Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
1
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
BONDS
–
112
.24
%
ASSET-BACKED
SECURITIES
—
5
.14
%
**
Academic
Loan
Funding
Trust,
Series
2012-1A,
Class
A2
(SOFR30A
plus
1.21%)
6.54%
12/27/44
1,2
$
12,635,661
$
12,459,736
AGL
CLO
1
Ltd.,
Series
2019-1A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.33%
10/20/34
1,2,3
24,800,000
24,683,688
AGL
CLO
17
Ltd.,
Series
2022-17A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.33%)
6.74%
01/21/35
1,2,3
30,520,000
30,368,926
Aimco
CLO
11
Ltd.,
Series
2020-11A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.39%)
6.79%
10/17/34
1,2,3
7,050,000
7,053,652
Allegro
CLO
XIII
Ltd.,
Series
2021-1A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.38%
07/20/34
1,2,3
15,610,000
15,602,101
AMMC
CLO
15
Ltd.,
Series
2014-15A,
Class
AR3
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.38%)
6.78%
01/15/32
1,2,3
27,800,000
27,799,166
AMMC
CLO
22
Ltd.,
Series
2018-22A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.71%)
7.09%
04/25/31
1,2,3
19,750,000
19,640,782
AMMC
CLO
26
Ltd.,
Series
2023-26A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.95%)
7.34%
04/15/36
1,2,3
8,250,000
8,290,095
AMSR
Trust,
Series
2021-SFR1,
Class
G
4.61%
06/17/38
1
15,250,000
12,836,813
Apidos
CLO
XV,
Series
2013-15A,
Class
BRR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.81%)
7.23%
04/20/31
1,2,3
10,000,000
9,997,060
Apidos
CLO
XVIII,
Series
2018-18A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.32%
10/22/30
1,2,3
11,200,000
11,187,680
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Barings
CLO
Ltd.,
Series
2018-3A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.21%)
6.63%
07/20/29
1,2,3
$
10,548,664
$
10,559,762
Barings
CLO
Ltd.,
Series
2020-4A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.48%)
6.90%
01/20/32
1,2,3
19,110,000
19,134,919
Bayview
Commercial
Asset
Trust,
Series
2005-1A,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.56%)
5.92%
04/25/35
1,2
1,230,075
1,164,432
BCRED
MML
CLO,
LLC,
Series
2022-1A,
Class
A1
(CME
Term
SOFR
3-Month
plus
1.65%)
7.07%
04/20/35
1,2
48,400,000
47,919,388
BlueMountain
CLO
Ltd.,
Series
2014-2A,
Class
BR2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.01%)
7.43%
10/20/30
1,2,3
1,830,000
1,829,177
BlueMountain
CLO
XXXII
Ltd.,
Series
2021-32A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.36%
10/15/34
1,2,3
15,000,000
14,968,950
BlueMountain
Fuji
U.S.
CLO
I
Ltd.,
Series
2017-1A,
Class
A1R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.24%)
6.66%
07/20/29
1,2,3
11,023,179
11,022,077
Brazos
Education
Loan
Authority,
Inc.,
Series
2012-1,
Class
A1
(SOFR30A
plus
0.81%)
6.15%
12/26/35
2
12,909
12,836
Carvana
Auto
Receivables
Trust,
Series
2021-N1,
Class
R
0.00%
01/10/28
1
53,821
4,604,097
Carvana
Auto
Receivables
Trust,
Series
2021-P4,
Class
R
0.00%
09/11/28
1
43,250
11,971,738
Carvana
Auto
Receivables
Trust,
Series
2023-N1,
Class
R
0.00%
04/10/30
1
30,000
13,002,235
Carvana
Auto
Receivables
Trust,
Series
2023-N1,
Class
XS
0.00%
04/10/30
1,4,5
411,084,010
6,837,971
Carvana
Auto
Receivables
Trust,
Series
2023-N3,
Class
R
0.00%
09/10/30
1
30,900
7,603,548
Catskill
Park
CLO
Ltd.,
Series
2017-1A,
Class
A2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.38%
04/20/29
1,2,3
6,000,000
6,014,748
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
2
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Cedar
Funding
II
CLO
Ltd.,
Series
2013-1A,
Class
BRR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.61%)
7.03%
04/20/34
1,2,3
$
4,800,000
$
4,711,594
Cedar
Funding
V
CLO
Ltd.,
Series
2016-5A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.01%)
7.41%
07/17/31
1,2,3
7,000,000
6,998,110
Cedar
Funding
VIII
CLO
Ltd.,
Series
2017-8A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.31%
10/17/34
1,2,3
9,550,000
9,475,711
Cedar
Funding
XVII
CLO
Ltd.,
Series
2023-17A,
Class
A
(United
Kingdom)
(CME
Term
SOFR
3-Month
plus
1.85%)
7.28%
07/20/36
1,2,3
13,250,000
13,330,136
CIFC
Funding
2014
Ltd.,
Series
2014-1A,
Class
BR2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.66%)
7.06%
01/18/31
1,2,3
8,000,000
7,942,896
CIFC
Funding
Ltd.,
Series
2013-2A,
Class
A2L2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.76%)
7.16%
10/18/30
1,2,3
10,500,000
10,454,850
CIFC
Funding
Ltd.,
Series
2014-5A,
Class
BR2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.06%)
7.46%
10/17/31
1,2,3
3,990,000
3,998,598
CIFC
Funding
Ltd.,
Series
2017-4A,
Class
A2R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.81%)
7.21%
10/24/30
1,2,3
3,475,000
3,463,359
CIFC
Funding
Ltd.,
Series
2018-1A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.66%)
7.06%
04/18/31
1,2,3
9,950,000
9,886,519
CIFC
Funding
Ltd.,
Series
2020-2A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.86%)
7.28%
10/20/34
1,2,3
9,000,000
8,966,322
CIFC
Funding
Ltd.,
Series
2021-6A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.31%
10/15/34
1,2,3
20,000,000
19,947,480
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
CIFC
Funding
Ltd.,
Series
2022-1A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.32%)
6.72%
04/17/35
1,2,3
$
25,000,000
$
24,926,525
CIFC
Funding
Ltd.,
Series
2023-2A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.75%)
7.08%
01/21/37
1,2,3
14,000,000
14,006,090
CIT
Education
Loan
Trust,
Series
2007-1,
Class
B
(SOFR90A
plus
0.56%)
5.91%
06/25/42
1,2
11,807,566
10,185,679
Clear
Creek
CLO
LTD.
Series
2015-1A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.46%)
6.88%
10/20/30
1,2,3
16,207,304
16,208,438
Clover
CLO
LLC,
Series
2020-1A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.42%)
6.82%
04/15/34
1,2,3
38,800,000
38,763,140
College
Loan
Corp.
Trust,
Series
2005-2,
Class
B
(SOFR90A
plus
0.75%)
6.05%
01/15/37
2
1,298,918
1,147,762
CVC
Cordatus
Loan
Fund
VIII
DAC,
Series
8X,
Class
BRR
(Ireland)
(3-Month
Euribor
plus
1.40%)
5.37%
07/15/34
2,3
8,200,000
8,713,740
Dryden
30
Senior
Loan
Fund,
Series
2013-30A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.51%)
6.89%
11/15/28
1,2,3
1,500,000
1,490,356
Dryden
61
CLO
Ltd.,
Series
2018-61A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.66%)
7.06%
01/17/32
1,2,3
3,000,000
2,969,643
Dryden
65
CLO
Ltd.,
Series
2018-65A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.86%)
7.26%
07/18/30
1,2,3
3,500,000
3,496,811
Dryden
83
CLO
Ltd.,
Series
2020-83A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.48%)
6.88%
01/18/32
1,2,3
29,220,000
29,257,489
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
3
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Dryden
92
CLO
Ltd.,
Series
2021-92A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.28%
11/20/34
1,2,3
$
22,500,000
$
22,337,055
Dryden
XXVI
Senior
Loan
Fund,
Series
2013-26A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.16%)
6.56%
04/15/29
1,2,3
16,832,052
16,802,596
Eaton
Vance
CLO
Ltd.,
Series
2013-1A,
Class
A13R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.51%)
6.91%
01/15/34
1,2,3
23,850,000
23,830,443
Eaton
Vance
CLO
Ltd.,
Series
2018-1A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.01%)
7.41%
10/15/30
1,2,3
5,000,000
4,998,450
Eaton
Vance
CLO
Ltd.,
Series
2020-1A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.31%
10/15/34
1,2,3
25,000,000
24,986,225
ECMC
Group
Student
Loan
Trust,
Series
2016-1A,
Class
A
(SOFR30A
plus
1.46%)
6.80%
07/26/66
1,2
28,016,054
27,966,727
Elmwood
CLO
XI
Ltd.,
Series
2021-4A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.86%)
7.28%
10/20/34
1,2,3
16,000,000
15,998,400
Fillmore
Park
CLO
Ltd.,
Series
2018-1A,
Class
B1B2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.81%)
7.21%
07/15/30
1,2,3
8,000,000
7,972,560
FirstKey
Homes
Trust,
Series
2021-SFR1,
Class
F1
3.24%
08/17/38
1
12,416,000
10,923,733
FirstKey
Homes
Trust,
Series
2021-SFR2,
Class
F1
2.91%
09/17/38
1
12,677,000
11,041,417
Flatiron
CLO
21
Ltd.,
Series
2021-1A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.37%)
6.77%
07/19/34
1,2,3
52,500,000
52,329,375
Global
SC
Finance
II
SRL,
Series
2014-1A,
Class
A2
(Barbados)
3.09%
07/17/29
1,3
5,182,419
5,099,026
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Goal
Capital
Funding
Trust,
Series
2006-1,
Class
B
(LIBOR
USD
3-Month
plus
0.45%)
6.09%
08/25/42
2
$
1,229,001
$
1,126,274
Goal
Structured
Solutions
Trust,
Series
2015-1,
Class
A
(LIBOR
USD
1-Month
plus
0.65%)
6.12%
09/25/41
1,2
10,321,431
10,081,296
GoldenTree
Loan
Management
U.S.
CLO
8
Ltd.,
Series
2020-8A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.41%)
6.83%
10/20/34
1,2,3
36,180,000
36,045,410
GoldenTree
Loan
Opportunities
IX
Ltd.,
Series
2014-9A,
Class
AR2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.37%)
6.76%
10/29/29
1,2,3
1,677,888
1,677,972
Golub
Capital
Partners
CLO
64B
Ltd.,
Series
2022-64A,
Class
B
(United
Kingdom)
(CME
Term
SOFR
3-Month
plus
3.30%)
8.68%
10/25/35
1,2,3
8,800,000
8,884,568
Golub
Capital
Partners
CLO
66B
Ltd.,
Series
2023-66A,
Class
A
(United
Kingdom)
(CME
Term
SOFR
3-Month
plus
1.95%)
7.33%
04/25/36
1,2,3
20,000,000
20,095,000
Greenwood
Park
CLO
Ltd.,
Series
2018-1A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.66%)
7.06%
04/15/31
1,2,3
10,000,000
9,948,600
Highbridge
Loan
Management
Ltd.,
Series
12A-18,
Class
A2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.76%)
7.16%
07/18/31
1,2,3
7,000,000
6,961,710
HPS
Loan
Management
Ltd.
Series
15A-19,
Class
A1R
(United
Kingdom)
(CME
Term
SOFR
3-Month
plus
1.32%)
6.73%
01/22/35
1,2,3
35,720,000
35,734,395
HPS
Loan
Management
Ltd.,
Series
2021-16A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.37%
01/23/35
1,2,3
19,250,000
19,214,907
HPS
Loan
Management
Ltd.,
Series
2023-17A,
Class
A
(United
Kingdom)
(CME
Term
SOFR
3-Month
plus
1.90%)
7.31%
04/23/36
1,2,3
17,400,000
17,473,776
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
4
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
HPS
Loan
Management
Ltd.,
Series
2023-18A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.95%)
8.28%
07/20/36
1,2,3
$
10,000,000
$
10,119,860
Invesco
U.S.
CLO
Ltd.,
Series
2023-2A,
Class
A
(United
Kingdom)
(CME
Term
SOFR
3-Month
plus
1.80%)
7.21%
04/21/36
1,2,3
12,600,000
12,638,430
J.G.
Wentworth
XXX
LLC,
Series
2013-3A,
Class
A
4.08%
01/17/73
1
491,170
445,676
J.G.
Wentworth
XXXII
LLC,
Series
2014-2A,
Class
A
3.61%
01/17/73
1
30,734,904
27,168,017
LCM
Loan
Income
Fund
I
Ltd.,
Series
1A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.71%)
7.13%
04/20/31
1,2,3
7,710,000
7,649,130
LCM
XIV
LP,
Series
14A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.30%)
6.72%
07/20/31
1,2,3
9,976,923
9,963,654
LCM
XIV
LP,
Series
14A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.84%)
7.26%
07/20/31
1,2,3
3,385,000
3,357,243
Lucali
CLO
Ltd.,
Series
2020-1A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.47%)
6.87%
01/15/33
1,2,3
11,550,000
11,564,414
Madison
Park
Funding
XLVIII
Ltd.,
Series
2021-48A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.41%)
6.81%
04/19/33
1,2,3
30,635,000
30,631,630
Madison
Park
Funding
XVII
Ltd.,
Series
2015-17A,
Class
BR2
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.76%)
7.17%
07/21/30
1,2,3
10,000,000
9,949,200
Madison
Park
Funding
XXXVIII
Ltd.,
Series
2021-38A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.38%)
6.78%
07/17/34
1,2,3
10,500,000
10,462,305
Magnetite
XXIII
Ltd.,
Series
2019-23A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.29%
01/25/35
1,2,3
20,000,000
20,017,700
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Magnetite
XXV
Ltd.,
Series
2020-25A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.46%)
6.84%
01/25/32
1,2,3
$
27,025,000
$
27,058,538
MetroNet,
Series
2023-3,
Class
A
7.95%
04/20/53
1,4,5
24,026,000
24,483,996
Navient
Student
Loan
Trust,
Series
2014-1,
Class
A3
(SOFR30A
plus
0.62%)
5.96%
06/25/31
2
442,681
428,490
Navient
Student
Loan
Trust,
Series
2014-2,
Class
A
(SOFR30A
plus
0.75%)
6.09%
03/25/83
2
23,876,456
23,325,640
Navient
Student
Loan
Trust,
Series
2014-3,
Class
A
(SOFR30A
plus
0.73%)
6.07%
03/25/83
2
42,256,380
41,297,235
Navient
Student
Loan
Trust,
Series
2014-4,
Class
A
(SOFR30A
plus
0.73%)
6.07%
03/25/83
2
60,623,420
59,193,150
Navient
Student
Loan
Trust,
Series
2014-6,
Class
A
(SOFR30A
plus
0.72%)
6.06%
03/25/83
2
22,487,995
22,055,877
Navient
Student
Loan
Trust,
Series
2014-7,
Class
A
(SOFR30A
plus
0.72%)
6.06%
03/25/83
2
47,341,201
46,434,653
Navient
Student
Loan
Trust,
Series
2015-1,
Class
A2
(SOFR30A
plus
0.71%)
6.05%
04/25/40
2
42,319,669
41,396,916
Navient
Student
Loan
Trust,
Series
2016-7A,
Class
A
(SOFR30A
plus
1.26%)
6.60%
03/25/66
1,2
45,701,243
45,930,822
Nelnet
Student
Loan
Trust,
Series
2006-1,
Class
A6
(CME
Term
SOFR
3-Month
plus
0.71%)
6.09%
08/23/36
1,2
6,351,206
6,286,753
Nelnet
Student
Loan
Trust,
Series
2014-4A,
Class
A2
(SOFR30A
plus
1.06%)
6.40%
11/25/48
1,2
10,407,628
10,321,766
Nelnet
Student
Loan
Trust,
Series
2015-1A,
Class
A
(SOFR30A
plus
0.70%)
6.04%
04/25/46
1,2
60,689,946
59,779,811
Neuberger
Berman
Loan
Advisers
CLO
33
Ltd.,
Series
2019-33A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.86%)
7.26%
10/16/33
1,2,3
23,000,000
23,023,138
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
5
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Neuberger
Berman
Loan
Advisers
CLO
36
Ltd.,
Series
2020-36A,
Class
A1R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.51%)
6.93%
04/20/33
1,2,3
$
25,395,000
$
25,395,762
Neuberger
Berman
Loan
Advisers
CLO
47
Ltd.,
Series
2022-47A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.30%)
6.69%
04/14/35
1,2,3
32,050,000
31,866,354
NYACK
Park
CLO
Ltd.,
Series
2021-1A,
Class
B1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.86%)
7.28%
10/20/34
1,2,3
20,000,000
19,887,340
OCP
CLO
Ltd.,
Series
2014-6A,
Class
A2R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.98%)
7.38%
10/17/30
1,2,3
4,000,000
4,009,900
OCP
CLO
Ltd.,
Series
2017-13A,
Class
A2R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.81%)
7.21%
07/15/30
1,2,3
5,675,000
5,652,459
OCP
CLO
Ltd.,
Series
2020-19A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.38%
10/20/34
1,2,3
15,500,000
15,515,469
Octagon
67
Ltd.,
Series
2023-1A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.80%)
7.18%
04/25/36
1,2,3
21,210,000
21,285,508
Octagon
Investment
Partners
20-R
Ltd.,
Series
2019-4A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.33%
05/12/31
1,2,3
17,500,000
17,486,875
Octagon
Investment
Partners
27
Ltd.,
Series
2016-1A,
Class
A2R
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.61%)
7.01%
07/15/30
1,2,3
10,000,000
9,983,900
Octagon
Investment
Partners
44
Ltd.,
Series
2019-1A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.36%
10/15/34
1,2,3
18,800,000
18,607,488
Octagon
Investment
Partners
46
Ltd.,
Series
2020-2A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.31%
07/15/36
1,2,3
7,250,000
7,195,625
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Octagon
Investment
Partners
XXI
Ltd.,
Series
2014-1A,
Class
A2R3
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.66%)
7.04%
02/14/31
1,2,3
$
1,470,000
$
1,453,551
OHA
Credit
Funding
3
Ltd.,
Series
2019-3A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.40%)
6.82%
07/02/35
1,2,3
33,250,000
33,279,859
OHA
Credit
Funding
7
Ltd.,
Series
2020-7A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.30%)
6.70%
02/24/37
1,2,3
6,960,000
6,951,258
Palmer
Square
CLO
Ltd.,
Series
2021-4A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.31%
10/15/34
1,2,3
19,500,000
19,340,100
Park
Avenue
Institutional
Advisers
CLO
Ltd.,
Series
2021-1A,
Class
A1A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.65%)
7.07%
01/20/34
1,2,3
61,000,000
61,078,934
PHEAA
Student
Loan
Trust,
Series
2015-1A,
Class
A
(SOFR30A
plus
0.71%)
6.05%
10/25/41
1,2
55,072,866
53,717,254
Progress
Residential
Trust,
Series
2019-SFR3,
Class
F
3.87%
09/17/36
1
4,000,000
3,899,799
Progress
Residential
Trust,
Series
2021-SFR2,
Class
H
5.00%
04/19/38
1
21,439,000
19,688,769
Progress
Residential
Trust,
Series
2021-SFR6,
Class
E2
2.53%
07/17/38
1
3,973,000
3,519,070
Progress
Residential
Trust,
Series
2021-SFR6,
Class
F
3.42%
07/17/38
1
10,437,000
9,312,040
Progress
Residential
Trust,
Series
2021-SFR6,
Class
G
4.00%
07/17/38
1
8,896,000
7,884,140
Progress
Residential
Trust,
Series
2021-SFR7,
Class
F
3.83%
08/17/40
1
23,777,000
19,749,859
Progress
Residential
Trust,
Series
2021-SFR8,
Class
E1
2.38%
10/17/38
1
17,400,000
15,295,331
Progress
Residential
Trust,
Series
2021-SFR8,
Class
E2
2.53%
10/17/38
1
13,425,000
11,907,149
Progress
Residential
Trust,
Series
2021-SFR8,
Class
F
3.18%
10/17/38
1
61,665,000
53,939,368
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
6
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Progress
Residential
Trust,
Series
2021-SFR8,
Class
G
4.01%
10/17/38
1
$
19,482,000
$
17,016,644
Progress
Residential,
Series
2021-SFR1,
Class
E
2.11%
04/17/38
1
3,000,000
2,700,254
Progress
Residential,
Series
2021-SFR3,
Class
E1
2.54%
05/17/26
1
3,055,000
2,754,225
Progress
Residential,
Series
2021-SFR3,
Class
G
4.25%
05/17/26
1
3,190,000
2,883,632
Rad
CLO
18
Ltd.,
Series
2023-18A,
Class
A1
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.95%)
7.34%
04/15/36
1,2,3
29,590,000
29,699,335
Recette
CLO
Ltd.,
Series
2015-1A,
Class
ARR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.34%)
6.76%
04/20/34
1,2,3
32,680,000
32,620,849
Regatta
XIV
Funding
Ltd.,
Series
2018-3A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.11%)
7.49%
10/25/31
1,2,3
1,900,000
1,900,171
Regatta
XX
Funding
Ltd.,
Series
2021-2A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.36%
10/15/34
1,2,3
17,000,000
16,902,420
Rockford
Tower
CLO
Ltd.,
Series
2017-2A,
Class
AR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.28%)
6.68%
10/15/29
1,2,3
9,218,330
9,209,665
Rockford
Tower
CLO
Ltd.,
Series
2017-3A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.45%)
6.87%
10/20/30
1,2,3
3,900,969
3,906,032
Rockford
Tower
CLO
Ltd.,
Series
2019-2A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.28%
08/20/32
1,2,3
20,000,000
19,895,600
Rockford
Tower
CLO
Ltd.,
Series
2020-1A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.54%)
6.96%
01/20/32
1,2,3
23,840,000
23,840,954
Rockford
Tower
CLO
Ltd.,
Series
2020-1A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.06%)
7.48%
01/20/32
1,2,3
4,200,000
4,200,000
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
RRE
15
Loan
Management
DAC,
Series
15X,
Class
A1
(Ireland)
(3-Month
Euribor
plus
1.75%)
5.72%
10/15/35
2,3
$
5,000,000
$
5,535,622
Scholar
Funding
Trust,
Series
2012-B,
Class
A2
(SOFR30A
plus
1.21%)
6.55%
03/28/46
1,2
14,651,313
14,282,297
Sixth
Street
CLO
XVII
Ltd.,
Series
2021-17A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.50%)
6.92%
01/20/34
1,2,3
24,975,000
25,006,069
Sixth
Street
CLO
XX
Ltd.,
Series
2021-20A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.33%
10/20/34
1,2,3
25,000,000
24,932,000
Skyline
Aircraft
Finance
LLC,
Series
2021-1,
Class
A
3.23%
05/10/37
4,5,6
27,023,939
24,440,828
SLC
Student
Loan
Trust,
Series
2004-1,
Class
B
(SOFR90A
plus
0.55%)
5.89%
08/15/31
2
160,966
136,463
SLC
Student
Loan
Trust,
Series
2008-1,
Class
A4A
(SOFR90A
plus
1.86%)
7.21%
12/15/32
2
6,193,896
6,247,129
SLM
Student
Loan
Trust,
Series
2003-12,
Class
B
(SOFR90A
plus
0.85%)
6.20%
12/15/68
2
33,041
31,255
SLM
Student
Loan
Trust,
Series
2003-4,
Class
A5E
(SOFR90A
plus
1.01%)
6.36%
03/15/33
1,2
2,964,699
2,855,999
SLM
Student
Loan
Trust,
Series
2005-9,
Class
A7A
(SOFR90A
plus
0.86%)
6.20%
01/25/41
2
37,072,883
36,389,523
SLM
Student
Loan
Trust,
Series
2006-2,
Class
A6
(SOFR90A
plus
0.43%)
5.77%
01/25/41
2
20,518,219
19,819,276
SLM
Student
Loan
Trust,
Series
2006-8,
Class
A6
(SOFR90A
plus
0.42%)
5.76%
01/25/41
2
22,747,565
22,013,196
SLM
Student
Loan
Trust,
Series
2007-1,
Class
A6
(SOFR90A
plus
0.40%)
5.74%
01/27/42
2
22,295,418
21,583,882
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
7
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
SLM
Student
Loan
Trust,
Series
2007-1,
Class
B
(SOFR90A
plus
0.48%)
5.82%
01/27/42
2
$
2,606,117
$
2,325,973
SLM
Student
Loan
Trust,
Series
2007-6,
Class
B
(SOFR90A
plus
1.11%)
6.45%
04/27/43
2
3,260,221
3,044,491
SLM
Student
Loan
Trust,
Series
2007-7,
Class
A4
(SOFR90A
plus
0.59%)
5.93%
01/25/22
2
163,711
159,325
SLM
Student
Loan
Trust,
Series
2008-2,
Class
B
(SOFR90A
plus
1.46%)
6.80%
01/25/83
2
38,874,000
36,176,630
SLM
Student
Loan
Trust,
Series
2008-3,
Class
A3
(SOFR90A
plus
1.26%)
6.60%
10/25/21
2
10,600
10,369
SLM
Student
Loan
Trust,
Series
2008-3,
Class
B
(SOFR90A
plus
1.46%)
6.80%
04/26/83
2
2,260,000
2,134,716
SLM
Student
Loan
Trust,
Series
2008-4,
Class
A4
(SOFR90A
plus
1.91%)
7.25%
07/25/22
2
1,203,339
1,202,007
SLM
Student
Loan
Trust,
Series
2008-4,
Class
B
(SOFR90A
plus
2.11%)
7.45%
04/25/73
2
8,849,000
8,689,793
SLM
Student
Loan
Trust,
Series
2008-5,
Class
A4
(SOFR90A
plus
1.96%)
7.30%
07/25/23
2
16,753,729
16,742,065
SLM
Student
Loan
Trust,
Series
2008-5,
Class
B
(SOFR90A
plus
2.11%)
7.45%
07/25/73
2
37,199,000
36,651,751
SLM
Student
Loan
Trust,
Series
2008-6,
Class
A4
(SOFR90A
plus
1.36%)
6.70%
07/25/23
2
8,122,143
8,015,320
SLM
Student
Loan
Trust,
Series
2008-6,
Class
B
(SOFR90A
plus
2.11%)
7.45%
07/26/83
2
31,424,000
29,183,714
SLM
Student
Loan
Trust,
Series
2008-7,
Class
B
(SOFR90A
plus
2.11%)
7.45%
07/26/83
2
17,206,000
16,085,889
SLM
Student
Loan
Trust,
Series
2009-3,
Class
A
(SOFR30A
plus
0.86%)
6.20%
01/25/45
1,2
101,751,442
99,987,785
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
SLM
Student
Loan
Trust,
Series
2011-1,
Class
A2
(SOFR30A
plus
1.26%)
6.60%
10/25/34
2
$
1,310,718
$
1,318,982
SLM
Student
Loan
Trust,
Series
2012-1,
Class
A3
(SOFR30A
plus
1.06%)
6.40%
09/25/28
2
413,916
400,734
SLM
Student
Loan
Trust,
Series
2012-2,
Class
A
(SOFR30A
plus
0.81%)
6.15%
01/25/29
2
8,884,114
8,509,682
SLM
Student
Loan
Trust,
Series
2012-3,
Class
A
(SOFR30A
plus
0.76%)
6.10%
12/27/38
2
10,101,094
9,925,487
SLM
Student
Loan
Trust,
Series
2012-7,
Class
A3
(SOFR30A
plus
0.76%)
6.10%
05/26/26
2
15,527,366
14,948,091
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
17,000,000
15,709,870
Symphony
CLO
XXIX
Ltd.,
Series
2021-29A,
Class
B
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.91%)
7.31%
01/15/34
1,2,3
14,500,000
14,432,445
Trestles
CLO
IV
Ltd.,
Series
2021-4A,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.43%)
6.84%
07/21/34
1,2,3
40,000,000
40,030,080
U.S.
Small
Business
Administration,
Series
2022-25F,
Class
1
4.01%
06/01/47
66,698,155
63,007,646
United
Auto
Credit
Securitization
Trust,
Series
2022-2,
Class
R1
0.00%
04/10/29
1
33,600
465,132
Voya
CLO
Ltd.,
Series
2019-4A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
2.01%)
7.41%
01/15/35
1,2,3
17,500,000
17,467,608
Voya
CLO
Ltd.,
Series
2020-2A,
Class
BR
(Cayman
Islands)
(CME
Term
SOFR
3-Month
plus
1.96%)
7.36%
07/19/34
1,2,3
11,825,000
11,837,192
Total
Asset-Backed
Securities
(Cost
$2,885,672,359)
2,890,590,042
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
8
Issues
Maturity
Date
Principal
Amount
Value
BANK
LOANS
—
1
.34
%
*
Communications
—
0
.16
%
CSC
Holdings
LLC,
Term
Loan
B5,
1st
Lien
(LIBOR
plus
2.50%)
7.98%
04/15/27
2
$
6,273,491
$
5,954,609
Frontier
Communications
Holdings
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.86%)
8.62%
10/08/27
2
18,293,331
18,224,731
SBA
Senior
Finance
II
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
1.85%)
7.21%
04/11/25
2
25,994,189
26,066,063
Zayo
Group
Holdings,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.11%)
8.47%
03/09/27
2
42,781,678
36,884,651
(SOFR
plus
4.33%)
9.68%
03/09/27
2
4,170,560
3,595,816
90,725,870
Consumer
Discretionary
—
0
.11
%
City
Brewing
Co.
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.76%)
8.32%
04/05/28
2
8,659,730
6,884,486
Naked
Juice,
LLC,
Term
Loan,
1st
Lien
(Luxembourg)
(SOFR
plus
3.35%)
8.70%
01/24/29
2,3
42,034,646
40,759,315
Term
Loan,
2nd
Lien
(SOFR
plus
6.10%)
11.00%
01/24/30
2
4,735,415
3,856,404
Osmosis
Buyer
Ltd.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.75%)
9.09%
07/31/28
2
1,333,339
1,336,018
(SOFR
plus
4.25%)
9.60%
07/31/28
2
500,000
503,125
Sunshine
Luxembourg
VII
SARL,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.60%)
8.95%
10/01/26
2
9,172,040
9,231,842
62,571,190
Entertainment
—
0
.06
%
Elanco
Animal
Health,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
1.85%)
7.19%
08/01/27
2
31,556,703
31,403,337
William
Morris
Endeavor
Entertainment
LLC,
Term
Loan
B1,
1st
Lien
(SOFR
plus
2.86%)
8.22%
05/16/25
2
2,890,811
2,902,115
34,305,452
Issues
Maturity
Date
Principal
Amount
Value
BANK
LOANS
(continued)
Finance
—
0
.11
%
Avolon
TLB
Borrower
1
U.S.
LLC,
Term
Loan
B6,
1st
Lien
(SOFR
plus
2.50%)
7.86%
06/22/28
2
$
16,410,072
$
16,466,112
Deerfield
Dakota
Holding
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.75%)
9.10%
04/09/27
2
8,348,722
8,286,106
Mozart
Borrower,
LP,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.11%)
8.47%
10/23/28
2
14,654,550
14,744,968
Setanta
Aircraft
Leasing
DAC,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.26%)
7.61%
11/06/28
2
16,790,000
16,862,281
Telenet
Financing
USD
LLC,
Term
Loan
AR,
1st
Lien
(SOFR
plus
2.11%)
7.48%
04/28/28
2
4,630,109
4,613,325
60,972,792
Food
—
0
.01
%
8th
Avenue
Food &
Provisions,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.86%)
9.22%
10/01/25
2
1,104,453
1,062,119
Aramark
Services,
Inc.,
Term
Loan
B6,
1st
Lien
(SOFR
plus
2.61%)
7.97%
06/22/30
2
1,040,832
1,044,568
H-Food
Holdings
LLC,
Term
Loan,
1st
Lien
(SOFR
plus
3.95%)
9.34%
05/23/25
2
2,476,868
1,993,185
4,099,872
Gaming
—
0
.04
%
Churchill
Downs,
Inc.,
Term
Loan
B1,
1st
Lien
(SOFR
plus
2.10%)
7.46%
03/17/28
2
10,647,628
10,660,938
Golden
Nugget,
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.00%)
9.36%
01/26/29
2
2,206,345
2,210,140
Penn
National
Gaming,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.85%)
7.66%
05/03/29
2
3,416,644
3,429,080
Scientific
Games
International,
Inc.,
Term
Loan
B,
1st
Lien
(Canada)
(SOFR
plus
3.10%)
8.46%
04/16/29
2,3
5,260,329
5,283,343
21,583,501
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
9
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
BANK
LOANS
(continued)
Health
Care
—
0
.20
%
Avantor
Funding,
Inc.,
Term
Loan
B5,
1st
Lien
(SOFR
plus
2.35%)
7.71%
11/08/27
2
$
13,284,111
$
13,330,273
Bausch
+
Lomb
Corp.,
Term
Loan
B,
1st
Lien
(Canada)
(SOFR
plus
3.35%)
8.71%
05/10/27
2,3
7,287,350
7,228,176
Term
Loan,
1st
Lien
(Canada)
(SOFR
plus
4.00%)
9.36%
09/14/28
2,3
6,154,836
6,162,530
Genesee
&
Wyoming,
Inc.,
Term
Loan,
1st
Lien
(SOFR
plus
2.10%)
7.45%
12/30/26
2
2,612,792
2,621,963
Grifols
Worldwide
Operations
USA,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.15%)
7.37%
11/15/27
2
27,120,812
27,154,714
ICON
Luxembourg
SARL,
Term
Loan
B,
1st
Lien
(Luxembourg)
(SOFR
plus
2.51%)
7.86%
07/03/28
2,3
3,712,645
3,730,633
Jazz
Financing
Lux
SARL,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.61%)
8.97%
05/05/28
2
32,253,069
32,461,263
Organon
&
Co.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.11%)
7.75%
06/02/28
2
9,592,323
9,628,342
Peraton
Corp.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.85%)
9.21%
02/01/28
2
4,365,511
4,381,881
Perrigo
Investments
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.35%)
7.15%
04/20/29
2
740,625
740,932
PRA
Health
Sciences,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.51%)
7.86%
07/03/28
2
925,008
929,490
Prestige
Brands,
Inc.,
Term
Loan
B5,
1st
Lien
(SOFR
plus
2.11%)
7.47%
07/03/28
2
190,909
192,085
Star
Parent,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.00%)
9.35%
09/28/30
2
6,358,307
6,299,143
114,861,425
Issues
Maturity
Date
Principal
Amount
Value
BANK
LOANS
(continued)
Industrials
—
0
.17
%
Arterrsa
Services LLC,
Term
Loan,
1st
Lien
(Luxembourg)
(SOFR
plus
3.60%)
8.95%
03/06/25
2,3
$
13,431,122
$
12,681,934
ASP
Blade
Holdings,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.26%)
9.61%
10/16/28
2
671,755
602,480
Berry
Global,
Inc.,
Term
Loan
AA,
1st
Lien
(SOFR
plus
1.86%)
7.22%
07/01/29
2
38,292,845
38,384,556
Coherent
Corp.,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.86%)
7.38%
-
7.67%
07/02/29
2
2,205,648
2,218,055
Filtration
Group
Corp.,
Term
Loan,
1st
Lien
(SOFR
plus
4.36%)
9.72%
10/21/28
2
2,964,655
2,981,332
Michaels
Cos.,
Inc.
(The),
Term
Loan,
1st
Lien
(SOFR
plus
4.51%)
9.86%
04/15/28
2
27,534,000
22,963,356
Patriot
Container
Corp.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.85%)
9.21%
03/20/25
2
2,564,657
2,464,738
TransDigm,
Inc.,
Term
Loan
I,
1st
Lien
(SOFR
plus
3.25%)
8.60%
08/24/28
2
15,847,599
15,939,594
98,236,045
Information
Technology
—
0
.23
%
Arches
Buyer,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.35%)
8.71%
12/06/27
2
5,496,763
5,391,803
Athenahealth
Group,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.25%)
8.25%
02/15/29
2
7,055,886
7,034,719
Buzz
Merger
Sub
Ltd.,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.85%)
8.21%
01/29/27
2
4,579,044
4,599,078
Central
Parent
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.00%)
9.35%
07/06/29
2
6,640,922
6,686,213
EagleView
Technology
Co.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.76%)
9.11%
08/14/25
2
12,111,903
11,846,955
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
10
Issues
Maturity
Date
Principal
Amount
Value
BANK
LOANS
(continued)
Information
Technology
(continued)
Entegris,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.50%)
7.85%
-
7.86%
07/06/29
2
$
1,075,070
$
1,080,446
Gainwell
Acquisition
Corp.,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.10%)
8.72%
-
8.99%
10/01/27
2
17,807,828
17,362,633
MH
Sub
I
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.25%)
9.61%
05/03/28
2
3,016,863
2,971,610
NortonLifeLock,
Inc.,
Term
Loan
A2,
1st
Lien
(SOFR
plus
1.60%)
6.96%
09/10/27
2
12,772,874
12,752,948
Open
Text
Corp.,
Term
Loan
B,
1st
Lien
(Canada)
(SOFR
plus
1.85%)
7.21%
05/30/25
2,3
6,687,479
6,706,973
(SOFR
plus
2.85%)
8.21%
01/31/30
2,3
8,158,237
8,186,831
Oracle
Corp.,
Term
Loan
A1,
1st
Lien
(SOFR
plus
0.60%)
6.46%
08/16/27
2
36,838,700
36,746,603
Proofpoint,
Inc.,
Term
Loan
B,
1st
Lien
(Canada)
(SOFR
plus
3.36%)
8.72%
08/31/28
2,3
928,383
929,961
Renaissance
Holding
Corp.,
Term
Loan,
1st
Lien
(SOFR
plus
4.75%)
10.11%
04/05/30
2
2,426,371
2,438,163
Sophia
LP,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.60%)
8.96%
10/07/27
2
1,375,701
1,380,323
Spin
Holdco,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.26%)
9.62%
03/03/28
2
3,167,687
2,796,624
SS&C
Technologies
Holdings,
Inc.,
Term
Loan
B5,
1st
Lien
(SOFR
plus
1.86%)
7.22%
04/16/25
2
2,363,031
2,368,714
131,280,597
Insurance
—
0
.04
%
Acrisure
LLC,
Term
Loan
B1,
1st
Lien
(LIBOR
plus
3.50%)
9.15%
02/15/27
2
19,669,334
19,664,122
Issues
Maturity
Date
Principal
Amount
Value
BANK
LOANS
(continued)
Insurance
(continued)
Asurion
LLC,
Term
Loan
B8,
1st
Lien
(SOFR
plus
3.36%)
8.72%
12/23/26
2
$
1,250,025
$
1,249,331
20,913,453
Materials
—
0
.03
%
Chemours
Co.
(The),
Term
Loan
B3,
1st
Lien
(SOFR
plus
3.50%)
8.86%
08/18/28
2
14,257,993
14,272,251
Mativ
Holdings,
Inc.,
Delayed-Draw
Term
Loan,
1st
Lien
(SOFR
plus
2.60%)
7.96%
05/06/27
2
840,443
823,634
15,095,885
Retail
—
0
.09
%
1011778
BC
Unlimited
Liability
Co.,
Term
Loan
B5,
1st
Lien
(Canada)
(SOFR
plus
2.25%)
7.61%
09/23/30
2,3
8,308,689
8,322,025
American
Airlines,
Inc.,
Term
Loan,
1st
Lien
(SOFR
plus
5.01%)
10.43%
04/20/28
2
294,910
303,412
AmWINS
Group,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
2.36%)
7.72%
02/19/28
2
30,517,514
30,603,421
KFC
Holding
Co.,
Term
Loan
B,
1st
Lien
(SOFR
plus
1.86%)
7.22%
03/15/28
2
8,606,932
8,627,545
47,856,403
Services
—
0
.08
%
Amentum
Government
Services
Holdings
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.11%)
8.63%
01/29/27
2
3,328,794
3,338,147
Artera
Services
LLC,
Term
Loan,
1st
Lien
(SOFR
plus
3.35%)
8.70%
03/06/25
2
13,398,947
12,650,013
Element
Materials
Technology
Group
U.S.
Holdings,
Inc.,
Delayed-Draw
Term
Loan,
1st
Lien
(SOFR
plus
4.35%)
9.70%
07/06/29
2
2,061,696
2,048,810
Term
Loan
B,
1st
Lien
(SOFR
plus
4.35%)
9.70%
07/06/29
2
4,467,008
4,439,089
GTCR
W
Merger
Sub
LLC,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.00%)
8.33%
09/20/30
2
7,253,153
7,293,952
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
11
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
BANK
LOANS
(continued)
Services
(continued)
Pre-Paid
Legal
Services,
Inc.,
Term
Loan,
1st
Lien
(SOFR
plus
3.86%)
9.22%
12/15/28
2
$
4,952,721
$
4,926,422
Prime
Security
Services
Borrower,
LLC,
Term
Loan
A,
1st
Lien
(SOFR
plus
2.35%)
7.69%
03/14/28
2
2,909,430
2,894,883
Safe
Fleet
Holdings,
LLC,
Term
Loan,
1st
Lien
(SOFR
plus
3.85%)
9.21%
02/23/29
2
879,548
883,123
Trans
Union
LLC,
Term
Loan
B6,
1st
Lien
(Luxembourg)
(SOFR
plus
2.36%)
7.72%
12/01/28
2,3
2,498,748
2,510,155
TruGreen
LP,
Term
Loan
B,
1st
Lien
(SOFR
plus
4.10%)
9.46%
11/02/27
2
4,065,802
3,934,680
44,919,274
Transportation
—
0
.01
%
United
Airlines,
Inc.,
Term
Loan
B,
1st
Lien
(SOFR
plus
3.86%)
8.56%
04/21/28
2
3,909,246
3,928,792
Total
Bank
Loans
(Cost
$755,566,428)
751,350,551
CORPORATES
—
24
.27
%
*
Banking
—
6
.18
%
ABN
AMRO
Bank
NV
(Netherlands)
2.47%
12/13/29
1,3,6
7,000,000
6,153,726
Bank
of
America
Corp.
1.73%
07/22/27
6
203,429,000
186,453,509
2.30%
07/21/32
6
2,000
1,635
2.59%
04/29/31
6
2,891,000
2,495,195
2.69%
04/22/32
6
17,534,000
14,823,390
3.42%
12/20/28
6
2,687,000
2,530,753
Bank
of
America
Corp.
(MTN)
1.90%
07/23/31
6
7,795,000
6,381,872
1.92%
10/24/31
6
17,569,000
14,289,871
2.09%
06/14/29
6
252,043,000
222,544,863
2.50%
02/13/31
6
201,000
172,711
3.97%
03/05/29
6
336,000
321,232
(CME
Term
SOFR
3-Month
plus
0.91%)
6.29%
12/01/26
2
50,000,000
48,523,475
Bank
of
America
Corp.,
Series
N
1.66%
03/11/27
6
268,676,000
248,925,399
2.65%
03/11/32
6
3,841,000
3,245,966
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Banking
(continued)
DNB
Bank
ASA
(Norway)
0.86%
09/30/25
1,3,6
$
54,865,000
$
53,002,223
HSBC
Holdings
PLC
(United
Kingdom)
1.59%
05/24/27
3,6
17,349,000
15,919,831
2.01%
09/22/28
3,6
129,962,000
115,775,126
2.21%
08/17/29
3,6
184,140,000
160,849,212
2.80%
05/24/32
3,6
51,553,000
43,084,868
3.97%
05/22/30
3,6
2,650,000
2,478,844
4.76%
06/09/28
3,6
3,116,000
3,073,673
6.33%
03/09/44
3,6
1,000
1,083
JPMorgan
Chase
&
Co.
0.77%
08/09/25
6
41,694,000
40,448,235
0.97%
06/23/25
6
179,824,000
175,680,812
1.58%
04/22/27
6
65,009,000
60,018,354
2.01%
03/13/26
6
2,732,000
2,625,526
2.07%
06/01/29
6
1,295,000
1,149,384
2.58%
04/22/32
6
31,454,000
26,638,358
3.70%
05/06/30
6
2,876,000
2,708,403
4.01%
04/23/29
6
2,671,000
2,572,033
Lloyds
Banking
Group
PLC
(United
Kingdom)
1.63%
05/11/27
3,6
21,375,000
19,607,947
3.57%
11/07/28
3,6
2,073,000
1,951,878
3.75%
03/18/28
3,6
1,441,000
1,380,829
3.87%
07/09/25
3,6
27,225,000
26,973,155
3.90%
03/12/24
3
27,591,000
27,482,193
4.98%
08/11/33
3,6
24,015,000
23,394,451
NatWest
Group
PLC
(United
Kingdom)
4.27%
03/22/25
3,6
35,357,000
35,233,382
PNC
Financial
Services
Group,
Inc.
(The)
5.07%
01/24/34
6
136,758,000
133,926,986
5.58%
06/12/29
6
26,025,000
26,558,333
6.04%
10/28/33
6
6,665,000
6,974,263
6.88%
10/20/34
6
39,210,000
43,583,011
Santander
UK
Group
Holdings
PLC
(United
Kingdom)
1.09%
03/15/25
3,6
232,404,000
229,817,327
1.53%
08/21/26
3,6
6,354,000
5,929,486
1.67%
06/14/27
3,6
42,806,000
38,981,091
2.47%
01/11/28
3,6
20,406,000
18,612,768
3.82%
11/03/28
3,6
2,200,000
2,066,735
U.S.
Bancorp
4.65%
02/01/29
6
70,000
68,939
4.84%
02/01/34
6
142,861,000
137,169,436
5.84%
06/12/34
6
31,060,000
32,090,075
5.85%
10/21/33
6
35,790,000
36,974,215
UBS
Group
AG
(Switzerland)
1.31%
02/02/27
1,3,6
150,785,000
138,156,756
2.19%
06/05/26
1,3,6
42,674,000
40,593,643
2.59%
09/11/25
1,3,6
7,144,000
6,990,450
3.09%
05/14/32
1,3,6
199,847,000
170,448,601
3.87%
01/12/29
1,3,6
17,646,000
16,650,277
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
12
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Banking
(continued)
4.19%
04/01/31
1,3,6
$
7,013,000
$
6,536,049
6.37%
07/15/26
1,3,6
29,465,000
29,862,501
6.54%
08/12/33
1,3,6
154,328,000
164,552,230
9.02%
11/15/33
1,3,6
55,469,000
68,261,538
Wells
Fargo
&
Co.
(MTN)
2.16%
02/11/26
6
49,673,000
47,829,917
2.39%
06/02/28
6
90,860,000
83,260,615
2.88%
10/30/30
6
168,638,000
149,951,717
3.35%
03/02/33
6
167,399,000
146,480,426
3.53%
03/24/28
6
82,210,000
78,481,112
4.90%
07/25/33
6
4,193,000
4,087,094
5.01%
04/04/51
6
50,000
47,610
5.57%
07/25/29
6
11,374,000
11,636,996
3,475,493,594
Communications
—
2
.03
%
C&W
Senior
Financing
DAC
(Ireland)
6.88%
09/15/27
1,3
2,200,000
2,060,960
Cable
One,
Inc.
4.00%
11/15/30
1
39,180,000
32,127,600
Charter
Communications
Operating
LLC/Charter
Communications
Operating
Capital
2.30%
02/01/32
10,000,000
7,968,551��
2.80%
04/01/31
5,987,000
5,060,013
4.80%
03/01/50
122,389,000
94,894,911
5.38%
04/01/38
2,030,000
1,841,748
5.38%
05/01/47
116,802,000
99,939,411
5.75%
04/01/48
33,533,000
29,804,477
Charter
Communications
Operating,
LLC/Charter
Communications
Operating
Capital
5.13%
07/01/49
14,837,000
12,221,979
5.25%
04/01/53
19,522,000
16,375,969
CommScope,
Inc.
4.75%
09/01/29
1
36,103,000
24,640,298
CSC
Holdings
LLC
4.50%
11/15/31
1
835,000
632,279
4.63%
12/01/30
1
4,879,000
2,927,400
5.38%
02/01/28
1
22,749,000
20,116,333
5.75%
01/15/30
1
35,324,000
22,025,927
6.50%
02/01/29
1
79,059,000
69,840,325
7.50%
04/01/28
1
5,318,000
3,983,421
11.25%
05/15/28
1
6,010,000
6,196,386
Frontier
Communications
Holdings
LLC
5.00%
05/01/28
1
458,000
423,537
6.75%
05/01/29
1
2,406,000
2,153,967
8.63%
03/15/31
1
44,398,000
45,306,840
Global
Switch
Finance
BV
(EMTN)
(Netherlands)
1.38%
10/07/30
3
63,777,000
63,827,495
Intelsat
Jackson
Holdings
SA
(Luxembourg)
6.50%
03/15/30
1,3
18,270,000
17,512,650
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Communications
(continued)
Level
3
Financing,
Inc.
10.50%
05/15/30
1
$
12,664,000
$
12,347,400
Northwest
Fiber
LLC/Northwest
Fiber
Finance
Sub,
Inc.
4.75%
04/30/27
1
9,283,000
8,911,680
Qwest
Corp.
7.25%
09/15/25
4,044,000
3,958,065
SES
GLOBAL
Americas
Holdings,
Inc.
5.30%
03/25/44
1
55,170,000
43,164,551
Sprint
Spectrum
Co.
LLC/Sprint
Spectrum
Co.
II
LLC/Sprint
Spectrum
Co.
III
LLC
4.74%
03/20/25
1
29,377,813
29,138,367
5.15%
03/20/28
1
255,930,750
254,912,962
Tencent
Holdings
Ltd.
(Cayman
Islands)
3.68%
04/22/41
1,3
22,760,000
17,916,782
3.84%
04/22/51
1,3
9,246,000
6,940,126
3.98%
04/11/29
1,3
9,225,000
8,769,654
Time
Warner
Cable
LLC
4.50%
09/15/42
18,977,000
14,916,937
5.50%
09/01/41
37,297,000
32,314,764
T-Mobile
USA,
Inc.
2.63%
04/15/26
46,941,000
44,689,405
VZ
Secured
Financing
BV
(Netherlands)
5.00%
01/15/32
1,3
38,556,000
33,096,088
VZ
Secured
Financing
BV,
Series
REGS
(Netherlands)
3.50%
01/15/32
3
30,755,000
30,078,915
Zayo
Group
Holdings,
Inc.
4.00%
03/01/27
1
3,817,000
3,064,267
Ziggo
BV
(Netherlands)
4.88%
01/15/30
1,3
15,255,000
13,674,735
1,139,777,175
Consumer
Discretionary
—
1
.41
%
Altria
Group,
Inc.
3.70%
02/04/51
995,000
703,332
Bacardi
Ltd.
(Bermuda)
5.15%
05/15/38
1,3
12,881,000
12,290,657
5.30%
05/15/48
1,3
8,831,000
8,465,700
BAT
Capital
Corp.
3.73%
09/25/40
3,182,000
2,350,203
4.39%
08/15/37
63,160,000
52,974,224
4.54%
08/15/47
125,435,000
96,514,423
4.76%
09/06/49
25,502,000
20,252,869
BAT
International
Finance
PLC
(EMTN)
(United
Kingdom)
2.25%
09/09/52
3
82,186,000
47,072,282
4.00%
11/23/55
3
8,700,000
6,996,606
Central
Garden
&
Pet
Co.
4.13%
10/15/30
2,200,000
2,004,540
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
13
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Consumer
Discretionary
(continued)
Imperial
Brands
Finance
Netherlands
BV
(EMTN)
(Netherlands)
1.75%
03/18/33
3
$
30,150,000
$
26,178,219
5.25%
02/15/31
3
20,000,000
22,900,536
Imperial
Brands
Finance
PLC
(United
Kingdom)
3.13%
07/26/24
1,3
15,312,000
15,087,057
3.50%
07/26/26
1,3
40,000,000
38,216,692
4.25%
07/21/25
1,3
5,566,000
5,470,823
Imperial
Brands
Finance
PLC
(EMTN)
(United
Kingdom)
8.13%
03/15/24
3
1,758,000
2,249,486
Reynolds
American,
Inc.
5.70%
08/15/35
5,820,000
5,731,499
5.85%
08/15/45
63,022,000
59,502,924
Spectrum
Brands,
Inc.
3.88%
03/15/31
1
12,845,000
11,674,908
Triton
Water
Holdings,
Inc.
6.25%
04/01/29
1
43,280,000
37,924,100
WarnerMedia
Holdings,
Inc.
5.05%
03/15/42
11,935,000
10,536,271
5.14%
03/15/52
304,615,000
262,398,943
5.39%
03/15/62
52,245,000
44,976,168
792,472,462
Consumer
Products
—
0
.01
%
Newell
Brands,
Inc.
6.50%
04/01/46
3,935,000
3,277,039
Diversified
REITs
—
1
.10
%
American
Tower
Corp.
0.88%
05/21/29
8,755,000
8,445,830
0.95%
10/05/30
39,651,000
36,834,847
1.00%
01/15/32
15,023,000
13,618,616
1.88%
10/15/30
13,336,000
10,947,358
2.70%
04/15/31
62,899,000
54,053,842
4.63%
05/16/31
8,000,000
9,322,230
5.65%
03/15/33
14,974,000
15,581,517
CapitaLand
Ascendas
REIT
(EMTN)
(Slovenia)
0.75%
06/23/28
3
14,032,000
13,284,934
Digital
Dutch
Finco
BV
(Netherlands)
1.00%
01/15/32
3
5,000,000
4,404,867
1.25%
02/01/31
3
26,308,000
24,366,469
1.50%
03/15/30
3
25,000,000
24,067,816
Digital
Intrepid
Holding
BV
(Netherlands)
0.63%
07/15/31
3
26,530,000
23,095,367
1.38%
07/18/32
3
22,395,000
20,246,559
GLP
Capital
LP/GLP
Financing
II,
Inc.
3.25%
01/15/32
8,388,000
7,129,800
4.00%
01/15/30
33,680,000
30,800,360
4.00%
01/15/31
7,310,000
6,590,539
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Diversified
REITs
(continued)
5.30%
01/15/29
$
30,710,000
$
30,684,818
5.38%
04/15/26
74,015,000
73,603,639
5.75%
06/01/28
24,498,000
24,737,590
6.75%
12/01/33
6,910,000
7,462,381
VICI
Properties
LP
4.95%
02/15/30
9,655,000
9,387,557
5.13%
05/15/32
77,904,000
76,049,654
VICI
Properties
LP/VICI
Note
Co.,
Inc.
3.75%
02/15/27
1
21,736,000
20,619,422
3.88%
02/15/29
1
44,136,000
40,579,118
4.13%
08/15/30
1
3,627,000
3,315,441
4.50%
09/01/26
1
8,763,000
8,582,394
4.50%
01/15/28
1
19,194,000
18,322,872
616,135,837
Electric
—
1
.55
%
Alliant
Energy
Finance
LLC
5.95%
03/30/29
1
4,120,000
4,291,033
Alliant
Energy
Finance,
LLC
3.60%
03/01/32
1
4,515,000
3,985,013
American
Electric
Power
Co.,
Inc.
2.03%
03/15/24
4,935,000
4,895,566
5.75%
11/01/27
7,930,000
8,215,184
Appalachian
Power
Co.
4.45%
06/01/45
100,000
85,633
Appalachian
Power
Co.,
Series
Z
3.70%
05/01/50
9,450,000
7,110,154
Arizona
Public
Service
Co.
6.35%
12/15/32
20,904,000
22,745,932
Black
Hills
Corp.
4.35%
05/01/33
2,785,000
2,584,828
6.15%
05/15/34
13,020,000
13,637,988
Comision
Federal
de
Electricidad,
Series
REGS
(Mexico)
3.88%
07/26/33
3
4,340,000
3,517,434
Duke
Energy
Carolinas
LLC
4.00%
09/30/42
11,040,000
9,460,961
4.25%
12/15/41
14,683,000
13,006,643
5.35%
01/15/53
13,611,000
14,001,760
5.40%
01/15/54
25,000,000
25,899,550
Duke
Energy
Corp.
3.85%
06/15/34
96,657,000
105,871,314
Duke
Energy
Florida
LLC
5.88%
11/15/33
17,960,000
19,405,514
6.20%
11/15/53
35,000,000
40,148,006
Duke
Energy
Progress
LLC
5.35%
03/15/53
5,000,000
5,094,710
Eversource
Energy
5.95%
02/01/29
8,980,000
9,427,784
FirstEnergy
Corp.,
Series
B
2.25%
09/01/30
3,775,000
3,171,000
FirstEnergy
Transmission
LLC
2.87%
09/15/28
1
50,514,000
45,850,152
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
14
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Electric
(continued)
4.35%
01/15/25
1
$
23,330,000
$
23,129,367
4.55%
04/01/49
1
8,175,000
7,128,358
5.45%
07/15/44
1
24,625,000
23,881,758
Interstate
Power
and
Light
Co.
5.70%
10/15/33
15,980,000
16,841,303
Jersey
Central
Power
&
Light
Co.
2.75%
03/01/32
1
820,000
697,598
4.30%
01/15/26
1
8,645,000
8,463,500
4.70%
04/01/24
1
49,765,000
49,593,824
6.40%
05/15/36
11,630,000
12,516,782
Metropolitan
Edison
Co.
4.00%
04/15/25
1
35,719,000
34,788,028
4.30%
01/15/29
1
18,381,000
17,830,416
Mong
Duong
Finance
Holdings
BV,
Series
REGS
(Netherlands)
5.13%
05/07/29
3
1,683,180
1,569,565
New
England
Power
Co.
5.94%
11/25/52
1
20,670,000
22,078,424
Niagara
Mohawk
Power
Corp.
3.03%
06/27/50
1
3,543,000
2,338,854
4.28%
10/01/34
1
4,375,000
4,008,602
Pennsylvania
Electric
Co.
3.25%
03/15/28
1
125,000
116,613
4.15%
04/15/25
1
28,335,000
27,793,422
5.15%
03/30/26
1
3,000,000
2,997,041
Public
Service
Co.
of
New
Mexico
3.85%
08/01/25
14,390,000
14,022,712
Southwestern
Electric
Power
Co.
3.25%
11/01/51
6,519,000
4,406,268
5.30%
04/01/33
47,200,000
47,369,951
Southwestern
Electric
Power
Co.,
Series
K
2.75%
10/01/26
26,488,000
24,930,010
Southwestern
Electric
Power
Co.,
Series
L
3.85%
02/01/48
19,395,000
14,630,283
TenneT
Holding
BV
(EMTN)
(Netherlands)
2.75%
05/17/42
3
38,400,000
39,660,717
4.50%
10/28/34
3
18,555,000
22,881,410
4.75%
10/28/42
3
61,891,000
80,256,349
Tucson
Electric
Power
Co.
4.85%
12/01/48
8,755,000
7,990,454
874,327,768
Energy
—
1
.02
%
Boston
Gas
Co.
3.76%
03/16/32
1
25,917,000
23,122,561
6.12%
07/20/53
1
13,275,000
13,970,348
Brooklyn
Union
Gas
Co.
(The)
6.39%
09/15/33
1
35,000,000
36,627,174
Ecopetrol
SA
(Colombia)
8.88%
01/13/33
3
5,000,000
5,443,500
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Energy
(continued)
Energy
Transfer
LP
4.90%
03/15/35
$
5,160,000
$
4,918,089
5.00%
05/15/50
390,000
349,364
5.15%
03/15/45
29,389,000
26,919,184
5.35%
05/15/45
4,421,000
4,121,202
5.40%
10/01/47
63,078,000
59,011,899
6.13%
12/15/45
16,239,000
16,469,272
Galaxy
Pipeline
Assets
Bidco
Ltd.
(United
Kingdom)
2.16%
03/31/34
1,3
16,812,966
14,640,416
KazMunayGas
National
Co.
JSC
(Kazakhstan)
3.50%
04/14/33
1,3
1,800,000
1,502,156
KazMunayGas
National
Co.
JSC,
Series
REGS
(Kazakhstan)
3.50%
04/14/33
3
15,883,000
13,254,860
4.75%
04/19/27
3
3,195,000
3,113,511
KazMunayGas
National
Co.
JSC,
Series
REGS
(EMTN)
(Kazakhstan)
5.38%
04/24/30
3
6,856,000
6,815,711
KeySpan
Gas
East
Corp.
5.99%
03/06/33
1
5,530,000
5,646,956
Kinder
Morgan,
Inc.
(GMTN)
7.80%
08/01/31
150,000
172,062
National
Gas
Transmission
PLC,
(EMTN)
(United
Kingdom)
4.25%
04/05/30
3
26,895,000
30,876,908
Pertamina
Persero
PT
(Indonesia)
3.10%
08/27/30
1,3
34,071,000
30,735,449
Petroleos
Mexicanos
(Mexico)
6.35%
02/12/48
3
7,570,000
4,837,870
6.63%
06/15/35
3
26,000
19,894
6.75%
09/21/47
3
40,792,000
26,742,256
Piedmont
Natural
Gas
Co.,
Inc.
2.50%
03/15/31
7,272,000
6,221,768
5.40%
06/15/33
10,545,000
10,881,755
QazaqGaz
NC
JSC,
Series
REGS
(Kazakhstan)
4.38%
09/26/27
3
6,350,000
6,104,928
Rockies
Express
Pipeline
LLC
4.80%
05/15/30
1
5,475,000
5,037,000
4.95%
07/15/29
1
46,101,000
44,190,669
6.88%
04/15/40
1
23,097,000
22,750,545
Southern
Co.
Gas
Capital
Corp.
4.40%
05/30/47
50,000
42,567
5.15%
09/15/32
10,300,000
10,452,834
5.75%
09/15/33
20,800,000
21,876,569
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
15
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Energy
(continued)
Southern
Gas
Corridor
CJSC,
Series
REGS
(Azerbaijan)
6.88%
03/24/26
3
$
16,442,000
$
16,762,619
TC
PipeLines
LP
4.38%
03/13/25
2,198,000
2,169,221
TransCanada
PipeLines
Ltd.
(Canada)
4.63%
03/01/34
3
20,715,000
19,633,936
5.85%
03/15/36
3
2,878,000
2,984,161
TransMontaigne
Partners
LP/TLP
Finance
Corp.
6.13%
02/15/26
34,635,000
31,647,731
Venture
Global
Calcasieu
Pass
LLC
6.25%
01/15/30
1
16,688,000
16,625,420
Venture
Global
LNG,
Inc.
9.50%
02/01/29
1
18,223,000
19,289,708
9.88%
02/01/32
1
8,298,000
8,646,718
574,628,791
Finance
—
3
.78
%
AerCap
Ireland
Capital
DAC/AerCap
Global
Aviation
Trust
(Ireland)
2.45%
10/29/26
3
21,203,000
19,646,812
3.00%
10/29/28
3
73,242,000
66,904,997
3.30%
01/30/32
3
105,825,000
92,229,849
Air
Lease
Corp.
2.20%
01/15/27
23,695,000
21,726,569
3.25%
03/01/25
19,930,000
19,406,982
3.25%
10/01/29
5,000,000
4,526,931
4.25%
09/15/24
5,554,000
5,492,691
4.63%
10/01/28
2,000,000
1,957,364
Air
Lease
Corp.
(MTN)
2.30%
02/01/25
35,195,000
33,981,445
2.88%
01/15/26
10,055,000
9,583,736
3.00%
02/01/30
2,000,000
1,775,554
Alta
Wind
Holdings
LLC
7.00%
06/30/35
1,4,5
2,963,214
2,560,575
Avolon
Holdings
Funding
Ltd.
(Cayman
Islands)
2.53%
11/18/27
1,3
171,755,000
152,322,833
2.88%
02/15/25
1,3
20,755,000
20,078,156
3.25%
02/15/27
1,3
17,880,000
16,567,900
3.95%
07/01/24
1,3
35,499,000
35,081,254
4.38%
05/01/26
1,3
7,405,000
7,179,739
Citigroup,
Inc.
1.46%
06/09/27
6
69,351,000
63,504,873
2.52%
11/03/32
6
59,557,000
49,065,168
2.57%
06/03/31
6
30,100,000
25,727,329
2.67%
01/29/31
6
3,838,000
3,334,980
2.98%
11/05/30
6
10,739,000
9,582,536
3.06%
01/25/33
6
122,230,000
104,502,986
3.98%
03/20/30
6
3,965,000
3,765,143
6.07%
10/30/24
6
672,000
671,821
EverBank
Financial
Corp.
5.75%
07/02/25
4,045,000
3,746,301
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Finance
(continued)
Gaci
First
Investment
Co.
(Cayman
Islands)
5.25%
10/13/32
3
$
6,400,000
$
6,639,187
GGAM
Finance
Ltd.
(Cayman
Islands)
8.00%
02/15/27
1,3
5,313,000
5,452,679
8.00%
06/15/28
1,3
38,889,000
40,055,670
Goldman
Sachs
Group,
Inc.
(The)
1.43%
03/09/27
6
158,414,000
146,125,123
1.54%
09/10/27
6
106,598,000
96,778,562
1.76%
01/24/25
6
7,000,000
6,975,311
1.95%
10/21/27
6
1,337,000
1,224,262
2.38%
07/21/32
6
41,556,000
34,190,771
3.27%
09/29/25
6
27,707,000
27,253,503
3.50%
04/01/25
31,914,000
31,246,139
(SOFR
Rate
plus
0.49%)
5.86%
10/21/24
2
77,465,000
77,378,108
Icahn
Enterprises
LP/Icahn
Enterprises
Finance
Corp.
4.38%
02/01/29
12,415,000
10,428,600
5.25%
05/15/27
7,682,000
6,961,813
6.25%
05/15/26
827,000
792,382
9.75%
01/15/29
1
20,427,000
20,877,517
JPMorgan
Chase
&
Co.
0.56%
02/16/25
6
7,895,000
7,842,209
0.82%
06/01/25
6
30,872,000
30,229,844
1.04%
02/04/27
6
6,590,000
6,058,741
1.56%
12/10/25
6
163,875,000
157,799,841
1.95%
02/04/32
6
55,615,000
45,223,691
2.55%
11/08/32
6
24,664,000
20,622,949
2.95%
02/24/28
6
39,486,000
37,172,942
2.96%
01/25/33
6
12,277,000
10,531,506
Morgan
Stanley
0.79%
05/30/25
6
64,230,000
62,809,072
0.99%
12/10/26
6
24,551,000
22,601,703
1.59%
05/04/27
6
9,248,000
8,523,092
2.48%
09/16/36
6
64,027,000
50,862,484
5.30%
04/20/37
6
1,801,000
1,754,160
Morgan
Stanley
(GMTN)
2.24%
07/21/32
6
52,062,000
42,566,956
Morgan
Stanley
(MTN)
1.16%
10/21/25
6
162,926,000
156,905,251
1.79%
02/13/32
6
3,273,000
2,615,055
1.93%
04/28/32
6
5,425,000
4,354,155
Morgan
Stanley,
Series
I
0.86%
10/21/25
6
14,000,000
13,450,507
Nationwide
Building
Society
(United
Kingdom)
2.97%
02/16/28
1,3,6
89,980,000
83,717,265
4.30%
03/08/29
1,3,6
13,000,000
12,457,342
Park
Aerospace
Holdings
Ltd.
(Cayman
Islands)
5.50%
02/15/24
1,3
26,855,000
26,807,397
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
16
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Finance
(continued)
UBS
Group
AG
(Switzerland)
1.49%
08/10/27
1,3,6
$
13,125,000
$
11,870,454
4.70%
08/05/27
1,3,6
4,285,000
4,222,242
Vonovia
SE
(Georgia)
1.00%
06/16/33
3
1,900,000
1,600,102
1.50%
06/14/41
3
6,600,000
4,767,404
Vonovia
SE,
(EMTN)
(Georgia)
5.00%
11/23/30
3
11,700,000
13,700,708
2,128,371,223
Food
—
0
.77
%
JBS
USA
LUX
SA/JBS
USA
Food
Co./JBS
Luxembourg
Sarl
(Canada)
6.75%
03/15/34
1,3
89,136,000
93,869,635
JBS
USA
LUX
SA/JBS
USA
Food
Co./JBS
USA
Finance,
Inc.
(Canada)
3.75%
12/01/31
3
22,699,000
19,560,741
4.38%
02/02/52
3
63,603,000
47,264,361
5.50%
01/15/30
3
16,622,000
16,351,582
5.75%
04/01/33
3
46,048,000
45,592,409
6.50%
12/01/52
3
7,475,000
7,515,423
Pilgrim's
Pride
Corp.
3.50%
03/01/32
85,672,000
72,643,407
4.25%
04/15/31
1,429,000
1,292,116
6.25%
07/01/33
41,051,000
42,294,321
6.88%
05/15/34
9,395,000
10,152,533
Simmons
Foods,
Inc./Simmons
Prepared
Foods,
Inc./
Simmons
Pet
Food,
Inc./Simmons
Feed
4.63%
03/01/29
1
38,886,000
33,756,049
Smithfield
Foods,
Inc.
2.63%
09/13/31
1
14,435,000
11,229,264
3.00%
10/15/30
1
8,890,000
7,315,944
4.25%
02/01/27
1
24,855,000
23,932,943
432,770,728
Health
Care
—
1
.79
%
1375209
BC
Ltd.
(Canada)
9.00%
01/30/28
1,3
34,837,000
33,995,861
Bayer
U.S.
Finance
II
LLC
2.85%
04/15/25
1
2,805,000
2,705,454
3.95%
04/15/45
1
17,489,000
12,791,758
4.38%
12/15/28
1
84,521,000
80,398,290
4.40%
07/15/44
1
69,196,000
54,764,451
4.63%
06/25/38
1
46,534,000
40,023,710
4.88%
06/25/48
1
44,314,000
37,422,075
5.50%
08/15/25
1
13,932,000
13,792,788
5.50%
07/30/35
1
3,820,000
3,730,744
Bayer
U.S.
Finance
LLC
6.50%
11/21/33
1
17,750,000
18,310,961
6.88%
11/21/53
1
28,175,000
30,018,348
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Health
Care
(continued)
Becton
Dickinson
&
Co.
3.36%
06/06/24
$
1,013,000
$
1,003,262
Catalent
Pharma
Solutions,
Inc.
3.13%
02/15/29
1
5,197,000
4,553,871
3.50%
04/01/30
1
17,205,000
14,986,042
Catalent
Pharma
Solutions,
Inc.,
Series
REGS
2.38%
03/01/28
30,110,000
29,010,208
Centene
Corp.
2.45%
07/15/28
16,858,000
15,061,454
2.50%
03/01/31
1,614,000
1,345,760
3.00%
10/15/30
138,275,000
119,926,389
4.25%
12/15/27
74,814,000
72,144,131
DENTSPLY
SIRONA,
Inc.
3.25%
06/01/30
6,506,000
5,754,103
Embecta
Corp.
6.75%
02/15/30
1
21,244,000
18,580,971
Fresenius
Finance
Ireland
PLC
(EMTN)
(Ireland)
0.88%
10/01/31
3
7,910,000
7,093,426
Fresenius
Medical
Care
U.S.
Finance
III,
Inc.
1.88%
12/01/26
1
67,592,000
61,075,189
Fresenius
SE
&
Co.
KGaA
(EMTN)
(Georgia)
2.88%
05/24/30
3
8,000,000
8,468,162
Grifols
SA,
Series
REGS
(Spain)
3.88%
10/15/28
3
20,825,000
21,087,845
HCA,
Inc.
2.38%
07/15/31
563,000
466,014
4.38%
03/15/42
15,000,000
12,737,568
5.25%
06/15/26
20,209,000
20,315,445
5.25%
06/15/49
106,646,000
99,273,145
5.88%
02/15/26
3,915,000
3,939,311
Illumina,
Inc.
2.55%
03/23/31
200,000
169,294
5.75%
12/13/27
4,480,000
4,607,232
Kedrion
SpA
(Italy)
6.50%
09/01/29
1,3
25,064,000
22,933,560
Medtronic
Global
Holdings
SCA
(Luxembourg)
3.38%
10/15/34
3
7,195,000
8,031,728
ModivCare
Escrow
Issuer,
Inc.
5.00%
10/01/29
1
40,329,000
33,033,517
Premier
Health
Partners,
Series
G
2.91%
11/15/26
2,229,000
2,038,118
Revvity,
Inc.
0.85%
09/15/24
12,935,000
12,496,494
Royalty
Pharma
PLC
(United
Kingdom)
1.75%
09/02/27
3
1,295,000
1,162,136
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
17
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Health
Care
(continued)
Sartorius
Finance
BV
(Netherlands)
4.50%
09/14/32
3
$
19,700,000
$
22,701,759
4.88%
09/14/35
3
8,100,000
9,463,578
Teva
Pharmaceutical
Finance
Netherlands
II
BV
(Netherlands)
7.88%
09/15/31
3
5,840,000
7,324,802
Universal
Health
Services,
Inc.
1.65%
09/01/26
45,000,000
40,991,787
1,009,730,741
Health
Care
REITs
—
0
.21
%
Healthcare
Reality
Holdings
LP
2.00%
03/15/31
6,588,000
5,277,221
3.10%
02/15/30
35,467,000
31,101,690
Healthcare
Realty
Holdings
LP
2.05%
03/15/31
17,654,000
13,794,850
2.40%
03/15/30
29,082,000
23,915,860
3.63%
01/15/28
25,359,000
23,408,948
3.88%
05/01/25
9,381,000
9,126,494
Physicians
Realty
LP
2.63%
11/01/31
4,632,000
3,814,754
3.95%
01/15/28
1,245,000
1,186,151
4.30%
03/15/27
8,717,000
8,497,580
120,123,548
Industrial
REITs
—
0
.21
%
LXP
Industrial
Trust
6.75%
11/15/28
4,015,000
4,226,439
Prologis
Euro
Finance
LLC
0.50%
02/16/32
19,021,000
16,478,196
0.63%
09/10/31
3,200,000
2,892,403
1.00%
02/06/35
13,648,000
11,277,081
1.00%
02/16/41
5,698,000
3,988,627
Prologis
Euro
Finance
LLC,
(EMTN)
4.25%
01/31/43
30,458,000
34,016,606
SELP
Finance
SARL
(Luxembourg)
0.88%
05/27/29
3
46,714,000
44,029,789
116,909,141
Industrials
—
0
.78
%
Ardagh
Packaging
Finance
PLC/Ardagh
Holdings
USA,
Inc.
(Canada)
5.25%
08/15/27
1,3
66,603,000
51,897,720
Artera
Services
LLC
9.03%
12/04/25
1
26,315,000
24,983,650
Berry
Global,
Inc.
1.50%
01/15/27
1
3,110,000
3,224,908
1.57%
01/15/26
42,992,000
39,989,287
1.65%
01/15/27
16,949,000
15,272,010
4.88%
07/15/26
1
82,131,000
80,761,893
Boeing
Co.
(The)
1.43%
02/04/24
151,800,000
151,233,220
4.88%
05/01/25
19,940,000
19,858,252
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Industrials
(continued)
General
Electric
Co.
(MTN)
(CME
Term
SOFR
3-Month
plus
0.64%)
6.03%
05/05/26
2
$
1,785,000
$
1,774,889
(CME
Term
SOFR
3-Month
plus
0.74%)
6.12%
08/15/36
2
11,550,000
10,548,899
L3Harris
Technologies,
Inc.
3.95%
05/28/24
12,890,000
12,798,643
OT
Merger
Corp.
7.88%
10/15/29
1
33,842,000
20,522,356
Trivium
Packaging
Finance
BV
(Netherlands)
8.50%
08/15/27
1,3
7,578,000
7,442,733
440,308,460
Information
Technology
—
0
.24
%
Fidelity
National
Information
Services,
Inc.
4.50%
08/15/46
4,055,000
3,439,034
NCR
Voyix
Corp.
5.25%
10/01/30
1
12,000
11,036
Open
Text
Corp.
(Canada)
6.90%
12/01/27
1,3
3,061,000
3,175,787
Oracle
Corp.
3.60%
04/01/40
25,483,000
20,341,327
3.65%
03/25/41
34,958,000
27,856,905
3.85%
07/15/36
35,336,000
30,820,497
3.95%
03/25/51
20,067,000
15,791,330
4.13%
05/15/45
26,924,000
22,085,606
6.50%
04/15/38
7,870,000
8,697,038
132,218,560
Insurance
—
1
.10
%
Acrisure
LLC/Acrisure
Finance,
Inc.
6.00%
08/01/29
1
2,000,000
1,830,000
7.00%
11/15/25
1
2,012,000
2,009,988
Athene
Global
Funding
1.61%
06/29/26
1
61,330,000
55,602,032
1.99%
08/19/28
1
11,040,000
9,546,923
(SOFR
Index
plus
0.70%)
6.10%
05/24/24
1,2
146,955,000
146,864,211
Farmers
Exchange
Capital
7.05%
07/15/28
1
13,283,000
13,615,651
7.20%
07/15/48
1
18,415,000
18,669,488
Farmers
Exchange
Capital
II
6.15%
11/01/53
1,6
59,331,000
56,073,618
Farmers
Exchange
Capital
III
5.45%
10/15/54
1,6
80,605,000
68,819,084
Farmers
Insurance
Exchange
4.75%
11/01/57
1,6
23,060,000
17,786,253
Metropolitan
Life
Global
Funding
I
3.30%
03/21/29
1
16,005,000
14,885,683
4.30%
08/25/29
1
6,940,000
6,757,072
Nationwide
Mutual
Insurance
Co.
7.94%
12/15/24
1,6
42,571,000
42,535,070
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
18
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Insurance
(continued)
Protective
Life
Global
Funding
1.90%
07/06/28
1
$
56,210,000
$
49,938,052
Teachers
Insurance
&
Annuity
Association
of
America
3.30%
05/15/50
1
87,665,000
64,796,128
4.27%
05/15/47
1
3,496,000
3,038,913
4.38%
09/15/54
1,6
35,635,000
35,079,368
Willis
North
America,
Inc.
5.35%
05/15/33
11,025,000
11,153,224
619,000,758
Materials
—
0
.34
%
Corp.
Nacional
del
Cobre
de
Chile,
Series
REGS
(Chile)
5.13%
02/02/33
3
6,810,000
6,610,862
Indonesia
Asahan
Aluminium
PT/Mineral
Industri
Indonesia
Persero
PT,
Series
REGS
(Indonesia)
5.45%
05/15/30
3
14,861,000
15,034,874
International
Flavors
&
Fragrances,
Inc.
1.83%
10/15/27
1
1,615,000
1,416,600
2.30%
11/01/30
1
68,565,000
56,751,324
3.27%
11/15/40
1
10,351,000
7,425,104
3.47%
12/01/50
1
9,947,000
6,810,037
5.00%
09/26/48
104,037,000
88,625,658
SK
Invictus
Intermediate
II
SARL
(Luxembourg)
5.00%
10/30/29
1,3
9,122,000
7,923,369
190,597,828
Office
REITs
—
0
.22
%
Hudson
Pacific
Properties
LP
3.25%
01/15/30
51,605,000
38,804,082
3.95%
11/01/27
24,750,000
20,747,870
4.65%
04/01/29
22,120,000
17,970,874
5.95%
02/15/28
20,250,000
18,161,181
Kilroy
Realty
LP
2.50%
11/15/32
3,705,000
2,818,319
2.65%
11/15/33
35,363,000
26,854,404
125,356,730
Real
Estate
Investment
Trust
(REIT)
—
0
.23
%
American
Tower
Corp.
5.55%
07/15/33
30,425,000
31,565,528
Annington
Funding
PLC
(EMTN)
(United
Kingdom)
2.65%
07/12/25
3
1,375,000
1,676,528
3.18%
07/12/29
3
10,509,000
11,997,629
Annington
Funding
PLC,
(EMTN)
(United
Kingdom)
3.69%
07/12/34
3
1,100,000
1,188,334
Crown
Castle,
Inc.
2.10%
04/01/31
23,220,000
18,931,075
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Real
Estate
Investment
Trust
(REIT)
(continued)
Realty
Income
Corp.
5.13%
07/06/34
$
48,850,000
$
59,690,293
Vonovia
Finance
BV
(Netherlands)
2.25%
04/07/30
3
4,500,000
4,479,304
129,528,691
Residential
REITs
—
0
.15
%
American
Homes
4
Rent
LP
3.38%
07/15/51
17,118,000
11,802,804
Invitation
Homes
Operating
Partnership
LP
2.00%
08/15/31
30,593,000
24,384,664
2.70%
01/15/34
40,308,000
32,435,362
4.15%
04/15/32
4,798,000
4,413,083
5.50%
08/15/33
13,766,000
13,798,521
86,834,434
Retail
—
0
.13
%
Ferrellgas
LP/Ferrellgas
Finance
Corp.
5.88%
04/01/29
1
2,000,000
1,894,200
Fertitta
Entertainment,
LLC/Fertitta
Entertainment
Finance
Co.,
Inc.
6.75%
01/15/30
1
19,535,000
17,259,563
Michaels
Cos.,
Inc.
(The)
7.88%
05/01/29
1
83,531,000
52,679,243
Raising
Cane's
Restaurants
LLC
9.38%
05/01/29
1
2,843,000
3,035,525
74,868,531
Retail
REITs
—
0
.03
%
Federal
Realty
OP
LP
7.48%
08/15/26
18,825,000
19,577,728
Services
—
0
.20
%
Adtalem
Global
Education,
Inc.
5.50%
03/01/28
1
3,792,000
3,680,565
Global
Payments,
Inc.
4.88%
03/17/31
26,568,000
30,865,522
5.95%
08/15/52
18,786,000
19,240,622
Upbound
Group,
Inc.
6.38%
02/15/29
1
3,646,000
3,437,339
WASH
Multifamily
Acquisition,
Inc.
5.75%
04/15/26
1
4,017,000
3,905,104
Waste
Pro
USA,
Inc.
5.50%
02/15/26
1
34,983,000
33,710,668
Worldline
SA
(France)
0.00%
07/30/26
3,7
160,500
15,957,733
110,797,553
Specialized
REITs
—
0
.35
%
Annington
Funding
PLC
(EMTN)
(United
Kingdom)
2.31%
10/06/32
3
45,583,000
45,367,369
2.92%
10/06/51
3
3,500,000
2,815,395
3.94%
07/12/47
3
6,700,000
6,676,163
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
19
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Specialized
REITs
(continued)
Blackstone
Property
Partners
Europe
Holdings
SARL
(EMTN)
(Luxembourg)
1.00%
05/04/28
3
$
13,651,000
$
12,666,664
1.63%
04/20/30
3
13,650,000
12,096,833
1.75%
03/12/29
3
42,369,000
39,484,487
Extra
Space
Storage
LP
2.20%
10/15/30
1,090,000
908,248
2.35%
03/15/32
48,777,000
39,795,110
2.40%
10/15/31
14,348,000
11,840,725
2.55%
06/01/31
4,000,000
3,329,510
3.88%
12/15/27
10,980,000
10,494,162
3.90%
04/01/29
1,430,000
1,358,220
Public
Storage
Operating
Co.
0.50%
09/09/30
12,430,000
11,387,089
198,219,975
Transportation
—
0
.37
%
American
Airlines
Pass-Through
Trust,
Series
2017-2,
Class
AA
3.35%
10/15/29
14,007,925
12,757,120
Delta
Air
Lines
Pass-Through
Trust,
Series
2020-1,
Class
AA
2.00%
06/10/28
71,280,357
63,391,752
JetBlue
Airways
Pass-Through
Trust,
Series
2020-1,
Class
A
4.00%
11/15/32
8,559,289
7,827,815
U.S.
Airways
Pass-Through
Trust,
Series
2012-1,
Class
A
5.90%
10/01/24
20,626,610
20,822,713
U.S.
Airways
Pass-Through
Trust,
Series
2012-2,
Class
A
4.63%
06/03/25
5,795
5,659
United
Airlines
Pass-Through
Trust,
Series
2013-1,
Class
A
4.30%
08/15/25
10,423,261
10,108,505
United
Airlines
Pass-Through
Trust,
Series
2018-1,
Class
AA
3.50%
03/01/30
26,527,227
24,184,817
United
Airlines
Pass-Through
Trust,
Series
2023-1,
Class
A
5.80%
01/15/36
66,235,000
67,288,331
206,386,712
Water
—
0
.07
%
Suez
SACA
(EMTN)
(France)
2.88%
05/24/34
3
3,200,000
3,304,756
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Water
(continued)
Thames
Water
Utilities
Finance
PLC
(EMTN)
(United
Kingdom)
4.38%
01/18/31
3
$
33,425,000
$
35,005,803
38,310,559
Total
Corporates
(Cost
$14,238,899,162)
13,656,024,566
FOREIGN
GOVERNMENT
OBLIGATIONS
—
0
.59
%
Foreign
Government
Obligations
—
0
.59
%
Brazilian
Government
International
Bond
(Brazil)
3.88%
06/12/30
3
17,393,000
15,945,902
6.00%
10/20/33
3
20,120,000
20,152,192
Chile
Government
International
Bond
(Chile)
3.50%
01/31/34
3
4,300,000
3,844,469
Colombia
Government
International
Bond
(Colombia)
3.00%
01/30/30
3
5,971,000
5,040,718
3.13%
04/15/31
3
12,070,000
9,856,837
4.50%
03/15/29
3
3,659,000
3,431,410
8.00%
04/20/33
3
1,670,000
1,829,485
Dominican
Republic
International
Bond
(Dominican
Republic)
4.50%
01/30/30
1,3
25,047,000
23,137,166
Finance
Department
Government
of
Sharjah
(United
Arab
Emirates)
6.50%
11/23/32
1,3
6,705,000
7,053,861
Guatemala
Government
Bond,
Series
REGS
(Guam)
5.25%
08/10/29
3
19,100,000
18,770,525
Hungary
Government
International
Bond
(Hungary)
2.13%
09/22/31
1,3
17,300,000
13,989,489
Mexico
Government
International
Bond
(Mexico)
2.66%
05/24/31
3
31,289,000
26,527,715
3.50%
02/12/34
3
14,767,000
12,547,520
4.75%
04/27/32
3
2,350,000
2,267,750
4.88%
05/19/33
3
10,300,000
9,955,980
6.35%
02/09/35
3
2,690,000
2,826,652
Oman
Government
International
Bond,
Series
REGS
(Oman)
5.63%
01/17/28
3
10,500,000
10,723,650
6.75%
10/28/27
3
2,800,000
2,961,336
Panama
Government
International
Bond
(Panama)
2.25%
09/29/32
3
20,627,000
15,125,392
3.16%
01/23/30
3
18,249,000
15,591,946
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
20
Issues
Maturity
Date
Principal
Amount
Value
FOREIGN
GOVERNMENT
OBLIGATIONS
(continued)
Foreign
Government
Obligations
(continued)
Paraguay
Government
International
Bond,
Series
REGS
(Papua
New
Guinea)
4.95%
04/28/31
3
$
14,150,000
$
13,855,680
Peruvian
Government
International
Bond
(Peru)
2.78%
01/23/31
3
27,300,000
23,841,636
Republic
of
Poland
Government
International
Bond
(Poland)
4.88%
10/04/33
3
18,565,000
18,867,053
Republic
of
South
Africa
Government
International
Bond
(South
Africa)
4.30%
10/12/28
3
1,556,000
1,458,844
4.85%
09/30/29
3
9,814,000
9,227,515
5.88%
06/22/30
3
5,535,000
5,385,382
5.88%
04/20/32
3
10,600,000
10,073,180
Romanian
Government
International
Bond
(Romania)
6.63%
02/17/28
1,3
2,840,000
2,944,149
Romanian
Government
International
Bond,
Series
REGS
(Romania)
3.00%
02/14/31
3
26,000,000
22,184,396
Total
Foreign
Government
Obligations
(Cost
$351,737,667)
329,417,830
MORTGAGE-BACKED
—
52
.54
%
**
Non-Agency
Commercial
Mortgage-Backed
—
3
.76
%
1301
Properties
Owner
LP
2.08%
09/07/25
4,5
47,327,027
47,019,401
Banc
of
America
Merrill
Lynch
Commercial
Mortgage
Trust,
Series
2018-PARK,
Class
A
4.09%
08/10/38
1,6
122,930,000
113,641,262
BGME
Trust,
Series
2021-VR,
Class
A
2.99%
01/10/43
1,6
20,000,000
15,657,692
BGME
Trust,
Series
2021-VR,
Class
B
2.99%
01/10/43
1,6
32,137,000
23,382,940
Blackstone
Industrial
Portfolio
-
Proj
Foxtrot
2.23%
04/09/24
4,5,6
80,266,303
78,227,539
BMO
Mortgage
Trust,
Series
2022-C2,
Class
A5
4.81%
07/15/54
6
21,624,000
21,448,471
BX
Commercial
Mortgage
Trust,
Series
2019-XL,
Class
A
(CME
Term
SOFR
1-Month
plus
1.03%)
6.40%
10/15/36
1,2
56,684,049
56,548,797
BX
Commercial
Mortgage
Trust,
Series
2020-VIV4,
Class
A
2.84%
03/09/44
1
180,165,000
154,207,960
BX
Commercial
Mortgage
Trust,
Series
2022-CSMO,
Class
A
(CME
Term
SOFR
1-Month
plus
2.11%)
7.48%
06/15/27
1,2
132,924,000
133,223,632
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
BX
Commercial
Mortgage
Trust,
Series
2022-CSMO,
Class
B
(CME
Term
SOFR
1-Month
plus
3.14%)
8.50%
06/15/27
1,2
$
90,170,000
$
90,475,066
BX
Trust,
Series
2019-OC11,
Class
A
3.20%
12/09/41
1
42,270,000
37,348,262
BXHPP
Trust,
Series
2021-FILM,
Class
A
(CME
Term
SOFR
1-Month
plus
0.76%)
6.13%
08/15/36
1,2
57,000,000
54,219,459
BXHPP
Trust,
Series
2021-FILM,
Class
B
(CME
Term
SOFR
1-Month
plus
1.01%)
6.38%
08/15/36
1,2
16,602,000
15,242,595
BXHPP
Trust,
Series
2021-FILM,
Class
C
(CME
Term
SOFR
1-Month
plus
1.21%)
6.58%
08/15/36
1,2
15,057,000
13,539,260
BXHPP
Trust,
Series
2021-FILM,
Class
D
(CME
Term
SOFR
1-Month
plus
1.61%)
6.98%
08/15/36
1,2
11,500,000
10,014,213
CALI
Mortgage
Trust,
Series
2019-101C,
Class
XA
(IO)
0.30%
03/10/39
1,6
272,551,000
3,948,405
Capital
Funding
Mortgage
Trust,
Series
2021-M01,
Class
A
(LIBOR
USD
1-Month
plus
2.25%)
7.71%
12/19/24
1,2
90,174,649
82,121,836
CENT
Trust,
Series
2023-CITY,
Class
A
(CME
Term
SOFR
1-Month
plus
2.62%)
7.98%
09/15/38
1,2
88,590,000
89,136,167
Century
Plaza
Towers,
Series
2019-CPT,
Class
A
2.87%
11/13/39
1
27,645,000
23,329,804
Citigroup
Commercial
Mortgage
Trust,
Series
2020-555,
Class
A
2.65%
12/10/41
1
5,000,000
4,133,206
Citigroup
Commercial
Mortgage
Trust,
Series
2022-GC48,
Class
A5
4.58%
05/15/54
6
26,458,000
25,847,893
Commercial
Mortgage
Pass-Through
Certificates,
Series
2023-BRND,
Class
A
7.12%
07/10/28
1,6
46,000,000
47,985,682
Commercial
Mortgage
Trust,
Series
2013-CR12,
Class
A4
4.05%
10/10/46
91,982
88,975
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2019-ICE4,
Class
A
(CME
Term
SOFR
1-Month
plus
1.03%)
6.39%
05/15/36
1,2
16,359,300
16,336,609
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
21
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
Credit
Suisse
Mortgage
Capital
Trust,
Series
2019-ICE4,
Class
D
(CME
Term
SOFR
1-Month
plus
1.65%)
7.01%
05/15/36
1,2
$
9,975,183
$
9,944,548
CSMC
2022-MDR
A
7.12%
08/15/25
6
85,000,000
84,504,837
DC
Office
Trust,
Series
2019-MTC,
Class
A
2.97%
09/15/45
1
31,135,000
25,742,488
Fontainebleau
Miami
Beach
Trust,
Series
2019-FBLU,
Class
A
3.14%
12/10/36
1
20,000,000
19,388,255
Frost
CMBS
DAC,
Series
2021-1X,
Class
EUA
(Ireland)
(3-Month
Euribor
plus
1.15%)
5.15%
11/20/33
2,3
3,008,139
3,170,844
Hudson
Yards
Mortgage
Trust,
Series
2019-30HY,
Class
A
3.23%
07/10/39
1
84,915,000
75,285,902
Hudson
Yards
Mortgage
Trust,
Series
2019-55HY,
Class
A
2.94%
12/10/41
1,6
81,025,000
70,242,063
KNDL
Mortgage
Trust,
Series
2019-KNSQ,
Class
E
(CME
Term
SOFR
1-Month
plus
2.00%)
7.36%
05/15/36
1,2
26,449,000
26,112,895
Last
Mile
Logistics
Pan
Euro
Finance
DAC,
Series
1X,
Class
A
(Ireland)
(3-Month
Euribor
plus
0.75%)
4.74%
08/17/33
2,3
5,917,625
6,383,408
Last
Mile
Securities
PE
2021
DAC,
Series
2021-1X,
Class
A1
(Ireland)
(3-Month
Euribor
plus
0.90%)
4.89%
08/17/31
2,3
5,361,896
5,782,635
LoanCore
Issuer
Ltd.,
Series
2021-CRE5,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
1-Month
plus
1.41%)
6.78%
07/15/36
1,2,3
27,225,739
26,960,721
MF1
Ltd.,
Series
2022-FL8,
Class
A
(Cayman
Islands)
(CME
Term
SOFR
1-Month
plus
1.35%)
6.71%
02/19/37
1,2,3
25,000,000
24,700,395
MKT
Mortgage
Trust,
Series
2020-525M,
Class
A
2.69%
02/12/40
1
8,500,000
6,547,898
One
Bryant
Park
Trust,
Series
2019-OBP,
Class
A
2.52%
09/15/54
1
147,667,000
125,166,860
Project
Colt
(Acquired
03/08/2022,
cost
$100,000,000)
7.05%
03/10/27
4,5,6
100,000,000
99,180,000
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
Queens
Center
Mortgage
Trust,
Series
2013-QCA,
Class
A
3.28%
01/11/37
1
$
9,170,000
$
8,533,002
SFAVE
Commercial
Mortgage
Securities
Trust,
Series
2015-5AVE,
Class
A1
3.87%
01/05/43
1,6
56,465,000
40,328,116
SFAVE
Commercial
Mortgage
Securities
Trust,
Series
2015-5AVE,
Class
A2B
4.14%
01/05/43
1,6
8,710,000
6,212,601
SHOW
2022-BIZ
A
Series
2022-BIZ,
Class
A
(CME
Term
SOFR
1-Month
plus
2.98%)
8.34%
01/15/27
1,2
68,000,000
63,815,188
SREIT
Trust,
Series
2021-PALM,
Class
G
(CME
Term
SOFR
1-Month
plus
3.73%)
9.09%
10/15/34
1,2
40,000,000
37,951,452
Taurus
UK
DAC,
Series
2021-UK1A,
Class
A
(Ireland)
(SONIA
plus
0.85%)
6.07%
05/17/31
1,2,3
4,765,002
5,927,586
Taurus
UK
DAC,
Series
2021-UK1X,
Class
C
(Ireland)
(SONIA
plus
1.65%)
6.87%
05/17/31
2,3
975,833
1,193,300
Taurus
UK
DAC,
Series
2021-UK1X,
Class
D
(Ireland)
(SONIA
plus
2.60%)
7.82%
05/17/31
2,3
5,618,732
6,877,323
Taurus
UK
DAC,
Series
2021-UK1X,
Class
E
(Ireland)
(SONIA
plus
3.65%)
8.87%
05/17/31
2,3
5,761,682
7,005,753
Taurus
UK
DAC,
Series
2021-UK4A,
Class
B
(Ireland)
(SONIA
plus
1.50%)
6.72%
08/17/31
1,2,3
1,866,056
2,286,743
Taurus
UK
DAC,
Series
2021-UK4X,
Class
A
(Ireland)
(SONIA
plus
0.95%)
6.17%
08/17/31
2,3
11,989,407
14,991,650
Taurus
UK
DAC,
Series
2021-UK4X,
Class
D
(Ireland)
(SONIA
plus
2.10%)
7.32%
08/17/31
2,3
4,070,453
4,932,278
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
22
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
Taurus
UK
DAC,
Series
2021-UK5,
Class
B
(Ireland)
(SONIA
plus
1.65%)
6.87%
05/17/31
2,3
$
3,094,000
$
3,867,428
Westfield
Galleria
at
Roseville
8.40%
03/29/25
4,5
141,900,000
141,616,200
2,111,777,495
Non-Agency
Mortgage-Backed
—
9
.47
%
Aames
Mortgage
Trust,
Series
2002-1,
Class
A3
(STEP-reset
date
02/25/24)
7.40%
06/25/32
18,344
17,818
Accredited
Mortgage
Loan
Trust,
Series
2007-1,
Class
A4
(CME
Term
SOFR
1-Month
plus
0.33%)
5.69%
02/25/37
2
858,800
855,655
ACE
Securities
Corp.
Home
Equity
Loan
Trust,
Series
2004-IN1,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.75%)
6.11%
05/25/34
2
119,285
110,643
ACE
Securities
Corp.
Home
Equity
Loan
Trust,
Series
2006-HE3,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.41%)
5.77%
06/25/36
2
2,329,064
1,665,180
ACE
Securities
Corp.
Home
Equity
Loan
Trust,
Series
2007-ASP2,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.49%)
5.85%
06/25/37
2
25,521,947
18,622,778
Adjustable
Rate
Mortgage
Trust,
Series
2005-10,
Class
6A1
(CME
Term
SOFR
1-Month
plus
0.65%)
6.01%
01/25/36
2
133,519
121,493
Adjustable
Rate
Mortgage
Trust,
Series
2007-3,
Class
2A1
6.26%
11/25/37
1,6
25,242,504
17,404,669
Ajax
Mortgage
Loan
Trust,
Series
2019-F,
Class
A1
(STEP-reset
date
01/25/24)
2.86%
07/25/59
1
98,954
94,687
Alternative
Loan
Trust,
Series
2004-30CB,
Class
1A6
5.50%
02/25/35
24,134,971
22,289,456
Alternative
Loan
Trust,
Series
2004-J6,
Class
2A1
6.50%
11/25/31
1,934
1,883
Alternative
Loan
Trust,
Series
2005-76,
Class
2A1
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.00%)
6.01%
02/25/36
2
29,281,797
26,409,194
Alternative
Loan
Trust,
Series
2005-84,
Class
1A1
4.52%
02/25/36
6
25,032
22,643
Alternative
Loan
Trust,
Series
2006-HY13,
Class
4A1
4.17%
02/25/37
6
668,637
578,186
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Alternative
Loan
Trust,
Series
2007-J1,
Class
2A1
(CME
Term
SOFR
1-Month
plus
0.31%)
5.67%
03/25/37
2
$
533,838
$
137,029
American
Home
Mortgage
Assets
Trust,
Series
2006-3,
Class
2A12
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.15%)
6.16%
10/25/46
2
30,559,522
21,394,629
American
Home
Mortgage
Assets
Trust,
Series
2007-1,
Class
A1
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.70%)
5.71%
02/25/47
2
43,879,265
17,122,883
American
Home
Mortgage
Assets
Trust,
Series
2007-2,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.24%)
5.60%
03/25/47
2
23,328,674
20,877,022
American
Home
Mortgage
Investment
Trust,
Series
2004-3,
Class
2A
(TSFR6M
plus
1.93%)
4.67%
10/25/34
2
2,967,463
2,895,676
Argent
Securities,
Inc.,
Asset-Backed
Pass-Through
Certificates,
Series
2005-W2,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.85%)
6.21%
10/25/35
2
72,876
71,049
Argent
Securities,
Inc.,
Asset-Backed
Pass-Through
Certificates,
Series
2005-W3,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.77%)
6.13%
11/25/35
2
11,489,804
11,088,072
Asset-Backed
Funding
Certificates,
Series
2006-OPT3,
Class
A3B
(CME
Term
SOFR
1-Month
plus
0.43%)
5.79%
11/25/36
2
39,349,212
15,600,062
Asset-Backed
Funding
Certificates,
Series
2007-WMC1,
Class
A2A
(CME
Term
SOFR
1-Month
plus
0.86%)
6.22%
06/25/37
2
20,486,438
15,706,133
Asset-Backed
Funding
Certificates,
Series
2007-WMC1,
Class
A2B
(CME
Term
SOFR
1-Month
plus
1.11%)
6.47%
06/25/37
2
14,966,061
11,948,721
Asset-Backed
Securities
Corp.
Home
Equity
Loan
Trust,
Series
2006-HE6,
Class
A5
(CME
Term
SOFR
1-Month
plus
0.57%)
5.93%
11/25/36
2
12,555,838
12,045,547
Banc
of
America
Funding
Trust,
Series
2003-2,
Class
1A1
6.50%
06/25/32
10,273
10,222
Banc
of
America
Funding
Trust,
Series
2006-D,
Class
3A1
4.39%
05/20/36
6
2,444,480
2,243,441
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
23
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Banc
of
America
Funding
Trust,
Series
2006-E,
Class
2A1
4.98%
06/20/36
6
$
28,448
$
25,615
Banc
of
America
Funding
Trust,
Series
2006-H,
Class
3A1
4.72%
09/20/46
6
584,203
484,775
Banc
of
America
Mortgage
Trust,
Series
2004-F,
Class
1A1
5.27%
07/25/34
6
16,858
15,455
Banc
of
America
Mortgage
Trust,
Series
2005-C,
Class
2A2
4.47%
04/25/35
6
78,335
78,127
Banc
of
America
Mortgage
Trust,
Series
2007-1,
Class
1A24
6.00%
03/25/37
325,954
264,717
Banc
of
America
Mortgage
Trust,
Series
2007-3,
Class
1A1
6.00%
09/25/37
141,866
115,078
BCAP
LLC
Trust,
Series
2007-AA2,
Class
2A5
6.00%
04/25/37
208,159
96,567
BCAP
LLC
Trust,
Series
2007-AA5,
Class
A1
(CME
Term
SOFR
1-Month
plus
1.41%)
6.77%
09/25/47
2
11,929,673
10,349,038
Bear
Stearns
ALT-A
Trust,
Series
2005-4,
Class
22A2
4.08%
05/25/35
6
7,225
6,523
Bear
Stearns
ALT-A
Trust,
Series
2006-4,
Class
32A1
4.24%
07/25/36
6
1,279,594
636,349
Bear
Stearns
ARM
Trust,
Series
2004-1,
Class
13A2
4.02%
04/25/34
6
3,971
3,744
Bear
Stearns
ARM
Trust,
Series
2004-10,
Class
14A1
4.78%
01/25/35
6
1,629,864
1,553,502
Bear
Stearns
ARM
Trust,
Series
2006-4,
Class
2A1
4.42%
10/25/36
6
184,781
164,130
Bear
Stearns
Asset-Backed
Securities
I
Trust,
Series
2005-AC5,
Class
2A3
(CME
Term
SOFR
1-Month
plus
0.36%)
5.72%
08/25/20
2
895,539
538,205
Bear
Stearns
Asset-Backed
Securities
I
Trust,
Series
2006-AC2,
Class
21A3
6.00%
03/25/36
55,664
54,896
Bear
Stearns
Asset-Backed
Securities
I
Trust,
Series
2006-HE9,
Class
3A
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
11/25/36
2
2,703,922
2,628,692
Bear
Stearns
Asset-Backed
Securities
I
Trust,
Series
2007-AC1,
Class
A3
(STEP-reset
date
02/25/24)
6.55%
02/25/37
24,115,231
21,181,005
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Bear
Stearns
Asset-Backed
Securities
Trust,
Series
2003-AC7,
Class
A1
(STEP-reset
date
02/25/24)
5.50%
01/25/34
$
416,189
$
365,225
Bear
Stearns
Asset-Backed
Securities
Trust,
Series
2003-AC7,
Class
A2
(STEP-reset
date
02/25/24)
5.75%
01/25/34
375,222
329,202
Bear
Stearns
Mortgage
Funding
Trust,
Series
2006-AR3,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.47%)
5.83%
10/25/36
2
901,254
791,551
Bear
Stearns
Mortgage
Funding
Trust,
Series
2006-AR5,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.27%)
5.63%
12/25/46
2
12,686,906
10,695,574
Bear
Stearns
Mortgage
Funding
Trust,
Series
2007-AR5,
Class
1A1A
(CME
Term
SOFR
1-Month
plus
0.45%)
5.81%
06/25/47
2
2,032,112
1,687,438
Carrington
Mortgage
Loan
Trust,
Series
2006-NC3,
Class
A4
(CME
Term
SOFR
1-Month
plus
0.35%)
5.71%
08/25/36
2
46,429,000
37,397,612
Carrington
Mortgage
Loan
Trust,
Series
2006-OPT1,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.64%)
6.00%
02/25/36
2
32,401
31,916
Carrington
Mortgage
Loan
Trust,
Series
2007-RFC1,
Class
A4
(CME
Term
SOFR
1-Month
plus
0.33%)
5.69%
10/25/36
2
22,415,000
19,379,897
Chase
Funding
Trust,
Series
2003-5,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.71%)
6.07%
07/25/33
2
3,059
2,901
Chase
Funding
Trust,
Series
2004-2,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.61%)
5.97%
02/26/35
2
3,659
3,519
Chase
Mortgage
Finance
Trust,
Series
2006-A1,
Class
1A2
4.15%
09/25/36
6
341,098
306,180
Chase
Mortgage
Finance
Trust,
Series
2006-S3,
Class
2A1
5.50%
11/25/21
1,314,437
404,342
Chase
Mortgage
Finance
Trust,
Series
2007-A2,
Class
2A3
5.82%
06/25/35
6
649,774
638,756
ChaseFlex
Trust,
Series
2005-2,
Class
4A2
5.50%
06/25/36
290,121
142,229
ChaseFlex
Trust,
Series
2006-2,
Class
A2B
(CME
Term
SOFR
1-Month
plus
0.31%)
4.57%
09/25/36
2
4,359,082
3,549,636
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
24
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
CIM
Trust,
Series
2019-R1,
Class
A
3.25%
10/25/58
1,6
$
38,985,235
$
34,570,796
CIM
Trust,
Series
2019-R3,
Class
A
2.63%
06/25/58
1,6
84,246,295
76,552,144
CIM
Trust,
Series
2019-R4,
Class
A1
3.00%
10/25/59
1,6
83,753,390
77,581,167
CIM
Trust,
Series
2020-R1,
Class
A1
2.85%
10/27/59
1,6
127,172,069
107,879,125
CIM
Trust,
Series
2020-R3,
Class
A1A
4.00%
01/26/60
1,6
100,952,809
94,830,495
CIM
Trust,
Series
2020-R6,
Class
A1A
2.25%
12/25/60
1,6
114,723,801
99,652,352
CIM
Trust,
Series
2020-R7,
Class
A1A
2.25%
12/27/61
1,6
195,294,499
169,784,096
CIM
Trust,
Series
2021-R1,
Class
A2
2.40%
08/25/56
1,6
72,164,383
63,545,892
CIM
Trust,
Series
2021-R2,
Class
A2
2.50%
01/25/57
1,6
65,904,615
58,399,984
CIM
Trust,
Series
2021-R3,
Class
A1A
1.95%
06/25/57
1,6
232,457,577
204,730,967
CIM
Trust,
Series
2021-R4,
Class
A1A
2.00%
05/01/61
1,6
179,087,431
156,411,094
CIM
Trust,
Series
2021-R5,
Class
A1
2.00%
08/25/61
1,6
39,139,568
31,800,453
CIM
Trust,
Series
2021-R5,
Class
A1A
2.00%
08/25/61
1,6
157,164,713
130,517,263
CIM
Trust,
Series
2022-I1,
Class
A1
4.35%
02/25/67
1,6
37,050,708
35,965,329
CIM
Trust,
Series
2022-NR1,
Class
A1
(STEP-reset
date
02/25/24)
5.00%
07/25/62
1
84,016,568
81,270,697
CIM
Trust,
Series
2023-R1,
Class
A1A
5.40%
04/25/62
1,6
283,054,194
272,274,755
CIM
Trust,
Series
2023-R3,
Class
A1
4.50%
01/25/63
1,6
39,392,560
36,028,723
CIM
Trust,
Series
2023-R3,
Class
A1A
4.50%
01/25/63
1,6
223,999,283
207,701,588
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Citicorp
Mortgage
Securities,
Inc.,
Series
2005-1,
Class
1A12
5.00%
02/25/35
$
74,551
$
70,937
Citicorp
Residential
Mortgage
Trust,
Series
2007-1,
Class
A5
(STEP-reset
date
02/25/24)
4.84%
03/25/37
133,450
132,002
Citigroup
Mortgage
Loan
Trust,
Series
2005-9,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.37%)
5.73%
11/25/35
2
93,060
76,263
Citigroup
Mortgage
Loan
Trust,
Series
2006-AR2,
Class
1A1
4.65%
03/25/36
6
6,385,186
4,821,721
Citigroup
Mortgage
Loan
Trust,
Series
2006-AR3,
Class
1A2A
4.27%
06/25/36
6
824,493
760,291
Citigroup
Mortgage
Loan
Trust,
Series
2006-HE2,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.55%)
5.91%
08/25/36
2
6,513
6,508
Citigroup
Mortgage
Loan
Trust,
Series
2006-WF2,
Class
A1
(STEP-reset
date
02/25/24)
7.25%
05/25/36
29,012,530
15,082,706
Citigroup
Mortgage
Loan
Trust,
Series
2007-6,
Class
1A4A
3.66%
03/25/37
6
120,154
104,863
Citigroup
Mortgage
Loan
Trust,
Series
2007-AR5,
Class
1A1A
4.75%
04/25/37
6
47,595
40,816
Citigroup
Mortgage
Loan
Trust,
Series
2014-5,
Class
2A2
(LIBOR
USD
1-Month
plus
1.75%)
4.97%
02/20/36
1,2
5,492,275
4,650,138
Citigroup
Mortgage
Loan
Trust,
Inc.,
Series
2005-5,
Class
3A2A
4.86%
10/25/35
6
313,810
259,034
Countrywide
Asset-Backed
Certificates
Trust,
Series
2005-13,
Class
AF4
5.81%
04/25/36
6
115,742
103,512
Countrywide
Asset-Backed
Certificates
Trust,
Series
2007-13,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.91%)
6.27%
10/25/47
2
6,399,072
5,775,786
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2001-HYB1,
Class
1A1
5.26%
06/19/31
6
5,541
5,299
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2003-J8,
Class
1A4
5.25%
09/25/23
20,352
19,403
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2004-14,
Class
4A1
5.36%
08/25/34
6
551,841
496,145
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2004-25,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.77%)
6.13%
02/25/35
2
59,994
57,358
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
25
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2004-7,
Class
2A1
11.14%
06/25/34
6
$
41,449
$
39,032
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2004-HYB3,
Class
1A
4.89%
06/20/34
6
8,452
8,130
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2004-HYB4,
Class
2A1
5.19%
09/20/34
6
427,253
398,471
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2005-11,
Class
1A2
4.49%
04/25/35
6
453,646
395,418
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2005-9,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.71%)
6.07%
05/25/35
2
2,120,549
1,776,007
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2007-HY5,
Class
1A1
4.71%
09/25/47
6
472,852
361,813
Countrywide
Home
Loan
Mortgage
Pass-Through
Trust,
Series
2007-HYB1,
Class
1A1
3.67%
03/25/37
6
901,146
709,527
Credit
Suisse
First
Boston
Mortgage
Securities
Corp.,
Series
2003-AR20,
Class
2A4
4.89%
08/25/33
6
5,284
5,100
Credit
Suisse
First
Boston
Mortgage
Securities
Corp.,
Series
2005-6,
Class
8A1
4.50%
07/25/20
2,679
2,383
Credit
Suisse
First
Boston
Mortgage-Backed
Pass-Through
Certificates,
Series
2004-1,
Class
2A1
6.50%
02/25/34
12,356
12,231
Credit
Suisse
First
Boston
Mortgage-Backed
Pass-Through
Certificates,
Series
2004-AR5,
Class
6A1
5.40%
06/25/34
6
40,863
39,797
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2021-RP11,
Class
CERT
3.78%
10/27/61
1
9,324,159
—
Credit
Suisse
Mortgage
Capital
Certificates,
Series
2022-RPL1,
Class
CERT
4.23%
04/25/61
1
9,501,913
—
Credit
Suisse
Mortgage
Capital
Trust,
Series
2006-2,
Class
5A1
(CME
Term
SOFR
1-Month
plus
0.81%)
6.00%
03/25/36
2
3,051,194
1,062,610
Credit
Suisse
Mortgage
Capital
Trust,
Series
2015-6R,
Class
2A1
(CME
Term
SOFR
1-Month
plus
0.31%)
6.49%
11/27/46
1,2
1,318,829
1,302,259
Credit
Suisse
Mortgage
Capital
Trust,
Series
2021-NQM6,
Class
A1
1.17%
07/25/66
1,6
6,762,857
5,319,609
Credit
Suisse
Mortgage
Capital
Trust,
Series
2021-RP11,
Class
PT
3.77%
10/25/61
1,6
221,966,607
166,160,495
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Credit
Suisse
Mortgage
Capital
Trust,
Series
2021-RP11,
Class
SA
(IO)
0.00%
10/25/61
1,4,5,6
$
193,922
$
187,265
Credit
Suisse
Mortgage
Capital
Trust,
Series
2022-RPL1,
Class
PT
4.62%
04/25/61
1,6
228,201,093
185,356,018
Credit
Suisse
Mortgage
Capital
Trust,
Series
2022-RPL1,
Class
SA
(IO)
0.00%
04/25/61
1,4,5,6
572,013
551,681
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2003-CB1,
Class
AF
(STEP-reset
date
02/25/24)
3.95%
01/25/33
4,956
4,604
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2006-CB7,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
10/25/36
2
34,101,140
24,178,527
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2006-CB8,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
10/25/36
2
8,599,498
7,792,243
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2006-CB9,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.41%)
5.77%
11/25/36
2
22,365,952
9,924,670
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2007-CB1,
Class
AF4
(STEP-reset
date
02/25/24)
3.20%
01/25/37
6,008,967
1,817,700
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2007-CB1,
Class
AF5
(STEP-reset
date
02/25/24)
3.20%
01/25/37
11,292,280
3,418,348
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Series
2007-CB5,
Class
A2
(CME
Term
SOFR
1-Month
plus
0.28%)
3.27%
04/25/37
2
19,649,960
12,245,751
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Mortgage
Loan
Trust,
Series
2007-CB2,
Class
A2C
(STEP-reset
date
02/25/24)
3.54%
02/25/37
23,524,139
13,427,273
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Mortgage
Loan
Trust,
Series
2007-CB2,
Class
A2D
(STEP-reset
date
02/25/24)
3.54%
02/25/37
17,223,172
9,842,707
Credit-Based
Asset
Servicing
and
Securitization
LLC,
Mortgage
Loan
Trust,
Series
2007-CB2,
Class
A2E
(STEP-reset
date
02/25/24)
3.54%
02/25/37
3,132,007
1,788,210
CSAB
Mortgage-Backed
Trust,
Series
2006-4,
Class
A6B
(STEP-reset
date
02/25/24)
6.28%
12/25/36
5,268,016
247,482
Deephaven
Residential
Mortgage
Trust,
Series
2021-4,
Class
A1
1.93%
11/25/66
1,6
22,374,932
18,780,426
Deutsche
ALT-A
Securities
Mortgage
Loan
Trust,
Series
2006-AR3,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.49%)
5.85%
08/25/36
2
1,798,569
1,644,897
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
26
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Deutsche
ALT-A
Securities
Mortgage
Loan
Trust,
Series
2006-AR4,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.37%)
5.73%
12/25/36
2
$
1,390,895
$
457,273
Deutsche
ALT-A
Securities
Mortgage
Loan
Trust,
Series
2006-AR4,
Class
A2
(CME
Term
SOFR
1-Month
plus
0.49%)
5.85%
12/25/36
2
25,529,665
8,646,630
Deutsche
ALT-A
Securities
Mortgage
Loan
Trust,
Series
2006-AR6,
Class
A6
(CME
Term
SOFR
1-Month
plus
0.49%)
5.85%
02/25/37
2
338,351
289,445
Deutsche
ALT-A
Securities
Mortgage
Loan
Trust,
Series
2007-3,
Class
1A1
(CME
Term
SOFR
1-Month
plus
1.81%)
7.16%
10/25/47
2
18,062,194
13,056,315
Deutsche
ALT-A
Securities
Mortgage
Loan
Trust,
Series
2007-AR3,
Class
2A4
(CME
Term
SOFR
1-Month
plus
0.81%)
6.17%
06/25/37
2
16,230,453
13,840,321
Deutsche
ALT-A
Securities
Mortgage
Loan
Trust,
Series
2007-OA3,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.25%)
5.61%
07/25/47
2
26,879,067
24,700,236
Deutsche
ALT-A
Securities,
Inc.,
Mortgage
Loan
Trust,
Series
2005-6,
Class
1A7
5.50%
12/25/35
229,968
199,074
Deutsche
ALT-A
Securities,
Inc.,
Mortgage
Loan
Trust,
Series
2006-AR1,
Class
2A1
3.87%
02/25/36
6
500,711
341,521
DSLA
Mortgage
Loan
Trust,
Series
2004-AR4,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.83%)
6.19%
01/19/45
2
1,076,593
874,774
DSLA
Mortgage
Loan
Trust,
Series
2005-AR1,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.61%)
5.97%
02/19/45
2
59,775
57,768
DSLA
Mortgage
Loan
Trust,
Series
2005-AR3,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.59%)
5.95%
07/19/45
2
62,746
57,153
DSLA
Mortgage
Loan
Trust,
Series
2006-AR2,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.31%)
5.67%
10/19/36
2
13,170,899
9,021,187
DSLA
Mortgage
Loan
Trust,
Series
2007-AR1,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.25%)
5.61%
03/19/37
2
5,284,712
4,393,233
Equity
One
Mortgage
Pass-Through
Trust,
Series
2002-4,
Class
M1
5.22%
02/25/33
6
5,987
5,769
Equity
One
Mortgage
Pass-Through
Trust,
Series
2002-5,
Class
M1
(STEP-reset
date
02/25/24)
5.80%
11/25/32
28,833
28,496
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Fannie
Mae
Connecticut
Avenue
Securities,
Series
2019-R07,
Class
1B1
(SOFR30A
plus
3.51%)
8.85%
10/25/39
1,2
$
12,100,000
$
12,310,262
Fannie
Mae
Connecticut
Avenue
Securities,
Series
2021-R01,
Class
1B1
(SOFR30A
plus
3.10%)
8.44%
10/25/41
1,2
5,660,000
5,715,883
Fannie
Mae
Connecticut
Avenue
Securities,
Series
2022-R01,
Class
1M2
(SOFR30A
plus
1.90%)
7.24%
12/25/41
1,2
28,907,099
28,997,439
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF13,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.43%)
5.79%
10/25/36
2
9,211,108
5,935,518
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF13,
Class
A2D
(CME
Term
SOFR
1-Month
plus
0.59%)
5.95%
10/25/36
2
580,830
376,807
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF18,
Class
A2B
(CME
Term
SOFR
1-Month
plus
0.33%)
5.69%
12/25/37
2
4,694,315
4,080,315
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF18,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.43%)
5.79%
12/25/37
2
12,909,788
11,254,428
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF18,
Class
A2D
(CME
Term
SOFR
1-Month
plus
0.53%)
5.89%
12/25/37
2
9,356,594
8,171,849
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF5,
Class
1A
(CME
Term
SOFR
1-Month
plus
0.41%)
5.77%
04/25/36
2
4,832,852
4,834,479
First
Franklin
Mortgage
Loan
Trust,
Series
2007-FF1,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
01/25/38
2
50,459,515
26,033,174
First
Franklin
Mortgage
Loan
Trust,
Series
2007-FF2,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
03/25/37
2
45,664,174
24,396,589
First
Franklin
Mortgage
Loan
Trust,
Series
2007-FF2,
Class
A2B
(CME
Term
SOFR
1-Month
plus
0.31%)
5.67%
03/25/37
2
20,131,257
9,705,742
First
Franklin
Mortgage
Loan
Trust,
Series
2007-FF2,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.41%)
5.77%
03/25/37
2
11,540,928
5,593,256
First
Franklin
Mortgage
Loan
Trust,
Series
2007-FF2,
Class
A2D
(CME
Term
SOFR
1-Month
plus
0.55%)
5.91%
03/25/37
2
34,139,390
16,658,018
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
27
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2004-AA2,
Class
1A1
6.25%
08/25/34
6
$
2,537,699
$
2,452,588
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2004-AA3,
Class
A1
5.75%
09/25/34
6
5,821
5,619
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2004-AA4,
Class
A1
6.22%
10/25/34
6
413,523
404,875
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2005-AA10,
Class
1A1
6.21%
12/25/35
6
6,740,258
5,596,712
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2005-AA12,
Class
2A1
5.59%
02/25/36
6
6,492,120
4,273,605
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2005-AA4,
Class
2A1
5.78%
06/25/35
6
7,206,577
6,468,188
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2005-AA7,
Class
2A1
5.99%
09/25/35
6
5,023,228
4,355,259
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2005-AA8,
Class
2A1
6.09%
10/25/35
6
7,663,660
4,852,168
First
Horizon
Alternative
Mortgage
Securities
Trust,
Series
2005-AA9,
Class
2A1
6.22%
11/25/35
6
6,840,739
5,898,913
First
Horizon
Mortgage
Pass-Through
Trust,
Series
2004-AR6,
Class
2A1
4.74%
12/25/34
6
67,806
64,454
First
Horizon
Mortgage
Pass-Through
Trust,
Series
2006-AR4,
Class
1A2
4.68%
01/25/37
6
40,909
22,450
First
Horizon
Mortgage
Pass-Through
Trust,
Series
2007-AR3,
Class
1A1
4.82%
11/25/37
6
71,400
33,007
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2021-DNA3,
Class
M2
(SOFR30A
plus
2.10%)
7.44%
10/25/33
1,2
23,022,000
23,064,689
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2021-DNA6,
Class
B1
(SOFR30A
plus
3.40%)
8.74%
10/25/41
1,2
18,400,000
18,741,873
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2021-HQA1,
Class
M2
(SOFR30A
plus
2.25%)
7.59%
08/25/33
1,2
11,285,295
11,278,569
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA2,
Class
M1B
(SOFR30A
plus
2.40%)
7.74%
02/25/42
1,2
18,930,000
19,049,745
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes,
Series
2022-DNA3,
Class
M1B
(SOFR30A
plus
2.90%)
8.24%
04/25/42
1,2
7,000,000
7,204,552
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
GMACM
Home
Equity
Loan
Trust,
Series
2000-HE2,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.55%)
4.52%
06/25/30
2
$
7,924
$
7,329
GMACM
Mortgage
Corp.
Loan
Trust,
Series
2005-AR6,
Class
3A1
4.26%
11/19/35
6
175,574
150,596
GMACM
Mortgage
Corp.
Loan
Trust,
Series
2006-AR2,
Class
1A1
0.00%
05/19/36
6
1,540,260
866,645
GreenPoint
Mortgage
Funding
Trust,
Series
2005-AR4,
Class
G41B
(CME
Term
SOFR
1-Month
plus
0.31%)
5.67%
10/25/45
2
10,203,844
9,549,828
GreenPoint
Mortgage
Funding
Trust,
Series
2006-OH1,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.47%)
5.83%
01/25/37
2
9,165,829
8,057,244
GS
Mortgage-Backed
Securities
Corp.
Trust,
Series
2022-PJ2,
Class
A4
2.50%
06/25/52
1,6
28,173,813
23,115,735
GS
Mortgage-Backed
Securities
Corp.
Trust,
Series
2022-PJ4,
Class
A4
2.50%
09/25/52
1,6
65,307,314
53,582,613
GS
Mortgage-Backed
Securities
Trust,
Series
2018-RPL1,
Class
A1A
3.75%
10/25/57
1
16,716,928
16,170,418
GS
Mortgage-Backed
Securities
Trust,
Series
2021-PJ9,
Class
A2
2.50%
02/26/52
1,6
8,398,355
6,901,086
GS
Mortgage-Backed
Securities
Trust,
Series
2022-PJ5,
Class
A4
2.50%
10/25/52
1,6
73,753,702
59,590,690
GS
Mortgage-Backed
Securities
Trust,
Series
2022-PJ6,
Class
A3
2.50%
01/25/53
1,6
96,908,549
79,510,441
GS
Mortgage-Backed
Securities
Trust,
Series
2023-PJ1,
Class
A3
3.00%
02/25/53
1,6
94,715,829
81,106,339
GSAA
Home
Equity
Trust,
Series
2005-11,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.75%)
6.11%
10/25/35
2
56,640
56,135
GSAA
Home
Equity
Trust,
Series
2005-11,
Class
3A2
(CME
Term
SOFR
1-Month
plus
0.75%)
6.11%
10/25/35
2
12,761
12,987
GSAA
Home
Equity
Trust,
Series
2005-6,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.76%)
6.12%
06/25/35
2
30,076
29,869
GSAMP
Trust,
Series
2005-AHL2,
Class
A2D
(CME
Term
SOFR
1-Month
plus
0.81%)
6.17%
12/25/35
2
16,577,369
15,526,323
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
28
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
GSAMP
Trust,
Series
2007-HE2,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.35%)
5.71%
03/25/47
2
$
63,226,372
$
52,657,749
GSMSC
Resecuritization
Trust,
Series
2015-3R,
Class
1B
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
01/26/37
1,2
13,825,428
12,530,125
GSR
Mortgage
Loan
Trust,
Series
2004-9,
Class
3A1
4.94%
08/25/34
6
1,726
1,599
GSR
Mortgage
Loan
Trust,
Series
2004-9,
Class
5A7
4.67%
08/25/34
6
37,560
37,333
GSR
Mortgage
Loan
Trust,
Series
2005-AR5,
Class
2A3
4.63%
10/25/35
6
1,730,283
946,588
GSR
Mortgage
Loan
Trust,
Series
2005-AR6,
Class
4A5
5.48%
09/25/35
6
41,272
38,914
GSR
Mortgage
Loan
Trust,
Series
2007-AR2,
Class
2A1
4.79%
05/25/37
6
1,165,603
678,213
HarborView
Mortgage
Loan
Trust,
Series
2004-1,
Class
2A
5.57%
04/19/34
6
3,230
3,066
HarborView
Mortgage
Loan
Trust,
Series
2004-11,
Class
3A2A
(CME
Term
SOFR
1-Month
plus
0.79%)
6.15%
01/19/35
2
150,789
140,216
HarborView
Mortgage
Loan
Trust,
Series
2004-3,
Class
1A
5.37%
05/19/34
6
29,011
27,839
HarborView
Mortgage
Loan
Trust,
Series
2004-5,
Class
2A6
4.62%
06/19/34
6
1,197
1,136
HarborView
Mortgage
Loan
Trust,
Series
2005-3,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.59%)
5.95%
06/19/35
2
137,890
130,648
HarborView
Mortgage
Loan
Trust,
Series
2006-1,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.59%)
5.95%
03/19/36
2
9,998,064
9,212,029
HarborView
Mortgage
Loan
Trust,
Series
2006-10,
Class
1A1A
(CME
Term
SOFR
1-Month
plus
0.51%)
5.85%
11/19/36
2
48,483,245
38,645,238
HarborView
Mortgage
Loan
Trust,
Series
2006-4,
Class
1A1A
(CME
Term
SOFR
1-Month
plus
0.47%)
5.83%
05/19/46
2
28,987,774
14,982,366
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
HarborView
Mortgage
Loan
Trust,
Series
2006-5,
Class
1A1A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.91%)
5.92%
07/19/47
2
$
33,377,662
$
12,661,923
HarborView
Mortgage
Loan
Trust,
Series
2006-7,
Class
1A
(CME
Term
SOFR
1-Month
plus
0.53%)
5.89%
09/19/46
2
50,045,355
42,979,967
HarborView
Mortgage
Loan
Trust,
Series
2007-7,
Class
1A1
(CME
Term
SOFR
1-Month
plus
2.11%)
6.47%
10/25/37
2
15,873,054
12,564,740
HarborView
Mortgage
Loan
Trust,
Series
2007-7,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
2.11%)
6.47%
10/25/37
2
12,063,730
11,239,152
HSI
Asset
Securitization
Corp.
Trust,
Series
2006-HE1,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
10/25/36
2
51,532,796
16,969,420
Impac
CMB
Trust,
Series
2004-8,
Class
2A1
(CME
Term
SOFR
1-Month
plus
0.81%)
6.17%
10/25/34
2
55,167
54,722
Impac
CMB
Trust,
Series
2005-1,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.63%)
5.99%
04/25/35
2
1,525,963
1,417,736
Impac
Secured
Assets
Trust,
Series
2006-3,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.45%)
5.81%
11/25/36
2
3,690,727
3,274,005
Impac
Secured
Assets
Trust,
Series
2006-5,
Class
1A1C
(CME
Term
SOFR
1-Month
plus
0.65%)
6.01%
02/25/37
2
6,286,968
5,622,534
Impac
Secured
Assets
Trust,
Series
2007-2,
Class
1A1B
(CME
Term
SOFR
1-Month
plus
0.61%)
5.97%
05/25/37
2
29,426,343
23,309,942
IndyMac
Index
Mortgage
Loan
Trust,
Series
2004-AR4,
Class
1A
4.53%
08/25/34
6
581,041
552,571
IndyMac
Index
Mortgage
Loan
Trust,
Series
2004-AR7,
Class
A2
(CME
Term
SOFR
1-Month
plus
0.97%)
6.33%
09/25/34
2
33,491
28,267
IndyMac
Index
Mortgage
Loan
Trust,
Series
2005-AR1,
Class
4A1
3.93%
03/25/35
6
34,682
34,217
IndyMac
Index
Mortgage
Loan
Trust,
Series
2005-AR19,
Class
A1
3.49%
10/25/35
6
16,974,571
13,636,532
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
29
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
IndyMac
Index
Mortgage
Loan
Trust,
Series
2005-AR6,
Class
2A1
(CME
Term
SOFR
1-Month
plus
0.59%)
5.95%
04/25/35
2
$
334,729
$
279,157
IndyMac
Index
Mortgage
Loan
Trust,
Series
2006-AR19,
Class
1A2
3.87%
08/25/36
6
10,251,779
7,136,483
IndyMac
Index
Mortgage
Loan
Trust,
Series
2006-AR27,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.51%)
5.87%
10/25/36
2
10,990,188
9,540,877
IndyMac
Index
Mortgage
Loan
Trust,
Series
2006-AR35,
Class
2A3A
(CME
Term
SOFR
1-Month
plus
0.51%)
5.87%
01/25/37
2
25,823,239
23,105,573
IndyMac
Index
Mortgage
Loan
Trust,
Series
2006-AR7,
Class
1A1
3.34%
05/25/36
6
2,537,623
2,139,369
IndyMac
Index
Mortgage
Loan
Trust,
Series
2006-AR7,
Class
2A1
3.61%
05/25/36
6
17,669,291
12,262,191
IndyMac
Index
Mortgage
Loan
Trust,
Series
2007-AR1,
Class
1A2
3.54%
03/25/37
6
290,360
223,622
IndyMac
Index
Mortgage
Loan
Trust,
Series
2007-AR11,
Class
1A1
3.11%
06/25/37
6
2,287,971
1,894,244
IndyMac
Index
Mortgage
Loan
Trust,
Series
2007-AR7,
Class
1A1
3.51%
11/25/37
6
1,462,425
1,222,078
IndyMac
Manufactured
Housing
Contract
Pass-Through
Certificates,
Series
1997-1,
Class
A3
6.61%
02/25/28
13,566
13,440
JPMorgan
Alternative
Loan
Trust,
Series
2006-A2,
Class
5A1
4.04%
05/25/36
6
3,875,552
2,258,702
JPMorgan
Mortgage
Acquisition
Trust,
Series
2006-WF1,
Class
A3A
(STEP-reset
date
02/25/24)
6.33%
07/25/36
27,902,235
7,363,926
JPMorgan
Mortgage
Acquisition
Trust,
Series
2006-WF1,
Class
A6
(STEP-reset
date
02/25/24)
6.50%
07/25/36
3,890,899
1,130,906
JPMorgan
Mortgage
Acquisition
Trust,
Series
2007-CH5,
Class
A5
(CME
Term
SOFR
1-Month
plus
0.37%)
5.73%
06/25/37
2
11,761
11,741
JPMorgan
Mortgage
Acquisition
Trust,
Series
2007-HE1,
Class
AF1
(CME
Term
SOFR
1-Month
plus
0.21%)
4.41%
03/25/47
2
102,339
68,127
JPMorgan
Mortgage
Acquisition
Trust,
Series
2007-HE1,
Class
AF2
(STEP-reset
date
02/25/24)
4.27%
03/25/47
6,694,781
4,478,234
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
JPMorgan
Mortgage
Acquisition
Trust,
Series
2007-HE1,
Class
AF3
(STEP-reset
date
02/25/24)
4.27%
05/25/35
$
5,634,475
$
3,768,937
JPMorgan
Mortgage
Acquisition
Trust,
Series
2007-HE1,
Class
AF4
(STEP-reset
date
02/25/24)
4.27%
03/25/47
2,561,125
1,713,111
JPMorgan
Mortgage
Acquisition
Trust,
Series
2007-HE1,
Class
AV4
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
03/25/47
2
240,000
218,149
JPMorgan
Mortgage
Trust,
Series
2003-A2,
Class
2A3
4.91%
11/25/33
6
40,462
38,339
JPMorgan
Mortgage
Trust,
Series
2004-A4,
Class
1A3
5.95%
09/25/34
6
98,651
91,771
JPMorgan
Mortgage
Trust,
Series
2005-A5,
Class
TA1
5.67%
08/25/35
6
42,558
39,709
JPMorgan
Mortgage
Trust,
Series
2005-S2,
Class
4A3
5.50%
09/25/20
1,603,731
1,072,426
JPMorgan
Mortgage
Trust,
Series
2006-A2,
Class
5A3
6.13%
11/25/33
6
1,103
1,086
JPMorgan
Mortgage
Trust,
Series
2006-A3,
Class
2A1
4.03%
05/25/36
6
440,397
374,398
JPMorgan
Mortgage
Trust,
Series
2006-A3,
Class
3A3
4.01%
05/25/36
6
284,814
232,741
JPMorgan
Mortgage
Trust,
Series
2006-A4,
Class
1A1
4.44%
06/25/36
6
253,793
183,179
JPMorgan
Mortgage
Trust,
Series
2006-A4,
Class
1A4
4.44%
06/25/36
6
818,147
593,040
JPMorgan
Mortgage
Trust,
Series
2006-A5,
Class
2A4
4.99%
08/25/36
6
220,924
180,927
JPMorgan
Mortgage
Trust,
Series
2007-A1,
Class
5A2
5.04%
07/25/35
6
508,358
498,262
JPMorgan
Mortgage
Trust,
Series
2007-A3,
Class
2A3
4.70%
05/25/37
6
1,152,711
960,927
JPMorgan
Mortgage
Trust,
Series
2007-A3,
Class
3A2
4.19%
05/25/37
6
194,904
167,325
JPMorgan
Mortgage
Trust,
Series
2007-A4,
Class
1A1
4.43%
06/25/37
6
1,607,080
1,274,331
JPMorgan
Mortgage
Trust,
Series
2007-A4,
Class
2A3
4.30%
06/25/37
6
226,300
178,787
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
30
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
JPMorgan
Mortgage
Trust,
Series
2021-13,
Class
A3A
2.00%
04/25/52
1,6
$
46,687,742
$
36,397,586
JPMorgan
Mortgage
Trust,
Series
2021-14,
Class
A3A
2.00%
05/25/52
1,6
35,680,557
27,835,815
JPMorgan
Mortgage
Trust,
Series
2021-INV8,
Class
A2
3.00%
05/25/52
1,6
41,729,830
35,737,685
Lehman
ABS
Mortgage
Loan
Trust,
Series
2007-1,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.31%)
5.67%
06/25/37
1,2
169,698
109,087
Lehman
XS
Trust,
Series
2005-5N,
Class
3A1A
(CME
Term
SOFR
1-Month
plus
0.41%)
5.77%
11/25/35
2
1,173,036
1,152,892
Lehman
XS
Trust,
Series
2005-7N,
Class
1A1A
(CME
Term
SOFR
1-Month
plus
0.65%)
6.01%
12/25/35
2
235,447
218,334
Lehman
XS
Trust,
Series
2006-12N,
Class
A31A
(CME
Term
SOFR
1-Month
plus
0.51%)
5.87%
08/25/46
2
7,018,325
6,910,758
Lehman
XS
Trust,
Series
2006-14N,
Class
3A2
(CME
Term
SOFR
1-Month
plus
0.35%)
5.71%
08/25/36
2
22,720
23,202
Lehman
XS
Trust,
Series
2006-5,
Class
1A1A
(CME
Term
SOFR
1-Month
plus
0.53%)
5.89%
04/25/36
2
17,667,558
14,853,547
Lehman
XS
Trust,
Series
2006-8,
Class
1A1A
(CME
Term
SOFR
1-Month
plus
0.27%)
5.14%
06/25/36
2
22,268,479
19,721,602
Lehman
XS
Trust,
Series
2007-4N,
Class
1A3
(CME
Term
SOFR
1-Month
plus
0.59%)
5.95%
03/25/47
2
14,630,967
12,626,647
Long
Beach
Mortgage
Loan
Trust,
Series
2004-4,
Class
M1
(CME
Term
SOFR
1-Month
plus
1.01%)
6.37%
10/25/34
2
55,879
53,763
Luminent
Mortgage
Trust,
Series
2006-5,
Class
A1A
(CME
Term
SOFR
1-Month
plus
0.49%)
5.85%
07/25/36
2
26,587,631
17,704,940
Luminent
Mortgage
Trust,
Series
2006-6,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.51%)
5.87%
10/25/46
2
8,941,024
7,844,245
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2003-6,
Class
4A2
4.38%
01/25/34
6
10,300
9,904
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2003-7,
Class
3A1
5.16%
11/25/33
6
$
251,251
$
238,087
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2004-13,
Class
3A1
5.39%
11/21/34
6
1,499,536
1,414,047
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2004-8,
Class
2A1
4.71%
09/25/34
6
1,183,966
1,119,352
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2006-2,
Class
5A1
4.37%
05/25/36
6
5,131,015
2,132,843
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2007-1,
Class
I1A
(CME
Term
SOFR
1-Month
plus
0.50%)
5.86%
01/25/47
2
80,106,656
33,962,907
MASTR
Asset-Backed
Securities
Trust,
Series
2006-HE4,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.41%)
5.77%
11/25/36
2
12,224,328
3,938,006
MASTR
Asset-Backed
Securities
Trust,
Series
2006-HE4,
Class
A4
(CME
Term
SOFR
1-Month
plus
0.53%)
5.89%
11/25/36
2
3,395,647
1,075,816
MASTR
Asset-Backed
Securities
Trust,
Series
2007-HE1,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.32%)
5.68%
05/25/37
2
13,001,515
12,365,178
MASTR
Seasoned
Securitization
Trust,
Series
2004-1,
Class
4A1
6.22%
10/25/32
6
7,039
6,821
Mellon
Residential
Funding
Corp.
Mortgage
Pass-Through
Certificates,
Series
2001-TBC1,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.81%)
6.18%
11/15/31
2
349,570
331,483
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-1,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
04/25/37
2
126,265,898
56,089,288
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-1,
Class
A2B
(CME
Term
SOFR
1-Month
plus
0.45%)
5.81%
04/25/37
2
25,550,977
9,992,249
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-1,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.61%)
5.97%
04/25/37
2
53,525,256
21,115,280
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-2,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.59%)
5.95%
05/25/37
2
26,133,690
20,180,481
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-2,
Class
A2D
(CME
Term
SOFR
1-Month
plus
0.75%)
6.11%
05/25/37
2
12,905,951
10,008,607
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
31
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-3,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.47%)
5.83%
06/25/37
2
$
9,624,660
$
9,077,049
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-3,
Class
A2D
(CME
Term
SOFR
1-Month
plus
0.61%)
5.97%
06/25/37
2
14,344,073
13,570,006
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-4,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.35%)
5.71%
07/25/37
2
21,740,485
18,926,768
Merrill
Lynch
First
Franklin
Mortgage
Loan
Trust,
Series
2007-4,
Class
2A3
(CME
Term
SOFR
1-Month
plus
0.43%)
5.79%
07/25/37
2
15,936,316
13,891,686
Merrill
Lynch
Mortgage
Investors
Trust,
Series
2003-A6,
Class
2A
6.30%
10/25/33
6
133,306
130,384
Merrill
Lynch
Mortgage
Investors
Trust,
Series
2004-A4,
Class
A1
4.93%
08/25/34
6
585,149
540,213
Merrill
Lynch
Mortgage
Investors
Trust,
Series
2005-A10,
Class
A
(CME
Term
SOFR
1-Month
plus
0.53%)
5.89%
02/25/36
2
4,141
3,892
Merrill
Lynch
Mortgage
Investors
Trust,
Series
2006-WMC2,
Class
A2B
(STEP-reset
date
02/25/24)
3.90%
03/25/37
27,012,288
5,855,101
Merrill
Lynch
Mortgage
Investors
Trust,
Series
2006-WMC2,
Class
A2D
(STEP-reset
date
02/25/24)
3.90%
03/25/37
21,141,588
4,393,235
Merrill
Lynch
Mortgage
Investors
Trust,
Series
2007-2,
Class
1A1
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
2.40%)
7.52%
08/25/36
2
1,553,197
1,362,881
Mid-State
Capital
Corp.
Trust,
Series
2005-1,
Class
A
5.75%
01/15/40
4,765,998
4,704,748
Mid-State
Capital
Corp.
Trust,
Series
2006-1,
Class
A
5.79%
10/15/40
1
5,445,936
5,364,445
Mid-State
Trust
XI,
Series
11,
Class
A1
4.86%
07/15/38
85,946
84,546
Morgan
Stanley
Mortgage
Loan
Trust,
Series
2004-11AR,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.43%)
5.79%
01/25/35
2
60,518
55,369
Morgan
Stanley
Mortgage
Loan
Trust,
Series
2004-7AR,
Class
2A4
5.26%
09/25/34
6
275,854
264,070
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Morgan
Stanley
Mortgage
Loan
Trust,
Series
2005-2AR,
Class
A
(CME
Term
SOFR
1-Month
plus
0.37%)
5.73%
04/25/35
2
$
627,687
$
614,170
Morgan
Stanley
Mortgage
Loan
Trust,
Series
2006-7,
Class
5A2
5.96%
06/25/36
6
656,495
190,491
Morgan
Stanley
Mortgage
Loan
Trust,
Series
2007-7AX,
Class
2A1
(CME
Term
SOFR
1-Month
plus
0.35%)
5.71%
04/25/37
2
4,088,590
1,144,026
Mortgage
Funding
PLC,
Series
2008-1,
Class
A3
(United
Kingdom)
(SONIA
plus
1.22%)
6.44%
03/13/46
2,3
9,900,000
12,467,202
MortgageIT
Trust,
Series
2005-1,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.75%)
6.11%
02/25/35
2
1,564,736
1,506,683
MortgageIT
Trust,
Series
2005-4,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.67%)
6.03%
10/25/35
2
1,640,737
1,619,904
MortgageIT
Trust,
Series
2005-5,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.63%)
5.99%
12/25/35
2
326,304
319,188
Nationstar
Home
Equity
Loan
Trust,
Series
2007-C,
Class
2AV4
(CME
Term
SOFR
1-Month
plus
0.36%)
5.72%
06/25/37
2
4,009,280
3,824,403
New
Century
Home
Equity
Loan
Trust,
Series
2005-1,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.79%)
6.15%
03/25/35
2
88,090
88,601
NLT
Trust,
Series
2021-INV3,
Class
PT
0.00%
11/25/56
1,6
158,264,082
147,109,883
NRPL,
Series
2019-3A,
Class
A1
(STEP-reset
date
02/25/24)
7.00%
07/25/59
1
38,574,244
39,178,721
Oakwood
Mortgage
Investors,
Inc.,
Series
2000-A,
Class
A5
8.16%
09/15/29
6
20,571,005
4,451,862
Onslow
Bay
Mortgage
Loan
Trust,
Series
2021-NQM4,
Class
A1
1.96%
10/25/61
1,6
4,877,894
4,000,185
Ownit
Mortgage
Loan
Trust,
Series
2006-4,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.39%)
5.74%
05/25/37
2
5,119,567
4,972,469
Ownit
Mortgage
Loan
Trust,
Series
2006-4,
Class
A2D
(CME
Term
SOFR
1-Month
plus
0.59%)
5.94%
05/25/37
2
14,782,386
11,370,251
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
32
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Popular
ABS
Mortgage
Pass-Through
Trust,
Series
2005-6,
Class
A5
(STEP-reset
date
02/25/24)
3.37%
01/25/36
$
17,957,659
$
16,157,459
Popular
ABS
Mortgage
Pass-Through
Trust,
Series
2006-D,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.37%)
5.73%
11/25/36
2
34
34
Popular
ABS
Mortgage
Pass-Through
Trust,
Series
2007-A,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.42%)
5.78%
06/25/47
2
20,188,942
18,464,560
Popular
ABS,
Inc.,
Series
1998-1,
Class
A2
(STEP-reset
date
02/25/24)
7.48%
11/25/29
45,161
42,820
PRET
LLC,
Series
2022-RN2,
Class
A1
(STEP-reset
date
01/25/24)
5.00%
06/25/52
1
196,509,284
190,761,820
Pretium
Mortgage
Credit
Partners
LLC,
Series
2022-RN3,
Class
A1
5.00%
08/25/52
1,6
209,196,760
203,290,759
PRPM
LLC,
Series
2022-3,
Class
A1
(STEP-reset
date
01/25/24)
5.56%
06/25/27
1
29,426,530
29,028,386
PRPM
LLC,
Series
2022-4,
Class
A1
(STEP-reset
date
01/25/24)
5.00%
08/25/27
1
55,725,990
55,299,870
Residential
Accredit
Loans
Trust,
Series
2005-QA12,
Class
CB1
5.93%
12/25/35
6
3,313,085
1,506,507
Residential
Accredit
Loans
Trust,
Series
2005-QA4,
Class
A41
4.34%
04/25/35
6
21,995
21,787
Residential
Accredit
Loans
Trust,
Series
2005-QA7,
Class
A1
4.61%
07/25/35
6
2,030,786
1,569,085
Residential
Accredit
Loans
Trust,
Series
2005-QO5,
Class
A1
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.00%)
6.01%
01/25/46
2
3,415,860
2,724,872
Residential
Accredit
Loans
Trust,
Series
2006-QA1,
Class
A11
5.04%
01/25/36
6
96,151
75,049
Residential
Accredit
Loans
Trust,
Series
2006-QA1,
Class
A21
5.07%
01/25/36
6
7,941,202
5,795,422
Residential
Accredit
Loans
Trust,
Series
2006-QA7,
Class
2A1
(CME
Term
SOFR
1-Month
plus
0.48%)
5.84%
08/25/36
2
13,177,743
12,079,431
Residential
Accredit
Loans
Trust,
Series
2006-QS10,
Class
AV
(IO)
0.55%
08/25/36
4,5,6
12,432,738
218,759
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Residential
Accredit
Loans
Trust,
Series
2006-QS12,
Class
2A9
(CME
Term
SOFR
1-Month
plus
0.49%)
5.85%
09/25/36
2
$
125,980
$
86,011
Residential
Accredit
Loans
Trust,
Series
2006-QS2,
Class
1AV
(IO)
0.48%
02/25/36
4,5,6
45,239,288
594,051
Residential
Accredit
Loans
Trust,
Series
2006-QS7,
Class
AV
(IO)
0.72%
06/25/36
4,5,6
20,153,185
329,638
Residential
Accredit
Loans
Trust,
Series
2006-QS8,
Class
AV
(IO)
0.79%
08/25/36
4,5,6
50,220,395
1,128,515
Residential
Accredit
Loans
Trust,
Series
2007-QS1,
Class
2A4
(CME
Term
SOFR
1-Month
plus
0.66%)
6.00%
01/25/37
2
9,346,415
6,306,291
Residential
Accredit
Loans
Trust,
Series
2007-QS10,
Class
AV
(IO)
0.48%
09/25/37
4,5,6
38,795,335
709,908
Residential
Accredit
Loans
Trust,
Series
2007-QS4,
Class
3AV
(IO)
0.36%
03/25/37
4,5,6
24,614,786
271,654
Residential
Accredit
Loans
Trust,
Series
2007-QS5,
Class
AV
(IO)
0.38%
03/25/37
4,5,6
26,806,748
326,865
Residential
Accredit
Loans
Trust,
Series
2007-QS6,
Class
AV
(IO)
0.33%
04/25/37
4,5,6
57,052,669
491,235
Residential
Accredit
Loans
Trust,
Series
2007-QS7,
Class
2AV
(IO)
0.38%
06/25/37
4,5,6
21,795,725
228,565
Residential
Accredit
Loans
Trust,
Series
2007-QS8,
Class
AV
(IO)
0.43%
06/25/37
4,5,6
51,569,859
922,002
Residential
Asset
Mortgage
Products
Trust,
Series
2004-SL3,
Class
A4
8.50%
12/25/31
12,260
5,908
Residential
Asset
Securities
Corp.,
Series
2006-KS3,
Class
M1
(CME
Term
SOFR
1-Month
plus
0.44%)
5.97%
04/25/36
2
234,318
231,098
Residential
Asset
Securitization
Trust,
Series
2004-IP2,
Class
1A1
5.90%
12/25/34
6
124,075
121,988
Residential
Asset
Securitization
Trust,
Series
2004-IP2,
Class
2A1
4.06%
12/25/34
6
10,539
9,509
Residential
Asset
Securitization
Trust,
Series
2004-IP2,
Class
3A1
5.93%
12/25/34
6
243,822
232,576
Residential
Asset
Securitization
Trust,
Series
2006-A7CB,
Class
1A3
6.25%
07/25/36
1,530,845
1,227,720
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
33
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Residential
Funding
Mortgage
Securities
Trust,
Series
2005-SA5,
Class
1A
4.03%
11/25/35
6
$
2,077,275
$
1,280,101
Residential
Funding
Mortgage
Securities
Trust,
Series
2006-SA3,
Class
3A1
5.43%
09/25/36
6
124,125
109,651
Residential
Funding
Mortgage
Securities
Trust,
Series
2006-SA4,
Class
2A1
5.55%
11/25/36
6
32,251
28,161
Residential
Funding
Mortgage
Securities
Trust,
Series
2007-SA2,
Class
2A2
4.66%
04/25/37
6
779,962
626,519
Saxon
Asset
Securities
Trust,
Series
2001-2,
Class
AF6
(STEP-reset
date
02/25/24)
6.81%
06/25/16
6
9
Saxon
Asset
Securities
Trust,
Series
2007-2,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.35%)
5.71%
05/25/47
2
153,813
104,308
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2006-CB1,
Class
AF2
(STEP-reset
date
02/25/24)
2.84%
01/25/36
5,425,645
4,463,014
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2006-CB5,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
06/25/36
2
190,996
123,685
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-BR1,
Class
A2A
(CME
Term
SOFR
1-Month
plus
0.33%)
5.69%
02/25/37
2
5,157,481
2,127,849
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-BR1,
Class
A2B
(CME
Term
SOFR
1-Month
plus
0.65%)
6.01%
02/25/37
2
25,531,144
10,556,186
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-BR2,
Class
A2
(CME
Term
SOFR
1-Month
plus
0.57%)
5.93%
02/25/37
2
33,495,398
14,504,542
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-BR5,
Class
A2A
(CME
Term
SOFR
1-Month
plus
0.24%)
5.60%
05/25/37
2
11,228,802
8,707,667
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-BR5,
Class
A2C
(CME
Term
SOFR
1-Month
plus
0.46%)
5.82%
05/25/37
2
8,468,665
6,262,117
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-NC1,
Class
A2B
(CME
Term
SOFR
1-Month
plus
0.41%)
5.77%
12/25/36
2
25,213,718
13,072,342
Securitized
Asset-Backed
Receivables
LLC
Trust,
Series
2007-NC2,
Class
A2B
(CME
Term
SOFR
1-Month
plus
0.39%)
5.75%
01/25/37
2
12,527,241
11,191,293
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Sequoia
Mortgage
Trust,
Series
2003-2,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.77%)
6.13%
06/20/33
2
$
15,739
$
15,216
Sequoia
Mortgage
Trust,
Series
2003-8,
Class
A1
(CME
Term
SOFR
1-Month
plus
0.75%)
6.11%
01/20/34
2
503
478
Sequoia
Mortgage
Trust,
Series
2004-3,
Class
A
(TSFR6M
plus
0.93%)
6.42%
05/20/34
2
40,171
40,082
Sequoia
Mortgage
Trust,
Series
2004-4,
Class
A
(TSFR6M
plus
0.95%)
6.44%
05/20/34
2
47,795
45,390
SG
Mortgage
Securities
Trust,
Series
2007-NC1,
Class
A2
(CME
Term
SOFR
1-Month
plus
0.35%)
5.71%
12/25/36
1,2
11,666,597
7,026,874
Soundview
Home
Loan
Trust,
Series
2005-OPT1,
Class
M2
(CME
Term
SOFR
1-Month
plus
0.79%)
6.15%
06/25/35
2
4,739,771
4,627,699
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2004-1,
Class
3A3
6.21%
02/25/34
6
5,347
4,988
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2004-12,
Class
2A
5.67%
09/25/34
6
1,775,964
1,713,560
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2004-14,
Class
1A
6.04%
10/25/34
6
23,595
23,394
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2004-14,
Class
2A
6.46%
10/25/34
6
2,473,232
2,414,264
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2004-15,
Class
A
5.26%
10/25/34
6
1,140,211
1,074,459
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2004-17,
Class
A1
4.16%
11/25/34
6
23,166
20,746
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2004-20,
Class
1A2
5.19%
01/25/35
6
254,574
235,407
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2005-12,
Class
3A1
5.68%
06/25/35
6
332,106
299,381
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2005-18,
Class
7A3
4.32%
09/25/35
6
8,798,035
4,785,556
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2006-12,
Class
1A1
(CME
Term
SOFR
1-Month
plus
0.43%)
5.79%
01/25/37
2
13,122,128
11,612,695
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
34
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Structured
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2007-9,
Class
2A1
4.42%
10/25/47
6
$
441,060
$
273,835
Structured
Asset
Mortgage
Investments
II
Trust,
Series
2005-AR8,
Class
A1A
(CME
Term
SOFR
1-Month
plus
0.67%)
6.03%
02/25/36
2
232,799
193,891
Structured
Asset
Mortgage
Investments
II
Trust,
Series
2005-AR8,
Class
A3
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
2.00%)
4.43%
02/25/36
2
7,509,660
6,302,635
Structured
Asset
Mortgage
Investments
II
Trust,
Series
2006-AR7,
Class
A1A
(CME
Term
SOFR
1-Month
plus
0.53%)
5.89%
08/25/36
2
9,645,511
7,565,328
Structured
Asset
Mortgage
Investments
II
Trust,
Series
2006-AR8,
Class
A1BG
(CME
Term
SOFR
1-Month
plus
0.23%)
5.59%
10/25/36
2
8,031,782
6,930,426
Structured
Asset
Mortgage
Investments
II
Trust,
Series
2007-AR6,
Class
A1
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.50%)
6.51%
08/25/47
2
81,387,901
67,165,691
Structured
Asset
Securities
Corp.
Mortgage
Pass-Through
Certificates,
Series
1997-2,
Class
2A4
7.25%
03/28/30
224
216
Structured
Asset
Securities
Corp.
Mortgage
Pass-Through
Certificates,
Series
2003-26A,
Class
3A5
6.45%
09/25/33
6
72,065
69,415
Structured
Asset
Securities
Corp.
Trust,
Series
2005-5,
Class
2A4
5.50%
04/25/35
771,389
717,460
SunTrust
Adjustable
Rate
Mortgage
Loan
Trust,
Series
2007-3,
Class
1A1
5.03%
06/25/37
6
1,305,630
837,834
Thornburg
Mortgage
Securities
Trust,
Series
2004-4,
Class
2A
5.02%
12/25/44
6
56,784
52,191
Wachovia
Mortgage
Loan
Trust,
Series
2006-ALT1,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.57%)
1.85%
01/25/37
2
9,605,059
3,681,895
Wachovia
Mortgage
Loan
Trust,
Series
2006-AMN1,
Class
A3
(CME
Term
SOFR
1-Month
plus
0.59%)
1.82%
08/25/36
2
15,103,592
5,316,741
WaMu
Asset-Backed
Certificates,
Series
2007-HE1,
Class
2A2
(CME
Term
SOFR
1-Month
plus
0.22%)
5.58%
01/25/37
2
2,855,997
1,333,238
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
WaMu
Asset-Backed
Certificates,
Series
2007-HE1,
Class
2A4
(CME
Term
SOFR
1-Month
plus
0.34%)
5.70%
01/25/37
2
$
8,849,970
$
3,763,560
WaMu
Mortgage
Pass-Through
Certificates,
Series
2003-AR6,
Class
A1
5.35%
06/25/33
6
1,270,118
1,197,254
WaMu
Mortgage
Pass-Through
Certificates,
Series
2004-AR3,
Class
A2
4.51%
06/25/34
6
13,198
12,035
WaMu
Mortgage
Pass-Through
Certificates,
Series
2004-AR6,
Class
A
(CME
Term
SOFR
1-Month
plus
0.95%)
6.31%
05/25/44
2
33,036
32,994
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-3,
Class
2A3
(CME
Term
SOFR
1-Month
plus
0.66%)
5.50%
05/25/35
2
1,303,542
987,381
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-4,
Class
CB13
(CME
Term
SOFR
1-Month
plus
0.61%)
5.50%
06/25/35
2
2,539,976
2,101,156
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR1,
Class
A1A
(CME
Term
SOFR
1-Month
plus
0.75%)
6.11%
01/25/45
2
302,045
280,781
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR13,
Class
A1A1
(CME
Term
SOFR
1-Month
plus
0.69%)
6.05%
10/25/45
2
2,028,228
1,929,929
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR14,
Class
2A1
4.73%
12/25/35
6
1,212,972
1,089,974
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR15,
Class
A1A1
(CME
Term
SOFR
1-Month
plus
0.63%)
5.99%
11/25/45
2
14,218,426
12,745,856
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR17,
Class
A1A1
(CME
Term
SOFR
1-Month
plus
0.65%)
6.01%
12/25/45
2
6,426,974
5,774,721
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR19,
Class
A1A2
(CME
Term
SOFR
1-Month
plus
0.69%)
6.05%
12/25/45
2
6,123,479
5,900,447
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR2,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.73%)
6.09%
01/25/45
2
361,265
349,813
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR2,
Class
2A21
(CME
Term
SOFR
1-Month
plus
0.77%)
6.13%
01/25/45
2
30,723
29,762
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
35
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR2,
Class
2A23
(CME
Term
SOFR
1-Month
plus
0.87%)
6.23%
01/25/45
2
$
1,282,850
$
1,245,752
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR6,
Class
2A1A
(CME
Term
SOFR
1-Month
plus
0.57%)
5.93%
04/25/45
2
55,714
54,059
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-AR8,
Class
1A1A
(CME
Term
SOFR
1-Month
plus
0.65%)
6.01%
07/25/45
2
61,120
57,320
WaMu
Mortgage
Pass-Through
Certificates,
Series
2006-AR10,
Class
1A4
4.47%
09/25/36
6
6,278,967
5,520,485
WaMu
Mortgage
Pass-Through
Certificates,
Series
2006-AR16,
Class
3A1
4.06%
12/25/36
6
351,557
299,821
WaMu
Mortgage
Pass-Through
Certificates,
Series
2006-AR3,
Class
A1A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.00%)
6.01%
02/25/46
2
7,651,639
6,791,708
WaMu
Mortgage
Pass-Through
Certificates,
Series
2006-AR4,
Class
1A1A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.94%)
4.43%
05/25/46
2
2,658,156
2,321,414
WaMu
Mortgage
Pass-Through
Certificates,
Series
2006-AR7,
Class
2A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.98%)
5.99%
07/25/46
2
4,760,602
4,108,051
WaMu
Mortgage
Pass-Through
Certificates,
Series
2007-HY7,
Class
4A2
4.55%
07/25/37
6
142,789
119,049
WaMu
Mortgage
Pass-Through
Certificates,
Series
2007-OA1,
Class
A1A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.70%)
5.71%
02/25/47
2
7,575,345
6,330,274
WaMu
MSC
Mortgage
Pass-Through
Certificates,
Series
2002-AR1,
Class
1A1
5.96%
11/25/30
6
59,267
58,997
Wells
Fargo
Alternative
Loan
Trust,
Series
2007-PA5,
Class
1A1
6.25%
11/25/37
68,785
58,476
Wells
Fargo
Mortgage-Backed
Securities
Trust,
Series
2006-AR1,
Class
1A1
4.87%
03/25/36
6
1,151,982
1,069,911
5,329,429,400
U.S.
Agency
Commercial
Mortgage-Backed
—
0
.71
%
Fannie
Mae
Pool
AM4869
4.07%
12/01/25
1,637,729
1,619,985
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Commercial
Mortgage-Backed
(continued)
Fannie
Mae
Pool
AM6770
3.77%
09/01/29
$
151,466
$
146,492
Fannie
Mae
Pool
AN7981
2.95%
01/01/28
98,371
93,168
Fannie
Mae
Pool
BL6060
2.46%
04/01/40
125,360,000
92,067,272
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K154,
Class
A2
3.42%
04/25/32
750,000
705,424
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
K157,
Class
A3
3.99%
08/25/33
6
300,000
280,861
Ginnie
Mae,
Series
2020-193,
Class
AC
1.25%
09/16/62
33,231,681
23,976,319
Ginnie
Mae,
Series
2020-193,
Class
IO
(IO)
0.78%
09/16/62
6
556,657,688
31,534,213
Ginnie
Mae,
Series
2021-10,
Class
IO
(IO)
0.99%
05/16/63
6
60,774,934
4,153,037
Ginnie
Mae,
Series
2021-14,
Class
AB
1.34%
06/16/63
42,405,942
32,062,111
Ginnie
Mae,
Series
2021-150,
Class
IO
(IO)
1.03%
11/16/63
6
33,557,373
2,188,494
Ginnie
Mae,
Series
2021-17,
Class
IO
(IO)
1.05%
01/16/61
6
134,021,456
10,158,277
Ginnie
Mae,
Series
2021-2,
Class
AH
1.50%
06/16/63
98,595,440
75,259,428
Ginnie
Mae,
Series
2021-21,
Class
AH
1.40%
06/16/63
68,044,138
51,233,834
Ginnie
Mae,
Series
2021-31,
Class
B
1.25%
01/16/61
73,928,509
55,056,778
Ginnie
Mae,
Series
2021-31,
Class
IO
(IO)
0.94%
01/16/61
6
113,054,939
7,374,506
Ginnie
Mae,
Series
2022-32,
Class
IO
(IO)
0.53%
02/01/62
6
273,405,653
11,762,813
399,673,012
U.S.
Agency
Mortgage-Backed
—
38
.60
%
Fannie
Mae
Pool
190375
5.50%
11/01/36
310,376
319,747
Fannie
Mae
Pool
190396
4.50%
06/01/39
4,342
4,321
Fannie
Mae
Pool
313182
7.50%
10/01/26
299
300
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
36
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
Pool
394854
6.50%
05/01/27
$
158
$
164
Fannie
Mae
Pool
545191
7.00%
09/01/31
1,190
1,215
Fannie
Mae
Pool
545756
7.00%
06/01/32
262
274
Fannie
Mae
Pool
613142
7.00%
11/01/31
5,153
5,321
Fannie
Mae
Pool
625666
7.00%
01/01/32
4,025
4,155
Fannie
Mae
Pool
633698
7.50%
02/01/31
17,692
18,299
Fannie
Mae
Pool
655928
7.00%
08/01/32
55,501
57,745
Fannie
Mae
Pool
725257
5.50%
02/01/34
415,489
428,010
Fannie
Mae
Pool
734830
4.50%
08/01/33
5,686
5,700
Fannie
Mae
Pool
734922
4.50%
09/01/33
667,153
669,008
Fannie
Mae
Pool
735207
7.00%
04/01/34
9,524
9,808
Fannie
Mae
Pool
735224
5.50%
02/01/35
1,456,432
1,500,367
Fannie
Mae
Pool
735651
4.50%
06/01/35
1,699,965
1,689,237
Fannie
Mae
Pool
740297
5.50%
10/01/33
866
892
Fannie
Mae
Pool
745147
4.50%
12/01/35
10,482
10,499
Fannie
Mae
Pool
753168
4.50%
12/01/33
3,519
3,529
Fannie
Mae
Pool
815422
4.50%
02/01/35
17,997
18,039
Fannie
Mae
Pool
839109
(RFUCCT1Y
plus
1.91%)
6.16%
11/01/35
2
3,134
3,125
Fannie
Mae
Pool
844773
(RFUCCT1Y
plus
1.56%)
5.81%
12/01/35
2
1,464
1,459
Fannie
Mae
Pool
888412
7.00%
04/01/37
64,454
64,913
Fannie
Mae
Pool
889184
5.50%
09/01/36
1,512,002
1,557,612
Fannie
Mae
Pool
AB1613
4.00%
10/01/40
14,318,779
13,969,384
Fannie
Mae
Pool
AB1803
4.00%
11/01/40
17,224,079
16,821,200
Fannie
Mae
Pool
AB2127
3.50%
01/01/26
2,345,943
2,305,443
Fannie
Mae
Pool
AB3679
3.50%
10/01/41
6,050,551
5,731,525
Fannie
Mae
Pool
AB3864
3.50%
11/01/41
4,393,137
4,162,418
Fannie
Mae
Pool
AB4045
3.50%
12/01/41
5,735,176
5,496,964
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
Pool
AB4262
3.50%
01/01/32
$
2,773,084
$
2,676,551
Fannie
Mae
Pool
AB6385
3.00%
10/01/42
199,543
181,696
Fannie
Mae
Pool
AB9703
3.50%
06/01/43
10,499,969
9,877,110
Fannie
Mae
Pool
AC8279
4.50%
08/01/39
6,139
6,091
Fannie
Mae
Pool
AE0138
4.50%
03/01/40
25,504
25,468
Fannie
Mae
Pool
AE0482
5.50%
01/01/38
3,534,040
3,613,183
Fannie
Mae
Pool
AH3780
4.00%
02/01/41
6,822,597
6,656,103
Fannie
Mae
Pool
AJ1404
4.00%
09/01/41
8,803,675
8,581,561
Fannie
Mae
Pool
AL0209
4.50%
05/01/41
10,381,856
10,369,734
Fannie
Mae
Pool
AL0851
6.00%
10/01/40
5,960,764
6,273,432
Fannie
Mae
Pool
AL2521
3.50%
09/01/42
66,179
62,527
Fannie
Mae
Pool
AL4597
4.00%
01/01/44
27,283,671
26,586,737
Fannie
Mae
Pool
AL6348
3.50%
02/01/45
23,372
21,955
Fannie
Mae
Pool
AL7092
3.00%
07/01/45
37,325
34,135
Fannie
Mae
Pool
AL8037
4.50%
07/01/34
83,662
83,394
Fannie
Mae
Pool
AL8256
3.00%
08/01/43
339,879
309,579
Fannie
Mae
Pool
AL8356
4.50%
07/01/34
190,514
189,222
Fannie
Mae
Pool
AL8960
4.50%
05/01/46
16,004,492
15,889,445
Fannie
Mae
Pool
AL9106
4.50%
02/01/46
19,970,148
19,826,595
Fannie
Mae
Pool
AL9217
3.50%
10/01/46
14,008,100
13,162,461
Fannie
Mae
Pool
AL9472
4.00%
10/01/43
3,317,327
3,230,941
Fannie
Mae
Pool
AL9722
4.50%
08/01/46
65,930,588
65,456,652
Fannie
Mae
Pool
AL9846
4.50%
02/01/47
69,467,713
68,968,351
Fannie
Mae
Pool
AS8605
3.00%
01/01/32
94,255
90,259
Fannie
Mae
Pool
AS8663
4.50%
01/01/47
11,960,441
11,851,606
Fannie
Mae
Pool
AS9830
4.00%
06/01/47
21,845,744
21,066,851
Fannie
Mae
Pool
AS9972
4.00%
07/01/47
19,874,945
19,151,105
Fannie
Mae
Pool
AT9649
4.00%
07/01/43
116,350
113,221
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
37
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
Pool
AU3739
3.50%
08/01/43
$
19,582,903
$
18,453,021
Fannie
Mae
Pool
BD2450
3.50%
01/01/47
40,222
37,615
Fannie
Mae
Pool
BM4299
3.00%
03/01/30
12,613,188
12,274,057
Fannie
Mae
Pool
BM4304
3.00%
02/01/30
15,425,335
15,024,546
Fannie
Mae
Pool
BM5164
4.00%
11/01/48
24,439,607
23,616,222
Fannie
Mae
Pool
BM5507
3.00%
09/01/48
5,367,752
4,848,022
Fannie
Mae
Pool
BN4316
4.00%
01/01/49
16,302
15,772
Fannie
Mae
Pool
BQ6913
2.00%
12/01/51
434,066,941
355,201,514
Fannie
Mae
Pool
BQ7006
2.00%
01/01/52
103,943,465
85,058,024
Fannie
Mae
Pool
BT6823
2.50%
10/01/51
105,798,059
90,162,247
Fannie
Mae
Pool
BU1450
2.00%
01/01/52
174,708,981
142,966,185
Fannie
Mae
Pool
BU1452
2.00%
01/01/52
262,811,779
214,855,489
Fannie
Mae
Pool
BV2994
2.50%
04/01/52
2,622,966
2,235,539
Fannie
Mae
Pool
BV7773
2.50%
04/01/52
94,815,770
80,840,575
Fannie
Mae
Pool
BV8459
3.00%
04/01/52
137,403,013
121,462,194
Fannie
Mae
Pool
BW9897
4.50%
10/01/52
90,613,442
87,872,988
Fannie
Mae
Pool
CA0862
3.50%
09/01/47
2,114,597
1,973,727
Fannie
Mae
Pool
CA0996
3.50%
01/01/48
29,180
27,346
Fannie
Mae
Pool
CA1187
3.50%
02/01/48
32,554,851
30,323,958
Fannie
Mae
Pool
CA1191
3.50%
11/01/47
2,458,349
2,294,579
Fannie
Mae
Pool
CA1710
4.50%
05/01/48
73,389
72,319
Fannie
Mae
Pool
CA1711
4.50%
05/01/48
7,337,935
7,230,922
Fannie
Mae
Pool
CA2208
4.50%
08/01/48
15,924,108
15,691,877
Fannie
Mae
Pool
CA2327
4.00%
09/01/48
22,571,671
21,850,634
Fannie
Mae
Pool
CA2493
4.50%
10/01/48
4,229,109
4,173,445
Fannie
Mae
Pool
CA3633
3.50%
06/01/49
16,522,125
15,441,067
Fannie
Mae
Pool
CA4011
3.50%
08/01/49
14,924,591
13,631,855
Fannie
Mae
Pool
CA5689
3.00%
05/01/50
55,792,168
50,164,275
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
Pool
CB0610
2.50%
05/01/51
$
59,058,719
$
50,750,672
Fannie
Mae
Pool
CB2313
2.50%
12/01/51
148,639,611
127,449,924
Fannie
Mae
Pool
CB2365
2.00%
09/01/51
156,876,996
128,433,581
Fannie
Mae
Pool
CB2767
2.00%
01/01/52
69,253,820
56,866,184
Fannie
Mae
Pool
CB3582
3.00%
05/01/52
16,068,233
14,262,623
Fannie
Mae
Pool
CB5675
4.50%
02/01/53
48,793,996
47,337,624
Fannie
Mae
Pool
CB6854
4.50%
08/01/53
35,866,575
34,788,636
Fannie
Mae
Pool
FM2310
3.00%
01/01/48
8,423,149
7,600,768
Fannie
Mae
Pool
FM2318
3.50%
09/01/49
143,412,559
133,971,775
Fannie
Mae
Pool
FM2388
3.50%
04/01/48
14,615,246
13,710,119
Fannie
Mae
Pool
FM9672
2.50%
12/01/51
119,000,088
101,230,097
Fannie
Mae
Pool
FS1598
2.00%
04/01/52
97,658,343
79,768,414
Fannie
Mae
Pool
FS1622
2.00%
03/01/52
192,903,601
158,156,444
Fannie
Mae
Pool
FS2536
2.50%
02/01/52
3,627,574
3,089,354
Fannie
Mae
Pool
FS2943
2.00%
02/01/51
40,308,026
33,135,634
Fannie
Mae
Pool
FS5494
3.00%
07/01/52
156,251,200
138,438,962
Fannie
Mae
Pool
FS5635
4.00%
11/01/52
69,810,148
66,054,866
Fannie
Mae
Pool
MA1146
4.00%
08/01/42
16,623,263
16,159,986
Fannie
Mae
Pool
MA1177
3.50%
09/01/42
22,204,858
20,904,849
Fannie
Mae
Pool
MA1404
3.50%
04/01/43
46,237
43,494
Fannie
Mae
Pool
MA1432
3.00%
05/01/33
34,810
33,041
Fannie
Mae
Pool
MA1459
3.00%
06/01/33
16,491
15,643
Fannie
Mae
Pool
MA1527
3.00%
08/01/33
24,167,492
22,987,122
Fannie
Mae
Pool
MA1561
3.00%
09/01/33
15,268,063
14,522,352
Fannie
Mae
Pool
MA1582
3.50%
09/01/43
7,707,154
7,254,748
Fannie
Mae
Pool
MA1584
3.50%
09/01/33
23,130,677
22,327,051
Fannie
Mae
Pool
MA1608
3.50%
10/01/33
16,042,498
15,485,136
Fannie
Mae
Pool
MA1982
3.50%
08/01/34
32,211
30,930
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
38
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
Pool
MA2895
3.00%
02/01/47
$
38,082
$
34,395
Fannie
Mae
Pool
MA2960
4.00%
04/01/47
18,735,694
18,053,070
Fannie
Mae
Pool
MA3027
4.00%
06/01/47
13,966,450
13,457,591
Fannie
Mae
Pool
MA3029
3.00%
06/01/32
14,887,531
14,286,975
Fannie
Mae
Pool
MA3060
3.00%
07/01/32
6,664
6,346
Fannie
Mae
Pool
MA3120
3.50%
09/01/47
1,086,866
1,014,461
Fannie
Mae
Pool
MA3182
3.50%
11/01/47
23,008,867
21,433,769
Fannie
Mae
Pool
MA3210
3.50%
12/01/47
39,999,845
37,322,112
Fannie
Mae
Pool
MA3238
3.50%
01/01/48
34,537,833
32,173,506
Fannie
Mae
Pool
MA3276
3.50%
02/01/48
13,547,897
12,620,460
Fannie
Mae
Pool
MA3305
3.50%
03/01/48
18,068,120
16,820,998
Fannie
Mae
Pool
MA3332
3.50%
04/01/48
49,728,214
46,295,808
Fannie
Mae
Pool
MA3364
3.50%
05/01/33
5,618,060
5,448,078
Fannie
Mae
Pool
MA3537
4.50%
12/01/48
9,550,529
9,411,354
Fannie
Mae
Pool
MA3811
3.00%
10/01/49
5,612,782
4,943,451
Fannie
Mae
Pool
MA3846
3.00%
11/01/49
30,337
26,719
Fannie
Mae
Pool
MA3942
3.00%
02/01/50
10,887,140
9,480,874
Fannie
Mae
Pool
MA3997
3.00%
04/01/50
13,237,719
11,652,122
Fannie
Mae
Pool
MA4128
2.00%
09/01/40
119,397,774
102,890,787
Fannie
Mae
Pool
MA4158
2.00%
10/01/50
167,711,026
138,013,729
Fannie
Mae
Pool
MA4237
2.00%
01/01/51
2,277,275
1,873,295
Fannie
Mae
Pool
MA4281
2.00%
03/01/51
36,971,425
30,392,746
Fannie
Mae
Pool
MA4305
2.00%
04/01/51
82,998,617
68,152,069
Fannie
Mae
Pool
MA4333
2.00%
05/01/41
69,150,452
59,482,213
Fannie
Mae
Pool
MA4492
2.00%
12/01/51
91,482,190
74,923,471
Fannie
Mae
Pool
MA4493
2.50%
12/01/51
147,923,759
126,179,232
Fannie
Mae
Pool
MA4547
2.00%
02/01/52
18,157,916
14,844,570
Fannie
Mae
Pool
MA4548
2.50%
02/01/52
174,197,268
148,453,391
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
Pool
MA4563
2.50%
03/01/52
$
212,808,133
$
180,992,934
Fannie
Mae
Pool
MA4578
2.50%
04/01/52
345,161,102
293,558,896
Fannie
Mae
REMICS,
Series
1994-55,
Class
H
7.00%
03/25/24
51
51
Fannie
Mae
REMICS,
Series
1999-11,
Class
Z
5.50%
03/25/29
9,724
9,401
Fannie
Mae
REMICS,
Series
2001-52,
Class
YZ
6.50%
10/25/31
50,512
52,029
Fannie
Mae
REMICS,
Series
2005-122,
Class
SG
(IO)
(-1.00
X
SOFR30A
plus
6.49%,
6.60%
Cap)
1.15%
11/25/35
2
13,791
176
Fannie
Mae
REMICS,
Series
2005-92,
Class
US
(IO)
(-1.00
X
SOFR30A
plus
5.99%,
6.10%
Cap)
0.65%
10/25/25
2
220,610
809
Fannie
Mae
REMICS,
Series
2006-4,
Class
WE
4.50%
02/25/36
21,309
20,885
Fannie
Mae
REMICS,
Series
2006-49,
Class
SE
(-4.00
X
SOFR30A
plus
28.54%,
29.00%
Cap)
7.19%
04/25/36
2
640,315
712,006
Fannie
Mae
REMICS,
Series
2007-17,
Class
SI
(IO)
(-1.00
X
SOFR30A
plus
6.29%,
6.40%
Cap)
0.95%
03/25/37
2
637,559
59,254
Fannie
Mae
REMICS,
Series
2007-34,
Class
SB
(IO)
(-1.00
X
SOFR30A
plus
6.00%,
6.11%
Cap)
0.66%
04/25/37
2
1,304,896
105,567
Fannie
Mae
REMICS,
Series
2007-64,
Class
FA
(SOFR30A
plus
0.58%)
5.92%
07/25/37
2
1,888
1,880
Fannie
Mae
REMICS,
Series
2008-24,
Class
NA
6.75%
06/25/37
133,993
140,076
Fannie
Mae
REMICS,
Series
2010-116,
Class
SE
(IO)
(-1.00
X
SOFR30A
plus
6.49%,
6.60%
Cap)
1.15%
10/25/40
2
1,773,162
189,541
Fannie
Mae
REMICS,
Series
2010-17,
Class
SB
(IO)
(-1.00
X
SOFR30A
plus
6.24%,
6.35%
Cap)
0.90%
03/25/40
2
3,623,964
341,758
Fannie
Mae
REMICS,
Series
2010-43,
Class
KS
(IO)
(-1.00
X
SOFR30A
plus
6.31%,
6.42%
Cap)
0.97%
05/25/40
2
6,407,085
678,290
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
39
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
REMICS,
Series
2011-101,
Class
HE
4.00%
10/25/41
$
7,516,637
$
7,338,602
Fannie
Mae
REMICS,
Series
2011-111,
Class
DB
4.00%
11/25/41
6,814,411
6,554,210
Fannie
Mae
REMICS,
Series
2012-84,
Class
VZ
3.50%
08/25/42
5,812,329
5,453,509
Fannie
Mae
REMICS,
Series
2013-101,
Class
BO
(PO)
0.00%
10/25/43
7
9,003,276
6,799,632
Fannie
Mae
REMICS,
Series
2013-101,
Class
CO
(PO)
0.00%
10/25/43
7
5,177,424
3,902,878
Fannie
Mae
REMICS,
Series
2016-45,
Class
AF
(SOFR30A
plus
0.61%)
5.95%
07/25/46
2
6,631,846
6,499,693
Fannie
Mae
REMICS,
Series
2016-72,
Class
FA
(SOFR30A
plus
0.61%)
5.95%
10/25/46
2
13,424,288
13,147,627
Fannie
Mae
REMICS,
Series
2016-74,
Class
GF
(SOFR30A
plus
0.61%)
5.95%
10/25/46
2
10,752,412
10,492,384
Fannie
Mae
REMICS,
Series
2016-75,
Class
FL
(SOFR30A
plus
0.61%)
5.95%
10/25/46
2
10,632,864
10,376,365
Fannie
Mae
REMICS,
Series
2018-29,
Class
AP
3.50%
11/25/46
20,012,013
19,557,780
Fannie
Mae
REMICS,
Series
2018-38,
Class
LA
3.00%
06/25/48
13,050,259
11,705,320
Fannie
Mae
REMICS,
Series
2018-38,
Class
PA
3.50%
06/25/47
16,554
15,891
Fannie
Mae
REMICS,
Series
2018-45,
Class
GA
3.00%
06/25/48
14,586,494
13,015,748
Fannie
Mae
REMICS,
Series
2018-55,
Class
PA
3.50%
01/25/47
6,653,986
6,478,093
Fannie
Mae
REMICS,
Series
2018-57,
Class
QA
3.50%
05/25/46
11,530
11,313
Fannie
Mae
REMICS,
Series
2018-86,
Class
JA
4.00%
05/25/47
554,317
542,862
Fannie
Mae
REMICS,
Series
2018-94,
Class
KD
3.50%
12/25/48
3,150,695
2,884,898
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
REMICS,
Series
2019-1,
Class
AB
3.50%
02/25/49
$
1,295,623
$
1,209,102
Fannie
Mae
REMICS,
Series
2019-1,
Class
KP
3.25%
02/25/49
1,261,030
1,154,589
Fannie
Mae
REMICS,
Series
2019-26,
Class
JE
3.00%
06/25/49
3,716,533
3,314,375
Fannie
Mae
REMICS,
Series
2019-45,
Class
PA
3.00%
08/25/49
14,006,588
12,489,158
Fannie
Mae
REMICS,
Series
2019-52,
Class
PA
3.00%
09/25/49
4,138,768
3,701,395
Fannie
Mae
REMICS,
Series
2019-67,
Class
FE
(SOFR30A
plus
0.56%)
5.90%
11/25/49
2
26,242,281
25,677,288
Fannie
Mae
REMICS,
Series
2019-79,
Class
FA
(SOFR30A
plus
0.61%)
5.95%
01/25/50
2
72,659
71,407
Fannie
Mae
Trust,
Series
2003-W2,
Class
2A9
5.90%
07/25/42
15,303
15,372
Freddie
Mac
Gold
Pool
A24156
6.50%
10/01/31
44,454
46,080
Freddie
Mac
Gold
Pool
A25162
5.50%
05/01/34
720,933
739,661
Freddie
Mac
Gold
Pool
A39012
5.50%
06/01/35
17,909
18,429
Freddie
Mac
Gold
Pool
A54856
5.00%
01/01/34
1,538,124
1,565,662
Freddie
Mac
Gold
Pool
A61164
5.00%
04/01/36
4,685
4,756
Freddie
Mac
Gold
Pool
A97038
4.00%
02/01/41
5,301,434
5,147,084
Freddie
Mac
Gold
Pool
C01492
5.00%
02/01/33
188,327
190,853
Freddie
Mac
Gold
Pool
C04546
3.00%
02/01/43
10,066,522
9,269,618
Freddie
Mac
Gold
Pool
C04573
3.00%
03/01/43
11,993,118
11,044,087
Freddie
Mac
Gold
Pool
C46104
6.50%
09/01/29
4,958
5,153
Freddie
Mac
Gold
Pool
C55789
7.50%
10/01/27
571
571
Freddie
Mac
Gold
Pool
G00992
7.00%
11/01/28
239
247
Freddie
Mac
Gold
Pool
G01515
5.00%
02/01/33
238,629
241,493
Freddie
Mac
Gold
Pool
G02579
5.00%
12/01/34
344,626
350,820
Freddie
Mac
Gold
Pool
G02884
6.00%
04/01/37
1,062,512
1,116,893
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
40
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Freddie
Mac
Gold
Pool
G02955
5.50%
03/01/37
$
1,598,225
$
1,652,802
Freddie
Mac
Gold
Pool
G03357
5.50%
08/01/37
461,761
476,633
Freddie
Mac
Gold
Pool
G03676
5.50%
12/01/37
1,019,059
1,054,136
Freddie
Mac
Gold
Pool
G03783
5.50%
01/01/38
859,566
889,149
Freddie
Mac
Gold
Pool
G03985
6.00%
03/01/38
5,361
5,611
Freddie
Mac
Gold
Pool
G04438
5.50%
05/01/38
2,379,136
2,466,573
Freddie
Mac
Gold
Pool
G04703
5.50%
08/01/38
1,852,580
1,920,919
Freddie
Mac
Gold
Pool
G04706
5.50%
09/01/38
76,964
79,795
Freddie
Mac
Gold
Pool
G05866
4.50%
02/01/40
7,773,693
7,777,744
Freddie
Mac
Gold
Pool
G06361
4.00%
03/01/41
10,701
10,455
Freddie
Mac
Gold
Pool
G06498
4.00%
04/01/41
10,200,236
9,965,212
Freddie
Mac
Gold
Pool
G06499
4.00%
03/01/41
4,568,537
4,456,475
Freddie
Mac
Gold
Pool
G07408
3.50%
06/01/43
11,317,365
10,851,376
Freddie
Mac
Gold
Pool
G07786
4.00%
08/01/44
86,534,937
84,326,457
Freddie
Mac
Gold
Pool
G07848
3.50%
04/01/44
54,088,843
51,124,426
Freddie
Mac
Gold
Pool
G07849
3.50%
05/01/44
7,123,425
6,734,361
Freddie
Mac
Gold
Pool
G07924
3.50%
01/01/45
7,926,029
7,456,178
Freddie
Mac
Gold
Pool
G07925
4.00%
02/01/45
5,688,874
5,539,103
Freddie
Mac
Gold
Pool
G08676
3.50%
11/01/45
19,225,352
18,010,407
Freddie
Mac
Gold
Pool
G08681
3.50%
12/01/45
12,881,973
12,067,897
Freddie
Mac
Gold
Pool
G08698
3.50%
03/01/46
664
621
Freddie
Mac
Gold
Pool
G08710
3.00%
06/01/46
77,669,152
70,232,092
Freddie
Mac
Gold
Pool
G08711
3.50%
06/01/46
5,462,952
5,112,520
Freddie
Mac
Gold
Pool
G08715
3.00%
08/01/46
106,188,343
96,020,482
Freddie
Mac
Gold
Pool
G08721
3.00%
09/01/46
10,748,594
9,748,128
Freddie
Mac
Gold
Pool
G08722
3.50%
09/01/46
24,502,710
22,930,936
Freddie
Mac
Gold
Pool
G08726
3.00%
10/01/46
115,234,586
104,508,695
Freddie
Mac
Gold
Pool
G08727
3.50%
10/01/46
21,568,922
20,185,342
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Freddie
Mac
Gold
Pool
G08732
3.00%
11/01/46
$
71,010,031
$
64,400,506
Freddie
Mac
Gold
Pool
G08741
3.00%
01/01/47
45,251,687
41,011,434
Freddie
Mac
Gold
Pool
G08742
3.50%
01/01/47
34,539,849
32,324,224
Freddie
Mac
Gold
Pool
G08747
3.00%
02/01/47
15,919,198
14,427,510
Freddie
Mac
Gold
Pool
G08757
3.50%
04/01/47
12,596,184
11,746,994
Freddie
Mac
Gold
Pool
G08758
4.00%
04/01/47
9,708
9,376
Freddie
Mac
Gold
Pool
G08762
4.00%
05/01/47
9,759,729
9,425,862
Freddie
Mac
Gold
Pool
G08779
3.50%
09/01/47
48,713
45,521
Freddie
Mac
Gold
Pool
G08784
3.50%
10/01/47
42,999
40,101
Freddie
Mac
Gold
Pool
G08792
3.50%
12/01/47
36,900
34,412
Freddie
Mac
Gold
Pool
G08826
5.00%
06/01/48
6,981,916
7,028,109
Freddie
Mac
Gold
Pool
G08833
5.00%
07/01/48
3,946,187
3,972,295
Freddie
Mac
Gold
Pool
G08838
5.00%
09/01/48
2,143,486
2,158,096
Freddie
Mac
Gold
Pool
G08840
5.00%
08/01/48
630,906
635,112
Freddie
Mac
Gold
Pool
G08843
4.50%
10/01/48
4,979,067
4,919,213
Freddie
Mac
Gold
Pool
G08844
5.00%
10/01/48
5,520,670
5,557,195
Freddie
Mac
Gold
Pool
G08848
4.50%
11/01/48
886,010
874,882
Freddie
Mac
Gold
Pool
G08849
5.00%
11/01/48
2,089,480
2,101,964
Freddie
Mac
Gold
Pool
G16085
2.50%
02/01/32
2,065,543
1,952,730
Freddie
Mac
Gold
Pool
G16502
3.50%
05/01/33
38,244
37,128
Freddie
Mac
Gold
Pool
G16524
3.50%
05/01/33
15,152,786
14,743,801
Freddie
Mac
Gold
Pool
G16584
3.50%
08/01/33
2,229,525
2,164,471
Freddie
Mac
Gold
Pool
G16607
3.50%
09/01/33
21,874,548
21,278,482
Freddie
Mac
Gold
Pool
G16623
2.50%
09/01/32
16,505,509
15,612,877
Freddie
Mac
Gold
Pool
G16755
3.50%
02/01/34
21,290,897
20,938,412
Freddie
Mac
Gold
Pool
G16756
3.50%
01/01/34
1,992,205
1,937,919
Freddie
Mac
Gold
Pool
G18592
3.00%
03/01/31
14,647
14,071
Freddie
Mac
Gold
Pool
G18596
3.00%
04/01/31
17,098,729
16,372,326
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
41
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Freddie
Mac
Gold
Pool
G18691
3.00%
06/01/33
$
6,263,270
$
5,948,948
Freddie
Mac
Gold
Pool
G18692
3.50%
06/01/33
8,627,458
8,485,011
Freddie
Mac
Gold
Pool
G18713
3.50%
11/01/33
10,283,855
9,977,363
Freddie
Mac
Gold
Pool
G18716
3.50%
12/01/33
29,168
28,332
Freddie
Mac
Gold
Pool
G60023
3.50%
04/01/45
8,495,826
8,042,642
Freddie
Mac
Gold
Pool
G60080
3.50%
06/01/45
89,027,304
83,805,456
Freddie
Mac
Gold
Pool
G60138
3.50%
08/01/45
71,070,154
67,279,133
Freddie
Mac
Gold
Pool
G60238
3.50%
10/01/45
27,382,907
25,726,135
Freddie
Mac
Gold
Pool
G60344
4.00%
12/01/45
65,853
63,781
Freddie
Mac
Gold
Pool
G67700
3.50%
08/01/46
20,889,175
19,639,256
Freddie
Mac
Gold
Pool
G67703
3.50%
04/01/47
150,276,055
141,283,004
Freddie
Mac
Gold
Pool
G67707
3.50%
01/01/48
78,193,984
73,434,943
Freddie
Mac
Gold
Pool
G67711
4.00%
03/01/48
44,497,879
43,042,409
Freddie
Mac
Gold
Pool
G67713
4.00%
06/01/48
397,739
384,481
Freddie
Mac
Gold
Pool
G67714
4.00%
07/01/48
64,815
62,675
Freddie
Mac
Gold
Pool
G67717
4.00%
11/01/48
54,644,596
52,840,163
Freddie
Mac
Gold
Pool
H00790
5.50%
05/01/37
3,923
4,024
Freddie
Mac
Gold
Pool
H05069
5.50%
05/01/37
61,789
63,361
Freddie
Mac
Gold
Pool
Q05804
4.00%
01/01/42
17,982,618
17,568,972
Freddie
Mac
Gold
Pool
U99097
3.50%
07/01/43
25,664,071
24,177,090
Freddie
Mac
Gold
Pool
V62078
3.50%
08/01/33
2,346,169
2,307,431
Freddie
Mac
Gold
Pool
V62129
3.50%
08/01/33
5,241,556
5,154,786
Freddie
Mac
Gold
Pool
V80356
3.50%
08/01/43
18,466,580
17,387,307
Freddie
Mac
Pool
QD3162
2.00%
12/01/51
135,970,135
111,254,063
Freddie
Mac
Pool
QD7213
2.00%
02/01/52
93,760,558
76,584,660
Freddie
Mac
Pool
QE0312
2.00%
04/01/52
6,438,997
5,259,444
Freddie
Mac
Pool
QE0521
2.50%
04/01/52
2,928,093
2,490,338
Freddie
Mac
Pool
RA4201
2.00%
12/01/50
8,437,450
6,936,094
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Freddie
Mac
Pool
RA4398
2.00%
01/01/51
$
72,288,707
$
59,397,246
Freddie
Mac
Pool
RA5285
2.50%
05/01/51
111,020,614
95,215,034
Freddie
Mac
Pool
RA6507
2.00%
12/01/51
123,932,608
101,397,045
Freddie
Mac
Pool
RB5077
2.00%
10/01/40
90,142,949
77,680,501
Freddie
Mac
Pool
RE6029
3.00%
02/01/50
3,696,126
3,260,339
Freddie
Mac
Pool
SD1178
2.00%
03/01/52
16,053,274
13,123,970
Freddie
Mac
Pool
SD2148
4.50%
01/01/53
49,029,392
47,565,994
Freddie
Mac
Pool
SD3302
2.00%
10/01/51
59,871,933
49,030,468
Freddie
Mac
Pool
SD3631
3.00%
07/01/52
75,799,277
67,158,353
Freddie
Mac
Pool
SD7502
3.50%
07/01/49
6,548,353
6,097,576
Freddie
Mac
Pool
SD7503
3.50%
08/01/49
14,339,580
13,397,752
Freddie
Mac
Pool
SD7511
3.50%
01/01/50
14,649,841
13,683,056
Freddie
Mac
Pool
SD8121
2.00%
01/01/51
113,719
93,570
Freddie
Mac
Pool
SD8182
2.00%
12/01/51
26,156,597
21,395,875
Freddie
Mac
Pool
SD8188
2.00%
01/01/52
41,421,703
33,923,873
Freddie
Mac
Pool
SD8189
2.50%
01/01/52
349,172,588
297,706,940
Freddie
Mac
Pool
SD8193
2.00%
02/01/52
19,774,656
16,166,297
Freddie
Mac
Pool
SD8199
2.00%
03/01/52
28,341,767
23,179,862
Freddie
Mac
Pool
SD8205
2.50%
04/01/52
299,299,320
254,553,533
Freddie
Mac
Pool
ZA5103
3.50%
12/01/47
113,598
105,813
Freddie
Mac
Pool
ZA5128
3.50%
12/01/47
360,406
336,396
Freddie
Mac
Pool
ZM1779
3.00%
09/01/46
11,766,672
10,658,795
Freddie
Mac
Pool
ZM2285
3.00%
12/01/46
13,737,180
12,407,084
Freddie
Mac
Pool
ZS4693
3.00%
12/01/46
13,775,272
12,441,488
Freddie
Mac
Pool
ZS4768
3.50%
05/01/48
944,572
881,351
Freddie
Mac
Pool
ZT0277
3.50%
10/01/46
1,406,776
1,319,214
Freddie
Mac
Pool
ZT1403
3.50%
11/01/33
11,349,384
10,998,900
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
42
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Freddie
Mac
REMICS,
Series
1980,
Class
Z
7.00%
07/15/27
$
19,289
$
19,392
Freddie
Mac
REMICS,
Series
2098,
Class
TZ
6.00%
01/15/28
80,873
81,083
Freddie
Mac
REMICS,
Series
2174,
Class
PN
6.00%
07/15/29
5,819
5,854
Freddie
Mac
REMICS,
Series
2313,
Class
LA
6.50%
05/15/31
2,178
2,226
Freddie
Mac
REMICS,
Series
2433,
Class
SA
(-2.60
X
SOFR30A
plus
20.63%,
20.93%
Cap)
6.75%
02/15/32
2
3,896
4,399
Freddie
Mac
REMICS,
Series
2481,
Class
AW
6.50%
08/15/32
6,769
6,854
Freddie
Mac
REMICS,
Series
3019,
Class
SW
(IO)
(-1.00
X
SOFR30A
plus
7.09%,
7.20%
Cap)
1.75%
08/15/35
2
559,661
78,214
Freddie
Mac
REMICS,
Series
3063,
Class
YG
5.50%
11/15/35
1,460,530
1,498,466
Freddie
Mac
REMICS,
Series
3300,
Class
SA
(IO)
(-1.00
X
SOFR30A
plus
7.09%,
7.20%
Cap)
1.75%
08/15/35
2
247,439
23,959
Freddie
Mac
REMICS,
Series
3752,
Class
XL
4.50%
11/15/40
24,341,021
24,061,744
Freddie
Mac
REMICS,
Series
3891,
Class
HS
(IO)
(-1.00
X
SOFR30A
plus
5.84%,
5.95%
Cap)
0.50%
07/15/41
2
3,181,225
123,326
Freddie
Mac
REMICS,
Series
3904,
Class
JB
4.50%
08/15/41
5,753,604
5,684,781
Freddie
Mac
REMICS,
Series
3925,
Class
LB
4.50%
09/15/41
9,215,000
9,094,337
Freddie
Mac
REMICS,
Series
3928,
Class
JD
4.00%
09/15/41
15,626,353
15,160,958
Freddie
Mac
REMICS,
Series
4102,
Class
TC
2.50%
09/15/41
5,083,093
4,839,722
Freddie
Mac
REMICS,
Series
4161,
Class
BA
2.50%
12/15/41
7,795,891
7,509,299
Freddie
Mac
REMICS,
Series
4656,
Class
EZ
4.00%
02/15/47
203,630
192,353
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Freddie
Mac
REMICS,
Series
4818,
Class
CA
3.00%
04/15/48
$
1,102,415
$
985,174
Freddie
Mac
REMICS,
Series
4846,
Class
PA
4.00%
06/15/47
113,737
112,153
Freddie
Mac
REMICS,
Series
4852,
Class
CA
4.00%
11/15/47
6,254,803
6,021,558
Freddie
Mac
REMICS,
Series
4860,
Class
BH
3.50%
10/15/48
2,329,350
2,216,686
Freddie
Mac
REMICS,
Series
4860,
Class
PA
3.50%
02/15/49
1,910,435
1,754,646
Freddie
Mac
REMICS,
Series
4879,
Class
BC
3.00%
04/15/49
650,145
595,828
Freddie
Mac
REMICS,
Series
4896,
Class
DA
3.00%
01/15/49
651,342
593,008
Freddie
Mac
REMICS,
Series
4937,
Class
MF
(SOFR30A
plus
0.56%)
5.90%
12/25/49
2
5,159,473
5,004,946
Freddie
Mac
Strips,
Series
309,
Class
PO
(PO)
0.00%
08/15/43
7
10,974,110
8,218,693
Freddie
Mac
Strips,
Series
319,
Class
F2
(SOFR30A
plus
0.61%)
5.95%
11/15/43
2
1,845,126
1,812,792
Ginnie
Mae
(TBA)
2.50%
01/20/54
957,675,000
838,628,106
4.50%
01/20/54
843,125,000
822,971,151
5.00%
01/20/54
704,750,000
700,690,922
5.50%
01/20/54
433,450,000
436,293,467
Ginnie
Mae
I
Pool
782817
4.50%
11/15/39
8,401,527
8,405,309
Ginnie
Mae
I
Pool
AA5452
3.50%
07/15/42
68,474
64,702
Ginnie
Mae
II
Pool
2631
7.00%
08/20/28
651
670
Ginnie
Mae
II
Pool
3388
4.50%
05/20/33
1,414
1,408
Ginnie
Mae
II
Pool
3427
4.50%
08/20/33
752
753
Ginnie
Mae
II
Pool
3554
4.50%
05/20/34
630
631
Ginnie
Mae
II
Pool
4058
5.00%
12/20/37
400
407
Ginnie
Mae
II
Pool
4342
5.00%
01/20/39
583
594
Ginnie
Mae
II
Pool
4520
5.00%
08/20/39
10,909
11,101
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
43
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Ginnie
Mae
II
Pool
5140
4.50%
08/20/41
$
24,126
$
23,546
Ginnie
Mae
II
Pool
5175
4.50%
09/20/41
26,241
26,256
Ginnie
Mae
II
Pool
5281
4.50%
01/20/42
7,428
7,432
Ginnie
Mae
II
Pool
783591
4.50%
07/20/41
9,326
9,331
Ginnie
Mae
II
Pool
80968
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
3.63%
07/20/34
2
5,758
5,669
Ginnie
Mae
II
Pool
81267
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
3.63%
03/20/35
2
7,073
6,860
Ginnie
Mae
II
Pool
81432
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
3.63%
08/20/35
2
9,147
9,080
Ginnie
Mae
II
Pool
81497
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.75%
10/20/35
2
8,019
7,927
Ginnie
Mae
II
Pool
8631
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
4.00%
05/20/25
2
548
545
Ginnie
Mae
II
Pool
8644
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
4.50%
06/20/25
2
373
371
Ginnie
Mae
II
Pool
MA0627
4.50%
12/20/42
30,779
30,807
Ginnie
Mae
II
Pool
MA0701
4.50%
01/20/43
29,583
29,601
Ginnie
Mae
II
Pool
MA1157
3.50%
07/20/43
28,674
27,233
Ginnie
Mae
II
Pool
MA1997
4.50%
06/20/44
7,621
7,614
Ginnie
Mae
II
Pool
MA2374
5.00%
11/20/44
162,125
165,070
Ginnie
Mae
II
Pool
MA2756
4.50%
04/20/45
15,866
15,895
Ginnie
Mae
II
Pool
MA2828
4.50%
05/20/45
659,208
660,411
Ginnie
Mae
II
Pool
MA2894
4.50%
06/20/45
258,294
257,969
Ginnie
Mae
II
Pool
MA3036
4.50%
08/20/45
24,847
24,892
Ginnie
Mae
II
Pool
MA3309
3.00%
12/20/45
5,167
4,750
Ginnie
Mae
II
Pool
MA3456
4.50%
02/20/46
166,061
166,363
Ginnie
Mae
II
Pool
MA3521
3.50%
03/20/46
19,187,881
18,156,505
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Ginnie
Mae
II
Pool
MA3524
5.00%
03/20/46
$
8,340
$
8,497
Ginnie
Mae
II
Pool
MA3597
3.50%
04/20/46
48,348,358
45,749,563
Ginnie
Mae
II
Pool
MA3600
5.00%
04/20/46
4,688,865
4,777,662
Ginnie
Mae
II
Pool
MA3662
3.00%
05/20/46
1,869,079
1,723,275
Ginnie
Mae
II
Pool
MA3663
3.50%
05/20/46
13,739,047
12,987,672
Ginnie
Mae
II
Pool
MA3665
4.50%
05/20/46
69,037
68,907
Ginnie
Mae
II
Pool
MA3666
5.00%
05/20/46
2,643,901
2,693,980
Ginnie
Mae
II
Pool
MA3738
4.50%
06/20/46
295,339
294,784
Ginnie
Mae
II
Pool
MA3739
5.00%
06/20/46
1,598,273
1,628,535
Ginnie
Mae
II
Pool
MA3805
4.50%
07/20/46
2,235,812
2,231,606
Ginnie
Mae
II
Pool
MA3806
5.00%
07/20/46
119,538
121,798
Ginnie
Mae
II
Pool
MA3873
3.00%
08/20/46
14,411,944
13,256,165
Ginnie
Mae
II
Pool
MA3876
4.50%
08/20/46
2,547,543
2,542,751
Ginnie
Mae
II
Pool
MA3877
5.00%
08/20/46
521,466
530,616
Ginnie
Mae
II
Pool
MA3937
3.50%
09/20/46
11,090,167
10,469,795
Ginnie
Mae
II
Pool
MA3939
4.50%
09/20/46
1,402,497
1,400,310
Ginnie
Mae
II
Pool
MA4003
3.00%
10/20/46
5,790,378
5,326,013
Ginnie
Mae
II
Pool
MA4006
4.50%
10/20/46
1,502,109
1,499,284
Ginnie
Mae
II
Pool
MA4007
5.00%
10/20/46
2,809,804
2,863,001
Ginnie
Mae
II
Pool
MA4069
3.50%
11/20/46
34,605,560
32,669,761
Ginnie
Mae
II
Pool
MA4071
4.50%
11/20/46
4,051,029
4,052,993
Ginnie
Mae
II
Pool
MA4072
5.00%
11/20/46
897,434
914,422
Ginnie
Mae
II
Pool
MA4126
3.00%
12/20/46
99,723,394
91,663,655
Ginnie
Mae
II
Pool
MA4127
3.50%
12/20/46
38,999,609
36,818,012
Ginnie
Mae
II
Pool
MA4129
4.50%
12/20/46
14,190,305
14,124,464
Ginnie
Mae
II
Pool
MA4196
3.50%
01/20/47
9,041
8,535
Ginnie
Mae
II
Pool
MA4198
4.50%
01/20/47
111,503
111,223
Ginnie
Mae
II
Pool
MA4199
5.00%
01/20/47
2,600,050
2,649,273
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
44
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Ginnie
Mae
II
Pool
MA4264
4.50%
02/20/47
$
31,852,654
$
31,654,434
Ginnie
Mae
II
Pool
MA4265
5.00%
02/20/47
584,164
595,174
Ginnie
Mae
II
Pool
MA4324
5.00%
03/20/47
3,170,986
3,226,936
Ginnie
Mae
II
Pool
MA4382
3.50%
04/20/47
22,044,219
20,804,200
Ginnie
Mae
II
Pool
MA4384
4.50%
04/20/47
1,338,136
1,334,365
Ginnie
Mae
II
Pool
MA4385
5.00%
04/20/47
5,506,444
5,607,860
Ginnie
Mae
II
Pool
MA4453
4.50%
05/20/47
70,957,528
70,396,534
Ginnie
Mae
II
Pool
MA4454
5.00%
05/20/47
12,046,354
12,256,928
Ginnie
Mae
II
Pool
MA4510
3.50%
06/20/47
30,257
28,514
Ginnie
Mae
II
Pool
MA4511
4.00%
06/20/47
4,272,941
4,120,791
Ginnie
Mae
II
Pool
MA4512
4.50%
06/20/47
248,920
246,952
Ginnie
Mae
II
Pool
MA4513
5.00%
06/20/47
220,200
222,125
Ginnie
Mae
II
Pool
MA4586
3.50%
07/20/47
36,094,509
34,052,861
Ginnie
Mae
II
Pool
MA4588
4.50%
07/20/47
38,806
38,636
Ginnie
Mae
II
Pool
MA4589
5.00%
07/20/47
10,525,735
10,699,861
Ginnie
Mae
II
Pool
MA4652
3.50%
08/20/47
2,742,354
2,587,236
Ginnie
Mae
II
Pool
MA4655
5.00%
08/20/47
12,438,685
12,562,024
Ginnie
Mae
II
Pool
MA4719
3.50%
09/20/47
34,100,420
32,171,566
Ginnie
Mae
II
Pool
MA4720
4.00%
09/20/47
84,237
81,357
Ginnie
Mae
II
Pool
MA4722
5.00%
09/20/47
238,099
241,740
Ginnie
Mae
II
Pool
MA4781
5.00%
10/20/47
2,942,202
2,990,874
Ginnie
Mae
II
Pool
MA4836
3.00%
11/20/47
77,705,899
71,304,219
Ginnie
Mae
II
Pool
MA4837
3.50%
11/20/47
84,806,749
79,956,740
Ginnie
Mae
II
Pool
MA4838
4.00%
11/20/47
28,317,236
27,373,873
Ginnie
Mae
II
Pool
MA4840
5.00%
11/20/47
921,300
929,321
Ginnie
Mae
II
Pool
MA4900
3.50%
12/20/47
5,454,412
5,142,480
Ginnie
Mae
II
Pool
MA4901
4.00%
12/20/47
19,083,341
18,447,597
Ginnie
Mae
II
Pool
MA4961
3.00%
01/20/48
264,881
243,066
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Ginnie
Mae
II
Pool
MA4963
4.00%
01/20/48
$
31,195,691
$
30,156,435
Ginnie
Mae
II
Pool
MA5078
4.00%
03/20/48
47,343
45,755
Ginnie
Mae
II
Pool
MA5137
4.00%
04/20/48
10,129,054
9,808,281
Ginnie
Mae
II
Pool
MA5399
4.50%
08/20/48
2,278,211
2,252,494
Ginnie
Mae
II
Pool
MA5466
4.00%
09/20/48
4,159,924
4,024,284
Ginnie
Mae
II
Pool
MA5467
4.50%
09/20/48
21,207
20,929
Ginnie
Mae
II
Pool
MA5528
4.00%
10/20/48
19,103,187
18,447,079
Ginnie
Mae
II
Pool
MA5530
5.00%
10/20/48
3,459,454
3,475,602
Ginnie
Mae
II
Pool
MA5651
4.00%
12/20/48
6,853
6,597
Ginnie
Mae
II
Pool
MA6030
3.50%
07/20/49
7,633,318
7,003,558
Ginnie
Mae
II
Pool
MA6080
3.00%
08/20/49
1,655
1,471
Ginnie
Mae
II
Pool
MA6081
3.50%
08/20/49
3,166,670
2,905,415
Ginnie
Mae
II
Pool
MA6209
3.00%
10/20/49
3,106,265
2,745,523
Ginnie
Mae
II
Pool
MA6210
3.50%
10/20/49
1,559,085
1,430,458
Ginnie
Mae
II
Pool
MA7589
2.50%
09/20/51
95,108,578
83,218,446
Ginnie
Mae,
Series
2003-86,
Class
ZK
5.00%
10/20/33
2,906,891
2,947,361
Ginnie
Mae,
Series
2007-35,
Class
PY
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.64%,
6.75%
Cap)
1.28%
06/16/37
2
5,977,881
793,973
Ginnie
Mae,
Series
2009-106,
Class
SD
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.14%,
6.25%
Cap)
0.78%
03/20/36
2
5,117,316
207,596
Ginnie
Mae,
Series
2009-106,
Class
XI
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.69%,
6.80%
Cap)
1.33%
05/20/37
2
12,538,684
601,365
Ginnie
Mae,
Series
2009-124,
Class
SC
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.37%,
6.48%
Cap)
1.01%
12/20/39
2
2,042,170
226,280
Ginnie
Mae,
Series
2009-66,
Class
XS
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.69%,
6.80%
Cap)
1.33%
07/16/39
2
12,353
548
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
45
/
December
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Ginnie
Mae,
Series
2009-8,
Class
PS
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.19%,
6.30%
Cap)
0.83%
08/16/38
2
$
9,117
$
71
Ginnie
Mae,
Series
2010-4,
Class
SL
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.29%,
6.40%
Cap)
0.93%
01/16/40
2
26,863
2,832
Ginnie
Mae,
Series
2010-4,
Class
SM
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
5.69%,
5.80%
Cap)
0.33%
01/16/40
2
4,884,118
443,708
Ginnie
Mae,
Series
2010-6,
Class
BS
(IO)
(-1.00
X
CME
Term
SOFR
1-Month
plus
6.39%,
6.50%
Cap)
1.03%
09/16/39
2
161,223
616
Ginnie
Mae,
Series
2011-146,
Class
EI
(IO)
5.00%
11/16/41
64,241
11,482
Ginnie
Mae,
Series
2014-108,
Class
PA
2.63%
12/20/39
4,391,567
4,145,825
Ginnie
Mae,
Series
2018-124,
Class
NW
3.50%
09/20/48
642,675
591,719
Ginnie
Mae,
Series
2019-1,
Class
NP
3.50%
01/20/49
5,873,110
5,517,248
Ginnie
Mae,
Series
2019-119,
Class
JE
3.00%
09/20/49
4,189,266
3,778,928
Ginnie
Mae,
Series
2019-15,
Class
GT
3.50%
02/20/49
6,721,098
6,220,773
Ginnie
Mae,
Series
2019-44,
Class
CA
3.50%
12/20/48
43,414
43,087
Ginnie
Mae,
Series
2019-71,
Class
PT
3.00%
06/20/49
738,484
668,648
Ginnie
Mae,
Series
2019-86,
Class
C
2.50%
03/20/49
9,362,315
8,015,960
Ginnie
Mae,
Series
2019-90,
Class
HE
3.00%
07/20/49
6,437,639
5,745,882
UMBS
(TBA)
2.00%
01/01/54
1,632,075,000
1,334,221,312
2.50%
01/01/54
672,800,000
573,246,659
3.00%
01/01/54
1,335,675,000
1,181,707,161
3.50%
01/01/54
841,650,000
771,670,657
4.00%
01/01/54
2,280,550,000
2,157,262,920
4.50%
01/01/54
2,259,300,000
2,192,579,030
5.00%
01/01/54
1,146,750,000
1,134,655,377
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
5.50%
01/01/54
$
792,575,000
$
796,042,516
21,716,118,375
Total
Mortgage-Backed
(Cost
$30,881,237,489)
29,556,998,282
MUNICIPAL
BONDS
—
0
.32
%
*
California
—
0
.05
%
Los
Angeles
Department
of
Airports
Revenue
Bonds,
Port,
Airport
and
Marina
Improvements,
Series
A
5.00%
05/15/44
185,000
194,378
Regents
of
the
University
of
California
Medical
Center
Pooled
Revenue
Bonds,
Health,
Hospital
and
Nursing
Home
Improvements,
Series
N
3.01%
05/15/50
17,955,000
12,582,852
3.26%
05/15/60
17,050,000
11,952,767
University
of
California,
Taxable,
College
&
University,
Revenue
Bonds,
University
&
College
Improvements,
Series
AP
3.93%
05/15/45
6,615,000
6,054,319
30,784,316
Colorado
—
0
.01
%
City
&
County
of
Denver
Airport
System
Revenue
Bonds,
Series
C
2.39%
11/15/31
6,010,000
5,105,536
New
Jersey
—
0
.00
%
Jersey
City
Municipal
Utilities
Authority
Revenue
Bonds,
Water
Utility
Improvements,
Series
B
5.47%
05/15/27
240,000
244,419
New
Jersey
Turnpike
Authority
Revenue
Bonds,
Highway
Revenue,
Series
F
3.73%
01/01/36
300,000
271,173
515,592
New
York
—
0
.26
%
City
of
New
York
General
Obligation
Bonds,
Public
Improvements,
Series
D
5.99%
12/01/36
2,000,000
2,190,508
City
of
New
York
General
Obligation
Bonds,
Public
Improvements,
Series
F
3.62%
04/01/31
3,145,000
2,957,925
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements
5.51%
08/01/37
25,290,000
26,103,400
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Series
A2
2.15%
05/01/25
430,000
414,540
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Series
B3
2.00%
08/01/35
4,055,000
3,029,823
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Series
D
2.40%
11/01/32
12,135,000
10,112,399
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
46
Issues
Maturity
Date
Principal
Amount
Value
MUNICIPAL
BONDS
(continued)
New
York
(continued)
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Series
E
1.97%
02/01/33
$
3,090,000
$
2,474,724
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Subseries
FI
4.00%
08/01/33
6,450,000
6,070,214
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Public
Improvements,
Subseries
SU
3.88%
08/01/31
3,135,000
2,991,589
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
School
Improvements,
Series
G-3
5.27%
05/01/27
13,135,000
13,386,249
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Series
A,
Subseries
A-2
4.60%
05/01/31
1,860,000
1,859,815
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Series
F,
Subseries
F-3
5.13%
02/01/35
1,250,000
1,281,851
5.15%
02/01/36
1,250,000
1,282,204
New
York
City
Transitional
Finance
Authority
Future
Tax
Secured
Revenue
Bonds,
Series
G
2.45%
11/01/34
3,000,000
2,412,331
New
York
State
Dormitory
Authority
Revenue
Bonds,
University
&
College
Improvements
5.29%
03/15/33
44,990,000
45,954,180
5.43%
03/15/39
21,300,000
21,935,588
New
York
State
Dormitory
Authority
Revenue
Bonds,
University
&
College
Improvements,
Series
A
4.00%
03/15/47
155,000
157,110
New
York
State
Urban
Development
Corp.
Revenue
Bonds,
Public
Improvements
5.77%
03/15/39
150,000
155,373
144,769,823
Texas
—
0
.00
%
Texas
A&M
University
Revenue
Bonds,
University
&
College
Improvements,
Series
B
2.69%
05/15/25
350,000
340,142
Total
Municipal
Bonds
(Cost
$209,646,862)
181,515,409
U.S.
TREASURY
SECURITIES
—
28
.04
%
U.S.
Treasury
Bonds
—
9
.94
%
U.S.
Treasury
Bonds
(WI)
4.38%
08/15/43
2,134,523,000
2,182,883,500
4.75%
11/15/43
1,562,004,000
1,678,788,213
4.75%
11/15/53
1,538,372,000
1,730,307,952
5,591,979,665
U.S.
Treasury
Notes
—
18
.10
%
U.S.
Treasury
Notes
4.38%
11/30/28
2,081,970,000
2,131,010,158
4.38%
12/15/26
2,112,137,000
2,133,505,891
4.88%
10/31/28
2,347,384,000
2,450,632,230
Issues
Maturity
Date
Principal
Amount
Value
U.S.
TREASURY
SECURITIES
(continued)
U.S.
Treasury
Notes
(continued)
U.S.
Treasury
Notes
(WI)
3.75%
12/31/28
$
1,655,618,000
$
1,648,180,633
4.50%
11/15/33
1,731,312,000
1,818,148,117
10,181,477,029
Total
U.S.
Treasury
Securities
(Cost
$15,279,663,940)
15,773,456,694
Total
Bonds
—
112
.24
%
(Cost
$64,602,423,907)
63,139,353,374
Issues
Shares
Value
COMMON
STOCK
—
0
.13
%
Communications
—
0
.13
%
Intelsat
Emergence
SA
3,4,5,8
(Luxembourg)
2,400,250
69,608,450
Electric
—
0
.00
%
Homer
City
Holdings
LLC
†,4,5,8,9
1,180,703
—
Total
Common
Stock
(Cost
$145,530,044)
69,608,450
Issues
Maturity
Date
Principal
Amount
/
Shares
Value
SHORT-TERM
INVESTMENTS
—
13
.08
%
Money
Market
Funds
—
4
.24
%
Dreyfus
Government
Cash
Management
Fund
5.25%
10
450,000,000
450,000,000
Fidelity
Investments
Money
Market
Funds
-
Government
Portfolio
5.25%
10,11
19,531,179
19,531,179
JPMorgan
U.S.
Government
Money
Market
Fund
5.19%
10
211,035,000
211,035,000
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
5.27%
10
1,707,310,000
1,707,310,000
2,387,876,179
U.S.
Agency
Discount
Notes
—
4
.99
%
Federal
Home
Loan
Bank
5.40%
12
01/31/24
250,000,000
248,899,963
5.34%
12
05/15/24
300,000,000
294,208,125
5.29%
12
07/19/24
291,000,000
282,882,386
5.30%
12
02/27/24
213,600,000
211,810,812
5.30%
12
05/22/24
719,040,000
718,634,095
5.37%
12
05/21/24
704,100,000
703,494,044
5.45%
12
02/22/24
100,000,000
99,236,135
5.46%
12
03/28/24
250,000,000
246,864,125
2,806,029,685
U.S.
Treasury
Bills
—
3
.85
%
U.S.
Treasury
Bills
5.47%
12
05/02/24
250,000,000
245,670,680
U.S.
Treasury
Bills
(WI)
5.51%
12
04/11/24
750,000,000
739,206,247
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
47
/
December
2023
Issues
Maturity
Date
Principal
Amount/Shares
Value
SHORT-TERM
INVESTMENTS
(continued)
U.S.
Treasury
Bills
(continued)
5.34%
12
05/16/24
$
450,000,000
$
441,406,395
5.36%
12
04/18/24
250,000,000
246,145,585
5.47%
12
04/04/24
500,000,000
493,299,475
2,165,728,382
Total
Short-Term
Investments
(Cost
$7,359,716,953)
7,359,634,246
Total
Investments
-
125.45%
(Cost
$72,107,670,904)
70,568,596,070
Liabilities
in
Excess
of
Other
Assets
-
(25.45)%
(
14,314,106,587
)
Net
Assets
-
100.00%
$
56,254,489,483
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
December
31,
2023.
3
Foreign
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
$499,935,098,
which
is
0.89%
of
total
net
assets.
6
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.
7
Zero
coupon
bond.
The
rate
shown
is
the
effective
yield
as
of
December
31,
2023.
8
Non-income producing
security.
9
Affiliated
investment.
10
Represents
the
current
yield
as
of
December
31,
2023.
11
Securities,
or
a
portion
thereof,
pledged
as
collateral
for
swaps.
The
total
market
value
of
collateral
pledged
is
$19,531,179.
12
Represents
annualized
yield
at
date
of
purchase.
†
Fair
valued
security.
The
aggregate
value
of
fair
valued
securities
is
$0,
which
is
0.00%
of
total
net
assets.
Fair
valued
securities
were
not
valued
utilizing
an
independent
quote
but
were
valued
pursuant
to
guidelines
approved
by
the
Board
of
Trustees.
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.
(CLO):
Collateralized
Loan
Obligation
(EMTN):
Euro
Medium-Term
Note
(EUR):
Euro
(EURIBOR):
Euro
InterBank
Offer
Rate
(GBP):
British
Pound
(GMTN):
Global
Medium-Term
Note
(IO):
Interest
Only
(LIBOR):
London
InterBank
Offer
Rate
(MTN):
Medium-Term
Note
(PO):
Principal
Only
(REIT):
Real
Estate
Investment
Trust
(SOFR):
Secured
Overnight
Financing
Rate
(SONIA):
Sterling
Overnight
Index
Average
(STEP):
Step
Coupon
Bond
(TBA):
To-Be-Announced
(USD):
U.S.
Dollar
(WI):
When
Issued
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
48
Currency
to
be
Purchased
Currency
to
be
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
FOREIGN
CURRENCY
EXCHANGE
CONTRACT
EUR
39,754,000
USD
42,921,453
Citibank
N.A.
01/12/24
$
1,018,351
EUR
244,104,000
USD
260,277,050
State
Street
Global
Markets
LLC
01/12/24
9,529,306
EUR
122,746,000
USD
130,758,080
Bank
of
America
N.A.
01/12/24
4,912,171
EUR
23,846,000
USD
25,408,724
Goldman
Sachs
International
01/12/24
948,084
EUR
5,160,000
USD
5,618,223
The
Bank
of
New
York
Mellon
01/12/24
85,086
EUR
10,231,000
USD
10,815,706
Barclays
Bank
PLC
01/12/24
492,543
GBP
10,673,000
USD
13,053,046
Citibank
N.A.
01/12/24
554,003
GBP
2,102,000
USD
2,643,980
The
Bank
of
New
York
Mellon
01/12/24
35,868
GBP
5,765,000
USD
7,004,431
Bank
of
America
N.A.
01/12/24
345,390
GBP
25,687,000
USD
31,549,128
State
Street
Global
Markets
LLC
01/12/24
1,199,328
19,120,130
USD
239,447,916
EUR
222,625,000
Citibank
N.A.
01/12/24
(
6,617,860
)
USD
34,168,767
EUR
31,665,000
Goldman
Sachs
International
01/12/24
(
830,324
)
USD
1,235,647,698
EUR
1,168,291,000
Bank
of
America
N.A.
01/12/24
(
55,655,748
)
USD
4,904,535
EUR
4,595,000
State
Street
Global
Markets
LLC
01/12/24
(
174,284
)
USD
34,196,438
EUR
32,359,000
State
Street
Global
Markets
LLC
01/12/24
(
1,569,727
)
USD
232,459,872
GBP
190,172,000
Citibank
N.A.
01/12/24
(
9,991,146
)
(
74,839,089
)
NET
UNREALIZED
DEPRECIATION
$
(
55,718,959
)
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
FUTURES
CONTRACTS:
LONG
POSITIONS
U.S.
Treasury
Two-Year
Note
72,169
03/28/24
$
14,860,611,940
$
145,776,836
$
145,776,836
U.S.
Treasury
Five-Year
Note
13,192
03/28/24
1,434,939,194
29,233,848
29,233,848
U.S.
Treasury
Ultra
Bond
4,726
03/19/24
631,364,063
56,980,368
56,980,368
U.S.
Treasury
Ten-Year
Ultra
Bond
1,035
03/19/24
122,146,172
5,511,365
5,511,365
17,049,061,369
237,502,417
237,502,417
FUTURES
CONTRACTS:
SHORT
POSITIONS
Euro-Bund
Future
3,177
03/07/24
(
481,569,892
)
(
11,360,849
)
(
11,360,849
)
Euro-Bobl
Future
2,971
03/07/24
(
391,466,839
)
(
5,188,619
)
(
5,188,619
)
Euro-Buxl
30
Year
705
03/07/24
(
110,368,454
)
(
8,613,961
)
(
8,613,961
)
Euro-Schatz
Future
166
03/07/24
(
19,537,359
)
(
41,923
)
(
41,923
)
(
1,002,942,544
)
(
25,205,352
)
(
25,205,352
)
TOTAL
FUTURES
CONTRACTS
$
16,046,118,825
$
212,297,065
$
212,297,065
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
49
/
December
2023
Counterparty
Interest
Rate
Trade
Date
Maturity
Date
Repurchase
Amount
Principal
Amount
Value
REVERSE
REPURCHASE
AGREEMENTS
JPMorgan
Chase
(1.000)%
12/29/23
01/02/24
$
(
811,019,877
)
$
(
811,110,000
)
$
(
811,110,000
)
TOTAL
REVERSE
REPURCHASE
AGREEMENTS
$
(
811,110,000
)
Received
by
the
Fund
Paid
by
the
Fund
Description
Maturity
Date
Rate
Frequency
Rate
Frequency
Notional
Amount
(000's)
Value
Premiums
(Received)
Unrealized
Appreciation
(Depreciation)
SWAPS:
INTEREST
RATE
Interest
Rate
Swap
1
06/16/53
GBP-SONIA-OIS
Annual
3.52%
Annual
$
38,960
$
547,440
$
(
599,355
)
$
1,146,795
Interest
Rate
Swap
1
12/20/53
USD-SOFR-
COMPOUND
Annual
3.52%
Annual
461,741
(
20,082,845
)
—
(
20,082,845
)
TOTAL
SWAPS
CONTRACTS
$
500,701
$
(
19,535,405
)
$
(
599,355
)
$
(
18,936,050
)
1
Centrally
cleared.
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
50
SIGNIFICANT
ACCOUNTING
POLICIES
The
following
is
a
summary
of
significant
accounting
policies
consistently
followed
by
the
Fund:
Net
Asset
Value
The
Net
Asset
Value
(“NAV”)
of
each
class
of
the
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
Pursuant
to
Rule
2a-5
under
the
1940
Act,
the
Board
of
Trustees
(the
"Board"
or
the
"Board
of
Trustees")
has
designated
the
Adviser
as
"valuation
designee"
with
respect
to
the
fair
valuation
of
the
Fund's
portfolio
securities,
subject
to
oversight
by
and
periodic
reporting
to
the
Board. Fixed
income
securities
for
which
market
quotations
are
readily
available were
valued
during
the
period at
prices
as
provided
by
independent
pricing
vendors
or
broker
quotes.
The
Fund
received
pricing
information
from
independent
pricing
vendors
selected
and
overseen
by
the
valuation
designee.
Securities
with
a
demand
feature
exercisable
within
one
to
seven
days
are
valued
at
par.
The
Fund
also
uses
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
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
ask
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
the
over-the-counter
market.
Equity
options
are
valued
at
the
average
of
the
bid
and
ask
prices.
Securities
and
other
assets
that
could
not be
valued
as
described
above were
valued at
their
fair
value
as
determined
by
the
Adviser
in
accordance
with
procedures
approved by
and
under
the
general
oversight
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
used
by
the
Adviser included,
but were
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
influence
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
could
not be
valued
pursuant
to
one
of
the
valuation
methods
used
by
the
Adviser,
the
value
of
the
security
or
asset was
determined
in
good
faith
by
the Adviser,
as
the
valuation
designee.
When
the
Fund
uses
these
fair
valuation
methods that
use
significant
unobservable
inputs
to
determine
NAV,
securities
will
be
priced
by
a
method
that
the
Adviser
believes
accurately
reflects
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
Fund’s
policy
is
intended
to
result
in
a
calculation
of
its
NAV
that
fairly
reflects
security
values
as
of
the
time
of
pricing,
the
Fund
cannot
guarantee
that
values
determined
by
the
Adviser
would
accurately
reflect
the
price
that
the
Fund
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
Fund
may
differ
from
the
value
that
would
be
realized
if
the
securities
were
sold.
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
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
51
/
December
2023
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 as
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.
The
summary
of
inputs
used
to
value
the
Fund’s
investments
and
other
financial
instruments
carried
at
fair
value
as
of
December
31,
2023
is
as
follows:
TOTAL
RETURN
BOND
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTAL
Investments
in
Securities
Assets:
Short-Term
Investments:
Money
Market
Funds
$
2,387,876,179
$
—
$
—
$
2,387,876,179
U.S.
Agency
Discount
Notes
—
2,806,029,685
—
2,806,029,685
U.S.
Treasury
Bills
2,165,728,382
—
—
2,165,728,382
Long-Term
Investments:
Asset-Backed
Securities
—
2,834,827,247
55,762,795
2,890,590,042
Bank
Loans
—
751,350,551
—
751,350,551
Common
Stock
—
—
69,608,450
69,608,450
Corporates
—
13,653,463,991
2,560,575
13,656,024,566
Foreign
Government
Obligations
—
329,417,830
—
329,417,830
Mortgage-Backed
Securities
—
29,184,995,004
372,003,278
29,556,998,282
Municipal
Bonds
—
181,515,409
—
181,515,409
U.S.
Treasury
Securities
15,773,456,694
—
—
15,773,456,694
Other
Financial
Instruments
*
Assets:
Foreign
currency
exchange
contracts
—
19,120,130
—
19,120,130
Interest
rate
contracts
237,502,417
547,440
—
238,049,857
Liabilities:
Foreign
currency
exchange
contracts
—
(
74,839,089
)
—
(
74,839,089
)
Interest
rate
contracts
(
25,205,352
)
(
20,082,845
)
—
(
45,288,197
)
Reverse
Repurchase
Agreements
—
(
811,110,000
)
—
(
811,110,000
)
Total
$
20,539,358,320
$
48,855,235,353
$
499,935,098
$
69,894,528,771
*Other
financial
instruments
include
foreign
currency
exchange
contracts,
futures,
reverse
repurchase
agreements
and
swaps.
Interest
rate
contracts
include
futures
and
swaps.
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
December
2023
/
52
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
period
ended
December
31,
2023
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
table
is
a
reconciliation
of
Level
3
investments
for
which
significant
unobservable
inputs
were
used
in
determining
fair
value:
TOTAL
RETURN
BOND
FUND
ASSET-BACKED
SECURITIES
BANK
LOANS
COMMON
STOCK
CORPORATES
CREDIT
DEFAULT
SWAPS
MORTGAGE-
BACKED
SECURITIES
TOTAL
Balance
as
of
April
1,
2023
$
25,670,562
$
4,371,966
$
62,266,334
$
2,954,705
$
201,952
$
379,572,729
$
475,038,248
Accrued
discounts/
premiums
(
5,781,391
)
585
—
(
14,152
)
(
144,841
)
311,631
(
5,628,168
)
Realized
gain
(loss)
—
(
4,276,742
)
—
(
10,632
)
—
72,017
(
4,215,357
)
Change
in
unrealized
appreciation
(depreciation)*
4,846,036
2,136,514
7,227,288
(
269,783
)
(
57,111
)
6,063,915
19,946,859
Purchases
32,441,332
766,560
114,828
—
—
—
33,322,720
Sales
(
1,413,744
)
(
2,998,883
)
—
(
99,563
)
—
(
14,017,014
)
(
18,529,204
)
Transfers
into
Level
3**
—
—
—
—
—
—
—
Transfers
out
of
Level
3**
—
—
—
—
—
—
—
Balance
as
of
December
31,
2023
$
55,762,795
$
—
$
69,608,450
$
2,560,575
$
—
$
372,003,278
$
499,935,098
*The
change
in
unrealized
appreciation
(depreciation)
on
securities
still
held
at
December
31,
2023
was
$17,867,454
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
period
ended
December
31,
2023.
Significant
unobservable
valuations
inputs
for
Level
3
investments
as
of
December
31,
2023,
are
as
follows:
TOTAL
RETURN
BOND
FUND
FAIR
VALUE
AT
12/31/23
VALUATION
TECHNIQUE
*
UNOBSERVABLE
INPUT
RANGE
WEIGHTED
AVERAGE
INPUT
TO
VALUATION
IF
INPUT
INCREASES
Asset-Backed
Securities
$48,924,824
Broker
Quote
Offered
Quote
$90.44
-
$101.91
$96.18
Increase
Asset-Backed
Securities
$6,837,971
Third-Party
Vendor
Vendor
Prices
$1.66
$1.66
Increase
Common
Stock
$—
Broker
Quote
Offered
Quote
$—
$—
Increase
Common
Stock
$69,608,450
Third-Party
Vendor
Vendor
Prices
$29.00
$29.00
Increase
Corporate
Securities
$2,560,575
Third-Party
Vendor
Vendor
Prices
$86.41
$86.41
Increase
Mortgage-Backed
Securities-Non-Agency
$5,960,138
Third-Party
Vendor
Vendor
Prices
$0.86
-
$96.57
$13.40
Increase
Mortgage-Backed
Securities-
Non-Agency
Commercial
$366,043,140
Broker
Quote
Offered
Quote
$97.46
-
$99.80
$99.07
Increase
*
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.
Total
Return
Bond
Fund
Schedule
of
Portfolio
Investments
December
31,
2023
(Unaudited)
53
/
December
2023
Investment
transactions
in
the
shares
of
affiliated
issuers
for
the
period
ended
December
31,
2023
were
as
follows:
VALUE
AT
BEGINNING
OF
YEAR
PURCHASES
SALES
DIVIDEND/
INTEREST
VALUE
AT
END
OF
PERIOD
REALIZED
GAIN
(LOSS)
CHANGE
IN
UNREALIZED
APPRECIATION
(DEPRECIATION)
Homer
City
Holdings
LLC
$—
$—
$—
$—
$—
$—
$—