 1,547,811 | ||||||||
Bank of America Corp. (MTN) |
| |||||||||||
2.88% | 10/22/30 | 4 | 2,000,000 | 2,003,442 | ||||||||
3.12% | 01/20/23 | 4 | 544,000 | 553,191 | ||||||||
4.08% | 03/20/51 | 4 | 10,670,000 | 12,258,582 | ||||||||
Global Bank Corp. (Panama) |
| |||||||||||
5.25% | 04/16/29 | 1,3,4 | 600,000 | 586,200 | ||||||||
Global Bank Corp., |
| |||||||||||
Series REGS (Panama) |
| |||||||||||
5.25% | 04/16/29 | 3,4 | 1,200,000 | 1,172,400 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.01% | 03/13/26 | 4 | 13,055,000 | 13,007,144 | ||||||||
3.20% | 06/15/26 | 3,270,000 | 3,403,630 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 198 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.86% | 03/17/23 | 3,4 | $ | 5,000,000 | $ | 4,934,979 | ||||||
2.91% | 11/07/23 | 3,4 | 8,725,000 | 8,637,461 | ||||||||
3.90% | 03/12/24 | 3 | 1,500,000 | 1,520,717 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.88% | 08/05/21 | 3 | 4,300,000 | 4,280,132 | ||||||||
3.37% | 01/05/24 | 3,4 | 3,000,000 | 2,918,888 | ||||||||
4.80% | 11/15/24 | 3,4 | 2,545,000 | 2,669,202 | ||||||||
Santander UK PLC (United Kingdom) |
| |||||||||||
2.50% | 01/05/21 | 3 | 885,000 | 861,586 | ||||||||
5.00% | 11/07/23 | 1,3 | 3,415,000 | 3,446,384 | ||||||||
Wells Fargo & Co. (MTN) |
| |||||||||||
2.57% | 02/11/31 | 4 | 5,105,000 | 4,895,603 | ||||||||
5.01% | 04/04/51 | 4 | 15,530,000 | 19,999,851 | ||||||||
|
| |||||||||||
99,438,531 | ||||||||||||
|
| |||||||||||
Communications — 4.18% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
4.30% | 02/15/30 | 4,115,000 | 4,421,174 | |||||||||
4.30% | 12/15/42 | 2,300,000 | 2,437,893 | |||||||||
4.75% | 05/15/46 | 1,875,000 | 2,083,156 | |||||||||
4.80% | 06/15/44 | 6,267,000 | 6,823,526 | |||||||||
5.15% | 11/15/46 | 2,415,000 | 2,849,490 | |||||||||
5.25% | 03/01/37 | 4,935,000 | 5,771,344 | |||||||||
C&W Senior Financing DAC (Ireland) |
| |||||||||||
6.88% | 09/15/27 | 1,3 | 1,200,000 | 1,044,000 | ||||||||
CCO Holdings LLC/CCO Holdings |
| |||||||||||
Capital Corp. |
| |||||||||||
4.50% | 08/15/30 | 1 | 5,603,000 | 5,546,970 | ||||||||
4.50% | 05/01/32 | 1 | 1,650,000 | 1,611,174 | ||||||||
5.38% | 06/01/29 | 1 | 3,104,000 | 3,206,898 | ||||||||
CenturyLink, Inc. |
| |||||||||||
4.00% | 02/15/27 | 1 | 1,036,000 | 1,006,242 | ||||||||
Charter Communications Operating LLC/ |
| |||||||||||
Charter Communications Operating Capital |
| |||||||||||
3.58% | 07/23/20 | 1,250,000 | 1,246,187 | |||||||||
5.38% | 05/01/47 | 1,550,000 | 1,700,823 | |||||||||
CSC Holdings LLC |
| |||||||||||
5.38% | 02/01/28 | 1 | 1,645,000 | 1,689,362 | ||||||||
6.63% | 10/15/25 | 1 | 867,000 | 912,768 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 1,3 | 6,392,000 | 4,088,962 | ||||||||
9.75% | 07/15/25 | 1,3 | 3,820,000 | 2,423,161 | ||||||||
Koninklijke KPN NV (Netherlands) |
| |||||||||||
8.38% | 10/01/30 | 3 | 1,735,000 | 2,384,851 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
4.63% | 09/15/27 | 1 | 4,187,000 | 4,184,697 | ||||||||
5.25% | 03/15/26 | 120,000 | 121,200 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | $ | 2,235,000 | $ | 2,264,063 | |||||||
7.25% | 09/15/25 | 955,000 | 990,813 | |||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 1 | 8,494,000 | 7,084,457 | ||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% | 08/01/22 | 1 | 1,379,000 | 1,377,276 | ||||||||
5.50% | 07/01/29 | 1 | 3,500,000 | 3,574,641 | ||||||||
Sprint Corp. | ||||||||||||
7.88% | 09/15/23 | 3,296,000 | 3,638,240 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum |
| |||||||||||
Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 1 | 6,401,250 | 6,393,248 | ||||||||
4.74% | 03/20/25 | 1 | 9,165,000 | 9,428,448 | ||||||||
Time Warner Cable LLC |
| |||||||||||
5.50% | 09/01/41 | 2,972,000 | 3,118,158 | |||||||||
5.88% | 11/15/40 | 965,000 | 1,024,984 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
4.50% | 02/01/26 | 200,000 | 206,250 | |||||||||
6.00% | 03/01/23 | 1,264,000 | 1,278,871 | |||||||||
6.00% | 04/15/24 | 7,068,000 | 7,258,624 | |||||||||
6.50% | 01/15/24 | 740,000 | 752,950 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
3.15% | 03/22/30 | 2,200,000 | 2,374,727 | |||||||||
4.13% | 03/16/27 | 2,200,000 | 2,451,278 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.50% | 08/15/26 | 1,3 | 983,000 | 1,004,594 | ||||||||
5.50% | 05/15/29 | 1,3 | 4,379,000 | 4,404,660 | ||||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||||
4.25% | 09/17/50 | 3 | 1,460,000 | 1,543,477 | ||||||||
4.88% | 06/19/49 | 3 | 4,673,000 | 5,218,729 | ||||||||
5.25% | 05/30/48 | 3 | 4,682,000 | 5,665,202 | ||||||||
|
| |||||||||||
126,607,568 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.54% |
| |||||||||||
Bacardi Ltd. (Bermuda) |
| |||||||||||
4.70% | 05/15/28 | 1,3 | 1,180,000 | 1,263,192 | ||||||||
5.15% | 05/15/38 | 1,3 | 1,500,000 | 1,571,723 | ||||||||
BAT Capital Corp. |
| |||||||||||
4.54% | 08/15/47 | 500,000 | 457,463 | |||||||||
Reynolds American, Inc. |
| |||||||||||
5.85% | 08/15/45 | 12,245,000 | 12,969,577 | |||||||||
|
| |||||||||||
16,261,955 | ||||||||||||
|
| |||||||||||
Electric — 2.14% |
| |||||||||||
AES Panama SRL, Series REGS (Panama) |
| |||||||||||
6.00% | 06/25/22 | 3 | 250,000 | 239,125 | ||||||||
Alabama Power Capital Trust V |
| |||||||||||
4.53% | 10/01/42 | 4 | 1,300,000 | 1,192,750 |
See accompanying Notes to Financial Statements. |
199 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Cleco Power LLC |
| |||||||||||
6.00% | 12/01/40 | $ | 1,380,000 | $ | 2,230,142 | |||||||
Consolidated Edison Co. of New York, Inc. |
| |||||||||||
4.45% | 03/15/44 | 1,000,000 | 1,110,661 | |||||||||
Dominion Energy, Inc. |
| |||||||||||
5.75% | 10/01/54 | 4 | 2,515,000 | 2,210,917 | ||||||||
Dominion Energy, Inc., Series A |
| |||||||||||
3.30% | 03/15/25 | 7,025,000 | 7,114,032 | |||||||||
Duke Energy Carolinas LLC |
| |||||||||||
3.70% | 12/01/47 | 1,810,000 | 1,980,093 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 1 | 2,700,000 | 2,878,009 | ||||||||
6.40% | 09/15/20 | 1 | 4,641,000 | 4,744,846 | ||||||||
Entergy Corp. |
| |||||||||||
4.00% | 07/15/22 | 1,750,000 | 1,800,474 | |||||||||
Eskom Holdings SOC Ltd., Series REGS |
| |||||||||||
(South Africa) |
| |||||||||||
7.13% | 02/11/25 | 3 | 1,000,000 | 724,900 | ||||||||
Interstate Power & Light Co. |
| |||||||||||
3.25% | 12/01/24 | 6,130,000 | 6,354,167 | |||||||||
ITC Holdings Corp. |
| |||||||||||
3.65% | 06/15/24 | 1,251,000 | 1,296,217 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
4.00% | 04/15/25 | 1 | 2,625,000 | 2,837,691 | ||||||||
Mong Duong Finance Holdings BV, Series |
| |||||||||||
REGS (Netherlands) |
| |||||||||||
5.13% | 05/07/29 | 3 | 900,000 | 765,878 | ||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
2.16% | 08/28/21 | 2 | 7,005,000 | 6,864,865 | ||||||||
Perusahaan Listrik Negara PT, Series REGS |
| |||||||||||
(EMTN) (Indonesia) |
| |||||||||||
6.15% | 05/21/48 | 3 | 1,000,000 | 1,090,305 | ||||||||
PNM Resources, Inc. |
| |||||||||||
3.25% | 03/09/21 | 1,073,000 | 1,080,138 | |||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 5,565,000 | 5,716,942 | |||||||||
5.35% | 10/01/21 | 45,000 | 46,923 | |||||||||
Public Service Electric & Gas Co., Series CC |
| |||||||||||
9.25% | 06/01/21 | 6,935,000 | 7,515,583 | |||||||||
Southwestern Electric Power Co. |
| |||||||||||
3.55% | 02/15/22 | 2,625,000 | 2,648,812 | |||||||||
Southwestern Electric Power Co., Series M |
| |||||||||||
4.10% | 09/15/28 | 2,190,000 | 2,355,693 | |||||||||
|
| |||||||||||
64,799,163 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy — 4.05% |
| |||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | $ | 4,237,000 | $ | 1,599,467 | |||||||
5.13% | 12/01/22 | 96,000 | 50,433 | |||||||||
5.63% | 06/01/23 | 2,900,000 | 1,232,500 | |||||||||
Cheniere Energy Partners LP |
| |||||||||||
5.25% | 10/01/25 | 285,000 | 264,329 | |||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.88% | 10/15/25 | 2,190,000 | 2,009,284 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 1,600,000 | 1,258,237 | |||||||||
5.00% | 05/15/50 | 2,000,000 | 1,573,721 | |||||||||
5.15% | 03/15/45 | 3,826,000 | 2,960,888 | |||||||||
5.50% | 06/01/27 | 1,448,000 | 1,265,707 | |||||||||
5.88% | 01/15/24 | 1,745,000 | 1,683,925 | |||||||||
EQM Midstream Partners LP |
| |||||||||||
5.50% | 07/15/28 | 205,000 | 114,477 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 4,315,000 | 3,008,418 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.48% | 03/19/30 | 4,850,000 | 5,363,191 | |||||||||
4.23% | 03/19/40 | 3,235,000 | 3,798,181 | |||||||||
4.33% | 03/19/50 | 8,085,000 | 9,922,509 | |||||||||
Gulfport Energy Corp. |
| |||||||||||
6.38% | 05/15/25 | 315,000 | 79,142 | |||||||||
Hess Corp. |
| |||||||||||
7.88% | 10/01/29 | 1,855,000 | 1,604,575 | |||||||||
KazMunayGas National Co. JSC, |
| |||||||||||
Series REGS (Kazakhstan) |
| |||||||||||
5.38% | 04/24/30 | 3 | 6,656,000 | 6,612,320 | ||||||||
5.75% | 04/19/47 | 3 | 3,443,000 | 3,438,868 | ||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.00% | 08/15/42 | 1,090,000 | 1,020,125 | |||||||||
5.80% | 03/15/35 | 210,000 | 223,805 | |||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.30% | 12/01/34 | 875,000 | 845,249 | |||||||||
Pertamina Persero PT (Indonesia) |
| |||||||||||
3.10% | 08/25/30 | 1,3 | 5,579,000 | 4,988,184 | ||||||||
Perusahaan Gas Negara TBK PT (Indonesia) |
| |||||||||||
5.13% | 05/16/24 | 1,3 | 1,650,000 | 1,624,920 | ||||||||
Petrobras Global Finance BV (Netherlands) |
| |||||||||||
5.09% | 01/15/30 | 1,3 | 3,863,000 | 3,520,159 | ||||||||
Petroleos del Peru SA, Series REGS (Peru) |
| |||||||||||
4.75% | 06/19/32 | 3 | 2,088,000 | 1,917,938 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 200 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
1.70% | 12/20/22 | 3 | $ | 45,000 | $ | 44,016 | ||||||
5.95% | 01/28/31 | 1,3 | 920,000 | 639,400 | ||||||||
6.63% | 06/15/35 | 3 | 6,120,000 | 4,179,348 | ||||||||
6.75% | 09/21/47 | 3 | 5,765,000 | 3,756,474 | ||||||||
6.95% | 01/28/60 | 1,3 | 1,595,000 | 1,084,600 | ||||||||
7.69% | 01/23/50 | 1,3 | 7,827,000 | 5,400,630 | ||||||||
Plains All American Pipeline LP/PAA |
| |||||||||||
Finance Corp. |
| |||||||||||
4.50% | 12/15/26 | 3,755,000 | 3,025,094 | |||||||||
4.65% | 10/15/25 | 2,695,000 | 2,189,687 | |||||||||
Range Resources Corp. |
| |||||||||||
4.88% | 05/15/25 | 1,984,000 | 1,157,158 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% | 05/15/30 | 1 | 2,000,000 | 1,240,000 | ||||||||
4.95% | 07/15/29 | 1 | 1,000,000 | 600,435 | ||||||||
6.88% | 04/15/40 | 1 | 3,175,000 | 1,960,563 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
6.50% | 04/01/22 | 1 | 5,033,712 | 4,492,417 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
4.20% | 03/15/28 | 1,000,000 | 845,237 | |||||||||
Saudi Arabian Oil Co., |
| |||||||||||
Series REGS (EMTN) (Saudi Arabia) |
| |||||||||||
4.25% | 04/16/39 | 3 | 901,000 | 899,919 | ||||||||
Southern Co. Gas Capital Corp. |
| |||||||||||
3.25% | 06/15/26 | 2,935,000 | 2,895,206 | |||||||||
Southern Gas Corridor CJSC, |
| |||||||||||
Series REGS (Azerbaijan) |
| |||||||||||
6.88% | 03/24/26 | 3 | 3,626,000 | 3,719,116 | ||||||||
Spectra Energy Partners LP |
| |||||||||||
4.60% | 06/15/21 | 3,335,000 | 3,290,997 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 1,776,000 | 1,420,900 | |||||||||
Targa Resources Partners LP/Targa |
| |||||||||||
Resources Partners Finance Corp. |
| |||||||||||
6.88% | 01/15/29 | 1,422,000 | 1,159,233 | |||||||||
TC PipeLines LP |
| |||||||||||
4.38% | 03/13/25 | 3,000,000 | 3,055,216 | |||||||||
4.65% | 06/15/21 | 2,300,000 | 2,250,699 | |||||||||
TransMontaigne Partners LP/ |
| |||||||||||
TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 1,302,000 | 1,054,449 | |||||||||
Transocean Pontus Ltd. (Cayman Islands) |
| |||||||||||
6.13% | 08/01/25 | 1,3 | 1,355,205 | 1,107,839 | ||||||||
Transocean Poseidon Ltd. (Cayman Islands) |
| |||||||||||
6.88% | 02/01/27 | 1,3 | 4,148,000 | 3,388,781 | ||||||||
Transocean Proteus Ltd. (Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 1,3 | 777,700 | 628,961 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
USA Compression Partners LP/USA |
| |||||||||||
Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | $ | 1,984,000 | $ | 1,251,154 | |||||||
6.88% | 09/01/27 | 3,198,000 | 2,046,720 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
6.30% | 04/15/40 | 1,750,000 | 1,747,061 | |||||||||
|
| |||||||||||
|
122,511,862 |
| ||||||||||
|
| |||||||||||
Entertainment — 0.06% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 1 | 2,000,000 | 1,791,100 | ||||||||
|
| |||||||||||
Finance — 5.03% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global |
| |||||||||||
Aviation Trust (Ireland) |
| |||||||||||
3.65% | 07/21/27 | 3 | 1,225,000 | 950,595 | ||||||||
3.88% | 01/23/28 | 3 | 1,090,000 | 856,234 | ||||||||
3.95% | 02/01/22 | 3 | 1,500,000 | 1,359,537 | ||||||||
4.45% | 12/16/21 | 3 | 1,750,000 | 1,610,580 | ||||||||
5.00% | 10/01/21 | 3 | 2,550,000 | 2,358,543 | ||||||||
Air Lease Corp. |
| |||||||||||
2.25% | 01/15/23 | 2,000,000 | 1,663,835 | |||||||||
3.50% | 01/15/22 | 2,000,000 | 1,808,978 | |||||||||
3.88% | 07/03/23 | 2,862,000 | 2,386,845 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 1,3 | 4,555,000 | 3,632,463 | ||||||||
3.95% | 07/01/24 | 1,3 | 1,035,000 | 816,894 | ||||||||
5.13% | 10/01/23 | 1,3 | 2,603,000 | 2,253,343 | ||||||||
5.25% | 05/15/24 | 1,3 | 320,000 | 253,934 | ||||||||
Citigroup, Inc. |
| |||||||||||
3.14% | 01/24/23 | 4 | 4,200,000 | 4,253,210 | ||||||||
3.70% | 01/12/26 | 11,895,000 | 12,529,492 | |||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% | 10/30/21 | 1 | 2,815,000 | 2,701,850 | ||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
2.59% | 02/15/22 | 1,2 | 4,095,000 | 3,796,572 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.34% | 11/02/20 | 3,295,000 | 3,212,625 | |||||||||
2.98% | 08/03/22 | 3,015,000 | 2,819,025 | |||||||||
3.20% | 01/15/21 | 5,970,000 | 5,820,750 | |||||||||
3.22% | 01/09/22 | 2,630,000 | 2,465,625 | |||||||||
3.34% | 03/18/21 | 2,000,000 | 1,923,891 | |||||||||
3.34% | 03/28/22 | 7,735,000 | 7,261,564 | |||||||||
3.81% | 10/12/21 | 2,340,000 | 2,256,649 | |||||||||
5.88% | 08/02/21 | 780,000 | 768,300 | |||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
2.73% | 10/12/21 | 2 | 3,000,000 | 2,759,244 | ||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
2.84% | 08/03/22 | 2 | 2,555,000 | 2,111,069 |
See accompanying Notes to Financial Statements. |
201 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
2.34% | 11/15/20 | 3 | $ | 13,905,000 | $ | 13,838,821 | ||||||
4.42% | 11/15/35 | 3 | 6,432,000 | 6,920,586 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 500,000 | 446,806 | |||||||||
3.20% | 07/06/21 | 1,235,000 | 1,176,546 | |||||||||
3.45% | 04/10/22 | 675,000 | 627,686 | |||||||||
4.20% | 03/01/21 | 1,000,000 | 962,693 | |||||||||
4.20% | 11/06/21 | 2,950,000 | 2,772,379 | |||||||||
4.38% | 09/25/21 | 11,995,000 | 11,052,774 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.60% | 02/07/30 | 1,000,000 | 945,066 | |||||||||
3.27% | 09/29/25 | 4 | 8,155,000 | 8,265,253 | ||||||||
3.69% | 06/05/28 | 4 | 2,520,000 | 2,585,518 | ||||||||
3.81% | 04/23/29 | 4 | 3,115,000 | 3,238,901 | ||||||||
Morgan Stanley |
| |||||||||||
(LIBOR USD 3-Month plus 0.93%) |
| |||||||||||
2.73% | 07/22/22 | 2 | 8,400,000 | 8,176,777 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 1,3,4 | 5,000,000 | 4,976,299 | ||||||||
3.77% | 03/08/24 | 1,3,4 | 3,070,000 | 2,977,530 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 2,920,000 | 2,537,991 | ||||||||
5.25% | 08/15/22 | 1,3 | 2,175,000 | 1,968,533 | ||||||||
5.50% | 02/15/24 | 1,3 | 3,080,000 | 2,656,994 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
3.63% | 09/15/26 | 1,540,000 | 1,559,511 | |||||||||
|
| |||||||||||
|
152,318,311 |
| ||||||||||
|
| |||||||||||
Food — 1.64% |
| |||||||||||
JBS USA LUX SA/JBS USA |
| |||||||||||
Food Co./JBS USA Finance, Inc. (Canada) |
| |||||||||||
5.50% | 01/15/30 | 1,3 | 2,505,000 | 2,600,315 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.38% | 06/01/46 | 7,720,000 | 7,019,709 | |||||||||
4.88% | 10/01/49 | 1 | 8,265,000 | 7,548,708 | ||||||||
5.00% | 06/04/42 | 3,015,000 | 2,867,628 | |||||||||
5.20% | 07/15/45 | 7,805,000 | �� | 7,539,897 | ||||||||
6.88% | 01/26/39 | 1,000,000 | 1,141,689 | |||||||||
7.13% | 08/01/39 | 1 | 1,655,000 | 1,910,317 | ||||||||
Kroger Co. (The) |
| |||||||||||
5.40% | 01/15/49 | 2,597,000 | 3,151,257 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% | 09/30/27 | 1 | 3,220,000 | 3,240,864 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% | 04/15/30 | 1 | $ | 1,785,000 | $ | 1,722,525 | ||||||
5.00% | 08/15/26 | 1 | 333,000 | 344,555 | ||||||||
5.50% | 12/15/29 | 1 | 925,000 | 964,636 | ||||||||
5.75% | 03/01/27 | 1 | 2,700,000 | 2,807,217 | ||||||||
Smithfield Foods, Inc. |
| |||||||||||
5.20% | 04/01/29 | 1 | 4,690,000 | 4,729,014 | ||||||||
Tyson Foods, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
2.15% | 08/21/20 | 2 | 2,185,000 | 2,180,897 | ||||||||
|
| |||||||||||
|
49,769,228 |
| ||||||||||
|
| |||||||||||
Gaming — 0.27% |
| |||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% | 01/15/28 | 1 | 1,875,000 | 1,641,656 | ||||||||
5.50% | 04/01/27 | 1 | 6,759,000 | 6,383,452 | ||||||||
|
| |||||||||||
|
8,025,108 |
| ||||||||||
|
| |||||||||||
Health Care — 6.34% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
4.05% | 11/21/39 | 1 | 1,550,000 | 1,620,821 | ||||||||
4.25% | 11/21/49 | 1 | 8,510,000 | 9,158,020 | ||||||||
4.40% | 11/06/42 | 3,655,000 | 4,084,939 | |||||||||
4.45% | 05/14/46 | 2,350,000 | 2,570,134 | |||||||||
4.88% | 11/14/48 | 1,375,000 | 1,623,855 | |||||||||
Aetna, Inc. |
| |||||||||||
2.80% | 06/15/23 | 1,382,000 | 1,380,682 | |||||||||
Allergan Finance LLC |
| |||||||||||
3.25% | 10/01/22 | 3,500,000 | 3,487,895 | |||||||||
Allergan Funding SCS (Luxembourg) |
| |||||||||||
3.80% | 03/15/25 | 3 | 695,000 | 712,432 | ||||||||
Amgen, Inc. |
| |||||||||||
4.40% | 05/01/45 | 1,310,000 | 1,551,899 | |||||||||
Anthem, Inc. |
| |||||||||||
3.50% | 08/15/24 | 7,156,000 | 7,351,627 | |||||||||
3.65% | 12/01/27 | 3,385,000 | 3,500,392 | |||||||||
Bausch Health Cos., Inc. (Canada) |
| |||||||||||
5.75% | 08/15/27 | 1,3 | 1,860,000 | 1,925,379 | ||||||||
6.50% | 03/15/22 | 1,3 | 1,850,000 | 1,875,437 | ||||||||
7.00% | 03/15/24 | 1,3 | 2,859,000 | 2,930,461 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
3.88% | 12/15/23 | 1 | 55,000 | 56,387 | ||||||||
4.25% | 12/15/25 | 1 | 2,005,000 | 2,087,137 | ||||||||
4.38% | 12/15/28 | 1 | 13,135,000 | 14,056,534 | ||||||||
4.63% | 06/25/38 | 1 | 2,775,000 | 2,972,502 | ||||||||
4.88% | 06/25/48 | 1 | 4,415,000 | 5,180,503 | ||||||||
5.50% | 08/15/25 | 1 | 2,000,000 | 2,185,367 |
See accompanying Notes to Financial Statements. |
Annual Report March 2020 / 202 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Becton Dickinson and Co. |
| |||||||||||
2.89% | 06/06/22 | $ | 1,043,000 | $ | 1,046,536 | |||||||
6.70% | 08/01/28 | 2,930,000 | 3,354,850 | |||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
2.25% | 12/29/20 | 2 | 1,500,000 | 1,449,618 | ||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
5.00% | 07/15/27 | 1 | 268,000 | 261,447 | ||||||||
Centene Corp. |
| |||||||||||
3.38% | 02/15/30 | 1 | 5,000,000 | 4,661,737 | ||||||||
4.25% | 12/15/27 | 1 | 222,000 | 218,792 | ||||||||
4.63% | 12/15/29 | 1 | 6,203,000 | 6,268,442 | ||||||||
5.38% | 08/15/26 | 1 | 90,000 | 92,813 | ||||||||
Cigna Corp. |
| |||||||||||
2.40% | 03/15/30 | 1,000,000 | 953,370 | |||||||||
3.05% | 10/15/27 | 1 | 3,375,000 | 3,342,850 | ||||||||
3.40% | 03/15/50 | 10,000 | 9,569 | |||||||||
3.88% | 10/15/47 | 1 | 4,825,000 | 4,858,523 | ||||||||
4.13% | 11/15/25 | 4,380,000 | 4,693,200 | |||||||||
4.90% | 12/15/48 | 1,755,000 | 2,116,019 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 15,417,000 | 17,683,374 | |||||||||
5.13% | 07/20/45 | 755,000 | 872,566 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.02% | 08/28/23 | 6,355,000 | 6,440,297 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 4,870,000 | 4,799,629 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
4.13% | 10/15/20 | 1 | 1,015,000 | 1,010,839 | ||||||||
Hartford HealthCare Corp. |
| |||||||||||
5.75% | 04/01/44 | 1,525,000 | 1,953,183 | |||||||||
HCA, Inc. |
| |||||||||||
3.50% | 09/01/30 | 3,500,000 | 3,192,451 | |||||||||
4.75% | 05/01/23 | 1,000,000 | 1,025,813 | |||||||||
5.00% | 03/15/24 | 4,533,000 | 4,703,795 | |||||||||
5.25% | 04/15/25 | 2,477,000 | 2,602,973 | |||||||||
5.25% | 06/15/49 | 5,670,000 | 6,086,565 | |||||||||
Humana, Inc. |
| |||||||||||
2.90% | 12/15/22 | 4,795,000 | 4,816,064 | |||||||||
4.95% | 10/01/44 | 1,470,000 | 1,675,948 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
4.88% | 06/15/25 | 1 | 2,405,000 | 2,365,907 | ||||||||
5.38% | 11/15/22 | 2,317,000 | 2,271,448 | |||||||||
Partners Healthcare System, Inc., |
| |||||||||||
Series 2020 |
| |||||||||||
3.34% | 07/01/60 | 3,350,000 | 3,369,010 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 1 | 2,593,000 | 2,496,540 | ||||||||
4.88% | 01/01/26 | 1 | 3,992,000 | 3,817,350 | ||||||||
5.13% | 11/01/27 | 1 | 6,500,000 | 6,215,625 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.70% | 08/15/49 | $ | 2,215,000 | $ | 2,480,775 | |||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | 8,315,000 | 8,301,022 | |||||||||
|
| |||||||||||
191,821,343 | ||||||||||||
|
| |||||||||||
Industrials — 1.61% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 1 | 2,125,000 | 2,202,539 | ||||||||
Ardagh Packaging Finance PLC/Ardagh |
| |||||||||||
Holdings USA, Inc. (Ireland) |
| |||||||||||
4.13% | 08/15/26 | 1,3 | 5,100,000 | 4,972,500 | ||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
2.85% | 12/15/20 | 1 | 1,895,000 | 1,890,223 | ||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 1,000,000 | 1,017,500 | |||||||||
Berry Global, Inc. |
| |||||||||||
4.88% | 07/15/26 | 1 | 675,000 | 685,545 | ||||||||
Clean Harbors, Inc. |
| |||||||||||
4.88% | 07/15/27 | 1 | 3,000,000 | 2,953,350 | ||||||||
General Electric Co. (GMTN) |
| |||||||||||
4.63% | 01/07/21 | 3,220,000 | 3,180,825 | |||||||||
General Electric Co. (MTN) |
| |||||||||||
4.65% | 10/17/21 | 1,655,000 | 1,685,271 | |||||||||
5.55% | 05/04/20 | 2,600,000 | 2,606,708 | |||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
2.17% | 08/15/36 | 2 | 10,370,000 | 7,909,651 | ||||||||
General Electric Co., Series A (MTN) |
| |||||||||||
6.75% | 03/15/32 | 3,690,000 | 4,389,395 | |||||||||
Graphic Packaging International LLC |
| |||||||||||
4.75% | 07/15/27 | 1 | 1,600,000 | 1,580,800 | ||||||||
4.88% | 11/15/22 | 500,000 | 484,218 | |||||||||
Heathrow Funding Ltd. (United Kingdom) |
| |||||||||||
4.88% | 07/15/21 | 1,3 | 700,000 | 739,603 | ||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 1 | 285,000 | 264,329 | ||||||||
Sealed Air Corp. |
| |||||||||||
4.00% | 12/01/27 | 1 | 2,885,000 | 2,712,189 | ||||||||
5.25% | 04/01/23 | 1 | 1,000,000 | 1,028,745 | ||||||||
5.50% | 09/15/25 | 1 | 2,063,000 | 2,123,853 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 1,3 | 1,670,000 | 1,411,150 | ||||||||
Trivium Packaging Finance BV (Netherlands) |
| |||||||||||
5.50% | 08/15/26 | 1,3 | 4,787,000 | 4,810,935 | ||||||||
|
| |||||||||||
48,649,329 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
203 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology — 1.23% |
| |||||||||||
Broadcom Corp./Broadcom Cayman |
| |||||||||||
Finance Ltd. |
| |||||||||||
3.63% | 01/15/24 | $ | 3,500,000 | $ | 3,506,164 | |||||||
Broadcom, Inc. |
| |||||||||||
3.13% | 04/15/21 | 1 | 6,230,000 | 6,164,020 | ||||||||
3.13% | 10/15/22 | 1 | 1,500,000 | 1,487,630 | ||||||||
3.63% | 10/15/24 | 1 | 1,175,000 | 1,158,418 | ||||||||
Change Healthcare Holdings LLC/Change |
| |||||||||||
Healthcare Finance, Inc. |
| |||||||||||
5.75% | 03/01/25 | 1 | 980,000 | 921,200 | ||||||||
Dell International LLC/EMC Corp. |
| |||||||||||
4.42% | 06/15/21 | 1 | 2,410,000 | 2,410,309 | ||||||||
Intel Corp. |
| |||||||||||
4.75% | 03/25/50 | 9,060,000 | 12,274,649 | |||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
3.88% | 09/01/22 | 1,3 | 300,000 | 301,529 | ||||||||
4.13% | 06/01/21 | 1,3 | 2,447,000 | 2,471,088 | ||||||||
4.63% | 06/15/22 | 1,3 | 5,135,000 | 5,317,035 | ||||||||
4.63% | 06/01/23 | 1,3 | 795,000 | 821,454 | ||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% | 09/30/27 | 1 | 300,000 | 314,351 | ||||||||
|
| |||||||||||
37,147,847 | ||||||||||||
|
| |||||||||||
Insurance — 0.70% |
| |||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.25% | 01/15/49 | 3,980,000 | 4,948,171 | |||||||||
Farmers Exchange Capital |
| |||||||||||
7.20% | 07/15/48 | 1 | 150,000 | 220,921 | ||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% | 11/01/53 | 1,4 | 2,500,000 | 3,396,875 | ||||||||
Farmers Insurance Exchange |
| |||||||||||
4.75% | 11/01/57 | 1,4 | 3,800,000 | 4,033,727 | ||||||||
8.63% | 05/01/24 | 1 | 942,000 | 1,167,254 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
3.03% | 12/15/24 | 1,4 | 3,825,000 | 3,853,240 | ||||||||
Teachers Insurance & Annuity |
| |||||||||||
Association of America |
| |||||||||||
4.38% | 09/15/54 | 1,4 | 3,425,000 | 3,694,719 | ||||||||
|
| |||||||||||
21,314,907 | ||||||||||||
|
| |||||||||||
Materials — 0.56% |
| |||||||||||
Corp. Nacional del Cobre de Chile, |
| |||||||||||
Series REGS (Chile) |
| |||||||||||
3.15% | 01/14/30 | 3 | 3,998,000 | 3,754,781 | ||||||||
3.63% | 08/01/27 | 3 | 1,850,000 | 1,815,590 | ||||||||
Indonesia Asahan Aluminum Persero PT |
| |||||||||||
(Indonesia) |
| |||||||||||
6.53% | 11/15/28 | 1,3 | 5,708,000 | 6,032,143 | ||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 4,525,000 | 4,636,809 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Materials (continued) |
| |||||||||||
Sasol Financing USA LLC |
| |||||||||||
5.88% | 03/27/24 | $ | 1,200,000 | $ | 521,760 | |||||||
Volcan Cia. Minera SAA, Series REGS |
| |||||||||||
(Peru) |
| |||||||||||
5.38% | 02/02/22 | 3 | 300,000 | 206,460 | ||||||||
|
| |||||||||||
16,967,543 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.77% |
| |||||||||||
American Campus Communities |
| |||||||||||
Operating Partnership LP |
| |||||||||||
3.63% | 11/15/27 | 2,246,000 | 2,239,275 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 4,185,000 | 4,020,299 | |||||||||
3.45% | 11/15/29 | 11,930,000 | 10,665,396 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
4.00% | 01/15/30 | 1,175,000 | 916,500 | |||||||||
5.30% | 01/15/29 | 2,280,000 | 1,954,348 | |||||||||
5.38% | 04/15/26 | 2,680,000 | 2,390,426 | |||||||||
5.75% | 06/01/28 | 6,241,000 | 5,558,656 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.75% | 04/15/23 | 4,146,000 | 4,145,984 | |||||||||
3.88% | 05/01/25 | 2,190,000 | 2,325,651 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
4.25% | 11/15/23 | 2,498,000 | 2,365,038 | |||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.95% | 11/01/27 | 2,500,000 | 2,385,175 | |||||||||
MGM Growth Properties Operating |
| |||||||||||
Partnership LP/MGP Finance Co.-Issuer, Inc. |
| |||||||||||
5.63% | 05/01/24 | 625,000 | 603,909 | |||||||||
Piedmont Operating Partnership LP |
| |||||||||||
3.40% | 06/01/23 | 4,520,000 | 4,530,261 | |||||||||
Post Apartment Homes LP |
| |||||||||||
3.38% | 12/01/22 | 90,000 | 92,365 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
2.67% | 08/16/21 | 2 | 1,500,000 | 1,460,104 | ||||||||
SL Green Realty Corp. |
| |||||||||||
4.50% | 12/01/22 | 3,000,000 | 3,084,714 | |||||||||
Ventas Realty LP |
| |||||||||||
3.25% | 10/15/26 | 4,380,000 | 4,147,625 | |||||||||
3.75% | 05/01/24 | 875,000 | 793,216 | |||||||||
|
| |||||||||||
53,678,942 | ||||||||||||
|
| |||||||||||
Retail — 0.49% |
| |||||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||||||
3.55% | 07/26/27 | 1,3 | 1,935,000 | 1,923,873 | ||||||||
3.80% | 01/25/50 | 1,3 | 2,940,000 | 2,599,753 | ||||||||
Rite Aid Corp. |
| |||||||||||
6.13% | 04/01/23 | 1 | 2,607,000 | 2,261,573 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 204 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Retail (continued) |
| |||||||||||
Starbucks Corp. |
| |||||||||||
2.25% | 03/12/30 | $ | 3,000,000 | $ | 2,814,340 | |||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
3.45% | 06/01/26 | 2,500,000 | 2,476,592 | |||||||||
3.80% | 11/18/24 | 2,599,000 | 2,643,611 | |||||||||
|
| |||||||||||
14,719,742 | ||||||||||||
|
| |||||||||||
Services — 1.12% |
| |||||||||||
DP World Crescent Ltd. (Cayman Islands) |
| |||||||||||
4.85% | 09/26/28 | 1,3 | 4,036,000 | 3,713,120 | ||||||||
GFL Environmental, Inc. (Canada) |
| |||||||||||
5.13% | 12/15/26 | 1,3 | 1,988,000 | 1,953,210 | ||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
4.00% | 03/01/26 | 1,3 | 1,516,000 | 1,500,279 | ||||||||
4.13% | 08/01/23 | 3 | 3,000,000 | 3,085,560 | ||||||||
4.75% | 02/15/25 | 1,3 | 11,600,000 | 11,976,652 | ||||||||
4.75% | 08/01/28 | 3 | 1,750,000 | 1,843,673 | ||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 1 | 5,578,000 | 5,214,133 | ||||||||
William Marsh Rice University |
| |||||||||||
2.60% | 05/15/50 | 5,420,000 | 4,722,207 | |||||||||
|
| |||||||||||
34,008,834 | ||||||||||||
|
| |||||||||||
Transportation — 0.28% |
| |||||||||||
America West Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class G |
| |||||||||||
7.10% | 04/02/21 | 611,186 | 612,292 | |||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2011-1, Class A |
| |||||||||||
5.25% | 01/31/21 | 24,409 | 23,983 | |||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2013-2, Class A |
| |||||||||||
4.95% | 01/15/23 | 1,144,153 | 1,167,040 | |||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
Series 2015-2, Class AA |
| |||||||||||
3.60% | 09/22/27 | 2,298,711 | 2,187,070 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2000-1, Class A1 |
| |||||||||||
8.05% | 11/01/20 | 140,407 | 141,902 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2000-2, Class A |
| |||||||||||
7.71% | 04/02/21 | 153,603 | 151,691 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
6.70% | 06/15/21 | 18,766 | 18,600 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 2,103,431 | 2,158,415 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class B |
| |||||||||||
6.25% | 04/11/20 | 25,591 | 25,580 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Transportation (continued) |
| |||||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2002-1, Class G1 |
| |||||||||||
6.72% | 01/02/23 | $ | 749,566 | $ | 754,804 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class G |
| |||||||||||
7.08% | 03/20/21 | 358,400 | 360,525 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2010-1, Class A |
| |||||||||||
6.25% | 04/22/23 | 767,120 | 762,729 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 73,128 | 73,434 | |||||||||
|
| |||||||||||
8,438,065 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $1,099,295,307) |
| 1,068,693,578 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 4.32% |
| |||||||||||
Foreign Government Obligations — 4.32% |
| |||||||||||
Abu Dhabi Government International Bond, |
| |||||||||||
Series REGS (United Arab Emirates) |
| |||||||||||
2.50% | 09/30/29 | 3 | 5,948,000 | 5,801,965 | ||||||||
Bahrain Government International Bond, |
| |||||||||||
Series REGS (Bahrain) |
| |||||||||||
6.75% | 09/20/29 | 3 | 1,644,000 | 1,477,031 | ||||||||
7.00% | 10/12/28 | 3 | 4,560,000 | 4,192,350 | ||||||||
Brazilian Government International Bond |
| |||||||||||
(Brazil) |
| |||||||||||
4.50% | 05/30/29 | 3 | 700,000 | 720,888 | ||||||||
4.63% | 01/13/28 | 3 | 7,258,000 | 7,752,451 | ||||||||
Chile Government International Bond (Chile) |
| |||||||||||
3.24% | 02/06/28 | 3 | 1,052,000 | 1,108,072 | ||||||||
Colombia Government International Bond |
| |||||||||||
(Colombia) |
| |||||||||||
3.00% | 01/30/30 | 3 | 2,903,000 | 2,662,051 | ||||||||
3.88% | 04/25/27 | 3 | 1,562,000 | 1,551,913 | ||||||||
4.50% | 01/28/26 | 3 | 4,500,000 | 4,581,562 | ||||||||
5.00% | 06/15/45 | 3 | 2,900,000 | 2,978,844 | ||||||||
5.20% | 05/15/49 | 3 | 916,000 | 963,661 | ||||||||
Corp. Financiera de Desarrollo SA, |
| |||||||||||
Series REGS (Peru) |
| |||||||||||
4.75% | 07/15/25 | 3 | 2,000,000 | 1,935,000 | ||||||||
Dominican Republic International Bond |
| |||||||||||
(Dominican Republic) |
| |||||||||||
4.50% | 01/30/30 | 1,3 | 400,000 | 349,800 | ||||||||
Dominican Republic International Bond, |
| |||||||||||
Series REGS (Dominican Republic) |
| |||||||||||
5.50% | 01/27/25 | 3 | 1,702,000 | 1,624,389 | ||||||||
6.00% | 07/19/28 | 3 | 6,059,000 | 5,709,396 | ||||||||
Egypt Government International Bond |
| |||||||||||
(Egypt) |
| |||||||||||
5.58% | 02/21/23 | 1,3 | 1,600,000 | 1,488,000 | ||||||||
7.60% | 03/01/29 | 1,3 | 700,000 | 630,070 |
See accompanying Notes to Financial Statements.
205 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Foreign Government Obligations (continued) |
| |||||||||||
Fondo MIVIVIENDA SA, Series REGS (Peru) |
| |||||||||||
3.50% | 01/31/23 | 3 | $ | 1,000,000 | $ | 951,505 | ||||||
Hazine Mustesarligi Varlik Kiralama AS, |
| |||||||||||
Series REGS (Turkey) |
| |||||||||||
4.49% | 11/25/24 | 3 | 270,000 | 237,431 | ||||||||
Indonesia Government International Bond |
| |||||||||||
(Indonesia) |
| |||||||||||
2.85% | 02/14/30 | 3 | 1,000,000 | 974,777 | ||||||||
Mexico Government International Bond |
| |||||||||||
(Mexico) |
| |||||||||||
3.25% | 04/16/30 | 3 | 11,290,000 | 10,685,985 | ||||||||
3.75% | 01/11/28 | 3 | 2,205,000 | 2,209,134 | ||||||||
Oman Government International Bond |
| |||||||||||
(Oman) |
| |||||||||||
5.63% | 01/17/28 | 1,3 | 4,465,000 | 3,192,475 | ||||||||
Panama Government International Bond |
| |||||||||||
(Panama) |
| |||||||||||
3.16% | 01/23/30 | 3 | 4,131,000 | 4,144,555 | ||||||||
Paraguay Government International Bond, |
| |||||||||||
Series REGS (Paraguay) |
| |||||||||||
4.63% | 01/25/23 | 3 | 950,000 | 964,259 | ||||||||
4.70% | 03/27/27 | 3 | 420,000 | 428,728 | ||||||||
Peruvian Government International Bond |
| |||||||||||
(Peru) |
| |||||||||||
2.84% | 06/20/30 | 3 | 4,360,000 | 4,586,284 | ||||||||
4.13% | 08/25/27 | 3 | 4,572,000 | 5,194,032 | ||||||||
Philippine Government International Bond |
| |||||||||||
(Philippines) |
| |||||||||||
3.00% | 02/01/28 | 3 | 4,028,000 | 4,233,986 | ||||||||
3.70% | 03/01/41 | 3 | 1,169,000 | 1,291,014 | ||||||||
3.75% | 01/14/29 | 3 | 1,966,000 | 2,192,444 | ||||||||
Qatar Government International Bond, |
| |||||||||||
Series REGS (Qatar) |
| |||||||||||
4.50% | 04/23/28 | 3 | 6,373,000 | 6,998,484 | ||||||||
4.63% | 06/02/46 | 3 | 1,953,000 | 2,270,363 | ||||||||
Republic of Azerbaijan International Bond, |
| |||||||||||
Series REGS (Azerbaijan) |
| |||||||||||
4.75% | 03/18/24 | 3 | 1,719,000 | 1,693,731 | ||||||||
Republic of South Africa Government |
| |||||||||||
International Bond (South Africa) |
| |||||||||||
4.30% | 10/12/28 | 3 | 4,717,000 | 3,889,195 | ||||||||
4.67% | 01/17/24 | 3 | 900,000 | 847,620 | ||||||||
Russian Foreign Bond - Eurobond, |
| |||||||||||
Series REGS (Russia) |
| |||||||||||
4.25% | 06/23/27 | 3 | 1,000,000 | 1,052,500 | ||||||||
4.38% | 03/21/29 | 3 | 6,800,000 | 7,296,400 | ||||||||
Saudi Government International Bond, |
| |||||||||||
Series REGS (EMTN) (Saudi Arabia) |
| |||||||||||
3.63% | 03/04/28 | 3 | 3,700,000 | 3,769,930 | ||||||||
4.50% | 10/26/46 | 3 | 2,708,000 | 2,762,160 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Foreign Government Obligations (continued) |
| |||||||||||
Saudi Government International Bond |
| |||||||||||
(Saudi Arabia) |
| |||||||||||
2.75% | 02/03/32 | 1,3 | $ | 500,000 | $ | 468,200 | ||||||
3.75% | 01/21/55 | 1,3 | 903,000 | 839,790 | ||||||||
4.00% | 04/17/25 | 1,3 | 2,700,000 | 2,812,836 | ||||||||
Turkey Government International Bond |
| |||||||||||
(Turkey) |
| |||||||||||
5.13% | 03/25/22 | 3 | 2,250,000 | 2,182,500 | ||||||||
Uruguay Government International Bond |
| |||||||||||
(Uruguay) |
| |||||||||||
4.38% | 10/27/27 | 3 | 4,381,296 | 4,763,794 | ||||||||
4.38% | 01/23/31 | 3 | 1,988,717 | 2,173,688 | ||||||||
|
| |||||||||||
Total Foreign Government Obligations |
| |||||||||||
(Cost $137,548,941) |
| 130,635,243 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 42.87%** |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
Mortgage-Backed — 6.44% |
| |||||||||||
1345 Avenue of the Americas & Park Avenue |
| |||||||||||
Plaza Trust, Series 2005-1, Class A3 |
| |||||||||||
5.28% | 08/10/35 | 1 | 16,900,000 | 17,220,762 | ||||||||
Banc of America Merrill Lynch Commercial |
| |||||||||||
Mortgage Trust, Series 2018-PARK, Class A |
| |||||||||||
4.09% | 08/10/38 | 1,4 | 7,585,000 | 8,071,072 | ||||||||
Banc of America Merrill Lynch Commercial |
| |||||||||||
Mortgage Trust, Series 2020-BOC, Class A |
| |||||||||||
2.63% | 01/15/32 | 1 | 5,000,000 | 5,168,830 | ||||||||
Banc of America Merrill Lynch Commercial |
| |||||||||||
Mortgage Trust, Series 2020-BOC, Class X |
| |||||||||||
(IO) |
| |||||||||||
0.47% | 01/15/32 | 1,4 | 98,610,000 | 2,697,225 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-2, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.43%) |
| |||||||||||
1.38% | 08/25/34 | 1,2 | 806,152 | 734,005 | ||||||||
BBCMS Mortgage Trust, |
| |||||||||||
Series 2020-C6, Class F5TB |
| |||||||||||
3.69% | 02/15/53 | 1,4 | 4,325,000 | 2,691,593 | ||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2019-B15, Class XA (IO) |
| |||||||||||
0.83% | 12/15/72 | 4 | 51,893,427 | 3,079,325 | ||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2020-IG1, Class XA (IO) |
| |||||||||||
0.51% | 09/15/43 | 4 | 23,510,000 | 944,448 | ||||||||
BX Trust, Series 2019-OC11, Class A |
| |||||||||||
3.20% | 12/09/41 | 1 | 7,060,000 | 6,926,994 | ||||||||
CALI Mortgage Trust, Series 2019-101C, |
| |||||||||||
Class A |
| |||||||||||
3.96% | 03/10/39 | 1 | 7,630,000 | 8,339,719 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 206 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
CD Mortgage Trust, Series 2016-CD1, |
| |||||||||||
Class XA (IO) |
| |||||||||||
1.40% | 08/10/49 | 4 | $ | 47,950,715 | $ | 3,078,788 | ||||||
Century Plaza Towers, Series 2019-CPT, |
| |||||||||||
Class A |
| |||||||||||
2.87% | 11/13/39 | 1 | 6,125,000 | 6,061,561 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2012-GC8, Class XA (IO) |
| |||||||||||
1.77% | 09/10/45 | 1,4 | 38,381,589 | 1,320,960 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2015-GC27, Class XA (IO) |
| |||||||||||
1.35% | 02/10/48 | 4 | 71,079,717 | 3,636,890 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2020-555, Class X (IO) |
| |||||||||||
0.86% | 12/10/41 | 1,4 | 50,100,000 | 2,953,232 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2010-C1, Class A3 |
| |||||||||||
4.21% | 07/10/46 | 1 | 6,237,986 | 6,246,678 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR4, Class XA (IO) |
| |||||||||||
1.70% | 10/15/45 | 4 | 43,100,511 | 1,397,616 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR5, Class XA (IO) |
| |||||||||||
1.53% | 12/10/45 | 4 | 72,217,791 | 2,325,955 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-300P, Class A1 |
| |||||||||||
4.35% | 08/10/30 | 1 | 2,840,000 | 2,975,668 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR13, Class XA (IO) |
| |||||||||||
0.77% | 11/10/46 | 4 | 63,264,566 | 1,523,044 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-LC6, Class XA (IO) |
| |||||||||||
1.37% | 01/10/46 | 4 | 26,450,316 | 772,981 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-277P, Class A |
| |||||||||||
3.61% | 08/10/49 | 1,4 | 6,275,000 | 6,442,848 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR16, Class XA (IO) |
| |||||||||||
0.98% | 04/10/47 | 4 | 108,813,560 | 3,564,221 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2020-CBM, Class XCP (IO) |
| |||||||||||
0.49% | 02/10/37 | 1,4 | 83,820,000 | 1,811,178 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||
Series 2019-C17, Class A4 |
| |||||||||||
2.76% | 09/15/52 | 6,050,000 | 6,127,011 | |||||||||
DBJPM Mortgage Trust, |
| |||||||||||
Series 2016-SFC, Class A |
| |||||||||||
2.83% | 08/10/36 | 1 | 8,000,000 | 7,653,122 | ||||||||
DC Office Trust, Series 2019-MTC, Class A |
| |||||||||||
2.97% | 09/15/45 | 1 | 6,555,000 | 6,506,592 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
GE Business Loan Trust, Series 2007-1A, |
| |||||||||||
Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
0.87% | 04/15/35 | 1,2 | $ | 2,216,546 | $ | 2,023,921 | ||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GC6, Class XA (IO) |
| |||||||||||
1.93% | 01/10/45 | 1,4 | 50,479,851 | 1,167,700 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2014-GC20, Class XA (IO) |
| |||||||||||
1.06% | 04/10/47 | 4 | 77,864,548 | 2,232,700 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2020-UPTN, Class XA (IO) |
| |||||||||||
0.35% | 02/10/37 | 1,4 | 40,999,000 | 648,086 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-30HY, Class A |
| |||||||||||
3.23% | 07/10/39 | 1 | 6,340,000 | 6,772,549 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class A |
| |||||||||||
2.94% | 12/10/41 | 1,4 | 6,555,000 | 7,265,099 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class F |
| |||||||||||
2.94% | 12/10/41 | 1,4 | 2,250,000 | 1,733,497 | ||||||||
JPMBB Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2013-C14, Class XA (IO) |
| |||||||||||
0.57% | 08/15/46 | 4 | 72,561,638 | 1,112,290 | ||||||||
JPMorgan Chase Commercial Mortgage |
| |||||||||||
Securities Trust, Series 2019-OSB, |
| |||||||||||
Class A |
| |||||||||||
3.40% | 06/05/39 | 1 | 8,000,000 | 8,116,110 | ||||||||
Lehman Brothers Small Balance Commercial |
| |||||||||||
Mortgage Trust, Series 2007-2A, Class 1A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.88% | 06/25/37 | 1,2 | 1,235,040 | 1,132,662 | ||||||||
MKT Mortgage Trust, Series 2020-525M, |
| |||||||||||
Class A |
| |||||||||||
2.69% | 02/12/40 | 1 | 4,500,000 | 4,272,064 | ||||||||
MKT Mortgage Trust, Series 2020-525M, |
| |||||||||||
Class XA (IO) |
| |||||||||||
0.21% | 02/12/40 | 1,4 | 147,585,000 | 3,101,373 | ||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series 2012-C6, Class A4 |
| |||||||||||
2.86% | 11/15/45 | 1,124,569 | 1,135,000 | |||||||||
Morgan Stanley Bank of America Merrill |
| |||||||||||
Lynch Trust, Series 2015-C22, Class XA (IO) |
| |||||||||||
1.07% | 04/15/48 | 4 | 76,115,489 | 2,906,478 | ||||||||
Natixis Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2018-ALXA, Class E |
| |||||||||||
4.32% | 01/15/43 | 1,4 | 1,095,000 | 764,985 | ||||||||
Natixis Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2019-MILE, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.50%) |
| |||||||||||
2.20% | 07/15/36 | 1,2 | 5,175,000 | 4,905,901 |
See accompanying Notes to Financial Statements.
207 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial |
| |||||||||||
One Bryant Park Trust, |
| |||||||||||
Series 2019-OBP, Class A |
| |||||||||||
2.52% | 09/15/54 | 1 | $ | 6,895,000 | $ | 6,938,403 | ||||||
SFAVE Commercial Mortgage Securities |
| |||||||||||
Trust, Series 2015-5AVE, Class A2B |
| |||||||||||
4.14% | 01/05/43 | 1,4 | 1,840,000 | 1,657,115 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC16, Class XA (IO) |
| |||||||||||
1.11% | 08/15/50 | 4 | 52,038,329 | 1,849,140 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2016-C33, Class XA (IO) |
| |||||||||||
1.72% | 03/15/59 | 4 | 101,596,918 | 6,721,617 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C10, Class XA (IO) |
| |||||||||||
1.54% | 12/15/45 | 1,4 | 66,559,064 | 2,306,584 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C8, Class XA (IO) |
| |||||||||||
1.81% | 08/15/45 | 1,4 | 43,948,106 | 1,381,230 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C9, Class XA (IO) |
| |||||||||||
1.89% | 11/15/45 | 1,4 | 37,194,454 | 1,460,055 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2013-C14, Class XA (IO) |
| |||||||||||
0.73% | 06/15/46 | 4 | 74,826,546 | 1,340,989 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-C23, Class XA (IO) |
| |||||||||||
0.57% | 10/15/57 | 4 | 85,389,146 | 1,821,897 | ||||||||
|
| |||||||||||
195,039,763 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 24.09% |
| |||||||||||
Accredited Mortgage Loan Trust, |
| |||||||||||
Series 2006-1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
1.23% | 04/25/36 | 2 | 3,601,216 | 3,445,882 | ||||||||
ACE Securities Corp. Home Equity Loan |
| |||||||||||
Trust, Series 2006-OP2, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
1.10% | 08/25/36 | 2 | 437,514 | 411,418 | ||||||||
ACE Securities Corp. Home Equity Loan |
| |||||||||||
Trust, Series 2007-ASP1, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||||
1.33% | 03/25/37 | 2 | 2,767,919 | 1,509,501 | ||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||
Series 2005-4, Class 5A1 |
| |||||||||||
3.48% | 08/25/35 | 4 | 2,340,243 | 1,872,067 | ||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||||
Series 2007-1, Class 1A1 |
| |||||||||||
4.15% | 03/25/37 | 4 | 2,835,643 | 2,267,737 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-76, Class 1A1 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 1.48%) |
| |||||||||||
3.45% | 01/25/36 | 2 | $ | 4,451,876 | $ | 4,047,154 | ||||||
Alternative Loan Trust, |
| |||||||||||
Series 2006-HY12, Class A5 |
| |||||||||||
3.92% | 08/25/36 | 4 | 4,491,223 | 4,150,695 | ||||||||
American Home Mortgage Investment Trust, |
| |||||||||||
Series 2006-1, Class 12A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
1.35% | 03/25/46 | 2 | 4,717,387 | 3,848,534 | ||||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2007-NC1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 05/25/37 | 1,2 | 5,146,281 | 4,553,830 | ||||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2007-WMC1, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.95% | 06/25/37 | 2 | 4,362,465 | 3,728,077 | ||||||||
Asset-Backed Securities Corp. Home Equity |
| |||||||||||
Loan Trust, Series 2004-HE9, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||||
1.92% | 12/25/34 | 2 | 1,694,581 | 1,475,648 | ||||||||
Asset-Backed Securities Corp. Home Equity |
| |||||||||||
Loan Trust, Series 2006-HE1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
1.25% | 01/25/36 | 2 | 5,000,000 | 4,526,024 | ||||||||
Asset-Backed Securities Corp. Home Equity |
| |||||||||||
Loan Trust, Series 2006-HE5, Class A5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 07/25/36 | 2 | 9,754,000 | 8,517,476 | ||||||||
Banc of America Alternative Loan Trust, |
| |||||||||||
Series 2003-8, Class 1CB1 |
| |||||||||||
5.50% | 10/25/33 | 924,929 | 921,068 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2004-B, Class 5A1 |
| |||||||||||
4.26% | 11/20/34 | 4 | 299,173 | 267,762 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-D, Class 3A1 |
| |||||||||||
4.10% | 05/20/36 | 4 | 1,126,803 | 1,025,243 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-G, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
1.21% | 07/20/36 | 2 | 772,651 | 750,891 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-G, Class 2A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||||
1.35% | 07/20/36 | 2 | 3,085,759 | 3,003,813 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R3, Class 6A2 |
| |||||||||||
1.80% | 05/27/36 | 1,4 | 17,746,035 | 15,571,413 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 208 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2016-R1, Class A1 |
| |||||||||||
2.50% | 03/25/40 | 1,4 | $ | 3,119,615 | $ | 3,066,866 | ||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2016-R1, Class B1 |
| |||||||||||
3.50% | 03/25/40 | 1,4 | 16,181,000 | 14,842,195 | ||||||||
Banc of America Mortgage Trust, |
| |||||||||||
Series 2005-K, Class 2A1 |
| |||||||||||
3.81% | 12/25/35 | 4 | 1,359,904 | 1,135,656 | ||||||||
BCAP LLC Trust, Series 2007-AA1, |
| |||||||||||
Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
1.13% | 03/25/37 | 2 | 4,291,027 | 3,507,175 | ||||||||
BCAP LLC Trust, Series 2014-RR2, |
| |||||||||||
Class 6A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.87% | 10/26/36 | 1,2 | 7,111,481 | 7,006,714 | ||||||||
BCAP LLC Trust, Series 2014-RR3, |
| |||||||||||
Class 4A1 |
| |||||||||||
1.93% | 03/26/36 | 1,4 | 4,465,185 | 4,103,664 | ||||||||
Bear Stearns ALT-A Trust, Series 2005-1, |
| |||||||||||
Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
1.70% | 01/25/35 | 2 | 13,620,844 | 13,379,800 | ||||||||
Bear Stearns ALT-A Trust, Series 2005-2, |
| |||||||||||
Class 2A4 |
| |||||||||||
3.78% | 04/25/35 | 4 | 1,827,420 | 1,673,712 | ||||||||
Bear Stearns ALT-A Trust, Series 2005-8, |
| |||||||||||
Class 11A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||||
1.49% | 10/25/35 | 2 | 9,048,958 | 8,085,030 | ||||||||
Bear Stearns ARM Trust, Series 2005-9, |
| |||||||||||
Class A1 |
| |||||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||||
Constant Maturity 1 Year plus 2.30%) |
| |||||||||||
4.27% | 10/25/35 | 2 | 2,245,295 | 2,112,790 | ||||||||
Bear Stearns Asset-Backed Securities I |
| |||||||||||
Trust, Series 2005-AC6, Class 1A3 |
| |||||||||||
5.50% | 09/25/35 | 4 | 518,074 | 487,914 | ||||||||
Bear Stearns Asset-Backed Securities I |
| |||||||||||
Trust, Series 2006-AC2, Class 21A3 |
| |||||||||||
6.00% | 03/25/36 | 63,323 | 64,639 | |||||||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||||
Series 2007-AR4, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
1.15% | 09/25/47 | 2 | 9,519,288 | 7,845,672 | ||||||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||||
Series 2007-AR4, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||||
1.16% | 06/25/37 | 2 | 7,492,588 | 6,396,619 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Carrington Mortgage Loan Trust, |
| |||||||||||
Series 2005-OPT2, Class M4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||||
1.92% | 05/25/35 | 2 | $ | 2,960,000 | $ | 2,871,490 | ||||||
Carrington Mortgage Loan Trust, |
| |||||||||||
Series 2006-OPT1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
1.30% | 02/25/36 | 2 | 3,620,000 | 3,436,015 | ||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2007-A1, Class 8A1 |
| |||||||||||
4.26% | 02/25/37 | 4 | 971,665 | 889,471 | ||||||||
CIM Trust, Series 2016-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 2.50%) |
| |||||||||||
4.08% | 02/25/56 | 1,2 | 9,839,495 | 9,420,900 | ||||||||
CIM Trust, Series 2017-6, Class A1 |
| |||||||||||
3.02% | 06/25/57 | 1,4 | 12,705,234 | 11,984,083 | ||||||||
CIM Trust, Series 2017-8, Class A1 |
| |||||||||||
3.00% | 12/25/65 | 1,4 | 11,148,207 | 10,805,501 | ||||||||
CIM Trust, Series 2018-R4, Class A1 |
| |||||||||||
4.07% | 12/26/57 | 1,4 | 11,342,207 | 11,710,341 | ||||||||
CIM Trust, Series 2018-R5, Class A1 |
| |||||||||||
3.75% | 07/25/58 | 1,4 | 10,974,245 | 10,566,582 | ||||||||
CIM Trust, Series 2019-R3, Class A |
| |||||||||||
2.63% | 06/25/58 | 1,4 | 14,003,302 | 12,914,824 | ||||||||
CIM Trust, Series 2020-R1, Class A1 |
| |||||||||||
2.85% | 10/27/59 | 1,4 | 16,862,931 | 14,594,474 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2005-9, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
1.21% | 11/25/35 | 2 | 59,172 | 43,354 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-AR3, Class 1A2A |
| |||||||||||
4.43% | 06/25/36 | 4 | 232,821 | 192,904 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-HE2, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
1.19% | 08/25/36 | 2 | 824,936 | 769,906 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-WFH2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||||
1.22% | 08/25/36 | 2 | 8,972,899 | 8,627,345 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-WFH3, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.24% | 10/25/36 | 2 | 3,098,302 | 3,081,569 | ||||||||
Conseco Finance Corp., Series 1998-6, |
| |||||||||||
Class A8 |
| |||||||||||
6.66% | 06/01/30 | 4 | 12,463 | 12,617 |
See accompanying Notes to Financial Statements.
209 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2004-15, Class MV4 |
| |||||||||||
(LIBOR USD 1-Month plus 1.28%) |
| |||||||||||
2.22% | 04/25/35 | 2 | $ | 1,697,322 | $ | 1,694,744 | ||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2005-3, |
| |||||||||||
Class 1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||||
1.53% | 04/25/35 | 2 | 4,469,279 | 3,708,982 | ||||||||
Countrywide Home Loan Mortgage |
| |||||||||||
Pass-Through Trust, Series 2005-9, |
| |||||||||||
Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.55% | 05/25/35 | 2 | 99,027 | 74,334 | ||||||||
Credit Suisse First Boston Mortgage |
| |||||||||||
Securities Corp., Series 2003-AR26, |
| |||||||||||
Class 3A1 |
| |||||||||||
4.09% | 11/25/33 | 4 | 799,308 | 735,043 | ||||||||
Credit Suisse First Boston Mortgage |
| |||||||||||
Securities Corp., Series 2005-11, |
| |||||||||||
Class 1A1 |
| |||||||||||
6.50% | 12/25/35 | 691,797 | 502,870 | |||||||||
Credit Suisse First Boston Mortgage-Backed |
| |||||||||||
Pass-Through Certificates, Series 2004-AR5, |
| |||||||||||
Class 9A1 |
| |||||||||||
2.94% | 06/25/34 | 4 | 77,142 | 70,428 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2006-8, Class 3A1 |
| |||||||||||
6.00% | 10/25/21 | 53,032 | 43,704 | |||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2019-RPL2, Class A1A |
| |||||||||||
4.34% | 11/25/58 | 1 | 13,609,616 | 13,376,661 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2B |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.94% | 02/25/37 | 5,812,924 | 4,371,152 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2C |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.94% | 02/25/37 | 1,391,275 | 1,046,063 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB3, Class A3 |
| |||||||||||
(STEP-reset date 05/25/20) |
| |||||||||||
3.69% | 03/25/37 | 6,523,976 | 3,095,231 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2006-CB2, |
| |||||||||||
Class AF3 (STEP-reset date 05/25/20) |
| |||||||||||
3.30% | 12/25/36 | 832,616 | 643,471 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2006-CB9, |
| |||||||||||
Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||||
1.06% | 11/25/36 | 2 | $ | 9,238,568 | $ | 4,709,380 | ||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB1, |
| |||||||||||
Class AF2 (STEP-reset date 05/25/20) |
| |||||||||||
3.46% | 01/25/37 | 2,481,050 | 891,515 | |||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB4, |
| |||||||||||
Class A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.09%) |
| |||||||||||
1.04% | 04/25/37 | 2 | 2,955,408 | 2,451,074 | ||||||||
Credit-Based Asset Servicing and |
| |||||||||||
Securitization LLC, Series 2007-CB5, |
| |||||||||||
Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.06%) |
| |||||||||||
1.01% | 04/25/37 | 2 | 1,753,528 | 1,065,121 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR4, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||||
1.11% | 01/19/45 | 2 | 878,039 | 727,718 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR6, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||||
1.04% | 10/19/45 | 2 | 4,947,808 | 4,192,693 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2006-AR2, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
0.95% | 10/19/36 | 2 | 7,189,492 | 4,864,077 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2007-AR1, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.89% | 04/19/47 | 2 | 2,001,217 | 1,414,552 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF13, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
1.11% | 10/25/36 | 2 | 959,304 | 710,995 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF18, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||||
1.16% | 12/25/37 | 2 | 1,146,880 | 971,876 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF4, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
2.19% | 03/25/36 | 2 | 13,641,922 | 11,021,242 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF9, Class 2A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 06/25/36 | 2 | 8,650,000 | 6,145,603 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 210 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-AgencyMortgage-Backed |
| |||||||||
First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C (LIBOR USD 1-Month plus 0.25%) |
| |||||||||
1.20% | 04/25/372 | $ | 22,030,987 | $ | 11,075,363 | |||||
First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D (LIBOR USD 1-Month plus 0.22%) |
| |||||||||
1.17% | 01/25/382 | 5,338,659 | 3,182,016 | |||||||
First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B (LIBOR USD 1-Month plus 0.10%) |
| |||||||||
1.05% | 03/25/372 | 690,669 | 379,416 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 |
| |||||||||
3.53% | 09/25/344 | 367,259 | 336,051 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3 |
| |||||||||
3.53% | 09/25/344 | 564,730 | 516,742 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1 |
| |||||||||
3.73% | 12/25/354 | 1,454,402 | 1,234,690 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1 |
| |||||||||
3.51% | 02/25/364 | 2,039,881 | 1,394,904 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA2, Class 2A1 |
| |||||||||
3.55% | 04/25/354 | 2,523,130 | 2,334,820 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA3, Class 3A1 |
| |||||||||
3.86% | 05/25/354 | 2,411,995 | 2,279,015 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1 |
| |||||||||
3.56% | 09/25/354 | 2,780,815 | 2,430,057 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1 |
| |||||||||
3.59% | 10/25/354 | 3,029,819 | 2,261,413 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1 |
| |||||||||
3.81% | 11/25/354 | 1,873,714 | 1,637,708 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1 |
| |||||||||
3.64% | 03/25/364 | 2,401,790 | 1,929,777 | |||||||
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA7, Class A1 |
| |||||||||
3.66% | 01/25/374 | 3,464,740 | 2,769,036 | |||||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 1A1 |
| |||||||||
4.16% | 09/25/354 | 3,017,175 | 2,454,766 | |||||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1 |
| |||||||||
4.05% | 10/25/354 | 112,434 | 101,494 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
First Horizon Mortgage Pass-Through Trust, Series 2005-AR5, Class 2A1 |
| |||||||||
4.34% | 11/25/354 | $ | 1,190,512 | $ | 986,913 | |||||
First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2 |
| |||||||||
4.79% | 08/25/374 | 110,850 | 71,845 | |||||||
GMACM Mortgage Corp. Loan Trust, Series 2005-AR5, Class 2A1 |
| |||||||||
4.48% | 09/19/354 | 1,713,542 | 1,244,340 | |||||||
GMACM Mortgage Corp. Loan Trust, Series 2005-AR5, Class 3A1 |
| |||||||||
3.98% | 09/19/354 | 1,947,436 | 1,624,393 | |||||||
GMACM Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1 |
| |||||||||
3.78% | 04/19/364 | 4,340,987 | 3,395,452 | |||||||
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 2A (LIBOR USD 1-Month plus 0.29%) |
| |||||||||
1.24% | 07/25/352 | 250,808 | 250,616 | |||||||
GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 2A1A (LIBOR USD 1-Month plus 0.20%) |
| |||||||||
1.15% | 03/25/472 | 15,856,184 | 12,767,516 | |||||||
GSAMP Trust, Series 2005-HE5, Class M2 (LIBOR USD 1-Month plus 0.43%) |
| |||||||||
1.38% | 11/25/352 | 4,055,275 | 4,016,983 | |||||||
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO) |
| |||||||||
4.55% | 09/25/352,5,6 | 22,977 | 1,073 | |||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Class 5A1 |
| |||||||||
4.60% | 07/25/354 | 1,087,865 | 901,228 | |||||||
GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1 |
| |||||||||
3.61% | 04/25/364 | 253,897 | 210,412 | |||||||
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A |
| |||||||||
4.11% | 05/25/374 | 998,397 | 791,907 | |||||||
HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A (LIBOR USD 1-Month plus 0.31%) |
| |||||||||
1.06% | 11/19/352 | 3,106,250 | 2,569,696 | |||||||
HarborView Mortgage Loan Trust, Series 2006-7, Class 1A (LIBOR USD 1-Month plus 0.21%) |
| |||||||||
0.96% | 09/19/462 | 13,427,336 | 11,015,851 | |||||||
HarborView Mortgage Loan Trust, Series 2007-6, Class 1A1A (LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.95% | 08/19/372 | 15,006,222 | 11,312,026 |
See accompanying Notes to Financial Statements.
211 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Home Equity Mortgage Loan Asset-Backed |
| |||||||||
Trust, Series 2005-D, Class AII4 |
| |||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||
1.30% | 03/25/362 | $ | 6,225,378 | $ | 5,655,955 | |||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2005-OPT1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||
1.58% | 11/25/352 | 4,891,173 | 4,714,492 | |||||||
Impac CMB Trust, Series 2005-2, |
| |||||||||
Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||
1.47% | 04/25/352 | 4,165,451 | 3,683,343 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR14, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
1.23% | 07/25/352 | 13,264,840 | 9,842,747 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR19, Class A1 |
| |||||||||
3.41% | 10/25/354 | 2,478,199 | 1,920,188 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR27, Class 1A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
1.22% | 10/25/362 | 7,128,614 | 3,903,975 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR7, Class 3A1 |
| |||||||||
3.64% | 05/25/364 | 426,278 | 350,121 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR9, Class 3A3 |
| |||||||||
3.61% | 06/25/364 | 3,920,684 | 3,473,850 | |||||||
IndyMac Manufactured Housing Contract |
| |||||||||
Pass-Through Certificates, Series 1998-1, |
| |||||||||
Class A4 |
| |||||||||
6.49% | 09/25/28 | 48,271 | 49,084 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-ACC1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
1.22% | 05/25/362 | 6,577,502 | 6,406,078 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-CH1, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||
1.24% | 07/25/362 | 12,400,000 | 11,525,080 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH1, Class MV1 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
1.18% | 11/25/362 | 365,999 | 367,668 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH1, Class MV3 |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
1.27% | 11/25/362 | 14,417,000 | 14,003,394 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH5, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
1.11% | 06/25/362 | $ | 193,109 | $ | 170,445 | |||||
JPMorgan Mortgage Trust, Series 2005-A6, |
| |||||||||
Class 7A1 |
| |||||||||
4.19% | 08/25/354 | 38,798 | 35,672 | |||||||
JPMorgan Mortgage Trust, Series 2006-A3, |
| |||||||||
Class 2A1 |
| |||||||||
3.94% | 05/25/364 | 34,084 | 30,609 | |||||||
JPMorgan Mortgage Trust, Series 2006-S2, |
| |||||||||
Class 2A2 |
| |||||||||
5.88% | 06/25/21 | 148,512 | 136,393 | |||||||
JPMorgan Mortgage Trust, Series 2007-S1, |
| |||||||||
Class 1A2 |
| |||||||||
5.50% | 03/25/22 | 30,147 | 28,351 | |||||||
Legacy Mortgage Asset Trust, |
| |||||||||
Series 2017-RPL1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||
2.69% | 01/28/701,2 | 12,214,651 | 11,352,537 | |||||||
Legacy Mortgage Asset Trust, |
| |||||||||
Series 2019-GS4, Class A1 |
| |||||||||
(STEP-reset date 04/27/20) |
| |||||||||
3.44% | 05/25/591 | 13,825,312 | 13,099,900 | |||||||
Lehman XS Trust, Series 2005-4, |
| |||||||||
Class 1A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
1.75% | 10/25/352 | 75,769 | 74,366 | |||||||
Lehman XS Trust, Series 2005-5N, |
| |||||||||
Class 3A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
1.25% | 11/25/352 | 3,897,761 | 3,645,123 | |||||||
Lehman XS Trust, Series 2006-GP2, |
| |||||||||
Class 1A5A |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 06/25/462 | 6,838,005 | 5,983,932 | |||||||
Lehman XS Trust, Series 2007-18N, |
| |||||||||
Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.85%) |
| |||||||||
1.80% | 10/25/372 | 6,886,078 | 5,669,068 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2003-7, Class 3A1 |
| |||||||||
3.78% | 11/25/334 | 268,684 | 249,601 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-15, Class 8A1 |
| |||||||||
4.91% | 10/25/344 | 398,428 | 366,153 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-3, Class 3A3 |
| |||||||||
3.63% | 04/25/344 | 65,499 | 58,158 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2006-2, Class 4A1 |
| |||||||||
4.47% | 02/25/364 | 31,727 | 30,667 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 212 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2007-2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
1.10% | 03/25/472 | $ | 4,678,739 | $ | 3,892,881 | |||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2007-HE1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
1.23% | 05/25/372 | 3,150,000 | 2,187,550 | |||||||
Merrill Lynch Alternative Note Asset Trust, |
| |||||||||
Series 2007-A3, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
1.28% | 04/25/372,5,6 | 883,581 | 78,583 | |||||||
Merrill Lynch First Franklin Mortgage Loan |
| |||||||||
Trust, Series 2007-4, Class 2A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
1.20% | 07/25/372 | 1,182,515 | 733,602 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2003-A6, Class 2A |
| |||||||||
4.16% | 10/25/334 | 184,825 | 169,200 | |||||||
Merrill Lynch Mortgage-Backed Securities |
| |||||||||
Trust, Series 2007-2, Class 1A1 |
| |||||||||
(US Treasury Yield Curve Rate T Note |
| |||||||||
Constant Maturity 1 Year plus 2.40%) |
| |||||||||
3.58% | 08/25/362 | 1,529,327 | 1,334,406 | |||||||
Mid-State Capital Corp., Series 2004-1, |
| |||||||||
Class B |
| |||||||||
8.90% | 08/15/37 | 51,454 | 57,007 | |||||||
Morgan Stanley Capital I Trust, |
| |||||||||
Series 2006-NC2, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||
1.24% | 02/25/362 | 2,639,343 | 2,291,236 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2004-7AR, Class 2A4 |
| |||||||||
3.55% | 09/25/344 | 402,053 | 380,549 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2006-2, Class 1A |
| |||||||||
5.25% | 02/25/21 | 114,448 | 110,090 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R9, Class 3A |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 0.84%) |
| |||||||||
2.89% | 11/26/461,2 | 1,790,819 | 1,710,886 | |||||||
MortgageIT Trust, Series 2005-2, Class 2A |
| |||||||||
(LIBOR USD 1-Month plus 1.65%) |
| |||||||||
3.23% | 05/25/352 | 2,166,858 | 2,025,839 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-D, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
1.28% | 02/25/362 | 2,403,726 | 2,178,377 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
New York Mortgage Trust, Series 2005-3, |
| |||||||||
Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
1.43% | 02/25/362 | $ | 610,364 | $ | 561,422 | |||||
Nomura Asset Acceptance Corp., |
| |||||||||
Series 2005-AR4, Class 4A1 |
| |||||||||
4.22% | 08/25/354 | 3,141,403 | 2,912,728 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2016-2R, Class 1A1 |
| |||||||||
1.78% | 09/26/361,4 | 4,245,156 | 4,042,295 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2011-2RA, Class 1A2 |
| |||||||||
3.97% | 12/26/461,4 | 1,510,552 | 1,502,130 | |||||||
NRPL, Series 2019-3A, Class A1 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
3.00% | 07/25/591 | 14,504,357 | 13,525,629 | |||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||
Series 2000-A, Class A5 |
| |||||||||
8.16% | 09/15/294 | 10,600,162 | 5,400,036 | |||||||
Opteum Mortgage Acceptance Corp. |
| |||||||||
Asset-Backed Pass-Through Certificates, |
| |||||||||
Series 2005-3, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
1.43% | 07/25/352 | 11,301,000 | 10,377,732 | |||||||
Ownit Mortgage Loan Trust, |
| |||||||||
Series 2006-2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 01/25/372 | 9,606,345 | 8,436,169 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-A, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||
1.26% | 06/25/472 | 5,152,000 | 4,059,049 | |||||||
RAAC Trust, |
| |||||||||
Series 2005-SP1, Class 4A1 |
| |||||||||
7.00% | 09/25/34 | 109,521 | 106,253 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA13, Class 2A1 |
| |||||||||
4.56% | 12/25/354 | 2,206,551 | 1,778,252 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA4, Class A41 |
| |||||||||
4.23% | 04/25/354 | 76,830 | 60,725 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA7, Class A21 |
| |||||||||
4.38% | 07/25/354 | 978,021 | 888,325 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA8, Class CB21 |
| |||||||||
4.47% | 07/25/354 | 886,902 | 650,661 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS13, Class 2A1 |
| |||||||||
5.75% | 09/25/21 | 48,980 | 49,742 |
See accompanying Notes to Financial Statements.
213 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS16, Class A6 |
| |||||||||
6.00% | 11/25/36 | $ | 656,307 | $ | 557,775 | |||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS1, Class 2AV (IO) |
| |||||||||
0.17% | 01/25/374,5,6 | 2,645,931 | 16,500 | |||||||
Residential Asset Securities Corp., |
| |||||||||
Series 2005-KS9, Class M4 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
1.55% | 10/25/352 | 5,465,000 | 5,199,436 | |||||||
Residential Asset Securitization Trust, |
| |||||||||
Series 2006-A9CB, Class A9 |
| |||||||||
6.00% | 09/25/36 | 5,451,297 | 2,828,147 | |||||||
Residential Funding Mortgage Securities |
| |||||||||
Trust, Series 2007-SA2, Class 1A |
| |||||||||
4.13% | 04/25/374 | 277,602 | 159,310 | |||||||
Saxon Asset Securities Trust, Series 2005-4, |
| |||||||||
Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||
1.39% | 11/25/372 | 5,680,471 | 5,573,332 | |||||||
Saxon Asset Securities Trust, Series 2007-2, |
| |||||||||
Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
1.19% | 05/25/472 | 17,971,092 | 12,647,538 | |||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||
Trust, Series 2006-CB1, Class AF4 |
| |||||||||
(STEP-reset date 05/25/20) |
| |||||||||
3.30% | 01/25/36 | 4,875,057 | 4,249,417 | |||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||
Trust, Series 2007-BR2, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
1.18% | 02/25/372 | 1,245,916 | 632,143 | |||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||
Trust, Series 2007-BR4, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
1.15% | 05/25/372 | 2,549,674 | 1,495,735 | |||||||
Securitized Asset-Backed Receivables LLC |
| |||||||||
Trust, Series 2007-NC1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
1.10% | 12/25/362 | 7,195,676 | 4,296,622 | |||||||
Soundview Home Loan Trust, |
| |||||||||
Series 2006-WF2, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
1.17% | 12/25/362 | 11,121,671 | 10,837,005 | |||||||
Soundview Home Loan Trust, |
| |||||||||
Series 2007-WMC1, Class 3A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
1.21% | 02/25/372 | 1,109,131 | 347,828 | |||||||
Stanwich Mortgage Loan Co., |
| |||||||||
Series 2019-RPL1, Class A |
| |||||||||
(STEP-reset date 04/16/20) |
| |||||||||
3.72% | 03/15/491 | 15,121,803 | 14,397,198 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2004-12, Class 2A |
| |||||||||
3.81% | 09/25/344 | $ | 998,681 | $ | 908,139 | |||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2004-2, Class 4A2 |
| |||||||||
3.67% | 03/25/344 | 1,497,614 | 1,361,418 | |||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2005-12, Class 3A1 |
| |||||||||
4.02% | 06/25/354 | 1,215,704 | 1,076,858 | |||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2005-21, Class 2A |
| |||||||||
4.03% | 11/25/354 | 1,268,149 | 999,248 | |||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2005-7, Class 1A3 |
| |||||||||
3.83% | 04/25/354 | 3,155,831 | 2,722,985 | |||||||
Structured Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2006-11, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
1.11% | 12/25/362 | 1,970,636 | 1,648,371 | |||||||
Structured Asset Investment Loan Trust, |
| |||||||||
Series 2004-6, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
1.75% | 07/25/342 | 13,577,971 | 11,936,661 | |||||||
Structured Asset Mortgage Investments II |
| |||||||||
Trust, Series 2006-AR3, Class 22A1 |
| |||||||||
3.56% | 05/25/364 | 528,310 | 322,800 | |||||||
Structured Asset Mortgage Investments II |
| |||||||||
Trust, Series 2006-AR5, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
1.16% | 05/25/362 | 376,539 | 312,692 | |||||||
Structured Asset Mortgage Investments II |
| |||||||||
Trust, Series 2006-AR7, Class A1BG |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
1.07% | 08/25/362 | 13,870,971 | 11,603,278 | |||||||
Structured Asset Mortgage Investments II |
| |||||||||
Trust, Series 2007-AR6, Class A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 1.50%) |
| |||||||||
3.47% | 08/25/472 | 13,622,252 | 11,373,920 | |||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||
Loan Trust, Series 2005-2XS, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.50%) |
| |||||||||
3.08% | 02/25/352 | 131,934 | 122,074 | |||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||
Loan Trust, Series 2005-4XS, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||
3.33% | 03/25/352 | 1,570,385 | 1,369,528 | |||||||
Structured Asset Securities Corp. Mortgage |
| |||||||||
Pass-Through Certificates, |
| |||||||||
Series 2003-34A, Class 3A3 |
| |||||||||
3.83% | 11/25/334 | 51,198 | 47,417 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 214 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed |
| |||||||||
Suntrust Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2007-4, Class 3A1 |
| |||||||||
4.18% | 10/25/374 | $ | 2,019,148 | $ | 1,797,716 | |||||
Suntrust Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2007-S1, Class 2A1 |
| |||||||||
4.47% | 01/25/374 | 580,386 | 547,294 | |||||||
Suntrust Adjustable Rate Mortgage Loan |
| |||||||||
Trust, Series 2007-S1, Class 5A1 |
| |||||||||
4.49% | 01/25/374 | 444,064 | 424,018 | |||||||
WaMu Asset-Backed Certificates, |
| |||||||||
Series 2007-HE1, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||
1.06% | 01/25/372 | 3,569,430 | 2,116,451 | |||||||
WaMu Asset-Backed Certificates, |
| |||||||||
Series 2007-HE2, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
1.17% | 02/25/372 | 29,116,282 | 11,735,294 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR13, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||
1.67% | 11/25/342 | 190,912 | 165,706 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR14, Class A1 |
| |||||||||
3.87% | 01/25/354 | 627,416 | 588,395 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR6, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
1.37% | 05/25/442 | 79,895 | 78,104 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR12, Class 1A6 |
| |||||||||
3.86% | 10/25/354 | 1,466,065 | 1,286,725 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR14, Class 2A1 |
| |||||||||
3.75% | 12/25/354 | 32,038 | 27,541 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR16, Class 1A3 |
| |||||||||
3.75% | 12/25/354 | 1,730,839 | 1,513,038 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR2, Class 2A21 |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
1.28% | 01/25/452 | 879,435 | 790,281 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR9, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
1.59% | 07/25/452 | 875,789 | 768,091 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR3, Class A1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||
Average plus 1.00%) |
| |||||||||
2.97% | 02/25/462 | 6,144,236 | 5,521,556 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed |
| |||||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR4, Class 1A1A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.94%) |
| |||||||||||
2.99% | 05/25/462 | $ | 2,432,273 | $ | 2,111,775 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR7, Class 2A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.98%) |
| |||||||||||
2.95% | 07/25/462 | 4,996,784 | 4,122,416 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2007-HY3, Class 1A1 |
| |||||||||||
3.24% | 03/25/374 | 2,450,399 | 1,981,990 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2007-OA5, Class 1A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative |
| |||||||||||
Average plus 0.75%) |
| |||||||||||
2.72% | 06/25/472 | 1,901,637 | 1,548,548 | |||||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||||
Series 2007-PA5, Class 1A1 |
| |||||||||||
6.25% | 11/25/37 | 2,756,511 | 2,629,021 | |||||||||
Wells Fargo Home Equity Asset-Backed |
| |||||||||||
Securities Trust, Series 2006-2, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
1.20% | 07/25/362 | 42,774 | 42,130 | |||||||||
Wells Fargo Home Equity Asset-Backed |
| |||||||||||
Securities Trust, Series 2007-1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
1.27% | 03/25/372 | 4,690,000 | 3,696,220 | |||||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||||||
Trust, Series 2006-AR14, Class 2A1 |
| |||||||||||
4.55% | 10/25/364 | 653,147 | 604,242 | |||||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||||||
Trust, Series 2006-AR4, Class 1A1 |
| |||||||||||
4.17% | 04/25/364 | 151,648 | 140,599 | |||||||||
|
| |||||||||||
729,138,933 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial |
| |||||||||||
Mortgage-Backed — 3.86% |
| |||||||||||
Fannie Mae-Aces, Series 2010-M5, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.98% | 07/25/204 | 4,553,559 | 6,187 | |||||||||
Fannie Mae-Aces, Series 2011-M5, |
| |||||||||||
Class X (IO) |
| |||||||||||
1.14% | 07/25/214 | 39,031,605 | 448,949 | |||||||||
Fannie Mae-Aces, Series 2012-M4, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.44% | 04/25/224 | 29,667,062 | 156,228 | |||||||||
Fannie Mae-Aces, Series 2016-M11, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
2.73% | 07/25/394 | 52,539,987 | 2,330,348 |
See accompanying Notes to Financial Statements.
215 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) | ||||||||||||
U.S. Agency Commercial |
| |||||||||||
Fannie Mae-Aces, Series 2016-M2, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.02% | 04/25/36 | 4 | $ | 74,060,065 | $ | 1,957,348 | ||||||
Fannie Mae-Aces, Series 2016-M4, |
| |||||||||||
Class X2 (IO) |
| |||||||||||
2.65% | 01/25/39 | 4 | 53,247,114 | 3,555,738 | ||||||||
Fannie Mae-Aces, Series 2019-M29, |
| |||||||||||
Class X4 (IO) |
| |||||||||||
0.70% | 03/25/29 | 4 | 117,375,779 | 5,899,935 | ||||||||
Fannie Mae-Aces, Series 2019-M32 |
| |||||||||||
Class X2 (IO) |
| |||||||||||
1.06% | 10/25/29 | 4 | 64,742,256 | 4,954,815 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K007, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.73% | 04/25/20 | 4 | 901,688 | 1 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K011, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.57% | 12/25/43 | 4 | 50,337,359 | 548,038 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K015, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
2.81% | 08/25/39 | 4 | 32,027,257 | 1,109,384 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K021, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.97% | 07/25/40 | 4 | 26,660,903 | 1,016,682 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K022, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.81% | 08/25/40 | 4 | 37,280,187 | 1,431,410 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K031, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.21% | 04/25/23 | 4 | 378,279,772 | 2,279,495 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K043, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.64% | 02/25/43 | 4 | 58,000,000 | 3,703,509 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K051, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.61% | 10/25/43 | 4 | 44,865,280 | 3,281,052 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K054, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.17% | 01/25/26 | 4 | 54,624,679 | 3,056,857 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K055, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.36% | 03/25/26 | 4 | 73,297,714 | 4,904,357 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) | ||||||||||||
U.S. Agency Commercial |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K055, |
| |||||||||||
Class X3 (IO) |
| |||||||||||
1.64% | 04/25/44 | 4 | $ | 32,000,000 | $ | 2,515,366 | ||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K056, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.26% | 05/25/26 | 4 | 60,801,282 | 3,791,641 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K057, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.19% | 07/25/26 | 4 | 127,515,286 | 7,634,331 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K151, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.41% | 04/25/30 | 4 | 127,073,063 | 3,829,792 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K719, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.41% | 06/25/22 | 4 | 47,252,645 | 35,047 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series K726, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.88% | 04/25/24 | 4 | 153,511,728 | 4,245,229 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC01, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.69% | 12/25/22 | 4 | 91,897,316 | 689,951 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC05, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
1.20% | 06/25/27 | 4 | 46,326,373 | 2,902,303 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KC07, |
| |||||||||||
Class X1 (IO) |
| |||||||||||
0.85% | 09/25/26 | 4 | 85,000,000 | 2,692,647 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KHG2, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.41% | 02/25/30 | 4 | 28,904,910 | 737,018 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KIR1, |
| |||||||||||
Class X (IO) |
| |||||||||||
1.07% | 03/25/26 | 4 | 120,139,574 | 6,485,615 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KL05, |
| |||||||||||
Class X1HG (IO) |
| |||||||||||
1.22% | 12/25/27 | 4 | 49,531,000 | 3,700,367 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS05, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.76% | 01/25/23 | 4 | 159,037,524 | 2,478,361 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 216 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) | ||||||||||||
U.S. Agency Commercial |
| |||||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS06, |
| |||||||||||
Class X (IO) |
| |||||||||||
1.07% | 08/25/26 | 4 | $ | 68,490,210 | $ | 3,427,038 | ||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS07, |
| |||||||||||
Class X (IO) |
| |||||||||||
0.65% | 09/25/25 | 4 | 104,500,000 | 3,345,839 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series KS11, |
| |||||||||||
Class XFX (IO) |
| |||||||||||
1.60% | 06/25/29 | 4 | 25,850,000 | 2,998,220 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series Q006, |
| |||||||||||
Class APT1 |
| |||||||||||
2.66% | 07/25/26 | 4 | 6,237,632 | 6,335,696 | ||||||||
Freddie Mac Multifamily Structured |
| |||||||||||
Pass-Through Certificates, Series Q006, |
| |||||||||||
Class APT2 |
| |||||||||||
2.52% | 09/25/26 | 4 | 13,501,431 | 13,675,849 | ||||||||
Ginnie Mae, Series 2011-152, Class IO (IO) |
| |||||||||||
0.27% | 08/16/514 | 13,460,464 | 91,180 | |||||||||
Ginnie Mae, Series 2012-112, Class IO (IO) |
| |||||||||||
0.24% | 02/16/53 | 4 | 58,855,780 | 770,611 | ||||||||
Ginnie Mae, Series 2012-78, Class IO (IO) |
| |||||||||||
0.48% | 06/16/52 | 4 | 81,350,571 | 1,184,733 | ||||||||
Ginnie Mae, Series 2014-103, Class IO (IO) |
| |||||||||||
0.41% | 05/16/55 | 4 | 32,727,998 | 659,806 | ||||||||
Ginnie Mae, Series 2014-125, Class IO (IO) |
| |||||||||||
0.95% | 11/16/54 | 4 | 38,959,815 | 2,138,323 | ||||||||
|
| |||||||||||
117,005,296 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 8.48% |
| |||||||||||
Fannie Mae Pool AM2666 |
| |||||||||||
3.39% | 03/01/33 | 5,016,020 | 5,845,792 | |||||||||
Fannie Mae Pool AN7345 |
| |||||||||||
3.21% | 11/01/37 | 16,299,898 | 18,683,346 | |||||||||
Fannie Mae Pool AN8779 |
| |||||||||||
3.50% | 05/01/33 | 3,500,000 | 4,093,580 | |||||||||
Fannie Mae Pool AN9612 |
| |||||||||||
3.72% | 07/01/33 | 4,059,000 | 4,687,295 | |||||||||
Fannie Mae Pool BL1794 |
| |||||||||||
3.71% | 04/01/34 | 4,845,000 | 5,790,526 | |||||||||
Fannie Mae Pool BL2360 |
| |||||||||||
3.45% | 05/01/34 | 12,065,000 | 13,940,740 | |||||||||
Fannie Mae REMICS, Series 2006-11, |
| |||||||||||
Class PS |
| |||||||||||
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap) |
| |||||||||||
21.10% | 03/25/36 | 2 | 20,020 | 33,883 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) | ||||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Fannie Mae REMICS, Series 2006-8, |
| |||||||||||
Class HJ (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
5.65% | 03/25/36 | 2 | $ | 1,082,087 | $ | 219,921 | ||||||
Fannie Mae REMICS, Series 2007-52, |
| |||||||||||
Class LS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) |
| |||||||||||
5.10% | 06/25/37 | 2 | 44,810 | 5,867 | ||||||||
Fannie Mae REMICS, Series 2007-77, |
| |||||||||||
Class SK (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap) |
| |||||||||||
4.92% | 08/25/37 | 2 | 81,752 | 15,951 | ||||||||
Fannie Mae REMICS, Series 2007-88, |
| |||||||||||
Class JI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap) |
| |||||||||||
5.50% | 04/25/37 | 2 | 1,059,507 | 227,289 | ||||||||
Fannie Mae REMICS, Series 2008-18, |
| |||||||||||
Class SM (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap) |
| |||||||||||
6.05% | 03/25/38 | 2 | 49,632 | 9,383 | ||||||||
Fannie Mae REMICS, Series 2008-62, |
| |||||||||||
Class SN (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) |
| |||||||||||
5.25% | 07/25/38 | 2 | 165,678 | 38,400 | ||||||||
Fannie Mae REMICS, Series 2010-116, |
| |||||||||||
Class SE (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
5.65% | 10/25/40 | 2 | 58,765 | 8,865 | ||||||||
Fannie Mae REMICS, Series 2013-5, |
| |||||||||||
Class GF |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
2.05% | 10/25/42 | 2 | 342,759 | 340,566 | ||||||||
Fannie Mae REMICS, Series 2014-49, |
| |||||||||||
Class CF |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.98% | 07/25/43 | 2 | 14,521,503 | 14,131,057 | ||||||||
Freddie Mac Multifamily PC REMIC Trust, |
| |||||||||||
Series 2019-P002, Class X (IO) |
| |||||||||||
1.14% | 07/25/33 | 4 | 14,520,699 | 1,661,259 | ||||||||
Freddie Mac REMICS, Series 2711, |
| |||||||||||
Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.70% | 11/15/33 | 2 | 75,481 | 76,181 | ||||||||
Freddie Mac REMICS, Series 2733, |
| |||||||||||
Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
1.30% | 10/15/33 | 2 | 270,559 | 270,309 | ||||||||
Freddie Mac REMICS, Series 3339, |
| |||||||||||
Class JS |
| |||||||||||
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap) |
| |||||||||||
38.25% | 07/15/37 | 2 | 14,707 | 33,162 |
See accompanying Notes to Financial Statements.
217 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) | ||||||||||||
U.S. Agency Mortgage-Backed |
| |||||||||||
Freddie Mac REMICS, Series 3404, |
| |||||||||||
Class AS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap) |
| |||||||||||
5.19% | 01/15/38 | 2 | $ | 68,826 | $ | 15,239 | ||||||
Freddie Mac REMICS, Series 3439, |
| |||||||||||
Class SC (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap) |
| |||||||||||
5.20% | 04/15/38 | 2 | 47,010 | 8,242 | ||||||||
Freddie Mac REMICS, Series 3885, |
| |||||||||||
Class PO (PO) |
| |||||||||||
0.00% | 11/15/33 | 7 | 21,423 | 20,301 | ||||||||
Freddie Mac REMICS, Series 4030, |
| |||||||||||
Class HS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) |
| |||||||||||
5.91% | 04/15/42 | 2 | 138,779 | 28,375 | ||||||||
Freddie Mac REMICS, Series 4638, | �� | |||||||||||
Class UF |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
2.02% | 09/15/44 | 2 | 4,128,044 | 4,090,268 | ||||||||
Ginnie Mae, Series 2011-146, Class EI (IO) |
| |||||||||||
5.00% | 11/16/41 | 111,302 | 23,570 | |||||||||
Ginnie Mae, Series 2011-69, Class GI (IO) |
| |||||||||||
5.00% | 05/16/40 | 105,380 | 3,303 | |||||||||
Ginnie Mae, Series 2011-70, Class IL (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap) |
| |||||||||||
0.60% | 06/16/37 | 2 | 698,454 | 9,748 | ||||||||
Ginnie Mae, Series 2011-81, Class IC (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap) |
| |||||||||||
0.62% | 07/20/35 | 2 | 901,705 | 12,927 | ||||||||
Ginnie Mae, Series 2013-135, Class CS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) |
| |||||||||||
5.50% | 09/16/43 | 2 | 2,726,854 | 570,625 | ||||||||
Ginnie Mae, Series 2017-136, Class IO (IO) |
| |||||||||||
5.00% | 09/20/47 | 785,437 | 113,766 | |||||||||
UMBS (TBA) |
| |||||||||||
2.50% | 05/01/35 | 175,150,000 | 181,612,124 | |||||||||
|
| |||||||||||
256,621,860 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $1,417,079,970) |
| 1,297,805,852 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 1.76%* |
| |||||||||||
California — 0.80% |
| |||||||||||
Los Angeles Department of Water & Power |
| |||||||||||
Power System Revenue, Build America |
| |||||||||||
Taxable Bonds, Water Utility Improvements, |
| |||||||||||
Series SY |
| |||||||||||
6.01% | 07/01/39 | 1,950,000 | 2,576,905 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) | ||||||||||||
California (continued) | ||||||||||||
Regents of the University of California |
| |||||||||||
Medical Center Pooled Revenue, Taxable |
| |||||||||||
Bonds, Health, Hospital and Nursing Home |
| |||||||||||
Improvements, Series N |
| |||||||||||
3.26% | 05/15/60 | $ | 8,765,000 | $ | 7,981,716 | |||||||
San Francisco City & County Airport |
| |||||||||||
Comm-San Francisco International Airport, |
| |||||||||||
Airport and Marina Improvements, Series A |
| |||||||||||
5.00% | 05/01/49 | 6,080,000 | 7,080,768 | |||||||||
State of California, Build America Bonds, |
| |||||||||||
School Improvements, General Obligation |
| |||||||||||
7.95% | 03/01/36 | 6,650,000 | 6,676,467 | |||||||||
|
| |||||||||||
24,315,856 | ||||||||||||
|
| |||||||||||
Indiana — 0.12% |
| |||||||||||
Indiana University, Taxable Revenue Bonds, |
| |||||||||||
University and College Improvements, |
| |||||||||||
Series B |
| |||||||||||
3.07% | 06/01/60 | 3,505,000 | 3,706,082 | |||||||||
|
| |||||||||||
Massachusetts — 0.12% |
| |||||||||||
Commonwealth of Massachusetts, |
| |||||||||||
Public Improvements, Series C |
| |||||||||||
3.00% | 03/01/48 | 3,585,000 | 3,687,065 | |||||||||
|
| |||||||||||
New York — 0.72% |
| |||||||||||
City of New York, Build America Taxable |
| |||||||||||
Bonds, Public Improvements, Series F1 |
| |||||||||||
6.65% | 12/01/31 | 3,000,000 | 3,038,250 | |||||||||
New York City Municipal Water Finance |
| |||||||||||
Authority, Build America Bonds, Water Utility |
| |||||||||||
Improvements, Series SE |
| |||||||||||
6.49% | 06/15/42 | 1,650,000 | 1,662,821 | |||||||||
New York City Transitional Finance Authority |
| |||||||||||
Future Tax Secured Revenue Bonds, Public |
| |||||||||||
Improvements, Series B-1 |
| |||||||||||
4.00% | 08/01/38 | 4,910,000 | 5,456,680 | |||||||||
New York City Transitional Finance Authority |
| |||||||||||
Future Tax Secured Revenue Bonds, |
| |||||||||||
Taxable Bonds, Public Improvements, |
| |||||||||||
Subseries FI | ||||||||||||
3.95% | 08/01/32 | 1,000,000 | 1,124,230 | |||||||||
New York City Water & Sewer System |
| |||||||||||
Revenue Bonds, Water Utility Improvements |
| |||||||||||
3.00% | 06/15/50 | 3,315,000 | 3,369,200 | |||||||||
New York State Dormitory Authority, Build |
| |||||||||||
America Bonds, University & College |
| |||||||||||
Improvements | ||||||||||||
5.29% | 03/15/33 | 3,100,000 | 3,632,239 |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 218 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
New York (continued) |
| |||||||||||
New York State Dormitory Authority, Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series A |
| |||||||||||
4.00% | 07/01/50 | $ | 3,130,000 | $ | 3,398,813 | |||||||
|
| |||||||||||
21,682,233 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds (Cost $52,999,703) |
| 53,391,236 | ||||||||||
|
| |||||||||||
Total Bonds – 99.28% (Cost $3,188,102,557) |
| 3,005,554,549 | ||||||||||
|
|
Issues | Shares | Value |
COMMON STOCK — 0.00% |
| |||||||||
Electric — 0.00% |
| |||||||||
Homer City Holdings LLC5,6,8 | 112,222 | 6,172 | ||||||||
|
| |||||||||
Total Common Stock (Cost $5,519,754) |
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 5.43% |
| |||||||||||
Commercial Paper — 0.60% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.88%9 | 01/08/21 | 8,000,000 | 7,503,807 | |||||||||
3.20%9 | 10/08/20 | 10,930,000 | 10,764,729 | |||||||||
|
| |||||||||||
18,268,536 | ||||||||||||
|
| |||||||||||
Money Market Funds — 4.26% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.29%10 | 77,865,000 | 77,865,000 | ||||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.28%10,11 | 69,869 | 69,869 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.28%10 | 50,915,000 | 50,915,000 | ||||||||||
|
| |||||||||||
128,849,869 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 0.57% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.22%9,12 | 09/10/20 | 17,358,000 | 17,349,876 | |||||||||
|
| |||||||||||
Total Short-Term Investments (Cost $164,766,178) |
| 164,468,281 | ||||||||||
|
|
Value | ||||||||
Total Investments – 104.71% (Cost $3,358,388,489) | $ | 3,170,029,002 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets – (4.71)% | (142,702,730 | ) | ||||||
|
| |||||||
Net Assets – 100.00% | $ | 3,027,326,272 | ||||||
|
|
1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
2 | Floating rate security. The rate disclosed was in effect at March 31, 2020. |
3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
4 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $639,247, which is 0.02% of total net assets. |
7 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2020. |
8 | Non-income producing security. |
9 | Represents annualized yield at date of purchase. |
10 | Represents the current yield as of March 31, 2020. |
11 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1. |
12 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $17,349,876. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(EMTN): Euro medium-term note
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(PO): Principal only
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
See accompanying Notes to Financial Statements.
219 / Annual Report March 2020 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2020
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT |
| |||||||||||||||||||
USD 46,508,655 | JPY 4,875,000,000 | Citigroup Global Markets, Inc. | 06/08/20 | $ | 1,217,863 | |||||||||||||||
JPY 4,875,000,000 | USD 44,238,231 | Citigroup Global Markets, Inc. | 06/08/20 | 1,052,561 | ||||||||||||||||
|
| |||||||||||||||||||
NET UNREALIZED APPRECIATION | $ | 2,270,424 | ||||||||||||||||||
|
|
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ | ||||||||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| ||||||||||||||||||||||||
U.S. Treasury Five Year Note | 213 | 06/30/20 | $ | 26,701,547 | $ | 53,388 | $ | 53,388 | |||||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| ||||||||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 1,120 | 06/19/20 | (174,755,000 | ) | (6,992,384 | ) | (6,992,384 | ) | |||||||||||||||||
U.S. Treasury Ultra Bond | 1,085 | 06/19/20 | (240,734,375 | ) | (19,955,015 | ) | (19,955,015 | ) | |||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
(415,489,375 | ) | (26,947,399 | ) | (26,947,399 | ) | ||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (388,787,828) | $ | (26,894,011) | $ | (26,894,011) | |||||||||||||||||||
|
|
|
|
|
|
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||||
Descriptions | Put/Call | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount (000’s) | Value | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
SWAPS: INTEREST RATE | ||||||||||||||||||||||||||||||||||||||
Interest Rate��Swap1 | Call | 01/21/23 | 1.57% | Semi-annually | | 3-month USD LIBOR | | Quarterly | $ | 93,820 | $ | 2,292,051 | $ | — | $ | 2,292,051 | ||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/23 | 1.58% | Semi-annually | | 3-month USD LIBOR | | Quarterly | 176,030 | 4,324,053 | 33,245 | 4,290,808 | ||||||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/26 | | 3 month USD LIBOR | | Quarterly | 1.67% | Semi-annually | 38,165 | (2,131,664 | ) | — | (2,131,664 | ) | ||||||||||||||||||||||||
Interest Rate Swap1 | Call | 01/21/26 | | 3 month USD LIBOR | | Quarterly | 1.68% | Semi-annually | 71,605 | (4,027,545 | ) | (23,027 | ) | (4,004,518 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
TOTAL SWAPS CONTRACTS |
| $ | 379,620 | $ | 456,895 | $ | 10,218 | $ | 446,677 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
1 | Centrally cleared. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 220 |
Table of Contents
Statements of Assets and Liabilities
March 31, 2020
ASSETS: | ALPHATRAK 500 FUND | CORPORATE BOND FUND | |||||||||||||
Investments, at value - Unaffiliated (Cost $30,731,965, $3,393,543, $9,369,938, $304,721,614, | |||||||||||||||
$452,020,707, and $857,021,849, respectively) (Note 2) | $ | 29,373,790 | $ | 3,439,379 | |||||||||||
Investments, at value - Affiliated (Cost $0, $0, $0, $0, | |||||||||||||||
$27,171,821, and $0, respectively) (Note 5) | — | — | |||||||||||||
Cash and cash equivalents (Note 2) | — | — | |||||||||||||
Cash on deposit with brokers for collateral on swaps (Note 2) | — | — | |||||||||||||
Cash on deposit with brokers for collateral on futures (Note 2) | — | — | |||||||||||||
Premiums paid for swap contracts | — | — | |||||||||||||
Unrealized appreciation on foreign currency transactions | — | — | |||||||||||||
Unrealized appreciation on swap contracts | — | — | |||||||||||||
Dividends and interest receivable | 181,358 | 36,711 | |||||||||||||
Due from Adviser (Note 6) | 5,154 | 23,518 | |||||||||||||
Receivable for securities sold | — | 179,814 | |||||||||||||
Receivable for capital stock sold | 19,001 | — | |||||||||||||
Receivable for daily variation margin on futures contracts (Note 3) | 31,415 | 47 | |||||||||||||
Other assets | 18,628 | 38,202 | |||||||||||||
|
|
|
| ||||||||||||
Total assets | 29,629,346 | 3,717,671 | |||||||||||||
|
|
|
| ||||||||||||
Liabilities: | |||||||||||||||
Unrealized depreciation on swap contracts | — | — | |||||||||||||
Premiums received for swap contracts | — | — | |||||||||||||
Bank overdraft | 13,564 | — | |||||||||||||
Payable for securities purchased | — | 421,742 | |||||||||||||
Payable for terminated swaps (Note 3) | — | — | |||||||||||||
Payable for capital stock redeemed | 62,318 | — | |||||||||||||
Payable for daily variation margin on futures contracts (Note 3) | 430,025 | — | |||||||||||||
Line of credit commitment fee payable | — | 4 | |||||||||||||
Distributions payable | 587 | — | |||||||||||||
Administrative fees payable | 13,004 | 8,076 | |||||||||||||
Advisory fees payable (Note 6) | — | 808 | |||||||||||||
Audit fees payable | 32,782 | 8,151 | |||||||||||||
Transfer agent fees payable | 5,280 | 6,023 | |||||||||||||
Custodian fees payable | 4,108 | 3,860 | |||||||||||||
Accrued trustees fees and expenses | 11 | 1 | |||||||||||||
Accrued distribution (12b-1) and service fees payable | — | 185 | |||||||||||||
Net unrealized depreciation on unfunded commitments (Note 8) | — | — | |||||||||||||
Accrued other expenses | 1,526 | 29 | |||||||||||||
|
|
|
| ||||||||||||
Total liabilities | 563,205 | 448,879 | |||||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 29,066,141 | $ | 3,268,792 | |||||||||||
|
|
|
| ||||||||||||
Class M Shares: | |||||||||||||||
Net assets (Applicable to 3,268,505, 84,928, 123, 677,246, 13,656,919, and 3,177,342, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | $ | 29,066,141 | $ | 876,398 | |||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class M share | $ | 8.89 | $ | 10.32 | |||||||||||
|
|
|
| ||||||||||||
Class I Shares: | |||||||||||||||
Net assets (Applicable to 0, 231,865, 909,949, 27,856,410, 31,231,832, and 65,097,687, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | N/A | $ | 2,392,394 | ||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class I share | N/A | $ | 10.32 | ||||||||||||
|
|
|
| ||||||||||||
Net Assets Consist of: | |||||||||||||||
Paid-in Capital (Note 9) | $ | 35,404,719 | $ | 3,200,499 | |||||||||||
Accumulated Earnings (Loss) | (6,338,578 | ) | 68,293 | ||||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 29,066,141 | $ | 3,268,792 | |||||||||||
|
|
|
|
1 | The net asset values of the Class M Shares of the Flexible Income Fund were calculated using unrounded net assets of $1.210.71 divided by the unrounded shares outstanding of 123.296. |
See accompanying Notes to Financial Statements. |
221 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2020
FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||
$8,917,889 | $ | 279,985,359 | $ | 426,140,548 | $ | 856,578,329 | ||||||||||||||
— | — | 27,660 | — | |||||||||||||||||
— | 256,486 | 142,773 | 10,872 | |||||||||||||||||
— | — | — | 169,002 | |||||||||||||||||
— | — | 1,018,000 | — | |||||||||||||||||
— | — | — | 7,078 | |||||||||||||||||
— | — | — | 520,871 | |||||||||||||||||
— | — | — | 1,462,296 | |||||||||||||||||
147,192 | 431,553 | 4,185,252 | 3,144,048 | |||||||||||||||||
20,856 | — | 2,597 | — | |||||||||||||||||
21,972 | 1,161,424 | 5,576,489 | 128,127,219 | |||||||||||||||||
— | 21,677 | 564,012 | 1,315,115 | |||||||||||||||||
3,906 | — | 542,679 | 50,044 | |||||||||||||||||
25 | 17,713 | 22,923 | 29,727 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
9,111,840 | 281,874,212 | 438,222,933 | 991,414,601 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
— | — | — | 1,363,083 | |||||||||||||||||
— | — | — | 4,903 | |||||||||||||||||
727 | — | — | — | |||||||||||||||||
143,753 | 25,196,681 | 20,495,783 | 257,366,294 | |||||||||||||||||
— | — | — | — | |||||||||||||||||
— | 32,248 | 1,344,488 | 5,390,551 | |||||||||||||||||
47 | — | 57,895 | 16,410 | |||||||||||||||||
10 | 412 | 725 | 1,215 | |||||||||||||||||
— | 107,773 | 91,757 | 3,452 | |||||||||||||||||
11,908 | 13,778 | 10,595 | 21,379 | |||||||||||||||||
2,863 | 118,745 | 167,552 | 223,441 | |||||||||||||||||
6,708 | 6,709 | 30,986 | 39,180 | |||||||||||||||||
6,041 | 17,141 | 34,410 | 72,288 | |||||||||||||||||
4,621 | 4,231 | 4,974 | 14,947 | |||||||||||||||||
— | 84 | 146 | 254 | |||||||||||||||||
— | 1,484 | 28,566 | 6,073 | |||||||||||||||||
— | 100,942 | — | — | |||||||||||||||||
87 | 3,114 | 15,749 | 16,451 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
176,765 | 25,603,342 | 22,283,626 | 264,539,921 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 8,935,075 | $ | 256,270,870 | $ | 415,939,307 | $ | 726,874,680 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 1,211 | $ | 6,083,888 | $ | 126,586,916 | $ | 33,836,198 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 9.82 | 1 | $ | 8.98 | $ | 9.27 | $ | 10.65 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 8,933,864 | $ | 250,186,982 | $ | 289,352,391 | $ | 693,038,482 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 9.82 | $ | 8.98 | $ | 9.26 | $ | 10.65 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 9,386,328 | $ | 284,433,223 | $ | 530,998,742 | $ | 724,391,624 | |||||||||||||
(451,253 | ) | (28,162,353 | ) | (115,059,435 | ) | 2,483,056 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 8,935,075 | $ | 256,270,870 | $ | 415,939,307 | $ | 726,874,680 | |||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 222 |
Table of Contents
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2020
ASSETS: | INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | |||||||||||||
Investments, at value - Unaffiliated (Cost $7,666,553, $2,087,726,013, $65,297,981, $96,782,790,900, $105,048,937, and $3,358,388,489, respectively) (Note 2) | $ | 7,302,049 | $ | 2,057,935,664 | |||||||||||
Investments, at value - Affiliated (Cost $0, $0, $0, $65,187,440, $0, and $0, respectively) (Note 5) | — | — | |||||||||||||
Cash and cash equivalents (Note 2) | — | — | |||||||||||||
Cash on deposit with brokers for collateral on swaps (Note 2) | 1,242 | 441,467 | |||||||||||||
Cash on deposit with brokers for collateral on futures (Note 2) | — | — | |||||||||||||
Premiums paid for swap contracts | 60 | 20,826 | |||||||||||||
Unrealized appreciation on foreign currency exchange contracts | — | 1,371,501 | |||||||||||||
Unrealized appreciation on swap contracts | 12,198 | 3,819,979 | |||||||||||||
Dividends and interest receivable | 85,711 | 6,884,930 | |||||||||||||
Due from Adviser (Note 6) | 25,111 | — | |||||||||||||
Receivable for securities sold | 10,620 | 146,029,812 | |||||||||||||
Receivable for capital stock sold | — | 7,324,013 | |||||||||||||
Receivable for daily variation margin on futures contracts (Note 3) | 1,672 | 41,855 | |||||||||||||
Other assets | 38,211 | 54,703 | |||||||||||||
|
|
|
| ||||||||||||
Total assets | 7,476,874 | 2,223,924,750 | |||||||||||||
|
|
|
| ||||||||||||
Liabilities: | |||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | — | — | |||||||||||||
Unrealized depreciation on foreign currency transactions | — | — | |||||||||||||
Unrealized depreciation on swap contracts | 11,180 | 3,561,367 | |||||||||||||
Premiums received for swap contracts | 42 | 14,425 | |||||||||||||
Options written, at value (Premiums received $0, $540,000, $0, $19,842,853, $0, and $0, respectively) (Note 3) | — | 2,919 | |||||||||||||
Bank overdraft | 27 | 28,805 | |||||||||||||
Payable for securities purchased | 167,091 | 307,387,808 | |||||||||||||
Payable for capital stock redeemed | — | 5,574,781 | |||||||||||||
Payable for daily variation margin on futures contracts (Note 3) | 375 | 15,756 | |||||||||||||
Line of credit commitment fee payable | 10 | 3,270 | |||||||||||||
Distributions payable | — | 140,979 | |||||||||||||
Administrative fees payable | 9,988 | 26,691 | |||||||||||||
Advisory fees payable (Note 6) | 1,849 | 498,199 | |||||||||||||
Audit fees payable | 8,151 | 38,646 | |||||||||||||
Transfer agent fees payable | 6,038 | 237,216 | |||||||||||||
Custodian fees payable | 4,734 | 19,026 | |||||||||||||
Accrued trustees fees and expenses | 2 | 678 | |||||||||||||
Accrued distribution (12b-1) and service fees payable | 178 | 74,583 | |||||||||||||
Accrued other expenses | 75 | 48,433 | |||||||||||||
|
|
|
| ||||||||||||
Total liabilities | 209,740 | 317,673,582 | |||||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 7,267,134 | $ | 1,906,251,168 | |||||||||||
|
|
|
| ||||||||||||
Class M Shares: | |||||||||||||||
Net assets (Applicable to 86,723, 51,991,467, 1,428,333, 807,293,176, | $ | 836,559 | $ | 449,701,268 | |||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class M share | $ | 9.65 | $ | 8.65 | |||||||||||
|
|
|
| ||||||||||||
Class I Shares: | |||||||||||||||
Net assets (Applicable to 666,665, 168,341,807, 6,621,937, 4,144,455,446, | $ | 6,430,575 | $ | 1,456,456,200 | |||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class I share | $ | 9.65 | $ | 8.65 | |||||||||||
|
|
|
| ||||||||||||
Class I-2 Shares: | |||||||||||||||
Net assets (Applicable to 0, 0, 0, 9, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | N/A | N/A | |||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class I-2 share | N/A | N/A | |||||||||||||
|
|
|
| ||||||||||||
Administrative Class: | |||||||||||||||
Net assets (Applicable to 0, 8,384, 0, 156,243,805, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | N/A | $ | 93,700 | ||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Administrative Class share | N/A | $ | 11.18 | ||||||||||||
|
|
|
| ||||||||||||
Plan Class: | |||||||||||||||
Net assets (Applicable to 0, 0, 0, 2,277,531,666, 0, and 8, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | N/A | N/A | |||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Plan Class share | N/A | N/A | |||||||||||||
|
|
|
| ||||||||||||
Net Assets Consist of: | |||||||||||||||
Paid-in Capital (Note 9) | $ | 7,570,722 | $ | 1,983,320,941 | |||||||||||
Accumulated Earnings (Loss) | (303,588 | ) | (77,069,773 | ) | |||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 7,267,134 | $ | 1,906,251,168 | |||||||||||
|
|
|
|
1 | The net asset values of the Class I-2 Shares of the Total Return Bond Fund were calculated using unrounded net assets of $97.07 divided by the unrounded shares outstanding of 8.73. |
2 | The net asset values of the Plan Class Shares of the Unconstrained Bond Fund were calculated using unrounded net assets of $93.12 divided by the unrounded shares outstanding of 8.38. |
See accompanying Notes to Financial Statements. |
223 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2020
STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||||||||||||||||||||
$ | 58,111,572 | $ | 96,863,392,133 | $ | 104,141,155 | $ | 3,170,029,002 | |||||||||||||||||||||
— | 64,939 | — | — | |||||||||||||||||||||||||
38,142 | 12,347,795 | 3,260 | — | |||||||||||||||||||||||||
17,991 | 18,762,082 | — | 760,402 | |||||||||||||||||||||||||
— | — | 16,000 | 2,260,000 | |||||||||||||||||||||||||
796 | 753,720 | — | 33,245 | |||||||||||||||||||||||||
— | 23,968,448 | 68,700 | 2,270,424 | |||||||||||||||||||||||||
154,902 | 155,139,560 | — | 6,582,859 | |||||||||||||||||||||||||
550,962 | 344,286,731 | 271,968 | 19,850,376 | |||||||||||||||||||||||||
— | — | 19,992 | — | |||||||||||||||||||||||||
275,403 | 21,880,228,247 | 209,642 | 270,776,840 | |||||||||||||||||||||||||
72,281 | 202,785,155 | 314,694 | 6,864,384 | |||||||||||||||||||||||||
28,206 | 204,750 | 3,422 | 3,894,158 | |||||||||||||||||||||||||
26,851 | 644,872 | 18,600 | 70,967 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
59,277,106 | 119,502,578,432 | 105,067,433 | 3,483,392,657 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
— | 12,883 | — | — | |||||||||||||||||||||||||
— | 5,885 | — | — | |||||||||||||||||||||||||
144,504 | 144,598,757 | — | 6,136,182 | |||||||||||||||||||||||||
552 | 522,058 | — | 23,027 | |||||||||||||||||||||||||
— | 9,464,531 | — | — | |||||||||||||||||||||||||
— | — | — | 153,666 | |||||||||||||||||||||||||
136,177 | 38,404,009,447 | — | 434,785,814 | |||||||||||||||||||||||||
157,743 | 262,012,614 | 281,244 | 11,355,094 | |||||||||||||||||||||||||
— | 4,748,888 | — | 9,983 | |||||||||||||||||||||||||
132 | 122,583 | 158 | 5,162 | |||||||||||||||||||||||||
974 | 13,854,626 | 1,602 | 1,316,413 | |||||||||||||||||||||||||
15,726 | 397,179 | 11,736 | 44,525 | |||||||||||||||||||||||||
95,164 | 24,458,767 | 21,817 | 1,784,386 | |||||||||||||||||||||||||
34,937 | 147,897 | 31,670 | 7,050 | |||||||||||||||||||||||||
12,688 | 5,584,534 | 13,548 | 261,208 | |||||||||||||||||||||||||
8,752 | 390,493 | 4,315 | 30,156 | |||||||||||||||||||||||||
27 | 26,062 | 33 | 1,093 | |||||||||||||||||||||||||
2,276 | 2,230,517 | 4,413 | 62,766 | |||||||||||||||||||||||||
2,741 | 2,096,237 | 2,593 | 89,860 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
612,393 | 38,874,683,958 | 373,129 | 456,066,385 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 58,664,713 | $ | 80,627,894,474 | $ | 104,694,304 | $ | 3,027,326,272 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 10,412,737 | $ | 8,979,526,521 | $ | 28,354,756 | $ | 267,138,689 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 7.29 | $ | 11.12 | $ | 4.23 | $ | 11.12 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 48,251,976 | $ | 46,086,493,596 | $ | 76,339,548 | $ | 2,760,187,490 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 7.29 | $ | 11.12 | $ | 4.23 | $ | 11.12 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
N/A | $ | 97 | N/A | N/A | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
N/A | $ | 11.12 | 1 | N/A | N/A | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
N/A | $ | 1,739,033,592 | N/A | N/A | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
N/A | $ | 11.13 | N/A | N/A | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
N/A | $ | 23,822,840,668 | N/A | $ | 93 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
N/A | $ | 10.46 | N/A | $ | 11.11 | 2 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 66,925,109 | $ | 78,187,194,169 | $ | 110,879,610 | $ | 3,243,373,887 | |||||||||||||||||||||
(8,260,396) | 2,440,700,305 | (6,185,306 | ) | (216,047,615 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 58,664,713 | $ | 80,627,894,474 | $ | 104,694,304 | $ | 3,027,326,272 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 224 |
Table of Contents
Statements of Operations
For the Year Ended March 31, 2020
ALPHATRAK 500 FUND | CORPORATE BOND FUND | ||||||||||||||
Investment Income: | |||||||||||||||
Interest | $ | 1,140,057 | $ | 209,129 | |||||||||||
Dividends | 119,706 | 516 | |||||||||||||
|
|
|
| ||||||||||||
Total investment income | 1,259,763 | 209,645 | |||||||||||||
|
|
|
| ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 99,578 | 9,217 | |||||||||||||
Administration fees | 96,494 | 78,321 | |||||||||||||
Commitment fee | — | 14 | |||||||||||||
Custodian fees | 26,308 | 22,573 | |||||||||||||
Distribution (12b-1) and service fees - class specific (Note 7): | |||||||||||||||
Class M | — | 2,140 | |||||||||||||
Miscellaneous expenses | 10,119 | 4,263 | |||||||||||||
Professional fees | 49,978 | 35,095 | |||||||||||||
Registration and filing fees | 31,122 | 5,594 | |||||||||||||
Transfer agent fees | 41,182 | 36,106 | |||||||||||||
Trustees’ fees and expenses | 464 | 31 | |||||||||||||
Repayment of reimbursed expenses - Class I (Note 6) | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total operating expenses | 355,245 | 193,354 | |||||||||||||
Expenses waived and reimbursed (Note 6) | (48,578 | ) | (179,693 | ) | |||||||||||
|
|
|
| ||||||||||||
Net expenses | 306,667 | 13,661 | |||||||||||||
|
|
|
| ||||||||||||
Net investment income | 953,096 | 195,984 | |||||||||||||
|
|
|
| ||||||||||||
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, |
| ||||||||||||||
Foreign Currency Exchange Contracts, Foreign Currency Transactions, Options and Swaptions Written and Swap Contracts: |
| ||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||
Investments - Unaffiliated | 142,331 | 8,947 | |||||||||||||
Futures contracts | (1,051,050 | ) | 14,067 | ||||||||||||
Foreign currency exchange contracts | 21,540 | — | |||||||||||||
Foreign currency transactions | (585 | ) | — | ||||||||||||
Swap contracts | — | — | |||||||||||||
Net change in unrealized appreciation/(depreciation) on: |
| ||||||||||||||
Investments - Affiliated | — | — | |||||||||||||
Investments - Unaffiliated | (1,361,452 | ) | (6,826 | ) | |||||||||||
Futures contracts | (2,088,172 | ) | (1,872 | ) | |||||||||||
Foreign currency transactions | — | — | |||||||||||||
Swap contracts | — | — | |||||||||||||
|
|
|
| ||||||||||||
Net realized and change in unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options and swaptions written and swap contracts | (4,337,388 | ) | 14,316 | ||||||||||||
|
|
|
| ||||||||||||
Net Increase/(Decrease) in Net Assets from Operations | $ | (3,384,292 | ) | $ | 210,300 | ||||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
225 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2020
FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
$1,226,339 | $ | 12,452,338 | $ | 20,917,836 | $ | 23,014,154 | ||||||||||||||||||||||
7,511 | 588,700 | 668,222 | 1,219,101 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
1,233,850 | 13,041,038 | 21,586,058 | 24,233,255 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
29,710 | 1,388,225 | 2,191,399 | 2,666,484 | |||||||||||||||||||||||||
100,833 | 136,763 | 113,291 | 178,521 | |||||||||||||||||||||||||
40 | 1,644 | 2,924 | 4,847 | |||||||||||||||||||||||||
26,946 | 25,340 | 32,175 | 88,862 | |||||||||||||||||||||||||
3 | 24,094 | 417,916 | 76,761 | |||||||||||||||||||||||||
4,453 | 17,844 | 66,715 | 58,131 | |||||||||||||||||||||||||
32,228 | 45,570 | 56,153 | 58,429 | |||||||||||||||||||||||||
934 | 51,294 | 57,725 | 59,396 | |||||||||||||||||||||||||
36,181 | 98,197 | 299,138 | 545,405 | |||||||||||||||||||||||||
89 | 3,444 | 5,966 | 10,355 | |||||||||||||||||||||||||
— | 3,342 | — | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
231,417 | 1,795,757 | 3,243,402 | 3,747,191 | |||||||||||||||||||||||||
(195,102) | (9,650 | ) | (195,808 | ) | (5,068 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
36,315 | 1,786,107 | 3,047,594 | 3,742,123 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
1,197,535 | 11,254,931 | 18,538,464 | 20,491,132 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
40,287 | (1,233,355 | ) | 9,112,768 | 21,175,681 | ||||||||||||||||||||||||
(258) | — | 1,384,245 | 3,603,366 | |||||||||||||||||||||||||
— | 117,157 | — | 233,101 | |||||||||||||||||||||||||
— | (15,663 | ) | — | (33,101 | ) | |||||||||||||||||||||||
— | — | — | (53,667 | ) | ||||||||||||||||||||||||
— | — | (4,247,058 | ) | — | ||||||||||||||||||||||||
(610,526) | (22,243,330 | ) | (21,188,328 | ) | (6,500,278 | ) | ||||||||||||||||||||||
(23,457) | — | 330,182 | 975,843 | |||||||||||||||||||||||||
— | — | — | 520,801 | |||||||||||||||||||||||||
— | — | — | 96,927 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
(593,954) | (23,375,191 | ) | (14,608,191 | ) | 20,018,673 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$603,581 | $ | (12,120,260 | ) | $ | 3,930,273 | $ | 40,509,805 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 226 |
Table of Contents
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2020
INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | ||||||||||||||
Investment Income: | |||||||||||||||
Interest | $ | 670,404 | $ | 57,802,886 | |||||||||||
Dividends | 3,912 | 1,801,083 | |||||||||||||
|
|
|
| ||||||||||||
Total investment income | 674,316 | 59,603,969 | |||||||||||||
|
|
|
| ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 21,393 | 6,097,478 | |||||||||||||
Administration fees | 90,107 | 252,079 | |||||||||||||
Commitment fee | 39 | 13,092 | |||||||||||||
Custodian fees | 27,709 | 114,681 | |||||||||||||
Distribution (12b-1) and service fees - class specific (Note 7): | |||||||||||||||
Class M | 2,074 | 1,001,449 | |||||||||||||
Administrative Class | — | 869 | |||||||||||||
Miscellaneous expenses | 4,477 | 154,548 | |||||||||||||
Professional fees | 35,115 | 66,356 | |||||||||||||
Registration and filing fees | 5,594 | 82,595 | |||||||||||||
Transfer agent fees | 36,168 | 1,737,045 | |||||||||||||
Trustees’ fees and expenses | 83 | 27,655 | |||||||||||||
|
|
|
| ||||||||||||
Total operating expenses | 222,759 | 9,547,847 | |||||||||||||
Expenses waived and reimbursed (Note 6) | (191,068 | ) | — | ||||||||||||
|
|
|
| ||||||||||||
Net expenses | 31,691 | 9,547,847 | |||||||||||||
|
|
|
| ||||||||||||
Net investment income | 642,625 | 50,056,122 | |||||||||||||
|
|
|
| ||||||||||||
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, |
| ||||||||||||||
Foreign Currency Exchange Contracts, Foreign Currency Transactions and Options and Swaptions Written: |
| ||||||||||||||
Net realized gain/(loss) on: | |||||||||||||||
Investments - Unaffiliated | 27,738 | 13,379,717 | |||||||||||||
Futures contracts | 41,554 | 15,945,658 | |||||||||||||
Foreign currency exchange contracts | — | 880,819 | |||||||||||||
Foreign currency transactions | — | (98,459 | ) | ||||||||||||
Options and swaptions written | — | — | |||||||||||||
Swap contracts | (437 | ) | (145,425 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||
Investments - Affiliated | — | — | |||||||||||||
Investments - Unaffiliated | (431,127 | ) | (35,094,143 | ) | |||||||||||
Futures contracts | 11,405 | (2,315,426 | ) | ||||||||||||
Foreign currency exchange contracts | — | 1,371,501 | |||||||||||||
Foreign currency transactions | — | (246 | ) | ||||||||||||
Options and swaptions written | — | (1,662 | ) | ||||||||||||
Swap contracts | 985 | 251,452 | |||||||||||||
|
|
|
| ||||||||||||
Net realized and change in unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and options and swaptions written | (349,882 | ) | (5,826,214 | ) | |||||||||||
|
|
|
| ||||||||||||
Net Increase/(Decrease) in Net Assets from Operations | $ | 292,743 | $ | 44,229,908 | |||||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
227 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2020
STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | ||||||||||||||||||||||
$ | 5,063,105 | $ | 2,315,937,410 | $ | 2,882,508 | $ | 146,433,644 | ||||||||||||||||||
113,605 | 65,064,781 | 142,566 | 29,995 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
5,176,710 | 2,381,002,191 | 3,025,074 | 146,463,639 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
1,391,781 | 273,800,056 | 248,854 | 21,279,922 | ||||||||||||||||||||||
125,195 | 4,329,865 | 102,763 | 375,315 | ||||||||||||||||||||||
525 | 488,000 | 630 | 20,572 | ||||||||||||||||||||||
52,418 | 2,210,869 | 25,747 | 179,129 | ||||||||||||||||||||||
34,127 | 19,538,038 | 47,817 | 906,441 | ||||||||||||||||||||||
— | 6,457,598 | — | — | ||||||||||||||||||||||
15,253 | 6,170,000 | 13,981 | 274,574 | ||||||||||||||||||||||
48,619 | 667,372 | 46,189 | 87,738 | ||||||||||||||||||||||
47,119 | 708,756 | 49,236 | 137,917 | ||||||||||||||||||||||
115,561 | 42,565,030 | 94,607 | 2,123,074 | ||||||||||||||||||||||
1,120 | 1,058,481 | 1,346 | 44,544 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
1,831,718 | 357,994,065 | 631,170 | 25,429,226 | ||||||||||||||||||||||
(78,535 | ) | — | (244,911 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
1,753,183 | 357,994,065 | 386,259 | 25,429,226 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
3,423,527 | 2,023,008,126 | 2,638,815 | 121,034,413 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
504,462 | 3,804,324,845 | 60,894 | 26,851,078 | ||||||||||||||||||||||
(1,291,932 | ) | 850,903,269 | 36,845 | (23,590,413 | ) | ||||||||||||||||||||
41,703 | 29,432,826 | 45,412 | 1,498,797 | ||||||||||||||||||||||
(4,695 | ) | (1,887,238 | ) | (4,097 | ) | 138,240 | |||||||||||||||||||
— | (26,766,116 | ) | — | — | |||||||||||||||||||||
(6,055 | ) | (5,274,667 | ) | — | (222,947 | ) | |||||||||||||||||||
— | (9,971,036 | ) | — | — | |||||||||||||||||||||
(5,440,080 | ) | (740,153,955 | ) | (977,333 | ) | (180,850,914 | ) | ||||||||||||||||||
(374,191 | ) | 25,820,844 | (75,272 | ) | (22,847,210 | ) | |||||||||||||||||||
— | 23,955,565 | 68,700 | 2,270,424 | ||||||||||||||||||||||
— | (13,258 | ) | — | — | |||||||||||||||||||||
— | 10,378,322 | — | — | ||||||||||||||||||||||
10,155 | 10,349,752 | — | 436,592 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
(6,560,633 | ) | 3,971,099,153 | (844,851 | ) | (196,316,353 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||
$ | (3,137,106 | ) | $ | 5,994,107,279 | $ | 1,793,964 | $ | (75,281,940 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 228 |
Table of Contents
Statements of Changes in Net Assets
ALPHATRAK 500 FUND | ||||||||||||||||||||
YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 953,096 | $ | 389,842 | ||||||||||||||||
Net realized gain/(loss) on investments | 142,331 | 69,956 | ||||||||||||||||||
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | (1,030,095 | ) | (251,932 | ) | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments | (1,361,452 | ) | 88,466 | |||||||||||||||||
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | (2,088,172 | ) | 1,439,152 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (3,384,292 | ) | 1,735,484 | |||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||
Class M | (3,355,949 | ) | (404,881 | ) | ||||||||||||||||
Class I | — | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total Distributions | (3,355,949 | ) | (404,881 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Capital Share Transactions: | ||||||||||||||||||||
Class M: | ||||||||||||||||||||
Proceeds from sale of shares | 25,113,482 | 9,433,378 | ||||||||||||||||||
Shares issued in reinvestment of distributions | 3,349,095 | 403,721 | ||||||||||||||||||
Cost of shares redeemed | (13,858,501 | ) | (8,114,043 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total Class M capital share transactions | 14,604,076 | 1,723,056 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Class I: | ||||||||||||||||||||
Proceeds from sale of shares | — | — | ||||||||||||||||||
Shares issued in reinvestment of distributions | — | — | ||||||||||||||||||
Cost of shares redeemed | — | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total Class I capital share transactions | — | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase in net assets derived from capital share transactions | 14,604,076 | 1,723,056 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase/(decrease) in net assets | 7,863,835 | 3,053,659 | ||||||||||||||||||
Net assets at beginning of period | 21,202,306 | 18,148,647 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net assets at end of period | $ | 29,066,141 | $ | 21,202,306 | ||||||||||||||||
|
|
|
|
1 For the period June 29, 2018 (commencement of operations) to March 31, 2019.
2 For the period November 30, 2018 (commencement of operations) to March 31, 2019.
See accompanying Notes to Financial Statements. |
229 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | ||||||||||||||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2020 | PERIOD ENDED MARCH 31, 20191 | YEAR ENDED | PERIOD ENDED MARCH 31, 20192 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | |||||||||||||||||||||||||||||||||
$ | 195,984 | $ | 85,976 | $ | 1,197,535 | $ | 73,009 | $ | 11,254,931 | $ | 12,033,260 | |||||||||||||||||||||||||||
8,947 | 15,462 | 40,287 | 83,569 | (1,233,355 | ) | (1,530,340 | ) | |||||||||||||||||||||||||||||||
14,067 | 3,329 | (258 | ) | — | 101,494 | 239,986 | ||||||||||||||||||||||||||||||||
(6,826 | ) | 52,662 | (610,526 | ) | 158,477 | (22,243,330 | ) | (2,860,620 | ) | |||||||||||||||||||||||||||||
(1,872 | ) | 1,063 | (23,457 | ) | — | — | — | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
210,300 | 158,492 | 603,581 | 315,055 | (12,120,260 | ) | 7,882,286 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(75,400 | ) | (33,698 | ) | (221 | ) | (23 | ) | (411,136 | ) | (700,543 | ) | |||||||||||||||||||||||||||
(132,188 | ) | (59,213 | ) | (1,296,521 | ) | (73,124 | ) | (10,843,970 | ) | (11,347,124 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(207,588 | ) | (92,911 | ) | (1,296,742 | ) | (73,147 | ) | (11,255,106 | ) | (12,047,667 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
— | 745,000 | — | 1,000 | 3,813,347 | 11,739,229 | |||||||||||||||||||||||||||||||||
75,400 | 33,698 | 221 | 23 | 409,671 | 691,320 | |||||||||||||||||||||||||||||||||
— | — | — | — | (8,650,083 | ) | (16,600,875 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
75,400 | 778,698 | 221 | 1,023 | (4,427,065 | ) | (4,170,326 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
900,000 | 1,255,000 | 2,895,439 | 5,120,000 | 65,504,910 | 99,811,617 | |||||||||||||||||||||||||||||||||
132,188 | 59,213 | 1,296,521 | 73,124 | 10,352,626 | 11,145,423 | |||||||||||||||||||||||||||||||||
— | — | — | — | (65,420,233 | ) | (82,545,663 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
1,032,188 | 1,314,213 | 4,191,960 | 5,193,124 | 10,437,303 | 28,411,377 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
1,107,588 | 2,092,911 | 4,192,181 | 5,194,147 | 6,010,238 | 24,241,051 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
1,110,300 | 2,158,492 | 3,499,020 | 5,436,055 | (17,365,128 | ) | 20,075,670 | ||||||||||||||||||||||||||||||||
2,158,492 | — | 5,436,055 | — | 273,635,998 | 253,560,328 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 3,268,792 | $ | 2,158,492 | $ | 8,935,075 | $ | 5,436,055 | $ | 256,270,870 | $ | 273,635,998 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 230 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
HIGH YIELD BOND FUND | |||||||||||||||
YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 20191 | ||||||||||||||
Operations: | |||||||||||||||
Net investment income | $ | 18,538,464 | $ | 23,232,202 | |||||||||||
Net realized gain/(loss) on investments | 9,112,768 | 3,676,845 | |||||||||||||
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | 1,384,245 | 666,121 | |||||||||||||
Net change in unrealized appreciation/(depreciation) on investments | (25,435,386 | ) | 1,335,606 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | 330,182 | 700,195 | |||||||||||||
|
|
|
| ||||||||||||
Net increase in net assets resulting from operations | 3,930,273 | 29,610,969 | |||||||||||||
|
|
|
| ||||||||||||
Distributions to Shareholders: | |||||||||||||||
Class M | (6,806,120 | ) | (8,137,689 | ) | |||||||||||
Class I | (11,733,736 | ) | (14,803,513 | ) | |||||||||||
Administrative Class | — | — | |||||||||||||
Tax Return of Capital: | |||||||||||||||
Class M | — | — | |||||||||||||
Class I | — | — | |||||||||||||
Administrative Class | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total Distributions | (18,539,856 | ) | (22,941,202 | ) | |||||||||||
|
|
|
| ||||||||||||
Capital Share Transactions: | |||||||||||||||
Class M: | |||||||||||||||
Proceeds from sale of shares | 39,365,774 | 59,028,791 | |||||||||||||
Shares issued in reinvestment of distributions | 6,576,867 | 7,904,396 | |||||||||||||
Cost of shares redeemed | (101,550,221 | ) | (92,773,959 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Class M capital share transactions | (55,607,580 | ) | (25,840,772 | ) | |||||||||||
|
|
|
| ||||||||||||
Class I: | |||||||||||||||
Proceeds from sale of shares | 176,403,014 | 201,045,150 | |||||||||||||
Shares issued in reinvestment of distributions | 10,769,869 | 13,424,835 | |||||||||||||
Cost of shares redeemed | (181,596,530 | ) | (319,107,409 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Class I capital share transactions | 5,576,353 | (104,637,424 | ) | ||||||||||||
|
|
|
| ||||||||||||
Administrative Class: | |||||||||||||||
Proceeds from sale of shares | — | — | |||||||||||||
Shares issued in reinvestment of distributions | — | — | |||||||||||||
Cost of shares redeemed | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total Administrative Class capital share transactions | — | — | |||||||||||||
|
|
|
| ||||||||||||
Net increase/(decrease) in net assets derived from capital share transactions | (50,031,227 | ) | (130,478,196 | ) | |||||||||||
|
|
|
| ||||||||||||
Net increase/(decrease) in net assets | (64,640,810 | ) | (123,808,429 | ) | |||||||||||
Net assets at beginning of period | 480,580,117 | 604,388,546 | |||||||||||||
|
|
|
| ||||||||||||
Net assets at end of period | $ | 415,939,307 | $ | 480,580,117 | |||||||||||
|
|
|
|
1 Consolidated Statement of Changes in Net Assets.
2 For the period June 29, 2018 (commencement of operations) to March 31, 2019.
See accompanying Notes to Financial Statements. |
231 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
INTERMEDIATE BOND FUND | INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | ||||||||||||||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2020 | PERIOD ENDED MARCH 31, 20192 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | |||||||||||||||||||||||||||||||||
$ | 20,491,132 | $ | 19,904,240 | $ | 642,625 | $ | 256,220 | $ | 50,056,122 | $ | 57,515,619 | |||||||||||||||||||||||||||
21,175,681 | 701,666 | 27,738 | 60,259 | 13,379,717 | (3,071,666 | ) | ||||||||||||||||||||||||||||||||
3,749,699 | 707,048 | 41,117 | (1,390 | ) | 16,582,593 | 2,600,814 | ||||||||||||||||||||||||||||||||
(6,500,278 | ) | 7,888,043 | (431,127 | ) | 66,623 | (35,094,143 | ) | 5,976,618 | ||||||||||||||||||||||||||||||
1,593,571 | 738,541 | 12,390 | (2,321 | ) | (694,381 | ) | 2,852,270 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
40,509,805 | 29,939,538 | 292,743 | 379,391 | 44,229,908 | 65,873,655 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(907,641 | ) | (1,049,701 | ) | (94,322 | ) | (42,783 | ) | (12,024,510 | ) | (16,667,480 | ) | |||||||||||||||||||||||||||
(19,581,347 | ) | (18,870,200 | ) | (612,228 | ) | (226,389 | ) | (37,166,534 | ) | (40,401,619 | ) | |||||||||||||||||||||||||||
— | — | — | — | (5,009 | ) | (26,762 | ) | |||||||||||||||||||||||||||||||
— | — | — | — | — | (23,477 | ) | ||||||||||||||||||||||||||||||||
— | — | — | — | — | (51,488 | ) | ||||||||||||||||||||||||||||||||
— | — | — | — | — | (32 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(20,488,988 | ) | (19,919,901 | ) | (706,550 | ) | (269,172 | ) | (49,196,053 | ) | (57,170,858 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
10,513,623 | 8,930,041 | — | 732,500 | 49,556,729 | 37,897,702 | |||||||||||||||||||||||||||||||||
903,052 | 1,038,740 | 94,322 | 42,783 | 11,868,809 | 16,512,389 | |||||||||||||||||||||||||||||||||
(13,854,184 | ) | (27,862,526 | ) | — | — | (191,932,571 | ) | (450,522,739 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(2,437,509 | ) | (17,893,745 | ) | 94,322 | 775,283 | (130,507,033 | ) | (396,112,648 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
122,812,134 | 143,802,411 | 1,095,000 | 4,767,500 | 370,441,484 | 422,572,200 | |||||||||||||||||||||||||||||||||
19,285,880 | 18,354,290 | 612,228 | 226,389 | 35,093,600 | 38,796,615 | |||||||||||||||||||||||||||||||||
(176,794,379 | ) | (231,490,840 | ) | — | — | (522,614,405 | ) | (576,061,745 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(34,696,365 | ) | (69,334,139 | ) | 1,707,228 | 4,993,889 | (117,079,321 | ) | (114,692,930 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
— | — | — | — | 20,388 | 412,326 | |||||||||||||||||||||||||||||||||
— | — | — | — | 1,673 | 3,028 | |||||||||||||||||||||||||||||||||
— | — | — | — | (346,322 | ) | (5,361,196 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
— | — | — | — | (324,261 | ) | (4,945,842 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(37,133,874 | ) | (87,227,884 | ) | 1,801,550 | 5,769,172 | (247,910,615 | ) | (515,751,420 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(17,113,057 | ) | (77,208,247 | ) | 1,387,743 | 5,879,391 | (252,876,760 | ) | (507,048,623 | ) | |||||||||||||||||||||||||||||
743,987,737 | 821,195,984 | 5,879,391 | — | 2,159,127,928 | 2,666,176,551 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 726,874,680 | $ | 743,987,737 | $ | 7,267,134 | $ | 5,879,391 | $ | 1,906,251,168 | $ | 2,159,127,928 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 232 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
STRATEGIC INCOME FUND | |||||||||||||||
YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | ||||||||||||||
Operations: | |||||||||||||||
Net investment income | $ | 3,423,527 | $ | 3,988,237 | |||||||||||
Net realized gain/(loss) | 504,462 | (179,924 | ) | ||||||||||||
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | (1,260,979 | ) | (105,831 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on investments | (5,440,080 | ) | (753,967 | ) | |||||||||||
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | (364,036 | ) | (112,292 | ) | |||||||||||
|
|
|
| ||||||||||||
Net increase/(decrease) in net assets resulting from operations | (3,137,106 | ) | 2,836,223 | ||||||||||||
|
|
|
| ||||||||||||
Distributions to Shareholders: | |||||||||||||||
Class M | (537,821 | ) | (901,447 | ) | |||||||||||
Class I | (2,875,979 | ) | (3,111,962 | ) | |||||||||||
Administrative Class | — | — | |||||||||||||
Plan Class | — | — | |||||||||||||
Tax Return of Capital: | |||||||||||||||
Class M | — | — | |||||||||||||
Class I | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total Distributions | (3,413,800 | ) | (4,013,409 | ) | |||||||||||
|
|
|
| ||||||||||||
Capital Share Transactions: | |||||||||||||||
Class M: | |||||||||||||||
Proceeds from sale of shares | 4,390,876 | 3,505,735 | |||||||||||||
Shares issued in reinvestment of distributions | 527,237 | 891,815 | |||||||||||||
Cost of shares redeemed | (11,601,313 | ) | (12,602,836 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Class M capital share transactions | (6,683,200 | ) | (8,205,286 | ) | |||||||||||
|
|
|
| ||||||||||||
Class I: | |||||||||||||||
Proceeds from sale of shares | 8,919,733 | 12,178,869 | |||||||||||||
Shares issued in reinvestment of distributions | 2,871,974 | 3,111,134 | |||||||||||||
Cost of shares redeemed | (25,110,769 | ) | (16,900,636 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Class I capital share transactions | (13,319,062 | ) | (1,610,633 | ) | |||||||||||
|
|
|
| ||||||||||||
Class I-2: | |||||||||||||||
Proceeds from sale of shares | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total Class I-2 capital share transactions | — | — | |||||||||||||
|
|
|
| ||||||||||||
Administrative Class: | |||||||||||||||
Proceeds from sale of shares | — | — | |||||||||||||
Shares issued in reinvestment of distributions | — | — | |||||||||||||
Cost of shares redeemed | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total Administrative Class capital share transactions | — | — | |||||||||||||
|
|
|
| ||||||||||||
Plan Class: | |||||||||||||||
Proceeds from sale of shares | — | — | |||||||||||||
Shares issued in reinvestment of distributions | — | — | |||||||||||||
Cost of shares redeemed | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total Plan Class capital share transactions | — | — | |||||||||||||
|
|
|
| ||||||||||||
Net increase/(decrease) in net assets derived from capital share transactions | (20,002,262 | ) | (9,815,919 | ) | |||||||||||
|
|
|
| ||||||||||||
Net increase/(decrease) in net assets | (26,553,168 | ) | (10,993,105 | ) | |||||||||||
Net assets at beginning of year | 85,217,881 | 96,210,986 | |||||||||||||
|
|
|
| ||||||||||||
Net assets at end of year | $ | 58,664,713 | $ | 85,217,881 | |||||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
233 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | ||||||||||||||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | |||||||||||||||||||||||||||||||||
$ | 2,023,008,126 | $ | 2,112,787,205 | $ | 2,638,815 | $ | 2,409,996 | $ | 121,034,413 | $ | 116,127,690 | |||||||||||||||||||||||||||
3,804,324,845 | 79,099,664 | 60,894 | (236,494 | ) | 26,851,078 | (8,168,008 | ) | |||||||||||||||||||||||||||||||
846,408,074 | 97,796,555 | 78,160 | 320,477 | (22,176,323 | ) | 924,558 | ||||||||||||||||||||||||||||||||
(750,124,991 | ) | 845,175,343 | (977,333 | ) | 138,562 | (180,850,914 | ) | 2,609,894 | ||||||||||||||||||||||||||||||
70,491,225 | 86,345,290 | (6,572 | ) | (51,411 | ) | (20,140,194 | ) | (3,397,523 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
5,994,107,279 | 3,221,204,057 | 1,793,964 | 2,581,130 | (75,281,940 | ) | 108,096,611 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(300,388,115 | ) | (273,391,389 | ) | (756,939 | ) | (829,374 | ) | (12,589,905 | ) | (18,384,003 | ) | |||||||||||||||||||||||||||
(1,537,934,853 | ) | (1,239,989,637 | ) | (1,886,190 | ) | (1,585,733 | ) | (107,860,978 | ) | (98,708,243 | ) | |||||||||||||||||||||||||||
(49,057,509 | ) | (24,372,504 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
(823,240,499 | ) | (574,517,893 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
— | — | — | — | — | (3,771 | ) | ||||||||||||||||||||||||||||||||
— | — | — | — | — | (18,705 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(2,710,620,976 | ) | (2,112,271,423 | ) | (2,643,129 | ) | (2,415,107 | ) | (120,450,883 | ) | (117,114,722 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||
2,020,194,403 | 1,476,031,777 | 14,930,510 | 5,620,754 | 81,683,781 | 120,030,558 | |||||||||||||||||||||||||||||||||
297,755,323 | 270,744,373 | 725,591 | 794,098 | 11,911,123 | 17,699,507 | |||||||||||||||||||||||||||||||||
(3,301,382,158 | ) | (3,936,336,811 | ) | (21,398,277 | ) | (22,861,454 | ) | (264,774,683 | ) | (323,195,994 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(983,432,432 | ) | (2,189,560,661 | ) | (5,742,176 | ) | (16,446,602 | ) | (171,179,779 | ) | (185,465,929 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
13,667,391,267 | 10,831,780,423 | 42,913,142 | 24,210,837 | 1,089,940,500 | 1,122,095,700 | |||||||||||||||||||||||||||||||||
1,390,528,528 | 1,110,511,508 | 1,882,967 | 1,582,264 | 88,891,932 | 80,100,104 | |||||||||||||||||||||||||||||||||
(11,771,099,618 | ) | (18,950,183,307 | ) | (35,906,941 | ) | (26,591,302 | ) | (891,192,312 | ) | (1,171,406,272 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
3,286,820,177 | (7,007,891,376 | ) | 8,889,168 | (798,201 | ) | 287,640,120 | 30,789,532 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
100 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
100 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
928,545,275 | 402,509,711 | — | — | — | — | |||||||||||||||||||||||||||||||||
48,519,313 | 24,072,798 | — | — | — | — | |||||||||||||||||||||||||||||||||
(319,527,834 | ) | (408,081,441 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
657,536,754 | 18,501,068 | — | — | — | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
7,677,631,917 | 7,224,408,177 | — | — | 100 | — | |||||||||||||||||||||||||||||||||
763,872,829 | 553,494,749 | — | — | — | — | |||||||||||||||||||||||||||||||||
(6,168,990,702 | ) | (5,880,964,750 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
2,272,514,044 | 1,896,938,176 | — | — | 100 | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
5,233,438,643 | (7,282,012,793 | ) | 3,146,992 | (17,244,803 | ) | 116,460,441 | (154,676,397 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
8,516,924,946 | (6,173,080,159 | ) | 2,297,827 | (17,078,780 | ) | (79,272,382 | ) | (163,694,508 | ) | |||||||||||||||||||||||||||||
72,110,969,528 | 78,284,049,687 | 102,396,477 | 119,475,257 | 3,106,598,654 | 3,270,293,162 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 80,627,894,474 | $ | 72,110,969,528 | $ | 104,694,304 | $ | 102,396,477 | $ | 3,027,326,272 | $ | 3,106,598,654 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 234 |
Table of Contents
Financial Highlights
ALPHATRAK 500 FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
|
|
| |||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.73 | $ | 9.98 | $ | 8.95 | $ | 7.22 | $ | 7.22 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.31 | 0.22 | 0.09 | 0.12 | 0.02 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (1.14 | ) | 0.76 | 1.03 | 1.77 | 0.02 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.83 | ) | 0.98 | 1.12 | 1.89 | 0.04 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.30 | ) | (0.23 | ) | (0.09 | ) | (0.16 | ) | (0.04 | ) | |||||||||||||||||||||||||
From net capital gains | (0.71 | ) | — | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (1.01 | ) | (0.23 | ) | (0.09 | ) | (0.16 | ) | (0.04 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 8.89 | $ | 10.73 | $ | 9.98 | $ | 8.95 | $ | 7.22 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (9.36 | )% | 9.93 | % | 12.52 | % | 26.38 | % | 0.53 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 29,066 | $ | 21,202 | $ | 18,149 | $ | 20,714 | $ | 2,406 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 1.04 | % | 1.39 | % | 0.90 | %2 | 3.37 | % | 2.64 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.80 | % | 2.15 | % | 0.90 | % | 1.49 | % | 0.31 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 89 | % | 140 | % | 115 | % | 505 | % | 59 | % |
1 | Per share numbers have been calculated using the average share method. |
2 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.88%. |
See accompanying Notes to Financial Statements. |
235 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
CORPORATE BOND FUND CLASS M* | |||||||||||||||
YEAR | PERIOD ENDED MARCH 31, 2019 |
| |||||||||||||
Net Asset Value, Beginning of Period | $ | 10.31 | $ | 10.00 | |||||||||||
|
|
|
| ||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.88 | 0.41 | |||||||||||||
Net realized and unrealized gain | 0.06 | 0.34 | |||||||||||||
|
|
|
| ||||||||||||
Total Income from Investment Operations | 0.94 | 0.75 | |||||||||||||
|
|
|
| ||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (0.86 | ) | (0.41 | ) | |||||||||||
From net capital gains | (0.07 | ) | (0.03 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Distributions | (0.93 | ) | (0.44 | ) | |||||||||||
|
|
|
| ||||||||||||
Net Asset Value, End of Period | $ | 10.32 | $ | 10.31 | |||||||||||
|
|
|
| ||||||||||||
Total Return | 9.19 | % | 7.75 | %2 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 876 | $ | 803 | |||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 8.55 | % | 9.81 | %3 | |||||||||||
After expense waivers and reimbursements | 0.75 | % | 0.75 | %3 | |||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 8.31 | % | 5.47 | %3 | |||||||||||
Portfolio Turnover Rate | 65 | % | 159 | %2 |
1 | Per share numbers have been calculated using the average share method. |
2 | Non-Annualized. |
3 | Annualized. |
* | The Corporate Bond Fund Class M Shares commenced operations on June 29, 2018. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 236 |
Table of Contents
Metropolitan West Funds
Financial Highlights
CORPORATE BOND FUND CLASS I* | |||||||||||||||
YEAR 2020 | PERIOD ENDED MARCH 31, 2019 |
| |||||||||||||
Net Asset Value, Beginning of Period | $ | 10.31 | $ | 10.00 | |||||||||||
|
|
|
| ||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.91 | 0.43 | |||||||||||||
Net realized and unrealized gain | 0.06 | 0.34 | |||||||||||||
|
|
|
| ||||||||||||
Total Income from Investment Operations | 0.97 | 0.77 | |||||||||||||
|
|
|
| ||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (0.89 | ) | (0.43 | ) | |||||||||||
From net capital gains | (0.07 | ) | (0.03 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Distributions | (0.96 | ) | (0.46 | ) | |||||||||||
|
|
|
| ||||||||||||
Net Asset Value, End of Period | $ | 10.32 | $ | 10.31 | |||||||||||
|
|
|
| ||||||||||||
Total Return | 9.46 | % | 7.95 | %2 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 2,392 | $ | 1,355 | |||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 8.30 | % | 9.56 | %3 | |||||||||||
After expense waivers and reimbursements | 0.50 | % | 0.50 | %3 | |||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 8.62 | % | 5.72 | %3 | |||||||||||
Portfolio Turnover Rate | 65 | % | 159 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Corporate Bond Fund Class I Shares commenced operations on June 29, 2018.
See accompanying Notes to Financial Statements.
237 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLEXIBLE INCOME FUND CLASS M* | |||||||||||||||
YEAR | PERIOD ENDED MARCH 31, 2019 | ||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.79 | $ | 10.00 | |||||||||||
|
|
|
| ||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 1.86 | 0.23 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.85 | ) | 0.79 | ||||||||||||
|
|
|
| ||||||||||||
Total Income from Investment Operations | 1.01 | 1.02 | |||||||||||||
|
|
|
| ||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (1.98 | ) | (0.23 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Distributions | (1.98 | ) | (0.23 | ) | |||||||||||
|
|
|
| ||||||||||||
Net Asset Value, End of Period | $ | 9.82 | $ | 10.79 | |||||||||||
|
|
|
| ||||||||||||
Total Return | 9.82 | % | 10.25 | %2 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 1 | $ | 1 | |||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 3.76 | % | 9.18 | %3 | |||||||||||
After expense waivers and reimbursements | 0.80 | % | 0.80 | %3 | |||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 17.64 | % | 6.76 | %3 | |||||||||||
Portfolio Turnover Rate | 122 | % | 80 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Flexible Income Fund Class M Shares commenced operations on November 30, 2018.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 238 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLEXIBLE INCOME FUND CLASS I* | |||||||||||||||
YEAR | PERIOD ENDED MARCH 31, 2019 | ||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.78 | $ | 10.00 | |||||||||||
|
|
|
| ||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 1.90 | 0.24 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.85 | ) | 0.78 | ||||||||||||
|
|
|
| ||||||||||||
Total Income from Investment Operations | 1.05 | 1.02 | |||||||||||||
|
|
|
| ||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (2.01 | ) | (0.24 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Distributions | (2.01 | ) | (0.24 | ) | |||||||||||
|
|
|
| ||||||||||||
Net Asset Value, End of Period | $ | 9.82 | $ | 10.78 | |||||||||||
|
|
|
| ||||||||||||
Total Return | 10.14 | % | 10.24 | %2 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 8,934 | $ | 5,435 | |||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 3.51 | % | 8.82 | %3 | |||||||||||
After expense waivers and reimbursements | 0.55 | % | 0.55 | %3 | |||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 18.14 | % | 7.16 | %3 | |||||||||||
Portfolio Turnover Rate | 122 | % | 80 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Flexible Income Fund Class I Shares commenced operations on November 30, 2018.
See accompanying Notes to Financial Statements.
239 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLOATING RATE INCOME FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | YEAR ENDED MARCH 31, 2016 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.90 | $ | 10.06 | $ | 10.06 | $ | 9.80 | $ | 10.13 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.42 | 0.42 | 0.36 | 0.33 | 0.34 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.92 | ) | (0.15 | ) | — | 0.26 | (0.32 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.50 | ) | 0.27 | 0.36 | 0.59 | 0.02 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.42 | ) | (0.43 | ) | (0.36 | ) | (0.33 | ) | (0.34 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | — | (0.01 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.42 | ) | (0.43 | ) | (0.36 | ) | (0.33 | ) | (0.35 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 8.98 | $ | 9.90 | $ | 10.06 | $ | 10.06 | $ | 9.80 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (5.36 | )% | 2.72 | % | 3.61 | % | 6.08 | % | 0.23 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 6,084 | $ | 11,229 | $ | 15,802 | $ | 25,072 | $ | 8,206 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 1.00 | % | 1.03 | % | 1.04 | % | 1.05 | % | 1.07 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 4.27 | % | 4.23 | % | 3.53 | % | 3.28 | % | 3.42 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 51 | % | 52 | % | 71 | % | 40 | % | 66 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 240 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLOATING RATE INCOME FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | YEAR ENDED MARCH 31, 2016 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.90 | $ | 10.05 | $ | 10.06 | $ | 9.80 | $ | 10.12 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.44 | 0.45 | 0.38 | 0.35 | 0.36 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.92 | ) | (0.15 | ) | (0.01 | ) | 0.26 | (0.31 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.48 | ) | 0.30 | 0.37 | 0.61 | 0.05 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.44 | ) | (0.45 | ) | (0.38 | ) | (0.35 | ) | (0.36 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | — | (0.01 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.44 | ) | (0.45 | ) | (0.38 | ) | (0.35 | ) | (0.37 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 8.98 | $ | 9.90 | $ | 10.05 | $ | 10.06 | $ | 9.80 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (5.17 | )% | 3.03 | % | 3.72 | % | 6.29 | % | 0.53 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 250,187 | $ | 262,407 | $ | 237,759 | $ | 206,276 | $ | 139,472 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.70 | % | 0.71 | % | 0.72 | % | 0.75 | % | 0.73 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 4.47 | % | 4.50 | % | 3.77 | % | 3.48 | % | 3.61 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 51 | % | 52 | % | 71 | % | 40 | % | 66 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
241 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
HIGH YIELD BOND FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 20191 | YEAR ENDED MARCH 31, 20181 | YEAR ENDED MARCH 31, 20171 | YEAR ENDED MARCH 31, 20161 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.66 | $ | 9.55 | $ | 9.60 | $ | 9.09 | $ | 9.72 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income2 | 0.40 | 0.41 | 0.34 | 0.34 | 0.39 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.39 | ) | 0.11 | (0.05 | ) | 0.50 | (0.63 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | 0.01 | 0.52 | 0.29 | 0.84 | (0.24 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.40 | ) | (0.41 | ) | (0.34 | ) | (0.33 | ) | (0.39 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.40 | ) | (0.41 | ) | (0.34 | ) | (0.33 | ) | (0.39 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 9.27 | $ | 9.66 | $ | 9.55 | $ | 9.60 | $ | 9.09 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (0.06 | )% | 5.57 | % | 3.01 | % | 9.35 | % | (2.52 | )% | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 126,587 | $ | 187,339 | $ | 211,021 | $ | 344,328 | $ | 498,128 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.93 | % | 0.92 | % | 0.91 | % | 0.89 | % | 0.87 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 4.07 | % | 4.33 | % | 3.47 | % | 3.55 | % | 4.19 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 181 | % | 120 | % | 167 | % | 185 | % | 139 | % |
1 | Consolidated Financial Highlights. |
2 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 242 |
Table of Contents
Metropolitan West Funds
Financial Highlights
HIGH YIELD BOND FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 20191 | YEAR ENDED MARCH 31, 20181 | YEAR ENDED MARCH 31, 20171 | YEAR ENDED MARCH 31, 20161 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.65 | $ | 9.55 | $ | 9.60 | $ | 9.09 | $ | 9.72 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income2 | 0.42 | 0.44 | 0.36 | 0.36 | 0.42 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.39 | ) | 0.09 | (0.05 | ) | 0.50 | (0.64 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | 0.03 | 0.53 | 0.31 | 0.86 | (0.22 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.42 | ) | (0.43 | ) | (0.36 | ) | (0.35 | ) | (0.41 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.42 | ) | (0.43 | ) | (0.36 | ) | (0.35 | ) | (0.41 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 9.26 | $ | 9.65 | $ | 9.55 | $ | 9.60 | $ | 9.09 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 0.19 | % | 5.72 | % | 3.27 | % | 9.62 | % | (2.28 | )% | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 289,352 | $ | 293,241 | $ | 393,368 | $ | 532,071 | $ | 572,436 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.62 | % | 0.63 | % | 0.63 | % | 0.62 | % | 0.61 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 4.33 | % | 4.58 | % | 3.74 | % | 3.78 | % | 4.44 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 181 | % | 120 | % | 167 | % | 185 | % | 139 | % |
1 Consolidated Financial Highlights.
2 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements. |
243 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INTERMEDIATE BOND FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | YEAR ENDED MARCH 31, 2016 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.37 | $ | 10.21 | $ | 10.37 | $ | 10.58 | $ | 10.65 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.26 | 0.25 | 0.18 | 0.14 | 0.13 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.28 | 0.17 | (0.16 | ) | (0.09 | ) | (0.03 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.54 | 0.42 | 0.02 | 0.05 | 0.10 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.26 | ) | (0.26 | ) | (0.18 | ) | (0.15 | ) | (0.12 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | (0.11 | ) | (0.05 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.26 | ) | (0.26 | ) | (0.18 | ) | (0.26 | ) | (0.17 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 10.65 | $ | 10.37 | $ | 10.21 | $ | 10.37 | $ | 10.58 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 5.27 | % | 4.15 | % | 0.19 | % | 0.43 | % | 1.03 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 33,836 | $ | 35,343 | $ | 52,942 | $ | 92,642 | $ | 199,031 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.71 | % | 0.69 | % | 0.70 | %2 | 0.70 | %3 | 0.70 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.70 | % | 0.69 | % | 0.70 | % | 0.70 | % | 0.70 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.49 | % | 2.49 | % | 1.71 | % | 1.35 | % | 1.20 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 393 | % | 277 | % | 251 | % | 252 | % | 309 | % |
1 Per share numbers have been calculated using the average share method.
2 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.67%
3 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 244 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INTERMEDIATE BOND FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | YEAR ENDED MARCH 31, 2016 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.36 | $ | 10.21 | $ | 10.37 | $ | 10.58 | $ | 10.65 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.29 | 0.28 | 0.20 | 0.17 | 0.15 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.28 | 0.15 | (0.15 | ) | (0.10 | ) | (0.02 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.57 | 0.43 | 0.05 | 0.07 | 0.13 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.28 | ) | (0.28 | ) | (0.21 | ) | (0.17 | ) | (0.15 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | (0.11 | ) | (0.05 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.28 | ) | (0.28 | ) | (0.21 | ) | (0.28 | ) | (0.20 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 10.65 | $ | 10.36 | $ | 10.21 | $ | 10.37 | $ | 10.58 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 5.60 | % | 4.29 | % | 0.43 | % | 0.68 | % | 1.28 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of the year (in thousands) | $ | 693,038 | $ | 708,645 | $ | 768,254 | $ | 1,064,551 | $ | 1,094,444 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.48 | % | 0.47 | % | 0.46 | % | 0.45 | % | 0.46 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.48 | % | 0.47 | % | 0.46 | % | 0.45 | % | 0.46 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.69 | % | 2.74 | % | 1.97 | % | 1.63 | % | 1.44 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 393 | % | 277 | % | 251 | % | 252 | % | 309 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
245 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INVESTMENT GRADE CREDIT FUND CLASS M* | |||||||||||||||
YEAR | PERIOD ENDED MARCH 31, 2019 | ||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.31 | $ | 10.00 | |||||||||||
|
|
|
| ||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 1.05 | 0.55 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.55 | ) | 0.33 | ||||||||||||
|
|
|
| ||||||||||||
Total Income from Investment Operations | 0.50 | 0.88 | |||||||||||||
|
|
|
| ||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (1.05 | ) | (0.55 | ) | |||||||||||
From net capital gains | (0.11 | ) | (0.02 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Distributions | (1.16 | ) | (0.57 | ) | |||||||||||
|
|
|
| ||||||||||||
Net Asset Value, End of Period | $ | 9.65 | $ | 10.31 | |||||||||||
|
|
|
| ||||||||||||
Total Return | 4.80 | % | 9.02 | %2 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 837 | $799 | ||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 3.86 | % | 4.78 | %3 | |||||||||||
After expense waivers and reimbursements | 0.70 | % | 0.70 | %3 | |||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 10.33 | % | 7.20 | %3 | |||||||||||
Portfolio Turnover Rate | 76 | % | 199 | %2 |
1Per share numbers have been calculated using the average share method.
2Non-Annualized.
3Annualized.
* The Investment Grade Credit Fund Class M Shares commenced operations on June 29, 2018.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 246 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INVESTMENT GRADE CREDIT FUND CLASS I* | |||||||||||||||
YEAR | PERIOD ENDED MARCH 31, 2019 | ||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.31 | $ | 10.00 | |||||||||||
|
|
|
| ||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 1.07 | 0.55 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.55 | ) | 0.34 | ||||||||||||
|
|
|
| ||||||||||||
Total Income from Investment Operations | 0.52 | 0.89 | |||||||||||||
|
|
|
| ||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (1.07 | ) | (0.56 | ) | |||||||||||
From net capital gains | (0.11 | ) | (0.02 | ) | |||||||||||
|
|
|
| ||||||||||||
Total Distributions | (1.18 | ) | (0.58 | ) | |||||||||||
|
|
|
| ||||||||||||
Net Asset Value, End of Period | $ | 9.65 | $ | 10.31 | |||||||||||
|
|
|
| ||||||||||||
Total Return | 5.02 | % | 9.20 | %2 | |||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 6,431 | $5,081 | ||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 3.61 | % | 4.53 | %3 | |||||||||||
After expense waivers and reimbursements | 0.49 | % | 0.49 | %3 | |||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 10.54 | % | 7.29 | %3 | |||||||||||
Portfolio Turnover Rate | 76 | % | 199 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Investment Grade Credit Fund Class I Shares commenced operations on June 29, 2018.
See accompanying Notes to Financial Statements.
247 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
LOW DURATION BOND FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | YEAR ENDED MARCH 31, 2016 | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.68 | $ | 8.63 | $ | 8.72 | $ | 8.73 | $ | 8.81 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.20 | 0.20 | 0.13 | 0.10 | 0.10 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.03 | ) | 0.05 | (0.09 | ) | (0.00 | )2 | (0.08 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.17 | 0.25 | 0.04 | 0.10 | 0.02 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.20 | ) | (0.20 | ) | (0.13 | ) | (0.10 | ) | (0.10 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | (0.01 | ) | — | |||||||||||||||||||||||||||||
Return of Capital | — | (0.00 | )2 | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.20 | ) | (0.20 | ) | (0.13 | ) | (0.11 | ) | (0.10 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 8.65 | $ | 8.68 | $ | 8.63 | $ | 8.72 | $ | 8.73 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 1.93 | % | 2.93 | % | 0.48 | % | 1.25 | % | 0.22 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 449,701 | $ | 580,434 | $ | 975,388 | $ | 1,284,692 | $ | 1,492,411 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | % | 0.62 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | % | 0.62 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.32 | % | 2.29 | % | 1.45 | % | 1.19 | % | 1.16 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 233 | % | 174 | % | 200 | % | 95 | % | 119 | % |
1 Per share numbers have been calculated using the average share method.
2 Amount is greater than $(0.005) per share.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 248 |
Table of Contents
Metropolitan West Funds
Financial Highlights
LOW DURATION BOND FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.68 | $ | 8.64 | $ | 8.72 | $ | 8.73 | $ | 8.81 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.22 | 0.22 | 0.15 | 0.12 | 0.12 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.03 | ) | 0.04 | (0.08 | ) | (0.00 | )2 | (0.08 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.19 | 0.26 | 0.07 | 0.12 | 0.04 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.22 | ) | (0.22 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | (0.01 | ) | — | |||||||||||||||||||||||||||||
Return of Capital | — | (0.00 | )2 | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.22 | ) | (0.22 | ) | (0.15 | ) | (0.13 | ) | (0.12 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 8.65 | $ | 8.68 | $ | 8.64 | $ | 8.72 | $ | 8.73 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 2.14 | % | 3.03 | % | 0.81 | % | 1.46 | % | 0.44 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 1,456,456 | $ | 1,578,279 | $ | 1,685,415 | $ | 1,816,633 | $ | 1,915,270 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.42 | % | 0.41 | % | 0.40 | % | 0.40 | % | 0.39 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.42 | % | 0.41 | % | 0.40 | % | 0.40 | % | 0.39 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.51 | % | 2.53 | % | 1.68 | % | 1.40 | % | 1.39 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 233 | % | 174 | % | 200 | % | 95 | % | 119 | % |
1 Per share numbers have been calculated using the average share method.
2 Amount is greater than $(0.005) per share.
See accompanying Notes to Financial Statements.
249 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
LOW DURATION BOND FUND | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 11.21 | $ | 11.16 | $ | 11.27 | $ | 11.27 | $ | 11.37 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.26 | 0.23 | 0.15 | 0.12 | 0.12 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.05 | ) | 0.06 | (0.10 | ) | (0.01 | ) | (0.11 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.21 | 0.29 | 0.05 | 0.13 | 0.01 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.24 | ) | (0.24 | ) | (0.16 | ) | (0.12 | ) | (0.11 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | (0.01 | ) | — | |||||||||||||||||||||||||||||
Return of Capital | — | (0.00 | )2 | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.24 | ) | (0.24 | ) | (0.16 | ) | (0.13 | ) | (0.11 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 11.18 | $ | 11.21 | $ | 11.16 | $ | 11.27 | $ | 11.27 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 1.90 | % | 2.68 | % | 0.43 | % | 1.22 | % | 0.13 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 94 | $ | 415 | $ | 5,374 | $ | 7,210 | $ | 7,359 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.27 | % | 2.02 | % | 1.35 | % | 1.08 | % | 1.07 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 233 | % | 174 | % | 200 | % | 95 | % | 119 | % |
1 Per share numbers have been calculated using the average share method.
2 Amount is greater than $(0.005) per share.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 250 |
Table of Contents
Metropolitan West Funds
Financial Highlights
STRATEGIC INCOME FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 7.89 | $ | 7.99 | $ | 8.05 | $ | 7.99 | $ | 8.32 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.31 | 0.32 | 0.25 | 0.27 | 0.28 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.60 | ) | (0.09 | ) | (0.03 | ) | 0.04 | (0.33 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.29 | ) | 0.23 | 0.22 | 0.31 | (0.05 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.31 | ) | (0.33 | ) | (0.28 | ) | (0.25 | ) | (0.28 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.31 | ) | (0.33 | ) | (0.28 | ) | (0.25 | ) | (0.28 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 7.29 | $ | 7.89 | $ | 7.99 | $ | 8.05 | $ | 7.99 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (3.86 | )% | 3.01 | % | 2.78 | % | 3.91 | % | (0.57 | )% | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 10,413 | $ | 17,908 | $ | 26,420 | $ | 44,430 | $ | 59,072 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 2.43 | % | 1.84 | %2 | 2.45 | % | 2.09 | % | 1.87 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 2.35 | % | 1.84 | % | 2.35 | % | 2.09 | % | 1.87 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 3.95 | % | 4.10 | % | 3.15 | % | 3.36 | % | 3.46 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 50 | % | 36 | % | 32 | % | 42 | % | 20 | % |
1 Per share numbers have been calculated using the average share method.
2 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.67%.
See accompanying Notes to Financial Statements.
251 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
STRATEGIC INCOME FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 7.89 | $ | 7.98 | $ | 8.05 | $ | 7.98 | $ | 8.31 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.33 | 0.35 | 0.27 | 0.29 | 0.31 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.60 | ) | (0.09 | ) | (0.04 | ) | 0.05 | (0.33 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.27 | ) | 0.26 | 0.23 | 0.34 | (0.02 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.33 | ) | (0.35 | ) | (0.30 | ) | (0.27 | ) | (0.31 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.33 | ) | (0.35 | ) | (0.30 | ) | (0.27 | ) | (0.31 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 7.29 | $ | 7.89 | $ | 7.98 | $ | 8.05 | $ | 7.98 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (3.61 | )% | 3.41 | % | 2.90 | % | 4.32 | % | (0.25 | )% | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 48,252 | $ | 67,310 | $ | 69,791 | $ | 70,556 | $ | 61,018 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 2.20 | % | 1.53 | %2 | 2.22 | % | 1.84 | % | 1.54 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 2.10 | % | 1.53 | % | 2.10 | % | 1.84 | % | 1.54 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 4.23 | % | 4.45 | % | 3.40 | % | 3.64 | % | 3.78 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 50 | % | 36 | % | 32 | % | 42 | % | 20 | % |
1 Per share numbers have been calculated using the average share method.
2 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.41%.
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 252 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.64 | $ | 10.46 | $ | 10.57 | $ | 10.83 | $ | 11.02 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.26 | 0.28 | 0.21 | 0.18 | 0.18 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.57 | 0.18 | (0.11 | ) | (0.11 | ) | (0.07 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.83 | 0.46 | 0.10 | 0.07 | 0.11 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.26 | ) | (0.28 | ) | (0.21 | ) | (0.18 | ) | (0.18 | ) | |||||||||||||||||||||||||
From net capital gains | (0.09 | ) | — | — | (0.15 | ) | (0.12 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.35 | ) | (0.28 | ) | (0.21 | ) | (0.33 | ) | (0.30 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 11.12 | $ | 10.64 | $ | 10.46 | $ | 10.57 | $ | 10.83 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 7.93 | % | 4.49 | % | 0.94 | % | 0.70 | % | 0.99 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 8,979,527 | $ | 9,560,056 | $ | 11,617,735 | $ | 15,223,666 | $ | 16,488,095 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | 0.66 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | 0.66 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.38 | % | 2.68 | % | 1.96 | % | 1.71 | % | 1.64 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 405 | % | 255 | % | 291 | % | 313 | % | 303 | % |
1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
253 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.64 | $ | 10.46 | $ | 10.57 | $ | 10.83 | $ | 11.01 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.28 | 0.30 | 0.23 | 0.21 | 0.20 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.57 | 0.18 | (0.11 | ) | (0.11 | ) | (0.06 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.85 | 0.48 | 0.12 | 0.10 | 0.14 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.28 | ) | (0.30 | ) | (0.23 | ) | (0.21 | ) | (0.20 | ) | |||||||||||||||||||||||||
From net capital gains | (0.09 | ) | — | — | (0.15 | ) | (0.12 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.37 | ) | (0.30 | ) | (0.23 | ) | (0.36 | ) | (0.32 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 11.12 | $ | 10.64 | $ | 10.46 | $ | 10.57 | $ | 10.83 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 8.16 | % | 4.72 | % | 1.17 | % | 0.93 | % | 1.31 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 46,086,494 | $ | 40,927,700 | $ | 47,327,297 | $ | 49,013,553 | $ | 46,277,563 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.45 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.43 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.45 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.43 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.60 | % | 2.91 | % | 2.19 | % | 1.94 | % | 1.87 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 405 | % | 255 | % | 291 | % | 313 | % | 303 | % |
1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 254 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN | |||||||
PERIOD ENDED MARCH 31, 2020 | |||||||
Net Asset Value, Beginning of Period | $ | 11.48 | |||||
|
| ||||||
Income from Investment Operations: | |||||||
Net investment income1 | 0.02 | ||||||
Net realized and unrealized loss | (0.36 | ) | |||||
|
| ||||||
Total Loss from Investment Operations | (0.34 | ) | |||||
|
| ||||||
Less Distributions: | |||||||
From net investment income | (0.02 | ) | |||||
Total Distributions | (0.02 | ) | |||||
|
| ||||||
Net Asset Value, End of Period | $ | 11.12 | |||||
|
| ||||||
Total Return | (2.93 | )%2 | |||||
Ratios/Supplemental Data: | |||||||
Net Assets, end of period | $ | 97 | 3 | ||||
Ratio of Expenses to Average Net Assets | |||||||
Before expense waivers and reimbursements | 0.33 | %4 | |||||
After expense waivers and reimbursements | 0.33 | %4 | |||||
Ratio of Net Investment Income to Average Net Assets | |||||||
After expense waivers and reimbursements | 3.49 | %4 | |||||
Portfolio Turnover Rate | 405 | %2 |
1 Per share numbers have been calculated using the average share method.
2Non-Annualized.
3 Represents the whole number without rounding to the 000s.
4 Annualized.
* The Total Return Bond FundClass I-2 Shares commenced operations on March 6, 2020.
See accompanying Notes to Financial Statements.
255 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.65 | $ | 10.47 | $ | 10.58 | $ | 10.84 | $ | 11.02 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.25 | 0.27 | 0.20 | 0.17 | 0.16 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.57 | 0.18 | (0.11 | ) | (0.11 | ) | (0.06 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.82 | 0.45 | 0.09 | 0.06 | 0.10 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.25 | ) | (0.27 | ) | (0.20 | ) | (0.17 | ) | (0.16 | ) | |||||||||||||||||||||||||
From net capital gains | (0.09 | ) | — | — | (0.15 | ) | (0.12 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.34 | ) | (0.27 | ) | (0.20 | ) | (0.32 | ) | (0.28 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 11.13 | $ | 10.65 | $ | 10.47 | $ | 10.58 | $ | 10.84 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 7.80 | % | 4.36 | % | 0.83 | % | 0.59 | % | 0.96 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 1,739,034 | $ | 1,011,637 | $ | 975,897 | $ | 768,125 | $ | 291,168 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.26 | % | 2.58 | % | 1.87 | % | 1.62 | % | 1.51 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 405 | % | 255 | % | 291 | % | 313 | % | 303 | % |
1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 256 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND PLAN CLASS | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.01 | $ | 9.84 | $ | 9.95 | $ | 10.20 | $ | 10.38 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.28 | 0.29 | 0.23 | 0.20 | 0.20 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | 0.54 | 0.17 | (0.11 | ) | (0.10 | ) | (0.07 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.82 | 0.46 | 0.12 | 0.10 | 0.13 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.28 | ) | (0.29 | ) | (0.23 | ) | (0.20 | ) | (0.19 | ) | |||||||||||||||||||||||||
From net capital gains | (0.09 | ) | — | — | (0.15 | ) | (0.12 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.37 | ) | (0.29 | ) | (0.23 | ) | (0.35 | ) | (0.31 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 10.46 | $ | 10.01 | $ | 9.84 | $ | 9.95 | $ | 10.20 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 8.29 | % | 4.80 | % | 1.18 | % | 1.03 | % | 1.33 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 23,822,841 | $ | 20,611,577 | $ | 18,363,121 | $ | 13,687,733 | $ | 10,702,029 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.38 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.38 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.67 | % | 3.00 | % | 2.28 | % | 2.01 | % | 1.93 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 405 | % | 255 | % | 291 | % | 313 | % | 303 | % |
1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
257 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
ULTRA SHORT BOND FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 4.26 | $ | 4.25 | $ | 4.27 | $ | 4.27 | $ | 4.29 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.11 | 0.09 | 0.05 | 0.04 | 0.03 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.03 | ) | 0.01 | (0.02 | ) | 0.01 | (0.02 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.08 | 0.10 | 0.03 | 0.05 | 0.01 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.09 | ) | (0.05 | ) | (0.04 | ) | (0.03 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | (0.01 | ) | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.11 | ) | (0.09 | ) | (0.05 | ) | (0.05 | ) | (0.03 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 4.23 | $ | 4.26 | $ | 4.25 | $ | 4.27 | $ | 4.27 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 1.85 | % | 2.37 | % | 0.68 | % | 1.14 | % | 0.18 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 28,355 | $ | 34,376 | $ | 50,777 | $ | 66,238 | $ | 78,212 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.77 | % | 0.74 | % | 0.69 | % | 0.67 | % | 0.68 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.53 | % | 2.08 | % | 1.14 | % | 0.97 | % | 0.66 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 303 | % | 172 | % | 183 | % | 63 | % | 37 | % |
1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 258 |
Table of Contents
Metropolitan West Funds
Financial Highlights
ULTRA SHORT BOND FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 4.27 | $ | 4.26 | $ | 4.27 | $ | 4.28 | $ | 4.30 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.12 | 0.10 | 0.06 | 0.05 | 0.04 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.04 | ) | 0.01 | (0.01 | ) | (0.00 | )2 | (0.03 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income from Investment Operations | 0.08 | 0.11 | 0.05 | 0.05 | 0.01 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.12 | ) | (0.10 | ) | (0.06 | ) | (0.05 | ) | (0.03 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | — | (0.01 | ) | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.12 | ) | (0.10 | ) | (0.06 | ) | (0.06 | ) | (0.03 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 4.23 | $ | 4.27 | $ | 4.26 | $ | 4.27 | $ | 4.28 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | 1.78 | % | 2.53 | % | 1.08 | % | 1.06 | % | 0.34 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 76,340 | $ | 68,020 | $ | 68,698 | $ | 70,744 | $ | 74,751 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.58 | % | 0.56 | % | 0.52 | % | 0.49 | % | 0.50 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.34 | % | 0.34 | % | 0.34 | % | 0.34 | % | 0.34 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 2.70 | % | 2.27 | % | 1.30 | % | 1.13 | % | 0.83 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 303 | % | 172 | % | 183 | % | 63 | % | 37 | % |
1 | Per share numbers have been calculated using the average share method. |
2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
259 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
UNCONSTRAINED BOND FUND CLASS M | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 11.80 | $ | 11.83 | $ | 11.90 | $ | 11.72 | $ | 11.95 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.42 | 0.41 | 0.29 | 0.25 | 0.23 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.69 | ) | (0.03 | ) | (0.03 | ) | 0.22 | (0.23 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.27 | ) | 0.38 | 0.26 | 0.47 | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.41 | ) | (0.41 | ) | (0.31 | ) | (0.25 | ) | (0.23 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | (0.02 | ) | (0.04 | ) | — | ||||||||||||||||||||||||||||
Return of Capital | — | (0.00 | )2 | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.41 | ) | (0.41 | ) | (0.33 | ) | (0.29 | ) | (0.23 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 11.12 | $ | 11.80 | $ | 11.83 | $ | 11.90 | $ | 11.72 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (2.47 | )% | 3.31 | % | 2.18 | % | 4.11 | % | (0.02 | )% | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of period (in thousands) | $ | 267,139 | $ | 454,968 | $ | 642,999 | $ | 1,460,884 | $ | 827,053 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 1.03 | % | 1.03 | %3 | 1.05 | % | 1.04 | %4 | 1.04 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | 1.04 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 3.49 | % | 3.46 | % | 2.39 | % | 2.13 | % | 1.95 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 85 | % | 43 | % | 62 | % | 33 | % | 23 | % |
1 | Per share numbers have been calculated using the average share method. |
2 | Amount is greater than $(0.005) per share. |
3 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.99%. |
4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.02%. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 260 |
Table of Contents
Metropolitan West Funds
Financial Highlights
UNCONSTRAINED BOND FUND CLASS I | |||||||||||||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR MARCH 31,
| |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 11.79 | $ | 11.82 | $ | 11.89 | $ | 11.71 | $ | 11.94 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||||||||||||
Net investment income1 | 0.44 | 0.44 | 0.33 | 0.29 | 0.27 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain/(loss) | (0.67 | ) | (0.02 | ) | (0.04 | ) | 0.22 | (0.24 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Income/(Loss) from Investment Operations | (0.23 | ) | 0.42 | 0.29 | 0.51 | 0.03 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||||||||||||
From net investment income | (0.44 | ) | (0.45 | ) | (0.34 | ) | (0.29 | ) | (0.26 | ) | |||||||||||||||||||||||||
From net capital gains | — | — | (0.02 | ) | (0.04 | ) | — | ||||||||||||||||||||||||||||
Return of Capital | — | (0.00 | )2 | — | — | — | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Distributions | (0.44 | ) | (0.45 | ) | (0.36 | ) | (0.33 | ) | (0.26 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Net Asset Value, End of Year | $ | 11.12 | $ | 11.79 | $ | 11.82 | $ | 11.89 | $ | 11.71 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||
Total Return | (2.11 | )% | 3.60 | % | 2.49 | % | 4.43 | % | 0.29 | % | |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 2,760,187 | $ | 2,651,631 | $ | 2,627,294 | $ | 1,996,550 | $ | 1,395,583 | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.75 | % | 0.75 | % | 0.73 | % | 0.73 | % | 0.73 | % | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.75 | % | 0.75 | % | 0.73 | % | 0.73 | % | 0.73 | % | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||||||||||||
After expense waivers and reimbursements | 3.72 | % | 3.76 | % | 2.77 | % | 2.46 | % | 2.25 | % | |||||||||||||||||||||||||
Portfolio Turnover Rate | 85 | % | 43 | % | 62 | % | 33 | % | 23 | % |
1 | Per share numbers have been calculated using the average share method. |
2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
261 / Annual Report March 2020 |
Table of Contents
Metropolitan West Funds
Financial Highlights
UNCONSTRAINED BOND FUND PLAN CLASS* | |||||||
PERIOD ENDED 2020 | |||||||
Net Asset Value, Beginning of Period | $ | 11.96 | |||||
|
| ||||||
Income from Investment Operations: | |||||||
Net investment income1 | 0.03 | ||||||
Net realized and unrealized loss | (0.85 | ) | |||||
|
| ||||||
Total Loss from Investment Operations | (0.82 | ) | |||||
|
| ||||||
Less Distributions: | |||||||
From net investment income | (0.03 | ) | |||||
|
| ||||||
Net Asset Value, End of Period | $ | 11.11 | |||||
|
| ||||||
Total Return | (6.88 | )%2 | |||||
Ratios/Supplemental Data: | |||||||
Net Assets, end of period | $ | 93 | 3 | ||||
Ratio of Expenses to Average Net Assets | |||||||
Before expense waivers and reimbursements | 0.68 | %4 | |||||
After expense waivers and reimbursements | 0.68 | %4 | |||||
Ratio of Net Investment Income to Average Net Assets | |||||||
After expense waivers and reimbursements | 4.06 | %4 | |||||
Portfolio Turnover Rate | 85 | %2 |
1 | Per share numbers have been calculated using the average share method. |
2 | Non-Annualized. |
3 | Represents the whole number without rounding to the 000s. |
4 | Annualized. |
* | The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020. |
See accompanying Notes to Financial Statements.
Annual Report March 2020 / 262 |
Table of Contents
March 31, 2020
1. | SUMMARY OF ORGANIZATION |
The Metropolitan West Funds (the “Trust”) is anopen-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of twelve separate portfolios (each a “Fund” and collectively, the “Funds”): MetropolitanWestAlphaTrak 500 Fund (the “AlphaTrak 500 Fund”), MetropolitanWest Corporate Bond Fund (the “Corporate Bond Fund”), Metropolitan West Flexible Income Fund (the “Flexible Income Fund”), Metropolitan West Floating Rate Income Fund (the “Floating Rate Income Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Investment Grade Credit Fund (the “Investment Grade Credit Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), Metropolitan WestTotal Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”).TheAlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares.The Corporate Bond Fund commenced investment operations on June 29, 2018 with Class M and Class I shares.The Flexible Income Fund commenced investment operations on November 30, 2018 with Class M and Class I shares.The Floating Rate Income Fund commenced investment operations on June 28, 2013 with Class M and Class I shares. The High Yield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. The Intermediate Bond Fund commenced investment operations on June 28, 2002 with the Class I shares. Class M was added on June 30, 2004.The Investment Grade Credit Fund commenced investment operations on June 29, 2018 with Class M and Class I shares. The Low Duration Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000, and theAdministrative Class was added on September 22, 2009. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The Total Return Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000;Class I-2 was added on March 6, 2020; Administrative Class was added on December 18, 2009; and the Plan Class added on July 31, 2011. The Ultra Short Bond Fund commenced investment operations on June 30, 2003 with the Class M shares. Class I was added on July 31, 2004. The Unconstrained Bond Fund commenced investment operations on September 30, 2011 with Class M and Class I shares; and the Plan Class was added on March 6, 2020. Each Fund is an investment company following the accounting and reporting guidance in FinancialAccounting Standards Board (the “FASB”)Accounting Standards Codification (the “ASC”) No. 946, Financial Services – Investment Companies.
The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combinesnon-leveraged investments in S&P 500 Index futures contracts and/or swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is up to five years.
The Corporate Bond Fund seeks to maximize long-term total return, by investing, under normal circumstances, at least 80% of its assets, which includes borrowings for investment purposes, in a diversified portfolio of corporate debt instruments of varying maturities issued by U.S. and foreign corporations domiciled in developed market and emerging market countries. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from three to nine years.
The Flexible Income Fund seeks a high level of current income with a secondary objective of long-term capital appreciation by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates.
The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long term capital appreciation, by investing normally at least 80% of its net assets, which includes borrowings for investment purposes, in floating rate investments and in investments that are the economic equivalent of floating rate investments.The Fund’s portfolio securities may have any duration or maturity.
The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a diversified portfolio of high-yield, fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital.This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.
263 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
The Investment Grade Credit Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of investment grade fixed-income securities of varying maturities. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from two to eight years.
The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.
The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund focuses on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund focuses on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations.
The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity normally exceeds one year.
The Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates. There is no limit on the weighted average maturity of the Fund’s portfolio, and the average portfolio duration of the fixed-income portion of the Fund’s portfolio is expected to vary from negative three(-3) years to positive eight (8) years.
Basis of Consolidation:
The accompanying consolidated financial statements included the account of Metropolitan West HY Sub I, LLC (the “U.S. Subsidiary”), which was a wholly owned taxable subsidiary of the High Yield Bond Fund. The U.S. Subsidiary enabled the High Yield Bond Fund to hold investments in operating companies and satisfy regulated investment company tax requirements. Income earned and gains realized on the investments held by the U.S. Subsidiary were taxable to such subsidiary. The High Yield Bond Fund was able to invest up to 25% of its total assets in the U.S. Subsidiary. Intercompany accounts and transactions had been eliminated. The U.S. Subsidiary was subject to the same investment policies and restrictions that applied to the High Yield Bond Fund. The U.S. Subsidiary liquidated during the year ended March 31, 2019 and there was no material impact to the financial statements.
A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectuses and the Statement of Additional Information, which can be obtained at www.tcw.com or by calling (800)241-4671.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Trust:
Net Asset Value:
The Net Asset Value (“NAV”) of each class of a Fund is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the class of the Fund on each business day as of 4 p.m. ET.
Security Valuation:
Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board” or the “Board of Trustees”). Securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (e.g., U.S.Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P
Annual Report March 2020 / 264
Table of Contents
Notes to Financial Statements (Continued)
500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange on which those securities are traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or theover-the-counter market. Equity options are valued at the average of the bid and asked prices. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.
Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported NAV of such investments.
Fair value methods approved by the Board of Trustees include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold.These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by the Adviser. When the Funds use these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security.While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.
Foreign Currency Translation:
The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.
Foreign Taxes:
The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Securities and Derivatives Transactions and Investment Income:
Securities transactions are accounted for no later than the first NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the trade date. Cost is determined and gains and losses are based on thefirst-in,first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on theex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the effective interest method.
Distributions to Shareholders:
Distributions to shareholders are recorded on theex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. TheAlphaTrak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.
265 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
Federal Income Taxation:
It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders.Therefore, no federal income tax provision is required.
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
As of and during the year ended March 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.
Cash and Cash Equivalents:
The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.
Use of Estimates:
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Fair Value Measurements:
Various inputs are used in determining the fair value of investments, which are as follows:
* Level 1 | - unadjusted quoted prices in active markets for identical securities | |
* Level 2 | - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | |
* Level 3 | - significant unobservable inputs that are not corroborated by observable market data |
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Money market funds.Money market funds are open-ended mutual funds that invest in short-term debt securities. To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.
Short-term investments.Short-term investments (commercial paper and repurchase agreements) are valued using market price quotations, and are reflected as Level 2 of the fair value hierarchy.
Annual Report March 2020 / 266
Table of Contents
Notes to Financial Statements (Continued)
Equity securities.Securities such as common stocks and warrants are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held innon-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore, the inputs are unobservable.
Corporate bonds.The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Asset-backed securities and mortgage-backed securities.The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy; otherwise they would be categorized as Level 3.
Bank loans.The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable; they would then be categorized as Level 3.
Municipal bonds.Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades,bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance.To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
U.S. and Foreign government and agency securities.U.S. and Foreign government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Some government securities are actively traded and transparent in the market place. As such, they can be Level 1. Other government and agencies securities are quoted based on similar securities and yields and therefore, would be in Level 2.
Restricted securities.Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held innon-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and therefore the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3.
Foreign currency contracts. The fair value of foreign currency contracts is derived from indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as indices and exchange rates. Foreign currency contracts are categorized as Level 2 of the fair value hierarchy.
Futures contracts.Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Options and Swaptions contracts.Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements forin-the-money,at-the-money, andout-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Interest rate swaps.Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
267 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
Credit default swaps.Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index-specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Total return swaps.Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
As of March 31, 2020, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and warrants.
The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of March 31, 2020 is as follows:
ALPHATRAK 500 FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Investments in Securities | ||||||||||||||||||
Assets | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Commercial Paper | $ | — | $ | 129,441 | $ | — | $ | 129,441 | ||||||||||
Money Market Funds | 5,060,230 | — | — | 5,060,230 | ||||||||||||||
U.S. Treasury Bills | 2,706,733 | — | — | 2,706,733 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 2,708,302 | — | 2,708,302 | ||||||||||||||
Corporates | — | 10,501,252 | — | 10,501,252 | ||||||||||||||
Mortgage-Backed | — | 4,532,638 | 84,531 | 4,617,169 | ||||||||||||||
Mutual Funds | 2,395,450 | — | — | 2,395,450 | ||||||||||||||
U.S. Treasury Securities | 1,255,213 | — | — | 1,255,213 | ||||||||||||||
Other Financial Instruments * | ||||||||||||||||||
Liabilities: | ||||||||||||||||||
Equity contracts | (1,659,457 | ) | — | — | (1,659,457 | ) | ||||||||||||
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|
|
|
|
|
|
| |||||||||||
Total | $9,758,169 | $17,871,633 | $84,531 | $27,714,333 | ||||||||||||||
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|
|
|
|
|
|
*Other financial instruments include futures. Equity contracts include futures.
Annual Report March 2020 / 268
Table of Contents
Notes to Financial Statements (Continued)
CORPORATE BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
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| |||||||||
Investments in Securities | ||||||||||||||||||
Assets | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Commercial Paper | $ — | $ 9,614 | $ — | $ 9,614 | ||||||||||||||
Money Market Funds | 831,933 | — | — | 831,933 | ||||||||||||||
U.S. Treasury Bills | 17,992 | — | — | 17,992 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Corporates | — | 1,975,592 | — | 1,975,592 | ||||||||||||||
Mortgage-Backed | — | 496,047 | 35,813 | 531,860 | ||||||||||||||
Municipal Bonds | — | 55,338 | — | 55,338 | ||||||||||||||
U.S. Treasury Securities | 17,050 | — | — | 17,050 | ||||||||||||||
Other Financial Instruments * | ||||||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (809) | — | — | (809) | ||||||||||||||
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| |||||||||||
Total | $ 866,166 | $2,536,591 | $ 35,813 | $3,438,570 | ||||||||||||||
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| |||||||||||
*Otherfinancial instruments include futures. Interest rate contracts include futures. |
| |||||||||||||||||
FLEXIBLE INCOME FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
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| |||||||||
Investments in Securities | ||||||||||||||||||
Assets | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Commercial Paper | $ — | $ 19,698 | $ — | $ 19,698 | ||||||||||||||
Money Market Funds | 1,530,905 | — | — | 1,530,905 | ||||||||||||||
U.S. Treasury Bills | 26,987 | — | — | 26,987 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 814,705 | — | 814,705 | ||||||||||||||
Corporates | — | 2,401,247 | — | 2,401,247 | ||||||||||||||
Mortgage-Backed | — | 3,679,668 | 357,614 | 4,037,282 | ||||||||||||||
Municipal Bonds | — | 87,065 | — | 87,065 | ||||||||||||||
Other Financial Instruments * | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | 706 | — | — | 706 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (24,163) | — | — | (24,163) | ||||||||||||||
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| |||||||||||
Total | $1,534,435 | $7,002,383 | $357,614 | $8,894,432 | ||||||||||||||
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*Other financial instruments include futures. Interest rate contracts include futures.
269 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
|
FLOATING RATE INCOME FUND |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL | |||||||||||||||||||||||||||||
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| |||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||||||||||||||
Money Market Funds | $35,958,427 | $ — | $ — | $ 35,958,427 | ||||||||||||||||||||||||||||||
U.S. Treasury Bills | 9,999,121 | — | — | 9,999,121 | ||||||||||||||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||||||||||||||
Bank Loans | — | 205,099,333 | 2,905,819 | 208,005,152 | ||||||||||||||||||||||||||||||
Corporates | — | 25,621,067 | — | 25,621,067 | ||||||||||||||||||||||||||||||
Municipal Bonds | — | 401,592 | — | 401,592 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Total | $45,957,548 | $231,121,992 | $2,905,819 | $279,985,359 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
|
HIGH YIELD BOND FUND |
LEVEL 1 |
LEVEL 2 |
LEVEL 3 |
TOTAL | |||||||||||||||||||||||||||||
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| |||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||||||||||||||
Money Market Funds | $25,679,418 | $ — | $ — | $ 25,679,418 | ||||||||||||||||||||||||||||||
U.S. Treasury Bills | 1,574,263 | — | — | 1,574,263 | ||||||||||||||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||||||||||||||
Bank Loans | — | 64,771,250 | 2,812,025 | 67,583,275 | ||||||||||||||||||||||||||||||
Common Stock | 3,377 | — | 27,660 | 31,037 | ||||||||||||||||||||||||||||||
Corporates | — | 307,838,225 | 89,537 | 307,927,762 | ||||||||||||||||||||||||||||||
Mortgage-Backed | — | 21,455,107 | — | 21,455,107 | ||||||||||||||||||||||||||||||
Municipal Bonds | — | 1,912,536 | — | 1,912,536 | ||||||||||||||||||||||||||||||
Warrant | — | — | 4,810 | 4,810 | ||||||||||||||||||||||||||||||
Other Financial Instruments * | ||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||
Interest rate contracts | 4,711,716 | — | — | 4,711,716 | ||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||
Interest rate contracts | (3,946,204) | — | — | (3,946,204) | ||||||||||||||||||||||||||||||
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|
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|
| |||||||||||||||||||||||||||
Total | $ 28,022,570 | $ 395,977,118 | $ 2,934,032 | $ 426,933,720 | ||||||||||||||||||||||||||||||
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|
*Other financial instruments include futures. Interest rate contracts include futures.
Annual Report March 2020 / 270
Table of Contents
Notes to Financial Statements (Continued)
INTERMEDIATE BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
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| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Commercial Paper | $ — | $ 1,969,758 | $ — | $ 1,969,758 | ||||||||||||||||||
Foreign Government Obligations | — | 19,321,383 | — | 19,321,383 | ||||||||||||||||||
Money Market Funds | 60,585,790 | — | — | 60,585,790 | ||||||||||||||||||
U.S. Treasury Bills | 38,153,668 | — | — | 38,153,668 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 39,552,138 | — | 39,552,138 | ||||||||||||||||||
Bank Loans | — | 9,825,816 | — | 9,825,816 | ||||||||||||||||||
Common Stock | — | — | 441 | 441 | ||||||||||||||||||
Corporates | — | 260,760,566 | — | 260,760,566 | ||||||||||||||||||
Mortgage-Backed | — | 253,379,317 | — | 253,379,317 | ||||||||||||||||||
Municipal Bonds | — | 9,728,756 | — | 9,728,756 | ||||||||||||||||||
U.S. Agency Securities | — | 228,846 | — | 228,846 | ||||||||||||||||||
U.S. Treasury Securities | 146,984,980 | 16,086,870 | — | 163,071,850 | ||||||||||||||||||
Other Financial Instruments * | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | 520,871 | — | 520,871 | ||||||||||||||||||
Interest rate contracts | 2,083,855 | 1,469,374 | — | 3,553,229 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Interest rate contracts | (379,479) | (1,367,986) | — | (1,747,465) | ||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||
Total | $ 247,428,814 | $ 611,475,709 | $ 441 | $ 858,904,964 | ||||||||||||||||||
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*Other financial instruments include foreign currency exchange contracts, futures and swaps. Interest rate contracts include futures and swaps.
271 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
INVESTMENT GRADE CREDIT FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
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|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Commercial Paper | $ — | $ 19,698 | $ — | $ 19,698 | ||||||||||||||||||
Money Market Funds | 847,351 | — | — | 847,351 | ||||||||||||||||||
U.S. Treasury Bills | 26,987 | — | — | 26,987 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 649,432 | — | 649,432 | ||||||||||||||||||
Corporates | — | 3,924,887 | — | 3,924,887 | ||||||||||||||||||
Mortgage-Backed | — | 1,730,842 | 20,170 | 1,751,012 | ||||||||||||||||||
Municipal Bonds | — | 82,682 | — | 82,682 | ||||||||||||||||||
Other Financial Instruments * | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Interest rate contracts | 35,663 | 12,258 | — | 47,921 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Interest rate contracts | (26,612) | (11,222) | — | (37,834) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $883,389 | $6,408,577 | $20,170 | $7,312,136 | ||||||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.
Annual Report March 2020 / 272
Table of Contents
Notes to Financial Statements (Continued)
LOW DURATION BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Commercial Paper | $ — | $ 3,570,187 | $ — | $ 3,570,187 | ||||||||||||||||||
Foreign Government Obligations | — | 50,875,008 | — | 50,875,008 | ||||||||||||||||||
Money Market Funds | 174,398,186 | — | — | 174,398,186 | ||||||||||||||||||
U.S. Agency Discount Notes | — | 89,891,625 | — | 89,891,625 | ||||||||||||||||||
U.S. Treasury Bills | 194,861,362 | — | — | 194,861,362 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 190,161,792 | — | 190,161,792 | ||||||||||||||||||
Bank Loans | — | 28,101,778 | — | 28,101,778 | ||||||||||||||||||
Common Stock | — | — | 5,858 | 5,858 | ||||||||||||||||||
Corporates | — | 627,453,253 | — | 627,453,253 | ||||||||||||||||||
Mortgage-Backed | — | 671,496,047 | 1,711,943 | 673,207,990 | ||||||||||||||||||
Purchased Swaptions | — | 3,864 | — | 3,864 | ||||||||||||||||||
U.S. Treasury Securities | 25,404,761 | — | — | 25,404,761 | ||||||||||||||||||
Other Financial Instruments * | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | 1,371,501 | — | 1,371,501 | ||||||||||||||||||
Interest rate contracts | 2,005,505 | 3,840,805 | — | 5,846,310 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Interest rate contracts | (1,017,674) | (3,578,711) | — | (4,596,385) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ 395,652,140 | $ 1,663,187,149 | $ 1,717,801 | $ 2,060,557,090 | ||||||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts, futures, purchased swaptions, swaps and written swaptions. Interest rate contracts include futures, purchased swaptions, swaps and written swaptions.
273 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
STRATEGIC INCOME FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Investments in Securities | ||||||||||||||||||
Assets | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Commercial Paper | $ — | $ 551,531 | $ — | $ 551,531 | ||||||||||||||
Money Market Funds | 1,623,916 | — | — | 1,623,916 | ||||||||||||||
U.S. Treasury Bills | 350,836 | — | — | 350,836 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 7,529,275 | 110,334 | 7,639,609 | ||||||||||||||
Corporates | — | 21,203,765 | — | 21,203,765 | ||||||||||||||
Foreign Government Obligations | — | 1,701,252 | — | 1,701,252 | ||||||||||||||
Mortgage-Backed | — | 24,196,522 | 216,306 | 24,412,828 | ||||||||||||||
Municipal Bonds | — | 627,835 | — | 627,835 | ||||||||||||||
Other Financial Instruments * | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | 1,049 | 155,697 | — | 156,746 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (569,189) | (145,056) | — | (714,245) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $1,406,612 | $55,820,821 | $326,640 | $57,554,073 | ||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.
Annual Report March 2020 / 274
Table of Contents
Notes to Financial Statements (Continued)
TOTAL RETURN BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Commercial Paper | $ — | $ 328,230,530 | $ — | $ 328,230,530 | ||||||||||||||||||
Foreign Government Obligations | — | 1,776,894,157 | — | 1,776,894,157 | ||||||||||||||||||
Money Market Funds | 7,059,953,557 | — | — | 7,059,953,557 | ||||||||||||||||||
U.S. Agency Discount Notes | — | 1,199,831,970 | — | 1,199,831,970 | ||||||||||||||||||
U.S. Treasury Bills | 1,026,958,748 | — | — | 1,026,958,748 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 3,399,103,520 | 3,430,498 | 3,402,534,018 | ||||||||||||||||||
Bank Loans | — | 960,583,212 | 6,069,565 | 966,652,777 | ||||||||||||||||||
Common Stock | — | — | 64,939 | 64,939 | ||||||||||||||||||
Corporates | — | 22,790,568,590 | 5,264,767 | 22,795,833,357 | ||||||||||||||||||
Foreign Government Obligations | — | 976,318,392 | — | 976,318,392 | ||||||||||||||||||
Mortgage-Backed | — | 46,162,218,694 | 11,260,792 | 46,173,479,486 | ||||||||||||||||||
Municipal Bonds | — | 983,294,769 | — | 983,294,769 | ||||||||||||||||||
U.S. Treasury Securities | 7,187,264,676 | 2,986,145,696 | — | 10,173,410,372 | ||||||||||||||||||
Other Financial Instruments * | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | 23,968,448 | — | 23,968,448 | ||||||||||||||||||
Interest rate contracts | 111,466,796 | 155,893,280 | — | 267,360,076 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | (12,883) | — | (12,883) | ||||||||||||||||||
Interest rate contracts | (9,464,531) | (145,120,815) | — | (154,585,346) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $15,376,179,246 | $81,597,917,560 | $26,090,561 | $97,000,187,367 | ||||||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts, futures, swaps and written options. Interest rate contracts include futures, swaps and written option.
275 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
ULTRA SHORT BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Commercial Paper | $ — | $ 303,201 | $ — | $ 303,201 | ||||||||||||||||||
Foreign Government Obligations | — | 2,548,384 | — | 2,548,384 | ||||||||||||||||||
Money Market Funds | 11,586,257 | — | — | 11,586,257 | ||||||||||||||||||
U.S. Treasury Bills | 19,901,720 | — | — | 19,901,720 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 7,346,548 | — | 7,346,548 | ||||||||||||||||||
Corporates | — | 22,442,620 | — | 22,442,620 | ||||||||||||||||||
Mortgage-Backed | — | 22,780,519 | 24,861 | 22,805,380 | ||||||||||||||||||
U.S. Treasury Securities | 17,207,045 | — | — | 17,207,045 | ||||||||||||||||||
Other Financial Instruments * | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | 68,700 | — | 68,700 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Interest rate contracts | (67,873) | — | — | (67,873) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $48,627,149 | $55,489,972 | $24,861 | $104,141,982 | ||||||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts and futures. Interest contracts include futures.
Annual Report March 2020 / 276
Table of Contents
Notes to Financial Statements (Continued)
UNCONSTRAINED BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Commercial Paper | $ — | $ 18,268,536 | $ — | $ 18,268,536 | ||||||||||||||||||
Money Market Funds | 128,849,869 | — | — | 128,849,869 | ||||||||||||||||||
U.S. Treasury Bills | 17,349,876 | — | — | 17,349,876 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 410,607,889 | — | 410,607,889 | ||||||||||||||||||
Bank Loans | — | 43,883,832 | 536,919 | 44,420,751 | ||||||||||||||||||
Common Stock | — | — | 6,172 | 6,172 | ||||||||||||||||||
Corporates | — | 1,068,693,578 | — | 1,068,693,578 | ||||||||||||||||||
Foreign Government Obligations | — | 130,635,243 | — | 130,635,243 | ||||||||||||||||||
Mortgage-Backed | — | 1,297,709,696 | 96,156 | 1,297,805,852 | ||||||||||||||||||
Municipal Bonds | — | 53,391,236 | — | 53,391,236 | ||||||||||||||||||
Other Financial Instruments * | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | 2,270,424 | — | 2,270,424 | ||||||||||||||||||
Interest rate contracts | 53,388 | 6,616,104 | — | 6,669,492 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Interest rate contracts | (26,947,399) | (6,159,209) | — | (33,106,608) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ 119,305,734 | $ 3,025,917,329 | $ 639,247 | $ 3,145,862,310 | ||||||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Interest rate contracts include futures and swaps.
277 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
Certain securities held by the Funds are categorized as Level 3 investments. Their prices may be derived by utilizing unobservable prior transaction values or information from third party valuation services. The value of Level 3 investments could be significantly affected by changes in these unobservable inputs.
For the year ended March 31, 2020, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
ALPHATRAK 500 FUND
|
BANK
|
MORTGAGE-BACKED
| ||||||||||
Balance as of April 1, 2019 | $6,804 | $130,732 | ||||||||||
Accrued discounts/premiums | (2 | ) | (9,872 | ) | ||||||||
Realized (loss) | (3 | ) | (1,306 | ) | ||||||||
Change in unrealized appreciation/ (depreciation)* | 26 | (19,476 | ) | |||||||||
Purchases | — | — | ||||||||||
Sales | (6,825 | ) | (15,547 | ) | ||||||||
Transfers into Level 3** | — | — | ||||||||||
Transfers out of Level 3** | — | — | ||||||||||
|
|
|
| |||||||||
Balance as of March 31, 2020 | $ — | $84,531 | ||||||||||
|
|
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(20,138) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
CORPORATE BOND FUND
|
MORTGAGE-BACKED
| ||||||
Balance as of April 1, 2019 | $49,677 | ||||||
Accrued discounts/premiums | (1,482 | ) | |||||
Realized gain/(loss) | — | ||||||
Change in unrealized | (12,382 | ) | |||||
Purchases | — | ||||||
Sales | — | ||||||
Transfers into Level 3** | — | ||||||
Transfers out of Level 3** | — | ||||||
|
| ||||||
Balance as of March 31, 2020 | $35,813 | ||||||
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(12,382) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
Annual Report March 2020 / 278
Table of Contents
Notes to Financial Statements (Continued)
FLEXIBLE INCOME FUND |
MORTGAGE-BACKED
| ||||||
Balance as of April 1, 2019 | $182,387 | ||||||
Accrued discounts/premiums | (19,823 | ) | |||||
Realized gain/(loss) | — | ||||||
Change in unrealized appreciation* | 40,509 | ||||||
Purchases | 154,541 | ||||||
Sales | — | ||||||
Transfers into Level 3** | — | ||||||
Transfers out of Level 3** | — | ||||||
|
| ||||||
Balance as of March 31, 2020 | $357,614 | ||||||
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $40,509 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
FLOATING RATE INCOME FUND
|
BANK
| ||||||||
Balance as of April 1, 2019 | $2,478,928 | ||||||||
Accrued discounts/premiums | 4,337 | ||||||||
Realized loss | (505,731 | ) | |||||||
Change in unrealized (depreciation)* | (1,132,522 | ) | |||||||
Purchases | 554,693 | ||||||||
Sales | (3,582,051 | ) | |||||||
Transfers into Level 3** | 5,088,165 | ||||||||
Transfers out of Level 3** | — | ||||||||
|
| ||||||||
Balance as of March 31, 2020 | $ 2,905,819 | ||||||||
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(1,184,740) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $5,088,165 transferred from level 2 to level 3 in the disclosure hierarchy.
279 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
HIGH YIELD BOND FUND
|
BANK LOANS
| COMMON STOCK
| CORPORATES
| WARRANT
|
| |||||||||||||||||
Balance as of April 1, 2019 | $ | — | $ | 4,378,741 | $ | 376,362 | $ | 55,696 | ||||||||||||||
Accrued discounts/premiums | 21,071 | — | (894 | ) | — | |||||||||||||||||
Realized gain | 2,082 | (3,526,553 | ) | (394,336 | ) | (2,386,733 | ) | |||||||||||||||
Change in unrealized appreciation/(depreciation)* | (302,377 | ) | (636,139 | ) | 230,105 | 2,544,621 | ||||||||||||||||
Purchases | — | — | — | — | ||||||||||||||||||
Sales | (7,919 | ) | (188,389 | ) | (121,700 | ) | (208,774 | ) | ||||||||||||||
Transfers into Level 3** | 3,099,168 | — | — | — | ||||||||||||||||||
Transfers out of Level 3** | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of March 31, 2020 | $ | 2,812,025 | $ | 27,660 | $ | 89,537 | $ | 4,810 | ||||||||||||||
|
|
|
|
|
|
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(2,012,709) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $3,099,168 transferred from level 2 to level 3 in the disclosure hierarchy.
INTERMEDIATE BOND FUND
| BANK
| COMMON
| MORTGAGE-BACKED SECURITIES
| ||||||||||||||
Balance as of April 1, 2019 | $ | 290,291 | $ | 68,119 | $ | — | |||||||||||
Accrued discounts/premiums | 15 | — | — | ||||||||||||||
Realized gain | 57 | — | — | ||||||||||||||
Change in unrealized appreciation/(depreciation)* | 837 | (67,678 | ) | — | |||||||||||||
Purchases | — | — | — | ||||||||||||||
Sales | (291,200 | ) | — | — | |||||||||||||
Transfers into Level 3** | — | — | — | ||||||||||||||
Transfers out of Level 3** | — | — | — | ||||||||||||||
|
|
|
|
|
| ||||||||||||
Balance as of March 31, 2020 | $ | — | $ | 441 | $ | — | |||||||||||
|
|
|
|
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(67,678) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
Annual Report March 2020 / 280
Table of Contents
Notes to Financial Statements (Continued)
INVESTMENT GRADE CREDIT FUND | MORTGAGE-BACKED SECURITIES | ||||||
Balance as of April 1, 2019 | $109,178 | ||||||
Accrued discounts/premiums | 161 | ||||||
Realized gain | 1,428 | ||||||
Change in unrealized (depreciation)* | (14,001 | ) | |||||
Purchases | — | ||||||
Sales | (6,524 | ) | |||||
Transfers into Level 3** | — | ||||||
Transfers out of Level 3** | (70,072 | ) | |||||
|
| ||||||
Balance as of March 31, 2020 | $20,170 | ||||||
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(8,893) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2020, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $70,072 transferred from level 3 to level 2 in the disclosure hierarchy.
LOW DURATION BOND FUND
| BANK LOANS
| COMMON STOCK
|
MORTGAGE-BACKED
| ||||||||||||||
Balance as of April 1, 2019 | $2,276,685 | $905,259 | $2,104,368 | ||||||||||||||
Accrued discounts/premiums | 1,450 | — | (42,744 | ) | |||||||||||||
Realized (loss) | (529,906 | ) | — | — | |||||||||||||
Change in unrealized (depreciation)* | 55,337 | (899,401 | ) | (349,681 | ) | ||||||||||||
Purchases | — | — | — | ||||||||||||||
Sales | (1,803,566 | ) | — | — | |||||||||||||
Transfers into Level 3** | — | — | — | ||||||||||||||
Transfers out of Level 3** | — | — | — | ||||||||||||||
|
|
|
|
|
| ||||||||||||
Balance as of March 31, 2020 | $ — | $ 5,858 | $1,711,943 | ||||||||||||||
|
|
|
|
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(1,249,082) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
281 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
STRATEGIC INCOME FUND | ASSET-BACKED SECURITIES | MORTGAGE-BACKED SECURITIES | ||||||||||
Balance as of April 1, 2019 | $130,567 | $407,696 | ||||||||||
Accrued discounts/premiums | 263 | 64,260 | ||||||||||
Realized (loss) | — | (16,451 | ) | |||||||||
Change in unrealized (depreciation)* | (20,496 | ) | (78,721 | ) | ||||||||
Purchases | — | — | ||||||||||
Sales | — | (160,478 | ) | |||||||||
Corporate action | — | — | ||||||||||
Transfers into Level 3** | — | — | ||||||||||
Transfers out of Level 3** | — | — | ||||||||||
|
|
|
| |||||||||
Balance as of March 31, 2020 | $110,334 | $216,306 | ||||||||||
|
|
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(111,378) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
TOTAL RETURN BOND FUND
| ASSET-BACKED
| BANK
| COMMON
| CORPORATES
|
MORTGAGE-
| ||||||||||||||||||||
Balance as of April 1, 2019 | $8,584,058 | $11,389,405 | $10,035,975 | $20,247,152 | $15,090,098 | ||||||||||||||||||||
Accrued discounts/premiums | — | 84,174 | — | (57,721 | ) | (1,114,532 | ) | ||||||||||||||||||
Realized gain/(loss) | (9,505,974 | ) | 2,686 | — | 1,283,373 | — | |||||||||||||||||||
Change in unrealized appreciation/(depreciation)* | 8,104,568 | (1,652,279 | ) | (9,971,036 | ) | 473,168 | (2,714,774 | ) | |||||||||||||||||
Purchases | — | — | — | — | — | ||||||||||||||||||||
Sales | (3,752,154 | ) | (3,754,421 | ) | — | (16,681,205 | ) | — | |||||||||||||||||
Transfers into Level 3** | — | — | — | — | — | ||||||||||||||||||||
Transfers out of Level 3** | — | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Balance as of March 31, 2020 | $3,430,498 | $ 6,069,565 | $ 64,939 | $5,264,767 | $11,260,792 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(5,773,240) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
Annual Report March 2020 / 282
Table of Contents
Notes to Financial Statements (Continued)
ULTRA SHORT BOND FUND
|
MORTGAGE-BACKED
| ||||||
Balance as of April 1, 2019 | $ | 33,152 | |||||
Accrued discounts/premiums | (5,606 | ) | |||||
Realized gain/(loss) | — | ||||||
Change in unrealized (depreciation)* | (2,685 | ) | |||||
Purchases | — | ||||||
Sales | — | ||||||
Transfers into Level 3** | — | ||||||
Transfers out of Level 3** | — | ||||||
|
| ||||||
Balance as of March 31, 2020 | $ | 24,861 | |||||
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(2,685) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
UNCONSTRAINED | BANK | MORTGAGE-BACKED | ||||||||||||||||||||
BOND FUND
| LOANS
| COMMON STOCK
| CORPORATES
| SECURITIES
| ||||||||||||||||||
| ||||||||||||||||||||||
Balance as of April 1, 2019 | $2,554,930 | $953,887 | $2,729,771 | $106,822 | ||||||||||||||||||
Accrued discounts/premiums | 9,801 | — | (8,086) | 32,802 | ||||||||||||||||||
Realized loss | (756,963) | — | (2,100,585) | — | ||||||||||||||||||
Change in unrealized (depreciation)* | (73,629) | (947,715) | 1,404,550 | (43,468) | ||||||||||||||||||
Purchases | — | — | — | — | ||||||||||||||||||
Sales | (1,197,220) | — | (2,025,650) | — | ||||||||||||||||||
Transfers into Level 3** | — | — | — | — | ||||||||||||||||||
Transfers out of Level 3** | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of March 31, 2020 | $ 536,919 | $ 6,172 | $ — | $ 96,156 | ||||||||||||||||||
|
|
|
|
|
|
|
|
* The change in unrealized appreciation/(depreciation) on securities still held at March 31, 2020 was $(1,138,479) and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.
** There were no transfers between level 2 and 3 for the year ended March 31, 2020.
283 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
Significant unobservable valuations inputs for Level 3 investments as of March 31, 2020, are as follows:
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||
ALPHATRAK 500 FUND
| AT 3/31/20
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||
Mortgage-Backed Securities - | ||||||||||||||||||||
Commercial Mortgage-Backed | $48,682 | Third-party Vendor | Vendor Prices | $0.55 - $3.38 | $2.43 | |||||||||||||||
Mortgage-BackedSecurities-Non Agency | $35,849 | Third-party Vendor | Vendor Prices | 1.47 | 1.47 | |||||||||||||||
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||
CORPORATE BOND FUND
| AT 3/31/20
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||
Mortgage-Backed Securities- | ||||||||||||||||||||
Commercial Mortgage-Backed | $35,813 | Third-party Vendor | Vendor Prices | $0.55 - $3.09 | $2.18 | |||||||||||||||
FAIR VALUE |
VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||
FLEXIBLE INCOME FUND
| AT 3/31/20
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||
Mortgage-Backed Securities- | ||||||||||||||||||||
Commercial Mortgage-Backed | $22,341 | Third-party Vendor | Vendor Prices | $2.98 | $2.98 | |||||||||||||||
Mortgage-BackedSecurities-Non- | ||||||||||||||||||||
Agency | $335,273 | Third-party Vendor | Vendor Prices | 6.25 - 34.49 | 16.32 | |||||||||||||||
FAIR VALUE |
VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||
FLOATING RATE INCOME FUND
| AT 3/31/20
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||
Bank Loans | $2,905,819 | Third-party Vendor | Vendor Prices | $53.00 - $79.50 | $71.32 | |||||||||||||||
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||
HIGH YIELD BOND FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||
Bank Loans | $2,812,025 | Third-party Vendor | Vendor Prices | $72.50 - $79.50 | $78.66 | |||||||||||||||
Common Stock | $27,660 | Broker Quote | Offered Quote | 0.06 | 0.06 | |||||||||||||||
Corporate Securities | $89,537 | Third-party Vendor | Vendor Prices | 103.71 | 103.71 | |||||||||||||||
Warrant | $4,810 | Third-party Vendor | Vendor Prices | 13.08 - 16.37 | 13.16 | |||||||||||||||
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||
INTERMEDIATE BOND FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||
Common Stock | $441 | Third-party Vendor | Vendor Prices | $0.06 | $0.06 | |||||||||||||||
INVESTMENT GRADE CREDIT | FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | ||||||||||||||||
FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||
Mortgage-Backed Securities- | ||||||||||||||||||||
Commercial Mortgage-Backed | $20,170 | Third-party Vendor | Vendor Prices | $0.55 | $0.55 |
Annual Report March 2020 / 284
Table of Contents
Notes to Financial Statements (Continued)
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||||||||||
LOW DURATION BOND FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||||||||||
Common Stock | $5,858 | Broker Quote | Offered Quote | 0.06 | 0.06 | |||||||||||||||||||||||
Mortgage-BackedSecurities-Non-Agency | $1,711,943 | Third-party Vendor | Vendor Prices | 1.75 | 1.75 | |||||||||||||||||||||||
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||||||||||
STRATEGIC INCOME FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||||||||||
Asset-Backed Securities | $110,334 | Benchmark Pricing | Offered Quote | $8.56 - $22.00 | $17.62 | |||||||||||||||||||||||
Mortgage-Backed Securities- | ||||||||||||||||||||||||||||
Commercial Mortgage Backed | $65,460 | Third-party Vendor | Vendor Prices | 2.98 | 2.98 | |||||||||||||||||||||||
Mortgage-BackedSecurities-Non-Agency | $150,846 | Third-party Vendor | Vendor Prices | 8.89 | 8.89 | |||||||||||||||||||||||
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||||||||||
TOTAL RETURN BOND FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||||||||||
Asset-Backed Securities | $3,430,498 | Benchmark Pricing | Offered Quote | $21.20 - $22.00 | $21.87 | |||||||||||||||||||||||
Bank Loans | $6,069,565 | Third-party Vendor | Vendor Prices | 76.25 | 76.25 | |||||||||||||||||||||||
Common Stock | $64,939 | Broker Quote | Offered Quote | 0.06 | 0.06 | |||||||||||||||||||||||
Corporate Securities | $5,264,767 | Third-party Vendor | Vendor Prices | 117.28 | 117.28 | |||||||||||||||||||||||
Mortgage-BackedSecurities-Non-Agency | $11,260,792 | Third-party Vendor | Vendor Prices | 0.82 - 2.56 | 1.83 | |||||||||||||||||||||||
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||||||||||
ULTRA SHORT BOND FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||||||||||
Mortgage-Backed Securities-Non-Agency | $24,861 | Third-party Vendor | Vendor Prices | $1.47 | $1.47 | |||||||||||||||||||||||
FAIR VALUE | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||||||||||||
UNCONSTRAINED BOND FUND | AT 3/31/20 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||||||||||||
Bank Loans | $536,919 | Third-party Vendor | Vendor Prices | $76.25 | $76.25 | |||||||||||||||||||||||
Common Stock | $6,172 | Broker Quote | Offered Quote | 0.06 | 0.06 | |||||||||||||||||||||||
Mortgage-BackedSecurities-Non- | ||||||||||||||||||||||||||||
Agency | $96,156 | Third-party Vendor | Vendor Prices | 0.62 - 8.89 | 7.43 |
* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.
285 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
Derivative Instruments Categorized by Risk Exposure:
The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2020:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES | ||||
ASSET | LIABILITY | |||
DERIVATIVE TYPE | DERIVATIVES
| DERIVATIVES
| ||
Interest rate contracts | Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
Premiums paid for swap contracts | Premiums received on swap contracts | |||
Receivable for daily variation margin | Payable for daily variation margin | |||
Investments, at value | Options written | |||
Credit contracts | Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
Premiums paid for swap contracts | Premiums received for swap contracts | |||
Equity contracts | Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
Premiums paid for swap contracts | Premiums received for swap contracts | |||
Receivable for daily variation margin | Payable for daily variation margin | |||
— | Options written | |||
Foreign currency exchange | Unrealized appreciation on foreign currency | Unrealized depreciation on foreign currency | ||
contracts | exchange contracts | exchange contracts | ||
— | Options written |
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2020:
ASSET DERIVATIVE INVESTMENTS
| ||||||||||||||||||||||||||||||
ALPHATRAK
| CORPORATE
| FLEXIBLE
| FLOATING RATE
| HIGH YIELD
| INTERMEDIATE
| |||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures1 | $ | — | $ | — | $ | 706 | $ | — | $ | 4,711,716 | $ | 2,083,855 | ||||||||||||||||||
Swaps | — | — | — | — | — | 1,469,374 | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | — | — | — | — | 520,871 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | — | $ | — | $ | 706 | $ | — | $ | 4,711,716 | $ | 4,074,100 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
ASSET DERIVATIVE INVESTMENTS | ||||||||||||||||||||||||||||||
INVESTMENT
| LOW DURATION
| STRATEGIC
| TOTAL RETURN
| ULTRA SHORT
| UNCONSTRAINED
| |||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures1 | $ | 35,663 | $ | 2,005,505 | $ | 1,049 | $ | 111,466,796 | $ | — | $ | 53,388 | ||||||||||||||||||
Swaps | 12,258 | 3,840,805 | 155,697 | 155,893,280 | — | 6,616,104 | ||||||||||||||||||||||||
Swaptions purchased | — | 3,864 | — | — | — | — | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | 1,371,501 | — | 23,968,448 | 68,700 | 2,270,424 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 47,921 | $ | 7,221,675 | $ | 156,746 | $ | 291,328,524 | $ | 68,700 | $ | 8,939,916 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
1Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.
Annual Report March 2020 / 286
Table of Contents
Notes to Financial Statements (Continued)
LIABILITY DERIVATIVE INVESTMENTS | ||||||||||||||||||||||||||||||
ALPHATRAK 500 FUND | CORPORATE FUND | FLEXIBLE FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||
Futures1 | $ | (1,659,457 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures1 | — | (809 | ) | (24,163 | ) | — | (3,946,204 | ) | (379,479 | ) | ||||||||||||||||||||
Swaps | — | — | — | — | — | (1,367,986 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (1,659,457 | ) | $ | (809 | ) | $ | (24,163 | ) | $ | — | $ | (3,946,204 | ) | $ | (1,747,465 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITY DERIVATIVE INVESTMENTS | ||||||||||||||||||||||||||||||
INVESTMENT
| LOW DURATION
| STRATEGIC
| TOTAL RETURN
| ULTRA SHORT
| UNCONSTRAINED
| |||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures1 | $ | (26,612 | ) | $ | (1,017,674 | ) | $ | (569,189 | ) | $ | — | $ | (67,873 | ) | $ | (26,947,399 | ) | |||||||||||||
Options and swaptions written | — | (2,919 | ) | — | (9,464,531 | ) | — | — | ||||||||||||||||||||||
Swaps | (11,222 | ) | (3,575,792 | ) | (145,056 | ) | (145,120,815 | ) | — | (6,159,209 | ) | |||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | — | — | (12,883 | ) | — | — | |||||||||||||||||||||||
|
|
|
|
|
| �� |
|
|
|
|
|
| ||||||||||||||||||
Total | $ | (37,834 | ) | $ | (4,596,385 | ) | $ | (714,245 | ) | $ | (154,598,229 | ) | $ | (67,873 | ) | $ | (33,106,608 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
1Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.
The following is a summary of the Funds’ realized gain/(loss) and change in unrealized appreciation/(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2020:
REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | ||||||||||||||||||||||||||||||
ALPHATRAK
| CORPORATE
| FLEXIBLE
| FLOATING RATE
| HIGH YIELD
| INTERMEDIATE
| |||||||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||
Futures | $ | (1,051,050 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | — | 14,067 | (258 | ) | — | 1,384,245 | 3,603,366 | |||||||||||||||||||||||
Swap contracts | — | — | — | — | — | (53,667 | ) | |||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | 21,540 | — | — | 117,157 | — | 233,101 | ||||||||||||||||||||||||
Foreign currency transactions | (585 | ) | — | — | (15,663 | ) | — | (33,101 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (1,030,095 | ) | $ | 14,067 | $ | (258 | ) | $ | 101,494 | $ | 1,384,245 | $ | 3,749,699 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
287 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | ||||||||||||||||||||||||||||||
INVESTMENT CREDIT FUND
| LOW DURATION
| STRATEGIC
| TOTAL RETURN
| ULTRA SHORT
| UNCONSTRAINED
| |||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | $ | 41,554 | $ | 15,945,658 | $ | (1,291,932 | ) | $ | 850,903,269 | $ | 36,845 | $ | (23,590,413 | ) | ||||||||||||||||
Options and swaptions written | — | — | — | (26,766,116 | ) | — | — | |||||||||||||||||||||||
Swap contracts | (437 | ) | (145,425 | ) | (6,055 | ) | (5,274,667 | ) | — | (222,947 | ) | |||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | 880,819 | 41,703 | 29,432,826 | 45,412 | 1,498,797 | ||||||||||||||||||||||||
Foreign currency transactions | — | (98,459 | ) | (4,695 | ) | (1,887,238 | ) | (4,097 | ) | 138,240 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 41,117 | $ | 16,582,593 | $ | (1,260,979 | ) | $ | 846,408,074 | $ | 78,160 | $ | (22,176,323 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED | ||||||||||||||||||||||||||||||
IN THE STATEMENTS OF OPERATIONS | ||||||||||||||||||||||||||||||
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||
Futures | $ | (2,088,172) | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | — | (1,872 | ) | (23,457 | ) | — | 330,182 | 975,843 | ||||||||||||||||||||||
Swap contracts | — | — | — | — | — | 96,927 | ||||||||||||||||||||||||
Foreign currency transactions | — | — | — | — | — | 520,801 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (2,088,172) | $ | (1,872 | ) | $ | (23,457 | ) | $ | — | $ | 330,182 | $ | 1,593,571 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED | ||||||||||||||||||||||||||||||
IN THE STATEMENTS OF OPERATIONS | ||||||||||||||||||||||||||||||
INVESTMENT
| LOW DURATION
| STRATEGIC
| TOTAL RETURN
| ULTRA SHORT
| UNCONSTRAINED
| |||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | $ | 11,405 | $ | (2,315,426 | ) | $ | (374,191 | ) | $ | 25,820,844 | $ | (75,272 | ) | $ | (22,847,210 | ) | ||||||||||||||
Options and swaptions written | — | (1,662 | ) | — | 10,378,322 | — | — | |||||||||||||||||||||||
Swap contracts | 985 | 251,452 | 10,155 | 10,349,752 | — | 436,592 | ||||||||||||||||||||||||
Foreign currency | ||||||||||||||||||||||||||||||
exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | 1,371,501 | — | 23,955,565 | 68,700 | 2,270,424 | ||||||||||||||||||||||||
Foreign currency | ||||||||||||||||||||||||||||||
transactions | — | (246 | ) | — | (13,258 | ) | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 12,390 | $ | (694,381 | ) | $ | (364,036 | ) | $ | 70,491,225 | $ | (6,572 | ) | $ | (20,140,194 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Annual Report March 2020 / 288
Table of Contents
Notes to Financial Statements (Continued)
AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | ||||||||||||||||||||||||
ALPHATRAK 500 FUND | CORPORATE FUND | FLEXIBLE FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||
Financial futures contracts: | ||||||||||||||||||||||||
Average number of contracts purchased | 216 | 2 | 1 | — | 1,391 | 806 | ||||||||||||||||||
Average number of contracts sold | — | 1 | 1 | — | 344 | 111 | ||||||||||||||||||
Average value of contracts purchased | $ 1,152,864 | $1,443 | $ 177 | $ — | $1,935,955 | $1,078,188 | ||||||||||||||||||
Average value of contracts sold | $ — | $ 202 | $6,041 | $ — | $1,508,437 | $ 153,986 | ||||||||||||||||||
Interest Rate Swaps: | ||||||||||||||||||||||||
Average number of contracts - pays fixed rate | — | — | — | — | — | 2 | ||||||||||||||||||
Average notional value - pays fixed rate | $ — | $ — | $ — | $ — | $ — | $ 24,576 | ||||||||||||||||||
Average number of contracts - receives fixed rate | — | — | — | — | — | 2 | ||||||||||||||||||
Average notional value - receives fixed rate | $ — | $ — | $ — | $ — | $ — | $ 59,996 | ||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||
Average number of contracts sold | 1 | — | — | 1 | — | 1 | ||||||||||||||||||
Average value of contracts sold | $ 2,138 | $ — | $ — | $12,972 | $ — | $ 165,212 | ||||||||||||||||||
AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | ||||||||||||||||||||||||
INVESTMENT | LOW DURATION BOND FUND | STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||||||||||||||
Financial futures contracts: | ||||||||||||||||||||||||
Average number of contracts purchased | 18 | 2,696 | 2 | 62,985 | 7 | 1,663 | ||||||||||||||||||
Average number of contracts sold | 4 | 478 | 172 | 7,615 | 23 | 1,949 | ||||||||||||||||||
Average value of contracts purchased | $22,623 | $2,478,736 | $ 9,673 | $98,533,537 | $ 4,847 | $ 1,313,918 | ||||||||||||||||||
Average value of contracts sold | $14,880 | $ 457,903 | $285,400 | $ 6,123,287 | $16,968 | $10,901,667 | ||||||||||||||||||
Written options: | ||||||||||||||||||||||||
Average number of contracts | — | — | — | 2 | — | — | ||||||||||||||||||
Average notional value | $ — | $ — | $ — | $17,275,893 | $ — | $ — | ||||||||||||||||||
Interest rate swaps: | �� | |||||||||||||||||||||||
Average number of contracts - pays fixed rate | 2 | 2 | 2 | 2 | — | 2 | ||||||||||||||||||
Average number of contracts - receives fixed rate | 2 | 2 | 2 | 2 | — | 2 | ||||||||||||||||||
Average notional value - pays fixed rate | $ 196 | $ 66,664 | $ 2,746 | $ 2,425,281 | $ — | $ 104,441 | ||||||||||||||||||
Average notional value - receives fixed rate | $ 481 | $ 162,693 | $ 6,703 | $ 5,920,325 | $ — | $ 254,985 | ||||||||||||||||||
Written swaptions: | ||||||||||||||||||||||||
Average number of contracts | — | 1 | — | — | — | — | ||||||||||||||||||
Average notional value | $ — | $ 540,000 | $ — | $ — | $ — | $ — | ||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||
Average number of contracts sold | — | 1 | 1 | 4 | 1 | 1 | ||||||||||||||||||
Average value of contracts sold | $ — | $ 458,768 | $ 4,861 | $ 9,887,129 | $23,349 | $ 772,544 |
1Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2020.
289 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
Counterparty Credit Risk:
A derivative contract may suffer amark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds to perform, and not the counterparty.
With exchange-traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, a Fund may enter into an International Swaps and DerivativesAssociation, Inc. MasterAgreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties.An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements:
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting themark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of a Fund, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral.Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Portfolio Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically of $250,000 or $500,000 before a transfer is required, which is determined at the close of business of the Fund, and additional required collateral is delivered to/pledged by the Fund on the next business day.Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive.To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterpartynon-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
Annual Report March 2020 / 290
Table of Contents
Notes to Financial Statements (Continued)
The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards updateNo. 2011-11, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. Under this guidance the Funds disclose in the Statements of Assets and Liabilities both gross and net information about instruments and transactions eligible for offset such as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the Funds disclose collateral received and posted in connection with master netting agreements or similar arrangements.
The following table presents Intermediate Bond Fund OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2020:
INTERMEDIATE BOND FUND | ||||||||||||||||||||
COUNTERPARTY
| GROSS DERIVATIVE
| COLLATERAL
| DERIVATIVE (ASSETS)/LIABILITIES
| NET AMOUNT
| ||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 520,871 | $ | (520,871 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Citigroup Global Markets, Inc. | 520,871 | (520,871 | ) | — | — | |||||||||||||||
Total | $ | 520,871 | $ | (520,871 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
The following table presents Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2020:
LOW DURATION BOND FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL RECEIVED1 | DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET | NET AMOUNT OF DERIVATIVE ASSETS2 | ||||||||||||||||
Goldman Sachs International Swaptions | $ | 3,864 | $ | (945 | ) | $ | (2,919 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Goldman Sachs International | 3,864 | (945 | ) | (2,919 | ) | — | ||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 1,371,501 | $ | (1,371,501 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Citigroup Global Markets, Inc. | 1,371,501 | (1,371,501 | ) | — | — | |||||||||||||||
Total | $ | 1,375,365 | $ | (1,372,446 | ) | $ | (2,919 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
291 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
The following table presents Low Duration Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2020:
LOW DURATION BOND FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL PLEDGED3 | DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET | NET AMOUNT OF DERIVATIVE LIABILITIES4 | ||||||||||||||||
Goldman Sachs International Swaptions | $ | 2,919 | $ | — | $ | (2,919 | ) | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Goldman Sachs International | 2,919 | — | (2,919 | ) | — | |||||||||||||||
Total | $ | 2,919 | $ | — | $ | (2,919 | ) | $ | — | |||||||||||
|
|
|
|
|
|
|
|
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
The following table presents Total Return Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2020:
TOTAL RETURN BOND FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL RECEIVED1 | DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET | NET AMOUNT OF DERIVATIVE ASSETS2 | ||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 23,289,172 | $ | (23,289,172 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Citigroup Global Markets, Inc. | 23,289,172 | (23,289,172 | ) | — | — | |||||||||||||||
Goldman Sachs International | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 679,276 | $ | (679,276 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Goldman Sachs International | 679,276 | (679,276 | ) | — | — | |||||||||||||||
Total | $ | 23,968,448 | $ | (23,968,448 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
Annual Report March 2020 / 292
Table of Contents
Notes to Financial Statements (Continued)
The following table presents Total Return Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2020:
TOTAL RETURN BOND FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL PLEDGED3 | DERIVATIVE (ASSETS)/LIABILITIES | NET AMOUNT OF LIABILITIES4 | ||||||||||||||||
Barclay’s Capital | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 12,883 | $ | (12,883 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Barclay’s Capital | 12,883 | (12,883 | ) | — | — | |||||||||||||||
Total | $ | 12,883 | $ | (12,883 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
The following table presents Ultra Short Bond Fund’s OTC derivative assets counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2020:
ULTRA SHORT BOND FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL PLEDGED1 | DERIVATIVE (ASSETS)/LIABILITIES | NET AMOUNT OF DERIVATIVE ASSETS2 | ||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 68,700 | $ | (68,700 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Citigroup Global Markets, Inc. | 68,700 | (68,700 | ) | — | — | |||||||||||||||
Total | $ | 68,700 | $ | (68,700 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
293 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
The following table presents Unconstrained Bond Fund’s OTC derivative assets counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2020:
UNCONSTRAINED BOND FUND
| ||||||||||||||||||||
COUNTERPARTY
| GROSS DERIVATIVE
| COLLATERAL
| DERIVATIVE
| NET AMOUNT OF
| ||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 2,270,424 | $ | (2,270,424 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Citigroup Global Markets, Inc. | 2,270,424 | (2,270,424 | ) | — | — | |||||||||||||||
Total | $ | 2,270,424 | $ | (2,270,424 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
3. | PORTFOLIO INVESTMENTS |
The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.
The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that includesub-prime mortgages.Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.
On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National MortgageAssociation (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.
The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.
Annual Report March 2020 / 294
Table of Contents
Notes to Financial Statements (Continued)
The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, there may be volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.
The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended March 31, 2020, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.
The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary.The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.
The Funds may also sell a debt or equity security short, that is, without owning it, and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Corporate Bond Fund, Flexible Income Fund, High Yield Bond Fund, Investment Grade Credit Fund and Strategic Income Fund may not make short sales of securities or maintain a short position if more than 33 1/3% of the Fund’s total assets (taken at current value) are held as collateral for such sales at any one time. The AlphaTrak 500 Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund will not make total short sales exceeding 25% of the Fund’s total assets. The Floating Rate Income Fund will not make total short sales exceeding 15% of the Fund’s total assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At March 31, 2020, the Funds did not hold any short debt or equity.
A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Funds might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Funds. The Funds also may make short sales“against-the-box”, in which the Funds sell short securities they own.The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short salesagainst-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.
The Funds may invest inpayment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require apro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.
295 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
For the year ended March 31, 2020, the Funds did not receive anyin-kind payments with respect to PIK securities.
The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designatedsub-custodians undertri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.
Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2020, the Funds did not hold any repurchase agreements.
The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. Securities sold under reverse repurchase agreements are recorded as a liability. Interest payments made are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A reverse purchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid by the manager or otherwise cover its obligations under reverse repurchase agreements. The average dollar amount and average interest rate of reverse repurchase agreements in the High Yield Bond Fund, Total Return Bond Fund and the Unconstrained Bond Fund for the year ended March 31, 2020, were $736,482 and (2.39)%, $8,887,821 and (2.48)% and $1,473,036 and (2.39)%, respectively.
Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under MRAs. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are not permitted to sell,re-pledge, or use the collateral associated with the transaction. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. As of March 31, 2020, the Funds did not hold any reverse repurchase agreements.
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.
Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.
Derivatives:
The Funds may engage in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:
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Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.
Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequentlymarked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequentlymarked-to-market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.
The Funds may execute transactions in both listed andover-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certainover-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to theover-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of March 31, 2020, the Low Duration Bond Fund held written swaptions.
Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.
Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.
Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).
Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract ismarked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the
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difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Swaps - The Funds invested in swap agreements. Swap agreements aretwo-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.
The Funds entered into credit default swap agreements to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. The buyer in a credit default contract is obligated to pay the seller a periodic stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If a Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.
The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation. The collateral posted for swap contracts, net of assets received as collateral, is also disclosed in the Notes to Schedules of Portfolio Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. As of March 31, 2020 there were no credit default swaps outstanding in the Funds. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.
The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve, or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).
The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At March 31, 2020, the Low Duration Bond Fund held swaptions.
In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for anynon-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR-based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single
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stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect thenon-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2020, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.
4. | RISK CONSIDERATIONS |
Foreign Investing Risk:The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
Market Risk:Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk:The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.
Mortgage-Backed and Other Asset-Backed Securities Risk:Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage-related securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increases the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Derivatives Risk:Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Credit Risk:The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.
Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
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Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, primenon-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equitytake-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.
The mortgage industry lacks a single bright-line as to what separates a subprime loan from anAlt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:
Sub Prime - Any asset-backed bond whose collateral was residential mortgages which were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.
Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as anAlt-A pool by Bloomberg were considered to beAlt-A bonds.
Counterparty Risk:The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.
Public Health Emergencies Risk and Impact of the Coronavirus(COVID-19):Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current outbreak of the novel coronavirus(“COVID-19”), can result, and in the case ofCOVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
The World Health Organization officially declared in March 2020 that theCOVID-19 outbreak formally constitutes a “pandemic.” This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to containCOVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including“stay-at-home,”“shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently,COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.
The ultimate impact ofCOVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent ofCOVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. Even ifCOVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior.
The ongoingCOVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses. The extent of the impact on business operations and performance of market participants and the companies in which we invest depends and will continue to depend on many factors, virtually all of which are highly uncertain
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and unpredictable, and this impact may include or lead to: (i) significant reductions in revenue and growth; (ii) unexpected operational losses and liabilities; (iii) impairments to credit quality; and (iv) reductions in the availability of capital. These same factors may limit the ability to source, research, and execute new investments, as well as to sell investments in the future, and governmental mitigation actions may constrain or alter existing financial, legal, and regulatory frameworks in ways that are adverse to the investment strategies we intend to pursue, all of which could materially diminish our ability to fulfill investment objectives. They may also impair the ability of the companies in which we invest or their counterparties to perform their respective obligations under debt instruments and other commercial agreements (including their ability to pay obligations as they become due), potentially leading to defaults with uncertain consequences, including the potential for defaults by borrowers under debt instruments held in a client’s portfolio. In addition, an extended period of remote working by the employees of the companies in which we invest subjects those companies to additional operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to cyberattacks that seek to exploit theCOVID-19 pandemic, and the operational damage of any such events could potentially disrupt our business and reduce the value of our investments. The operations of securities markets may also be significantly impacted, or even temporarily or permanently halted, as a result of government quarantine measures, restrictions on travel and movement, remote-working requirements, and other factors related to a public health emergency, including the potential adverse impact on the health of any such entity’s personnel. These measures may also hinder normal business operations by impairing usual communication channels and methods, hampering the performance of administrative functions such as processing payments and invoices, and diminishing the ability to make accurate and timely projections of financial performance. Because our ability to execute transactions on behalf of the Funds is dependent upon the timely performance of multiple third parties, any interruptions in the business operations of those third parties could impair our ability to effectively implement a Fund’s investment strategies.
5. | SECURITIES TRANSACTIONS |
Investment transactions for the year ended March 31, 2020, excluding U.S. government and short-term investments, were as follows:
PORTFOLIO
|
PURCHASES
|
SALES
| ||||||
AlphaTrak 500 Fund | $ | 22,716,803 | $ | 14,219,933 | ||||
Corporate Bond Fund | 1,056,228 | 800,040 | ||||||
Flexible Income Fund | 8,468,854 | 5,074,838 | ||||||
Floating Rate Income Fund | 121,669,708 | 119,969,258 | ||||||
High Yield Bond Fund | 723,576,299 | 728,955,694 | ||||||
Intermediate Bond Fund | 225,572,351 | 178,581,443 | ||||||
Investment Grade Credit Fund | 3,089,575 | 2,049,399 | ||||||
Low Duration Bond Fund | 742,307,675 | 760,693,725 | ||||||
Strategic Income Fund | 25,254,860 | 39,317,506 | ||||||
Total Return Bond Fund | 25,274,599,075 | 19,361,760,709 | ||||||
Ultra Short Bond Fund | 33,818,053 | 24,418,908 | ||||||
Unconstrained Bond Fund | 1,783,362,987 | 1,422,238,349 |
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Investment transactions in U.S. government securities for the year ended March 31, 2020 were as follows:
PORTFOLIO
| PURCHASES
| SALES
| ||||||
AlphaTrak 500 Fund | $ | 9,226,838 | $ | 8,758,529 | ||||
Corporate Bond Fund | 917,370 | 681,769 | ||||||
Flexible Income Fund | 3,141,958 | 2,323,047 | ||||||
Floating Rate Income Fund | — | — | ||||||
High Yield Bond Fund | — | — | ||||||
Intermediate Bond Fund | 2,722,429,780 | 2,773,449,431 | ||||||
Investment Grade Credit Fund | 2,598,913 | 2,530,940 | ||||||
Low Duration Bond Fund | 3,670,907,577 | 4,188,820,783 | ||||||
Strategic Income Fund | 11,535,467 | 13,923,784 | ||||||
Total Return Bond Fund | 306,641,270,165 | 301,116,445,569 | ||||||
Ultra Short Bond Fund | 203,019,798 | 219,172,663 | ||||||
Unconstrained Bond Fund | 1,085,046,754 | 1,092,137,485 |
There were no purchases or sales of securities from affiliated investment accounts for the year ended March 31, 2020. These trades are in accordance with the provisions set forth inSection 17(a)-7 of the 1940 Act.
Investment transactions in the shares of affiliated issuers for the year ended March 31, 2020 were as follows:
VALUE AT
| PURCHASES
| SALES
| DIVIDEND/
| VALUE AT END
| REALIZED GAIN/
| CHANGE IN
| ||||||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||||||
Homer City Holdings LLC | $ 4,274,718 | $— | $— | $— | $27,660 | $— | $(4,247,058 | ) | ||||||||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||||||||||
Homer City Holdings LLC | 10,035,975 | — | — | — | 64,939 | — | (9,971,036 | ) |
6. | INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS |
As compensation for advisory services, the Adviser charges the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Total Return Bond Fund, the Ultra Short Bond Fund and the Unconstrained Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.40%, 0.45%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.35%, 0.25% and 0.65%, respectively, of each Fund’s average daily net assets. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant12-month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the ICE BofAML3-Month U.S. Treasury Bill Index over the same period. Under this agreement, the basic fee was increased by 0.50% resulting in $1,391,781 of total management fees for the year ended March 31, 2020. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee decreased by 0.06% resulting in $99,579 total management fees for the year ended March 31, 2020.
The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses, (excluding interest, taxes, brokerage commissions, short sales dividend expense, acquired fund fees and expenses, and any expenses incurred in connection with any merger or reorganization or extraordinary expenses such as litigation) as described in the table below. The operating expenses agreement has aone-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap at both the time of the waiver and the recoupment. The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses of the Fund are at or above the expense cap. However, if the total operating expenses of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.
Annual Report March 2020 / 302
Table of Contents
Notes to Financial Statements (Continued)
Investment advisory fees and related contractual expense limitations for the year ended March 31, 2020, were as follows:
INVESTMENT ADVISORY FEE RATE | CONTRACTUAL EXPENSE LIMITATION1 | |||||||||||||||||||
PORTFOLIO
| CLASS M
| CLASS I
| CLASS
|
ADMINI- STRATIVE
| PLAN
| CLASS M
| CLASS I
| CLASS I-2
|
ADMINI- STRATIVE
| PLAN
| ||||||||||
AlphaTrak 500 Fund | 0.00%- 0.70% | N/A | N/A | N/A | N/A | 0.90% | N/A | N/A | N/A | N/A | ||||||||||
Corporate Bond Fund | 0.40% | 0.40% | N/A | N/A | N/A | 0.75% | 0.50% | N/A | N/A | N/A | ||||||||||
Flexible Income Fund | 0.45% | 0.45% | N/A | N/A | N/A | 0.80% | 0.55% | N/A | N/A | N/A | ||||||||||
Floating Rate Income Fund | 0.55% | 0.55% | N/A | N/A | N/A | 0.90% | 0.70% | N/A | N/A | N/A | ||||||||||
High Yield Bond Fund | 0.50% | 0.50% | N/A | N/A | N/A | 0.85% | 0.60% | N/A | N/A | N/A | ||||||||||
Intermediate Bond Fund | 0.35% | 0.35% | N/A | N/A | N/A | 0.70% | 0.49% | N/A | N/A | N/A | ||||||||||
Investment Grade Credit Fund | 0.35% | 0.35% | N/A | N/A | N/A | 0.70% | 0.49% | N/A | N/A | N/A | ||||||||||
Low Duration Bond Fund | 0.30% | 0.30% | N/A | 0.30% | N/A | 0.63% | 0.44% | N/A | 0.83% | N/A | ||||||||||
Strategic Income Fund | 0.50%- 1.90% | 0.50%- 1.90% | N/A | N/A | N/A | 2.35% | 2.10% | N/A | N/A | N/A | ||||||||||
Total Return Bond Fund | 0.35% | 0.35% | 0.35%* | 0.35% | 0.35% | 0.70% | 0.49% | 0.54%* | 0.90% | 0.39% | ||||||||||
Ultra Short Bond Fund | 0.25% | 0.25% | N/A | N/A | N/A | 0.50% | 0.34% | N/A | N/A | N/A | ||||||||||
Unconstrained Bond Fund | 0.65% | 0.65% | N/A | N/A | 0.65%** | 1.04% | 0.80% | N/A | N/A | 0.70%** |
1The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2020, unless approved by the Board.
*The Total Return Bond FundClass I-2 Shares commenced operations on March 6, 2020.
**The Unconstrained Bond Fund Plan Class commenced operations on March 6, 2020.
At March 31, 2020, the balance of recoupable expenses with expiration dates for the Funds were as follows:
PORTFOLIO | 2020 | 2021 | 2022 | 2023 | TOTAL | |||||||||||||||
AlphaTrak 500 Fund | $131,176 | $— | $88,122 | $48,578 | $267,876 | |||||||||||||||
Corporate Bond Fund | — | — | 138,411 | 179,693 | 318,104 | |||||||||||||||
Flexible Income Fund | — | — | 84,349 | 195,102 | 279,451 | |||||||||||||||
Floating Rate Income Fund | 97,875 | 69,036 | 47,495 | 9,650 | 224,056 | |||||||||||||||
High Yield Bond Fund | 239,308 | 252,493 | 201,390 | 195,808 | 888,999 | |||||||||||||||
Intermediate Bond Fund | — | — | — | 5,068 | 5,068 | |||||||||||||||
Investment Grade Credit Fund | — | — | 142,645 | 191,068 | 333,713 | |||||||||||||||
Strategic Income Fund | — | — | — | 78,535 | 78,535 | |||||||||||||||
Ultra Short Bond Fund | 227,293 | 233,733 | 247,985 | 244,911 | 953,922 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $695,652 | $555,262 | $950,397 | $1,148,413 | $3,349,724 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. For the period from April 1, 2019 to December 31, 2019, each of the independent trustees received an annual retainer of $120,000 and $10,000 for each meeting of the Board attended in person and $2,500 for each meeting attended telephonically. The chairman of the Board received an annual retainer of $51,000. The respective chairman of the Audit Committee and the Nominating and Governance Committee each received an additional annual retainer of $34,000 and $17,000, respectively. Effective January 1, 2020, the annual retainer for each independent trustee is $135,000, and the additional retainer for the chairman of the Board is $55,500. Also effective January 1, 2020, the additional retainer for the chairman of the Audit Committee and the chairman of the Nomination and Governance Committee is $37,000 and $18,500, respectively. The Trust has an unfunded, nonqualified deferred compensation plan (the “Deferred Compensation Plan”) for certain eligible Trustees. The Deferred Compensation Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of 10 annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Deferred Compensation Plan are recorded in Trustees’ fees and expenses in the Statements of Operations.
303 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
7. | SHARE MARKETING(12b-1) PLAN AND SHAREHOLDER SERVICING PLAN |
The Trust has a Share Marketing Plan (or the“12b-1 Plan”) pursuant to Rule12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Strategic Income Fund, the Total Return Bond Fund, the Ultra Short Bond Fund, the Unconstrained Bond Fund, and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. Under the12b-1 Plan, the Trust pays TCW Funds Distributors, Inc., as the Trust’s distribution coordinator, an annual fee up to 0.25% of the particular Fund’s average daily net assets attributable to Class M shares and Administrative Class shares to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended March 31, 2020. The AlphaTrak 500 Fund is currently not incurring Rule12b-1 fees. The Adviser has contractually agreed, through July 31, 2020, to pay the distribution expenses of the AlphaTrak 500 Fund out of its own resources.
The Board of Trustees has adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Shareholder Servicing Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class, but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.
8. | COMMITMENTS AND CONTINGENCIES |
The Floating Rate Income Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of March 31, 2020:
UNFUNDED COMMITMENTS
| MATURITY
| AMOUNT
| UNREALIZED (LOSS)
| |||||||||||||||||
Premise Health Holding Corp., Term Loan, 1st Lien | July | 2025 | $ | 78,724 | $ | (13,335 | ) | |||||||||||||
NMN Holdings III Corp., Delayed-Draw Term Loan, 1st Lien | November | 2025 | 181,843 | (37,423 | ) | |||||||||||||||
Kwor Acquisition, Inc., Term Loan, 1st Lien | June | 2026 | 110,623 | (24,797 | ) | |||||||||||||||
BCPE Empire Holdings, Inc., Delayed-Draw Term Loan, 1st Lien | June | 2026 | 37,737 | (4,193 | ) | |||||||||||||||
Med Parentco LP, Delayed-Draw Term Loan, 1st Lien | August | 2026 | 50,114 | �� | (8,995 | ) | ||||||||||||||
Oeconnection LLC, Term Loan B | September | 2026 | 52,435 | (12,199 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||
Total Unfunded Commitments | $ | 511,476 | $ | (100,942 | ) | |||||||||||||||
|
|
|
|
In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.
9. | CAPITAL SHARE TRANSACTIONS |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:
ALPHATRAK FUND | ||||||||||
CLASS M |
CLASS M | |||||||||
YEAR ENDED |
YEAR ENDED | |||||||||
Change in Fund shares: | ||||||||||
Shares outstanding at beginning of year | 1,976,652 | 1,819,250 | ||||||||
|
|
|
| |||||||
Shares sold | 2,257,963 | 905,645 | ||||||||
Shares issued through reinvestment of distributions | 304,572 | 39,091 | ||||||||
Shares redeemed | (1,270,682 | ) | (787,334 | ) | ||||||
|
|
|
| |||||||
Net increase in fund shares | 1,291,853 | 157,402 | ||||||||
|
|
|
| |||||||
Shares outstanding at end of year | 3,268,505 | 1,976,652 | ||||||||
|
|
|
|
Annual Report March 2020 / 304
Table of Contents
Notes to Financial Statements (Continued)
CORPORATE BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED |
PERIOD ENDED |
YEAR ENDED |
PERIOD ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of period | 77,858 | — | 131,400 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | — | 74,500 | 88,066 | 125,500 | ||||||||||||||||
Shares issued through reinvestment of distributions | 7,070 | 3,358 | 12,399 | 5,900 | ||||||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 7,070 | 77,858 | 100,465 | 131,400 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of period | 84,928 | 77,858 | 231,865 | 131,400 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
*The Fund commenced operations on June 29, 2018.
|
|
FLEXIBLE INCOME FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED |
PERIOD ENDED |
YEAR ENDED |
PERIOD ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of period | 102 | — | 503,964 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | — | 100 | 281,710 | 497,008 | ||||||||||||||||
Shares issued through reinvestment of distributions | 21 | 2 | 124,275 | 6,956 | ||||||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 21 | 102 | 405,985 | 503,964 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of period | 123 | 102 | 909,949 | 503,964 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
*The Fund commenced operations on November 30, 2018.
|
|
FLOATING RATE INCOME FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED |
YEAR ENDED |
YEAR ENDED |
YEAR ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 1,133,918 | 1,570,979 | 26,508,328 | 23,648,073 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 384,559 | 1,172,386 | 6,894,396 | 10,035,268 | ||||||||||||||||
Shares issued through reinvestment of distributions | 41,488 | 69,340 | 1,049,921 | 1,119,702 | ||||||||||||||||
Shares redeemed | (882,719 | ) | (1,678,787 | ) | (6,596,235 | ) | (8,294,715 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in fund shares | (456,672 | ) | (437,061 | ) | 1,348,082 | 2,860,255 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 677,246 | 1,133,918 | 27,856,410 | 26,508,328 | ||||||||||||||||
|
|
|
|
|
|
|
|
305 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
HIGH YIELD BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 19,395,315 | 22,090,985 | 30,373,750 | 41,195,325 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 4,010,225 | 6,210,384 | 18,242,498 | 21,328,208 | ||||||||||||||||
Shares issued through reinvestment of distributions | 670,728 | 832,077 | 1,099,895 | 1,413,478 | ||||||||||||||||
Shares redeemed | (10,419,349 | ) | (9,738,131 | ) | (18,484,311 | ) | (33,563,261 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in fund shares | (5,738,396 | ) | (2,695,670 | ) | 858,082 | (10,821,575 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 13,656,919 | 19,395,315 | 31,231,832 | 30,373,750 | ||||||||||||||||
|
|
|
|
|
|
|
|
INTERMEDIATE BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 3,409,753 | 5,183,235 | 68,386,996 | 75,238,162 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 994,035 | 877,124 | 11,652,449 | 14,148,475 | ||||||||||||||||
Shares issued through reinvestment of distributions | 85,332 | 102,117 | 1,823,035 | 1,804,025 | ||||||||||||||||
Shares redeemed | (1,311,778 | ) | (2,752,723 | ) | (16,764,793 | ) | (22,803,666 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net (decrease) in fund shares | (232,411 | ) | (1,773,482 | ) | (3,289,309 | ) | (6,851,166 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 3,177,342 | 3,409,753 | 65,097,687 | 68,386,996 | ||||||||||||||||
|
|
|
|
|
|
|
|
INVESTMENT GRADE CREDIT FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2020 | PERIOD ENDED MARCH 31, 2019* | YEAR ENDED MARCH 31, 2020 | PERIOD ENDED MARCH 31, 2019* | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of period | 77,458 | — | 492,691 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | — | 73,250 | 113,832 | 470,417 | ||||||||||||||||
Shares issued through reinvestment of distributions | 9,265 | 4,208 | 60,142 | 22,274 | ||||||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 9,265 | 77,458 | 173,974 | 492,691 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of period | 86,723 | 77,458 | 666,665 | 492,691 | ||||||||||||||||
|
|
|
|
|
|
|
|
*The Fund commenced operations on June 29, 2018.
Annual Report March 2020 / 306
Table of Contents
Notes to Financial Statements (Continued)
LOW DURATION BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED |
YEAR ENDED | YEAR ENDED MARCH 31, 2020 |
YEAR ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 66,879,265 | 112,971,343 | 181,809,771 | 195,150,136 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 5,671,052 | 4,407,081 | 42,417,475 | 49,100,128 | ||||||||||||||||
Shares issued through reinvestment of distributions | 1,356,321 | 1,918,661 | 4,009,045 | 4,506,861 | ||||||||||||||||
Shares redeemed | (21,915,171 | ) | (52,417,820 | ) | (59,894,484 | ) | (66,947,354 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net (decrease) in fund shares | (14,887,798 | ) | (46,092,078 | ) | (13,467,964 | ) | (13,340,365 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 51,991,467 | 66,879,265 | 168,341,807 | 181,809,771 | ||||||||||||||||
|
|
|
|
|
|
|
|
LOW DURATION BOND FUND | ||||||||||
ADMINISTRATIVE | ADMINISTRATIVE CLASS | |||||||||
YEAR ENDED 2020 | YEAR ENDED MARCH 31, 2019 | |||||||||
Change in Fund shares: | ||||||||||
Shares outstanding at beginning of year | 37,023 | 481,657 | ||||||||
|
|
|
| |||||||
Shares sold | 1,808 | 37,099 | ||||||||
Shares issued through reinvestment of distributions | 148 | 272 | ||||||||
Shares redeemed | (30,595 | ) | (482,005 | ) | ||||||
|
|
|
| |||||||
Net (decrease) in fund shares | (28,639 | ) | (444,634 | ) | ||||||
|
|
|
| |||||||
Shares outstanding at end of year | 8,384 | 37,023 | ||||||||
|
|
|
|
STRATEGIC INCOME FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED |
YEAR ENDED | YEAR ENDED MARCH 31, 2020 |
YEAR ENDED 2019 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 2,269,164 | 3,308,284 | 8,532,803 | 8,744,185 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 557,743 | 443,336 | 1,127,898 | 1,543,100 | ||||||||||||||||
Shares issued through reinvestment of distributions | 66,837 | 113,226 | 364,480 | 395,079 | ||||||||||||||||
Shares redeemed | (1,465,411 | ) | (1,595,682 | ) | (3,403,244 | ) | (2,149,561 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net (decrease) in fund shares | (840,831 | ) | (1,039,120 | ) | (1,910,866 | ) | (211,382 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 1,428,333 | 2,269,164 | 6,621,937 | 8,532,803 | ||||||||||||||||
|
|
|
|
|
|
|
|
307 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
TOTAL RETURN BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED 2020 |
YEAR ENDED | YEAR ENDED 2020 |
YEAR ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 898,185,006 | 1,110,357,245 | 3,846,257,449 | 4,524,412,707 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 184,228,131 | 142,096,374 | 1,246,311,524 | 1,043,356,270 | ||||||||||||||||
Shares issued through reinvestment of distributions | 27,123,878 | 26,052,285 | 126,656,996 | 106,872,162 | ||||||||||||||||
Shares redeemed | (302,243,839 | ) | (380,320,898 | ) | (1,074,770,523 | ) | (1,828,383,690) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in fund shares | (90,891,830 | ) | (212,172,239 | ) | 298,197,997 | (678,155,258 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 807,293,176 | 898,185,006 | 4,144,455,446 | 3,846,257,449 | ||||||||||||||||
|
|
|
|
|
|
|
|
TOTAL RETURN BOND FUND | |||||
CLASS I-2 | |||||
PERIOD ENDED MARCH 31, 2020* | |||||
Change in Fund shares: | |||||
Shares outstanding at beginning of period | — | ||||
|
| ||||
Shares sold | 9 | ||||
Shares issued through reinvestment of distributions | — | ** | |||
Shares redeemed | — | ||||
|
| ||||
Net increase in fund shares | 9 | ||||
|
| ||||
Shares outstanding at end of period | 9 | ||||
|
| ||||
*TheClass I-2 commenced operations on March 6, 2020. | |||||
**Less than one share. |
TOTAL RETURN BOND FUND | ||||||||||||||||||||
ADMINISTRATIVE | ADMINISTRATIVE CLASS | PLAN CLASS | PLAN CLASS | |||||||||||||||||
YEAR ENDED 2020 |
YEAR ENDED | YEAR ENDED |
YEAR ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 94,995,241 | 93,216,336 | 2,058,158,463 | 1,865,273,582 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 85,952,233 | 38,817,475 | 744,681,741 | 738,797,642 | ||||||||||||||||
Shares issued through reinvestment of distributions | 4,414,873 | 2,314,392 | 73,923,882 | 56,600,596 | ||||||||||||||||
Shares redeemed | (29,118,542 | ) | (39,352,962 | ) | (599,232,420 | ) | (602,513,357 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 61,248,564 | 1,778,905 | 219,373,203 | 192,884,881 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 156,243,805 | 94,995,241 | 2,277,531,666 | 2,058,158,463 | ||||||||||||||||
|
|
|
|
|
|
|
|
Annual Report March 2020 / 308
Table of Contents
Notes to Financial Statements (Continued)
ULTRA SHORT BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED 2020 |
YEAR ENDED | YEAR ENDED 2020 |
YEAR ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 8,068,983 | 11,940,212 | 15,940,806 | 16,126,155 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 3,504,697 | 1,322,640 | 10,070,643 | 5,690,787 | ||||||||||||||||
Shares issued through reinvestment of distributions | 170,292 | 186,878 | 441,304 | 371,629 | ||||||||||||||||
Shares redeemed | (5,034,166 | ) | (5,380,747 | ) | (8,416,163 | ) | (6,247,765 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in fund shares | (1,359,177 | ) | (3,871,229 | ) | 2,095,784 | (185,349 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 6,709,806 | 8,068,983 | 18,036,590 | 15,940,806 | ||||||||||||||||
|
|
|
|
|
|
|
|
UNCONSTRAINED BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED 2020 |
YEAR ENDED | YEAR ENDED 2020 |
YEAR ENDED | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 38,551,315 | 54,336,734 | 224,878,988 | 222,210,891 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 6,881,972 | 10,228,971 | 92,050,551 | 95,778,587 | ||||||||||||||||
Shares issued through reinvestment of distributions | 1,004,035 | 1,506,781 | 7,502,540 | 6,826,781 | ||||||||||||||||
Shares redeemed | (22,424,625 | ) | (27,521,171 | ) | (76,103,837 | ) | (99,937,271 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) in fund shares | (14,538,618 | ) | (15,785,419 | ) | 23,449,254 | 2,668,097 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 24,012,697 | 38,551,315 | 248,328,242 | 224,878,988 | ||||||||||||||||
|
|
|
|
|
|
|
|
UNCONSTRAINED BOND FUND | |||||
PLAN CLASS | |||||
PERIOD ENDED MARCH 31, 2020* | |||||
Change in Fund shares: | |||||
Shares outstanding at beginning of period | — | ||||
|
| ||||
Shares sold | 8 | ||||
Shares issued through reinvestment of distributions | — | ** | |||
Shares redeemed | — | ||||
|
| ||||
Net increase in fund shares | 8 | ||||
|
| ||||
Shares outstanding at end of period | 8 | ||||
|
| ||||
*The Plan Class commenced operations on March 6, 2020. | |||||
**Less than one share. |
309 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
10. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At March 31, 2020, the following Funds had available for federal income tax purposes unused capital losses as follows:
FUND | AMOUNT UTILIZED IN CURRENT YEAR | AMOUNT EXPIRED IN CURRENT YEAR |
SHORT TERM |
LONG TERM | ||||||||||||||||
Floating Rate Income Fund | $ | — | $ | — | $ | 108,157 | $ | 3,475,370 | ||||||||||||
High Yield Bond Fund | 10,816,093 | — | — | 63,686,097 | ||||||||||||||||
Intermediate Bond Fund | 23,949,354 | — | — | — | ||||||||||||||||
Low Duration Bond Fund | 27,513,307 | — | — | 48,697,816 | ||||||||||||||||
Strategic Income Fund | — | — | 701,729 | 943,126 | ||||||||||||||||
Total Return Bond Fund | 1,561,921,670 | — | — | — | ||||||||||||||||
Ultra Short Bond Fund | 112,360 | — | 335,895 | 4,976,290 | ||||||||||||||||
Unconstrained Bond Fund | — | — | — | 4,858,243 |
* | Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment. |
Tax Basis of Distributable Income:
As of March 31, 2020, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:
ALPHATRAK 500 FUND |
CORPORATE |
FLEXIBLE INCOME |
FLOATING RATE |
HIGH YIELD |
INTERMEDIATE | |||||||||||||||||||||||||
Undistributed ordinary income (inclusive of short-term gains) | $ | — | $ | 17,841 | $ | 796 | $ | 408,794 | $ | 2,217,997 | $ | 1,418,317 | ||||||||||||||||||
Undistributed long-term gains | — | 4,616 | — | — | — | 2,261,352 | ||||||||||||||||||||||||
Other temporary differences | (4,968,319 | ) | — | — | (114,429 | ) | (150,649 | ) | (35,588 | ) | ||||||||||||||||||||
Accumulated capital loss carryforwards and post-October losses | — | — | — | (3,583,527 | ) | (63,686,097 | ) | — | ||||||||||||||||||||||
Net unrealized appreciation/ (depreciation) | (1,370,259 | ) | 45,836 | (452,049 | ) | (24,873,191 | ) | (53,440,686 | ) | (1,161,025 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total accumulated earnings/(losses) | $ | (6,338,578 | ) | $ | 68,293 | $ | (451,253 | ) | $ | (28,162,353 | ) | $ | (115,059,435 | ) | $ | 2,483,056 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Annual Report March 2020 / 310
Table of Contents
Notes to Financial Statements (Continued)
INVESTMENT GRADE |
LOW DURATION |
STRATEGIC |
TOTAL RETURN |
ULTRA SHORT |
UNCONSTRAINED | |||||||||||||||||||||||||
Undistributed ordinary income (inclusive of short-term capital gains) | $ | 13,954 | $ | 1,175,219 | $ | 568,543 | $ | 1,774,119,063 | $ | 102,689 | $ | 448,049 | ||||||||||||||||||
Undistributed long-term capital gains | 45,944 | — | — | 680,437,598 | — | — | ||||||||||||||||||||||||
Other temporary differences | — | (256,262 | ) | (8,070 | ) | (16,232,867 | ) | (7,513 | ) | (23,698,836 | ) | |||||||||||||||||||
Accumulated capital loss carryforwards and post-October losses | — | (48,697,816 | ) | (1,644,855 | ) | — | (5,312,185 | ) | (4,858,243 | ) | ||||||||||||||||||||
Net unrealized appreciation/ (depreciation) | (363,486 | ) | (29,290,914 | ) | (7,176,014 | ) | 2,376,511 | (968,297 | ) | (187,938,585 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total accumulated earnings/(losses) | $ | (303,588 | ) | $ | (77,069,773 | ) | $ | (8,260,396 | ) | $ | 2,440,700,305 | $ | (6,185,306 | ) | $ | (216,047,615 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Permanent differences incurred during the fiscal year ended March 31, 2020, resulting from differences in book and tax accounting have been reclassified atyear-end as follows:
FUND |
INCREASE/(DECREASE) | INCREASE/(DECREASE) PAID-IN-CAPITAL | ||||||||
AlphaTrak 500 Fund | $ 415,770 | $ (415,770) | ||||||||
Low Duration Bond Fund | 7,160 | (7,160) | ||||||||
Unconstrained Bond Fund | 10,085 | (10,085) |
The permanent differences are due to investments in swaps, foreign currency, the U.S. subsidiary, expired capital loss carryforwards and redesignation of dividends paid.
Tax Basis of Distributions to Shareholders:
ALPHATRAK 500 |
CORPORATE BOND FUND | |||||||||||||||||||
MARCH 31, 2020 |
MARCH 31, 2019 |
MARCH 31, |
MARCH 31, | |||||||||||||||||
Distributions from: | ||||||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ | 2,237,632 | $ | 404,612 | $ | 204,951 | $ | 92,911 | ||||||||||||
Net long-term capital gains | 1,118,170 | — | 2,637 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total taxable distributions | $ | 3,355,802 | $ | 404,612 | $ | 207,588 | $ | 92,911 | ||||||||||||
|
|
|
|
|
|
|
|
FLEXIBLE INCOME |
FLOATING RATE INCOME FUND | |||||||||||||||||||
MARCH 31, |
MARCH 31, 2019 |
MARCH 31, |
MARCH 31, | |||||||||||||||||
Distributions from: | ||||||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ | 1,296,742 | $ | 73,147 | $ | 11,164,984 | $ | 12,044,339 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total taxable distributions | $ | 1,296,742 | $ | 73,147 | $ | 11,164,984 | $ | 12,044,339 | ||||||||||||
|
|
|
|
|
|
|
|
311 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Continued)
HIGH YIELD BOND FUND |
INTERMEDIATE | |||||||||||||||
MARCH 31, |
MARCH 31, |
MARCH 31, | MARCH 31,
| |||||||||||||
Distributions from: | ||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $18,572,855 | $22,898,195 | $20,518,140 | $19,975,909 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total taxable distributions | $18,572,855 | $22,898,195 | $20,518,140 | $19,975,909 | ||||||||||||
|
|
|
|
|
|
|
|
INVESTMENT GRADE |
LOW DURATION | |||||||||||||||
MARCH 31, | MARCH 31, 2019 | MARCH 31, 2020 | MARCH 31, 2019 | |||||||||||||
Distributions from: | ||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $685,951 | $269,172 | $49,221,473 | $57,080,447 | ||||||||||||
Net long-term capital gains | 20,599 | — | — | — | ||||||||||||
Return of Capital | — | — | — | 74,997 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total taxable distributions | $706,550 | $269,172 | $49,221,473 | $57,155,444 | ||||||||||||
|
|
|
|
|
|
|
|
STRATEGIC INCOME |
TOTAL RETURN BOND FUND | |||||||||||||||
MARCH 31, |
MARCH 31, |
MARCH 31, |
MARCH 31, | |||||||||||||
Distributions from: | ||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $3,413,896 | $4,012,968 | $2,492,448,522 | $2,110,133,981 | ||||||||||||
Net long-term capital gains | — | — | 218,637,193 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total taxable distributions | $3,413,896 | $4,012,968 | $2,711,085,715 | $2,110,133,981 | ||||||||||||
|
|
|
|
|
|
|
|
ULTRA SHORT BOND FUND |
UNCONSTRAINED BOND FUND | |||||||||||||||
MARCH 31, |
MARCH 31, |
MARCH 31, |
MARCH 31, | |||||||||||||
Distributions from: | ||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $2,644,483 | $2,419,646 | $120,977,138 | $116,943,189 | ||||||||||||
Return of Capital | — | — | — | 22,476 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total taxable distributions | $2,644,483 | $2,419,646 | $120,977,138 | $116,965,665 | ||||||||||||
|
|
|
|
|
|
|
|
Tax Cost
As of March 31, 2020, gross unrealized appreciation/(depreciation) based on cost for federal income tax purposes were as follows:
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Tax Cost | $ | 30,744,049 | $ | 3,393,543 | $ | 9,369,938 | $ | 304,757,608 | $ | 479,608,894 | $ | 857,838,568 | ||||||||||||||||||
Gross unrealized appreciation | 131,279 | 172,092 | 397,531 | 1,874,911 | 7,047,298 | 14,437,909 | ||||||||||||||||||||||||
Gross unrealized (depreciation) | (1,501,538 | ) | (126,256 | ) | (849,580 | ) | (26,748,102 | ) | (60,487,984 | ) | (15,698,148 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation/ (depreciation) | $ | (1,370,259 | ) | $ | 45,836 | $ | (452,049 | ) | $ | (24,873,191 | ) | $ | (53,440,686 | ) | $ | (1,260,239 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Annual Report March 2020 / 312
Table of Contents
Notes to Financial Statements (Continued)
INVESTMENT | LOW DURATION BOND FUND | STRATEGIC INCOME FUND |
TOTAL RETURN | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||||||||||||||||||||
Tax Cost | $ | 7,666,553 | $ | 2,087,482,272 | $ | 65,297,983 | $ | 96,871,615,479 | $ | 105,109,452 | $ | 3,358,414,264 | ||||||||||||||||||
Gross unrealized appreciation | 230,184 | 13,328,207 | 1,613,607 | 2,126,792,884 | 271,019 | 50,500,825 | ||||||||||||||||||||||||
Gross unrealized (depreciation) | (594,688 | ) | (42,877,734 | ) | (8,800,018 | ) | (2,134,951,291 | ) | (1,239,316 | ) | (238,886,087 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation/ (depreciation) | $ | (364,504 | ) | $ | (29,549,527 | ) | $ | (7,186,411 | ) | $ | (8,158,407 | ) | $ | (968,297 | ) | $ | (188,385,262 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
11. | COMMITTED LINE OF CREDIT |
The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purposes with an expiration date of October 9, 2020. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.15%. There were no borrowings from the line of credit as of or during the year ended March 31, 2020. The Funds pay the Bank a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
12. | LIQUIDITY RISK MANAGEMENT PROGRAM |
Rule22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registeredopen-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine a highly liquid investment minimum, limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptionsin-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Adviser to administer the Funds’ Liquidity Program (the “Program Administrator”).
On March 9, 2020, the Board reviewed the Program Administrator’s written report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the period from its adoption through December 31, 2019 (the “Reporting Period”). The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquidity Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
13. | INDEMNIFICATIONS |
Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
313 / Annual Report March 2020
Table of Contents
Notes to Financial Statements (Concluded)
14. | NEW ACCOUNTING PRONOUNCEMENT |
In August 2018, the FASB released Accounting Standards Update (ASU)2018-13, which changes the fair value measurement disclosure requirements of Topic 820. The amendments in this ASU are the result of a broader disclosure project called FASB Concept Statement, Conceptual Framework for Financial Reporting — Chapter 8 Notes to Financial Statements. The objective and primary focus of the project are to improve the effectiveness of disclosures in the notes to the financial statements by facilitating clear communication of the information required by GAAP that is most important to users of the financial statements. The ASU is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted for any eliminated or modified disclosures upon issuance of the ASU. Management has concluded that the ASU had no material impact to the financial statements.
Annual Report March 2020 / 314
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
the Metropolitan West Funds
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Metropolitan West Funds (the “Funds”), comprising Metropolitan West AlphaTrak 500 Fund, Metropolitan West Corporate Bond Fund, Metropolitan West Flexible Income Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Unconstrained Bond Fund, including the schedules of portfolio investments, as of March 31, 2020, the related statements of operations for the year then ended, the statements of changes in net assets (as to Metropolitan West High Yield Bond Fund, consolidated statements of changes in net assets for the period ended March 31, 2019) for each of the two years in the period then ended, and the financial highlights (as to Metropolitan West High Yield Bond Fund, consolidated financial highlights for the four years in the period ended March 31, 2019) for each of the five years in the period then ended for the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund; the financial highlights for Metropolitan West Corporate Bond Fund for the year ended March 31, 2020 and for the period from June 29, 2018 (commencement of operations) to March 31, 2019; the financial highlights for Metropolitan West Investment Grade Credit Fund for the year ended March 31, 2020 and for the period from June 29, 2018 (commencement of operations) to March 31, 2019; the financial highlights for Metropolitan West Flexible Income Fund for the year ended March 31, 2020 and for the period from November 30, 2018 (commencement of operations) to March 31, 2019, and the related notes.
In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31, 2020, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five year years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Also, in our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31, 2020; the results of operations, changes in net assets, and financial highlights for Metropolitan West Corporate Bond Fund for the year ended March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; the results of operations, changes in net assets, and financial highlights for Metropolitan West Investment Grade Credit Fund for the year ended March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; and the results of operations, changes in net assets, and financial highlights for Metropolitan West Flexible Income Fund for the year ended March 31, 2020 and the period from November 30, 2018 (commencement of operations) through March 31, 2019, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
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Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2020, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
May 26, 2020
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
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Tax Information Notice
(Unaudited)
For shareholders that do not have a March 31, 2020 taxyear-end, this notice is for informational purposes only. For shareholders with a March 31, 2020 taxyear-end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2020, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||
Net Investment Income Distributions | 28.91% | 92.72% | 92.29% | 100.00% | 100.00% | 100.00% | ||||||
Short-Term Capital Gain Distributions | 37.65% | 6.01% | 7.71% | 0.00% | 0.00% | 0.00% | ||||||
Long-Term Capital Gain Distributions | 33.44% | 1.27% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Return of Capital | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Tax-Exempt Interest | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualifying For Corporate Dividends Rec. Deduction (1) | 0.00% | 0.00% | 0.00% | 0.00% | 0.08% | 0.00% | ||||||
Qualifying Dividend Income (2) | 0.00% | 0.00% | 0.00% | 0.00% | 0.08% | 0.00% | ||||||
U.S. Government Interest (3) | 4.52% | 0.43% | 0.31% | 0.93% | 1.98% | 23.79% | ||||||
Foreign Tax Credit (4) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualified Interest Income (5) | 99.94% | 94.68% | 97.55% | 98.52% | 81.92% | 90.48% | ||||||
Qualified Short-Term Capital Gain (6) | 100.00% | 100.00% | 0.00% | 0.00% | 0.00% | 0.00% |
INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||
Net Investment Income Distributions | 90.92% | 100.00% | 100.00% | 74.58% | 100.00% | 100.00% | ||||||
Short-Term Capital Gain Distributions | 6.16% | 0.00% | 0.00% | 17.35% | 0.00% | 0.00% | ||||||
Long-Term Capital Gain Distributions | 2.92% | 0.00% | 0.00% | 8.07% | 0.00% | 0.00% | ||||||
Return of Capital | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Tax-Exempt Interest | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualifying For Corporate Dividends Rec. Deducion (1) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualifying Dividend Income (2) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
U.S. Government Interest (3) | 0.17% | 15.17% | 4.06% | 9.38% | 24.21% | 5.98% | ||||||
Foreign Tax Credit (4) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualified Interest Income (5) | 96.55% | 90.80% | 85.56% | 98.77% | 94.51% | 78.44% | ||||||
Qualified Short-Term Capital Gain (6) | 100.00% | 0.00% | 0.00% | 100.00% | 0.00% | 0.00% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. government obligations is exempt from state income tax. However, for residents of California, Connecticut, and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income for this fund. |
(4) | Foreign Tax Credit represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income). |
(5) | The percentage in this column represents the amount of “Qualifying Interest Income” as created byTheAmerican Jobs Creation Act of 2004. The information is reflected as a percentage of net investment income distributions. |
(6) | The percentage in this column represents the amount of “Qualifying Short Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of short-term capital gain distributions. |
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Privacy Policy
The TCW Group, Inc. and Subsidiaries TCW Investment Management Company LLC TCW Asset Management Company LLC Metropolitan West Asset Management, LLC | ||
TCW Funds, Inc. | Sepulveda Management LLC | |
TCW Strategic Income Fund, Inc. | TCW Direct Lending LLC | |
Metropolitan West Funds | TCW Direct Lending VII LLC |
Effective May 2018
WHAT YOU SHOULD KNOW
|
At TCW, we recognize the importance of keeping information about you secure and confidential.We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of RegulationS-P, “Privacy of Consumer Financial Information,” issued by the U.S. Securities and Exchange Commission.
OUR PRIVACY POLICY
|
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
CATEGORIES OF INFORMATION WE COLLECT
|
We may collect the following types of nonpublic personal and financial information about you from the following sources:
• | Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications. |
• | Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties. |
• | Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others. |
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CATEGORIES OF INFORMATION WE DISCLOSE TO NONAFFILIATED THIRD PARTIES
|
We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.
We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.
We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not containopt-out provisions.
CATEGORIES OF INFORMATION WE DISCLOSE TO OUR AFFILIATED ENTITIES
|
• | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
• | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
INFORMATION ABOUT FORMER CUSTOMERS
|
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
QUESTIONS
|
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
REMINDER ABOUT TCW’S FINANCIAL PRODUCTS
|
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC.
• | Are not guaranteed by a bank; |
• | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
• | Are not insured by the Federal Deposit Insurance Corporation; and |
• | Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon. |
THE TCW GROUP, INC | TCW STRATEGIC INCOME FUND, INC. | |
TCW FUNDS, INC. | METROPOLITAN WEST FUNDS | |
SEPULVEDA MANAGEMENT LLC | TCW DIRECT LENDING LLC | |
TCW DIRECT LENDING VII LLC | ||
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com |
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TRUSTEES AND OFFICERS (Unaudited)
The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800)241-4671.
NAME AND
| POSITION(S)
| TERM OF
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER
| |||||
Independent Trustees of the Trust*
| ||||||||||
Ronald J. Consiglio (1943) | Trustee | Indefinite term, since 2003 | Since 1999, Mr. Consiglio has served as the managing director of Synergy Trading, a securities-trading partnership. | 12 | Mannkind Corp. (pharmaceutical preparations) | |||||
Patrick C. Haden (1953) | Trustee | Indefinite term, since 2010 | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 - June 2017), Athletic Director (2010 - June 2016), University of Southern California. | 31 | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); TCW Funds (mutual funds); TCW Strategic Income Fund, Inc.(closed-end fund) | |||||
Martin Luther King III (1957) | Trustee and Chairman of the Nominating and Governance Committee | Indefinite term, since 1997 | Since 1998, Mr. King has served as the President and Chief Executive Officer of The King Center. Since January 2006, he has served as Chief Executive Officer of Realizing the Dream, anon-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980. | 12 | None | |||||
Peter McMillan (1957) | Trustee | Indefinite term, since 2008 | Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm);Co-founder and Executive Vice President (since 2005), KBS Capital Advisors (a manager of real estate investment trusts);Co-founder and Managing Partner (since 2000) Willowbrook Capital Group, LLC (investment advisory firm). | 31 | KBS Real Estate Investment Trusts (real estate investments); KBS Strategic Opportunity REITS (real estate investments);Keppel-KBS U.S. REIT (real estate investments); TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc.(closed-end fund); TCW DL VII Financing LLC (business development company) |
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NAME AND
| POSITION(S)
| TERM OF
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER
| |||||
Robert G. Rooney (1957) | Trustee and Chairman of the Audit Committee | Indefinite term, since 2009 | Chief Financial and Administrative Officer (since November 2018), REEF Technology (real estate services and technology company); Chief Financial Officer (January 2018 - November 2018), Citizens Parking Inc. (parking services company); Chief Financial Officer (September 2015 - July 2017), Novitex Enterprise Solutions, Inc. (document management company). | 12 | None | |||||
Andrew Tarica (1959) | Trustee and Chairman of the Board | Indefinite term, since 2002 and 2008, respectively | Employee (since 2003), Cowen & Co. (broker-dealer); Chief Executive Officer (since 2001), Meadowbrook Capital Management (asset management company). | 31 | TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc.(closed-end fund); TCW Direct Lending VII, LLC (business development company) | |||||
Interested Trustees**
| ||||||||||
Patrick Moore (1964) | Trustee | Indefinite term, since 2014 | Mr. Moore is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since 2000. Mr. Moore is a member of the CFA Institute. | 12 | None | |||||
Laird Landmann (1964) | Trustee and Executive Vice President | Indefinite term, since 2008 and 2007, respectively | Mr. Landmann is President for the Adviser and Group Managing Director of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. Since August 1996, Mr. Landmann has been a Generalist Portfolio Manager with the Adviser and currently serves as the Adviser’s President. | 12 | None | |||||
Officers of the Trust who are not Trustees
| ||||||||||
David B. Lippman (1958) | President and Principal Executive Officer | Indefinite term, since November 2008 | Mr. Lippman is the Chief Executive Officer of the Adviser (since February 2013), and the Chief Executive Officer and President of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has served as Chief Executive Officer with the Adviser since June 2008. | 1 | TCW Strategic Income Fund, Inc.(closed-end fund) |
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NAME AND
| POSITION(S)
| TERM OF
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER
| |||||
David S. DeVito (1962) | Treasurer and Chief Financial Officer | Indefinite term, since 2010 | Mr. DeVito is Executive Vice President and Chief Operating Officer of the Adviser, TCW Investment Management Company LLC, The TCW Group, Inc., TCW LLC and TCW Asset Management Company LLC; President and Chief Executive Officer, TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018) | 19 | TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc.(closed-end fund) | |||||
Eric Chan (1978) | Assistant Treasurer | Indefinite term, since 2010 | Mr. Chan is Senior Vice President of Fund Operations for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since November 2006. Mr. Chan is a Certified Public Accountant. | N/A | N/A | |||||
Tad Rivelle (1961) | Executive Vice President | Indefinite term, since 2007 | Mr. Rivelle is the Chief Investment Officer and Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since August 1996. | N/A | N/A | |||||
Stephen M. Kane (1962) | Executive Vice President | Indefinite term, since 2007 | Mr. Kane is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since August 1996. | N/A | N/A | |||||
Cal Rivelle (1958) | Executive Vice President | Indefinite term, since 2009 | Mr. Rivelle is a Group Managing Director for the Adviser, The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TWC LLC. | N/A | N/A | |||||
Jeffrey Engelsman (1967) | Chief Compliance Officer and Anti-Money Laundering Officer | Indefinite term, since 2014 | Mr. Engelsman is a Managing Director and Global Chief Compliance Officer of the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC, and TCW LLC (since January 2016). He is the Chief Compliance Officer of The TCW Group, Inc. Prior to joining TCW, he was a Managing Director of New York Life Investments and the Chief Compliance Officer of the MainStay Funds, a group of more than 70 open-ended andclosed-end funds. Mr. Engelsman holds the Series 7, 24 and 63 FINRA licenses. He is Chief Compliance Officer and Anti-Money Laundering Officer for the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018). | N/A | N/A | |||||
Meredith Jackson (1959) | Vice President and Secretary | Indefinite term, since 2013 | Ms. Jackson is Executive Vice President, General Counsel and Secretary of the Adviser, The TCW Group, Inc., TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC (since February 2013). She is Senior Vice President, Secretary and General Counsel for the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018). | N/A | N/A |
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NAME AND
| POSITION(S)
| TERM OF
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER
| |||||
Patrick Dennis (1981) | Vice President and Assistant Secretary | Indefinite term, since 2013 | Mr. Dennis is Senior Vice President, Associate General Counsel and Assistant Secretary of the Adviser, TCW Investment Management Company LLC, TCW LLC and TCW Asset Management Company LLC (since February 2013). He is Vice President and Assistant Secretary for the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018). | N/A | N/A |
* | Denotes a Trustee who is not an “interested” person of the Trust as defined in the 1940 Act. |
** | Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser. |
*** | For purposes of Trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017. |
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MetWest Funds
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 241 4671
www.TCW.com
Board of Trustees
Andrew Tarica
Laird R. Landmann
Peter McMillan
Martin Luther King, III
Ronald J. Consiglio
Robert G. Rooney
Patrick C. Haden
Patrick Moore
Officers
David Lippman
President and Principal Executive Officer
David S. DeVito
Treasurer, Chief Financial Officer and
Principal Accounting Officer
Jeffrey Engelsman
Chief Compliance Officer
Adviser
Metropolitan West Asset Management, LLC
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
760 Moore Road
King of Prussia, PA 19406
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
555 West 5th Street, Suite 2700
Los Angeles, CA 90013
Distributor
TCW Fund Distributors LLC
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
Legal Counsel
Paul Hastings LLP
101 California Street, 48th Floor
San Francisco, CA 94111
For Additional Information about the MetWest Funds call:
(213) 244-0000 or (800) 241-4671 (toll-free)
www.TCW.com
A description of the Funds’ proxy voting policies, procedures, and how the Funds voted proxies relating to each portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.
This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.
FUNDap 11/2020
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Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | Not applicable. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(f)(1) | Pursuant to Item 13(a)(1), the registrant is filing as an exhibit a copy of its code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of FormN-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $545,908 in 2020 and $535,203 in 2019. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2020 and $0 in 2019. |
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Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $101,760 in 2020 and $100,800 in 2019. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2020 and $0 in 2019. |
(e)(1) Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X.
Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible forpre-approving (i) all audit and permissiblenon-audit services to be provided by the independent auditors to the registrant and (ii) all permissiblenon-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility topre-approve any such audit and permissiblenon-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’spre-approval of such services, his or her decision(s). The Committee may also establish detailedpre-approval policies and procedures forpre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’spre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers).Pre-approval by the Committee of any permissiblenon-audit services is not required so long as: (i) the aggregate amount of all such permissiblenon-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissiblenon-audit services are provided; (ii) the permissiblenon-audit services were not recognized by the registrant at the time of the engagement to benon-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X are as follows:
(b) N/A
(c) 100%
(d) N/A
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%. |
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(g) | The aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $1,008,821 in 2020 and $971,061 in 2019. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence. |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
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Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | ||
(a)(2) | ||
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Metropolitan West Funds
By (Signature and Title)* /s/ David B. Lippman
David B. Lippman, President and Principal Executive Officer
(principal executive officer)
Date | June 4, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ David B. Lippman
David B. Lippman, President and Principal Executive Officer
(principal executive officer)
Date | June 4, 2020 |
By (Signature and Title)* /s/ David S. DeVito
David S. DeVito, Treasurer, Principal Financial Officer
and Principal Accounting Officer
(principal financial officer)
Date | June 4, 2020 |
* Print the name and title of each signing officer under his or her signature.