UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09253
Allspring Funds Trust
(Exact name of registrant as specified in charter)
1415 Vantage Park Drive, 3rd Floor,
Charlotte, NC 28203
(Address of principal executive offices) (Zip code)
Matthew Prasse
Allspring Funds Management, LLC
1415 Vantage Park Drive, 3rd Floor, Charlotte, NC 28203
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-222-8222
Date of fiscal year end: August 31
Registrant is making a filing for 10 of its series: Allspring Adjustable Rate Government Fund, Allspring Conservative Income Fund, Allspring Core Plus Bond Fund, Allspring Government Securities Fund, Allspring High Yield Bond Fund, Allspring Short-Term Bond Plus Fund, Allspring Short Duration Government Bond Fund, Allspring Short-Term High Income Fund, Allspring Ultra Short-Term Income Fund, and Allspring Managed Account CoreBuilder® Shares—Series CP.
Date of reporting period: August 31, 2023
ITEM 1. REPORT TO STOCKHOLDERS
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Michal Stanczyk |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (ESAAX) | 6-30-2000 | 0.78 | 1.00 | 0.71 | 2.84 ♠ | 1.40 | 0.92 | 0.82 | 0.74 |
Class C (ESACX) | 6-30-2000 | 1.19 | 0.77 | 0.33 | 2.19 | 0.77 | 0.33 | 1.57 | 1.49 |
Administrator Class (ESADX) | 7-30-2010 | – | – | – | 3.10 | 1.57 | 1.07 | 0.76 | 0.60 |
Institutional Class (EKIZX) | 10-1-1991 | – | – | – | 3.24 | 1.69 | 1.20 | 0.49 | 0.46 |
Bloomberg 6-Month Treasury Bill Index3 | – | – | – | – | 4.29 | 1.78 | 1.21 | – | – |
♠ | Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the Net Asset Value (NAV) at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles. |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.74% for Class A, 1.49% for Class C, 0.60% for Administrator Class and 0.46% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg 6-Month Treasury Bill Index tracks the performance and attributes of recently issued 6-Month U.S. Treasury bills. The index follows Bloomberg monthly rebalancing conventions. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg 6-Month Treasury Bill Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 2.00%. |
Ten largest holdings (%) as of August 31, 20231 | |
FRESB Mortgage Trust, 1.72%, 11-25-2041 | 1.89 |
FHLMC, 4.77%, 7-1-2038 | 1.67 |
FHLMC, 5.18%, 9-1-2036 | 1.65 |
FNMA, 4.74%, 7-25-2046 | 1.29 |
FHLMC, 5.36%, 7-1-2031 | 1.22 |
FNMA, 4.11%, 4-25-2042 | 1.19 |
GNMA, 4.20%, 4-20-2070 | 1.18 |
FHLMC, 4.70%, 2-15-2038 | 1.16 |
FHLMC Multifamily Structured Pass-Through Certificates, 1.48%, 5-25-2051 | 1.12 |
FNMA, 4.82%, 7-25-2049 | 1.10 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,013.45 | $3.76 | 0.74 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.48 | $3.77 | 0.74 % |
Class C | ||||
Actual | $1,000.00 | $1,010.79 | $7.55 | 1.49 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.69 | $7.58 | 1.49 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,015.33 | $3.05 | 0.60 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.18 | $3.06 | 0.60 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,014.88 | $2.34 | 0.46 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.89 | $2.35 | 0.46 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 87.83% | ||||||
FHLMC Multifamily Structured Pass-Through Certificates Series KF46 Class A (30 Day Average U.S. SOFR+0.33%)± | 5.44 % | 3-25-2028 | $ | 82,648 | $81,769 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF85 Class AL (30 Day Average U.S. SOFR+0.41%)± | 5.52 | 8-25-2030 | 174,219 | 171,060 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KX04 Class AFL (30 Day Average U.S. SOFR+0.44%)± | 5.55 | 3-25-2030 | 1,803,982 | 1,788,751 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series Q016 Class APT2±± | 1.48 | 5-25-2051 | 3,641,539 | 3,192,317 | ||
FHLMC STRIPS Series 20 Class F±± | 3.57 | 7-1-2029 | 964 | 970 | ||
FHLMC STRIPS Series 264 Class F1 (30 Day Average U.S. SOFR+0.66%)± | 5.85 | 7-15-2042 | 551,781 | 535,243 | ||
FHLMC STRIPS Series 319 Class F1 (30 Day Average U.S. SOFR+0.56%)± | 5.75 | 11-15-2043 | 789,283 | 761,438 | ||
FHLMC STRIPS Series 350 Class F2 (30 Day Average U.S. SOFR+0.46%)± | 4.57 | 9-15-2040 | 2,225,948 | 2,174,312 | ||
FHLMC Structured Pass-Through Certificates Series T-15 Class A6 (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 11-25-2028 | 115,196 | 114,750 | ||
FHLMC Structured Pass-Through Certificates Series T-16 Class A (30 Day Average U.S. SOFR+0.46%)± | 5.75 | 6-25-2029 | 745,033 | 725,877 | ||
FHLMC Structured Pass-Through Certificates Series T-20 Class A7 (30 Day Average U.S. SOFR+0.41%)± | 5.70 | 12-25-2029 | 1,743,175 | 1,718,435 | ||
FHLMC Structured Pass-Through Certificates Series T-21 Class A (30 Day Average U.S. SOFR+0.47%)± | 5.76 | 10-25-2029 | 467,607 | 469,962 | ||
FHLMC Structured Pass-Through Certificates Series T-24 Class A (30 Day Average U.S. SOFR+0.41%)± | 5.70 | 6-25-2030 | 117,783 | 117,339 | ||
FHLMC Structured Pass-Through Certificates Series T-27 Class A (30 Day Average U.S. SOFR+0.41%)± | 5.70 | 10-25-2030 | 602,596 | 598,880 | ||
FHLMC Structured Pass-Through Certificates Series T-30 Class A7 (30 Day Average U.S. SOFR+0.35%)± | 5.64 | 12-25-2030 | 542,627 | 520,191 | ||
FHLMC Structured Pass-Through Certificates Series T-35 Class A (30 Day Average U.S. SOFR+0.39%)± | 5.68 | 9-25-2031 | 1,049,485 | 1,046,419 | ||
FHLMC Structured Pass-Through Certificates Series T-48 Class 2A±± | 4.00 | 7-25-2033 | 917,472 | 834,855 | ||
FHLMC Structured Pass-Through Certificates Series T-54 Class 4A±± | 4.08 | 2-25-2043 | 530,950 | 474,586 | ||
FHLMC Structured Pass-Through Certificates Series T-55 Class 1A1 | 6.50 | 3-25-2043 | 28,873 | 28,928 | ||
FHLMC Structured Pass-Through Certificates Series T-56 Class 3AF (30 Day Average U.S. SOFR+1.11%)± | 6.40 | 5-25-2043 | 756,840 | 765,790 | ||
FHLMC Structured Pass-Through Certificates Series T-62 Class 1A1 (12 Month Treasury Average+1.20%)± | 5.63 | 10-25-2044 | 1,355,215 | 1,228,251 | ||
FHLMC Structured Pass-Through Certificates Series T-63 Class 1A1 (12 Month Treasury Average+1.20%)± | 5.63 | 2-25-2045 | 1,217,839 | 1,159,222 | ||
FHLMC Structured Pass-Through Certificates Series T-66 Class 2A1±± | 4.85 | 1-25-2036 | 816,193 | 762,215 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 1A1C±± | 4.07 | 3-25-2036 | 1,875,497 | 1,743,485 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 2A1C±± | 4.13 | 3-25-2036 | 1,879,512 | 1,762,399 | ||
FHLMC (1 Year Treasury Constant Maturity+1.19%)± | 3.97 | 4-1-2030 | 4,241 | 4,135 | ||
FHLMC (1 Year Treasury Constant Maturity+1.87%)± | 4.31 | 5-1-2035 | 214,296 | 210,433 | ||
FHLMC (1 Year Treasury Constant Maturity+1.97%)± | 4.61 | 8-1-2033 | 306,493 | 299,904 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC (1 Year Treasury Constant Maturity+1.99%)± | 4.11 % | 11-1-2034 | $ | 53,587 | $52,183 | |
FHLMC (1 Year Treasury Constant Maturity+2.03%)± | 3.13 | 3-1-2025 | 4,561 | 4,460 | ||
FHLMC (1 Year Treasury Constant Maturity+2.06%)± | 4.95 | 12-1-2035 | 142,211 | 139,589 | ||
FHLMC (1 Year Treasury Constant Maturity+2.10%)± | 4.36 | 10-1-2037 | 300,707 | 299,535 | ||
FHLMC (1 Year Treasury Constant Maturity+2.16%)± | 4.48 | 6-1-2033 | 246,539 | 238,834 | ||
FHLMC (1 Year Treasury Constant Maturity+2.17%)± | 5.23 | 5-1-2037 | 19,171 | 18,990 | ||
FHLMC (1 Year Treasury Constant Maturity+2.19%)± | 4.44 | 6-1-2036 | 242,769 | 245,467 | ||
FHLMC (1 Year Treasury Constant Maturity+2.20%)± | 4.55 | 1-1-2037 | 263,526 | 256,981 | ||
FHLMC (1 Year Treasury Constant Maturity+2.22%)± | 4.34 | 12-1-2033 | 266,830 | 260,225 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 4.35 | 2-1-2034 | 221,776 | 215,974 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 4.36 | 2-1-2034 | 32,632 | 31,668 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 4.85 | 4-1-2034 | 68,430 | 66,921 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 5.23 | 4-1-2034 | 57,126 | 56,417 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 6.23 | 11-1-2026 | 27,859 | 27,473 | ||
FHLMC (1 Year Treasury Constant Maturity+2.24%)± | 4.46 | 4-1-2036 | 101,840 | 100,605 | ||
FHLMC (1 Year Treasury Constant Maturity+2.24%)± | 4.54 | 8-1-2027 | 2,057 | 2,015 | ||
FHLMC (1 Year Treasury Constant Maturity+2.24%)± | 5.08 | 5-1-2038 | 208,529 | 205,424 | ||
FHLMC (1 Year Treasury Constant Maturity+2.24%)± | 5.24 | 3-1-2027 | 17,672 | 17,400 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.27 | 9-1-2033 | 41,532 | 42,439 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.36 | 1-1-2037 | 20,982 | 21,377 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.38 | 5-1-2034 | 24,828 | 24,729 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.38 | 12-1-2034 | 95,714 | 93,891 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.38 | 2-1-2036 | 109,300 | 107,023 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.60 | 4-1-2038 | 289,065 | 286,403 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.91 | 6-1-2035 | 26,891 | 27,184 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.25 | 5-1-2034 | 96,244 | 95,050 | ||
FHLMC (1 Year Treasury Constant Maturity+2.26%)± | 4.77 | 2-1-2036 | 1,802,407 | 1,821,942 | ||
FHLMC (1 Year Treasury Constant Maturity+2.26%)± | 4.77 | 7-1-2038 | 4,689,407 | 4,746,889 | ||
FHLMC (1 Year Treasury Constant Maturity+2.26%)± | 4.91 | 9-1-2038 | 1,511,587 | 1,528,234 | ||
FHLMC (1 Year Treasury Constant Maturity+2.26%)± | 4.97 | 4-1-2037 | 984,825 | 999,632 | ||
FHLMC (1 Year Treasury Constant Maturity+2.27%)± | 4.40 | 11-1-2029 | 24,700 | 24,220 | ||
FHLMC (1 Year Treasury Constant Maturity+2.27%)± | 5.18 | 9-1-2036 | 4,629,528 | 4,683,618 | ||
FHLMC (1 Year Treasury Constant Maturity+2.28%)± | 4.35 | 10-1-2036 | 106,694 | 104,979 | ||
FHLMC (1 Year Treasury Constant Maturity+2.28%)± | 4.41 | 1-1-2035 | 113,475 | 110,612 | ||
FHLMC (1 Year Treasury Constant Maturity+2.28%)± | 5.13 | 7-1-2034 | 94,566 | 92,434 | ||
FHLMC (1 Year Treasury Constant Maturity+2.29%)± | 4.50 | 11-1-2027 | 118,533 | 116,683 | ||
FHLMC (1 Year Treasury Constant Maturity+2.29%)± | 4.94 | 9-1-2033 | 131,998 | 129,213 | ||
FHLMC (1 Year Treasury Constant Maturity+2.31%)± | 5.18 | 7-1-2027 | 95,463 | 94,916 | ||
FHLMC (1 Year Treasury Constant Maturity+2.34%)± | 3.79 | 7-1-2031 | 33,831 | 32,646 | ||
FHLMC (1 Year Treasury Constant Maturity+2.34%)± | 4.77 | 4-1-2032 | 660,452 | 657,251 | ||
FHLMC (1 Year Treasury Constant Maturity+2.34%)± | 5.13 | 10-1-2033 | 288,960 | 283,517 | ||
FHLMC (1 Year Treasury Constant Maturity+2.35%)± | 6.35 | 7-1-2038 | 133,439 | 132,067 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 4.46 | 2-1-2035 | 240,388 | 233,600 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 4.90 | 1-1-2028 | 779 | 766 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 5.36 | 4-1-2038 | 573,047 | 568,223 | ||
FHLMC (1 Year Treasury Constant Maturity+2.36%)± | 5.86 | 1-1-2028 | 2,410 | 2,379 | ||
FHLMC (1 Year Treasury Constant Maturity+2.37%)± | 4.91 | 2-1-2034 | 1,242,293 | 1,246,835 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 4.40 | 7-1-2031 | 29,151 | 28,727 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 4.40 % | 9-1-2031 | $ | 26,343 | $25,937 | |
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 4.83 | 1-1-2037 | 453,025 | 459,915 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 5.00 | 11-1-2029 | 39,107 | 38,384 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 5.10 | 6-1-2035 | 198,333 | 198,703 | ||
FHLMC (1 Year Treasury Constant Maturity+2.40%)± | 5.45 | 7-1-2029 | 11,240 | 11,099 | ||
FHLMC (1 Year Treasury Constant Maturity+2.43%)± | 5.43 | 6-1-2025 | 12,143 | 11,920 | ||
FHLMC (1 Year Treasury Constant Maturity+2.44%)± | 4.82 | 4-1-2029 | 7,212 | 7,044 | ||
FHLMC (1 Year Treasury Constant Maturity+2.44%)± | 4.93 | 4-1-2034 | 76,232 | 74,332 | ||
FHLMC (1 Year Treasury Constant Maturity+2.47%)± | 6.22 | 7-1-2034 | 90,076 | 88,756 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 4.23 | 10-1-2024 | 6,505 | 6,442 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 4.60 | 6-1-2030 | 15,173 | 14,826 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 4.73 | 2-1-2030 | 18,643 | 18,386 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 4.91 | 6-1-2030 | 48,056 | 46,739 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 5.61 | 6-1-2035 | 130,895 | 129,452 | ||
FHLMC (1 Year Treasury Constant Maturity+2.48%)± | 6.17 | 6-1-2030 | 108,384 | 106,997 | ||
FHLMC (1 Year Treasury Constant Maturity+2.49%)± | 4.64 | 12-1-2032 | 51,644 | 50,642 | ||
FHLMC (1 Year Treasury Constant Maturity+2.52%)± | 3.76 | 11-1-2029 | 36,077 | 34,328 | ||
FHLMC (1 Year Treasury Constant Maturity+2.55%)± | 4.67 | 9-1-2029 | 16,265 | 15,871 | ||
FHLMC (1 Year Treasury Constant Maturity+2.60%)± | 5.60 | 6-1-2032 | 114,667 | 113,240 | ||
FHLMC (1 Year Treasury Constant Maturity+2.61%)± | 3.99 | 9-1-2030 | 23,252 | 21,944 | ||
FHLMC (1 Year Treasury Constant Maturity+2.69%)± | 5.10 | 5-1-2028 | 55,717 | 54,567 | ||
FHLMC (1 Year Treasury Constant Maturity+2.81%)± | 5.73 | 9-1-2030 | 13,274 | 13,104 | ||
FHLMC (11th District COFI+1.25%)± | 3.76 | 1-1-2030 | 1,735 | 1,676 | ||
FHLMC (11th District COFI+1.25%)± | 3.76 | 7-1-2030 | 68,377 | 65,948 | ||
FHLMC (11th District COFI+1.25%)± | 4.62 | 11-1-2030 | 6,877 | 6,669 | ||
FHLMC (11th District COFI+1.28%)± | 3.85 | 2-1-2035 | 16,495 | 16,264 | ||
FHLMC (11th District COFI+2.57%)± | 4.33 | 12-1-2025 | 10,329 | 10,218 | ||
FHLMC (12 Month LIBOR+1.51%)± | 3.76 | 2-1-2037 | 40,938 | 40,068 | ||
FHLMC (12 Month LIBOR+1.61%)± | 5.24 | 7-1-2044 | 80,146 | 80,508 | ||
FHLMC (12 Month LIBOR+1.62%)± | 2.87 | 11-1-2047 | 2,232,994 | 2,116,022 | ||
FHLMC (12 Month LIBOR+1.62%)± | 4.66 | 7-1-2045 | 418,468 | 418,556 | ||
FHLMC (12 Month LIBOR+1.64%)± | 2.64 | 6-1-2050 | 2,502,575 | 2,247,220 | ||
FHLMC (12 Month LIBOR+1.67%)± | 4.17 | 8-1-2035 | 108,449 | 105,961 | ||
FHLMC (12 Month LIBOR+1.73%)± | 3.98 | 1-1-2035 | 142,310 | 139,727 | ||
FHLMC (12 Month LIBOR+1.73%)± | 4.16 | 5-1-2037 | 473,811 | 477,118 | ||
FHLMC (12 Month LIBOR+1.74%)± | 3.99 | 12-1-2036 | 108,520 | 109,631 | ||
FHLMC (12 Month LIBOR+1.75%)± | 4.91 | 5-1-2033 | 44,131 | 43,165 | ||
FHLMC (12 Month LIBOR+1.75%)± | 5.03 | 4-1-2035 | 74,433 | 72,524 | ||
FHLMC (12 Month LIBOR+1.75%)± | 5.71 | 6-1-2033 | 151,459 | 149,548 | ||
FHLMC (12 Month LIBOR+1.77%)± | 4.36 | 9-1-2037 | 129,869 | 131,099 | ||
FHLMC (12 Month LIBOR+1.77%)± | 4.55 | 9-1-2039 | 644,959 | 651,654 | ||
FHLMC (12 Month LIBOR+1.77%)± | 5.23 | 10-1-2036 | 132,084 | 133,772 | ||
FHLMC (12 Month LIBOR+1.77%)± | 5.59 | 10-1-2035 | 366,826 | 361,503 | ||
FHLMC (12 Month LIBOR+1.77%)± | 5.66 | 8-1-2042 | 105,893 | 107,649 | ||
FHLMC (12 Month LIBOR+1.77%)± | 6.02 | 6-1-2035 | 119,664 | 117,184 | ||
FHLMC (12 Month LIBOR+1.78%)± | 4.03 | 11-1-2035 | 88,749 | 87,990 | ||
FHLMC (12 Month LIBOR+1.79%)± | 4.60 | 1-1-2040 | 987,648 | 1,003,579 | ||
FHLMC (12 Month LIBOR+1.80%)± | 4.77 | 10-1-2043 | 2,303,692 | 2,319,429 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC (12 Month LIBOR+1.80%)± | 4.89 % | 8-1-2037 | $ | 653,002 | $660,082 | |
FHLMC (12 Month LIBOR+1.81%)± | 4.37 | 9-1-2037 | 127,829 | 129,527 | ||
FHLMC (12 Month LIBOR+1.81%)± | 4.44 | 4-1-2035 | 426,866 | 420,126 | ||
FHLMC (12 Month LIBOR+1.81%)± | 4.46 | 5-1-2039 | 185,155 | 181,780 | ||
FHLMC (12 Month LIBOR+1.83%)± | 4.91 | 6-1-2043 | 2,593,763 | 2,640,580 | ||
FHLMC (12 Month LIBOR+1.83%)± | 5.21 | 4-1-2037 | 43,448 | 42,373 | ||
FHLMC (12 Month LIBOR+1.85%)± | 4.29 | 9-1-2036 | 195,191 | 192,802 | ||
FHLMC (12 Month LIBOR+1.85%)± | 4.51 | 7-1-2038 | 497,828 | 502,460 | ||
FHLMC (12 Month LIBOR+1.86%)± | 4.61 | 4-1-2037 | 126,658 | 124,228 | ||
FHLMC (12 Month LIBOR+1.87%)± | 5.25 | 5-1-2035 | 10,805 | 10,492 | ||
FHLMC (12 Month LIBOR+1.91%)± | 4.64 | 3-1-2032 | 97,918 | 96,087 | ||
FHLMC (12 Month LIBOR+1.93%)± | 4.74 | 4-1-2035 | 459,208 | 451,034 | ||
FHLMC (12 Month LIBOR+1.99%)± | 4.24 | 7-1-2036 | 181,256 | 178,073 | ||
FHLMC (12 Month LIBOR+2.06%)± | 4.72 | 3-1-2038 | 444,153 | 451,110 | ||
FHLMC (12 Month Treasury Average+1.91%)± | 3.86 | 5-1-2028 | 48,971 | 47,915 | ||
FHLMC (12 Month Treasury Average+2.45%)± | 4.68 | 10-1-2029 | 48,250 | 47,303 | ||
FHLMC (12 Month Treasury Average+2.52%)± | 4.77 | 6-1-2028 | 16,548 | 16,194 | ||
FHLMC (2 Year Treasury Constant Maturity+2.44%)± | 2.57 | 8-1-2029 | 940 | 940 | ||
FHLMC (3 Year Treasury Constant Maturity+2.40%)± | 5.20 | 5-1-2031 | 53,673 | 52,497 | ||
FHLMC (3 Year Treasury Constant Maturity+2.44%)± | 2.60 | 5-1-2032 | 55,671 | 54,787 | ||
FHLMC (3 Year Treasury Constant Maturity+2.82%)± | 4.03 | 6-1-2035 | 157,981 | 154,829 | ||
FHLMC (30 Day Average U.S. SOFR+0.26%)± | 5.36 | 7-1-2031 | 3,500,000 | 3,461,190 | ||
FHLMC (5 Year Treasury Constant Maturity+2.13%)± | 4.00 | 8-1-2029 | 3,028 | 2,988 | ||
FHLMC (5 Year Treasury Constant Maturity+2.44%)± | 3.57 | 8-1-2027 | 15,853 | 15,240 | ||
FHLMC (6 Month LIBOR+1.42%)± | 4.67 | 2-1-2037 | 1,504 | 1,475 | ||
FHLMC (6 Month LIBOR+1.68%)± | 4.50 | 1-1-2037 | 362,593 | 362,922 | ||
FHLMC (6 Month LIBOR+1.73%)± | 4.98 | 6-1-2024 | 465 | 461 | ||
FHLMC (6 Month LIBOR+1.83%)± | 4.81 | 6-1-2037 | 122,935 | 119,497 | ||
FHLMC (6 Month LIBOR+2.12%)± | 4.91 | 5-1-2037 | 19,412 | 18,860 | ||
FHLMC (6 Month LIBOR+2.18%)± | 5.26 | 6-1-2026 | 96,062 | 94,386 | ||
FHLMC (6 Month LIBOR+3.83%)± | 6.21 | 11-1-2026 | 8,573 | 8,422 | ||
FHLMC Series 1671 Class QA (Enterprise 11th District COFI Institutional Replacement+0.95%)± | 3.77 | 2-15-2024 | 30,715 | 30,686 | ||
FHLMC Series 1686 Class FE (Enterprise 11th District COFI Institutional Replacement+1.10%)± | 3.92 | 2-15-2024 | 106 | 106 | ||
FHLMC Series 1709 Class FA (10 Year Treasury Constant Maturity -0.85%)± | 2.96 | 3-15-2024 | 4,590 | 4,568 | ||
FHLMC Series 1730 Class FA (10 Year Treasury Constant Maturity -0.60%)± | 3.21 | 5-15-2024 | 4,913 | 4,894 | ||
FHLMC Series 2315 Class FW (30 Day Average U.S. SOFR+0.66%)± | 5.85 | 4-15-2027 | 14,615 | 14,584 | ||
FHLMC Series 2391 Class EF (30 Day Average U.S. SOFR+0.61%)± | 5.80 | 6-15-2031 | 22,312 | 22,147 | ||
FHLMC Series 2454 Class SL (30 Day Average U.S. SOFR+7.89%)ı | 2.70 | 3-15-2032 | 49,443 | 4,646 | ||
FHLMC Series 2461 Class FI (30 Day Average U.S. SOFR+0.61%)± | 5.80 | 4-15-2028 | 26,351 | 26,262 | ||
FHLMC Series 2464 Class FE (30 Day Average U.S. SOFR+1.11%)± | 6.30 | 3-15-2032 | 32,225 | 32,476 | ||
FHLMC Series 2466 Class FV (30 Day Average U.S. SOFR+0.66%)± | 5.85 | 3-15-2032 | 61,758 | 61,518 | ||
FHLMC Series 2538 Class F (30 Day Average U.S. SOFR+0.71%)± | 5.90 | 12-15-2032 | 130,891 | 130,797 | ||
FHLMC Series 3067 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 11-15-2035 | 466,537 | 457,921 | ||
FHLMC Series 3114 Class FT (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 9-15-2030 | 166,162 | 165,022 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC Series 3140 Class GF (30 Day Average U.S. SOFR+0.46%)± | 5.65 % | 3-15-2036 | $ | 384,636 | $377,222 | |
FHLMC Series 3146 Class FP (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 4-15-2036 | 354,424 | 347,979 | ||
FHLMC Series 3149 Class FB (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 5-15-2036 | 599,484 | 592,562 | ||
FHLMC Series 3240 Class FM (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 11-15-2036 | 642,167 | 629,140 | ||
FHLMC Series 3284 Class CF (30 Day Average U.S. SOFR+0.48%)± | 5.67 | 3-15-2037 | 420,257 | 408,002 | ||
FHLMC Series 3286 Class FA (30 Day Average U.S. SOFR+0.51%)± | 5.70 | 3-15-2037 | 49,482 | 47,737 | ||
FHLMC Series 3311 Class KF (30 Day Average U.S. SOFR+0.45%)± | 5.64 | 5-15-2037 | 721,407 | 702,588 | ||
FHLMC Series 3312 Class FN (30 Day Average U.S. SOFR+0.33%)± | 5.52 | 7-15-2036 | 626,050 | 610,491 | ||
FHLMC Series 3436 Class A±± | 4.48 | 11-15-2036 | 206,312 | 207,235 | ||
FHLMC Series 3684 Class FM (30 Day Average U.S. SOFR+0.46%)± | 4.84 | 11-15-2036 | 857,745 | 827,885 | ||
FHLMC Series 3753 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.80 | 11-15-2040 | 1,007,620 | 980,139 | ||
FHLMC Series 3757 Class PF (30 Day Average U.S. SOFR+0.61%)± | 5.80 | 8-15-2040 | 232,528 | 230,669 | ||
FHLMC Series 3822 Class FY (30 Day Average U.S. SOFR+0.51%)± | 5.70 | 2-15-2033 | 413,125 | 410,507 | ||
FHLMC Series 3827 Class DF (30 Day Average U.S. SOFR+0.56%)± | 5.75 | 3-15-2041 | 231,545 | 226,352 | ||
FHLMC Series 3925 Class FL (30 Day Average U.S. SOFR+0.56%)± | 5.75 | 1-15-2041 | 43,939 | 43,600 | ||
FHLMC Series 3997 Class FQ (30 Day Average U.S. SOFR+0.61%)± | 5.80 | 2-15-2042 | 437,215 | 424,607 | ||
FHLMC Series 4013 Class QF (30 Day Average U.S. SOFR+0.66%)± | 5.85 | 3-15-2041 | 198,975 | 197,095 | ||
FHLMC Series 4039 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.80 | 5-15-2042 | 693,892 | 681,481 | ||
FHLMC Series 4136 Class DF (30 Day Average U.S. SOFR+0.41%)± | 5.60 | 11-15-2042 | 437,411 | 418,477 | ||
FHLMC Series 4143 Class KF (30 Day Average U.S. SOFR+0.46%)± | 4.91 | 9-15-2037 | 1,230,159 | 1,185,290 | ||
FHLMC Series 4248 Class FL (30 Day Average U.S. SOFR+0.56%)± | 5.75 | 5-15-2041 | 174,659 | 170,915 | ||
FHLMC Series 4316 Class JF (30 Day Average U.S. SOFR+0.51%)± | 5.70 | 1-15-2044 | 625,988 | 607,299 | ||
FHLMC Series 4474 Class WF (30 Day Average U.S. SOFR+0.46%)± | 4.19 | 12-15-2036 | 978,880 | 942,771 | ||
FHLMC Series 4477 Class FG (30 Day Average U.S. SOFR+0.41%)± | 4.66 | 10-15-2040 | 926,822 | 889,086 | ||
FHLMC Series 4503 Class FA (30 Day Average U.S. SOFR+0.46%)± | 4.77 | 2-15-2042 | 1,143,077 | 1,101,936 | ||
FHLMC Series 4515 Class FA (30 Day Average U.S. SOFR+0.48%)± | 4.31 | 8-15-2038 | 166,129 | 162,453 | ||
FHLMC Series 4604 Class PA | 3.00 | 1-15-2044 | 64,752 | 64,009 | ||
FHLMC Series 4624 Class FA (30 Day Average U.S. SOFR+0.56%)± | 4.64 | 12-15-2038 | 1,892,860 | 1,864,145 | ||
FHLMC Series 4678 Class AF (30 Day Average U.S. SOFR+0.51%)± | 4.61 | 12-15-2042 | 834,387 | 811,023 | ||
FHLMC Series 4691 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 6-15-2047 | 433,818 | 414,050 | ||
FHLMC Series 4707 Class FD (30 Day Average U.S. SOFR+0.46%)± | 4.75 | 9-15-2044 | 2,400,930 | 2,326,009 | ||
FHLMC Series 4754 Class FM (30 Day Average U.S. SOFR+0.41%)± | 5.60 | 2-15-2048 | 1,082,629 | 1,026,567 | ||
FHLMC Series 4779 Class WF (30 Day Average U.S. SOFR+0.46%)± | 4.76 | 7-15-2044 | 1,120,650 | 1,079,118 | ||
FHLMC Series 4821 Class FA (30 Day Average U.S. SOFR+0.41%)± | 5.60 | 7-15-2048 | 317,562 | 301,600 | ||
FHLMC Series 4831 Class FD (30 Day Average U.S. SOFR+0.41%)± | 5.60 | 10-15-2048 | 1,051,167 | 998,837 | ||
FHLMC Series 4842 Class FA (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 11-15-2048 | 798,409 | 760,937 | ||
FHLMC Series 4906 Class WF (30 Day Average U.S. SOFR+0.51%)± | 4.74 | 12-15-2038 | 1,417,621 | 1,367,657 | ||
FHLMC Series 4908 Class FA (30 Day Average U.S. SOFR+0.55%)± | 4.81 | 12-15-2042 | 1,300,892 | 1,259,789 | ||
FHLMC Series 4915 Class FE (30 Day Average U.S. SOFR+0.51%)± | 4.70 | 2-15-2038 | 3,393,083 | 3,309,584 | ||
FHLMC Series 4921 Class FN (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 10-25-2049 | 863,975 | 828,025 | ||
FHLMC Series 4925 Class WF (30 Day Average U.S. SOFR+0.51%)± | 4.62 | 8-15-2038 | 3,086,588 | 3,079,892 | ||
FHLMC Series 4925 Class FY (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 10-25-2049 | 318,955 | 304,805 | ||
FHLMC Series 4933 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.90 | 12-25-2049 | 908,941 | 871,829 | ||
FNMA | 6.50 | 5-1-2031 | 20,446 | 20,767 | ||
FNMA | 7.06 | 1-1-2027 | 6,756 | 6,710 | ||
FNMA | 7.50 | 1-1-2031 | 13,287 | 13,255 | ||
FNMA | 7.50 | 1-1-2033 | 30,668 | 30,622 | ||
FNMA | 7.50 | 5-1-2033 | 67,524 | 67,358 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 7.50 % | 7-1-2033 | $ | 15,202 | $15,149 | |
FNMA | 7.50 | 8-1-2033 | 34,684 | 34,596 | ||
FNMA | 8.00 | 12-1-2026 | 14,004 | 13,979 | ||
FNMA | 8.00 | 3-1-2030 | 9 | 9 | ||
FNMA | 8.00 | 5-1-2033 | 29,003 | 28,867 | ||
FNMA | 8.50 | 8-15-2024 | 746 | 744 | ||
FNMA (1 Month LIBOR+1.17%)± | 6.42 | 5-1-2029 | 25,759 | 25,917 | ||
FNMA (1 Year Treasury Constant Maturity+1.50%)± | 4.28 | 8-1-2030 | 213,483 | 210,587 | ||
FNMA (1 Year Treasury Constant Maturity+1.52%)± | 5.39 | 8-1-2033 | 343,550 | 339,698 | ||
FNMA (1 Year Treasury Constant Maturity+1.58%)± | 3.87 | 3-1-2034 | 165,935 | 161,679 | ||
FNMA (1 Year Treasury Constant Maturity+1.63%)± | 5.63 | 11-1-2029 | 4,210 | 4,130 | ||
FNMA (1 Year Treasury Constant Maturity+1.66%)± | 3.69 | 7-1-2048 | 381,954 | 383,587 | ||
FNMA (1 Year Treasury Constant Maturity+1.70%)± | 3.82 | 2-1-2033 | 161,928 | 160,162 | ||
FNMA (1 Year Treasury Constant Maturity+1.76%)± | 5.51 | 8-1-2032 | 26,616 | 26,313 | ||
FNMA (1 Year Treasury Constant Maturity+1.88%)± | 5.65 | 8-1-2031 | 25,784 | 25,510 | ||
FNMA (1 Year Treasury Constant Maturity+1.93%)± | 4.32 | 7-1-2038 | 377,778 | 372,390 | ||
FNMA (1 Year Treasury Constant Maturity+1.96%)± | 5.08 | 3-1-2032 | 12,217 | 12,083 | ||
FNMA (1 Year Treasury Constant Maturity+2.03%)± | 4.73 | 12-1-2032 | 152,317 | 149,750 | ||
FNMA (1 Year Treasury Constant Maturity+2.07%)± | 4.99 | 12-1-2033 | 132,992 | 131,155 | ||
FNMA (1 Year Treasury Constant Maturity+2.10%)± | 4.94 | 4-1-2040 | 46,988 | 47,471 | ||
FNMA (1 Year Treasury Constant Maturity+2.10%)± | 5.10 | 7-1-2035 | 35,719 | 35,125 | ||
FNMA (1 Year Treasury Constant Maturity+2.10%)± | 5.14 | 9-1-2036 | 110,217 | 108,324 | ||
FNMA (1 Year Treasury Constant Maturity+2.11%)± | 5.51 | 7-1-2035 | 73,231 | 72,508 | ||
FNMA (1 Year Treasury Constant Maturity+2.12%)± | 4.49 | 8-1-2026 | 4,929 | 4,872 | ||
FNMA (1 Year Treasury Constant Maturity+2.12%)± | 5.12 | 3-1-2031 | 13,239 | 13,047 | ||
FNMA (1 Year Treasury Constant Maturity+2.13%)± | 4.25 | 10-1-2025 | 5,789 | 5,711 | ||
FNMA (1 Year Treasury Constant Maturity+2.15%)± | 4.16 | 2-1-2033 | 30,852 | 30,635 | ||
FNMA (1 Year Treasury Constant Maturity+2.17%)± | 4.29 | 12-1-2039 | 78,500 | 77,412 | ||
FNMA (1 Year Treasury Constant Maturity+2.17%)± | 5.67 | 9-1-2030 | 15,789 | 15,622 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 4.22 | 9-1-2035 | 339,731 | 347,113 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 4.30 | 12-1-2024 | 5,588 | 5,526 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 5.02 | 1-1-2036 | 199,484 | 194,792 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 5.65 | 6-1-2035 | 44,647 | 44,176 | ||
FNMA (1 Year Treasury Constant Maturity+2.18%)± | 5.74 | 1-1-2036 | 109,384 | 108,202 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 4.44 | 3-1-2035 | 167,365 | 163,667 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 4.60 | 5-1-2034 | 200,721 | 195,711 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 5.47 | 6-1-2027 | 23,569 | 23,267 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 6.19 | 8-1-2033 | 196,378 | 194,230 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.42 | 9-1-2033 | 105,987 | 104,223 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.64 | 5-1-2036 | 590,040 | 590,130 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.78 | 1-1-2033 | 145,240 | 144,164 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.84 | 12-1-2040 | 1,248,752 | 1,265,229 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.93 | 12-1-2040 | 2,676,471 | 2,707,457 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 3.75 | 8-1-2026 | 5,804 | 5,730 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 4.27 | 1-1-2027 | 11,824 | 11,776 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.01 | 5-1-2037 | 275,130 | 270,503 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.10 | 10-1-2034 | 451,037 | 457,344 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.39 | 9-1-2035 | 661,650 | 663,628 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 6.01 % | 8-1-2035 | $ | 197,274 | $197,541 | |
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 4.01 | 7-1-2029 | 99,773 | 95,931 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 4.35 | 8-1-2031 | 70,321 | 68,556 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 4.35 | 10-1-2034 | 86,780 | 85,384 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 4.88 | 12-1-2040 | 1,063,534 | 1,077,480 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.35 | 6-1-2035 | 167,337 | 166,771 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.97 | 7-1-2035 | 13,476 | 13,368 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 6.16 | 7-1-2035 | 169,027 | 169,691 | ||
FNMA (1 Year Treasury Constant Maturity+2.23%)± | 4.83 | 11-1-2038 | 1,391,364 | 1,414,312 | ||
FNMA (1 Year Treasury Constant Maturity+2.23%)± | 5.48 | 7-1-2037 | 92,822 | 94,562 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 4.95 | 4-1-2038 | 232,718 | 229,647 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.02 | 7-1-2038 | 1,273,619 | 1,294,064 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.39 | 7-1-2028 | 37 | 36 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.44 | 1-1-2037 | 240,100 | 237,621 | ||
FNMA (1 Year Treasury Constant Maturity+2.25%)± | 4.92 | 10-1-2036 | 182,922 | 185,709 | ||
FNMA (1 Year Treasury Constant Maturity+2.28%)± | 4.28 | 9-1-2026 | 8,371 | 8,278 | ||
FNMA (1 Year Treasury Constant Maturity+2.28%)± | 4.40 | 4-1-2024 | 65 | 65 | ||
FNMA (1 Year Treasury Constant Maturity+2.28%)± | 4.40 | 7-1-2024 | 884 | 877 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 4.29 | 12-1-2030 | 13,408 | 13,294 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 4.45 | 1-1-2031 | 26,767 | 26,245 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 4.81 | 5-1-2034 | 90,540 | 89,220 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 5.35 | 5-1-2033 | 141,170 | 139,028 | ||
FNMA (1 Year Treasury Constant Maturity+2.29%)± | 5.71 | 6-1-2037 | 552,557 | 559,557 | ||
FNMA (1 Year Treasury Constant Maturity+2.30%)± | 5.30 | 1-1-2026 | 23,250 | 23,020 | ||
FNMA (1 Year Treasury Constant Maturity+2.31%)± | 4.46 | 12-1-2034 | 208,031 | 206,509 | ||
FNMA (1 Year Treasury Constant Maturity+2.31%)± | 5.40 | 12-1-2030 | 161,125 | 159,089 | ||
FNMA (1 Year Treasury Constant Maturity+2.32%)± | 4.44 | 5-1-2025 | 6,068 | 6,014 | ||
FNMA (1 Year Treasury Constant Maturity+2.32%)± | 4.57 | 4-1-2028 | 20,633 | 20,163 | ||
FNMA (1 Year Treasury Constant Maturity+2.32%)± | 4.77 | 7-1-2030 | 67,950 | 67,008 | ||
FNMA (1 Year Treasury Constant Maturity+2.33%)± | 4.33 | 11-1-2024 | 7,045 | 7,010 | ||
FNMA (1 Year Treasury Constant Maturity+2.35%)± | 5.35 | 6-1-2027 | 15,564 | 15,325 | ||
FNMA (1 Year Treasury Constant Maturity+2.35%)± | 5.55 | 9-1-2037 | 28,436 | 28,030 | ||
FNMA (1 Year Treasury Constant Maturity+2.36%)± | 4.91 | 11-1-2034 | 114,674 | 116,940 | ||
FNMA (1 Year Treasury Constant Maturity+2.37%)± | 3.58 | 9-1-2030 | 197,667 | 187,853 | ||
FNMA (1 Year Treasury Constant Maturity+2.37%)± | 4.50 | 7-1-2027 | 8,199 | 8,065 | ||
FNMA (1 Year Treasury Constant Maturity+2.38%)± | 5.36 | 7-1-2027 | 33,905 | 33,569 | ||
FNMA (1 Year Treasury Constant Maturity+2.40%)± | 4.53 | 6-1-2024 | 3,583 | 3,557 | ||
FNMA (1 Year Treasury Constant Maturity+2.40%)± | 4.53 | 9-1-2033 | 223,911 | 221,289 | ||
FNMA (1 Year Treasury Constant Maturity+2.41%)± | 5.28 | 5-1-2027 | 19,430 | 19,088 | ||
FNMA (1 Year Treasury Constant Maturity+2.44%)± | 4.76 | 5-1-2033 | 34,146 | 33,545 | ||
FNMA (1 Year Treasury Constant Maturity+2.44%)± | 5.69 | 7-1-2037 | 663,388 | 667,484 | ||
FNMA (1 Year Treasury Constant Maturity+2.47%)± | 6.47 | 9-1-2028 | 21,591 | 21,350 | ||
FNMA (1 Year Treasury Constant Maturity+2.49%)± | 4.61 | 5-1-2035 | 282,264 | 283,221 | ||
FNMA (1 Year Treasury Constant Maturity+2.49%)± | 4.74 | 4-1-2038 | 138,856 | 135,265 | ||
FNMA (1 Year Treasury Constant Maturity+2.49%)± | 5.61 | 7-1-2037 | 71,751 | 71,254 | ||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 3.98 | 9-1-2030 | 157,432 | 150,656 | ||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 4.63 | 6-1-2032 | 61,014 | 59,610 | ||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 5.25 | 10-1-2029 | 165,019 | 162,457 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA (1 Year Treasury Constant Maturity+2.50%)± | 5.50 % | 3-1-2027 | $ | 8,223 | $8,124 | |
FNMA (1 Year Treasury Constant Maturity+2.51%)± | 4.60 | 7-1-2028 | 68,385 | 67,320 | ||
FNMA (1 Year Treasury Constant Maturity+2.52%)± | 4.64 | 11-1-2024 | 4,894 | 4,838 | ||
FNMA (1 Year Treasury Constant Maturity+2.60%)± | 4.72 | 10-1-2025 | 2,293 | 2,266 | ||
FNMA (1 Year Treasury Constant Maturity+2.64%)± | 4.77 | 10-1-2028 | 12,010 | 11,746 | ||
FNMA (1 Year Treasury Constant Maturity+2.64%)± | 5.64 | 3-1-2030 | 2,839 | 2,789 | ||
FNMA (1 Year Treasury Constant Maturity+2.64%)± | 6.09 | 7-1-2028 | 23,781 | 23,480 | ||
FNMA (1 Year Treasury Constant Maturity+2.70%)± | 5.76 | 5-1-2035 | 448,811 | 443,285 | ||
FNMA (1 Year Treasury Constant Maturity+2.72%)± | 4.98 | 8-1-2035 | 90,365 | 88,564 | ||
FNMA (1 Year Treasury Constant Maturity+2.89%)± | 6.38 | 9-1-2030 | 73,817 | 72,963 | ||
FNMA (1 Year Treasury Constant Maturity+3.03%)± | 5.16 | 1-1-2029 | 14,127 | 13,998 | ||
FNMA (11th District COFI+1.25%)± | 3.82 | 11-1-2023 | 477 | 475 | ||
FNMA (11th District COFI+1.25%)± | 3.88 | 11-1-2024 | 27 | 27 | ||
FNMA (11th District COFI+1.25%)± | 4.04 | 4-1-2034 | 106,397 | 102,872 | ||
FNMA (11th District COFI+1.26%)± | 3.81 | 1-1-2035 | 110,421 | 106,704 | ||
FNMA (11th District COFI+1.26%)± | 4.19 | 1-1-2038 | 5,454 | 5,369 | ||
FNMA (11th District COFI+1.27%)± | 3.78 | 3-1-2033 | 33,974 | 32,909 | ||
FNMA (11th District COFI+1.29%)± | 3.90 | 9-1-2037 | 642,901 | 620,007 | ||
FNMA (11th District COFI+1.69%)± | 4.43 | 1-1-2036 | 76,402 | 74,193 | ||
FNMA (11th District COFI+1.70%)± | 4.43 | 4-1-2030 | 280 | 274 | ||
FNMA (11th District COFI+1.82%)± | 4.55 | 6-1-2034 | 30,314 | 29,875 | ||
FNMA (11th District COFI+1.83%)± | 2.61 | 5-1-2028 | 17,504 | 17,134 | ||
FNMA (11th District COFI+1.85%)± | 4.46 | 10-1-2027 | 52,077 | 51,563 | ||
FNMA (11th District COFI+1.90%)± | 5.76 | 5-1-2034 | 29,161 | 29,274 | ||
FNMA (11th District COFI+1.91%)± | 4.48 | 3-1-2033 | 109,011 | 106,684 | ||
FNMA (11th District COFI+1.92%)± | 3.60 | 9-1-2030 | 106,704 | 104,598 | ||
FNMA (11th District COFI+1.93%)± | 4.71 | 12-1-2036 | 9,757 | 9,664 | ||
FNMA (12 Month LIBOR+1.53%)± | 4.22 | 9-1-2035 | 239,794 | 242,197 | ||
FNMA (12 Month LIBOR+1.54%)± | 4.63 | 9-1-2036 | 169,023 | 165,778 | ||
FNMA (12 Month LIBOR+1.56%)± | 3.99 | 2-1-2044 | 32,405 | 32,484 | ||
FNMA (12 Month LIBOR+1.56%)± | 4.74 | 1-1-2040 | 51,390 | 50,517 | ||
FNMA (12 Month LIBOR+1.57%)± | 3.82 | 11-1-2044 | 63,105 | 62,451 | ||
FNMA (12 Month LIBOR+1.57%)± | 4.69 | 6-1-2043 | 2,603,950 | 2,598,772 | ||
FNMA (12 Month LIBOR+1.59%)± | 5.34 | 6-1-2044 | 344,036 | 347,127 | ||
FNMA (12 Month LIBOR+1.59%)± | 5.35 | 9-1-2044 | 581,827 | 587,295 | ||
FNMA (12 Month LIBOR+1.59%)± | 5.42 | 8-1-2045 | 226,419 | 228,124 | ||
FNMA (12 Month LIBOR+1.59%)± | 6.78 | 2-1-2043 | 263,594 | 262,795 | ||
FNMA (12 Month LIBOR+1.60%)± | 2.23 | 8-1-2050 | 1,958,962 | 1,740,849 | ||
FNMA (12 Month LIBOR+1.60%)± | 3.85 | 9-1-2037 | 333,543 | 328,028 | ||
FNMA (12 Month LIBOR+1.60%)± | 4.12 | 3-1-2046 | 582,931 | 585,587 | ||
FNMA (12 Month LIBOR+1.62%)± | 2.39 | 8-1-2050 | 2,550,834 | 2,270,392 | ||
FNMA (12 Month LIBOR+1.62%)± | 2.52 | 4-1-2050 | 1,209,883 | 1,125,963 | ||
FNMA (12 Month LIBOR+1.64%)± | 4.82 | 11-1-2038 | 80,691 | 79,578 | ||
FNMA (12 Month LIBOR+1.64%)± | 5.37 | 9-1-2042 | 70,826 | 71,333 | ||
FNMA (12 Month LIBOR+1.67%)± | 4.28 | 6-1-2041 | 674,930 | 682,551 | ||
FNMA (12 Month LIBOR+1.67%)± | 5.79 | 7-1-2035 | 271,581 | 275,566 | ||
FNMA (12 Month LIBOR+1.71%)± | 4.55 | 4-1-2034 | 195,715 | 197,526 | ||
FNMA (12 Month LIBOR+1.72%)± | 5.74 | 6-1-2035 | 36,341 | 36,929 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA (12 Month LIBOR+1.73%)± | 4.65 % | 2-1-2045 | $ | 650,215 | $649,641 | |
FNMA (12 Month LIBOR+1.73%)± | 4.80 | 7-1-2043 | 992,139 | 1,006,513 | ||
FNMA (12 Month LIBOR+1.74%)± | 4.70 | 9-1-2042 | 120,864 | 122,223 | ||
FNMA (12 Month LIBOR+1.74%)± | 5.62 | 6-1-2036 | 45,559 | 45,484 | ||
FNMA (12 Month LIBOR+1.75%)± | 4.00 | 1-1-2035 | 153,741 | 152,152 | ||
FNMA (12 Month LIBOR+1.75%)± | 4.53 | 4-1-2033 | 248,021 | 243,233 | ||
FNMA (12 Month LIBOR+1.75%)± | 4.80 | 5-1-2035 | 194,929 | 190,322 | ||
FNMA (12 Month LIBOR+1.75%)± | 4.89 | 4-1-2034 | 140,799 | 137,459 | ||
FNMA (12 Month LIBOR+1.75%)± | 5.52 | 7-1-2035 | 188,830 | 188,161 | ||
FNMA (12 Month LIBOR+1.77%)± | 4.83 | 7-1-2044 | 1,323,813 | 1,347,252 | ||
FNMA (12 Month LIBOR+1.78%)± | 4.69 | 1-1-2042 | 990,511 | 1,009,831 | ||
FNMA (12 Month LIBOR+1.83%)± | 4.08 | 1-1-2033 | 48,128 | 47,250 | ||
FNMA (12 Month LIBOR+1.90%)± | 4.50 | 10-1-2034 | 213,086 | 209,218 | ||
FNMA (12 Month LIBOR+1.91%)± | 5.52 | 5-1-2038 | 231,688 | 236,842 | ||
FNMA (12 Month LIBOR+1.93%)± | 5.68 | 5-1-2037 | 383,872 | 378,003 | ||
FNMA (12 Month LIBOR+2.02%)± | 4.56 | 9-1-2035 | 142,431 | 144,731 | ||
FNMA (12 Month Treasury Average+1.21%)± | 5.43 | 4-1-2042 | 525,988 | 501,604 | ||
FNMA (12 Month Treasury Average+1.40%)± | 5.61 | 12-1-2030 | 17,493 | 16,912 | ||
FNMA (12 Month Treasury Average+1.73%)± | 5.93 | 6-1-2035 | 190,694 | 187,490 | ||
FNMA (12 Month Treasury Average+1.75%)± | 5.95 | 10-1-2035 | 259,338 | 252,597 | ||
FNMA (12 Month Treasury Average+1.82%)± | 6.05 | 7-1-2035 | 223,168 | 219,291 | ||
FNMA (12 Month Treasury Average+1.85%)± | 6.05 | 11-1-2035 | 29,535 | 28,699 | ||
FNMA (12 Month Treasury Average+1.86%)± | 6.06 | 11-1-2035 | 234,501 | 228,447 | ||
FNMA (12 Month Treasury Average+1.91%)± | 6.12 | 7-1-2035 | 157,838 | 154,108 | ||
FNMA (12 Month Treasury Average+1.94%)± | 6.15 | 11-1-2035 | 11,589 | 11,424 | ||
FNMA (12 Month Treasury Average+1.96%)± | 6.17 | 11-1-2035 | 242,856 | 236,076 | ||
FNMA (12 Month Treasury Average+2.05%)± | 6.26 | 10-1-2035 | 110,258 | 109,097 | ||
FNMA (12 Month Treasury Average+2.08%)± | 6.32 | 1-1-2035 | 206,852 | 202,964 | ||
FNMA (12 Month Treasury Average+2.11%)± | 6.29 | 8-1-2035 | 97,808 | 96,416 | ||
FNMA (12 Month Treasury Average+2.36%)± | 6.57 | 8-1-2040 | 257,321 | 254,204 | ||
FNMA (12 Month Treasury Average+2.48%)± | 4.13 | 6-1-2040 | 368,665 | 360,605 | ||
FNMA (3 Year Treasury Constant Maturity+2.15%)± | 2.90 | 8-1-2031 | 20,008 | 19,457 | ||
FNMA (5 Year Treasury Constant Maturity+1.90%)± | 3.49 | 9-1-2031 | 84,843 | 81,834 | ||
FNMA (5 Year Treasury Constant Maturity+2.42%)± | 4.78 | 6-1-2028 | 9,531 | 9,590 | ||
FNMA (6 Month LIBOR+1.03%)± | 4.15 | 2-1-2033 | 87,219 | 85,259 | ||
FNMA (6 Month LIBOR+1.16%)± | 4.50 | 8-1-2033 | 2,488 | 2,434 | ||
FNMA (6 Month LIBOR+1.18%)± | 6.18 | 8-1-2033 | 34,274 | 34,252 | ||
FNMA (6 Month LIBOR+1.31%)± | 4.19 | 10-1-2037 | 272,114 | 270,668 | ||
FNMA (6 Month LIBOR+1.38%)± | 6.50 | 8-1-2031 | 85,393 | 85,355 | ||
FNMA (6 Month LIBOR+1.38%)± | 6.75 | 12-1-2031 | 12,672 | 12,611 | ||
FNMA (6 Month LIBOR+1.39%)± | 7.02 | 1-1-2032 | 54,342 | 54,246 | ||
FNMA (6 Month LIBOR+1.42%)± | 6.17 | 12-1-2031 | 97,992 | 98,308 | ||
FNMA (6 Month LIBOR+1.51%)± | 4.35 | 11-1-2034 | 256,231 | 251,018 | ||
FNMA (6 Month LIBOR+1.54%)± | 7.02 | 1-1-2035 | 329,753 | 333,302 | ||
FNMA (6 Month LIBOR+1.55%)± | 6.37 | 3-1-2034 | 73,046 | 73,252 | ||
FNMA (6 Month LIBOR+1.61%)± | 6.86 | 6-1-2037 | 288,717 | 292,033 | ||
FNMA (6 Month LIBOR+1.74%)± | 4.49 | 10-1-2024 | 7,974 | 7,860 | ||
FNMA (6 Month LIBOR+1.74%)± | 4.87 | 12-1-2024 | 7,544 | 7,442 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA (6 Month LIBOR+1.93%)± | 5.05 % | 6-1-2032 | $ | 48,460 | $47,729 | |
FNMA (6 Month LIBOR+1.96%)± | 5.28 | 1-1-2033 | 44,253 | 43,293 | ||
FNMA (6 Month LIBOR+1.98%)± | 4.23 | 9-1-2033 | 40,729 | 39,724 | ||
FNMA (6 Month LIBOR+2.25%)± | 5.22 | 3-1-2034 | 349,793 | 345,010 | ||
FNMA (6 Month LIBOR+2.31%)± | 5.06 | 4-1-2033 | 139,596 | 136,530 | ||
FNMA (6 Month LIBOR+2.35%)± | 5.53 | 5-1-2033 | 415,514 | 414,042 | ||
FNMA (6 Month LIBOR+2.48%)± | 5.73 | 7-1-2033 | 23,946 | 23,438 | ||
FNMA (6 Month LIBOR+2.51%)± | 5.13 | 4-1-2033 | 126,237 | 124,468 | ||
FNMA (6 Month LIBOR+2.64%)± | 5.17 | 4-1-2024 | 4,645 | 4,605 | ||
FNMA (6 Month LIBOR+3.36%)± | 6.07 | 12-1-2032 | 76,149 | 74,499 | ||
FNMA (Enterprise 11th District COFI Institutional Replacement+1.40%)± | 3.15 | 4-1-2024 | 47,519 | 47,217 | ||
FNMA (Federal COFI+2.00%)± | 4.25 | 8-1-2029 | 17,248 | 17,146 | ||
FNMA (Federal COFI+2.46%)± | 4.15 | 2-1-2029 | 178,300 | 177,137 | ||
FNMA Series 1993-247 Class FM (30 Day Average U.S. SOFR+1.92%)± | 6.99 | 12-25-2023 | 2,492 | 2,483 | ||
FNMA Series 1994-14 Class F (30 Day Average U.S. SOFR+2.32%)± | 7.39 | 10-25-2023 | 643 | 641 | ||
FNMA Series 2001-50 Class BA | 7.00 | 10-25-2041 | 49,462 | 49,949 | ||
FNMA Series 2001-63 Class FD (30 Day Average U.S. SOFR+0.71%)± | 5.94 | 12-18-2031 | 35,060 | 35,028 | ||
FNMA Series 2001-81 Class F (30 Day Average U.S. SOFR+0.66%)± | 5.95 | 1-25-2032 | 18,238 | 18,121 | ||
FNMA Series 2001-T10 Class A2 | 7.50 | 12-25-2041 | 896,555 | 903,888 | ||
FNMA Series 2001-T12 Class A4±± | 4.47 | 8-25-2041 | 1,568,402 | 1,543,725 | ||
FNMA Series 2001-T12 Class A2 | 7.50 | 8-25-2041 | 68,534 | 69,437 | ||
FNMA Series 2001-T8 Class A1 | 7.50 | 7-25-2041 | 52,974 | 52,369 | ||
FNMA Series 2001-W1 Class AV1 (1 Month LIBOR+0.12%)± | 5.52 | 8-25-2031 | 16,020 | 15,291 | ||
FNMA Series 2001-W3 Class A±± | 7.00 | 9-25-2041 | 194,819 | 188,126 | ||
FNMA Series 2002-5 Class FD (30 Day Average U.S. SOFR+1.01%)± | 6.30 | 2-25-2032 | 26,887 | 26,961 | ||
FNMA Series 2002-59 Class F (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 9-25-2032 | 71,999 | 71,625 | ||
FNMA Series 2002-66 Class A3±± | 4.11 | 4-25-2042 | 3,471,197 | 3,389,545 | ||
FNMA Series 2002-T12 Class A5±± | 4.75 | 10-25-2041 | 825,295 | 797,497 | ||
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 755,430 | 785,812 | ||
FNMA Series 2002-T18 Class A5±± | 4.56 | 5-25-2042 | 1,576,607 | 1,506,822 | ||
FNMA Series 2002-T19 Class A4±± | 4.69 | 3-25-2042 | 93,781 | 89,412 | ||
FNMA Series 2002-W1 Class 3A±± | 3.63 | 4-25-2042 | 403,702 | 372,010 | ||
FNMA Series 2002-W4 Class A6±± | 4.22 | 5-25-2042 | 705,929 | 670,457 | ||
FNMA Series 2003-63 Class A8±± | 3.91 | 1-25-2043 | 532,018 | 515,980 | ||
FNMA Series 2003-7 Class A2±± | 4.30 | 5-25-2042 | 284,859 | 280,417 | ||
FNMA Series 2003-T2 Class A1 (30 Day Average U.S. SOFR+0.39%)± | 5.68 | 3-25-2033 | 654,341 | 646,528 | ||
FNMA Series 2003-W10 Class 2A±± | 3.65 | 6-25-2043 | 1,096,664 | 1,024,576 | ||
FNMA Series 2003-W18 Class 2A±± | 4.19 | 6-25-2043 | 1,331,824 | 1,273,244 | ||
FNMA Series 2003-W2 Class 1A3 | 7.50 | 7-25-2042 | 183,006 | 190,724 | ||
FNMA Series 2003-W4 Class 5A±± | 3.96 | 10-25-2042 | 387,318 | 339,358 | ||
FNMA Series 2003-W6 Class 6A±± | 3.96 | 8-25-2042 | 462,029 | 439,240 | ||
FNMA Series 2003-W8 Class 4A±± | 4.27 | 11-25-2042 | 561,351 | 537,054 | ||
FNMA Series 2003-W9 Class A (1 Month LIBOR+0.12%)± | 5.52 | 6-25-2033 | 846,708 | 802,852 | ||
FNMA Series 2004-17 Class FT (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 4-25-2034 | 377,096 | 374,094 | ||
FNMA Series 2004-T1 Class 2A±± | 3.56 | 8-25-2043 | 686,135 | 624,107 | ||
FNMA Series 2004-T3 Class 2A±± | 4.32 | 8-25-2043 | 550,270 | 535,539 | ||
FNMA Series 2004-T3 Class 1A3 | 7.00 | 2-25-2044 | 227,527 | 233,794 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA Series 2004-W1 Class 3A±± | 4.48 % | 1-25-2043 | $ | 31,130 | $28,904 | |
FNMA Series 2004-W1 Class 2A2 | 7.00 | 12-25-2033 | 112,646 | 116,488 | ||
FNMA Series 2004-W12 Class 2A±± | 4.11 | 6-25-2044 | 1,619,624 | 1,548,508 | ||
FNMA Series 2004-W15 Class 3A±± | 4.11 | 6-25-2044 | 2,281,446 | 2,191,100 | ||
FNMA Series 2004-W2 Class 5A | 7.50 | 3-25-2044 | 35,326 | 36,409 | ||
FNMA Series 2005-25 Class PF (30 Day Average U.S. SOFR+0.46%)± | 5.75 | 4-25-2035 | 505,390 | 494,892 | ||
FNMA Series 2005-W3 Class 3A±± | 4.06 | 4-25-2045 | 440,827 | 415,902 | ||
FNMA Series 2006-112 Class LF (30 Day Average U.S. SOFR+0.66%)± | 5.95 | 11-25-2036 | 871,272 | 851,669 | ||
FNMA Series 2006-16 Class FA (30 Day Average U.S. SOFR+0.41%)± | 5.70 | 3-25-2036 | 330,384 | 324,411 | ||
FNMA Series 2006-44 Class FY (30 Day Average U.S. SOFR+0.68%)± | 5.97 | 6-25-2036 | 647,858 | 642,242 | ||
FNMA Series 2006-5 Class 1A±± | 4.60 | 8-25-2034 | 1,627,887 | 1,650,299 | ||
FNMA Series 2006-W1 Class 3A±± | 3.63 | 10-25-2045 | 1,443,769 | 1,395,495 | ||
FNMA Series 2007-109 Class PF (30 Day Average U.S. SOFR+0.76%)± | 6.05 | 12-25-2037 | 252,523 | 249,439 | ||
FNMA Series 2007-4 Class DF (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 2-25-2037 | 496,827 | 483,201 | ||
FNMA Series 2007-86 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 9-25-2037 | 872,255 | 860,723 | ||
FNMA Series 2007-95 Class A2 (30 Day Average U.S. SOFR+0.36%)± | 5.15 | 8-27-2036 | 87,172 | 85,669 | ||
FNMA Series 2008-67 Class FG (30 Day Average U.S. SOFR+1.11%)± | 6.40 | 7-25-2038 | 483,528 | 487,066 | ||
FNMA Series 2009-106 Class FA (30 Day Average U.S. SOFR+0.86%)± | 6.15 | 1-25-2040 | 721,914 | 720,321 | ||
FNMA Series 2009-11 Class FU (30 Day Average U.S. SOFR+1.11%)± | 6.40 | 3-25-2049 | 102,682 | 102,805 | ||
FNMA Series 2010-54 Class AF (30 Day Average U.S. SOFR+0.67%)± | 5.96 | 4-25-2037 | 196,278 | 194,014 | ||
FNMA Series 2011-121 Class PF (30 Day Average U.S. SOFR+0.46%)± | 5.75 | 12-25-2041 | 185,313 | 180,388 | ||
FNMA Series 2012-122 Class FM (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 11-25-2042 | 846,201 | 814,574 | ||
FNMA Series 2012-47 Class FW (30 Day Average U.S. SOFR+1.81%)± | 7.10 | 5-25-2027 | 61,203 | 62,531 | ||
FNMA Series 2013-130 Class CF (30 Day Average U.S. SOFR+0.36%)± | 5.65 | 6-25-2043 | 277,709 | 272,890 | ||
FNMA Series 2013-23 Class LF (30 Day Average U.S. SOFR+0.46%)± | 4.50 | 3-25-2043 | 2,513,000 | 2,448,905 | ||
FNMA Series 2014-10 Class CF (30 Day Average U.S. SOFR+0.41%)± | 3.99 | 3-25-2044 | 551,017 | 536,619 | ||
FNMA Series 2014-49 Class AF (30 Day Average U.S. SOFR+0.43%)± | 4.77 | 8-25-2044 | 103,767 | 100,276 | ||
FNMA Series 2015-38 Class DF (30 Day Average U.S. SOFR+0.42%)± | 4.85 | 6-25-2055 | 1,308,973 | 1,265,718 | ||
FNMA Series 2015-4 Class FA (30 Day Average U.S. SOFR+0.46%)± | 4.87 | 2-25-2045 | 764,133 | 739,305 | ||
FNMA Series 2016-40 Class AF (30 Day Average U.S. SOFR+0.56%)± | 4.74 | 7-25-2046 | 3,778,928 | 3,669,596 | ||
FNMA Series 2016-58 Class FA (30 Day Average U.S. SOFR+0.59%)± | 4.92 | 8-25-2046 | 399,304 | 386,853 | ||
FNMA Series 2016-62 Class AF (30 Day Average U.S. SOFR+0.56%)± | 4.93 | 9-25-2046 | 485,556 | 470,952 | ||
FNMA Series 2016-64 Class KF (30 Day Average U.S. SOFR+0.58%)± | 4.47 | 9-25-2046 | 992,971 | 962,534 | ||
FNMA Series 2016-76 Class CF (30 Day Average U.S. SOFR+0.56%)± | 5.04 | 10-25-2046 | 594,910 | 578,681 | ||
FNMA Series 2016-82 Class FM (30 Day Average U.S. SOFR+0.51%)± | 4.47 | 11-25-2046 | 1,209,344 | 1,172,072 | ||
FNMA Series 2016-87 Class AF (30 Day Average U.S. SOFR+0.51%)± | 4.77 | 11-25-2046 | 256,638 | 248,744 | ||
FNMA Series 2017-45 Class FA (30 Day Average U.S. SOFR+0.43%)± | 5.02 | 6-25-2047 | 3,082,895 | 2,982,057 | ||
FNMA Series 2018-39 Class WF (30 Day Average U.S. SOFR+0.41%)± | 4.72 | 6-25-2048 | 2,734,195 | 2,656,227 | ||
FNMA Series 2018-47 Class PC | 3.50 | 9-25-2047 | 135,410 | 127,888 | ||
FNMA Series 2019-25 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 6-25-2049 | 244,262 | 234,706 | ||
FNMA Series 2019-38 Class AF (30 Day Average U.S. SOFR+0.51%)± | 4.82 | 7-25-2049 | 3,258,182 | 3,126,493 | ||
FNMA Series 2019-42 Class MF (30 Day Average U.S. SOFR+0.51%)± | 4.71 | 8-25-2059 | 1,629,603 | 1,575,801 | ||
FNMA Series 2019-5 Class FE (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 3-25-2049 | 353,077 | 339,947 | ||
FNMA Series 2019-53 Class FA (30 Day Average U.S. SOFR+0.51%)± | 4.71 | 9-25-2049 | 1,284,456 | 1,238,729 | ||
FNMA Series 2020-10 Class Q | 3.00 | 3-25-2050 | 2,650,070 | 2,257,847 | ||
FNMA Series 2020-29 Class FA (30 Day Average U.S. SOFR+0.76%)± | 4.78 | 5-25-2050 | 824,274 | 804,125 | ||
FNMA Series 2021-85 Class EF (30 Day Average U.S. SOFR+0.18%)± | 5.25 | 12-25-2051 | 3,134,998 | 3,058,610 | ||
GNMA | 6.45 | 4-20-2025 | 8,282 | 8,254 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA | 6.45 % | 9-20-2025 | $ | 11,017 | $11,391 | |
GNMA | 6.50 | 8-20-2034 | 110,501 | 107,440 | ||
GNMA | 9.00 | 9-20-2024 | 109 | 109 | ||
GNMA | 9.00 | 11-20-2024 | 14 | 14 | ||
GNMA | 9.00 | 1-20-2025 | 222 | 222 | ||
GNMA | 9.00 | 2-20-2025 | 748 | 748 | ||
GNMA (1 Month LIBOR+0.62%)± | 5.77 | 5-20-2058 | 103,112 | 102,665 | ||
GNMA (1 Year Treasury Constant Maturity+1.40%)± | 6.55 | 6-20-2058 | 14,102 | 14,109 | ||
GNMA (1 Year Treasury Constant Maturity+1.50%)± | 3.63 | 1-20-2034 | 744,012 | 728,003 | ||
GNMA (1 Year Treasury Constant Maturity+2.00%)± | 4.38 | 4-20-2041 | 25,392 | 24,809 | ||
GNMA (1 Year Treasury Constant Maturity+2.00%)± | 5.13 | 1-20-2041 | 22,156 | 21,866 | ||
GNMA Series 2004-80 Class FA (U.S. SOFR 1 Month+0.51%)± | 5.83 | 10-20-2034 | 333,992 | 331,290 | ||
GNMA Series 2006-16 Class DF (U.S. SOFR 1 Month+0.22%)± | 5.54 | 4-20-2036 | 1,694,075 | 1,668,130 | ||
GNMA Series 2008-65 Class FG (U.S. SOFR 1 Month+0.86%)± | 6.18 | 8-20-2038 | 588,754 | 591,069 | ||
GNMA Series 2008-68 Class FA (U.S. SOFR 1 Month+1.06%)± | 6.38 | 8-20-2038 | 733,481 | 736,685 | ||
GNMA Series 2009-12 Class FA (U.S. SOFR 1 Month+1.06%)± | 6.38 | 3-20-2039 | 938,784 | 942,404 | ||
GNMA Series 2009-15 Class FL (U.S. SOFR 1 Month+1.06%)± | 6.38 | 3-20-2039 | 938,784 | 941,674 | ||
GNMA Series 2009-29 Class FL (U.S. SOFR 1 Month+0.76%)± | 6.08 | 5-16-2039 | 1,008,312 | 1,002,438 | ||
GNMA Series 2009-36 Class FE (U.S. SOFR 1 Month+0.91%)± | 6.23 | 9-20-2038 | 949,977 | 950,752 | ||
GNMA Series 2009-50 Class FW (U.S. SOFR 1 Month+1.11%)± | 6.43 | 7-20-2039 | 701,857 | 706,204 | ||
GNMA Series 2009-52 Class FD (U.S. SOFR 1 Month+1.06%)± | 6.38 | 7-16-2039 | 358,025 | 359,571 | ||
GNMA Series 2010-25 Class FH (U.S. SOFR 1 Month+0.83%)± | 6.15 | 2-16-2040 | 498,056 | 491,627 | ||
GNMA Series 2010-79 Class YF (U.S. SOFR 1 Month+0.46%)± | 5.78 | 5-20-2035 | 1,624,801 | 1,596,997 | ||
GNMA Series 2011-117 Class FJ (U.S. SOFR 1 Month+0.98%)± | 6.30 | 8-20-2041 | 915,355 | 916,877 | ||
GNMA Series 2011-H12 Class FA (U.S. SOFR 1 Month+0.60%)± | 5.71 | 2-20-2061 | 344,366 | 342,598 | ||
GNMA Series 2011-H17 Class FA (U.S. SOFR 1 Month+0.64%)± | 5.79 | 6-20-2061 | 268,204 | 267,029 | ||
GNMA Series 2012-124 Class GF (U.S. SOFR 1 Month+0.36%)± | 5.68 | 10-20-2042 | 1,043,437 | 1,014,963 | ||
GNMA Series 2014-44 Class IAƒ | 3.50 | 5-20-2028 | 1,357,063 | 46,517 | ||
GNMA Series 2014-H16 Class FL (U.S. SOFR 1 Month+0.58%)± | 5.63 | 7-20-2064 | 641,480 | 637,388 | ||
GNMA Series 2014-H22 Class FC (U.S. SOFR 1 Month+0.59%)± | 5.70 | 11-20-2064 | 1,362,013 | 1,353,323 | ||
GNMA Series 2015-H23 Class TA (U.S. SOFR 1 Month+0.58%)± | 5.69 | 9-20-2065 | 1,350,028 | 1,340,532 | ||
GNMA Series 2016-H24 Class FD (U.S. SOFR 12 Month+1.02%)± | 4.43 | 11-20-2066 | 336,624 | 334,439 | ||
GNMA Series 2017-130 Class FH (U.S. SOFR 1 Month+0.41%)± | 5.73 | 8-20-2047 | 1,634,206 | 1,561,551 | ||
GNMA Series 2017-H11 Class FE (U.S. SOFR 12 Month+0.90%)± | 5.18 | 5-20-2067 | 2,563,520 | 2,531,693 | ||
GNMA Series 2018-120 Class FL (U.S. SOFR 1 Month+0.41%)± | 5.73 | 9-20-2048 | 240,831 | 230,753 | ||
GNMA Series 2018-49 Class FM (U.S. SOFR 1 Month+0.36%)± | 5.68 | 4-20-2048 | 1,118,389 | 1,067,325 | ||
GNMA Series 2018-H07 Class FD (U.S. SOFR 1 Month+0.41%)± | 5.52 | 5-20-2068 | 263,033 | 262,224 | ||
GNMA Series 2018-H13 Class FC (U.S. SOFR 1 Month+0.41%)± | 5.52 | 7-20-2068 | 232,136 | 229,648 | ||
GNMA Series 2019-103 Class FG (U.S. SOFR 1 Month+0.56%)± | 5.88 | 4-20-2049 | 970,872 | 936,106 | ||
GNMA Series 2019-129 Class WF (U.S. SOFR 1 Month+0.51%)± | 5.83 | 2-20-2046 | 1,187,191 | 1,127,172 | ||
GNMA Series 2019-H06 Class FD (U.S. SOFR 1 Month+0.83%)± | 3.81 | 1-20-2069 | 582,985 | 574,261 | ||
GNMA Series 2019-H09 Class FE (U.S. SOFR 1 Month+0.61%)± | 5.22 | 4-20-2069 | 892,414 | 883,760 | ||
GNMA Series 2019-H10 Class FB (U.S. SOFR 1 Month+0.71%)± | 4.87 | 6-20-2069 | 2,771,066 | 2,654,455 | ||
GNMA Series 2019-H15 Class FE (U.S. SOFR 1 Month+0.74%)± | 4.81 | 9-20-2069 | 1,836,005 | 1,812,407 | ||
GNMA Series 2020-H12 Class F (U.S. SOFR 1 Month+0.61%)± | 5.53 | 7-20-2070 | 727,461 | 714,799 | ||
GNMA Series 2020-H19 Class FB (U.S. SOFR 1 Month+0.56%)± | 4.22 | 11-20-2070 | 2,333,900 | 2,281,891 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA Series 2021-H01 Class FC (U.S. SOFR 1 Month+0.51%)± | 4.78 % | 11-20-2070 | $ | 1,369,845 | $1,340,867 | |
GNMA Series 2021-H14 Class FA (30 Day Average U.S. SOFR+0.30%)± | 4.20 | 4-20-2070 | 3,505,464 | 3,367,516 | ||
Total agency securities (Cost $258,274,268) | 249,984,508 | |||||
Asset-backed securities: 2.36% | ||||||
Brazos Education Funding LLC Series 2015-1 Class A (30 Day Average U.S. SOFR+1.11%)144A± | 6.40 | 10-25-2056 | 1,210,949 | 1,201,575 | ||
EFS Volunteer LLC Series 2010-1 Class A2 (90 Day Average U.S. SOFR+1.11%)144A± | 6.17 | 10-25-2035 | 175,920 | 175,578 | ||
Navient Private Education Refinance Loan Trust Series 2020-GA Class A144A | 1.17 | 9-16-2069 | 985,560 | 876,175 | ||
Navient Student Loan Trust Series 2021-1A Class A1B (30 Day Average U.S. SOFR+0.71%)144A± | 6.00 | 12-26-2069 | 752,154 | 743,251 | ||
Nelnet Student Loan Trust Series 2019-4A Class A (U.S. SOFR 1 Month+0.98%)144A± | 6.30 | 9-26-2067 | 538,395 | 530,843 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR+0.67%)144A± | 6.22 | 12-17-2068 | 3,068,252 | 3,042,085 | ||
SLM Student Loan Trust Series 2004-10 Class A7B (90 Day Average U.S. SOFR+0.86%)144A± | 5.92 | 10-25-2029 | 153,554 | 153,020 | ||
Total asset-backed securities (Cost $6,883,916) | 6,722,527 | |||||
Corporate bonds and notes: 0.71% | ||||||
Energy: 0.71% | ||||||
Oil & gas services: 0.71% | ||||||
Cal Dive I-Title XI, Inc. | 4.93 | 2-1-2027 | 2,052,446 | 2,011,393 | ||
Total corporate bonds and notes (Cost $2,106,600) | 2,011,393 | |||||
Non-agency mortgage-backed securities: 5.47% | ||||||
Angel Oak Mortgage Trust Series 2020-R1 Class A1144A±± | 0.99 | 4-25-2053 | 583,360 | 524,144 | ||
CSMC Trust Series 2022-NQM1 Class A1144A±± | 2.27 | 11-25-2066 | 2,649,536 | 2,211,339 | ||
FRESB Mortgage Trust Series 2022-SB94 Class A5H±± | 1.72 | 11-25-2041 | 5,775,585 | 5,380,877 | ||
GS Mortgage-Backed Securities Corp. Trust Series 2020-PJ4 Class A2144A±± | 3.00 | 1-25-2051 | 621,625 | 522,330 | ||
Imperial Fund Mortgage Trust Series 2022-NQM1 Class A1144A±± | 2.49 | 2-25-2067 | 2,280,455 | 1,972,558 | ||
JP Morgan Mortgage Trust Series 2016-5 Class A1144A±± | 6.74 | 12-25-2046 | 374,604 | 362,262 | ||
MFA Trust Series 2020-NQM3 Class A1144A±± | 1.01 | 1-26-2065 | 263,454 | 237,907 | ||
New Residential Mortgage Loan Trust Series 2018-4A Class A1M (U.S. SOFR 1 Month+1.01%)144A± | 6.33 | 1-25-2048 | 904,647 | 879,895 | ||
New Residential Mortgage Loan Trust Series 2020-RPL1 Class A1144A±± | 2.75 | 11-25-2059 | 187,230 | 172,479 | ||
OBX Trust Series 2022-NQM1 Class A1144A±± | 2.31 | 11-25-2061 | 2,752,047 | 2,316,339 | ||
Starwood Mortgage Residential Trust Series 2021-2 Class A1144A±± | 0.94 | 5-25-2065 | 720,826 | 635,623 | ||
Towd Point Mortgage Trust Series 2017-5 Class A1 (U.S. SOFR 1 Month+0.71%)144A± | 5.12 | 2-25-2057 | 353,410 | 354,186 | ||
Total non-agency mortgage-backed securities (Cost $17,500,457) | 15,569,939 |
Yield | Shares | Value | ||||
Short-term investments: 2.65% | ||||||
Investment companies: 2.65% | ||||||
Allspring Government Money Market Fund Select Class♠∞ | 5.26 % | 7,537,678 | $7,537,678 | |||
Total short-term investments (Cost $7,537,678) | 7,537,678 | |||||
Total investments in securities (Cost $292,302,919) | 99.02 % | 281,826,045 | ||||
Other assets and liabilities, net | 0.98 | 2,797,601 | ||||
Total net assets | 100.00 % | $284,623,646 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
COFI | Cost of Funds Index |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $1,904,979 | $182,168,964 | $(176,536,265 ) | $0 | $0 | $7,537,678 | 7,537,678 | $157,119 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Short | ||||||
10-Year U.S. Treasury Notes | (57 ) | 12-19-2023 | $(6,276,456 ) | $(6,328,781 ) | $0 | $(52,325 ) |
Ultra 10-Year U.S. Treasury Notes | (62 ) | 12-19-2023 | (7,127,027 ) | (7,198,781 ) | 0 | (71,754 ) |
5-Year U.S. Treasury Notes | (195 ) | 12-29-2023 | (20,711,538 ) | (20,849,766 ) | 0 | (138,228 ) |
2-Year U.S. Treasury Notes | (219 ) | 12-29-2023 | (44,497,534 ) | (44,633,227 ) | 0 | (135,693 ) |
$0 | $(398,000 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $284,765,241) | $274,288,367 |
Investments in affiliated securities, at value (cost $7,537,678) | 7,537,678 |
Cash | 95 |
Cash at broker segregated for futures contracts | 1,366,000 |
Receivable for interest | 1,178,282 |
Principal paydown receivable | 877,327 |
Receivable for Fund shares sold | 34,309 |
Prepaid expenses and other assets | 87,017 |
Total assets | 285,369,075 |
Liabilities | |
Payable for Fund shares redeemed | 494,761 |
Dividends payable | 81,759 |
Payable for daily variation margin on open futures contracts | 61,016 |
Management fee payable | 43,407 |
Administration fees payable | 23,708 |
Trustees’ fees and expenses payable | 4,621 |
Distribution fee payable | 1,591 |
Accrued expenses and other liabilities | 34,566 |
Total liabilities | 745,429 |
Total net assets | $284,623,646 |
Net assets consist of | |
Paid-in capital | $293,348,740 |
Total distributable loss | (8,725,094 ) |
Total net assets | $284,623,646 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $68,735,789 |
Shares outstanding–Class A1 | 7,906,726 |
Net asset value per share–Class A | $8.69 |
Maximum offering price per share – Class A2 | $8.87 |
Net assets–Class C | $2,445,044 |
Shares outstanding–Class C1 | 281,813 |
Net asset value per share–Class C | $8.68 |
Net assets–Administrator Class | $4,444,005 |
Shares outstanding–Administrator Class1 | 511,068 |
Net asset value per share–Administrator Class | $8.70 |
Net assets–Institutional Class | $208,998,808 |
Shares outstanding–Institutional Class1 | 24,041,938 |
Net asset value per share–Institutional Class | $8.69 |
Investment income | |
Interest | $11,463,154 |
Income from affiliated securities | 157,119 |
Total investment income | 11,620,273 |
Expenses | |
Management fee | 1,210,560 |
Administration fees | |
Class A | 119,893 |
Class C | 4,548 |
Administrator Class | 5,116 |
Institutional Class | 209,762 |
Shareholder servicing fees | |
Class A | 188,501 |
Class C | 7,173 |
Administrator Class | 12,709 |
Distribution fee | |
Class C | 21,518 |
Custody and accounting fees | 46,451 |
Professional fees | 106,431 |
Registration fees | 60,437 |
Shareholder report expenses | 40,414 |
Trustees’ fees and expenses | 28,599 |
Other fees and expenses | 78,316 |
Total expenses | 2,140,428 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (250,226 ) |
Class A | (42,213 ) |
Class C | (1,573 ) |
Administrator Class | (6,850 ) |
Net expenses | 1,839,566 |
Net investment income | 9,780,707 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (2,415,444 ) |
Futures contracts | 4,910,889 |
Net realized gains on investments | 2,495,445 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (1,816,662 ) |
Futures contracts | (503,865 ) |
Net change in unrealized gains (losses) on investments | (2,320,527 ) |
Net realized and unrealized gains (losses) on investments | 174,918 |
Net increase in net assets resulting from operations | $9,955,625 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $9,780,707 | $2,748,623 | ||
Net realized gains on investments | 2,495,445 | 6,184,988 | ||
Net change in unrealized gains (losses) on investments | (2,320,527 ) | (12,024,183 ) | ||
Net increase (decrease) in net assets resulting from operations | 9,955,625 | (3,090,572 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (3,321,383 ) | (692,300 ) | ||
Class C | (103,512 ) | (14,135 ) | ||
Administrator Class | (233,998 ) | (71,924 ) | ||
Institutional Class | (12,473,766 ) | (4,255,890 ) | ||
Total distributions to shareholders | (16,132,659 ) | (5,034,249 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 389,869 | 3,389,206 | 593,643 | 5,293,269 |
Class C | 127,961 | 1,119,816 | 123,328 | 1,091,402 |
Administrator Class | 27,630 | 243,694 | 804,889 | 7,188,561 |
Institutional Class | 5,820,602 | 51,054,703 | 43,022,173 | 383,515,387 |
55,807,419 | 397,088,619 | |||
Reinvestment of distributions | ||||
Class A | 332,081 | 2,877,025 | 66,182 | 589,152 |
Class C | 11,717 | 101,218 | 1,573 | 14,008 |
Administrator Class | 26,577 | 230,333 | 7,992 | 71,176 |
Institutional Class | 1,293,692 | 11,210,473 | 415,798 | 3,699,149 |
14,419,049 | 4,373,485 | |||
Payment for shares redeemed | ||||
Class A | (2,139,575 ) | (18,612,509 ) | (2,188,993 ) | (19,473,541 ) |
Class C | (210,246 ) | (1,830,767 ) | (141,789 ) | (1,259,441 ) |
Administrator Class | (264,335 ) | (2,306,022 ) | (1,017,358 ) | (9,065,328 ) |
Institutional Class | (23,140,378 ) | (201,979,605 ) | (52,928,850 ) | (471,262,780 ) |
(224,728,903 ) | (501,061,090 ) | |||
Net decrease in net assets resulting from capital share transactions | (154,502,435 ) | (99,598,986 ) | ||
Total decrease in net assets | (160,679,469 ) | (107,723,807 ) | ||
Net assets | ||||
Beginning of period | 445,303,115 | 553,026,922 | ||
End of period | $284,623,646 | $445,303,115 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Net investment income | 0.23 1 | 0.02 | 0.04 | 0.17 | 0.18 1 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.09 ) | 0.05 | (0.06 ) | 0.05 |
Total from investment operations | 0.25 | (0.07 ) | 0.09 | 0.11 | 0.23 |
Distributions to shareholders from | |||||
Net investment income | (0.24 ) | (0.03 ) | (0.05 ) | (0.17 ) | (0.18 ) |
Net realized gains | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.38 ) | (0.07 ) | (0.05 ) | (0.17 ) | (0.18 ) |
Net asset value, end of period | $8.69 | $8.82 | $8.96 | $8.92 | $8.98 |
Total return3 | 2.95 % | (0.81 )% | 0.99 % | 1.25 % | 2.64 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.87 % | 0.82 % | 0.82 % | 0.88 % | 0.88 % |
Net expenses | 0.74 % | 0.74 % | 0.74 % | 0.74 % | 0.74 % |
Net investment income | 2.68 % | 0.30 % | 0.49 % | 1.92 % | 2.04 % |
Supplemental data | |||||
Portfolio turnover rate | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $68,736 | $82,283 | $97,274 | $111,538 | $118,675 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.81 | $8.95 | $8.91 | $8.97 | $8.93 |
Net investment income (loss) | 0.16 1 | 0.00 1,2 | (0.00 )1,3 | 0.10 1 | 0.10 1 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.10 ) | 0.04 | (0.06 ) | 0.06 |
Total from investment operations | 0.18 | (0.10 ) | 0.04 | 0.04 | 0.16 |
Distributions to shareholders from | |||||
Net investment income | (0.17 ) | (0.00 )2 | (0.00 )2 | (0.10 ) | (0.12 ) |
Net realized gains | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.31 ) | (0.04 ) | (0.00 )2 | (0.10 ) | (0.12 ) |
Net asset value, end of period | $8.68 | $8.81 | $8.95 | $8.91 | $8.97 |
Total return4 | 2.19 % | (1.08 )% | 0.48 % | 0.50 % | 1.76 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.61 % | 1.57 % | 1.57 % | 1.63 % | 1.62 % |
Net expenses | 1.49 % | 1.02 %* | 1.27 %* | 1.49 % | 1.49 % |
Net investment income (loss) | 1.90 % | 0.04 % | (0.02 )% | 1.17 % | 1.13 % |
Supplemental data | |||||
Portfolio turnover rate | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $2,445 | $3,104 | $3,304 | $4,702 | $6,594 |
* | Ratio includes class-level expenses which were voluntarily waived by the investment manager. Without this voluntary waiver, the net expense ratio would be increased by the following amounts: |
Year ended August 31, 2022 | 0.47% |
Year ended August 31, 2021 | 0.22% |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Amount is more than $(0.005). |
4 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.83 | $8.97 | $8.92 | $8.98 | $8.93 |
Net investment income | 0.24 1 | 0.04 1 | 0.06 1 | 0.18 1 | 0.19 1 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.10 ) | 0.05 | (0.06 ) | 0.06 |
Total from investment operations | 0.26 | (0.06 ) | 0.11 | 0.12 | 0.25 |
Distributions to shareholders from | |||||
Net investment income | (0.25 ) | (0.04 ) | (0.06 ) | (0.18 ) | (0.20 ) |
Net realized gains | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.39 ) | (0.08 ) | (0.06 ) | (0.18 ) | (0.20 ) |
Net asset value, end of period | $8.70 | $8.83 | $8.97 | $8.92 | $8.98 |
Total return | 3.10 % | (0.67 )% | 1.24 % | 1.40 % | 2.78 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.80 % | 0.76 % | 0.76 % | 0.81 % | 0.81 % |
Net expenses | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % |
Net investment income | 2.76 % | 0.43 % | 0.64 % | 1.98 % | 2.12 % |
Supplemental data | |||||
Portfolio turnover rate | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $4,444 | $6,367 | $8,299 | $8,076 | $5,337 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Net investment income | 0.25 1 | 0.05 1 | 0.07 1 | 0.19 1 | 0.22 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.10 ) | 0.04 | (0.06 ) | 0.04 |
Total from investment operations | 0.27 | (0.05 ) | 0.11 | 0.13 | 0.26 |
Distributions to shareholders from | |||||
Net investment income | (0.26 ) | (0.05 ) | (0.07 ) | (0.19 ) | (0.21 ) |
Net realized gains | (0.14 ) | (0.04 ) | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.40 ) | (0.09 ) | (0.07 ) | (0.19 ) | (0.21 ) |
Net asset value, end of period | $8.69 | $8.82 | $8.96 | $8.92 | $8.98 |
Total return | 3.24 % | (0.53 )% | 1.27 % | 1.54 % | 2.93 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.53 % | 0.49 % | 0.49 % | 0.54 % | 0.54 % |
Net expenses | 0.46 % | 0.46 % | 0.46 % | 0.46 % | 0.46 % |
Net investment income | 2.88 % | 0.59 % | 0.74 % | 2.12 % | 2.27 % |
Supplemental data | |||||
Portfolio turnover rate | 12 % | 36 % | 53 % | 9 % | 5 % |
Net assets, end of period (000s omitted) | $208,999 | $353,549 | $444,150 | $288,045 | $158,147 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
Gross unrealized gains | $303,895 |
Gross unrealized losses | (11,618,800 ) |
Net unrealized losses | $(11,314,905 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $249,984,508 | $0 | $249,984,508 |
Asset-backed securities | 0 | 6,722,527 | 0 | 6,722,527 |
Corporate bonds and notes | 0 | 2,011,393 | 0 | 2,011,393 |
Non-agency mortgage-backed securities | 0 | 15,569,939 | 0 | 15,569,939 |
Short-term investments | ||||
Investment companies | 7,537,678 | 0 | 0 | 7,537,678 |
Total assets | $7,537,678 | $274,288,367 | $0 | $281,826,045 |
Liabilities | ||||
Futures contracts | $398,000 | $0 | $0 | $398,000 |
Total liabilities | $398,000 | $0 | $0 | $398,000 |
Average daily net assets | Management fee |
First $1 billion | 0.350 % |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.74 % |
Class C | 1.49 |
Administrator Class | 0.60 |
Institutional Class | 0.46 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$29,094,343 | $11,334,723 | $92,966,306 | $40,692,399 |
Year ended August 31 | ||
2023 | 2022 | |
Ordinary income | $12,307,008 | $2,699,890 |
Long-term capital gain | 3,825,651 | 2,334,359 |
Undistributed ordinary income | Undistributed long-term gain | Unrealized losses |
$1,528,135 | $1,205,571 | $(11,314,905 ) |
Allspring Funds Trust:
August 31, 2023.
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR0356 08-23
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Andrew M. Greenberg, CFA, Anthony J. Melville, CFA, Jeffrey L. Weaver, CFA |
Average annual total returns (%) as of August 31, 2023 | ||||||
Expense ratios1 (%) | ||||||
Inception date | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A2 (WCIAX)3 | 5-29-2020 | 4.05 | 1.54 | 1.12 | 0.62 | 0.40 |
Institutional Class (WCIIX) | 5-31-2013 | 4.10 | 1.74 | 1.33 | 0.39 | 0.25 |
Bloomberg 6-9 Month Treasury Bill Index4 | – | 3.11 | 1.46 | 0.98 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.40% for Class A2 and 0.25% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class A2 shares prior to their inception reflects the performance of the Institutional Class shares, adjusted to reflect the higher expenses applicable to the Class A2 shares. |
4 | The Bloomberg 6-9 Month Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury bills that have a remaining maturity of less than nine months and more than six, are rated investment-grade, and have $250 million or more of outstanding face value. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $1,000,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Institutional Class shares for the most recent ten years with the Bloomberg 6-9 Month Treasury Bill Index. The chart assumes a hypothetical investment of $1,000,000 in Institutional Class shares and reflects all operating expenses. |
Ten largest holdings (%) as of August 31, 20231 | |
Capital One Prime Auto Receivables Trust, 5.20%, 5-15-2026 | 2.62 |
Royal Bank of Canada, 3.97%, 7-26-2024 | 1.91 |
Morgan Stanley Bank NA, 5.48%, 7-16-2025 | 1.83 |
Swedbank AB, 0.60%, 9-25-2023 | 1.83 |
Deutsche Bank AG, 5.84%, 11-8-2023 | 1.83 |
National Rural Utilities Cooperative Finance Corp., 0.35%, 2-8-2024 | 1.66 |
Toyota Motor Credit Corp., 5.61%, 1-11-2024 | 1.63 |
Bank of America NA, 5.65%, 8-18-2025 | 1.57 |
Skandinaviska Enskilda Banken AB, 5.82%, 9-1-2023 | 1.57 |
UBS AG, 5.79%, 8-9-2024 | 1.57 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A2 | ||||
Actual | $1,000.00 | $1,024.57 | $2.04 | 0.40 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.19 | $2.04 | 0.40 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,025.35 | $1.28 | 0.25 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.95 | $1.28 | 0.25 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 1.89% | ||||||
GNMA±± | 4.58 % | 8-20-2070 | $ | 1,785,493 | $1,742,429 | |
GNMA Series 2023-H13 Class BA | 4.62 | 5-20-2073 | 1,901,568 | 1,865,492 | ||
Total agency securities (Cost $3,766,670) | 3,607,921 | |||||
Asset-backed securities: 27.40% | ||||||
AmeriCredit Automobile Receivables Trust Series 2022-2 Class A2A | 4.20 | 12-18-2025 | 233,343 | 231,754 | ||
BMW Vehicle Lease Trust Series 2022-1 Class A3 | 1.10 | 3-25-2025 | 1,273,382 | 1,256,437 | ||
BMW Vehicle Lease Trust Series 2023-1 Class A3 | 5.16 | 11-25-2025 | 885,000 | 879,191 | ||
BMW Vehicle Lease Trust Series 2023-1 Class A2 | 5.27 | 2-25-2025 | 1,329,853 | 1,326,219 | ||
Capital One Prime Auto Receivables Trust Series 2023-1 Class A2 | 5.20 | 5-15-2026 | 5,031,738 | 5,012,258 | ||
CARDS II Trust Series 2021-1A Class A144A | 0.60 | 4-15-2027 | 2,000,000 | 1,936,057 | ||
CarMax Auto Owner Trust Series 2020-4 Class A3 | 0.50 | 8-15-2025 | 714,167 | 700,588 | ||
CarMax Auto Owner Trust Series 2021-4 Class A3 | 0.56 | 9-15-2026 | 2,216,772 | 2,118,167 | ||
Carvana Auto Receivables Trust Series 2022-P3 Class A2 | 4.42 | 12-10-2025 | 648,572 | 645,415 | ||
CCG Receivables Trust Series 2020-1 Class A2144A | 0.54 | 12-14-2027 | 180,483 | 178,915 | ||
Chase Auto Owner Trust Series 2022-AA Class A2144A | 3.86 | 10-27-2025 | 594,597 | 590,740 | ||
Chesapeake Funding II LLC Series 2020-1A Class A1144A | 0.87 | 8-15-2032 | 335,959 | 334,601 | ||
Daimler Trucks Retail Trust Series 2022-1 Class A2 | 5.07 | 9-16-2024 | 1,521,970 | 1,518,606 | ||
Donlen Fleet Lease Funding 2 LLC Series 2021-2 Class A1 (1 Month LIBOR+0.33%)144A± | 5.76 | 12-11-2034 | 663,728 | 662,396 | ||
Evergreen Credit Card Trust Series 2021-1 Class A144A | 0.90 | 10-15-2026 | 1,000,000 | 945,142 | ||
Evergreen Credit Card Trust Series 2022-CRT1 Class B144A | 5.61 | 7-15-2026 | 2,000,000 | 1,984,480 | ||
Evergreen Credit Card Trust Series 2022-CRT2 Class B144A | 6.56 | 11-15-2026 | 1,000,000 | 1,001,030 | ||
Ford Credit Auto Lease Trust Series 2022-A Class A2A | 2.78 | 10-15-2024 | 69,424 | 69,336 | ||
Ford Credit Auto Owner Trust Series 2022-B Class A2A | 3.44 | 2-15-2025 | 491,834 | 489,486 | ||
Ford Credit Auto Owner Trust Series 2022-C Class A2A | 4.52 | 4-15-2025 | 380,190 | 378,986 | ||
Foursight Capital Automobile Receivables Trust Series 2022-1 Class A2144A | 1.15 | 9-15-2025 | 67,721 | 67,475 | ||
GM Financial Automobile Leasing Trust Series 2023-1 Class A2A | 5.27 | 6-20-2025 | 1,152,112 | 1,148,699 | ||
Honda Auto Receivables Owner Trust Series 2021-3 Class A3 | 0.41 | 11-18-2025 | 1,859,912 | 1,796,987 | ||
Honda Auto Receivables Owner Trust Series 2023-1 Class A2 | 5.22 | 10-21-2025 | 1,500,000 | 1,494,562 | ||
Hyundai Auto Lease Securitization Trust Series 2022-A Class A3144A | 1.16 | 1-15-2025 | 2,624,275 | 2,589,645 | ||
Hyundai Auto Receivables Trust Series 2023-A Class A2A | 5.19 | 12-15-2025 | 850,000 | 846,550 | ||
John Deere Owner Trust Series 2022-B Class A2 | 3.73 | 6-16-2025 | 516,103 | 512,710 | ||
John Deere Owner Trust Series 2022-C Class A2 | 4.98 | 8-15-2025 | 1,075,420 | 1,070,821 | ||
Mercedes-Benz Auto Lease Trust Series 2023-A Class A2 | 5.24 | 11-17-2025 | 2,150,000 | 2,141,314 | ||
Mercedes-Benz Auto Receivables Trust Series 2022-1 Class A2 | 5.26 | 10-15-2025 | 1,034,523 | 1,032,561 | ||
Nissan Auto Lease Trust Series 2022-A Class A3 | 3.81 | 5-15-2025 | 1,069,000 | 1,059,474 | ||
Nissan Auto Receivables Owner Trust Series 2023-A Class A2A | 5.34 | 2-17-2026 | 2,115,000 | 2,107,386 | ||
Porsche Financial Auto Securitization Trust Series 2023-1A Class A2144A | 5.42 | 12-22-2026 | 2,700,000 | 2,692,747 | ||
Santander Drive Auto Receivables Trust Series 2022-5 Class A3 | 4.11 | 8-17-2026 | 1,250,000 | 1,240,873 | ||
SoFi Consumer Loan Program Trust Series 2021-1 Class A144A | 0.49 | 9-25-2030 | 181,763 | 179,848 | ||
Tesla Auto Lease Trust Series 2023-A Class A3144A | 5.89 | 6-22-2026 | 2,225,000 | 2,219,493 | ||
Toyota Auto Receivables Owner Trust Series 2023-A Class A2 | 5.05 | 1-15-2026 | 2,750,786 | 2,740,085 | ||
Toyota Lease Owner Trust Series 2023-A Class A2144A | 5.30 | 8-20-2025 | 1,075,000 | 1,070,121 | ||
Venture XXV CLO Ltd. Series 2016-25A Class ARR (U.S. SOFR 3 Month+1.28%)144A± | 6.61 | 4-20-2029 | 1,073,899 | 1,072,969 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Verizon Master Trust Series 2022-5 Class A1A | 3.72 % | 7-20-2027 | $ | 2,050,000 | $2,032,912 | |
World Omni Automobile Lease Securitization Trust Series 2023-A Class A2A | 5.47 | 11-17-2025 | 1,000,000 | 996,531 | ||
Total asset-backed securities (Cost $52,618,088) | 52,373,567 | |||||
Corporate bonds and notes: 39.76% | ||||||
Basic materials: 1.04% | ||||||
Mining: 1.04% | ||||||
Glencore Funding LLC144A | 4.13 | 3-12-2024 | 2,000,000 | 1,981,602 | ||
Consumer, cyclical: 6.20% | ||||||
Auto manufacturers: 6.20% | ||||||
BMW U.S. Capital LLC144A | 5.30 | 8-11-2025 | 2,200,000 | 2,192,383 | ||
Daimler Truck Finance North America LLC144A | 5.20 | 1-17-2025 | 800,000 | 794,444 | ||
Hyundai Capital America144A | 5.80 | 6-26-2025 | 1,000,000 | 1,001,201 | ||
Mercedes-Benz Finance North America LLC144A | 0.75 | 3-1-2024 | 3,000,000 | 2,926,809 | ||
Toyota Motor Credit Corp. (U.S. SOFR+0.33%)± | 5.61 | 1-11-2024 | 3,121,000 | 3,121,349 | ||
Volkswagen Group of America Finance LLC144A | 0.88 | 11-22-2023 | 1,124,000 | 1,112,031 | ||
Volkswagen Group of America Finance LLC144A | 4.25 | 11-13-2023 | 700,000 | 697,624 | ||
11,845,841 | ||||||
Consumer, non-cyclical: 2.31% | ||||||
Agriculture: 2.31% | ||||||
BAT Capital Corp. | 2.79 | 9-6-2024 | 2,000,000 | 1,940,119 | ||
Philip Morris International, Inc. | 5.13 | 11-15-2024 | 2,500,000 | 2,487,604 | ||
4,427,723 | ||||||
Energy: 0.52% | ||||||
Oil & gas services: 0.52% | ||||||
Schlumberger Holdings Corp.144A | 3.75 | 5-1-2024 | 1,000,000 | 987,086 | ||
Financial: 23.89% | ||||||
Banks: 12.77% | ||||||
Bank of America NA | 5.65 | 8-18-2025 | 3,000,000 | 3,010,189 | ||
Bank of New York Mellon Corp. | 3.25 | 9-11-2024 | 1,500,000 | 1,462,567 | ||
Bank of New York Mellon Corp. Series J | 0.85 | 10-25-2024 | 1,442,000 | 1,365,703 | ||
Fifth Third Bancorp | 4.30 | 1-16-2024 | 2,000,000 | 1,983,817 | ||
Goldman Sachs Group, Inc. | 1.22 | 12-6-2023 | 1,000,000 | 988,070 | ||
Goldman Sachs Group, Inc. | 3.63 | 2-20-2024 | 1,000,000 | 989,310 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.98%)± | 3.85 | 6-14-2025 | 3,000,000 | 2,946,016 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.54%)± | 0.82 | 6-1-2025 | 1,000,000 | 960,271 | ||
Morgan Stanley Bank NA | 5.48 | 7-16-2025 | 3,500,000 | 3,504,818 | ||
PNC Financial Services Group, Inc. | 3.50 | 1-23-2024 | 2,000,000 | 1,978,402 | ||
U.S. Bancorp | 3.70 | 1-30-2024 | 2,000,000 | 1,980,880 | ||
Wells Fargo & Co. | 3.75 | 1-24-2024 | 2,000,000 | 1,984,042 | ||
Wells Fargo Bank NA | 5.55 | 8-1-2025 | 1,250,000 | 1,252,575 | ||
24,406,660 |
Interest rate | Maturity date | Principal | Value | |||
Insurance: 10.50% | ||||||
Athene Global Funding144A | 0.95 % | 1-8-2024 | $ | 1,000,000 | $980,894 | |
Athene Global Funding (U.S. SOFR+0.70%)144A± | 6.03 | 5-24-2024 | 2,500,000 | 2,481,766 | ||
Brighthouse Financial Global Funding144A | 1.20 | 12-15-2023 | 2,000,000 | 1,972,888 | ||
Brighthouse Financial Global Funding (U.S. SOFR+0.76%)144A± | 6.05 | 4-12-2024 | 1,200,000 | 1,191,744 | ||
Corebridge Global Funding144A | 0.45 | 12-8-2023 | 2,000,000 | 1,971,936 | ||
GA Global Funding Trust (U.S. SOFR+1.36%)144A± | 6.64 | 4-11-2025 | 2,000,000 | 1,974,520 | ||
Met Tower Global Funding144A | 0.70 | 4-5-2024 | 2,250,000 | 2,184,198 | ||
New York Life Global Funding144A | 3.60 | 8-5-2025 | 1,800,000 | 1,741,573 | ||
Principal Life Global Funding II144A | 0.50 | 1-8-2024 | 2,000,000 | 1,962,760 | ||
Principal Life Global Funding II (U.S. SOFR+0.38%)144A± | 5.72 | 8-23-2024 | 670,000 | 668,964 | ||
Protective Life Global Funding144A | 3.10 | 4-15-2024 | 3,000,000 | 2,946,830 | ||
20,078,073 | ||||||
REITS: 0.62% | ||||||
Public Storage (U.S. SOFR+0.47%)± | 5.79 | 4-23-2024 | 1,195,000 | 1,194,636 | ||
Technology: 2.22% | ||||||
Computers: 1.18% | ||||||
Hewlett Packard Enterprise Co. | 5.90 | 10-1-2024 | 2,250,000 | 2,252,014 | ||
Semiconductors: 1.04% | ||||||
Microchip Technology, Inc. | 2.67 | 9-1-2023 | 2,000,000 | 2,000,000 | ||
Utilities: 3.58% | ||||||
Electric: 3.58% | ||||||
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.98 | 5-13-2024 | 1,445,000 | 1,444,635 | ||
National Rural Utilities Cooperative Finance Corp. | 0.35 | 2-8-2024 | 3,255,000 | 3,181,196 | ||
NextEra Energy Capital Holdings, Inc. | 4.26 | 9-1-2024 | 2,000,000 | 1,968,201 | ||
NextEra Energy Capital Holdings, Inc. | 6.05 | 3-1-2025 | 250,000 | 250,986 | ||
6,845,018 | ||||||
Total corporate bonds and notes (Cost $76,204,101) | 76,018,653 | |||||
Municipal obligations: 0.78% | ||||||
California: 0.78% | ||||||
Housing revenue: 0.78% | ||||||
Torrance Joint Powers Financing Authority City of Torrance | 1.43 | 10-1-2023 | 1,500,000 | 1,495,108 | ||
Total municipal obligations (Cost $1,500,000) | 1,495,108 | |||||
Yankee corporate bonds and notes: 27.70% | ||||||
Energy: 1.56% | ||||||
Oil & gas: 1.56% | ||||||
TotalEnergies Capital International SA | 3.70 | 1-15-2024 | 3,000,000 | 2,979,619 | ||
Financial: 26.14% | ||||||
Banks: 26.14% | ||||||
Bank of Montreal | 0.40 | 9-15-2023 | 2,000,000 | 1,997,075 | ||
Bank of Montreal (U.S. SOFR+0.27%)± | 5.48 | 9-15-2023 | 2,000,000 | 1,999,983 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
Bank of Nova Scotia | 0.40 % | 9-15-2023 | $ | 2,000,000 | $1,997,017 | |
Bank of Nova Scotia | 0.70 | 4-15-2024 | 2,000,000 | 1,940,125 | ||
Commonwealth Bank of Australia | 5.08 | 1-10-2025 | 2,000,000 | 1,993,601 | ||
Cooperatieve Rabobank UA | 0.38 | 1-12-2024 | 1,000,000 | 981,522 | ||
Cooperatieve Rabobank UA (U.S. SOFR+0.30%)± | 5.59 | 1-12-2024 | 2,000,000 | 1,999,672 | ||
Deutsche Bank AG Series E (U.S. SOFR+0.50%)± | 5.84 | 11-8-2023 | 3,500,000 | 3,499,428 | ||
Federation des Caisses Desjardins du Quebec (U.S. SOFR+0.43%)144A± | 5.77 | 5-21-2024 | 2,050,000 | 2,047,253 | ||
Mitsubishi UFJ Financial Group, Inc. | 3.41 | 3-7-2024 | 3,000,000 | 2,962,842 | ||
National Bank of Canada | 5.25 | 1-17-2025 | 2,000,000 | 1,991,708 | ||
NatWest Markets PLC (U.S. SOFR+0.53%)144A± | 5.86 | 8-12-2024 | 1,250,000 | 1,245,443 | ||
Nordea Bank Abp144A | 0.63 | 5-24-2024 | 1,000,000 | 963,369 | ||
Royal Bank of Canada | 3.97 | 7-26-2024 | 3,700,000 | 3,641,885 | ||
Skandinaviska Enskilda Banken AB (3 Month LIBOR+0.32%)144A± | 5.82 | 9-1-2023 | 3,000,000 | 3,000,000 | ||
Sumitomo Mitsui Financial Group, Inc. | 2.70 | 7-16-2024 | 2,750,000 | 2,676,391 | ||
Sumitomo Mitsui Trust Bank Ltd.144A | 0.80 | 9-12-2023 | 1,250,000 | 1,248,775 | ||
Sumitomo Mitsui Trust Bank Ltd.144A | 0.85 | 3-25-2024 | 1,000,000 | 972,470 | ||
Sumitomo Mitsui Trust Bank Ltd. (U.S. SOFR+0.44%)144A± | 5.66 | 9-16-2024 | 1,200,000 | 1,196,724 | ||
Swedbank AB144A | 0.60 | 9-25-2023 | 3,515,000 | 3,504,286 | ||
Toronto-Dominion Bank | 3.25 | 3-11-2024 | 665,000 | 656,437 | ||
Toronto-Dominion Bank | 4.29 | 9-13-2024 | 2,500,000 | 2,462,567 | ||
UBS AG (U.S. SOFR+0.45%)144A± | 5.79 | 8-9-2024 | 3,000,000 | 2,994,400 | ||
Westpac Banking Corp. (U.S. SOFR+0.30%)± | 5.64 | 11-18-2024 | 2,000,000 | 1,996,007 | ||
49,968,980 | ||||||
Total yankee corporate bonds and notes (Cost $53,035,115) | 52,948,599 |
Short-term investments: 3.22% | ||||||
Commercial paper: 2.87% | ||||||
CVS Health Corp.☼ | 0.00 | 9-1-2023 | 2,000,000 | 1,999,698 | ||
Sysco Corp.☼ | 0.00 | 9-1-2023 | 3,500,000 | 3,499,480 | ||
5,499,178 |
Yield | Shares | |||||
Investment companies: 0.35% | ||||||
Allspring Government Money Market Fund Select Class♠∞ | 5.26 | 666,357 | 666,357 | |||
Total short-term investments (Cost $6,166,357) | 6,165,535 | |||||
Total investments in securities (Cost $193,290,331) | 100.75 % | 192,609,383 | ||||
Other assets and liabilities, net | (0.75 ) | (1,437,359 ) | ||||
Total net assets | 100.00 % | $191,172,024 |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $637,978 | $165,497,113 | $(165,468,734 ) | $0 | $0 | $666,357 | 666,357 | $61,417 |
Investments in affiliates no longer held at end of period | ||||||||
Securities Lending Cash Investments LLC | 0 | 4,649,303 | (4,649,281 ) | (22 ) | 0 | 0 | 0 | 4,420 1 |
$(22 ) | $0 | $666,357 | $65,837 |
1 | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities, at value (cost $192,623,974) | $191,943,026 |
Investments in affiliated securities, at value (cost $666,357) | 666,357 |
Cash | 692 |
Receivable for interest | 1,012,305 |
Prepaid expenses and other assets | 67,131 |
Total assets | 193,689,511 |
Liabilities | |
Payable for investments purchased | 1,964,012 |
Dividends payable | 464,968 |
Payable for Fund shares redeemed | 51,556 |
Administration fees payable | 13,142 |
Management fee payable | 9,362 |
Trustees’ fees and expenses payable | 1,237 |
Accrued expenses and other liabilities | 13,210 |
Total liabilities | 2,517,487 |
Total net assets | $191,172,024 |
Net assets consist of | |
Paid-in capital | $198,440,402 |
Total distributable loss | (7,268,378 ) |
Total net assets | $191,172,024 |
Computation of net asset value per share | |
Net assets–Class A2 | $185,409 |
Shares outstanding–Class A21 | 18,770 |
Net asset value per share–Class A2 | $9.88 |
Net assets–Institutional Class | $190,986,615 |
Shares outstanding–Institutional Class1 | 19,344,273 |
Net asset value per share–Institutional Class | $9.87 |
Investment income | |
Interest (net of foreign withholding taxes of $23,614) | $9,811,577 |
Income from affiliated securities | 63,232 |
Total investment income | 9,874,809 |
Expenses | |
Management fee | 595,959 |
Administration fees | |
Class A2 | 431 |
Institutional Class | 190,490 |
Shareholder servicing fees | |
Class A2 | 407 |
Custody and accounting fees | 17,099 |
Professional fees | 73,170 |
Registration fees | 36,814 |
Shareholder report expenses | 24,779 |
Trustees’ fees and expenses | 25,734 |
Other fees and expenses | 8,235 |
Total expenses | 973,118 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (376,546 ) |
Class A2 | (212 ) |
Net expenses | 596,360 |
Net investment income | 9,278,449 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (2,459,762 ) |
Affiliated securities | (22 ) |
Net realized losses on investments | (2,459,784 ) |
Net change in unrealized gains (losses) on investments | 2,473,829 |
Net realized and unrealized gains (losses) on investments | 14,045 |
Net increase in net assets resulting from operations | $9,292,494 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $9,278,449 | $2,684,857 | ||
Net realized losses on investments | (2,459,784 ) | (1,298,652 ) | ||
Net change in unrealized gains (losses) on investments | 2,473,829 | (4,047,704 ) | ||
Net increase (decrease) in net assets resulting from operations | 9,292,494 | (2,661,499 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A2 | (10,083 ) | (1,263 ) | ||
Institutional Class | (9,306,063 ) | (2,494,224 ) | ||
Total distributions to shareholders | (9,316,146 ) | (2,495,487 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A2 | 16,246 | 160,394 | 6,012 | 60,186 |
Institutional Class | 1,181,753 | 11,649,365 | 13,115,815 | 130,901,840 |
11,809,759 | 130,962,026 | |||
Reinvestment of distributions | ||||
Class A2 | 956 | 9,429 | 127 | 1,257 |
Institutional Class | 459,490 | 4,527,831 | 153,634 | 1,523,254 |
4,537,260 | 1,524,511 | |||
Payment for shares redeemed | ||||
Class A2 | (20,313 ) | (200,287 ) | (1,498 ) | (14,987 ) |
Institutional Class | (11,465,507 ) | (112,972,138 ) | (21,174,036 ) | (211,050,695 ) |
(113,172,425 ) | (211,065,682 ) | |||
Net decrease in net assets resulting from capital share transactions | (96,825,406 ) | (78,579,145 ) | ||
Total decrease in net assets | (96,849,058 ) | (83,736,131 ) | ||
Net assets | ||||
Beginning of period | 288,021,082 | 371,757,213 | ||
End of period | $191,172,024 | $288,021,082 |
(For a share outstanding throughout each period)
Year ended August 31 | ||||
Class A2 | 2023 | 2022 | 2021 | 20201 |
Net asset value, beginning of period | $9.87 | $10.02 | $10.05 | $10.02 |
Net investment income | 0.37 | 0.07 | 0.04 | 0.02 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.16 ) | (0.03 ) | 0.03 |
Total from investment operations | 0.39 | (0.09 ) | 0.01 | 0.05 |
Distributions to shareholders from | ||||
Net investment income | (0.38 ) | (0.06 ) | (0.04 ) | (0.02 ) |
Tax basis return of capital | 0.00 | 0.00 | (0.00 )2 | 0.00 |
Total distributions to shareholders | (0.38 ) | (0.06 ) | (0.04 ) | (0.02 ) |
Net asset value, end of period | $9.88 | $9.87 | $10.02 | $10.05 |
Total return3 | 4.05 % | (0.92 )% | 0.11 % | 0.53 % |
Ratios to average net assets (annualized) | ||||
Gross expenses | 0.64 % | 0.68 % | 0.70 % | 0.70 % |
Net expenses | 0.40 % | 0.43 % | 0.49 % | 0.50 % |
Net investment income | 3.70 % | 0.70 % | 0.35 % | 0.78 % |
Supplemental data | ||||
Portfolio turnover rate | 105 % | 112 % | 111 % | 102 % |
Net assets, end of period (000s omitted) | $185 | $216 | $173 | $71 |
1 | For the period from May 29, 2020 (commencement of class operations) to August 31, 2020 |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.87 | $10.02 | $10.05 | $10.00 | $9.99 |
Net investment income | 0.40 | 0.09 | 0.06 | 0.17 | 0.26 |
Net realized and unrealized gains (losses) on investments | 0.00 1 | (0.16 ) | (0.02 ) | 0.06 | 0.01 |
Total from investment operations | 0.40 | (0.07 ) | 0.04 | 0.23 | 0.27 |
Distributions to shareholders from | |||||
Net investment income | (0.40 ) | (0.08 ) | (0.07 ) | (0.18 ) | (0.26 ) |
Tax basis return of capital | 0.00 | 0.00 | (0.00 )1 | 0.00 | 0.00 |
Total distributions to shareholders | (0.40 ) | (0.08 ) | (0.07 ) | (0.18 ) | (0.26 ) |
Net asset value, end of period | $9.87 | $9.87 | $10.02 | $10.05 | $10.00 |
Total return | 4.10 % | (0.69 )% | 0.35 % | 2.30 % | 2.71 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.41 % | 0.39 % | 0.37 % | 0.38 % | 0.37 % |
Net expenses | 0.25 % | 0.25 % | 0.26 % | 0.27 % | 0.27 % |
Net investment income | 3.89 % | 0.81 % | 0.61 % | 1.74 % | 2.54 % |
Supplemental data | |||||
Portfolio turnover rate | 105 % | 112 % | 111 % | 102 % | 171 % |
Net assets, end of period (000s omitted) | $190,987 | $287,805 | $371,584 | $384,253 | $332,551 |
1 | Amount is less than $0.005. |
Gross unrealized gains | $36,271 |
Gross unrealized losses | (769,545 ) |
Net unrealized losses | $(733,274 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $3,607,921 | $0 | $3,607,921 |
Asset-backed securities | 0 | 52,373,567 | 0 | 52,373,567 |
Corporate bonds and notes | 0 | 76,018,653 | 0 | 76,018,653 |
Municipal obligations | 0 | 1,495,108 | 0 | 1,495,108 |
Yankee corporate bonds and notes | 0 | 52,948,599 | 0 | 52,948,599 |
Short-term investments | ||||
Commercial paper | 0 | 5,499,178 | 0 | 5,499,178 |
Investment companies | 666,357 | 0 | 0 | 666,357 |
Total assets | $666,357 | $191,943,026 | $0 | $192,609,383 |
Average daily net assets | Management fee |
First $1 billion | 0.250 % |
Next $4 billion | 0.225 |
Next $5 billion | 0.190 |
Over $10 billion | 0.180 |
Class-level administration fee | |
Class A2 | 0.15 % |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A2 | 0.40 % |
Institutional Class | 0.25 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$1,992,031 | $244,458,281 | $0 | $313,997,695 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$579,940 | $(733,274 ) | $(6,650,076 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR3174 08-23
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (STYAX) | 7-13-1998 | -5.16 | 0.46 | 1.99 | -0.65 | 1.40 | 2.46 | 0.84 | 0.67 |
Class C (WFIPX) | 7-13-1998 | -2.44 | 0.61 | 1.85 | -1.44 | 0.61 | 1.85 | 1.59 | 1.42 |
Class R6 (STYJX)3 | 10-31-2016 | – | – | – | -0.27 | 1.75 | 2.80 | 0.47 | 0.30 |
Administrator Class (WIPDX) | 7-30-2010 | – | – | – | -0.50 | 1.49 | 2.57 | 0.79 | 0.60 |
Institutional Class (WIPIX) | 7-18-2008 | – | – | – | -0.32 | 1.72 | 2.77 | 0.52 | 0.35 |
Bloomberg U.S. Aggregate Bond Index4 | – | – | – | – | -1.19 | 0.49 | 1.48 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2023 (December 31, 2024 for Class A and C), to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.67% for Class A, 1.42% for Class C, 0.30% for Class R6, 0.60% for Administrator Class and 0.35% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. Aggregate Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%. |
Ten largest holdings (%) as of August 31, 20231 | |
U.K. Gilts, 3.25%, 1-31-2033 | 2.95 |
GNMA, 6.00%, 9-21-2053 | 2.48 |
U.S. Treasury Notes, 4.13%, 7-31-2028 | 2.26 |
FHLMC, 2.50%, 6-1-2051 | 2.18 |
French Republic, 0.75%, 2-25-2028 | 1.93 |
FNMA, 2.00%, 9-14-2053 | 1.92 |
FHLMC, 5.50%, 3-1-2053 | 1.77 |
U.S. Treasury Bonds, 3.63%, 5-15-2053 | 1.64 |
U.S. Treasury Notes, 2.25%, 1-31-2024 | 1.44 |
U.S. Treasury Notes, 4.63%, 6-30-2025 | 1.40 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,009.15 | $3.44 | 0.68 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.78 | $3.47 | 0.68 % |
Class C | ||||
Actual | $1,000.00 | $1,005.31 | $7.23 | 1.43 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.00 | $7.27 | 1.43 % |
Class R6 | ||||
Actual | $1,000.00 | $1,010.13 | $1.52 | 0.30 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.69 | $1.53 | 0.30 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,009.43 | $3.04 | 0.60 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.18 | $3.06 | 0.60 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,010.80 | $1.77 | 0.35 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.44 | $1.79 | 0.35 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 32.55% | ||||||
FHLB | 5.63 % | 3-14-2036 | $ | 1,310,000 | $1,428,954 | |
FHLMC | 2.50 | 9-1-2050 | 10,456,250 | 8,696,347 | ||
FHLMC | 2.50 | 6-1-2051 | 115,134,124 | 95,758,973 | ||
FHLMC | 2.50 | 11-1-2051 | 10,730,047 | 8,981,378 | ||
FHLMC | 3.00 | 9-1-2034 | 315,517 | 293,463 | ||
FHLMC | 3.00 | 6-1-2050 | 559,418 | 490,036 | ||
FHLMC | 3.00 | 7-1-2050 | 1,591,456 | 1,394,363 | ||
FHLMC | 3.00 | 8-1-2050 | 2,241,609 | 1,951,301 | ||
FHLMC | 3.00 | 3-1-2052 | 267,899 | 231,832 | ||
FHLMC | 3.00 | 5-1-2052 | 20,818,412 | 17,948,228 | ||
FHLMC | 3.50 | 12-1-2045 | 968,240 | 882,734 | ||
FHLMC | 3.50 | 5-1-2052 | 106,035 | 94,832 | ||
FHLMC | 3.50 | 12-1-2052 | 8,506,989 | 7,604,877 | ||
FHLMC | 4.00 | 6-1-2037 | 2,980,381 | 2,861,514 | ||
FHLMC | 4.00 | 6-1-2044 | 604,332 | 568,469 | ||
FHLMC | 4.00 | 5-1-2049 | 984,207 | 920,950 | ||
FHLMC | 4.00 | 8-1-2052 | 8,085,991 | 7,465,843 | ||
FHLMC | 5.00 | 6-1-2036 | 81,269 | 81,315 | ||
FHLMC | 5.00 | 8-1-2040 | 82,669 | 82,649 | ||
FHLMC | 5.00 | 7-1-2052 | 23,165,966 | 22,459,292 | ||
FHLMC | 5.00 | 11-1-2052 | 18,345,889 | 17,798,040 | ||
FHLMC | 5.50 | 8-1-2038 | 20,731 | 21,098 | ||
FHLMC | 5.50 | 12-1-2038 | 162,923 | 165,956 | ||
FHLMC | 5.50 | 6-1-2040 | 274,597 | 275,789 | ||
FHLMC | 5.50 | 11-1-2052 | 116,314 | 114,916 | ||
FHLMC | 5.50 | 3-1-2053 | 78,430,727 | 77,431,041 | ||
FHLMC | 8.00 | 2-1-2030 | 72 | 74 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A5 | 7.50 | 2-25-2042 | 872,029 | 878,639 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 2A1±± | 3.81 | 7-25-2043 | 26,837 | 24,646 | ||
FHLMC Structured Pass-Through Certificates Series T-59 Class 2A1±± | 3.76 | 10-25-2043 | 124,477 | 95,046 | ||
FHLMC Whole Loan Securities Trust Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 118,300 | 103,778 | ||
FHLMC (12 Month LIBOR+1.33%)± | 3.62 | 1-1-2036 | 4,308 | 4,224 | ||
FNMA | 2.00 | 5-1-2051 | 30,313,940 | 24,218,243 | ||
FNMA | 2.00 | 8-1-2051 | 11,835,380 | 9,447,665 | ||
FNMA | 2.00 | 10-1-2051 | 63,184,396 | 50,401,884 | ||
FNMA | 2.00 | 12-1-2051 | 10,613,113 | 8,459,932 | ||
FNMA%% | 2.00 | 9-14-2053 | 105,855,000 | 84,282,909 | ||
FNMA | 2.50 | 5-1-2037 | 21,782,997 | 19,579,029 | ||
FNMA | 2.50 | 12-1-2050 | 7,102,527 | 5,896,517 | ||
FNMA | 2.50 | 7-1-2051 | 16,486,382 | 13,660,889 | ||
FNMA | 2.50 | 10-1-2051 | 59,663,540 | 49,443,875 | ||
FNMA | 2.50 | 1-1-2052 | 10,924,425 | 9,073,180 | ||
FNMA%% | 2.50 | 9-14-2053 | 10,525,000 | 8,718,482 | ||
FNMA | 3.00 | 11-1-2045 | 528,813 | 466,212 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 3.00 % | 12-1-2045 | $ | 1,387,164 | $1,225,571 | |
FNMA | 3.00 | 12-1-2046 | 708,272 | 623,634 | ||
FNMA | 3.00 | 8-1-2050 | 1,711,918 | 1,483,770 | ||
FNMA | 3.00 | 10-1-2051 | 24,800,432 | 21,474,581 | ||
FNMA | 3.00 | 11-1-2051 | 38,372,911 | 33,142,936 | ||
FNMA | 3.00 | 1-1-2052 | 8,701,027 | 7,500,216 | ||
FNMA | 3.00 | 2-1-2052 | 8,322,940 | 7,202,490 | ||
FNMA%% | 3.00 | 9-14-2053 | 28,860,000 | 24,863,567 | ||
FNMA | 3.48 | 3-1-2029 | 930,673 | 872,721 | ||
FNMA | 3.50 | 12-1-2037 | 17,311,710 | 16,318,103 | ||
FNMA | 3.50 | 10-1-2043 | 502,414 | 459,991 | ||
FNMA | 3.50 | 4-1-2045 | 77,603 | 70,815 | ||
FNMA | 3.50 | 8-1-2045 | 1,162,741 | 1,059,832 | ||
FNMA | 3.50 | 3-1-2048 | 2,475,809 | 2,250,139 | ||
FNMA | 3.50 | 5-1-2052 | 11,042,010 | 9,876,797 | ||
FNMA | 3.50 | 6-1-2052 | 54,209,759 | 48,462,273 | ||
FNMA%% | 3.50 | 9-14-2053 | 4,880,000 | 4,361,691 | ||
FNMA | 3.62 | 3-1-2029 | 434,343 | 409,821 | ||
FNMA | 3.77 | 3-1-2029 | 1,015,743 | 966,042 | ||
FNMA | 4.00 | 8-1-2037 | 6,447,607 | 6,189,724 | ||
FNMA | 4.00 | 9-1-2037 | 5,669,062 | 5,446,956 | ||
FNMA | 4.00 | 1-1-2038 | 5,674,608 | 5,453,778 | ||
FNMA | 4.00 | 2-1-2046 | 132,522 | 124,758 | ||
FNMA | 4.00 | 4-1-2046 | 770,101 | 725,542 | ||
FNMA | 4.00 | 6-1-2048 | 843,024 | 792,446 | ||
FNMA | 4.00 | 2-1-2050 | 1,132,263 | 1,057,772 | ||
FNMA | 4.00 | 10-1-2052 | 43,855,836 | 40,483,274 | ||
FNMA%% | 4.00 | 9-14-2053 | 9,455,000 | 8,726,670 | ||
FNMA | 4.50 | 11-1-2048 | 804,756 | 774,949 | ||
FNMA | 4.50 | 6-1-2052 | 43,414,427 | 41,166,611 | ||
FNMA | 4.50 | 9-1-2052 | 49,531,301 | 46,985,841 | ||
FNMA | 4.50 | 11-1-2052 | 8,024,550 | 7,608,457 | ||
FNMA | 5.00 | 1-1-2024 | 526 | 521 | ||
FNMA | 5.00 | 2-1-2036 | 9,538 | 9,532 | ||
FNMA | 5.00 | 6-1-2040 | 25,967 | 25,950 | ||
FNMA | 5.00 | 8-1-2040 | 568,344 | 563,773 | ||
FNMA | 5.00 | 3-1-2053 | 8,036,993 | 7,796,013 | ||
FNMA | 5.50 | 11-1-2023 | 109 | 109 | ||
FNMA | 5.50 | 8-1-2034 | 36,268 | 36,826 | ||
FNMA | 5.50 | 2-1-2035 | 10,690 | 10,859 | ||
FNMA | 5.50 | 8-1-2038 | 231,547 | 228,766 | ||
FNMA | 5.50 | 2-1-2053 | 44,819,106 | 44,243,987 | ||
FNMA | 6.00 | 10-1-2037 | 215,745 | 222,591 | ||
FNMA | 6.00 | 11-1-2037 | 13,295 | 13,682 | ||
FNMA | 6.21 | 8-6-2038 | 11,421,000 | 13,481,098 | ||
FNMA | 6.50 | 7-1-2036 | 10,200 | 10,604 | ||
FNMA | 6.50 | 11-1-2036 | 1,802 | 1,831 | ||
FNMA | 7.00 | 7-1-2036 | 4,880 | 4,813 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 7.00 % | 11-1-2037 | $ | 2,723 | $2,775 | |
FNMA Principal STRIPS¤ | 0.00 | 8-6-2038 | 14,105,000 | 7,046,142 | ||
FNMA Principal STRIPS¤ | 0.00 | 7-15-2037 | 1,690,000 | 876,746 | ||
FNMA (1 Year Treasury Constant Maturity+2.23%)± | 4.83 | 11-1-2038 | 10,911 | 11,091 | ||
FNMA (1 Year Treasury Constant Maturity+2.27%)± | 4.88 | 8-1-2036 | 231,235 | 234,826 | ||
FNMA (12 Month LIBOR+1.61%)± | 7.03 | 3-1-2046 | 207,014 | 208,739 | ||
FNMA (12 Month LIBOR+1.61%)± | 7.11 | 5-1-2046 | 140,897 | 142,341 | ||
FNMA (12 Month LIBOR+1.73%)± | 3.98 | 9-1-2036 | 5,704 | 5,657 | ||
FNMA (12 Month LIBOR+1.78%)± | 4.96 | 8-1-2036 | 16,608 | 16,844 | ||
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 3,854 | 4,009 | ||
FNMA Series 2003-W14 Class 2A±± | 4.34 | 1-25-2043 | 104,930 | 97,747 | ||
FNMA Series 2003-W8 Class 4A±± | 4.27 | 11-25-2042 | 65,703 | 62,859 | ||
FNMA Series 2004-W11 Class 1A3 | 7.00 | 5-25-2044 | 629,287 | 624,639 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 223,781 | 231,514 | ||
FNMA Series 2005-W4 Class 3A±± | 3.70 | 6-25-2045 | 31,044 | 29,743 | ||
GNMA%% | 2.00 | 9-21-2053 | 34,780,000 | 28,685,349 | ||
GNMA | 2.50 | 3-20-2052 | 15,766,057 | 13,416,105 | ||
GNMA | 2.50 | 4-20-2052 | 21,442,320 | 18,242,501 | ||
GNMA%% | 2.50 | 9-21-2053 | 45,200,000 | 38,451,781 | ||
GNMA | 3.00 | 11-20-2045 | 1,098,664 | 987,600 | ||
GNMA | 3.00 | 4-20-2051 | 5,035,718 | 4,453,381 | ||
GNMA%% | 3.00 | 9-21-2053 | 56,495,000 | 49,669,257 | ||
GNMA | 3.50 | 9-20-2047 | 618,769 | 568,714 | ||
GNMA | 3.50 | 12-20-2047 | 1,335,122 | 1,230,844 | ||
GNMA | 3.50 | 8-20-2052 | 13,991,188 | 12,703,833 | ||
GNMA%% | 3.50 | 9-21-2053 | 21,015,000 | 19,081,784 | ||
GNMA | 4.00 | 12-20-2047 | 723,056 | 684,047 | ||
GNMA | 4.00 | 11-20-2052 | 13,773,515 | 12,830,700 | ||
GNMA | 4.50 | 8-20-2049 | 247,004 | 237,200 | ||
GNMA | 4.50 | 7-20-2052 | 11,732,756 | 11,187,474 | ||
GNMA | 4.50 | 9-20-2052 | 7,682,256 | 7,325,011 | ||
GNMA | 4.50 | 3-20-2053 | 18,848,670 | 17,960,427 | ||
GNMA | 5.00 | 7-20-2040 | 195,787 | 196,549 | ||
GNMA | 5.00 | 9-20-2052 | 9,320,267 | 9,077,882 | ||
GNMA | 5.00 | 6-20-2053 | 16,290,628 | 15,853,333 | ||
GNMA | 5.50 | 12-20-2052 | 16,611,683 | 16,454,549 | ||
GNMA | 5.50 | 4-20-2053 | 18,445,476 | 18,259,171 | ||
GNMA%% | 6.00 | 9-21-2053 | 108,385,000 | 108,736,404 | ||
GNMA | 7.50 | 12-15-2029 | 264 | 264 | ||
GNMA Series 2008-22 Class XMƒ±± | 1.29 | 2-16-2050 | 361,482 | 6,996 | ||
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 4-15-2030 | 19,410,000 | 14,257,289 | ||
TVA | 3.50 | 12-15-2042 | 16,292,000 | 13,195,643 | ||
TVA Principal STRIPS¤ | 0.00 | 4-1-2056 | 42,270,000 | 8,409,555 | ||
Total agency securities (Cost $1,478,822,957) | 1,427,331,452 | |||||
Asset-backed securities: 10.22% | ||||||
ACHV ABS Trust Series 2023-1PL Class A144A | 6.42 | 3-18-2030 | 401,034 | 401,114 | ||
ACM Auto Trust Series 2023-1A Class A144A | 6.61 | 1-22-2030 | 2,665,585 | 2,661,578 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Aligned Data Centers Issuer LLC Series 2021-1A Class A2144A | 1.94 % | 8-15-2046 | $ | 10,451,000 | $9,170,522 | |
American Credit Acceptance Receivables Trust Series 2019-4 Class D144A | 2.97 | 12-12-2025 | 943,088 | 940,322 | ||
American Credit Acceptance Receivables Trust Series 2022-1 Class B144A | 1.68 | 9-14-2026 | 1,587,317 | 1,579,779 | ||
Apex Credit CLO LLC Series 2017-2A Class BR (3 Month LIBOR+1.60%)144A± | 7.11 | 9-20-2029 | 10,000,000 | 9,810,478 | ||
Apidos CLO XXXI Series 2019-31A Class DR (U.S. SOFR 3 Month+3.36%)144A± | 8.67 | 4-15-2031 | 3,000,000 | 2,937,560 | ||
Arbys Funding LLC Series 2020-1A Class A2144A | 3.24 | 7-30-2050 | 6,499,000 | 5,774,024 | ||
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A Class B144A | 2.68 | 8-20-2026 | 8,700,000 | 8,136,600 | ||
Bain Capital Credit CLO Ltd. Series 2017-1A Class C1R (U.S. SOFR 3 Month+2.21%)144A± | 7.54 | 7-20-2030 | 3,725,000 | 3,616,305 | ||
Bain Capital Credit CLO Ltd. Series 2020-2A Class BR (U.S. SOFR 3 Month+1.96%)144A± | 7.28 | 7-19-2034 | 1,425,000 | 1,401,037 | ||
BDS Ltd. Series 2021-FL9 Class B (U.S. SOFR 1 Month+1.81%)144A± | 7.13 | 11-16-2038 | 5,475,000 | 5,279,257 | ||
BHG Securitization Trust Series 2021-A Class B144A | 2.79 | 11-17-2033 | 4,940,000 | 4,380,328 | ||
Blue Stream Issuer LLC Series 2023-1A Class A2144A | 5.40 | 5-20-2053 | 3,500,000 | 3,324,282 | ||
Bojangles Issuer LLC Series 2020-1A Class A2144A | 3.83 | 10-20-2050 | 14,922,750 | 13,632,753 | ||
BRSP Ltd. Series 2021-FL1 Class A (U.S. SOFR 1 Month+1.26%)144A± | 6.58 | 8-19-2038 | 5,775,000 | 5,608,247 | ||
Cajun Global LLC Series 2021-1 Class A2144A | 3.93 | 11-20-2051 | 3,895,000 | 3,412,924 | ||
Carlyle Global Market Strategies CLO Ltd. Series 2016-1A Class CR2 (U.S. SOFR 3 Month+3.61%)144A± | 8.94 | 4-20-2034 | 1,500,000 | 1,461,985 | ||
CoreVest American Finance Trust Series 2021-3 Class B144A | 2.49 | 10-15-2054 | 355,000 | 315,456 | ||
CPS Auto Receivables Trust Series 2021-A Class D144A | 1.16 | 12-15-2026 | 1,205,000 | 1,166,221 | ||
Domino’s Pizza Master Issuer LLC Series 2015-1A Class A2II144A | 4.47 | 10-25-2045 | 12,122,500 | 11,612,179 | ||
Dryden 72 CLO Ltd. Series 2019-72A Class CR (U.S. SOFR 3 Month+2.11%)144A± | 7.48 | 5-15-2032 | 3,550,000 | 3,419,013 | ||
Dryden XXVIII Senior Loan Fund Series 2013-28A Class A2LR (U.S. SOFR 3 Month+1.91%)144A± | 7.28 | 8-15-2030 | 4,000,000 | 3,960,181 | ||
DT Auto Owner Trust Series 2021-1A Class C144A | 0.84 | 10-15-2026 | 3,833,156 | 3,756,465 | ||
ECMC Group Student Loan Trust Series 2020-3A Class A1B (30 Day Average U.S. SOFR+1.11%)144A± | 6.40 | 1-27-2070 | 2,781,706 | 2,733,934 | ||
Edsouth Indenture No. 9 LLC Series 2015-1 Class A (30 Day Average U.S. SOFR+0.91%)144A± | 6.20 | 10-25-2056 | 440,503 | 433,146 | ||
Enterprise Fleet Financing LLC Series 2023-2 Class A3144A | 5.50 | 4-22-2030 | 7,185,000 | 7,083,984 | ||
Exeter Automobile Receivables Trust Series 2019-2A Class D144A | 3.71 | 3-17-2025 | 1,567,622 | 1,559,863 | ||
FIGRE Trust Series 2023-HE1 Class A144A | 5.85 | 3-25-2053 | 14,587,297 | 14,445,937 | ||
First Investors Auto Owner Trust Series 2019-2A Class D144A | 2.80 | 12-15-2025 | 2,745,656 | 2,729,062 | ||
FirstKey Homes Trust Series 2021-SFR1 Class A144A | 1.54 | 8-17-2038 | 1,377,881 | 1,214,562 | ||
FirstKey Homes Trust Series 2021-SFR1 Class C144A | 1.89 | 8-17-2038 | 6,770,000 | 5,917,281 | ||
FirstKey Homes Trust Series 2021-SFR2 Class B144A | 1.61 | 9-17-2038 | 8,675,000 | 7,582,667 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Five Guys Funding LLC Series 2017-1A Class A2144A | 4.60 % | 7-25-2047 | $ | 1,585,850 | $1,554,439 | |
Flagship Credit Auto Trust Series 2020-2 Class C144A | 3.80 | 4-15-2026 | 883,436 | 881,368 | ||
FS Rialto Issuer Ltd. Series 2021-FL3 Class B (U.S. SOFR 1 Month+1.91%)144A± | 7.23 | 11-16-2036 | 3,000,000 | 2,851,071 | ||
Gilbert Park CLO Ltd. Series 2017-1A Class B (U.S. SOFR 3 Month+1.86%)144A± | 7.17 | 10-15-2030 | 3,000,000 | 2,959,956 | ||
GLS Auto Receivables Issuer Trust Series 2021-4A Class B144A | 1.53 | 4-15-2026 | 1,765,000 | 1,733,106 | ||
Gracie Point International Funding Series 2022-1A Class A (30 Day Average U.S. SOFR+2.25%)144A± | 7.56 | 4-1-2024 | 6,166,137 | 6,187,832 | ||
Gracie Point International Funding Series 2022-2A Class A (30 Day Average U.S. SOFR+2.75%)144A± | 7.85 | 7-1-2024 | 7,878,243 | 7,917,913 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class B144A | 1.56 | 12-26-2025 | 4,700,000 | 4,436,876 | ||
Hertz Vehicle Financing LLC Series 2022-1A Class B144A | 2.19 | 6-25-2026 | 2,450,000 | 2,281,455 | ||
Hertz Vehicle Financing LLC Series 2023-2A Class A144A | 5.57 | 9-25-2029 | 3,695,000 | 3,648,385 | ||
Hotwire Funding LLC Series 2023-1A Class A2144A | 5.69 | 5-20-2053 | 16,750,000 | 16,332,334 | ||
ICG U.S. CLO Ltd. Series 2014-1A Class BR2 (U.S. SOFR 3 Month+2.71%)144A± | 8.04 | 10-20-2034 | 4,400,000 | 4,282,507 | ||
Jonah Energy Abs I LLC Series 2022-1 Class A1144A | 7.20 | 12-10-2037 | 10,408,389 | 10,190,398 | ||
Lendmark Funding Trust Series 2021-1A Class A144A | 1.90 | 11-20-2031 | 2,065,000 | 1,797,173 | ||
Marlette Funding Trust Series 2021-2A Class B144A | 1.06 | 9-15-2031 | 1,308,351 | 1,294,386 | ||
MF1 Ltd. Series 2022-FL8 Class C (U.S. SOFR 1 Month+2.20%)144A± | 7.51 | 2-19-2037 | 8,750,000 | 8,383,934 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021- FL5 Class A (U.S. SOFR 1 Month+0.96%)144A± | 6.28 | 7-15-2036 | 3,344,921 | 3,286,385 | ||
Neighborly Issuer LLC Series 2021-1A Class A2144A | 3.58 | 4-30-2051 | 7,820,000 | 6,561,903 | ||
Oak Street Investment Grade Net Lease Fund Series 2020-1A Class A5144A | 3.39 | 11-20-2050 | 5,400,000 | 4,910,250 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3144A | 2.80 | 1-20-2051 | 4,925,000 | 4,392,160 | ||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A2R (U.S. SOFR 3 Month+1.71%)144A± | 7.04 | 3-17-2030 | 8,205,000 | 8,108,869 | ||
Octane Receivables Trust Series 2020-1A Class A144A | 1.71 | 2-20-2025 | 6,320 | 6,312 | ||
Octane Receivables Trust Series 2021-1A Class A144A | 0.93 | 3-22-2027 | 224,474 | 219,443 | ||
Octane Receivables Trust Series 2021-1A Class B144A | 1.53 | 4-20-2027 | 3,000,000 | 2,811,946 | ||
Octane Receivables Trust Series 2022-2A Class A144A | 5.11 | 2-22-2028 | 4,297,003 | 4,254,469 | ||
Octane Receivables Trust Series 2023-1A Class A144A | 5.87 | 5-21-2029 | 2,866,234 | 2,855,354 | ||
Octane Receivables Trust Series 2023-1A Class B144A | 5.96 | 7-20-2029 | 3,045,000 | 3,012,241 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 12,640,000 | 12,092,943 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class B144A | 2.28 | 5-17-2027 | 4,000,000 | 3,777,889 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A144A | 1.22 | 1-16-2029 | 4,458,448 | 4,296,318 | ||
Pagaya AI Debt Selection Trust Series 2023-1 Class A144A | 7.56 | 7-15-2030 | 7,875,514 | 7,896,191 | ||
Palmer Square Loan Funding Ltd. Series 2021-3A Class A2 (U.S. SOFR 3 Month+1.66%)144A± | 6.99 | 7-20-2029 | 12,060,000 | 11,941,319 | ||
Parallel Ltd. Series 2021-1A Class D (U.S. SOFR 3 Month+3.71%)144A± | 9.02 | 7-15-2034 | 8,500,000 | 7,942,286 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Pawnee Equipment Receivables LLC Series 2021-1 Class A2144A | 1.10 % | 7-15-2027 | $ | 914,598 | $884,970 | |
Santander Drive Auto Receivables Trust Series 2020-2 Class D | 2.22 | 9-15-2026 | 1,482,910 | 1,459,379 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 2,305,944 | 2,297,112 | ||
Service Experts Issuer LLC Series 2021-1A Class A144A | 2.67 | 2-2-2032 | 5,806,233 | 5,296,352 | ||
ServiceMaster Funding LLC Series 2020-1 Class A2I144A | 2.84 | 1-30-2051 | 3,516,702 | 2,991,387 | ||
Sierra Timeshare Receivables Funding LLC Series 2018-3A Class C144A | 4.17 | 9-20-2035 | 266,610 | 253,326 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR+0.67%)144A± | 6.22 | 12-17-2068 | 3,835,315 | 3,802,606 | ||
Sound Point CLO Ltd. Series 2013-2RA Class A1 (U.S. SOFR 3 Month+1.21%)144A± | 6.52 | 4-15-2029 | 1,021,116 | 1,018,548 | ||
Sound Point CLO Ltd. Series 2015-1RA Class BR (U.S. SOFR 3 Month+1.81%)144A± | 7.12 | 4-15-2030 | 10,340,000 | 10,103,549 | ||
SpringCastle America Funding LLC Series 2020-AA Class A144A | 1.97 | 9-25-2037 | 2,335,392 | 2,120,815 | ||
Starwood Commercial Mortgage Trust Series 2022-FL3 Class A (30 Day Average U.S. SOFR+1.35%)144A± | 6.54 | 11-15-2038 | 1,100,000 | 1,072,791 | ||
STORE Master Funding LLC Series 2023-1A Class A1144A | 6.19 | 6-20-2053 | 6,991,250 | 6,822,740 | ||
Taco Bell Funding LLC Series 2021-1A Class A2I144A | 1.95 | 8-25-2051 | 10,758,375 | 9,320,755 | ||
Taco Bell Funding LLC Series 2021-1A Class A23144A | 2.54 | 8-25-2051 | 491,250 | 383,626 | ||
TierPoint Issuer LLC Series 2023-1A Class A2144A | 6.00 | 6-25-2053 | 20,000,000 | 19,069,716 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (U.S. SOFR 1 Month+0.71%)144A± | 6.03 | 1-25-2046 | 291,002 | 289,998 | ||
Towd Point He Trust Series 2023-1 Class A1A144A | 6.88 | 2-25-2063 | 9,040,241 | 9,026,088 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1144A±± | 3.00 | 11-25-2058 | 181,004 | 179,156 | ||
Vantage Data Centers LLC Series 2020-1A Class A2144A | 1.65 | 9-15-2045 | 22,340,000 | 20,196,991 | ||
Venture CLO Ltd. Series 2017-30A Class B (U.S. SOFR 3 Month+1.86%)144A± | 7.17 | 1-15-2031 | 250,000 | 245,478 | ||
Voya CLO Ltd. Series 2017-1A Class BR (U.S. SOFR 3 Month+2.16%)144A± | 7.47 | 4-17-2030 | 4,500,000 | 4,361,104 | ||
Wendy’s Funding LLC Series 2021-1A Class A2II144A | 2.78 | 6-15-2051 | 539,000 | 429,889 | ||
Westgate Resorts LLC Series 2022-1A Class C144A | 2.49 | 8-20-2036 | 9,829,207 | 9,224,901 | ||
Westlake Automobile Receivables Trust Series 2020-1A Class D144A | 2.80 | 6-16-2025 | 2,501,760 | 2,484,229 | ||
Westlake Automobile Receivables Trust Series 2020-3A Class C144A | 1.24 | 11-17-2025 | 2,119,547 | 2,101,754 | ||
Wingstop Funding LLC Series 2020-1A Class A2144A | 2.84 | 12-5-2050 | 3,584,415 | 3,147,227 | ||
Zais CLO 6 Ltd. Series 2017-1A Class CR (U.S. SOFR 3 Month+2.91%)144A± | 8.22 | 7-15-2029 | 7,450,000 | 7,347,205 | ||
Zais CLO Ltd. Series 2020-14A Class A1AR (U.S. SOFR 3 Month+1.46%)144A± | 6.77 | 4-15-2032 | 1,525,684 | 1,518,502 | ||
Zaxby’s Funding LLC Series 2021-1A Class A2144A | 3.24 | 7-30-2051 | 4,821,600 | 4,056,494 | ||
Total asset-backed securities (Cost $466,489,285) | 448,065,145 |
Shares | Value | |||||
Common stocks: 0.01% | ||||||
Consumer discretionary: 0.01% | ||||||
Hotels, restaurants & leisure: 0.01% | ||||||
Royal Caribbean Cruises Ltd.† | 3,642 | $360,340 | ||||
Total common stocks (Cost $527,970) | 360,340 |
Interest rate | Maturity date | Principal | ||||
Corporate bonds and notes: 19.24% | ||||||
Basic materials: 0.27% | ||||||
Chemicals: 0.17% | ||||||
International Flavors & Fragrances, Inc.144A | 3.47 % | 12-1-2050 | $ | 8,330,000 | 5,178,565 | |
Westlake Corp. | 1.63 | 7-17-2029 | 2,750,000 | 2,516,419 | ||
7,694,984 | ||||||
Mining: 0.10% | ||||||
Glencore Funding LLC144A | 3.38 | 9-23-2051 | 6,500,000 | 4,192,811 | ||
Communications: 1.48% | ||||||
Internet: 0.22% | ||||||
MercadoLibre, Inc. | 3.13 | 1-14-2031 | 12,050,000 | 9,643,628 | ||
Media: 0.64% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.25 | 1-15-2034 | 10,000,000 | 7,657,972 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.40 | 12-1-2061 | 6,000,000 | 3,943,484 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 5.50 | 4-1-2063 | 7,800,000 | 6,127,635 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.48 | 10-23-2045 | 655,000 | 602,567 | ||
CSC Holdings LLC144A | 4.63 | 12-1-2030 | 2,000,000 | 1,046,362 | ||
CSC Holdings LLC144A | 5.75 | 1-15-2030 | 3,000,000 | 1,658,940 | ||
Scripps Escrow, Inc.144A | 5.88 | 7-15-2027 | 5,000,000 | 4,039,900 | ||
Time Warner Cable LLC | 5.50 | 9-1-2041 | 3,605,000 | 2,961,709 | ||
28,038,569 | ||||||
Telecommunications: 0.62% | ||||||
AT&T, Inc. | 3.55 | 9-15-2055 | 10,330,000 | 6,742,071 | ||
AT&T, Inc. | 5.40 | 2-15-2034 | 8,000,000 | 7,768,796 | ||
CommScope, Inc.144A | 6.00 | 3-1-2026 | 1,000,000 | 908,766 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 1,719,375 | 1,701,832 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 5.15 | 3-20-2028 | 10,355,000 | 10,266,789 | ||
27,388,254 | ||||||
Consumer, cyclical: 2.26% | ||||||
Airlines: 0.29% | ||||||
Delta Air Lines Pass-Through Trust Series 2020-1 Class AA | 2.00 | 6-10-2028 | 3,056,803 | 2,691,829 |
Interest rate | Maturity date | Principal | Value | |||
Airlines (continued) | ||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.144A | 6.50 % | 6-20-2027 | $ | 7,300,000 | $7,274,528 | |
United Airlines Pass-Through Trust Series 2023-1 Class A | 5.80 | 1-15-2036 | 2,900,000 | 2,889,858 | ||
12,856,215 | ||||||
Apparel: 0.40% | ||||||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 9,164,000 | 9,002,530 | ||
VF Corp. | 2.95 | 4-23-2030 | 10,000,000 | 8,298,083 | ||
17,300,613 | ||||||
Auto manufacturers: 0.94% | ||||||
Daimler Truck Finance North America LLC144A | 5.13 | 1-19-2028 | 18,825,000 | 18,584,414 | ||
Ford Motor Co. | 6.10 | 8-19-2032 | 10,000,000 | 9,555,298 | ||
General Motors Financial Co., Inc. | 5.85 | 4-6-2030 | 7,520,000 | 7,364,793 | ||
Hyundai Capital America144A | 1.30 | 1-8-2026 | 4,205,000 | 3,805,691 | ||
Hyundai Capital America144A | 5.65 | 6-26-2026 | 2,085,000 | 2,080,641 | ||
41,390,837 | ||||||
Entertainment: 0.11% | ||||||
Cinemark USA, Inc.144A | 5.25 | 7-15-2028 | 700,000 | 621,768 | ||
Warnermedia Holdings, Inc. | 5.14 | 3-15-2052 | 5,135,000 | 4,093,157 | ||
4,714,925 | ||||||
Home builders: 0.10% | ||||||
KB Home | 4.00 | 6-15-2031 | 3,000,000 | 2,527,140 | ||
KB Home | 4.80 | 11-15-2029 | 2,000,000 | 1,804,000 | ||
4,331,140 | ||||||
Lodging: 0.08% | ||||||
Genting New York LLC/GENNY Capital, Inc.144A | 3.30 | 2-15-2026 | 3,920,000 | 3,493,989 | ||
Retail: 0.34% | ||||||
Advance Auto Parts, Inc. | 5.90 | 3-9-2026 | 6,100,000 | 6,044,892 | ||
LSF9 Atlantis Holdings LLC/Victra Finance Corp.144A | 7.75 | 2-15-2026 | 5,000,000 | 4,556,287 | ||
Michaels Cos., Inc.144A | 7.88 | 5-1-2029 | 1,160,000 | 804,112 | ||
Walgreens Boots Alliance, Inc. | 4.80 | 11-18-2044 | 4,635,000 | 3,626,637 | ||
15,031,928 | ||||||
Consumer, non-cyclical: 1.29% | ||||||
Agriculture: 0.11% | ||||||
Altria Group, Inc. | 1.70 | 6-15-2025 | 2,000,000 | 2,078,822 | ||
BAT Capital Corp. | 4.76 | 9-6-2049 | 3,260,000 | 2,416,213 | ||
Reynolds American, Inc. | 7.00 | 8-4-2041 | 450,000 | 440,838 | ||
4,935,873 | ||||||
Biotechnology: 0.03% | ||||||
Amgen, Inc. | 5.75 | 3-2-2063 | 1,485,000 | 1,466,504 |
Interest rate | Maturity date | Principal | Value | |||
Commercial services: 0.41% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.00 % | 6-1-2029 | $ | 1,750,000 | $1,338,366 | |
Howard University Series 22A | 5.21 | 10-1-2052 | 2,565,000 | 2,204,241 | ||
PECF USS Intermediate Holding III Corp.144A | 8.00 | 11-15-2029 | 1,500,000 | 956,645 | ||
Sabre Global, Inc.144A | 11.25 | 12-15-2027 | 12,000,000 | 11,440,040 | ||
Upbound Group, Inc.144A | 6.38 | 2-15-2029 | 2,000,000 | 1,817,000 | ||
17,756,292 | ||||||
Food: 0.13% | ||||||
Smithfield Foods, Inc.144A | 2.63 | 9-13-2031 | 8,000,000 | 5,896,184 | ||
Healthcare-products: 0.35% | ||||||
Danaher Corp. | 2.50 | 3-30-2030 | 15,000,000 | 15,151,706 | ||
Healthcare-services: 0.19% | ||||||
UnitedHealth Group, Inc. | 5.20 | 4-15-2063 | 6,360,000 | 6,096,105 | ||
UnitedHealth Group, Inc. | 6.05 | 2-15-2063 | 2,125,000 | 2,314,840 | ||
8,410,945 | ||||||
Pharmaceuticals: 0.07% | ||||||
CVS Health Corp. | 5.88 | 6-1-2053 | 3,140,000 | 3,067,373 | ||
Energy: 0.67% | ||||||
Oil & gas: 0.31% | ||||||
Aethon United BR LP/Aethon United Finance Corp.144A | 8.25 | 2-15-2026 | 3,000,000 | 3,015,000 | ||
Devon Energy Corp. | 5.25 | 10-15-2027 | 4,482,000 | 4,441,524 | ||
Encino Acquisition Partners Holdings LLC144A | 8.50 | 5-1-2028 | 2,255,000 | 2,138,191 | ||
Occidental Petroleum Corp. | 4.30 | 8-15-2039 | 4,985,000 | 3,807,294 | ||
13,402,009 | ||||||
Pipelines: 0.36% | ||||||
Cheniere Energy Partners LP | 3.25 | 1-31-2032 | 1,643,000 | 1,357,660 | ||
Energy Transfer LP | 5.00 | 5-15-2050 | 5,965,000 | 4,909,997 | ||
Harvest Midstream I LP144A | 7.50 | 9-1-2028 | 2,275,000 | 2,279,986 | ||
Plains All American Pipeline LP/PAA Finance Corp. | 3.55 | 12-15-2029 | 5,420,000 | 4,764,947 | ||
Rockies Express Pipeline LLC144A | 4.95 | 7-15-2029 | 1,975,000 | 1,807,684 | ||
Rockies Express Pipeline LLC144A | 6.88 | 4-15-2040 | 1,000,000 | 899,557 | ||
16,019,831 | ||||||
Financial: 9.98% | ||||||
Banks: 4.43% | ||||||
Bank of America Corp. (U.S. SOFR+1.33%)± | 2.97 | 2-4-2033 | 9,400,000 | 7,728,824 | ||
Bank of America Corp. (U.S. SOFR+1.83%)± | 4.57 | 4-27-2033 | 17,475,000 | 16,199,141 | ||
Bank of America Corp. (U.S. SOFR 3 Month+0.90%)± | 2.02 | 2-13-2026 | 5,000,000 | 4,714,577 | ||
Bank of America Corp. (U.S. SOFR 3 Month+1.84%)± | 3.82 | 1-20-2028 | 6,000,000 | 5,656,517 | ||
Bank of America Corp. Series AA (U.S. SOFR 3 Month+4.16%)ʊ± | 6.10 | 3-17-2025 | 2,590,000 | 2,545,808 | ||
Bank of America Corp. Series N (U.S. SOFR+1.22%)± | 2.65 | 3-11-2032 | 7,655,000 | 6,257,387 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
Bank of America Corp. Series RR (5 Year Treasury Constant Maturity+2.76%)ʊ± | 4.38 % | 1-27-2027 | $ | 5,500,000 | $4,720,760 | |
Citigroup, Inc. (U.S. SOFR+2.09%)± | 4.91 | 5-24-2033 | 9,765,000 | 9,282,346 | ||
Citigroup, Inc. (U.S. SOFR+2.66%)± | 6.17 | 5-25-2034 | 9,000,000 | 8,968,583 | ||
Citigroup, Inc. Series T (U.S. SOFR 3 Month+4.78%)ʊ± | 6.25 | 8-15-2026 | 1,030,000 | 1,013,417 | ||
Citigroup, Inc. Series W (5 Year Treasury Constant Maturity+3.60%)ʊ± | 4.00 | 12-10-2025 | 5,000,000 | 4,475,221 | ||
Goldman Sachs Group, Inc. | 3.63 | 2-20-2024 | 7,000,000 | 6,925,170 | ||
Goldman Sachs Group, Inc. (U.S. SOFR+1.25%)± | 2.38 | 7-21-2032 | 5,535,000 | 4,375,140 | ||
HSBC USA, Inc. | 5.63 | 3-17-2025 | 3,585,000 | 3,575,780 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.02%)± | 2.07 | 6-1-2029 | 7,000,000 | 6,004,053 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.45%)± | 5.30 | 7-24-2029 | 5,000,000 | 4,971,439 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.75%)± | 4.57 | 6-14-2030 | 4,040,000 | 3,861,514 | ||
JPMorgan Chase & Co. (U.S. SOFR+1.85%)± | 5.35 | 6-1-2034 | 6,830,000 | 6,748,746 | ||
JPMorgan Chase & Co. (U.S. SOFR+2.58%)± | 5.72 | 9-14-2033 | 2,260,000 | 2,258,709 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.70%)± | 1.04 | 2-4-2027 | 3,165,000 | 2,832,879 | ||
JPMorgan Chase & Co. Series KK (5 Year Treasury Constant Maturity+2.85%)ʊ± | 3.65 | 6-1-2026 | 4,000,000 | 3,534,635 | ||
JPMorgan Chase & Co. Series Q (U.S. SOFR 3 Month+3.51%)ʊ± | 8.88 | 11-1-2023 | 6,625,000 | 6,637,546 | ||
M&T Bank Corp. (U.S. SOFR+1.85%)± | 5.05 | 1-27-2034 | 10,080,000 | 9,166,537 | ||
Morgan Stanley (U.S. SOFR+1.20%)± | 2.51 | 10-20-2032 | 6,850,000 | 5,454,683 | ||
Morgan Stanley (U.S. SOFR+1.36%)± | 2.48 | 9-16-2036 | 7,120,000 | 5,369,655 | ||
Morgan Stanley (U.S. SOFR+1.59%)± | 5.16 | 4-20-2029 | 8,000,000 | 7,846,640 | ||
Morgan Stanley (U.S. SOFR+1.73%)± | 5.12 | 2-1-2029 | 8,930,000 | 8,752,566 | ||
Morgan Stanley (U.S. SOFR+1.88%)± | 5.42 | 7-21-2034 | 1,980,000 | 1,946,777 | ||
National Securities Clearing Corp.144A | 5.00 | 5-30-2028 | 5,000,000 | 4,968,774 | ||
PNC Financial Services Group, Inc. Series S (U.S. SOFR 3 Month+3.56%)ʊ± | 5.00 | 11-1-2026 | 565,000 | 493,042 | ||
PNC Financial Services Group, Inc. Series U (5 Year Treasury Constant Maturity+3.00%)ʊ± | 6.00 | 5-15-2027 | 1,850,000 | 1,663,335 | ||
PNC Financial Services Group, Inc. Series W (7 Year Treasury Constant Maturity+2.81%)ʊ± | 6.25 | 3-15-2030 | 2,750,000 | 2,432,622 | ||
U.S. Bancorp (U.S. SOFR+2.26%)± | 5.84 | 6-12-2034 | 9,435,000 | 9,426,230 | ||
Wells Fargo & Co. (U.S. SOFR+1.32%)± | 3.91 | 4-25-2026 | 5,700,000 | 5,510,647 | ||
Wells Fargo & Co. (U.S. SOFR+1.50%)± | 3.35 | 3-2-2033 | 9,600,000 | 8,084,295 | ||
194,403,995 | ||||||
Diversified financial services: 1.45% | ||||||
Blackstone Holdings Finance Co. LLC144A | 5.00 | 6-15-2044 | 1,015,000 | 864,392 | ||
Blackstone Holdings Finance Co. LLC144A | 6.20 | 4-22-2033 | 14,485,000 | 14,903,960 | ||
Charles Schwab Corp. Series I (5 Year Treasury Constant Maturity+3.17%)ʊ± | 4.00 | 6-1-2026 | 4,000,000 | 3,461,200 | ||
Computershare U.S., Inc. | 1.13 | 10-7-2031 | 7,450,000 | 5,971,077 | ||
Enact Holdings, Inc.144A | 6.50 | 8-15-2025 | 3,600,000 | 3,567,487 | ||
Private Export Funding Corp.144A | 0.55 | 7-30-2024 | 29,766,000 | 28,345,848 | ||
Toll Road Investors Partnership II LP Series 1999-B (NPFGC Insured)144A¤ | 0.00 | 2-15-2026 | 5,630,000 | 4,725,121 |
Interest rate | Maturity date | Principal | Value | |||
Diversified financial services (continued) | ||||||
Toll Road Investors Partnership II LP Series 1999-B (NPFGC Insured)144A¤ | 0.00 % | 2-15-2027 | $ | 1,050,000 | $822,144 | |
Toll Road Investors Partnership II LP Series 1999-B (NPFGC Insured)144A¤ | 0.00 | 2-15-2028 | 1,150,000 | 837,417 | ||
63,498,646 | ||||||
Insurance: 1.66% | ||||||
Athene Global Funding | 0.37 | 9-10-2026 | 5,600,000 | 5,329,713 | ||
Athene Global Funding144A | 1.99 | 8-19-2028 | 2,860,000 | 2,366,783 | ||
Athene Global Funding144A | 2.55 | 11-19-2030 | 3,000,000 | 2,347,512 | ||
Guardian Life Insurance Co. of America144A | 4.85 | 1-24-2077 | 1,045,000 | 840,643 | ||
Hill City Funding Trust144A | 4.05 | 8-15-2041 | 6,955,000 | 4,658,458 | ||
Maple Grove Funding Trust I144A | 4.16 | 8-15-2051 | 4,000,000 | 2,679,429 | ||
MetLife, Inc. | 5.00 | 7-15-2052 | 4,430,000 | 4,050,365 | ||
MetLife, Inc. Series G (5 Year Treasury Constant Maturity+3.58%)ʊ± | 3.85 | 9-15-2025 | 7,000,000 | 6,454,704 | ||
Metropolitan Life Global Funding I144A | 5.15 | 3-28-2033 | 13,000,000 | 12,710,691 | ||
National Life Insurance Co. (3 Month LIBOR+3.31%)144A± | 5.25 | 7-19-2068 | 1,668,000 | 1,439,694 | ||
Northwestern Mutual Life Insurance Co.144A | 3.63 | 9-30-2059 | 1,500,000 | 1,012,905 | ||
OneAmerica Financial Partners, Inc.144A | 4.25 | 10-15-2050 | 570,000 | 386,259 | ||
Prudential Financial, Inc. (5 Year Treasury Constant Maturity+3.16%)± | 5.13 | 3-1-2052 | 3,600,000 | 3,216,206 | ||
Reinsurance Group of America, Inc. | 6.00 | 9-15-2033 | 5,755,000 | 5,787,728 | ||
RenaissanceRe Holdings Ltd. | 5.75 | 6-5-2033 | 4,405,000 | 4,279,159 | ||
Sammons Financial Group, Inc.144A | 3.35 | 4-16-2031 | 1,285,000 | 996,938 | ||
Sammons Financial Group, Inc.144A | 4.75 | 4-8-2032 | 2,015,000 | 1,674,612 | ||
Security Benefit Global Funding144A | 1.25 | 5-17-2024 | 3,000,000 | 2,883,884 | ||
Sompo International Holdings Ltd. | 7.00 | 7-15-2034 | 1,330,000 | 1,422,009 | ||
Transatlantic Holdings, Inc. | 8.00 | 11-30-2039 | 4,329,000 | 5,288,510 | ||
Validus Holdings Ltd. | 8.88 | 1-26-2040 | 2,000,000 | 2,928,050 | ||
72,754,252 | ||||||
Investment Companies: 0.04% | ||||||
Ares Capital Corp. | 2.88 | 6-15-2028 | 1,980,000 | 1,669,831 | ||
Private equity: 0.33% | ||||||
Brookfield Capital Finance LLC | 6.09 | 6-14-2033 | 11,080,000 | 11,107,253 | ||
KKR Group Finance Co. III LLC144A | 5.13 | 6-1-2044 | 2,390,000 | 2,065,840 | ||
KKR Group Finance Co. VIII LLC144A | 3.50 | 8-25-2050 | 1,910,000 | 1,261,549 | ||
14,434,642 | ||||||
REITS: 2.07% | ||||||
Brandywine Operating Partnership LP | 7.55 | 3-15-2028 | 7,370,000 | 6,910,542 | ||
EPR Properties | 3.60 | 11-15-2031 | 2,060,000 | 1,577,031 | ||
EPR Properties | 3.75 | 8-15-2029 | 3,870,000 | 3,155,845 | ||
Equinix, Inc. | 3.00 | 7-15-2050 | 6,615,000 | 4,163,948 | ||
Extra Space Storage LP | 5.50 | 7-1-2030 | 2,730,000 | 2,707,097 | ||
Extra Space Storage LP | 5.70 | 4-1-2028 | 4,790,000 | 4,811,063 | ||
GLP Capital LP/GLP Financing II, Inc. | 3.25 | 1-15-2032 | 5,000,000 | 4,031,417 |
Interest rate | Maturity date | Principal | Value | |||
REITS (continued) | ||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00 % | 1-15-2030 | $ | 3,655,000 | $3,188,817 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.144A | 5.25 | 10-1-2025 | 1,820,000 | 1,748,718 | ||
MPT Operating Partnership LP/MPT Finance Corp. | 3.50 | 3-15-2031 | 5,000,000 | 3,240,496 | ||
Omega Healthcare Investors, Inc. | 3.38 | 2-1-2031 | 2,930,000 | 2,366,589 | ||
Omega Healthcare Investors, Inc. | 3.63 | 10-1-2029 | 4,495,000 | 3,808,771 | ||
Omega Healthcare Investors, Inc. | 4.75 | 1-15-2028 | 840,000 | 788,830 | ||
Piedmont Operating Partnership LP | 2.75 | 4-1-2032 | 4,250,000 | 2,870,532 | ||
Public Storage Operating Co. | 5.35 | 8-1-2053 | 3,925,000 | 3,836,725 | ||
Realty Income Corp. | 5.13 | 7-6-2034 | 7,700,000 | 8,390,645 | ||
Sabra Health Care LP | 5.13 | 8-15-2026 | 14,040,000 | 13,583,440 | ||
SBA Tower Trust144A | 1.63 | 11-15-2026 | 6,595,000 | 5,737,204 | ||
Service Properties Trust | 4.35 | 10-1-2024 | 3,000,000 | 2,886,320 | ||
Service Properties Trust | 4.75 | 10-1-2026 | 2,000,000 | 1,738,444 | ||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 3.75 | 9-17-2024 | 7,654,000 | 7,296,190 | ||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 4.75 | 9-17-2044 | 2,610,000 | 1,775,379 | ||
90,614,043 | ||||||
Industrial: 0.51% | ||||||
Aerospace/defense: 0.12% | ||||||
Boeing Co. | 5.81 | 5-1-2050 | 3,485,000 | 3,390,507 | ||
Spirit AeroSystems, Inc.144A | 9.38 | 11-30-2029 | 2,000,000 | 2,084,230 | ||
5,474,737 | ||||||
Building materials: 0.11% | ||||||
Camelot Return Merger Sub, Inc.144A | 8.75 | 8-1-2028 | 5,000,000 | 4,987,500 | ||
Miscellaneous manufacturing: 0.03% | ||||||
General Electric Co. Series D (3 Month LIBOR+3.33%)ʊ± | 8.88 | 9-15-2023 | 1,166,000 | 1,166,000 | ||
Packaging & containers: 0.04% | ||||||
Clydesdale Acquisition Holdings, Inc.144A | 8.75 | 4-15-2030 | 2,000,000 | 1,808,673 | ||
Trucking & leasing: 0.21% | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 6.05 | 8-1-2028 | 5,000,000 | 5,004,343 | ||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 6.20 | 6-15-2030 | 4,000,000 | 4,017,916 | ||
9,022,259 | ||||||
Technology: 1.17% | ||||||
Computers: 0.04% | ||||||
Kyndryl Holdings, Inc. | 2.05 | 10-15-2026 | 1,912,000 | 1,682,921 | ||
Semiconductors: 0.65% | ||||||
Intel Corp. | 5.70 | 2-10-2053 | 9,550,000 | 9,457,305 | ||
KLA Corp. | 4.95 | 7-15-2052 | 8,280,000 | 7,823,779 | ||
Micron Technology, Inc. | 5.88 | 2-9-2033 | 11,440,000 | 11,312,301 | ||
28,593,385 |
Interest rate | Maturity date | Principal | Value | |||
Software: 0.48% | ||||||
Fidelity National Information Services, Inc. | 5.63 % | 7-15-2052 | $ | 1,485,000 | $1,409,252 | |
Oracle Corp. | 3.95 | 3-25-2051 | 9,180,000 | 6,709,485 | ||
Oracle Corp. | 6.25 | 11-9-2032 | 12,180,000 | 12,748,395 | ||
20,867,132 | ||||||
Utilities: 1.61% | ||||||
Electric: 1.44% | ||||||
Basin Electric Power Cooperative144A | 4.75 | 4-26-2047 | 2,315,000 | 1,875,328 | ||
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.98 | 5-13-2024 | 2,480,000 | 2,479,374 | ||
Duke Energy Corp. | 3.10 | 6-15-2028 | 2,600,000 | 2,680,263 | ||
Duke Energy Corp. | 3.85 | 6-15-2034 | 4,400,000 | 4,369,861 | ||
Duke Energy Indiana LLC | 5.40 | 4-1-2053 | 5,000,000 | 4,859,850 | ||
National Rural Utilities Cooperative Finance Corp. | 5.80 | 1-15-2033 | 8,015,000 | 8,273,036 | ||
NRG Energy, Inc.144A | 4.45 | 6-15-2029 | 6,415,000 | 5,697,819 | ||
Oglethorpe Power Corp. | 5.05 | 10-1-2048 | 1,060,000 | 913,483 | ||
Oklahoma Gas & Electric Co. | 5.60 | 4-1-2053 | 5,465,000 | 5,433,488 | ||
Oncor Electric Delivery Co. LLC | 2.95 | 4-1-2025 | 9,369,000 | 8,998,588 | ||
Public Service Co. of Oklahoma | 5.25 | 1-15-2033 | 9,760,000 | 9,577,436 | ||
Southern California Edison Co. | 3.65 | 2-1-2050 | 1,600,000 | 1,160,223 | ||
Vistra Operations Co. LLC144A | 3.70 | 1-30-2027 | 7,475,000 | 6,874,740 | ||
63,193,489 | ||||||
Gas: 0.17% | ||||||
Southern California Gas Co. | 5.20 | 6-1-2033 | 7,280,000 | 7,148,876 | ||
Total corporate bonds and notes (Cost $889,573,014) | 843,504,991 | |||||
Foreign corporate bonds and notes: 2.25% | ||||||
Communications: 0.37% | ||||||
Media: 0.08% | ||||||
Tele Columbus AG144A | 3.88 | 5-2-2025 | EUR | 2,320,000 | 1,584,886 | |
Ziggo Bond Co. BV144A | 3.38 | 2-28-2030 | EUR | 2,500,000 | 2,029,693 | |
3,614,579 | ||||||
Telecommunications: 0.29% | ||||||
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.19%)ʊ± | 2.88 | 5-27-2026 | EUR | 1,800,000 | 1,689,115 | |
Tele2 AB | 0.75 | 3-23-2031 | EUR | 5,400,000 | 4,608,683 | |
Telefonica Europe BV (EUR Swap Annual (vs. 6 Month EURIBOR) 7 Year+3.35%)ʊ± | 6.14 | 2-3-2030 | EUR | 6,000,000 | 6,318,545 | |
12,616,343 | ||||||
Consumer, cyclical: 0.46% | ||||||
Auto manufacturers: 0.19% | ||||||
Jaguar Land Rover Automotive PLC144A | 6.88 | 11-15-2026 | EUR | 5,700,000 | 6,243,224 | |
Stellantis NV | 2.00 | 3-20-2025 | EUR | 1,800,000 | 1,895,287 | |
8,138,511 |
Interest rate | Maturity date | Principal | Value | |||
Auto parts & equipment: 0.11% | ||||||
Forvia SE | 7.25 % | 6-15-2026 | EUR | 4,350,000 | $4,900,319 | |
Distribution/wholesale: 0.04% | ||||||
Azelis Finance NV144A | 5.75 | 3-15-2028 | EUR | 1,500,000 | 1,653,549 | |
Entertainment: 0.12% | ||||||
Cirsa Finance International Sarl144A | 10.38 | 11-30-2027 | EUR | 3,150,000 | 3,676,152 | |
International Game Technology PLC144A | 3.50 | 6-15-2026 | EUR | 1,500,000 | 1,566,344 | |
5,242,496 | ||||||
Consumer, non-cyclical: 0.40% | ||||||
Agriculture: 0.11% | ||||||
BAT International Finance PLC | 2.25 | 1-16-2030 | EUR | 5,250,000 | 4,855,560 | |
Commercial services: 0.04% | ||||||
Verisure Holding AB144A | 9.25 | 10-15-2027 | EUR | 1,525,000 | 1,761,121 | |
Food: 0.03% | ||||||
Sigma Holdco BV144A | 5.75 | 5-15-2026 | EUR | 1,500,000 | 1,398,279 | |
Pharmaceuticals: 0.22% | ||||||
Bayer AG (EURIBOR ICE Swap Rate 11:00am+2.65%)± | 2.38 | 11-12-2079 | EUR | 9,600,000 | 9,681,081 | |
Energy: 0.12% | ||||||
Oil & gas: 0.12% | ||||||
Petroleos Mexicanos | 3.75 | 2-21-2024 | EUR | 1,000,000 | 1,065,700 | |
Repsol International Finance BV (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+2.77%)ʊ± | 2.50 | 12-22-2026 | EUR | 4,500,000 | 4,280,775 | |
5,346,475 | ||||||
Financial: 0.38% | ||||||
Banks: 0.38% | ||||||
ABN AMRO Bank NV (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.90%)ʊ± | 4.75 | 9-22-2027 | EUR | 3,300,000 | 3,031,584 | |
Deutsche Bank AG (3 Month EURIBOR+2.95%)± | 5.00 | 9-5-2030 | EUR | 7,000,000 | 7,380,426 | |
Nordea Bank Abp (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.00%)ʊ± | 3.50 | 3-12-2025 | EUR | 6,000,000 | 6,091,339 | |
16,503,349 | ||||||
Government securities: 0.07% | ||||||
Multi-national: 0.07% | ||||||
Banque Ouest Africaine de Developpement | 2.75 | 1-22-2033 | EUR | 4,000,000 | 3,107,749 | |
Industrial: 0.26% | ||||||
Engineering & construction: 0.14% | ||||||
Cellnex Finance Co. SA | 2.00 | 9-15-2032 | EUR | 3,400,000 | 2,926,465 | |
Infrastrutture Wireless Italiane SpA | 1.75 | 4-19-2031 | EUR | 3,800,000 | 3,478,330 | |
6,404,795 |
Interest rate | Maturity date | Principal | Value | |||
Packaging & containers: 0.12% | ||||||
Canpack SA/Canpack U.S. LLC144A | 2.38 % | 11-1-2027 | EUR | 5,500,000 | $5,099,159 | |
Utilities: 0.19% | ||||||
Electric: 0.19% | ||||||
RWE AG | 2.75 | 5-24-2030 | EUR | 8,330,000 | 8,367,187 | |
Total foreign corporate bonds and notes (Cost $103,523,615) | 98,690,552 | |||||
Foreign government bonds: 7.12% | ||||||
Brazil¤ | 0.00 | 1-1-2024 | BRL | 57,000,000 | 11,081,450 | |
Brazil¤ | 0.00 | 7-1-2024 | BRL | 60,000,000 | 11,106,612 | |
Brazil Notas do Tesouro Nacional | 10.00 | 1-1-2029 | BRL | 60,000,000 | 11,734,380 | |
Brazil Notas do Tesouro Nacional | 10.00 | 1-1-2025 | BRL | 8,600,000 | 1,722,524 | |
Brazil Notas do Tesouro Nacional | 10.00 | 1-1-2027 | BRL | 28,600,000 | 5,714,879 | |
French Republic | 0.75 | 2-25-2028 | EUR | 85,285,000 | 84,506,236 | |
Malaysia | 3.88 | 3-14-2025 | MYR | 64,915,000 | 14,108,567 | |
Spain¤ | 0.00 | 1-31-2028 | EUR | 45,255,000 | 42,818,689 | |
U.K. Gilts | 3.25 | 1-31-2033 | GBP | 111,525,000 | 129,342,501 | |
Total foreign government bonds (Cost $317,865,040) | 312,135,838 |
Shares | ||||||
Investment companies: 0.80% | ||||||
Exchange-traded funds: 0.80% | ||||||
Xtrackers USD High Yield Corporate Bond ETF | 1,009,400 | 34,925,240 | ||||
Total investment companies (Cost $34,188,311) | 34,925,240 |
Principal | ||||||
Loans: 0.39% | ||||||
Communications: 0.08% | ||||||
Media: 0.08% | ||||||
DirecTV Financing LLC (U.S. SOFR 1 Month+5.00%)± | 10.45 | 8-2-2027 | $ | 3,370,000 | 3,327,100 | |
Consumer, cyclical: 0.08% | ||||||
Airlines: 0.08% | ||||||
American Airlines, Inc. (U.S. SOFR 3 Month+4.75%)± | 10.34 | 4-20-2028 | 1,503,850 | 1,560,485 | ||
Mileage Plus Holdings LLC (3 Month LIBOR+5.25%)± | 10.76 | 6-21-2027 | 1,980,000 | 2,062,566 | ||
3,623,051 | ||||||
Consumer, non-cyclical: 0.13% | ||||||
Commercial services: 0.12% | ||||||
Geo Group, Inc. (U.S. SOFR 1 Month+7.13%)± | 12.46 | 3-23-2027 | 3,600,506 | 3,655,090 | ||
MPH Acquisition Holdings LLC (U.S. SOFR 3 Month+4.25%)± | 9.92 | 9-1-2028 | 1,969,925 | 1,848,045 | ||
5,503,135 | ||||||
Healthcare-services: 0.01% | ||||||
Surgery Center Holdings, Inc. (U.S. SOFR 1 Month+3.75%)± | 9.18 | 8-31-2026 | 404,670 | 405,148 |
Interest rate | Maturity date | Principal | Value | |||
Energy: 0.06% | ||||||
Pipelines: 0.06% | ||||||
GIP II Blue Holding LP (U.S. SOFR 1 Month+4.50%)± | 9.95 % | 9-29-2028 | $ | 2,532,041 | $2,536,953 | |
Industrial: 0.04% | ||||||
Building materials: 0.02% | ||||||
Standard Industries, Inc. (U.S. SOFR 1 Month+2.50%)± | 7.93 | 9-22-2028 | 869,097 | 869,367 | ||
Machinery-diversified: 0.02% | ||||||
Vertical U.S. Newco, Inc. (U.S. SOFR 6 Month+3.50%)± | 9.38 | 7-30-2027 | 873,730 | 872,035 | ||
Total loans (Cost $16,861,381) | 17,136,789 | |||||
Municipal obligations: 0.16% | ||||||
California: 0.04% | ||||||
Transportation revenue: 0.04% | ||||||
Alameda Corridor Transportation Authority Series B (Ambac Insured)¤ | 0.00 | 10-1-2028 | 2,115,000 | 1,610,888 | ||
Illinois: 0.08% | ||||||
GO revenue: 0.04% | ||||||
Will County Community High School District No. 210 Lincoln- Way CAB (AGM Insured)¤ | 0.00 | 1-1-2025 | 1,820,000 | 1,722,973 | ||
Housing revenue: 0.04% | ||||||
Metropolitan Pier & Exposition Authority (AGM Insured)¤ | 0.00 | 6-15-2026 | 1,975,000 | 1,771,520 | ||
Tax revenue: 0.00% | ||||||
Metropolitan Pier & Exposition Authority Series B CAB¤ | 0.00 | 12-15-2051 | 765,000 | 181,861 | ||
3,676,354 | ||||||
Kansas: 0.00% | ||||||
Health revenue: 0.00% | ||||||
Kansas Development Finance Authority Village Shalom Obligated Group Series B | 4.00 | 11-15-2025 | 90,000 | 85,005 | ||
Pennsylvania: 0.04% | ||||||
Housing revenue: 0.04% | ||||||
Commonwealth Financing Authority Commonwealth of Pennsylvania Department of Education Series A | 4.14 | 6-1-2038 | 1,995,000 | 1,784,384 | ||
Total municipal obligations (Cost $7,258,017) | 7,156,631 | |||||
Non-agency mortgage-backed securities: 5.53% | ||||||
Agate Bay Mortgage Trust Series 2015-3 Class B3144A±± | 3.54 | 4-25-2045 | 812,854 | 716,882 | ||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 | 6-25-2065 | 908,853 | 839,222 | ||
Benchmark Mortgage Trust Series 2022-B33 Class A5 | 3.46 | 3-15-2055 | 13,546,000 | 11,720,587 | ||
Benchmark Mortgage Trust Series 2022-B35 Class A5±± | 4.59 | 5-15-2055 | 21,565,000 | 19,455,326 | ||
BMO Mortgage Trust Series 2023-C4 Class A5±± | 5.12 | 2-15-2056 | 7,705,000 | 7,519,508 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1144A | 2.72 | 11-25-2059 | 601,967 | 577,027 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
BX Trust Series 2019-OC11 Class A144A | 3.20 % | 12-9-2041 | $ | 4,975,000 | $4,271,492 | |
BX Trust Series 2021-ARIA Class A (U.S. SOFR 1 Month+1.01%)144A± | 6.32 | 10-15-2036 | 3,680,000 | 3,585,331 | ||
BX Trust Series 2021-ARIA Class D (U.S. SOFR 1 Month+2.01%)144A± | 7.32 | 10-15-2036 | 8,035,000 | 7,621,651 | ||
BX Trust Series 2022-CLS Class C144A | 6.79 | 10-13-2027 | 1,000,000 | 899,904 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A144A±± | 4.00 | 10-25-2068 | 305,767 | 301,287 | ||
CD Mortgage Trust Series 2017-CD6 Class A5 | 3.46 | 11-13-2050 | 1,035,000 | 941,325 | ||
CFMT LLC Series 2021-HB7 Class M2144A±± | 2.68 | 10-27-2031 | 5,750,000 | 5,267,640 | ||
CHNGE Mortgage Trust Series 2022-1 Class A1144A±± | 3.01 | 1-25-2067 | 6,136,362 | 5,469,052 | ||
CHNGE Mortgage Trust Series 2023-3 Class A1144A | 7.10 | 7-25-2058 | 2,243,674 | 2,236,988 | ||
CHNGE Mortgage Trust Series 2023-4 Class A1144A | 7.57 | 9-25-2058 | 7,645,000 | 7,655,346 | ||
COLT Mortgage Loan Trust Series 2022-7 Class A1144A | 5.16 | 4-25-2067 | 6,060,225 | 5,922,151 | ||
CRSO Trust Series 2023-BRND Class A144A | 7.12 | 7-10-2028 | 17,995,000 | 18,112,290 | ||
CSMC Trust Series 2013-IVR2 Class B4144A±± | 3.39 | 4-25-2043 | 705,524 | 624,105 | ||
CSMC Trust Series 2021-AFC1 Class A2144A±± | 1.07 | 3-25-2056 | 5,171,763 | 3,884,353 | ||
CSMLT Trust Series 2015-1 Class B4144A±± | 3.80 | 5-25-2045 | 2,370,737 | 2,150,635 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (U.S. SOFR 1 Month+1.18%)144A± | 6.49 | 12-19-2030 | 582,684 | 578,646 | ||
FIGRE Trust Series 2023-HE2 Class A | 6.51 | 5-25-2053 | 10,100,148 | 10,115,160 | ||
Financial Asset Securitization Inc. Series 1997-NAM2 Class B2†±± | 8.00 | 7-25-2027 | 15,908 | 2 | ||
FREED Mortgage Trust Series 2022-HE1 Class A144A | 7.00 | 10-25-2037 | 9,586,548 | 9,565,795 | ||
FREMF Mortgage Trust Series 2020-KF76 Class B (30 Day Average U.S. SOFR+2.86%)144A± | 7.97 | 1-25-2030 | 2,010,927 | 1,866,363 | ||
GCAT Trust Series 2019-RPL1 Class A1144A±± | 2.65 | 10-25-2068 | 1,850,261 | 1,730,607 | ||
GS Mortgage Securities Trust Series 2017-GS7 Class A3 | 3.17 | 8-10-2050 | 990,000 | 894,436 | ||
GS Mortgage Securities Trust Series 2019-GSA1 Class C±± | 3.93 | 11-10-2052 | 500,000 | 373,421 | ||
GS Mortgage-Backed Securities Corp. Trust Series 2019-PJ2 Class A4144A±± | 4.00 | 11-25-2049 | 178,362 | 164,636 | ||
Homeward Opportunities Fund Trust Series 2020-2 Class A2144A±± | 2.64 | 5-25-2065 | 533,834 | 522,402 | ||
HPLY Trust Series 2019-HIT Class A (U.S. SOFR 1 Month+1.11%)144A± | 6.43 | 11-15-2036 | 2,274,077 | 2,256,833 | ||
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1144A±± | 1.38 | 10-25-2055 | 794,397 | 700,236 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1144A±± | 1.07 | 6-25-2056 | 1,429,868 | 1,166,293 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3144A±± | 4.45 | 5-25-2067 | 17,223,000 | 14,279,553 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (U.S. SOFR 1 Month+1.01%)144A± | 6.32 | 7-15-2036 | 84,888 | 84,253 | ||
JP Morgan Mortgage Trust Series 2013-3 Class B4144A±± | 3.35 | 7-25-2043 | 3,616,907 | 2,588,505 | ||
JP Morgan Mortgage Trust Series 2014-2 Class B4144A±± | 3.41 | 6-25-2029 | 1,215,000 | 1,017,593 | ||
JP Morgan Mortgage Trust Series 2020-1 Class A15144A±± | 3.50 | 6-25-2050 | 1,185,141 | 1,029,908 | ||
Med Trust Series 2021-MDLN Class B (U.S. SOFR 1 Month+1.56%)144A± | 6.87 | 11-15-2038 | 9,384,959 | 9,125,903 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
MFA Trust Series 2020-NQM3 Class A1144A±± | 1.01 % | 1-26-2065 | $ | 912,718 | $824,214 | |
MFA Trust Series 2020-NQM3 Class M1144A±± | 2.65 | 1-26-2065 | 2,650,000 | 2,176,434 | ||
MFA Trust Series 2021-NQM1 Class A2144A±± | 1.38 | 4-25-2065 | 2,701,653 | 2,365,246 | ||
MFA Trust Series 2022-NQM2 Class A1144A | 4.00 | 5-25-2067 | 6,674,474 | 6,284,082 | ||
Mill City Mortgage Loan Trust Series 2019-GS1 Class M2144A±± | 3.25 | 7-25-2059 | 4,592,000 | 3,734,499 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B±± | 3.31 | 9-15-2049 | 610,000 | 511,198 | ||
Morgan Stanley Capital I Trust Series 2014-150E Class A144A | 3.91 | 9-9-2032 | 6,695,000 | 5,274,253 | ||
New Residential Mortgage Loan Trust Series 2019-RPL3 Class M1144A±± | 3.25 | 7-25-2059 | 10,800,000 | 9,018,292 | ||
OBX Trust Series 2020-INV1 Class A21144A±± | 3.50 | 12-25-2049 | 1,615,850 | 1,404,766 | ||
OBX Trust Series 2022-NQM7 Class A1144A | 5.11 | 8-25-2062 | 4,891,892 | 4,772,016 | ||
Residential Mortgage Loan Trust Series 2020-1 Class M1144A±± | 3.24 | 1-26-2060 | 5,000,000 | 4,248,966 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2144A±± | 1.10 | 1-25-2065 | 862,426 | 779,138 | ||
SFAVE Commercial Mortgage Securities Trust Series 2015- 5AVE Class D144A±± | 4.53 | 1-5-2043 | 1,927,000 | 1,009,157 | ||
Shellpoint Co.-Originator Trust Series 2016-1 Class B2144A±± | 3.56 | 11-25-2046 | 4,773,489 | 4,153,513 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1144A±± | 1.92 | 11-25-2066 | 2,106,370 | 1,700,386 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2144A±± | 3.61 | 11-25-2060 | 2,455,701 | 2,404,733 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1144A±± | 2.75 | 6-25-2057 | 702,450 | 662,958 | ||
Towd Point Mortgage Trust Series 2019-4 Class M1144A±± | 3.50 | 10-25-2059 | 4,000,000 | 3,320,684 | ||
Towd Point Mortgage Trust Series 2019-4 Class M2144A±± | 3.75 | 10-25-2059 | 3,680,000 | 2,891,409 | ||
Towd Point Mortgage Trust Series 2020-1 Class A1144A±± | 2.71 | 1-25-2060 | 8,590,061 | 7,922,690 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 1,140,000 | 1,038,030 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (U.S. SOFR 1 Month+0.90%)144A± | 6.21 | 2-15-2032 | 2,545,036 | 2,517,749 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 1,849,364 | 1,626,977 | ||
Verus Securitization Trust Series 2022-4 Class A1144A | 4.47 | 4-25-2067 | 4,107,464 | 3,918,359 | ||
Total non-agency mortgage-backed securities (Cost $262,401,947) | 242,392,396 | |||||
U.S. Treasury securities: 13.62% | ||||||
U.S. Treasury Bonds | 2.00 | 11-15-2041 | 50,835,000 | 35,570,600 | ||
U.S. Treasury Bonds | 3.00 | 2-15-2049 | 32,945,000 | 26,151,381 | ||
U.S. Treasury Bonds | 3.00 | 8-15-2052 | 51,060,000 | 40,690,432 | ||
U.S. Treasury Bonds | 3.13 | 5-15-2048 | 65,580,000 | 53,263,256 | ||
U.S. Treasury Bonds | 3.25 | 5-15-2042 | 3,410,000 | 2,911,953 | ||
U.S. Treasury Bonds | 3.63 | 2-15-2053 | 14,560,000 | 13,117,650 | ||
U.S. Treasury Bonds## | 3.63 | 5-15-2053 | 79,600,000 | 71,789,250 | ||
U.S. Treasury Bonds | 3.88 | 2-15-2043 | 42,920,000 | 39,935,719 | ||
U.S. Treasury Bonds | 4.00 | 11-15-2052 | 13,110,000 | 12,649,614 | ||
U.S. Treasury Bonds | 4.13 | 8-15-2053 | 4,385,000 | 4,326,077 | ||
U.S. Treasury Notes | 2.25 | 1-31-2024 | 64,000,000 | 63,170,000 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Notes | 3.38 % | 5-15-2033 | $ | 3,080,000 | $2,901,456 | |
U.S. Treasury Notes | 3.75 | 5-31-2030 | 22,075,000 | 21,479,147 | ||
U.S. Treasury Notes | 3.75 | 6-30-2030 | 22,645,000 | 22,032,877 | ||
U.S. Treasury Notes | 3.88 | 8-15-2033 | 1,775,000 | 1,743,383 | ||
U.S. Treasury Notes | 4.00 | 6-30-2028 | 11,725,000 | 11,584,850 | ||
U.S. Treasury Notes## | 4.13 | 7-31-2028 | 99,890,000 | 99,304,706 | ||
U.S. Treasury Notes | 4.63 | 6-30-2025 | 61,815,000 | 61,472,120 | ||
U.S. Treasury STRIPS¤ | 0.00 | 5-15-2040 | 20,515,000 | 9,711,407 | ||
U.S. Treasury STRIPS¤ | 0.00 | 5-15-2044 | 9,270,000 | 3,613,483 | ||
Total U.S. Treasury securities (Cost $633,784,889) | 597,419,361 | |||||
Yankee corporate bonds and notes: 7.30% | ||||||
Basic materials: 0.15% | ||||||
Chemicals: 0.15% | ||||||
Braskem Netherlands Finance BV144A | 7.25 | 2-13-2033 | 7,175,000 | 6,797,102 | ||
Communications: 0.68% | ||||||
Internet: 0.22% | ||||||
Alibaba Group Holding Ltd. | 3.15 | 2-9-2051 | 4,135,000 | 2,502,645 | ||
Prosus NV144A | 3.83 | 2-8-2051 | 3,000,000 | 1,707,166 | ||
Prosus NV144A | 4.03 | 8-3-2050 | 1,565,000 | 928,637 | ||
Prosus NV144A | 4.99 | 1-19-2052 | 3,000,000 | 2,024,151 | ||
Tencent Holdings Ltd.144A | 3.68 | 4-22-2041 | 3,250,000 | 2,375,433 | ||
9,538,032 | ||||||
Telecommunications: 0.46% | ||||||
British Telecommunications PLC144A | 3.25 | 11-8-2029 | 5,000,000 | 4,409,189 | ||
Colombia Telecomunicaciones SA ESP144A | 4.95 | 7-17-2030 | 5,000,000 | 3,868,684 | ||
Rogers Communications, Inc. | 4.55 | 3-15-2052 | 11,975,000 | 9,278,855 | ||
Telefonica Emisiones SA | 5.21 | 3-8-2047 | 3,485,000 | 2,920,794 | ||
20,477,522 | ||||||
Consumer, cyclical: 0.38% | ||||||
Airlines: 0.10% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C144A | 10.50 | 7-15-2026 | 4,000,000 | 4,339,400 | ||
Entertainment: 0.21% | ||||||
Genm Capital Labuan Ltd.144A | 3.88 | 4-19-2031 | 11,400,000 | 9,110,068 | ||
Leisure time: 0.07% | ||||||
Royal Caribbean Cruises Ltd.144A | 11.63 | 8-15-2027 | 3,000,000 | 3,268,877 | ||
Consumer, non-cyclical: 0.45% | ||||||
Agriculture: 0.17% | ||||||
Viterra Finance BV144A | 4.90 | 4-21-2027 | 7,615,000 | 7,367,728 | ||
Pharmaceuticals: 0.28% | ||||||
Perrigo Finance Unlimited Co. | 4.90 | 12-15-2044 | 1,500,000 | 1,143,646 |
Interest rate | Maturity date | Principal | Value | |||
Pharmaceuticals (continued) | ||||||
Pfizer Investment Enterprises Pte. Ltd. | 5.30 % | 5-19-2053 | $ | 4,910,000 | $4,911,786 | |
Teva Pharmaceutical Finance Netherlands III BV | 8.13 | 9-15-2031 | 6,000,000 | 6,356,844 | ||
12,412,276 | ||||||
Energy: 0.66% | ||||||
Oil & gas: 0.25% | ||||||
BP Capital Markets PLC (5 Year Treasury Constant Maturity+4.40%)ʊ± | 4.88 | 3-22-2030 | 4,950,000 | 4,482,791 | ||
Petroleos Mexicanos | 6.70 | 2-16-2032 | 2,650,000 | 2,003,826 | ||
QatarEnergy144A | 3.13 | 7-12-2041 | 6,000,000 | 4,408,128 | ||
10,894,745 | ||||||
Pipelines: 0.41% | ||||||
Enbridge, Inc. | 5.70 | 3-8-2033 | 14,500,000 | 14,506,685 | ||
Galaxy Pipeline Assets Bidco Ltd.144A | 2.16 | 3-31-2034 | 4,431,065 | 3,719,400 | ||
18,226,085 | ||||||
Financial: 3.92% | ||||||
Banks: 2.35% | ||||||
ABN AMRO Bank NV144A | 4.75 | 7-28-2025 | 1,800,000 | 1,747,735 | ||
Banco Industrial SA (5 Year Treasury Constant Maturity+4.44%)144A± | 4.88 | 1-29-2031 | 1,500,000 | 1,391,550 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity+4.64%)144Aʊ± | 5.88 | 1-24-2027 | 4,250,000 | 3,741,632 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity+4.97%)144Aʊ± | 6.75 | 9-27-2024 | 1,565,000 | 1,530,591 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (5 Year Treasury Constant Maturity+3.00%)144A± | 5.95 | 10-1-2028 | 1,700,000 | 1,682,074 | ||
Banco Santander SA (1 Year Treasury Constant Maturity+0.45%)± | 5.74 | 6-30-2024 | 9,000,000 | 8,972,313 | ||
BNP Paribas SA (5 Year Treasury Constant Maturity+4.90%)144Aʊ± | 7.75 | 8-16-2029 | 5,400,000 | 5,241,348 | ||
Credit Suisse Group AG (U.S. SOFR+1.73%)144A± | 3.09 | 5-14-2032 | 4,695,000 | 3,869,081 | ||
Credit Suisse Group AG (U.S. SOFR+3.70%)144A± | 6.44 | 8-11-2028 | 4,200,000 | 4,276,787 | ||
Danske Bank AS144A | 5.38 | 1-12-2024 | 3,205,000 | 3,192,785 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+1.75%)144A± | 4.30 | 4-1-2028 | 10,000,000 | 9,406,965 | ||
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year+2.55%)± | 4.88 | 12-1-2032 | 1,750,000 | 1,534,743 | ||
Federation des Caisses Desjardins du Quebec144A | 5.70 | 3-14-2028 | 11,145,000 | 11,160,949 | ||
HSBC Holdings PLC (U.S. SOFR+0.71%)± | 0.98 | 5-24-2025 | 4,200,000 | 4,036,809 | ||
HSBC Holdings PLC (U.S. SOFR 3 Month+1.87%)± | 3.97 | 5-22-2030 | 4,670,000 | 4,203,968 | ||
Macquarie Bank Ltd. (5 Year Treasury Constant Maturity+1.70%)144A± | 3.05 | 3-3-2036 | 8,875,000 | 6,782,468 | ||
National Australia Bank Ltd. (5 Year Treasury Constant Maturity+1.70%)144A± | 3.35 | 1-12-2037 | 8,835,000 | 6,910,030 | ||
NatWest Markets plc144A | 1.60 | 9-29-2026 | 4,000,000 | 3,532,709 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
UBS Group AG (1 Year Treasury Constant Maturity+0.85%)144A± | 1.49 % | 8-10-2027 | $ | 10,800,000 | $9,496,845 | |
UBS Group AG (1 Year Treasury Constant Maturity+2.05%)144A± | 4.70 | 8-5-2027 | 4,480,000 | 4,343,039 | ||
UBS Group AG (5 Year Treasury Constant Maturity+3.40%)144Aʊ± | 4.88 | 2-12-2027 | 3,940,000 | 3,285,960 | ||
Unicredit SpA (5 Year Treasury Constant Maturity+4.75%)144A± | 5.46 | 6-30-2035 | 3,000,000 | 2,605,019 | ||
102,945,400 | ||||||
Diversified financial services: 0.51% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 2.45 | 10-29-2026 | 11,015,000 | 9,910,709 | ||
Avolon Holdings Funding Ltd.144A | 2.75 | 2-21-2028 | 2,000,000 | 1,720,924 | ||
Avolon Holdings Funding Ltd.144A | 5.50 | 1-15-2026 | 2,515,000 | 2,448,484 | ||
CI Financial Corp. | 4.10 | 6-15-2051 | 13,490,000 | 8,163,061 | ||
Unifin Financiera SAB de CV144A† | 9.88 | 1-28-2029 | 2,350,000 | 117,500 | ||
22,360,678 | ||||||
Insurance: 0.69% | ||||||
Allianz SE (5 Year Treasury Constant Maturity+3.23%)144A±%% | 6.35 | 9-6-2053 | 17,600,000 | 17,624,640 | ||
Nippon Life Insurance Co. (5 Year Treasury Constant Maturity+2.60%)144A± | 2.90 | 9-16-2051 | 2,000,000 | 1,611,412 | ||
Swiss Re Finance Luxembourg SA (5 Year Treasury Constant Maturity+3.58%)144A± | 5.00 | 4-2-2049 | 11,700,000 | 11,056,500 | ||
30,292,552 | ||||||
Private equity: 0.11% | ||||||
Brookfield Finance, Inc. | 3.50 | 3-30-2051 | 7,365,000 | 4,805,799 | ||
Savings & loans: 0.26% | ||||||
Nationwide Building Society144A | 4.85 | 7-27-2027 | 11,630,000 | 11,351,472 | ||
Government securities: 0.21% | ||||||
Multi-national: 0.21% | ||||||
African Export-Import Bank144A | 3.80 | 5-17-2031 | 2,600,000 | 2,095,704 | ||
Banque Ouest Africaine de Developpement144A | 5.00 | 7-27-2027 | 7,760,000 | 6,974,300 | ||
9,070,004 | ||||||
Industrial: 0.23% | ||||||
Engineering & construction: 0.07% | ||||||
Cellnex Finance Co. SA144A | 3.88 | 7-7-2041 | 4,120,000 | 2,928,990 | ||
Trucking & leasing: 0.16% | ||||||
Fly Leasing Ltd.144A | 7.00 | 10-15-2024 | 2,285,000 | 2,038,459 | ||
SMBC Aviation Capital Finance DAC144A | 5.45 | 5-3-2028 | 5,245,000 | 5,170,560 | ||
7,209,019 |
Interest rate | Maturity date | Principal | Value | |||
Technology: 0.32% | ||||||
Semiconductors: 0.32% | ||||||
Renesas Electronics Corp.144A | 2.17 % | 11-25-2026 | $ | 15,635,000 | $13,882,997 | |
Utilities: 0.30% | ||||||
Electric: 0.30% | ||||||
Comision Federal de Electricidad144A | 3.35 | 2-9-2031 | 10,565,000 | 8,378,884 | ||
Comision Federal de Electricidad144A | 3.88 | 7-26-2033 | 5,985,000 | 4,645,745 | ||
13,024,629 | ||||||
Total yankee corporate bonds and notes (Cost $354,332,509) | 320,303,375 | |||||
Yankee government bonds: 1.12% | ||||||
Argentinaøø | 0.75 | 7-9-2030 | 1,703,981 | 568,738 | ||
Argentina | 1.00 | 7-9-2029 | 206,310 | 66,452 | ||
Argentinaøø | 3.63 | 7-9-2035 | 1,817,118 | 535,490 | ||
Bermuda144A | 3.38 | 8-20-2050 | 1,080,000 | 715,932 | ||
Bermuda144A | 5.00 | 7-15-2032 | 4,320,000 | 4,140,720 | ||
Colombia | 3.13 | 4-15-2031 | 4,800,000 | 3,693,503 | ||
Corp. Financiera de Desarrollo SA (3 Month LIBOR+5.61%)144A± | 5.25 | 7-15-2029 | 1,185,000 | 1,153,908 | ||
Dominican Republic144A | 4.50 | 1-30-2030 | 1,000,000 | 870,947 | ||
Dominican Republic144A | 4.88 | 9-23-2032 | 1,800,000 | 1,525,032 | ||
Dominican Republic144A | 5.50 | 2-22-2029 | 800,000 | 746,931 | ||
Kenya144A | 7.00 | 5-22-2027 | 5,000,000 | 4,425,000 | ||
Mexico | 6.35 | 2-9-2035 | 8,700,000 | 9,023,451 | ||
Oman144A | 6.25 | 1-25-2031 | 1,700,000 | 1,718,870 | ||
Panama | 4.50 | 1-19-2063 | 8,000,000 | 5,705,481 | ||
Panama | 6.40 | 2-14-2035 | 9,785,000 | 10,031,216 | ||
Paraguay 144A | 5.40 | 3-30-2050 | 1,750,000 | 1,459,764 | ||
Provincia de Cordoba144A | 6.88 | 12-10-2025 | 1,484,437 | 1,246,927 | ||
Republic of Kenya144A | 8.25 | 2-28-2048 | 750,000 | 558,750 | ||
Senegal144A | 6.25 | 5-23-2033 | 750,000 | 611,858 | ||
Ukraine144A† | 7.38 | 9-25-2034 | 1,200,000 | 314,760 | ||
Total yankee government bonds (Cost $54,289,262) | 49,113,730 |
Yield | Shares | |||||
Short-term investments: 7.31% | ||||||
Investment companies: 5.42% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.26 | 237,608,541 | 237,608,541 |
Principal | ||||||
U.S. Treasury securities: 1.89% | ||||||
U.S. Treasury Bills☼ | 4.77 | 9-14-2023 | $ | 83,000,000 | 82,842,870 | |
Total short-term investments (Cost $320,454,784) | 320,451,411 | |||||
Total investments in securities (Cost $4,940,372,981) | 107.62 % | 4,718,987,251 | ||||
Other assets and liabilities, net | (7.62 ) | (334,020,635 ) | ||||
Total net assets | 100.00 % | $4,384,966,616 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
† | Non-income-earning security |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
øø | The interest rate is determined and reset by the issuer periodically depending upon the terms of the security. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
Abbreviations: | |
AGM | Assured Guaranty Municipal |
Ambac | Ambac Financial Group Incorporated |
BRL | Brazilian real |
CAB | Capital appreciation bond |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GBP | Great British pound |
GNMA | Government National Mortgage Association |
GO | General obligation |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
NPFGC | National Public Finance Guarantee Corporation |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $124,106,379 | $2,663,114,124 | $(2,549,611,962 ) | $0 | $0 | $237,608,541 | 237,608,541 | $8,725,650 |
Investments in affiliates no longer held at end of period | ||||||||
Securities Lending Cash Investments LLC | 58,279,333 | 383,099,034 | (441,378,161 ) | (206 ) | 0 | 0 | 0 | 472,200 1 |
$(206 ) | $0 | $237,608,541 | $9,197,850 |
1 | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
USD | 327,214,729 | EUR | 304,665,236 | Citibank N.A. | 9-29-2023 | $0 | $(3,529,791 ) |
USD | 4,384,224 | EUR | 4,000,000 | Citibank N.A. | 9-29-2023 | 41,825 | 0 |
USD | 4,932,252 | EUR | 4,500,000 | Citibank N.A. | 9-29-2023 | 47,053 | 0 |
USD | 9,859,501 | EUR | 9,000,000 | Citibank N.A. | 9-29-2023 | 89,103 | 0 |
EUR | 79,000,000 | USD | 88,795,210 | Citibank N.A. | 9-29-2023 | 0 | (3,032,826 ) |
USD | 4,189,673 | EUR | 3,800,000 | Citibank N.A. | 9-29-2023 | 64,394 | 0 |
USD | 13,019,235 | EUR | 11,800,000 | Citibank N.A. | 9-29-2023 | 209,157 | 0 |
EUR | 8,600,000 | USD | 9,400,308 | Citibank N.A. | 9-29-2023 | 0 | (64,150 ) |
USD | 88,787,244 | GBP | 68,760,000 | Citibank N.A. | 9-29-2023 | 1,672,268 | 0 |
GBP | 6,350,000 | USD | 8,098,419 | Citibank N.A. | 9-29-2023 | 0 | (53,333 ) |
USD | 5,086,372 | GBP | 4,000,000 | Citibank N.A. | 9-29-2023 | 18,601 | 0 |
JPY | 446,583,450 | EUR | 3,040,496 | Citibank N.A. | 9-29-2023 | 0 | (219,561 ) |
USD | 13,867,657 | MYR | 63,500,000 | Morgan Stanley Inc. | 9-29-2023 | 160,730 | 0 |
USD | 3,301,948 | EUR | 3,000,000 | Citibank N.A. | 10-2-2023 | 44,673 | 0 |
$2,347,804 | $(6,899,661 ) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
10-Year U.S. Treasury Notes | 290 | 12-19-2023 | $32,185,962 | $32,199,062 | $13,100 | $0 |
2-Year U.S. Treasury Notes | 3,914 | 12-29-2023 | 795,402,665 | 797,691,549 | 2,288,884 | 0 |
5-Year U.S. Treasury Notes | 3,482 | 12-29-2023 | 369,556,892 | 372,301,969 | 2,745,077 | 0 |
Short | ||||||
1-Year Euro-BOBL Futures | (207 ) | 9-7-2023 | (26,331,154 ) | (26,062,116 ) | 269,038 | 0 |
2-Year Euro | (67 ) | 9-7-2023 | (7,684,609 ) | (7,637,124 ) | 47,485 | 0 |
10-Year Euro | (227 ) | 9-7-2023 | (33,261,515 ) | (32,784,395 ) | 477,120 | 0 |
Ultra Long Term U.S. Treasury Bond | (88 ) | 12-19-2023 | (11,234,967 ) | (11,393,250 ) | 0 | (158,283 ) |
$5,840,704 | $(158,283 ) |
Reference index | Fixed rate received | Payment frequency | Maturity date | Notional amount | Value | Premiums paid (received) | Unrealized gains | Unrealized losses | |
Buy protection | |||||||||
Markit iTraxx Europe Crossover | 5.00% | Quarterly | 6-20-2026 | EUR | 4,000,000 | $254,820 | $338,858 | $0 | $(84,038 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $4,702,764,440) | $4,481,378,710 |
Investments in affiliated securities, at value (cost $237,608,541) | 237,608,541 |
Cash | 107,847 |
Cash at broker segregated for futures contracts | 11,524,000 |
Segregated cash for forward foreign currency contracts | 6,598,648 |
Segregated cash for swap contracts | 241,004 |
Segregated cash for when-issued securities | 360,000 |
Foreign currency, at value (cost $14,872) | 7,887 |
Receivable for interest | 29,262,600 |
Receivable for Fund shares sold | 23,215,582 |
Receivable for investments sold | 16,780,784 |
Unrealized gains on forward foreign currency contracts | 2,347,804 |
Receivable for daily variation margin on open futures contracts | 570,463 |
Principal paydown receivable | 30 |
Prepaid expenses and other assets | 499,414 |
Total assets | 4,810,503,314 |
Liabilities | |
Payable for when-issued transactions | 393,047,897 |
Payable for investments purchased | 15,801,615 |
Unrealized losses on forward foreign currency contracts | 6,899,661 |
Payable for Fund shares redeemed | 6,701,596 |
Cash collateral due to broker | 1,020,000 |
Management fee payable | 872,555 |
Payable for daily variation margin on open futures contracts | 371,574 |
Administration fees payable | 304,735 |
Payable for daily variation margin on centrally cleared swap contracts | 251,880 |
Distribution fee payable | 22,865 |
Trustees’ fees and expenses payable | 1,237 |
Accrued expenses and other liabilities | 241,083 |
Total liabilities | 425,536,698 |
Total net assets | $4,384,966,616 |
Net assets consist of | |
Paid-in capital | $4,851,774,178 |
Total distributable loss | (466,807,562 ) |
Total net assets | $4,384,966,616 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $295,535,877 |
Shares outstanding–Class A1 | 26,706,470 |
Net asset value per share–Class A | $11.07 |
Maximum offering price per share – Class A2 | $11.59 |
Net assets–Class C | $36,848,659 |
Shares outstanding–Class C1 | 3,331,233 |
Net asset value per share–Class C | $11.06 |
Net assets–Class R6 | $256,947,882 |
Shares outstanding–Class R61 | 23,182,629 |
Net asset value per share–Class R6 | $11.08 |
Net assets–Administrator Class | $137,623,541 |
Shares outstanding–Administrator Class1 | 12,459,437 |
Net asset value per share–Administrator Class | $11.05 |
Net assets–Institutional Class | $3,658,010,657 |
Shares outstanding–Institutional Class1 | 330,173,624 |
Net asset value per share–Institutional Class | $11.08 |
Investment income | |
Interest | $144,077,896 |
Income from affiliated securities | 8,911,539 |
Dividends | 1,060,846 |
Total investment income | 154,050,281 |
Expenses | |
Management fee | 13,787,429 |
Administration fees | |
Class A | 405,909 |
Class C | 54,112 |
Class R6 | 54,317 |
Administrator Class | 135,587 |
Institutional Class | 2,220,984 |
Shareholder servicing fees | |
Class A | 641,464 |
Class C | 85,512 |
Administrator Class | 338,966 |
Distribution fee | |
Class C | 256,535 |
Custody and accounting fees | 250,388 |
Professional fees | 94,911 |
Registration fees | 187,876 |
Shareholder report expenses | 254,899 |
Trustees’ fees and expenses | 26,553 |
Other fees and expenses | 60,055 |
Total expenses | 18,855,497 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (5,521,240 ) |
Administrator Class | (30,818 ) |
Net expenses | 13,303,439 |
Net investment income | 140,746,842 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | $(110,663,739 ) |
Affiliated securities | (206 ) |
Foreign currency and foreign currency translations | (696,188 ) |
Forward foreign currency contracts | 458,951 |
Futures contracts | (30,663,673 ) |
Swap contracts | 84,441 |
Net realized losses on investments | (141,480,414 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (6,625,782 ) |
Foreign currency and foreign currency translations | 616,789 |
Forward foreign currency contracts | (9,097,546 ) |
Futures contracts | 5,427,444 |
Swap contracts | 403,829 |
Net change in unrealized gains (losses) on investments | (9,275,266 ) |
Net realized and unrealized gains (losses) on investments | (150,755,680 ) |
Net decrease in net assets resulting from operations | $(10,008,838 ) |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $140,746,842 | $57,223,283 | ||
Net realized losses on investments | (141,480,414 ) | (111,529,190 ) | ||
Net change in unrealized gains (losses) on investments | (9,275,266 ) | (263,597,439 ) | ||
Net decrease in net assets resulting from operations | (10,008,838 ) | (317,903,346 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (9,655,909 ) | (7,044,171 ) | ||
Class C | (1,016,439 ) | (680,832 ) | ||
Class R6 | (7,614,038 ) | (3,489,902 ) | ||
Administrator Class | (5,184,520 ) | (4,436,318 ) | ||
Institutional Class | (114,975,472 ) | (53,511,044 ) | ||
Total distributions to shareholders | (138,446,378 ) | (69,162,267 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 9,735,984 | 109,105,066 | 4,397,137 | 54,439,448 |
Class C | 1,167,020 | 13,078,492 | 958,213 | 12,136,398 |
Class R6 | 14,067,274 | 157,780,382 | 7,732,999 | 97,935,749 |
Administrator Class | 3,201,568 | 35,741,678 | 6,536,979 | 83,956,872 |
Institutional Class | 257,623,143 | 2,903,718,646 | 130,624,519 | 1,626,306,890 |
3,219,424,264 | 1,874,775,357 | |||
Reinvestment of distributions | ||||
Class A | 756,990 | 8,452,366 | 503,593 | 6,387,680 |
Class C | 85,548 | 955,716 | 47,708 | 607,468 |
Class R6 | 614,857 | 6,876,320 | 267,538 | 3,364,456 |
Administrator Class | 464,735 | 5,180,212 | 349,602 | 4,432,909 |
Institutional Class | 9,386,353 | 104,988,841 | 3,954,554 | 49,922,919 |
126,453,455 | 64,715,432 | |||
Payment for shares redeemed | ||||
Class A | (5,448,656 ) | (61,017,668 ) | (6,041,415 ) | (76,500,372 ) |
Class C | (767,269 ) | (8,596,609 ) | (1,093,929 ) | (13,588,305 ) |
Class R6 | (3,743,578 ) | (41,994,685 ) | (2,333,786 ) | (29,040,415 ) |
Administrator Class | (3,402,271 ) | (37,773,325 ) | (15,318,377 ) | (199,468,087 ) |
Institutional Class | (106,553,605 ) | (1,194,429,877 ) | (95,979,266 ) | (1,192,329,620 ) |
(1,343,812,164 ) | (1,510,926,799 ) | |||
Net increase in net assets resulting from capital share transactions | 2,002,065,555 | 428,563,990 | ||
Total increase in net assets | 1,853,610,339 | 41,498,377 | ||
Net assets | ||||
Beginning of period | 2,531,356,277 | 2,489,857,900 | ||
End of period | $4,384,966,616 | $2,531,356,277 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $11.57 | $13.52 | $13.77 | $13.09 | $12.27 |
Net investment income | 0.43 1 | 0.26 | 0.24 | 0.34 | 0.37 |
Net realized and unrealized gains (losses) on investments | (0.51 ) | (1.88 ) | 0.16 | 0.77 | 0.80 |
Total from investment operations | (0.08 ) | (1.62 ) | 0.40 | 1.11 | 1.17 |
Distributions to shareholders from | |||||
Net investment income | (0.42 ) | (0.22 ) | (0.27 ) | (0.36 ) | (0.35 ) |
Net realized gains | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.42 ) | (0.33 ) | (0.65 ) | (0.43 ) | (0.35 ) |
Net asset value, end of period | $11.07 | $11.57 | $13.52 | $13.77 | $13.09 |
Total return2 | (0.65 )% | (12.21 )% | 3.00 % | 8.72 % | 9.74 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.84 % | 0.85 % | 0.85 % | 0.88 % | 0.91 % |
Net expenses | 0.68 % | 0.69 % | 0.72 % | 0.72 % | 0.73 % |
Net investment income | 3.84 % | 2.03 % | 1.90 % | 2.60 % | 2.99 % |
Supplemental data | |||||
Portfolio turnover rate | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $295,536 | $250,553 | $308,270 | $264,366 | $245,879 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $11.56 | $13.51 | $13.77 | $13.09 | $12.26 |
Net investment income | 0.34 1 | 0.16 | 0.14 | 0.23 | 0.28 |
Net realized and unrealized gains (losses) on investments | (0.51 ) | (1.88 ) | 0.15 | 0.78 | 0.81 |
Total from investment operations | (0.17 ) | (1.72 ) | 0.29 | 1.01 | 1.09 |
Distributions to shareholders from | |||||
Net investment income | (0.33 ) | (0.12 ) | (0.17 ) | (0.26 ) | (0.26 ) |
Net realized gains | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.33 ) | (0.23 ) | (0.55 ) | (0.33 ) | (0.26 ) |
Net asset value, end of period | $11.06 | $11.56 | $13.51 | $13.77 | $13.09 |
Total return2 | (1.44 )% | (12.89 )% | 2.16 % | 7.85 % | 8.91 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.59 % | 1.60 % | 1.60 % | 1.63 % | 1.66 % |
Net expenses | 1.43 % | 1.45 % | 1.48 % | 1.48 % | 1.48 % |
Net investment income | 3.08 % | 1.28 % | 1.13 % | 1.85 % | 2.25 % |
Supplemental data | |||||
Portfolio turnover rate | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $36,849 | $32,889 | $39,628 | $28,342 | $18,195 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class R6 | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $11.58 | $13.54 | $13.79 | $13.11 | $12.28 |
Net investment income | 0.48 1 | 0.30 | 0.30 | 0.39 1 | 0.41 |
Net realized and unrealized gains (losses) on investments | (0.52 ) | (1.89 ) | 0.15 | 0.77 | 0.82 |
Total from investment operations | (0.04 ) | (1.59 ) | 0.45 | 1.16 | 1.23 |
Distributions to shareholders from | |||||
Net investment income | (0.46 ) | (0.26 ) | (0.32 ) | (0.41 ) | (0.40 ) |
Net realized gains | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.46 ) | (0.37 ) | (0.70 ) | (0.48 ) | (0.40 ) |
Net asset value, end of period | $11.08 | $11.58 | $13.54 | $13.79 | $13.11 |
Total return | (0.27 )% | (11.95 )% | 3.37 % | 9.10 % | 10.14 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.46 % | 0.47 % | 0.47 % | 0.50 % | 0.53 % |
Net expenses | 0.30 % | 0.31 % | 0.35 % | 0.35 % | 0.35 % |
Net investment income | 4.25 % | 2.50 % | 2.28 % | 2.98 % | 3.36 % |
Supplemental data | |||||
Portfolio turnover rate | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $256,948 | $141,833 | $89,048 | $83,260 | $62,522 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $11.54 | $13.49 | $13.75 | $13.07 | $12.25 |
Net investment income | 0.44 1 | 0.26 | 0.26 | 0.35 | 0.38 |
Net realized and unrealized gains (losses) on investments | (0.50 ) | (1.87 ) | 0.14 | 0.77 | 0.81 |
Total from investment operations | (0.06 ) | (1.61 ) | 0.40 | 1.12 | 1.19 |
Distributions to shareholders from | |||||
Net investment income | (0.43 ) | (0.23 ) | (0.28 ) | (0.37 ) | (0.37 ) |
Net realized gains | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.43 ) | (0.34 ) | (0.66 ) | (0.44 ) | (0.37 ) |
Net asset value, end of period | $11.05 | $11.54 | $13.49 | $13.75 | $13.07 |
Total return | (0.50 )% | (12.18 )% | 3.04 % | 8.85 % | 9.88 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.78 % | 0.79 % | 0.79 % | 0.82 % | 0.85 % |
Net expenses | 0.60 % | 0.61 % | 0.62 % | 0.62 % | 0.62 % |
Net investment income | 3.89 % | 2.09 % | 1.95 % | 2.71 % | 3.07 % |
Supplemental data | |||||
Portfolio turnover rate | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $137,624 | $140,779 | $278,294 | $80,099 | $57,316 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $11.58 | $13.53 | $13.79 | $13.11 | $12.28 |
Net investment income | 0.47 1 | 0.29 | 0.29 | 0.38 | 0.39 |
Net realized and unrealized gains (losses) on investments | (0.51 ) | (1.87 ) | 0.14 | 0.77 | 0.83 |
Total from investment operations | (0.04 ) | (1.58 ) | 0.43 | 1.15 | 1.22 |
Distributions to shareholders from | |||||
Net investment income | (0.46 ) | (0.26 ) | (0.31 ) | (0.40 ) | (0.39 ) |
Net realized gains | 0.00 | (0.11 ) | (0.38 ) | (0.07 ) | 0.00 |
Total distributions to shareholders | (0.46 ) | (0.37 ) | (0.69 ) | (0.47 ) | (0.39 ) |
Net asset value, end of period | $11.08 | $11.58 | $13.53 | $13.79 | $13.11 |
Total return | (0.32 )% | (11.92 )% | 3.24 % | 9.05 % | 10.17 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.51 % | 0.52 % | 0.52 % | 0.55 % | 0.58 % |
Net expenses | 0.35 % | 0.37 % | 0.40 % | 0.40 % | 0.40 % |
Net investment income | 4.21 % | 2.40 % | 2.19 % | 2.92 % | 3.29 % |
Supplemental data | |||||
Portfolio turnover rate | 254 % | 288 % | 194 % | 130 % | 89 % |
Net assets, end of period (000s omitted) | $3,658,011 | $1,965,302 | $1,774,619 | $836,162 | $524,743 |
1 | Calculated based upon average shares outstanding |
The Fund may enter into credit default swaps for hedging or speculative purposes to provide or receive a measure of protection against default on a referenced entity, obligation or index or a basket of single-name issuers or traded indexes. An index credit default swap references all the names in the index, and if a credit event is triggered, the credit event is settled based on that name’s weight in the index. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the protection seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring).
Gross unrealized gains | $13,986,198 |
Gross unrealized losses | (236,411,799 ) |
Net unrealized losses | $(222,425,601 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $1,427,331,452 | $0 | $1,427,331,452 |
Asset-backed securities | 0 | 448,065,145 | 0 | 448,065,145 |
Common stocks | ||||
Consumer discretionary | 360,340 | 0 | 0 | 360,340 |
Corporate bonds and notes | 0 | 843,504,991 | 0 | 843,504,991 |
Foreign corporate bonds and notes | 0 | 98,690,552 | 0 | 98,690,552 |
Foreign government bonds | 0 | 312,135,838 | 0 | 312,135,838 |
Investment companies | 34,925,240 | 0 | 0 | 34,925,240 |
Loans | 0 | 17,136,789 | 0 | 17,136,789 |
Municipal obligations | 0 | 7,156,631 | 0 | 7,156,631 |
Non-agency mortgage-backed securities | 0 | 242,392,396 | 0 | 242,392,396 |
U.S. Treasury securities | 584,094,471 | 13,324,890 | 0 | 597,419,361 |
Yankee corporate bonds and notes | 0 | 320,303,375 | 0 | 320,303,375 |
Yankee government bonds | 0 | 49,113,730 | 0 | 49,113,730 |
Short-term investments | ||||
Investment companies | 237,608,541 | 0 | 0 | 237,608,541 |
U.S. Treasury securities | 82,842,870 | 0 | 0 | 82,842,870 |
939,831,462 | 3,779,155,789 | 0 | 4,718,987,251 | |
Forward foreign currency contracts | 0 | 2,347,804 | 0 | 2,347,804 |
Futures contracts | 5,840,704 | 0 | 0 | 5,840,704 |
Total assets | $945,672,166 | $3,781,503,593 | $0 | $4,727,175,759 |
Liabilities | ||||
Forward foreign currency contracts | $0 | $6,899,661 | $0 | $6,899,661 |
Futures contracts | 158,283 | 0 | 0 | 158,283 |
Swap contracts | 0 | 84,038 | 0 | 84,038 |
Total liabilities | $158,283 | $6,983,699 | $0 | $7,141,982 |
Average daily net assets | Management fee |
First $500 million | 0.450 % |
Next $500 million | 0.425 |
Next $2 billion | 0.400 |
Next $2 billion | 0.375 |
Next $5 billion | 0.340 |
Over $10 billion | 0.320 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.67 % |
Class C | 1.42 |
Class R6 | 0.30 |
Administrator Class | 0.60 |
Institutional Class | 0.35 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$5,895,728,530 | $4,960,435,759 | $5,705,155,996 | $3,135,722,471 |
Forward foreign currency contracts | |
Average contract amounts to buy | $43,115,077 |
Average contract amounts to sell | 279,430,043 |
Futures contracts | |
Average notional balance on long futures | $642,621,818 |
Average notional balance on short futures | 84,334,692 |
Swap contracts | |
Average notional balance | $4,000,000 |
Interest rate risk | Credit risk | Foreign currency risk | Total | |
Asset derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $2,347,804 | $2,347,804 |
Futures contracts | 5,840,704 * | 0 | 0 | 5,840,704 |
$5,840,704 | $0 | $2,347,804 | $8,188,508 | |
Liability derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $6,899,661 | $6,899,661 |
Futures contracts | 158,283 * | 0 | 0 | 158,283 |
Swap contracts | 0 | 84,038 * | 0 | 84,038 |
$158,283 | $84,038 | $6,899,661 | $7,141,982 |
* | Amount represents the cumulative unrealized gains (losses) as reported in the table following the Portfolio of Investments. For futures contracts and centrally cleared swap contracts, only the current day’s variation margin as of August 31, 2023 is reported separately on the Statement of Assets and Liabilities. |
Interest rate risk | Credit risk | Foreign currency risk | Total | |
Net realized gains (losses) on derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $458,951 | $458,951 |
Futures contracts | (30,663,673 ) | 0 | 0 | (30,663,673 ) |
Swap contracts | 0 | 84,441 | 0 | 84,441 |
$(30,663,673 ) | $84,441 | $458,951 | $(30,120,281 ) | |
Net change in unrealized gains (losses) on derivatives | ||||
Forward foreign currency contracts | $0 | $0 | $(9,097,546 ) | $(9,097,546 ) |
Futures contracts | 5,427,444 | 0 | 0 | 5,427,444 |
Swap contracts | 0 | 403,829 | 0 | 403,829 |
$5,427,444 | $403,829 | $(9,097,546 ) | $(3,266,273 ) |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Citibank N.A. | $2,187,074 | $(2,187,074 ) | $0 | $0 |
Morgan Stanley Inc. | 160,730 | 0 | 0 | 160,730 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged1 | Net amount of liabilities |
Citibank N.A. | $6,899,661 | $(2,187,074 ) | $(4,712,587 ) | $0 |
1 | Collateral pledged within this table is limited to the collateral for the net transaction with the counterparty. |
Year ended August 31 | ||
2023 | 2022 | |
Ordinary income | $138,446,378 | $62,108,762 |
Long-term capital gain | 0 | 7,053,505 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$13,439,174 | $(222,457,322 ) | $(257,777,388 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR0059 08-23
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Michal Stanczyk |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SGVDX) | 8-31-1999 | -7.50 | -1.31 | 0.13 | -3.14 | -0.40 | 0.59 | 0.89 | 0.84 |
Class C (WGSCX) | 12-26-2002 | -4.77 | -1.14 | -0.01 | -3.77 | -1.14 | -0.01 | 1.64 | 1.59 |
Administrator Class (WGSDX) | 4-8-2005 | – | – | – | -2.84 | -0.19 | 0.81 | 0.84 | 0.64 |
Institutional Class (SGVIX) | 8-31-1999 | – | – | – | -2.69 | -0.03 | 0.97 | 0.57 | 0.48 |
Bloomberg U.S. Aggregate ex Credit Index3 | – | – | – | – | -1.99 | 0.09 | 1.04 | – | – |
Bloomberg U.S. Government Intermediate Bond Index4 | – | – | – | – | -0.13 | 0.77 | 0.98 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2023 (December 31, 2024 for Class A and C), to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.84% for Class A, 1.59% for Class C, 0.64% for Administrator Class and 0.48% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg U.S. Aggregate ex Credit Index is composed of the Bloomberg U.S. Government Index and the Bloomberg U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, and mortgage-backed securities. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Government Intermediate Bond Index is an unmanaged index composed of U.S. government securities with maturities in the one to 10-year range, including securities issued by the U.S. Treasury and U.S. government agencies. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. Aggregate ex Credit Index and Bloomberg U.S. Government Intermediate Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%. |
Ten largest holdings (%) as of August 31, 20231 | |
FNMA, 2.00%, 2-1-2052 | 6.79 |
Israel, 5.50%, 12-4-2023 | 2.84 |
Resolution Funding Corp. Principal STRIPS, 0.00%, 1-15-2030 | 2.17 |
U.S. Treasury Notes, 2.75%, 4-30-2027 | 2.14 |
U.S. Treasury Notes, 3.38%, 5-15-2033 | 1.98 |
FHLMC, 2.50%, 6-1-2051 | 1.91 |
FNMA, 4.50%, 9-1-2052 | 1.89 |
U.S. Treasury Principal STRIPS, 0.00%, 5-15-2039 | 1.88 |
GNMA, 2.50%, 4-20-2052 | 1.68 |
Private Export Funding Corp., 0.55%, 7-30-2024 | 1.67 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
services. You cannot invest directly in an index.
Portfolio composition as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long positions. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $998.11 | $4.28 | 0.85 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 | 0.85 % |
Class C | ||||
Actual | $1,000.00 | $994.35 | $8.04 | 1.60 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.14 | $8.13 | 1.60 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,000.17 | $3.23 | 0.64 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.98 | $3.26 | 0.64 % |
Institutional Class | ||||
Actual | $1,000.00 | $999.95 | $2.42 | 0.48 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.79 | $2.45 | 0.48 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 66.64% | ||||||
FHLB | 5.63 % | 3-14-2036 | $ | 6,020,000 | $6,566,644 | |
FHLMC¤ | 0.00 | 9-15-2036 | 2,500,000 | 1,350,084 | ||
FHLMC | 2.50 | 9-1-2050 | 1,157,416 | 962,610 | ||
FHLMC | 2.50 | 6-1-2051 | 12,722,839 | 10,581,798 | ||
FHLMC | 2.50 | 11-1-2051 | 9,414,469 | 7,880,199 | ||
FHLMC | 2.50 | 12-1-2051 | 2,009,023 | 1,665,398 | ||
FHLMC | 3.00 | 6-1-2050 | 459,311 | 402,345 | ||
FHLMC | 3.00 | 7-1-2050 | 1,306,240 | 1,144,470 | ||
FHLMC | 3.00 | 8-1-2050 | 3,312,437 | 2,879,174 | ||
FHLMC | 3.50 | 8-1-2045 | 1,208,520 | 1,102,577 | ||
FHLMC | 3.50 | 11-1-2045 | 2,130,491 | 1,943,061 | ||
FHLMC | 3.50 | 12-1-2045 | 1,920,258 | 1,750,715 | ||
FHLMC | 4.00 | 6-1-2037 | 4,388,958 | 4,213,912 | ||
FHLMC | 4.00 | 11-1-2042 | 4,989,028 | 4,670,178 | ||
FHLMC | 4.00 | 6-1-2044 | 1,137,312 | 1,069,821 | ||
FHLMC | 4.00 | 5-1-2049 | 650,350 | 608,551 | ||
FHLMC | 4.00 | 9-1-2049 | 251,093 | 234,694 | ||
FHLMC | 4.50 | 3-1-2042 | 89,199 | 87,004 | ||
FHLMC | 4.50 | 9-1-2044 | 1,401,224 | 1,358,053 | ||
FHLMC | 4.50 | 9-1-2049 | 2,665,501 | 2,563,650 | ||
FHLMC | 5.00 | 6-1-2026 | 38,142 | 37,753 | ||
FHLMC | 5.00 | 8-1-2040 | 386,275 | 386,183 | ||
FHLMC | 5.00 | 7-1-2052 | 2,432,339 | 2,358,141 | ||
FHLMC | 5.00 | 9-1-2052 | 2,480,204 | 2,405,476 | ||
FHLMC | 5.50 | 7-1-2035 | 1,228,159 | 1,248,556 | ||
FHLMC | 5.50 | 12-1-2038 | 652,134 | 664,276 | ||
FHLMC | 5.50 | 3-1-2053 | 1,438,712 | 1,420,251 | ||
FHLMC | 6.00 | 10-1-2032 | 10,687 | 10,964 | ||
FHLMC | 6.00 | 1-1-2053 | 2,801,843 | 2,811,907 | ||
FHLMC | 6.50 | 9-1-2028 | 4,844 | 4,925 | ||
FHLMC | 6.50 | 7-1-2031 | 1 | 1 | ||
FHLMC | 7.00 | 12-1-2023 | 41 | 41 | ||
FHLMC | 7.00 | 12-1-2026 | 122 | 122 | ||
FHLMC | 7.00 | 4-1-2029 | 506 | 515 | ||
FHLMC | 7.00 | 5-1-2029 | 2,487 | 2,534 | ||
FHLMC | 7.00 | 4-1-2032 | 34,702 | 35,867 | ||
FHLMC | 7.50 | 11-1-2031 | 52,050 | 51,687 | ||
FHLMC | 7.50 | 4-1-2032 | 78,733 | 80,439 | ||
FHLMC | 8.00 | 6-1-2024 | 630 | 630 | ||
FHLMC | 8.00 | 8-1-2026 | 2,907 | 2,949 | ||
FHLMC | 8.00 | 11-1-2026 | 3,279 | 3,320 | ||
FHLMC | 8.00 | 11-1-2028 | 961 | 963 | ||
FHLMC | 8.50 | 12-1-2025 | 1,001 | 1,003 | ||
FHLMC | 8.50 | 5-1-2026 | 216 | 215 | ||
FHLMC | 8.50 | 8-1-2026 | 1,789 | 1,784 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K039 Class A2 | 3.30 | 7-25-2024 | 325,000 | 318,787 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates Series K075 Class A2±± | 3.65 % | 2-25-2028 | $ | 4,370,000 | $4,157,613 | |
FHLMC Multifamily Structured Pass-Through Certificates Series K153 Class A3±± | 3.12 | 10-25-2031 | 160,000 | 141,609 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KF80 Class AS (30 Day Average U.S. SOFR+0.51%)± | 5.61 | 6-25-2030 | 907,396 | 900,916 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KIR2 Class A1 | 2.75 | 3-25-2027 | 2,906,357 | 2,775,534 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KW03 Class A1 | 2.62 | 12-25-2026 | 2,489,340 | 2,415,004 | ||
FHLMC Structured Pass-Through Certificates Series T-15 Class A6 (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 11-25-2028 | 21,171 | 21,089 | ||
FHLMC Structured Pass-Through Certificates Series T-35 Class A (30 Day Average U.S. SOFR+0.39%)± | 5.68 | 9-25-2031 | 299,156 | 298,283 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A6 | 9.50 | 2-25-2042 | 483,638 | 528,857 | ||
FHLMC Structured Pass-Through Certificates Series T-55 Class 2A1±± | 3.27 | 3-25-2043 | 210,954 | 194,687 | ||
FHLMC Structured Pass-Through Certificates Series T-56 Class A4 | 6.00 | 5-25-2043 | 2,758,691 | 2,734,249 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 2A1±± | 3.81 | 7-25-2043 | 1,189,888 | 1,092,744 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 1A1 | 6.50 | 7-25-2043 | 630,408 | 642,579 | ||
FHLMC Structured Pass-Through Certificates Series T-62 Class 1A1 (12 Month Treasury Average+1.20%)± | 5.63 | 10-25-2044 | 449,938 | 407,786 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 1A1C±± | 4.07 | 3-25-2036 | 443,911 | 412,665 | ||
FHLMC Structured Pass-Through Certificates Series T-67 Class 2A1C±± | 4.13 | 3-25-2036 | 728,779 | 683,369 | ||
FHLMC Whole Loan Securities Trust Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 307,042 | 269,351 | ||
FHLMC (1 Year Treasury Constant Maturity+2.13%)± | 6.88 | 1-1-2026 | 5,425 | 5,325 | ||
FHLMC (1 Year Treasury Constant Maturity+2.16%)± | 4.84 | 10-1-2026 | 26,313 | 25,837 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.38 | 6-1-2032 | 3,072 | 3,037 | ||
FHLMC (11th District COFI+1.25%)± | 4.43 | 7-1-2032 | 131,838 | 127,341 | ||
FHLMC (12 Month LIBOR+1.66%)± | 4.84 | 6-1-2043 | 745,715 | 740,241 | ||
FHLMC (12 Month LIBOR+1.68%)± | 4.65 | 7-1-2038 | 442,695 | 447,759 | ||
FHLMC (12 Month LIBOR+1.91%)± | 4.16 | 9-1-2031 | 29,823 | 29,389 | ||
FHLMC (3 Year Treasury Constant Maturity+2.18%)± | 3.58 | 5-1-2026 | 1,753 | 1,727 | ||
FHLMC (30 Day Average U.S. SOFR+0.26%)± | 5.36 | 7-1-2031 | 3,013,000 | 2,979,590 | ||
FHLMC Series 1¤ | 0.00 | 11-15-2038 | 1,575,000 | 766,160 | ||
FHLMC Series 2733 Class FB (30 Day Average U.S. SOFR+0.71%)± | 5.90 | 10-15-2033 | 181,046 | 180,901 | ||
FHLMC Series 3070 Class FT (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 11-15-2035 | 327,979 | 324,815 | ||
FHLMC Series 3614 Class QB | 4.00 | 12-15-2024 | 137,186 | 135,322 | ||
FHLMC Series 3830 Class FD (30 Day Average U.S. SOFR+0.47%)± | 5.66 | 3-15-2041 | 143,589 | 141,789 | ||
FHLMC Series 4057 Class FN (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 12-15-2041 | 116,037 | 114,276 | ||
FHLMC Series 4068 Class FK (30 Day Average U.S. SOFR+0.41%)± | 5.60 | 6-15-2040 | 40,978 | 40,844 | ||
FHLMC Series 4093 Class FB (30 Day Average U.S. SOFR+0.46%)± | 5.65 | 7-15-2039 | 102,673 | 102,412 | ||
FHLMC Series 4159 Class AF (30 Day Average U.S. SOFR+1.29%)± | 6.48 | 12-15-2036 | 154,163 | 157,700 | ||
FHLMC Series 4218 Class DF (30 Day Average U.S. SOFR+0.36%)± | 5.55 | 7-15-2042 | 194,162 | 188,629 | ||
FHLMC Series 4409 Class MA | 3.00 | 1-15-2054 | 17,603 | 16,968 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC Series 4604 Class PA | 3.00 % | 1-15-2044 | $ | 50,802 | $50,219 | |
FHLMC Series 4620 Class AF (30 Day Average U.S. SOFR+0.55%)± | 4.54 | 11-15-2042 | 1,453,509 | 1,439,843 | ||
FHLMC Series 5198 Class FB (30 Day Average U.S. SOFR+0.25%)± | 2.87 | 6-15-2049 | 2,161,955 | 2,039,203 | ||
FNMA | 1.38 | 7-1-2030 | 3,931,655 | 3,205,649 | ||
FNMA | 1.65 | 6-1-2030 | 1,367,841 | 1,130,843 | ||
FNMA | 1.65 | 7-1-2030 | 2,361,365 | 1,936,016 | ||
FNMA | 1.66 | 7-1-2032 | 3,993,564 | 3,155,036 | ||
FNMA | 1.97 | 5-1-2030 | 4,307,140 | 3,647,410 | ||
FNMA | 2.00 | 2-1-2052 | 47,235,245 | 37,673,171 | ||
FNMA | 2.32 | 1-1-2026 | 3,920,983 | 3,686,650 | ||
FNMA | 2.35 | 2-1-2032 | 2,238,297 | 1,874,858 | ||
FNMA | 2.50 | 9-1-2050 | 362,071 | 303,654 | ||
FNMA | 2.50 | 12-1-2050 | 1,272,150 | 1,056,139 | ||
FNMA | 2.50 | 7-1-2051 | 1,823,535 | 1,511,012 | ||
FNMA | 2.50 | 10-1-2051 | 6,020,230 | 4,989,035 | ||
FNMA | 2.50 | 1-1-2052 | 2,981,056 | 2,475,889 | ||
FNMA | 2.51 | 9-1-2031 | 5,035,006 | 4,338,819 | ||
FNMA | 2.60 | 12-1-2023 | 1,816,677 | 1,794,963 | ||
FNMA | 2.65 | 2-1-2032 | 5,031,703 | 4,307,501 | ||
FNMA | 2.75 | 9-1-2031 | 883,537 | 762,699 | ||
FNMA | 2.86 | 7-1-2029 | 964,994 | 871,194 | ||
FNMA | 3.00 | 5-1-2027 | 216,754 | 208,676 | ||
FNMA | 3.00 | 6-1-2034 | 2,076,067 | 1,931,198 | ||
FNMA | 3.00 | 4-1-2045 | 29,752 | 26,304 | ||
FNMA | 3.00 | 11-1-2045 | 2,619,426 | 2,309,337 | ||
FNMA | 3.00 | 12-1-2045 | 6,237,513 | 5,510,894 | ||
FNMA | 3.00 | 12-1-2046 | 232,241 | 204,489 | ||
FNMA | 3.00 | 9-1-2050 | 3,308,121 | 2,876,108 | ||
FNMA | 3.00 | 4-1-2052 | 2,443,960 | 2,121,620 | ||
FNMA | 3.48 | 3-1-2029 | 865,526 | 811,630 | ||
FNMA | 3.50 | 4-1-2034 | 2,453,119 | 2,376,688 | ||
FNMA | 3.50 | 2-1-2043 | 16,582 | 15,271 | ||
FNMA | 3.50 | 2-1-2045 | 351,765 | 323,949 | ||
FNMA | 3.50 | 4-1-2045 | 1,553,905 | 1,417,990 | ||
FNMA | 3.50 | 8-1-2045 | 132,382 | 120,665 | ||
FNMA | 3.50 | 12-1-2045 | 579,810 | 528,975 | ||
FNMA | 3.50 | 2-1-2046 | 544,442 | 495,591 | ||
FNMA | 3.50 | 5-1-2052 | 5,673,980 | 5,075,231 | ||
FNMA | 3.86 | 3-1-2029 | 788,197 | 752,922 | ||
FNMA | 4.00 | 8-1-2037 | 2,000,835 | 1,920,809 | ||
FNMA | 4.00 | 4-1-2046 | 4,207,035 | 3,963,611 | ||
FNMA | 4.00 | 3-1-2047 | 997,579 | 941,920 | ||
FNMA | 4.00 | 9-1-2048 | 74,894 | 70,400 | ||
FNMA | 4.00 | 10-1-2052 | 2,970,678 | 2,742,230 | ||
FNMA | 4.38 | 7-1-2032 | 1,031,000 | 996,106 | ||
FNMA | 4.50 | 1-1-2026 | 5,148 | 5,043 | ||
FNMA | 4.50 | 10-1-2046 | 91,645 | 88,710 | ||
FNMA | 4.50 | 9-1-2049 | 761,685 | 733,058 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 4.50 % | 9-1-2052 | $ | 11,033,804 | $10,467,640 | |
FNMA | 4.50 | 11-1-2052 | 2,606,549 | 2,471,393 | ||
FNMA | 5.00 | 3-1-2034 | 168,505 | 168,390 | ||
FNMA | 5.00 | 8-1-2040 | 2,165,022 | 2,147,607 | ||
FNMA | 5.00 | 10-1-2040 | 203,096 | 202,959 | ||
FNMA | 5.00 | 1-1-2042 | 172,979 | 174,901 | ||
FNMA | 5.00 | 12-1-2048 | 232,613 | 228,023 | ||
FNMA | 5.50 | 11-1-2023 | 161 | 161 | ||
FNMA | 5.50 | 1-1-2025 | 702 | 698 | ||
FNMA | 5.50 | 9-1-2033 | 1,041,982 | 1,057,979 | ||
FNMA | 5.50 | 8-1-2035 | 281,997 | 287,174 | ||
FNMA | 5.50 | 1-1-2037 | 216,089 | 220,057 | ||
FNMA | 5.50 | 4-1-2040 | 554,557 | 564,282 | ||
FNMA | 5.50 | 2-1-2053 | 5,455,265 | 5,385,263 | ||
FNMA | 5.63 | 7-15-2037 | 1,225,000 | 1,370,098 | ||
FNMA | 6.00 | 3-1-2024 | 1,916 | 1,921 | ||
FNMA | 6.00 | 1-1-2028 | 236,005 | 236,611 | ||
FNMA | 6.00 | 2-1-2035 | 392,553 | 394,184 | ||
FNMA | 6.00 | 11-1-2037 | 171,598 | 176,602 | ||
FNMA | 6.00 | 7-1-2038 | 60,795 | 62,757 | ||
FNMA | 6.50 | 3-1-2028 | 5,473 | 5,446 | ||
FNMA | 6.50 | 12-1-2029 | 60,418 | 61,410 | ||
FNMA | 6.50 | 11-1-2031 | 12,632 | 12,839 | ||
FNMA | 6.50 | 7-1-2036 | 167,179 | 173,523 | ||
FNMA | 7.00 | 11-1-2026 | 1,002 | 998 | ||
FNMA | 7.00 | 1-1-2032 | 1,102 | 1,096 | ||
FNMA | 7.00 | 2-1-2032 | 24,606 | 25,310 | ||
FNMA | 7.00 | 10-1-2032 | 87,643 | 90,277 | ||
FNMA | 7.00 | 2-1-2034 | 1,307 | 1,332 | ||
FNMA | 7.00 | 4-1-2034 | 40,797 | 41,500 | ||
FNMA | 7.50 | 9-1-2031 | 29,534 | 30,156 | ||
FNMA | 7.50 | 2-1-2032 | 13,589 | 13,885 | ||
FNMA | 7.50 | 10-1-2037 | 309,835 | 322,376 | ||
FNMA | 8.00 | 6-1-2028 | 126 | 125 | ||
FNMA | 8.00 | 2-1-2030 | 14,196 | 14,160 | ||
FNMA | 8.00 | 7-1-2031 | 215,786 | 218,080 | ||
FNMA | 8.50 | 5-1-2026 | 7,817 | 7,805 | ||
FNMA | 8.50 | 7-1-2026 | 3,322 | 3,311 | ||
FNMA | 8.50 | 11-1-2026 | 12,999 | 12,954 | ||
FNMA | 8.50 | 12-1-2026 | 38,913 | 39,334 | ||
FNMA | 8.50 | 3-1-2027 | 283 | 283 | ||
FNMA | 9.00 | 1-1-2025 | 992 | 989 | ||
FNMA | 9.00 | 3-1-2025 | 567 | 565 | ||
FNMA | 9.00 | 7-1-2028 | 300 | 299 | ||
FNMA | 9.50 | 7-1-2028 | 1,052 | 1,049 | ||
FNMA Interest STRIPS Series 265 Class 2 | 9.00 | 3-25-2024 | 562 | 563 | ||
FNMA Principal STRIPS¤ | 0.00 | 8-6-2038 | 6,510,000 | 3,252,065 | ||
FNMA Principal STRIPS¤ | 0.00 | 7-15-2037 | 7,810,000 | 4,051,706 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 4.32 % | 11-1-2031 | $ | 62,986 | $62,003 | |
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.63 | 12-1-2034 | 138,311 | 135,160 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.84 | 12-1-2040 | 48,208 | 48,844 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.39 | 9-1-2035 | 106,422 | 106,740 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.34 | 6-1-2032 | 61,037 | 60,473 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 4.84 | 12-1-2040 | 15,023 | 14,785 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.42 | 9-1-2031 | 14,970 | 14,837 | ||
FNMA (1 Year Treasury Constant Maturity+2.42%)± | 5.08 | 10-1-2027 | 22,039 | 21,788 | ||
FNMA (1 Year Treasury Constant Maturity+2.47%)± | 4.59 | 7-1-2026 | 1,306 | 1,298 | ||
FNMA (11th District COFI+1.25%)± | 3.98 | 9-1-2027 | 57,095 | 55,940 | ||
FNMA (11th District COFI+1.26%)± | 4.21 | 5-1-2036 | 133,645 | 130,813 | ||
FNMA (11th District COFI+1.29%)± | 3.99 | 5-1-2036 | 299,437 | 288,725 | ||
FNMA (12 Month LIBOR+1.61%)± | 7.11 | 5-1-2046 | 527,801 | 533,208 | ||
FNMA (12 Month LIBOR+1.62%)± | 2.39 | 8-1-2050 | 1,395,209 | 1,241,818 | ||
FNMA (12 Month LIBOR+1.73%)± | 3.98 | 9-1-2036 | 155,367 | 154,087 | ||
FNMA (12 Month LIBOR+1.77%)± | 4.83 | 7-1-2044 | 69,078 | 70,301 | ||
FNMA (12 Month LIBOR+1.78%)± | 4.96 | 8-1-2036 | 434,205 | 440,387 | ||
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 339,099 | 342,879 | ||
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 375,592 | 388,349 | ||
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 98,752 | 103,955 | ||
FNMA Series 2002-5 Class F (30 Day Average U.S. SOFR+0.46%)± | 5.75 | 2-25-2032 | 55,568 | 55,468 | ||
FNMA Series 2002-T1 Class A3 | 7.50 | 11-25-2031 | 141,795 | 145,882 | ||
FNMA Series 2002-T12 Class A5±± | 4.75 | 10-25-2041 | 465,435 | 449,758 | ||
FNMA Series 2002-T16 Class A1 | 6.50 | 7-25-2042 | 842,554 | 852,577 | ||
FNMA Series 2002-T19 Class A1 | 6.50 | 7-25-2042 | 2,115,908 | 2,130,877 | ||
FNMA Series 2002-W4 Class A4 | 6.25 | 5-25-2042 | 288,682 | 289,378 | ||
FNMA Series 2003-T2 Class A1 (30 Day Average U.S. SOFR+0.39%)± | 5.68 | 3-25-2033 | 752,492 | 743,508 | ||
FNMA Series 2003-W1 Class 1A1±± | 4.80 | 12-25-2042 | 390,990 | 368,562 | ||
FNMA Series 2003-W11 Class A1±± | 5.72 | 6-25-2033 | 26,155 | 26,038 | ||
FNMA Series 2003-W3 Class 1A4±± | 4.08 | 8-25-2042 | 1,185,928 | 1,084,591 | ||
FNMA Series 2003-W5 Class A (1 Month LIBOR+0.11%)± | 5.51 | 4-25-2033 | 192,355 | 188,831 | ||
FNMA Series 2003-W6 Class 6A±± | 3.96 | 8-25-2042 | 513,904 | 488,556 | ||
FNMA Series 2003-W6 Class PT4±± | 8.35 | 10-25-2042 | 669,690 | 707,738 | ||
FNMA Series 2003-W8 Class PT1±± | 8.09 | 12-25-2042 | 248,296 | 251,680 | ||
FNMA Series 2003-W9 Class A (1 Month LIBOR+0.12%)± | 5.52 | 6-25-2033 | 46,529 | 44,119 | ||
FNMA Series 2004-T1 Class 1A2 | 6.50 | 1-25-2044 | 172,190 | 174,291 | ||
FNMA Series 2004-W1 Class 2A2 | 7.00 | 12-25-2033 | 550,431 | 569,207 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 284,306 | 294,130 | ||
FNMA Series 2005-71 Class DB | 4.50 | 8-25-2025 | 12,973 | 12,791 | ||
FNMA Series 2006-50 Class BF (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 6-25-2036 | 426,809 | 420,882 | ||
FNMA Series 2007-101 Class A2 (30 Day Average U.S. SOFR+0.36%)± | 4.77 | 6-27-2036 | 43,831 | 43,400 | ||
FNMA Series 2007-W10 Class 2A±± | 6.25 | 8-25-2047 | 131,785 | 129,461 | ||
FNMA Series 2008-17 Class DP | 4.75 | 2-25-2038 | 532,957 | 514,566 | ||
FNMA Series 2010-136 Class FA (30 Day Average U.S. SOFR+0.61%)± | 5.90 | 12-25-2040 | 509,790 | 495,304 | ||
FNMA Series 2011-110 Class FE (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 4-25-2041 | 41,330 | 41,062 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA Series 2011-128 Class FK (30 Day Average U.S. SOFR+0.46%)± | 5.75 % | 7-25-2041 | $ | 83,950 | $83,188 | |
FNMA Series 2013-114 Class LM | 4.00 | 3-25-2042 | 657,479 | 620,303 | ||
FNMA Series 2014-17 Class FE (30 Day Average U.S. SOFR+0.66%)± | 5.95 | 4-25-2044 | 993,613 | 963,671 | ||
FNMA Series 2014-20 Class TM±± | 4.50 | 4-25-2044 | 300,409 | 51,229 | ||
FNMA Series 2017-M2 Class A2±± | 2.90 | 2-25-2027 | 6,453,603 | 6,052,098 | ||
FNMA Series 2018-M1 Class A2±± | 3.09 | 12-25-2027 | 620,254 | 579,027 | ||
FNMA Series 2018-M13 Class A2±± | 3.87 | 9-25-2030 | 363,640 | 343,252 | ||
FNMA Series 2019-M5 Class A2 | 3.27 | 2-25-2029 | 5,084,057 | 4,738,077 | ||
FNMA Series G93-39 Class ZQ | 6.50 | 12-25-2023 | 11,437 | 11,381 | ||
GNMA%% | 2.00 | 9-21-2053 | 9,550,000 | 7,876,512 | ||
GNMA | 2.50 | 3-20-2052 | 4,692,816 | 3,993,346 | ||
GNMA | 2.50 | 4-20-2052 | 10,964,667 | 9,328,420 | ||
GNMA | 3.00 | 11-20-2045 | 2,810,139 | 2,526,063 | ||
GNMA | 3.00 | 4-20-2051 | 4,258,581 | 3,766,114 | ||
GNMA%% | 3.00 | 9-21-2053 | 2,665,000 | 2,343,014 | ||
GNMA | 3.50 | 12-20-2047 | 2,531,837 | 2,334,090 | ||
GNMA | 3.50 | 7-20-2051 | 2,102,825 | 1,917,253 | ||
GNMA | 4.00 | 11-15-2024 | 110,744 | 109,319 | ||
GNMA | 4.00 | 12-20-2047 | 1,726,164 | 1,633,037 | ||
GNMA | 4.25 | 6-20-2036 | 181,773 | 172,601 | ||
GNMA | 4.50 | 8-20-2049 | 388,691 | 373,262 | ||
GNMA | 4.50 | 7-20-2052 | 2,559,444 | 2,440,493 | ||
GNMA | 4.50 | 9-20-2052 | 1,104,324 | 1,052,970 | ||
GNMA | 4.50 | 3-20-2053 | 2,935,085 | 2,796,769 | ||
GNMA | 5.00 | 7-20-2040 | 384,108 | 385,603 | ||
GNMA | 5.00 | 9-20-2052 | 2,033,167 | 1,980,292 | ||
GNMA | 5.00 | 6-20-2053 | 2,888,586 | 2,811,046 | ||
GNMA | 5.50 | 4-20-2053 | 2,869,296 | 2,840,316 | ||
GNMA | 6.00 | 8-20-2034 | 38,196 | 37,776 | ||
GNMA%% | 6.00 | 9-21-2053 | 8,865,000 | 8,893,742 | ||
GNMA | 6.50 | 12-15-2025 | 2,466 | 2,499 | ||
GNMA | 6.50 | 5-15-2029 | 198 | 201 | ||
GNMA | 6.50 | 5-15-2031 | 518 | 525 | ||
GNMA | 6.50 | 9-20-2033 | 20,199 | 20,567 | ||
GNMA | 7.00 | 5-15-2026 | 410 | 409 | ||
GNMA | 7.00 | 3-15-2028 | 3,399 | 3,381 | ||
GNMA | 7.00 | 4-15-2031 | 447 | 444 | ||
GNMA | 7.00 | 8-15-2031 | 14,025 | 13,887 | ||
GNMA | 7.00 | 3-15-2032 | 10,682 | 10,556 | ||
GNMA | 8.00 | 12-15-2023 | 235 | 234 | ||
GNMA | 8.00 | 2-15-2024 | 24 | 24 | ||
GNMA Series 2005-23 Class IOƒ±± | 0.00 | 6-17-2045 | 539,384 | 1 | ||
GNMA Series 2006-32 Class XMƒ±± | 0.13 | 11-16-2045 | 2,148,335 | 22 | ||
GNMA Series 2008-22 Class XMƒ±± | 1.29 | 2-16-2050 | 4,945,706 | 95,713 | ||
GNMA Series 2010-158 Class EIƒ | 4.00 | 12-16-2025 | 840,276 | 18,836 | ||
GNMA Series 2012-H12 Class HD | 2.00 | 5-20-2062 | 17,824 | 16,182 | ||
GNMA Series 2018-H01 Class BF (U.S. SOFR 1 Month+0.51%)± | 5.62 | 1-20-2068 | 2,678,985 | 2,660,230 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA Series 2019-H06 Class HIƒ±± | 1.81 % | 4-20-2069 | $ | 2,656,807 | $68,751 | |
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 1-15-2030 | 16,245,000 | 12,069,385 | ||
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 4-15-2030 | 9,185,000 | 6,746,687 | ||
TVA | 4.25 | 9-15-2052 | 3,110,000 | 2,746,798 | ||
TVA | 4.88 | 1-15-2048 | 5,210,000 | 5,067,464 | ||
TVA Principal STRIPS¤ | 0.00 | 11-1-2025 | 5,650,000 | 5,085,575 | ||
TVA Principal STRIPS¤ | 0.00 | 6-15-2035 | 2,448,000 | 1,375,908 | ||
TVA Principal STRIPS¤ | 0.00 | 1-15-2048 | 1,000,000 | 284,793 | ||
U.S. International Development Finance Corp. Series AA-1¤ | 0.00 | 1-17-2026 | 2,000,000 | 2,019,305 | ||
Vendee Mortgage Trust Series 1995-1 Class 4±± | 7.73 | 2-15-2025 | 14,716 | 14,794 | ||
Vendee Mortgage Trust Series 1995-2C Class 3A | 8.79 | 6-15-2025 | 30,880 | 31,438 | ||
Total agency securities (Cost $403,165,295) | 370,059,908 | |||||
Asset-backed securities: 0.61% | ||||||
FirstKey Homes Trust Series 2021-SFR1 Class A144A | 1.54 | 8-17-2038 | 1,236,433 | 1,089,880 | ||
Navient Student Loan Trust Series 2019-2A Class A2 (30 Day Average U.S. SOFR+1.11%)144A± | 6.40 | 2-27-2068 | 2,323,830 | 2,283,568 | ||
Total asset-backed securities (Cost $3,558,689) | 3,373,448 | |||||
Corporate bonds and notes: 3.13% | ||||||
Consumer, non-cyclical: 0.45% | ||||||
Commercial services: 0.45% | ||||||
Rockefeller Foundation Series 2020 | 2.49 | 10-1-2050 | 4,000,000 | 2,498,115 | ||
Financial: 2.68% | ||||||
Diversified financial services: 2.01% | ||||||
GTP Acquisition Partners I LLC Series 2015-2 Class A144A | 3.48 | 6-16-2025 | 2,000,000 | 1,913,017 | ||
Private Export Funding Corp.144A | 0.55 | 7-30-2024 | 9,715,000 | 9,251,492 | ||
11,164,509 | ||||||
REITS: 0.67% | ||||||
American Tower Trust #1144A | 3.65 | 3-23-2028 | 4,000,000 | 3,705,711 | ||
Total corporate bonds and notes (Cost $19,856,957) | 17,368,335 | |||||
Non-agency mortgage-backed securities: 5.15% | ||||||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 | 6-25-2065 | 545,312 | 503,533 | ||
Arroyo Mortgage Trust Series 2019-1 Class A1144A±± | 3.81 | 1-25-2049 | 1,079,083 | 1,004,347 | ||
Benchmark Mortgage Trust Series 2018-B1 Class A4 | 3.40 | 1-15-2051 | 243,931 | 228,397 | ||
BRAVO Residential Funding Trust Series 2020-RPL1 Class A1144A±± | 2.50 | 5-26-2059 | 1,626,273 | 1,534,945 | ||
BX Trust Series 2019-OC11 Class A144A | 3.20 | 12-9-2041 | 3,030,000 | 2,601,532 | ||
CD Mortgage Trust Series 2017-CD6 Class A5 | 3.46 | 11-13-2050 | 2,340,000 | 2,128,214 | ||
COMM Mortgage Trust Series 2014-CR16 Class A3 | 3.78 | 4-10-2047 | 2,540,783 | 2,502,721 | ||
GS Mortgage Securities Trust Series 2014-GC24 Class A4 | 3.67 | 9-10-2047 | 3,830,950 | 3,741,533 | ||
JPMBB Commercial Mortgage Securities Trust Series 2015-C28 Class A4 | 3.23 | 10-15-2048 | 5,000,000 | 4,738,440 | ||
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1144A±± | 3.00 | 9-25-2059 | 2,231,142 | 2,051,551 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
New Residential Mortgage Loan Trust Series 2020-NQM2 Class A1144A±± | 1.65 % | 5-24-2060 | $ | 351,707 | $326,431 | |
Starwood Mortgage Residential Trust Series 2021-6 Class A1144A±± | 1.92 | 11-25-2066 | 3,771,212 | 3,044,345 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2144A±± | 3.61 | 11-25-2060 | 1,507,031 | 1,475,752 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 2,581,000 | 2,350,137 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 397,371 | 349,587 | ||
Total non-agency mortgage-backed securities (Cost $31,470,559) | 28,581,465 | |||||
U.S. Treasury securities: 19.49% | ||||||
U.S. Treasury Bonds | 2.00 | 11-15-2041 | 2,550,000 | 1,784,303 | ||
U.S. Treasury Bonds | 2.25 | 2-15-2052 | 1,070,000 | 721,832 | ||
U.S. Treasury Bonds | 3.00 | 8-15-2052 | 4,935,000 | 3,932,771 | ||
U.S. Treasury Bonds | 3.13 | 5-15-2048 | 6,980,000 | 5,669,069 | ||
U.S. Treasury Bonds | 3.63 | 2-15-2053 | 9,595,000 | 8,644,495 | ||
U.S. Treasury Bonds | 3.63 | 5-15-2053 | 1,730,000 | 1,560,244 | ||
U.S. Treasury Bonds | 3.75 | 11-15-2043 | 2,040,000 | 1,855,683 | ||
U.S. Treasury Bonds | 4.13 | 8-15-2053 | 7,770,000 | 7,665,591 | ||
U.S. Treasury Notes | 2.75 | 4-30-2027 | 12,595,000 | 11,888,007 | ||
U.S. Treasury Notes | 2.75 | 7-31-2027 | 1,225,000 | 1,153,175 | ||
U.S. Treasury Notes | 3.38 | 5-15-2033 | 11,650,000 | 10,974,664 | ||
U.S. Treasury Notes | 3.50 | 2-15-2033 | 9,578,000 | 9,121,548 | ||
U.S. Treasury Notes | 3.75 | 5-31-2030 | 4,260,000 | 4,145,013 | ||
U.S. Treasury Notes | 3.75 | 6-30-2030 | 945,000 | 919,456 | ||
U.S. Treasury Notes | 3.88 | 1-15-2026 | 8,560,000 | 8,398,163 | ||
U.S. Treasury Notes | 3.88 | 8-15-2033 | 2,065,000 | 2,028,217 | ||
U.S. Treasury Notes | 4.00 | 2-29-2028 | 8,385,000 | 8,281,825 | ||
U.S. Treasury Notes | 4.13 | 7-31-2028 | 5,610,000 | 5,577,129 | ||
U.S. Treasury Principal STRIPS¤ | 0.00 | 5-15-2039 | 20,000,000 | 10,463,462 | ||
U.S. Treasury STRIPS¤ | 0.00 | 5-15-2040 | 7,275,000 | 3,443,845 | ||
Total U.S. Treasury securities (Cost $118,625,920) | 108,228,492 | |||||
Yankee corporate bonds and notes: 0.45% | ||||||
Government securities: 0.45% | ||||||
Multi-national: 0.45% | ||||||
Inter-American Development Bank | 7.00 | 6-15-2025 | 2,000,000 | 2,060,009 | ||
International Bank for Reconstruction & Development Series C¤ | 0.00 | 3-11-2031 | 615,000 | 425,630 | ||
2,485,639 | ||||||
Total yankee corporate bonds and notes (Cost $2,658,394) | 2,485,639 | |||||
Yankee government bonds: 2.84% | ||||||
Israel | 5.50 | 12-4-2023 | 15,790,000 | 15,785,272 | ||
Total yankee government bonds (Cost $15,999,409) | 15,785,272 |
Yield | Shares | Value | ||||
Short-term investments: 4.33% | ||||||
Investment companies: 4.33% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.26 % | 24,023,931 | $24,023,931 | |||
Total short-term investments (Cost $24,023,931) | 24,023,931 | |||||
Total investments in securities (Cost $619,359,154) | 102.64 % | 569,906,490 | ||||
Other assets and liabilities, net | (2.64 ) | (14,644,795 ) | ||||
Total net assets | 100.00 % | $555,261,695 |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
Abbreviations: | |
COFI | Cost of Funds Index |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $43,810,728 | $329,208,848 | $(348,995,645 ) | $0 | $0 | $24,023,931 | 24,023,931 | $750,492 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
10-Year U.S. Treasury Notes | 9 | 12-19-2023 | $998,874 | $999,281 | $407 | $0 |
2-Year U.S. Treasury Notes | 598 | 12-29-2023 | 121,516,426 | 121,875,204 | 358,778 | 0 |
5-Year U.S. Treasury Notes | 725 | 12-29-2023 | 76,946,798 | 77,518,360 | 571,562 | 0 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Short | ||||||
U.S. Long Bond | (68 ) | 12-19-2023 | $(8,171,030 ) | $(8,274,750 ) | $0 | $(103,720 ) |
Ultra 10-Year U.S. Treasury Notes | (31 ) | 12-19-2023 | (3,563,514 ) | (3,599,391 ) | 0 | (35,877 ) |
Ultra Long Term U.S. Treasury Bond | (125 ) | 12-19-2023 | (15,958,760 ) | (16,183,594 ) | 0 | (224,834 ) |
$930,747 | $(364,431 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $595,335,223) | $545,882,559 |
Investments in affiliated securities, at value (cost $24,023,931) | 24,023,931 |
Cash | 1,288 |
Cash at broker segregated for futures contracts | 2,666,000 |
Receivable for interest | 2,223,753 |
Receivable for Fund shares sold | 450,747 |
Receivable for daily variation margin on open futures contracts | 117,664 |
Principal paydown receivable | 34,408 |
Prepaid expenses and other assets | 109,021 |
Total assets | 575,509,371 |
Liabilities | |
Payable for when-issued transactions | 19,049,492 |
Payable for Fund shares redeemed | 401,043 |
Dividends payable | 365,589 |
Management fee payable | 148,947 |
Payable for daily variation margin on open futures contracts | 118,749 |
Administration fees payable | 48,417 |
Trustees’ fees and expenses payable | 1,237 |
Distribution fee payable | 1,026 |
Accrued expenses and other liabilities | 113,176 |
Total liabilities | 20,247,676 |
Total net assets | $555,261,695 |
Net assets consist of | |
Paid-in capital | $658,741,635 |
Total distributable loss | (103,479,940 ) |
Total net assets | $555,261,695 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $165,440,972 |
Shares outstanding–Class A1 | 17,298,851 |
Net asset value per share–Class A | $9.56 |
Maximum offering price per share – Class A2 | $10.01 |
Net assets–Class C | $1,584,348 |
Shares outstanding–Class C1 | 165,668 |
Net asset value per share–Class C | $9.56 |
Net assets–Administrator Class | $71,787,159 |
Shares outstanding–Administrator Class1 | 7,509,691 |
Net asset value per share–Administrator Class | $9.56 |
Net assets–Institutional Class | $316,449,216 |
Shares outstanding–Institutional Class1 | 33,100,889 |
Net asset value per share–Institutional Class | $9.56 |
Investment income | |
Interest | $16,639,635 |
Income from affiliated securities | 750,492 |
Total investment income | 17,390,127 |
Expenses | |
Management fee | 2,370,910 |
Administration fees | |
Class A | 280,939 |
Class C | 2,751 |
Administrator Class | 76,539 |
Institutional Class | 218,358 |
Shareholder servicing fees | |
Class A | 440,699 |
Class C | 4,331 |
Administrator Class | 190,366 |
Distribution fee | |
Class C | 12,976 |
Custody and accounting fees | 30,960 |
Professional fees | 108,433 |
Registration fees | 45,906 |
Shareholder report expenses | 59,145 |
Trustees’ fees and expenses | 25,889 |
Other fees and expenses | 10,723 |
Total expenses | 3,878,925 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (315,334 ) |
Class A | (2,422 ) |
Administrator Class | (114,361 ) |
Institutional Class | (116,467 ) |
Net expenses | 3,330,341 |
Net investment income | 14,059,786 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (22,998,942 ) |
Futures contracts | (842,751 ) |
Net realized losses on investments | (23,841,693 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (8,898,200 ) |
Futures contracts | 605,545 |
Net change in unrealized gains (losses) on investments | (8,292,655 ) |
Net realized and unrealized gains (losses) on investments | (32,134,348 ) |
Net decrease in net assets resulting from operations | $(18,074,562 ) |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $14,059,786 | $9,261,287 | ||
Net realized losses on investments | (23,841,693 ) | (15,840,928 ) | ||
Net change in unrealized gains (losses) on investments | (8,292,655 ) | (64,246,074 ) | ||
Net decrease in net assets resulting from operations | (18,074,562 ) | (70,825,715 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (4,233,304 ) | (2,702,584 ) | ||
Class C | (28,397 ) | (10,895 ) | ||
Administrator Class | (1,987,567 ) | (1,343,333 ) | ||
Institutional Class | (7,695,817 ) | (4,534,056 ) | ||
Total distributions to shareholders | (13,945,085 ) | (8,590,868 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,276,603 | 12,457,472 | 1,408,891 | 15,372,202 |
Class C | 35,023 | 340,085 | 30,432 | 315,688 |
Administrator Class | 1,204,604 | 11,758,415 | 1,353,906 | 14,726,732 |
Institutional Class | 22,873,292 | 225,010,726 | 17,751,806 | 191,802,896 |
249,566,698 | 222,217,518 | |||
Reinvestment of distributions | ||||
Class A | 383,936 | 3,735,705 | 223,519 | 2,401,606 |
Class C | 2,473 | 24,064 | 883 | 9,353 |
Administrator Class | 200,913 | 1,954,695 | 122,729 | 1,319,682 |
Institutional Class | 550,772 | 5,358,154 | 314,703 | 3,374,424 |
11,072,618 | 7,105,065 | |||
Payment for shares redeemed | ||||
Class A | (3,839,053 ) | (37,403,872 ) | (5,223,872 ) | (56,935,298 ) |
Class C | (77,498 ) | (761,613 ) | (90,454 ) | (963,071 ) |
Administrator Class | (2,155,311 ) | (20,952,556 ) | (2,938,959 ) | (32,001,376 ) |
Institutional Class | (15,659,991 ) | (152,540,390 ) | (19,414,727 ) | (207,837,081 ) |
(211,658,431 ) | (297,736,826 ) | |||
Net increase (decrease) in net assets resulting from capital share transactions | 48,980,885 | (68,414,243 ) | ||
Total increase (decrease) in net assets | 16,961,238 | (147,830,826 ) | ||
Net assets | ||||
Beginning of period | 538,300,457 | 686,131,283 | ||
End of period | $555,261,695 | $538,300,457 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.11 | $11.49 | $11.67 | $11.31 | $10.65 |
Net investment income | 0.24 1 | 0.14 | 0.12 1 | 0.18 1 | 0.23 |
Net realized and unrealized gains (losses) on investments | (0.56 ) | (1.39 ) | (0.17 ) | 0.38 | 0.68 |
Total from investment operations | (0.32 ) | (1.25 ) | (0.05 ) | 0.56 | 0.91 |
Distributions to shareholders from | |||||
Net investment income | (0.23 ) | (0.13 ) | (0.11 ) | (0.19 ) | (0.25 ) |
Tax basis return of capital | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.23 ) | (0.13 ) | (0.13 ) | (0.20 ) | (0.25 ) |
Net asset value, end of period | $9.56 | $10.11 | $11.49 | $11.67 | $11.31 |
Total return2 | (3.14 )% | (10.95 )% | (0.40 )% | 5.02 % | 8.65 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.91 % | 0.89 % | 0.89 % | 0.91 % | 0.91 % |
Net expenses | 0.85 % | 0.84 % | 0.84 % | 0.84 % | 0.85 % |
Net investment income | 2.42 % | 1.28 % | 1.00 % | 1.56 % | 2.20 % |
Supplemental data | |||||
Portfolio turnover rate | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $165,441 | $196,839 | $265,018 | $276,310 | $271,986 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.10 | $11.49 | $11.67 | $11.31 | $10.65 |
Net investment income | 0.16 1 | 0.06 1 | 0.03 1 | 0.09 1 | 0.15 1 |
Net realized and unrealized gains (losses) on investments | (0.54 ) | (1.40 ) | (0.17 ) | 0.38 | 0.68 |
Total from investment operations | (0.38 ) | (1.34 ) | (0.14 ) | 0.47 | 0.83 |
Distributions to shareholders from | |||||
Net investment income | (0.16 ) | (0.05 ) | (0.02 ) | (0.10 ) | (0.17 ) |
Tax basis return of capital | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.16 ) | (0.05 ) | (0.04 ) | (0.11 ) | (0.17 ) |
Net asset value, end of period | $9.56 | $10.10 | $11.49 | $11.67 | $11.31 |
Total return2 | (3.77 )% | (11.71 )% | (1.16 )% | 4.24 % | 7.84 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.65 % | 1.63 % | 1.64 % | 1.66 % | 1.66 % |
Net expenses | 1.60 % | 1.60 % | 1.60 % | 1.60 % | 1.60 % |
Net investment income | 1.67 % | 0.52 % | 0.24 % | 0.81 % | 1.44 % |
Supplemental data | |||||
Portfolio turnover rate | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $1,584 | $2,078 | $3,042 | $7,560 | $11,026 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Net investment income | 0.26 1 | 0.16 1 | 0.14 1 | 0.20 1 | 0.26 1 |
Net realized and unrealized gains (losses) on investments | (0.55 ) | (1.39 ) | (0.16 ) | 0.37 | 0.67 |
Total from investment operations | (0.29 ) | (1.23 ) | (0.02 ) | 0.57 | 0.93 |
Distributions to shareholders from | |||||
Net investment income | (0.25 ) | (0.15 ) | (0.14 ) | (0.21 ) | (0.27 ) |
Tax basis return of capital | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.25 ) | (0.15 ) | (0.16 ) | (0.22 ) | (0.27 ) |
Net asset value, end of period | $9.56 | $10.10 | $11.48 | $11.66 | $11.31 |
Total return | (2.84 )% | (10.78 )% | (0.21 )% | 5.15 % | 8.88 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.85 % | 0.83 % | 0.83 % | 0.85 % | 0.85 % |
Net expenses | 0.64 % | 0.64 % | 0.64 % | 0.64 % | 0.64 % |
Net investment income | 2.63 % | 1.49 % | 1.21 % | 1.75 % | 2.42 % |
Supplemental data | |||||
Portfolio turnover rate | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $71,787 | $83,432 | $111,639 | $120,181 | $106,355 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Net investment income | 0.28 1 | 0.17 | 0.16 1 | 0.21 1 | 0.27 1 |
Net realized and unrealized gains (losses) on investments | (0.55 ) | (1.38 ) | (0.17 ) | 0.38 | 0.68 |
Total from investment operations | (0.27 ) | (1.21 ) | (0.01 ) | 0.59 | 0.95 |
Distributions to shareholders from | |||||
Net investment income | (0.27 ) | (0.17 ) | (0.15 ) | (0.23 ) | (0.29 ) |
Tax basis return of capital | 0.00 | 0.00 | (0.02 ) | (0.01 ) | 0.00 |
Total distributions to shareholders | (0.27 ) | (0.17 ) | (0.17 ) | (0.24 ) | (0.29 ) |
Net asset value, end of period | $9.56 | $10.10 | $11.48 | $11.66 | $11.31 |
Total return | (2.69 )% | (10.63 )% | (0.05 )% | 5.31 % | 9.05 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.58 % | 0.56 % | 0.56 % | 0.58 % | 0.58 % |
Net expenses | 0.48 % | 0.48 % | 0.48 % | 0.48 % | 0.48 % |
Net investment income | 2.83 % | 1.66 % | 1.36 % | 1.87 % | 2.56 % |
Supplemental data | |||||
Portfolio turnover rate | 152 % | 309 % | 221 % | 111 % | 178 % |
Net assets, end of period (000s omitted) | $316,449 | $255,952 | $306,431 | $329,083 | $210,424 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $769,153 |
Gross unrealized losses | (59,647,826 ) |
Net unrealized losses | $(58,878,673 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $370,059,908 | $0 | $370,059,908 |
Asset-backed securities | 0 | 3,373,448 | 0 | 3,373,448 |
Corporate bonds and notes | 0 | 17,368,335 | 0 | 17,368,335 |
Non-agency mortgage-backed securities | 0 | 28,581,465 | 0 | 28,581,465 |
U.S. Treasury securities | 94,321,185 | 13,907,307 | 0 | 108,228,492 |
Yankee corporate bonds and notes | 0 | 2,485,639 | 0 | 2,485,639 |
Yankee government bonds | 0 | 15,785,272 | 0 | 15,785,272 |
Short-term investments | ||||
Investment companies | 24,023,931 | 0 | 0 | 24,023,931 |
118,345,116 | 451,561,374 | 0 | 569,906,490 | |
Futures contracts | 930,747 | 0 | 0 | 930,747 |
Total assets | $119,275,863 | $451,561,374 | $0 | $570,837,237 |
Liabilities | ||||
Futures contracts | $364,431 | $0 | $0 | $364,431 |
Total liabilities | $364,431 | $0 | $0 | $364,431 |
Average daily net assets | Management fee |
First $500 million | 0.450 % |
Next $500 million | 0.425 |
Next $2 billion | 0.400 |
Next $2 billion | 0.375 |
Next $5 billion | 0.340 |
Over $10 billion | 0.320 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.84 % |
Class C | 1.59 |
Administrator Class | 0.64 |
Institutional Class | 0.48 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$492,806,713 | $372,018,687 | $477,220,522 | $354,107,658 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$500,981 | $(58,878,673 ) | $(44,722,256 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR3004 08-23
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA, Michael J. Schueller, CFA |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (EKHAX) | 1-20-1998 | 2.26 | 1.33 | 3.21 | 7.17 | 2.24 | 3.70 | 1.00 | 0.92 |
Class C (EKHCX) | 1-21-1998 | 5.37 | 1.54 | 3.11 | 6.37 | 1.54 | 3.11 | 1.75 | 1.67 |
Administrator Class (EKHYX) | 4-14-1998 | – | – | – | 7.30 | 2.31 | 3.86 | 0.95 | 0.80 |
Institutional Class (EKHIX)3 | 10-31-2014 | – | – | – | 7.59 | 2.64 | 4.07 | 0.68 | 0.53 |
ICE BofA U.S. High Yield Constrained Index4 | – | – | – | – | 7.11 | 3.16 | 4.39 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2023 (December 31, 2024 for Class A and C), to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.92% for Class A, 1.67% for Class C, 0.80% for Administrator Class and 0.53% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and includes the higher expenses applicable to the Administrator Class shares. If these expenses had not been included, returns for the Institutional Class shares would be higher. |
4 | The ICE BofA U.S. High Yield Constrained Index is a market-value-weighted index of all domestic and Yankee high-yield bonds, including deferred interest bonds and payment-in-kind securities. Issues included in the index have maturities of one year or more and have a credit rating lower than BBB-/Baa3 but are not in default. The ICE BofA U.S. High Yield Constrained Index limits any individual issuer to a maximum of 2% benchmark exposure. You cannot invest directly in an index. Copyright 2023. ICE Data Indices, LLC. All rights reserved. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the ICE BofA U.S. High Yield Constrained Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%. |
Ten largest holdings (%) as of August 31, 20231 | |
Enviva Partners LP/Enviva Partners Finance Corp., 6.50%, 1-15-2026 | 1.62 |
Geo Group, Inc., 12.46%, 3-23-2027 | 1.50 |
CoreCivic, Inc., 8.25%, 4-15-2026 | 1.44 |
Enact Holdings, Inc., 6.50%, 8-15-2025 | 1.40 |
CCM Merger, Inc., 6.38%, 5-1-2026 | 1.35 |
TerraForm Power Operating LLC, 5.00%, 1-31-2028 | 1.19 |
Match Group Holdings II LLC, 5.63%, 2-15-2029 | 1.17 |
GIP III Stetson I LP, 9.68%, 7-18-2025 | 1.12 |
Iron Mountain, Inc., 4.50%, 2-15-2031 | 1.12 |
Ford Motor Credit Co. LLC, 5.11%, 5-3-2029 | 1.05 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of August 31, 20231 |
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,042.58 | $4.79 | 0.93 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.52 | $4.74 | 0.93 % |
Class C | ||||
Actual | $1,000.00 | $1,042.23 | $8.65 | 1.68 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.74 | $8.54 | 1.68 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,043.27 | $4.12 | 0.80 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | $4.08 | 0.80 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,044.68 | $2.73 | 0.53 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.53 | $2.70 | 0.53 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Shares | Value | |||||
Common stocks: 0.19% | ||||||
Energy: 0.19% | ||||||
Oil, gas & consumable fuels: 0.19% | ||||||
Denbury, Inc.† | 6,070 | $555,890 | ||||
Total common stocks (Cost $429,293) | 555,890 |
Interest rate | Maturity date | Principal | ||||
Corporate bonds and notes: 80.29% | ||||||
Basic materials: 0.14% | ||||||
Chemicals: 0.14% | ||||||
Avient Corp.144A | 7.13 % | 8-1-2030 | $ | 405,000 | 404,613 | |
Communications: 13.90% | ||||||
Advertising: 1.29% | ||||||
Clear Channel Outdoor Holdings, Inc.144A | 7.50 | 6-1-2029 | 1,060,000 | 790,008 | ||
Clear Channel Outdoor Holdings, Inc.144A | 9.00 | 9-15-2028 | 955,000 | 959,775 | ||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 4.63 | 3-15-2030 | 1,600,000 | 1,300,832 | ||
Outfront Media Capital LLC/Outfront Media Capital Corp.144A | 5.00 | 8-15-2027 | 775,000 | 701,375 | ||
3,751,990 | ||||||
Internet: 3.99% | ||||||
Arches Buyer, Inc.144A | 4.25 | 6-1-2028 | 725,000 | 630,640 | ||
Arches Buyer, Inc.144A | 6.13 | 12-1-2028 | 1,830,000 | 1,569,591 | ||
Cablevision Lightpath LLC144A | 3.88 | 9-15-2027 | 860,000 | 717,985 | ||
Cablevision Lightpath LLC144A | 5.63 | 9-15-2028 | 800,000 | 614,501 | ||
Match Group Holdings II LLC144A | 5.63 | 2-15-2029 | 3,635,000 | 3,426,450 | ||
Uber Technologies, Inc.144A | 4.50 | 8-15-2029 | 2,895,000 | 2,650,699 | ||
Uber Technologies, Inc.144A | 8.00 | 11-1-2026 | 2,000,000 | 2,036,394 | ||
11,646,260 | ||||||
Media: 7.88% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.25 | 1-15-2034 | 3,175,000 | 2,431,406 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.50 | 8-15-2030 | 3,000,000 | 2,523,591 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 5.00 | 2-1-2028 | 975,000 | 898,459 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 5.13 | 5-1-2027 | 1,200,000 | 1,128,108 | ||
CSC Holdings LLC144A | 4.13 | 12-1-2030 | 1,470,000 | 1,048,217 | ||
CSC Holdings LLC144A | 5.75 | 1-15-2030 | 2,250,000 | 1,244,205 | ||
CSC Holdings LLC144A | 11.25 | 5-15-2028 | 470,000 | 463,572 | ||
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.144A | 5.88 | 8-15-2027 | 625,000 | 553,886 | ||
DISH Network Corp.144A | 11.75 | 11-15-2027 | 900,000 | 913,177 | ||
Gray Escrow II, Inc.144A | 5.38 | 11-15-2031 | 3,970,000 | 2,771,646 | ||
Nexstar Media, Inc.144A | 5.63 | 7-15-2027 | 905,000 | 850,648 | ||
Scripps Escrow II, Inc.144A | 5.38 | 1-15-2031 | 1,625,000 | 1,160,746 | ||
Scripps Escrow, Inc.144A | 5.88 | 7-15-2027 | 2,630,000 | 2,124,987 | ||
Sirius XM Radio, Inc.144A | 4.13 | 7-1-2030 | 2,660,000 | 2,168,512 | ||
Townsquare Media, Inc.144A | 6.88 | 2-1-2026 | 2,815,000 | 2,709,438 | ||
22,990,598 |
Interest rate | Maturity date | Principal | Value | |||
Telecommunications: 0.74% | ||||||
CommScope Technologies LLC144A | 5.00 % | 3-15-2027 | $ | 845,000 | $469,802 | |
CommScope, Inc.144A | 4.75 | 9-1-2029 | 415,000 | 308,403 | ||
CommScope, Inc.144A | 6.00 | 3-1-2026 | 1,535,000 | 1,394,955 | ||
2,173,160 | ||||||
Consumer, cyclical: 15.97% | ||||||
Airlines: 1.16% | ||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.144A | 5.75 | 1-20-2026 | 1,305,000 | 1,207,598 | ||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.144A | 8.00 | 9-20-2025 | 2,185,000 | 2,187,387 | ||
3,394,985 | ||||||
Apparel: 0.89% | ||||||
Crocs, Inc.144A | 4.13 | 8-15-2031 | 605,000 | 479,463 | ||
Crocs, Inc.144A | 4.25 | 3-15-2029 | 1,700,000 | 1,433,474 | ||
Hanesbrands, Inc.144A | 4.88 | 5-15-2026 | 725,000 | 677,729 | ||
2,590,666 | ||||||
Auto manufacturers: 2.51% | ||||||
Allison Transmission, Inc.144A | 5.88 | 6-1-2029 | 885,000 | 854,756 | ||
Ford Motor Co. | 3.25 | 2-12-2032 | 1,035,000 | 807,930 | ||
Ford Motor Co. | 4.75 | 1-15-2043 | 1,200,000 | 897,125 | ||
Ford Motor Credit Co. LLC | 4.39 | 1-8-2026 | 1,600,000 | 1,512,181 | ||
Ford Motor Credit Co. LLC | 5.11 | 5-3-2029 | 3,325,000 | 3,058,373 | ||
Ford Motor Credit Co. LLC | 5.13 | 6-16-2025 | 200,000 | 194,702 | ||
7,325,067 | ||||||
Distribution/wholesale: 0.76% | ||||||
G-III Apparel Group Ltd.144A | 7.88 | 8-15-2025 | 2,275,000 | 2,229,500 | ||
Entertainment: 3.63% | ||||||
CCM Merger, Inc.144A | 6.38 | 5-1-2026 | 4,055,000 | 3,940,612 | ||
Churchill Downs, Inc.144A | 4.75 | 1-15-2028 | 1,655,000 | 1,526,363 | ||
Churchill Downs, Inc.144A | 6.75 | 5-1-2031 | 320,000 | 313,046 | ||
Cinemark USA, Inc.144A | 5.25 | 7-15-2028 | 805,000 | 715,033 | ||
Cinemark USA, Inc.144A | 8.75 | 5-1-2025 | 1,179,000 | 1,190,908 | ||
Live Nation Entertainment, Inc.144A | 3.75 | 1-15-2028 | 575,000 | 512,015 | ||
Live Nation Entertainment, Inc.144A | 5.63 | 3-15-2026 | 670,000 | 649,861 | ||
Live Nation Entertainment, Inc.144A | 6.50 | 5-15-2027 | 1,735,000 | 1,736,345 | ||
10,584,183 | ||||||
Home builders: 0.61% | ||||||
Toll Brothers Finance Corp. | 4.35 | 2-15-2028 | 705,000 | 661,581 | ||
Tri Pointe Homes, Inc. | 5.70 | 6-15-2028 | 1,180,000 | 1,118,687 | ||
1,780,268 | ||||||
Housewares: 0.27% | ||||||
Newell Brands, Inc. | 4.70 | 4-1-2026 | 810,000 | 776,066 |
Interest rate | Maturity date | Principal | Value | |||
Leisure time: 1.76% | ||||||
Carnival Holdings Bermuda Ltd.144A | 10.38 % | 5-1-2028 | $ | 2,275,000 | $2,474,254 | |
NCL Corp. Ltd.144A | 5.88 | 3-15-2026 | 1,305,000 | 1,230,457 | ||
NCL Corp. Ltd.144A | 5.88 | 2-15-2027 | 680,000 | 658,953 | ||
NCL Corp. Ltd.144A | 7.75 | 2-15-2029 | 830,000 | 789,601 | ||
5,153,265 | ||||||
Retail: 4.38% | ||||||
Bath & Body Works, Inc.144A | 6.63 | 10-1-2030 | 1,070,000 | 1,043,595 | ||
Dave & Buster’s, Inc.144A | 7.63 | 11-1-2025 | 535,000 | 540,312 | ||
FirstCash, Inc.144A | 4.63 | 9-1-2028 | 1,410,000 | 1,254,069 | ||
LBM Acquisition LLC144A | 6.25 | 1-15-2029 | 955,000 | 833,315 | ||
LSF9 Atlantis Holdings LLC/Victra Finance Corp.144A | 7.75 | 2-15-2026 | 2,430,000 | 2,214,355 | ||
Macy’s Retail Holdings LLC144A | 5.88 | 4-1-2029 | 1,610,000 | 1,455,409 | ||
Macy’s Retail Holdings LLC144A | 6.13 | 3-15-2032 | 1,050,000 | 900,375 | ||
Michaels Cos., Inc.144A | 7.88 | 5-1-2029 | 1,625,000 | 1,126,450 | ||
NMG Holding Co., Inc./Neiman Marcus Group LLC144A | 7.13 | 4-1-2026 | 1,150,000 | 1,092,979 | ||
PetSmart, Inc./PetSmart Finance Corp.144A | 4.75 | 2-15-2028 | 1,410,000 | 1,264,812 | ||
PetSmart, Inc./PetSmart Finance Corp.144A | 7.75 | 2-15-2029 | 1,100,000 | 1,050,513 | ||
12,776,184 | ||||||
Consumer, non-cyclical: 8.40% | ||||||
Commercial services: 5.43% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.00 | 6-1-2029 | 2,205,000 | 1,686,342 | ||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.63 | 7-15-2026 | 1,000,000 | 951,144 | ||
CoreCivic, Inc. | 8.25 | 4-15-2026 | 4,175,000 | 4,191,566 | ||
MPH Acquisition Holdings LLC144A | 5.50 | 9-1-2028 | 820,000 | 696,372 | ||
MPH Acquisition Holdings LLC144A | 5.75 | 11-1-2028 | 2,235,000 | 1,674,171 | ||
PECF USS Intermediate Holding III Corp.144A | 8.00 | 11-15-2029 | 1,805,000 | 1,151,163 | ||
Prime Security Services Borrower LLC/Prime Finance, Inc.144A | 6.25 | 1-15-2028 | 1,100,000 | 1,047,641 | ||
Sabre Global, Inc.144A | 9.25 | 4-15-2025 | 348,000 | 342,822 | ||
Sabre Global, Inc.144A | 11.25 | 12-15-2027 | 2,890,000 | 2,755,143 | ||
Upbound Group, Inc.144A | 6.38 | 2-15-2029 | 1,500,000 | 1,362,750 | ||
15,859,114 | ||||||
Healthcare-services: 2.97% | ||||||
Catalent Pharma Solutions, Inc.144A | 5.00 | 7-15-2027 | 830,000 | 775,012 | ||
CHS/Community Health Systems, Inc.144A | 5.25 | 5-15-2030 | 1,055,000 | 832,003 | ||
CHS/Community Health Systems, Inc.144A | 8.00 | 3-15-2026 | 765,000 | 746,760 | ||
IQVIA, Inc.144A | 6.50 | 5-15-2030 | 1,260,000 | 1,266,744 | ||
Pediatrix Medical Group, Inc.144A | 5.38 | 2-15-2030 | 830,000 | 756,919 | ||
Select Medical Corp.144A | 6.25 | 8-15-2026 | 1,775,000 | 1,758,175 | ||
Tenet Healthcare Corp. | 4.88 | 1-1-2026 | 875,000 | 848,209 | ||
Tenet Healthcare Corp.144A | 6.75 | 5-15-2031 | 1,690,000 | 1,681,635 | ||
8,665,457 |
Interest rate | Maturity date | Principal | Value | |||
Energy: 15.75% | ||||||
Energy-alternate sources: 2.81% | ||||||
Enviva Partners LP/Enviva Partners Finance Corp.144A | 6.50 % | 1-15-2026 | $ | 5,545,000 | $4,727,112 | |
TerraForm Power Operating LLC144A | 5.00 | 1-31-2028 | 3,830,000 | 3,478,216 | ||
8,205,328 | ||||||
Oil & gas: 4.30% | ||||||
Aethon United BR LP/Aethon United Finance Corp.144A | 8.25 | 2-15-2026 | 2,270,000 | 2,281,350 | ||
Encino Acquisition Partners Holdings LLC144A | 8.50 | 5-1-2028 | 3,080,000 | 2,920,456 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 5.75 | 2-1-2029 | 1,175,000 | 1,089,812 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 6.00 | 4-15-2030 | 350,000 | 325,397 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 6.25 | 11-1-2028 | 1,230,000 | 1,186,551 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.144A | 6.25 | 4-15-2032 | 350,000 | 321,183 | ||
Nabors Industries Ltd.144A | 7.50 | 1-15-2028 | 225,000 | 207,556 | ||
Nabors Industries, Inc.144A | 7.38 | 5-15-2027 | 1,465,000 | 1,429,693 | ||
Southwestern Energy Co. | 4.75 | 2-1-2032 | 1,825,000 | 1,616,687 | ||
Vital Energy, Inc. | 9.50 | 1-15-2025 | 1,165,000 | 1,170,825 | ||
12,549,510 | ||||||
Oil & gas services: 1.78% | ||||||
Bristow Group, Inc.144A | 6.88 | 3-1-2028 | 2,720,000 | 2,544,234 | ||
Oceaneering International, Inc. | 4.65 | 11-15-2024 | 900,000 | 881,190 | ||
Oceaneering International, Inc. | 6.00 | 2-1-2028 | 1,875,000 | 1,762,631 | ||
5,188,055 | ||||||
Pipelines: 6.86% | ||||||
Buckeye Partners LP144A | 4.50 | 3-1-2028 | 1,025,000 | 930,188 | ||
CQP Holdco LP/BIP-V Chinook Holdco LLC144A | 5.50 | 6-15-2031 | 2,075,000 | 1,893,395 | ||
DT Midstream, Inc.144A | 4.38 | 6-15-2031 | 1,640,000 | 1,419,769 | ||
EnLink Midstream LLC | 5.38 | 6-1-2029 | 1,200,000 | 1,144,086 | ||
EnLink Midstream LLC144A | 6.50 | 9-1-2030 | 1,855,000 | 1,859,741 | ||
EnLink Midstream Partners LP | 5.60 | 4-1-2044 | 1,145,000 | 976,347 | ||
Harvest Midstream I LP144A | 7.50 | 9-1-2028 | 1,000,000 | 1,002,192 | ||
Hess Midstream Operations LP144A | 5.50 | 10-15-2030 | 530,000 | 496,170 | ||
Kinetik Holdings LP144A | 5.88 | 6-15-2030 | 1,615,000 | 1,564,144 | ||
Rockies Express Pipeline LLC144A | 4.95 | 7-15-2029 | 415,000 | 379,842 | ||
Rockies Express Pipeline LLC144A | 6.88 | 4-15-2040 | 1,880,000 | 1,691,167 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 12-31-2030 | 3,155,000 | 2,822,444 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 9-1-2031 | 155,000 | 137,659 | ||
Venture Global Calcasieu Pass LLC144A | 6.25 | 1-15-2030 | 1,725,000 | 1,680,428 | ||
Venture Global LNG, Inc.144A | 8.38 | 6-1-2031 | 2,015,000 | 2,032,518 | ||
20,030,090 | ||||||
Financial: 12.28% | ||||||
Diversified financial services: 5.51% | ||||||
Enact Holdings, Inc.144A | 6.50 | 8-15-2025 | 4,115,000 | 4,077,836 | ||
Home Point Capital, Inc.144A | 5.00 | 2-1-2026 | 400,000 | 375,585 | ||
LPL Holdings, Inc.144A | 4.38 | 5-15-2031 | 2,155,000 | 1,893,170 | ||
Nationstar Mortgage Holdings, Inc.144A | 6.00 | 1-15-2027 | 1,010,000 | 962,025 |
Interest rate | Maturity date | Principal | Value | |||
Diversified financial services (continued) | ||||||
Navient Corp. | 5.00 % | 3-15-2027 | $ | 825,000 | $750,403 | |
Navient Corp. | 5.88 | 10-25-2024 | 350,000 | 344,751 | ||
OneMain Finance Corp. | 5.38 | 11-15-2029 | 935,000 | 807,653 | ||
OneMain Finance Corp. | 7.13 | 3-15-2026 | 575,000 | 565,653 | ||
Oppenheimer Holdings, Inc. | 5.50 | 10-1-2025 | 825,000 | 786,844 | ||
PRA Group, Inc.144A | 5.00 | 10-1-2029 | 2,730,000 | 2,058,748 | ||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.144A | 2.88 | 10-15-2026 | 970,000 | 862,087 | ||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.144A | 4.00 | 10-15-2033 | 765,000 | 604,851 | ||
United Wholesale Mortgage LLC144A | 5.50 | 11-15-2025 | 1,310,000 | 1,259,152 | ||
United Wholesale Mortgage LLC144A | 5.50 | 4-15-2029 | 850,000 | 737,375 | ||
16,086,133 | ||||||
Insurance: 1.83% | ||||||
AmWINS Group, Inc.144A | 4.88 | 6-30-2029 | 1,905,000 | 1,709,257 | ||
AssuredPartners, Inc.144A | 5.63 | 1-15-2029 | 1,050,000 | 912,162 | ||
BroadStreet Partners, Inc.144A | 5.88 | 4-15-2029 | 2,840,000 | 2,499,282 | ||
HUB International Ltd.144A | 7.25 | 6-15-2030 | 205,000 | 208,668 | ||
5,329,369 | ||||||
REITS: 4.94% | ||||||
Boston Properties LP | 3.40 | 6-21-2029 | 993,000 | 849,419 | ||
GLP Capital LP/GLP Financing II, Inc. | 3.25 | 1-15-2032 | 1,050,000 | 846,598 | ||
HAT Holdings I LLC/HAT Holdings II LLC144A | 3.38 | 6-15-2026 | 450,000 | 404,114 | ||
HAT Holdings I LLC/HAT Holdings II LLC144A | 6.00 | 4-15-2025 | 395,000 | 387,721 | ||
Iron Mountain, Inc.144A | 4.50 | 2-15-2031 | 3,800,000 | 3,264,381 | ||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.144A | 4.25 | 2-1-2027 | 2,250,000 | 2,034,782 | ||
MPT Operating Partnership LP/MPT Finance Corp. | 3.50 | 3-15-2031 | 2,700,000 | 1,749,868 | ||
Service Properties Trust | 4.35 | 10-1-2024 | 1,825,000 | 1,755,844 | ||
Service Properties Trust | 5.25 | 2-15-2026 | 50,000 | 46,045 | ||
Starwood Property Trust, Inc.144A | 4.38 | 1-15-2027 | 1,495,000 | 1,335,125 | ||
Starwood Property Trust, Inc. | 4.75 | 3-15-2025 | 760,000 | 734,721 | ||
Vornado Realty LP | 2.15 | 6-1-2026 | 635,000 | 548,884 | ||
Vornado Realty LP | 3.40 | 6-1-2031 | 640,000 | 472,291 | ||
14,429,793 | ||||||
Industrial: 7.66% | ||||||
Aerospace/defense: 1.36% | ||||||
Spirit AeroSystems, Inc.144A | 7.50 | 4-15-2025 | 2,060,000 | 2,034,470 | ||
Spirit AeroSystems, Inc.144A | 9.38 | 11-30-2029 | 1,185,000 | 1,234,906 | ||
TransDigm, Inc. | 7.50 | 3-15-2027 | 700,000 | 701,351 | ||
3,970,727 | ||||||
Building materials: 1.43% | ||||||
Camelot Return Merger Sub, Inc.144A | 8.75 | 8-1-2028 | 2,640,000 | 2,633,400 | ||
Emerald Debt Merger Sub LLC144A | 6.63 | 12-15-2030 | 1,580,000 | 1,555,383 | ||
4,188,783 |
Interest rate | Maturity date | Principal | Value | |||
Hand/machine tools: 1.33% | ||||||
Werner FinCo LP/Werner FinCo, Inc.144A | 11.50 % | 6-15-2028 | $ | 1,540,000 | $1,598,551 | |
Werner FinCo LP/Werner FinCo, Inc. (PIK at 14.50%)144A¥ | 14.50 | 10-15-2028 | 2,580,000 | 2,270,400 | ||
3,868,951 | ||||||
Machinery-diversified: 1.04% | ||||||
Chart Industries, Inc.144A | 7.50 | 1-1-2030 | 315,000 | 322,763 | ||
Chart Industries, Inc.144A | 9.50 | 1-1-2031 | 525,000 | 565,272 | ||
TK Elevator U.S. Newco, Inc.144A | 5.25 | 7-15-2027 | 2,300,000 | 2,156,021 | ||
3,044,056 | ||||||
Packaging & containers: 1.64% | ||||||
Clearwater Paper Corp.144A | 5.38 | 2-1-2025 | 2,245,000 | 2,176,497 | ||
Clydesdale Acquisition Holdings, Inc.144A | 8.75 | 4-15-2030 | 1,735,000 | 1,569,024 | ||
Owens-Brockway Glass Container, Inc.144A | 7.25 | 5-15-2031 | 1,035,000 | 1,044,263 | ||
4,789,784 | ||||||
Trucking & leasing: 0.86% | ||||||
Fortress Transportation & Infrastructure Investors LLC144A | 5.50 | 5-1-2028 | 1,805,000 | 1,676,691 | ||
Fortress Transportation & Infrastructure Investors LLC144A | 6.50 | 10-1-2025 | 830,000 | 819,568 | ||
2,496,259 | ||||||
Technology: 2.48% | ||||||
Computers: 1.73% | ||||||
McAfee Corp.144A | 7.38 | 2-15-2030 | 670,000 | 586,189 | ||
NCR Corp.144A | 6.13 | 9-1-2029 | 2,000,000 | 2,059,868 | ||
Seagate HDD Cayman | 4.13 | 1-15-2031 | 1,468,000 | 1,198,990 | ||
Seagate HDD Cayman144A | 8.25 | 12-15-2029 | 210,000 | 220,290 | ||
Seagate HDD Cayman144A | 8.50 | 7-15-2031 | 940,000 | 984,844 | ||
5,050,181 | ||||||
Software: 0.75% | ||||||
Cloud Software Group, Inc.144A | 9.00 | 9-30-2029 | 1,230,000 | 1,099,470 | ||
SS&C Technologies, Inc.144A | 5.50 | 9-30-2027 | 1,125,000 | 1,083,037 | ||
2,182,507 | ||||||
Utilities: 3.71% | ||||||
Electric: 3.71% | ||||||
NSG Holdings LLC/NSG Holdings, Inc.144A | 7.75 | 12-15-2025 | 1,099,670 | 1,094,171 | ||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.144A | 4.50 | 8-15-2028 | 3,250,000 | 2,958,823 | ||
PG&E Corp. | 5.25 | 7-1-2030 | 3,285,000 | 2,918,466 | ||
Vistra Corp. (5 Year Treasury Constant Maturity+5.74%)144Aʊ± | 7.00 | 12-15-2026 | 1,895,000 | 1,753,937 | ||
Vistra Operations Co. LLC144A | 4.38 | 5-1-2029 | 1,300,000 | 1,146,210 | ||
Vistra Operations Co. LLC144A | 5.63 | 2-15-2027 | 1,000,000 | 962,710 | ||
10,834,317 | ||||||
Total corporate bonds and notes (Cost $250,221,409) | 234,345,219 |
Interest rate | Maturity date | Principal | Value | |||
Loans: 6.05% | ||||||
Communications: 0.93% | ||||||
Advertising: 0.19% | ||||||
Clear Channel Outdoor Holdings, Inc. (U.S. SOFR 3 Month+3.50%)± | 9.13 % | 8-21-2026 | $ | 578,985 | $565,234 | |
Media: 0.18% | ||||||
Hubbard Radio LLC (1 Month LIBOR+4.25%)± | 9.70 | 3-28-2025 | 543,875 | 521,304 | ||
Telecommunications: 0.56% | ||||||
Intelsat Jackson Holdings SA (U.S. SOFR 3 Month+4.25%)± | 9.77 | 2-1-2029 | 1,632,339 | 1,631,442 | ||
Consumer, cyclical: 0.89% | ||||||
Airlines: 0.75% | ||||||
Mileage Plus Holdings LLC (3 Month LIBOR+5.25%)± | 10.76 | 6-21-2027 | 1,120,000 | 1,166,704 | ||
SkyMiles IP Ltd. (U.S. SOFR 3 Month+3.75%)± | 9.08 | 10-20-2027 | 972,131 | 1,010,900 | ||
2,177,604 | ||||||
Leisure time: 0.14% | ||||||
Carnival Corp. (U.S. SOFR 3 Month+3.00%)± | 8.32 | 8-8-2027 | 415,000 | 414,274 | ||
Consumer, non-cyclical: 1.50% | ||||||
Commercial services: 1.50% | ||||||
Geo Group, Inc. (U.S. SOFR 1 Month+7.13%)± | 12.46 | 3-23-2027 | 4,323,452 | 4,388,995 | ||
Energy: 1.65% | ||||||
Pipelines: 1.65% | ||||||
GIP II Blue Holding LP (U.S. SOFR 1 Month+4.50%)± | 9.95 | 9-29-2028 | 991,891 | 993,816 | ||
GIP III Stetson I LP (U.S. SOFR 1 Month+4.25%)± | 9.68 | 7-18-2025 | 3,253,993 | 3,253,309 | ||
M6 ETX Holdings II Midco LLC (U.S. SOFR 1 Month+4.50%)± | 9.92 | 9-19-2029 | 555,800 | 554,177 | ||
4,801,302 | ||||||
Financial: 1.08% | ||||||
Diversified financial services: 0.22% | ||||||
Resolute Investment Managers, Inc. (3 Month LIBOR+4.25%)± | 9.79 | 4-30-2024 | 1,056,924 | 635,919 | ||
Insurance: 0.86% | ||||||
Asurion LLC (3 Month LIBOR+3.25%)± | 8.79 | 12-23-2026 | 2,240,408 | 2,175,996 | ||
Asurion LLC (U.S. SOFR 1 Month+5.25%)± | 10.70 | 1-31-2028 | 370,000 | 330,340 | ||
2,506,336 | ||||||
Total loans (Cost $17,618,108) | 17,642,410 | |||||
Yankee corporate bonds and notes: 11.29% | ||||||
Communications: 0.96% | ||||||
Media: 0.61% | ||||||
Videotron Ltd.144A | 5.13 | 4-15-2027 | 1,850,000 | 1,771,375 | ||
Telecommunications: 0.35% | ||||||
Altice France SA144A | 8.13 | 2-1-2027 | 1,220,000 | 1,031,071 |
Interest rate | Maturity date | Principal | Value | |||
Consumer, cyclical: 4.83% | ||||||
Airlines: 1.52% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C144A | 10.50 % | 7-15-2026 | $ | 2,475,000 | $2,685,004 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.144A | 5.75 | 4-20-2029 | 765,000 | 731,631 | ||
VistaJet Malta Finance PLC/Vista Management Holding, Inc.144A | 9.50 | 6-1-2028 | 1,110,000 | 1,024,309 | ||
4,440,944 | ||||||
Leisure time: 3.31% | ||||||
Carnival Corp.144A | 4.00 | 8-1-2028 | 1,175,000 | 1,051,399 | ||
Carnival Corp.144A | 6.00 | 5-1-2029 | 1,925,000 | 1,738,037 | ||
Carnival Corp.144A | 7.00 | 8-15-2029 | 405,000 | 410,937 | ||
Carnival Corp.144A | 7.63 | 3-1-2026 | 560,000 | 558,300 | ||
Royal Caribbean Cruises Ltd.144A | 5.38 | 7-15-2027 | 200,000 | 188,203 | ||
Royal Caribbean Cruises Ltd.144A | 5.50 | 4-1-2028 | 2,655,000 | 2,488,797 | ||
Royal Caribbean Cruises Ltd.144A | 9.25 | 1-15-2029 | 905,000 | 964,591 | ||
Royal Caribbean Cruises Ltd.144A | 11.63 | 8-15-2027 | 2,075,000 | 2,260,973 | ||
9,661,237 | ||||||
Consumer, non-cyclical: 0.61% | ||||||
Pharmaceuticals: 0.61% | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 6.75 | 3-1-2028 | 950,000 | 948,886 | ||
Teva Pharmaceutical Finance Netherlands III BV | 8.13 | 9-15-2031 | 785,000 | 831,687 | ||
1,780,573 | ||||||
Energy: 0.80% | ||||||
Pipelines: 0.80% | ||||||
Northriver Midstream Finance LP144A | 5.63 | 2-15-2026 | 2,420,000 | 2,326,225 | ||
Financial: 1.31% | ||||||
Diversified financial services: 1.31% | ||||||
Castlelake Aviation Finance DAC144A | 5.00 | 4-15-2027 | 2,485,000 | 2,290,842 | ||
Macquarie Airfinance Holdings Ltd.144A | 8.38 | 5-1-2028 | 1,495,000 | 1,526,425 | ||
3,817,267 | ||||||
Industrial: 2.21% | ||||||
Electronics: 0.95% | ||||||
Sensata Technologies BV144A | 4.00 | 4-15-2029 | 2,020,000 | 1,774,197 | ||
Sensata Technologies BV144A | 5.88 | 9-1-2030 | 1,060,000 | 1,002,877 | ||
2,777,074 | ||||||
Packaging & containers: 0.61% | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC144A | 4.00 | 9-1-2029 | 910,000 | 739,648 | ||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC144A | 6.00 | 6-15-2027 | 1,050,000 | 1,023,870 | ||
1,763,518 | ||||||
Trucking & leasing: 0.65% | ||||||
Fly Leasing Ltd.144A | 7.00 | 10-15-2024 | 2,130,000 | 1,900,182 |
Interest rate | Maturity date | Principal | Value | |||
Utilities: 0.57% | ||||||
Electric: 0.57% | ||||||
Drax Finco PLC144A | 6.63 % | 11-1-2025 | $ | 1,715,000 | $1,681,975 | |
Total yankee corporate bonds and notes (Cost $33,745,933) | 32,951,441 |
Yield | Shares | |||||
Short-term investments: 0.76% | ||||||
Investment companies: 0.76% | ||||||
Allspring Government Money Market Fund Select Class♠∞ | 5.26 | 2,217,123 | 2,217,123 | |||
Total short-term investments (Cost $2,217,123) | 2,217,123 | |||||
Total investments in securities (Cost $304,231,866) | 98.58 % | 287,712,083 | ||||
Other assets and liabilities, net | 1.42 | 4,151,439 | ||||
Total net assets | 100.00 % | $291,863,522 |
† | Non-income-earning security |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
¥ | A payment-in-kind (PIK) security is a security in which the issuer may make interest or dividend payments in cash or additional securities or a combination of both. The rate shown is the rate in effect at period end. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $11,285,787 | $113,673,818 | $(122,742,482 ) | $0 | $0 | $2,217,123 | 2,217,123 | $176,898 |
Investments in affiliates no longer held at end of period | ||||||||
Securities Lending Cash Investments LLC | 2,080,069 | 51,582,023 | (53,661,798 ) | (294 ) | 0 | 0 | 0 | 160,284 1 |
$(294 ) | $0 | $2,217,123 | $337,182 |
1 | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities, at value (cost $302,014,743) | $285,494,960 |
Investments in affiliated securities, at value (cost $2,217,123) | 2,217,123 |
Cash | 151 |
Receivable for interest | 4,531,835 |
Receivable for investments sold | 1,853,279 |
Receivable for Fund shares sold | 54,832 |
Prepaid expenses and other assets | 78,491 |
Total assets | 294,230,671 |
Liabilities | |
Payable for investments purchased | 1,545,447 |
Payable for Fund shares redeemed | 474,857 |
Management fee payable | 102,983 |
Dividends payable | 99,667 |
Administration fees payable | 30,400 |
Trustees’ fees and expenses payable | 4,621 |
Distribution fee payable | 1,101 |
Accrued expenses and other liabilities | 108,073 |
Total liabilities | 2,367,149 |
Total net assets | $291,863,522 |
Net assets consist of | |
Paid-in capital | $379,832,707 |
Total distributable loss | (87,969,185 ) |
Total net assets | $291,863,522 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $175,674,359 |
Shares outstanding–Class A1 | 59,799,027 |
Net asset value per share–Class A | $2.94 |
Maximum offering price per share – Class A2 | $3.08 |
Net assets–Class C | $1,742,975 |
Shares outstanding–Class C1 | 591,571 |
Net asset value per share–Class C | $2.95 |
Net assets–Administrator Class | $14,164,816 |
Shares outstanding–Administrator Class1 | 4,815,524 |
Net asset value per share–Administrator Class | $2.94 |
Net assets–Institutional Class | $100,281,372 |
Shares outstanding–Institutional Class1 | 34,088,981 |
Net asset value per share–Institutional Class | $2.94 |
Investment income | |
Interest | $20,929,657 |
Income from affiliated securities | 275,338 |
Dividends | 18,819 |
Total investment income | 21,223,814 |
Expenses | |
Management fee | 1,653,650 |
Administration fees | |
Class A | 282,156 |
Class C | 3,049 |
Administrator Class | 13,485 |
Institutional Class | 85,611 |
Shareholder servicing fees | |
Class A | 444,974 |
Class C | 4,797 |
Administrator Class | 33,648 |
Distribution fee | |
Class C | 14,391 |
Custody and accounting fees | 24,611 |
Professional fees | 76,559 |
Registration fees | 32,467 |
Shareholder report expenses | 53,073 |
Trustees’ fees and expenses | 28,527 |
Other fees and expenses | 6,295 |
Total expenses | 2,757,293 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (306,984 ) |
Class A | (2,568 ) |
Administrator Class | (9,964 ) |
Institutional Class | (78,447 ) |
Net expenses | 2,359,330 |
Net investment income | 18,864,484 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (16,719,270 ) |
Affiliated securities | (294 ) |
Net realized losses on investments | (16,719,564 ) |
Net change in unrealized gains (losses) on investments | 19,539,865 |
Net realized and unrealized gains (losses) on investments | 2,820,301 |
Net increase in net assets resulting from operations | $21,684,785 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $18,864,484 | $14,605,041 | ||
Net realized losses on investments | (16,719,564 ) | (8,111,652 ) | ||
Net change in unrealized gains (losses) on investments | 19,539,865 | (50,715,580 ) | ||
Net increase (decrease) in net assets resulting from operations | 21,684,785 | (44,222,191 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (11,129,654 ) | (8,681,745 ) | ||
Class C | (104,729 ) | (104,228 ) | ||
Administrator Class | (859,200 ) | (681,298 ) | ||
Institutional Class | (7,102,278 ) | (5,359,209 ) | ||
Total distributions to shareholders | (19,195,861 ) | (14,826,480 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 2,078,328 | 6,040,894 | 2,258,343 | 7,258,246 |
Class C | 48,015 | 140,508 | 26,839 | 85,400 |
Administrator Class | 717,656 | 2,101,807 | 126,614 | 418,863 |
Institutional Class | 14,027,526 | 40,177,740 | 18,518,205 | 60,159,788 |
48,460,949 | 67,922,297 | |||
Reinvestment of distributions | ||||
Class A | 3,496,017 | 10,174,721 | 2,509,753 | 7,928,405 |
Class C | 35,917 | 104,718 | 32,772 | 104,172 |
Administrator Class | 275,686 | 803,194 | 201,763 | 638,979 |
Institutional Class | 2,400,931 | 6,995,628 | 1,659,213 | 5,256,201 |
18,078,261 | 13,927,757 | |||
Payment for shares redeemed | ||||
Class A | (9,707,582 ) | (28,202,430 ) | (9,975,519 ) | (32,130,537 ) |
Class C | (307,246 ) | (895,417 ) | (434,843 ) | (1,408,617 ) |
Administrator Class | (985,757 ) | (2,872,253 ) | (817,280 ) | (2,640,902 ) |
Institutional Class | (16,213,778 ) | (47,131,304 ) | (21,193,164 ) | (66,599,574 ) |
(79,101,404 ) | (102,779,630 ) | |||
Net decrease in net assets resulting from capital share transactions | (12,562,194 ) | (20,929,576 ) | ||
Total decrease in net assets | (10,073,270 ) | (79,978,247 ) | ||
Net assets | ||||
Beginning of period | 301,936,792 | 381,915,039 | ||
End of period | $291,863,522 | $301,936,792 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $2.92 | $3.45 | $3.33 | $3.29 | $3.28 |
Net investment income | 0.18 1 | 0.13 | 0.11 | 0.13 | 0.14 |
Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.00 2 | 0.00 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.53 ) | 0.12 | 0.04 | 0.01 |
Total from investment operations | 0.20 | (0.40 ) | 0.23 | 0.17 | 0.15 |
Distributions to shareholders from | |||||
Net investment income | (0.18 ) | (0.13 ) | (0.11 ) | (0.13 ) | (0.14 ) |
Net asset value, end of period | $2.94 | $2.92 | $3.45 | $3.33 | $3.29 |
Total return3 | 7.17 % | (11.76 )% | 7.07 % | 5.31 %4 | 4.79 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.03 % | 1.01 % | 1.01 % | 1.04 % | 1.04 % |
Net expenses | 0.93 % | 0.92 % | 0.92 % | 0.93 % | 0.93 % |
Net investment income | 6.13 % | 4.08 % | 3.29 % | 4.01 % | 4.36 % |
Supplemental data | |||||
Portfolio turnover rate | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $175,674 | $186,532 | $238,817 | $251,410 | $273,553 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. |
4 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had an impact of less than 0.005% on total return. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $2.93 | $3.46 | $3.34 | $3.29 | $3.28 |
Net investment income | 0.16 1 | 0.11 1 | 0.09 1 | 0.11 1 | 0.12 1 |
Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.53 ) | 0.12 | 0.03 | 0.01 |
Total from investment operations | 0.18 | (0.42 ) | 0.21 | 0.15 | 0.13 |
Distributions to shareholders from | |||||
Net investment income | (0.16 ) | (0.11 ) | (0.09 ) | (0.10 ) | (0.12 ) |
Net asset value, end of period | $2.95 | $2.93 | $3.46 | $3.34 | $3.29 |
Total return2 | 6.37 % | (12.39 )% | 6.25 % | 4.83 %3 | 4.00 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.78 % | 1.76 % | 1.76 % | 1.79 % | 1.79 % |
Net expenses | 1.68 % | 1.68 % | 1.68 % | 1.68 % | 1.68 % |
Net investment income | 5.35 % | 3.26 % | 2.57 % | 3.25 % | 3.64 % |
Supplemental data | |||||
Portfolio turnover rate | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $1,743 | $2,384 | $4,123 | $8,265 | $12,220 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had a 0.31% impact on the total return. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $2.92 | $3.46 | $3.34 | $3.29 | $3.29 |
Net investment income | 0.18 1 | 0.14 | 0.12 1 | 0.13 | 0.15 1 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.54 ) | 0.12 | 0.05 | 0.00 |
Total from investment operations | 0.21 | (0.40 ) | 0.24 | 0.18 | 0.15 |
Distributions to shareholders from | |||||
Net investment income | (0.19 ) | (0.14 ) | (0.12 ) | (0.13 ) | (0.15 ) |
Net asset value, end of period | $2.94 | $2.92 | $3.46 | $3.34 | $3.29 |
Total return | 7.30 % | (11.91 )% | 7.20 % | 5.76 % | 4.60 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.97 % | 0.95 % | 0.95 % | 0.99 % | 0.98 % |
Net expenses | 0.80 % | 0.80 % | 0.79 % | 0.79 % | 0.80 % |
Net investment income | 6.26 % | 4.20 % | 3.42 % | 4.14 % | 4.48 % |
Supplemental data | |||||
Portfolio turnover rate | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $14,165 | $14,045 | $18,317 | $21,185 | $24,667 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $2.92 | $3.46 | $3.34 | $3.29 | $3.28 |
Net investment income | 0.19 1 | 0.14 | 0.12 | 0.14 | 0.15 |
Net realized and unrealized gains (losses) on investments | 0.02 | (0.54 ) | 0.13 | 0.05 | 0.01 |
Total from investment operations | 0.21 | (0.40 ) | 0.25 | 0.19 | 0.16 |
Distributions to shareholders from | |||||
Net investment income | (0.19 ) | (0.14 ) | (0.13 ) | (0.14 ) | (0.15 ) |
Net asset value, end of period | $2.94 | $2.92 | $3.46 | $3.34 | $3.29 |
Total return | 7.59 % | (11.68 )% | 7.48 % | 6.04 % | 5.20 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.70 % | 0.68 % | 0.69 % | 0.71 % | 0.71 % |
Net expenses | 0.53 % | 0.53 % | 0.53 % | 0.53 % | 0.53 % |
Net investment income | 6.53 % | 4.50 % | 3.66 % | 4.39 % | 4.75 % |
Supplemental data | |||||
Portfolio turnover rate | 53 % | 138 % | 49 % | 34 % | 26 % |
Net assets, end of period (000s omitted) | $100,281 | $98,975 | $120,658 | $73,568 | $75,877 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $1,944,074 |
Gross unrealized losses | (18,736,069 ) |
Net unrealized losses | $(16,791,995 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Energy | $555,890 | $0 | $0 | $555,890 |
Corporate bonds and notes | 0 | 234,345,219 | 0 | 234,345,219 |
Loans | 0 | 17,642,410 | 0 | 17,642,410 |
Yankee corporate bonds and notes | 0 | 32,951,441 | 0 | 32,951,441 |
Short-term investments | ||||
Investment companies | 2,217,123 | 0 | 0 | 2,217,123 |
Total assets | $2,773,013 | $284,939,070 | $0 | $287,712,083 |
Average daily net assets | Management fee |
First $500 million | 0.550 % |
Next $500 million | 0.525 |
Next $2 billion | 0.500 |
Next $2 billion | 0.475 |
Next $5 billion | 0.440 |
Over $10 billion | 0.430 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.92 % |
Class C | 1.67 |
Administrator Class | 0.80 |
Institutional Class | 0.53 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$294,046 | $(16,791,995 ) | $(71,349,699 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR4323 08-23
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Maulik Bhansali, CFA, Jarad Vasquez |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (MSDAX) | 3-11-1996 | -1.99 | -0.21 | 0.13 | 0.02 | 0.19 | 0.33 | 0.78 | 0.77 |
Class C (MSDCX) | 5-31-2002 | -1.84 | -0.58 | -0.28 | -0.84 | -0.58 | -0.28 | 1.53 | 1.52 |
Class R6 (MSDRX) | 11-30-2012 | – | – | – | 0.43 | 0.59 | 0.74 | 0.41 | 0.37 |
Administrator Class (MNSGX) | 12-18-1992 | – | – | – | 0.20 | 0.37 | 0.52 | 0.73 | 0.60 |
Institutional Class (WSGIX) | 4-8-2005 | – | – | – | 0.27 | 0.53 | 0.69 | 0.46 | 0.42 |
Bloomberg U.S. 1-3 Year Government Bond Index3 | – | – | – | – | 1.29 | 1.02 | 0.83 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2023 (December 31, 2024 for Class A and C), to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.77% for Class A, 1.52% for Class C, 0.37% for Class R6, 0.60% for Administrator Class and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg U.S. 1–3 Year Government Bond Index is composed of all publicly issued, nonconvertible domestic debt of the U.S. government and its agencies. The index also includes corporate debt guaranteed by the U.S. government. Only notes and bonds with a minimum maturity of one year up to a maximum maturity of 2.9 years are included. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. 1-3 Year Government Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 2.00%. |
Ten largest holdings (%) as of August 31, 20231 | |
FHLMC, 2.87%, 5-1-2049 | 8.98 |
FHLMC, 4.36%, 2-1-2046 | 8.77 |
FNMA, 3.45%, 7-1-2049 | 8.27 |
FNMA, 6.00%, 9-14-2053 | 4.16 |
FHLMC, 6.62%, 6-1-2043 | 4.05 |
U.S. Treasury Notes, 0.13%, 1-15-2024 | 3.21 |
FNMA, 3.00%, 5-25-2035 | 3.06 |
FNMA, 2.50%, 8-1-2031 | 3.05 |
U.S. Treasury Notes, 4.38%, 8-15-2026 | 2.48 |
U.S. Treasury Notes, 5.00%, 8-31-2025 | 2.30 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,011.05 | $3.95 | 0.78 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.27 | $3.97 | 0.78 % |
Class C | ||||
Actual | $1,000.00 | $1,006.11 | $7.74 | 1.53 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.49 | $7.78 | 1.53 % |
Class R6 | ||||
Actual | $1,000.00 | $1,013.15 | $1.88 | 0.37 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.34 | $1.89 | 0.37 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,011.96 | $3.04 | 0.60 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.18 | $3.06 | 0.60 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,011.73 | $2.13 | 0.42 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.09 | $2.14 | 0.42 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 79.91% | ||||||
FHLMC STRIPS Series 317 Class F3 (30 Day Average U.S. SOFR+0.63%)± | 5.82 % | 11-15-2043 | $ | 3,560,922 | $3,441,128 | |
FHLMC (12 Month LIBOR+1.62%)± | 4.36 | 2-1-2046 | 19,000,096 | 19,024,259 | ||
FHLMC (12 Month LIBOR+1.62%)± | 4.40 | 8-1-2046 | 4,844,801 | 4,842,379 | ||
FHLMC (12 Month LIBOR+1.62%)± | 6.04 | 10-1-2043 | 4,444,606 | 4,466,073 | ||
FHLMC (12 Month LIBOR+1.63%)± | 4.67 | 10-1-2043 | 4,653,418 | 4,695,575 | ||
FHLMC (12 Month LIBOR+1.64%)± | 2.87 | 5-1-2049 | 19,944,530 | 19,470,760 | ||
FHLMC (12 Month LIBOR+1.66%)± | 6.76 | 9-1-2045 | 3,642,505 | 3,662,496 | ||
FHLMC (12 Month LIBOR+1.67%)± | 6.62 | 6-1-2043 | 8,751,166 | 8,778,150 | ||
FHLMC (12 Month LIBOR+1.85%)± | 4.45 | 5-1-2042 | 512,620 | 516,170 | ||
FHLMC (30 Day Average U.S. SOFR+2.13%)± | 4.21 | 6-1-2052 | 4,545,034 | 4,272,054 | ||
FHLMC Series 3632 Class PK | 5.00 | 2-15-2040 | 1,115,447 | 1,091,802 | ||
FHLMC Series 4683 Class EA | 2.50 | 5-15-2047 | 5,350,536 | 4,930,560 | ||
FHLMC Series 5335 Class FB (30 Day Average U.S. SOFR+0.81%)± | 6.00 | 10-15-2039 | 2,171,000 | 2,171,810 | ||
FNMA | 2.50 | 8-1-2031 | 6,945,592 | 6,621,422 | ||
FNMA | 3.00 | 8-1-2036 | 2,910,642 | 2,714,186 | ||
FNMA | 3.00 | 11-1-2039 | 3,880,454 | 3,595,478 | ||
FNMA | 3.50 | 7-1-2043 | 2,085,233 | 1,947,159 | ||
FNMA | 4.00 | 3-1-2031 | 2,933,007 | 2,874,738 | ||
FNMA | 4.00 | 2-1-2034 | 1,948,665 | 1,871,410 | ||
FNMA | 4.00 | 6-1-2038 | 4,484,466 | 4,307,388 | ||
FNMA | 5.00 | 10-1-2040 | 586,028 | 585,629 | ||
FNMA%% | 6.00 | 9-14-2053 | 9,000,000 | 9,023,555 | ||
FNMA (1 Year Treasury Constant Maturity+2.05%)± | 3.94 | 3-1-2049 | 2,348,781 | 2,280,040 | ||
FNMA (12 Month LIBOR+1.57%)± | 6.19 | 9-1-2045 | 440,520 | 444,353 | ||
FNMA (12 Month LIBOR+1.58%)± | 4.37 | 6-1-2045 | 499,799 | 502,380 | ||
FNMA (12 Month LIBOR+1.58%)± | 4.67 | 1-1-2046 | 593,606 | 596,190 | ||
FNMA (12 Month LIBOR+1.58%)± | 7.05 | 2-1-2046 | 438,010 | 445,372 | ||
FNMA (12 Month LIBOR+1.59%)± | 5.22 | 5-1-2047 | 1,147,073 | 1,161,845 | ||
FNMA (12 Month LIBOR+1.61%)± | 3.45 | 7-1-2049 | 19,027,335 | 17,938,457 | ||
FNMA (12 Month LIBOR+1.61%)± | 6.25 | 9-1-2043 | 1,885,477 | 1,891,962 | ||
FNMA (12 Month LIBOR+1.69%)± | 6.06 | 11-1-2042 | 462,050 | 466,040 | ||
FNMA Series 2008-7 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 2-25-2038 | 314,443 | 311,641 | ||
FNMA Series 2012-115 Class DF (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 10-25-2042 | 3,024,397 | 2,911,718 | ||
FNMA Series 2013-130 Class FD (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 1-25-2044 | 1,343,881 | 1,312,762 | ||
FNMA Series 2014-74 Class FC (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 11-25-2044 | 1,056,784 | 1,020,793 | ||
FNMA Series 2016-27 Class EH | 3.00 | 5-25-2035 | 7,021,336 | 6,627,820 | ||
FNMA Series 2017-112 Class FC (30 Day Average U.S. SOFR+0.46%)± | 5.75 | 1-25-2048 | 1,052,901 | 1,001,949 | ||
FNMA Series 2019-33 Class FN (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 7-25-2049 | 3,260,562 | 3,151,667 | ||
FNMA Series 2019-35 Class FA (30 Day Average U.S. SOFR+0.51%)± | 5.80 | 7-25-2049 | 1,299,173 | 1,254,990 | ||
FNMA Series 2019-50 Class FA (30 Day Average U.S. SOFR+0.56%)± | 5.85 | 9-25-2049 | 3,739,277 | 3,618,673 | ||
FNMA Series 2023-38 Class FC (30 Day Average U.S. SOFR+0.66%)± | 5.95 | 6-25-2040 | 2,171,000 | 2,146,031 | ||
FNMA Series 2023-38 Class FD (30 Day Average U.S. SOFR+0.86%)‡± | 6.15 | 10-25-2039 | 4,179,000 | 4,176,388 | ||
GNMA | 4.50 | 6-20-2048 | 1,307,013 | 1,262,305 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA Series 2010-167 Class FL (U.S. SOFR 1 Month+0.46%)± | 5.78 % | 12-20-2040 | $ | 1,620,607 | $1,587,514 | |
GNMA Series 2019-125 Class DF (U.S. SOFR 1 Month+0.56%)± | 5.88 | 10-20-2049 | 2,431,278 | 2,339,259 | ||
Total agency securities (Cost $178,913,827) | 173,354,330 | |||||
Asset-backed securities: 4.73% | ||||||
Enterprise Fleet Financing LLC Series 2023-1 Class A3144A | 5.42 | 10-22-2029 | 1,797,000 | 1,783,714 | ||
GM Financial Automobile Leasing Trust Series 2023-1 Class A4 | 5.16 | 1-20-2027 | 1,667,000 | 1,654,482 | ||
GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1144A | 5.34 | 6-15-2028 | 1,508,000 | 1,506,238 | ||
Navient Private Education Refinance Loan Trust Series 2020-GA Class A144A | 1.17 | 9-16-2069 | 1,140,715 | 1,014,110 | ||
Nelnet Student Loan Trust Series 2004-4 Class A5 (90 Day Average U.S. SOFR+0.42%)± | 5.48 | 1-25-2037 | 1,405,202 | 1,384,624 | ||
SLC Student Loan Trust Series 2010-1 Class A (90 Day Average U.S. SOFR+1.14%)± | 6.30 | 11-25-2042 | 333,287 | 331,122 | ||
SMB Private Education Loan Trust Series 2016-B Class A2B (U.S. SOFR 1 Month+1.56%)144A± | 6.87 | 2-17-2032 | 395,588 | 395,696 | ||
SoFi Professional Loan Program LLC Series 2020-C Class AFX144A | 1.95 | 2-15-2046 | 588,190 | 527,048 | ||
Synchrony Card Funding LLC Series 2023-A1 Class A | 5.54 | 7-15-2029 | 1,652,000 | 1,659,392 | ||
Total asset-backed securities (Cost $10,495,514) | 10,256,426 | |||||
Non-agency mortgage-backed securities: 4.24% | ||||||
Angel Oak Mortgage Trust Series 2020-5 Class A1144A±± | 1.37 | 5-25-2065 | 544,219 | 498,906 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1144A | 2.88 | 7-25-2049 | 478,636 | 445,198 | ||
BX Commercial Mortgage Trust Series 2021-VOLT Class A (U.S. SOFR 1 Month+0.81%)144A± | 6.12 | 9-15-2036 | 2,545,000 | 2,476,327 | ||
BX Commercial Mortgage Trust Series 2021-XL2 Class A (U.S. SOFR 1 Month+0.80%)144A± | 6.11 | 10-15-2038 | 935,970 | 913,360 | ||
Citigroup Commercial Mortgage Trust Series 2014-GC25 Class AAB | 3.37 | 10-10-2047 | 122,280 | 119,994 | ||
NewRez Warehouse Securitization Trust Series 2021-1 Class A (U.S. SOFR 1 Month+0.86%)144A± | 6.18 | 5-25-2055 | 3,495,267 | 3,478,333 | ||
Verus Securitization Trust Series 2019-4 Class A1144A | 2.64 | 11-25-2059 | 163,758 | 156,008 | ||
Verus Securitization Trust Series 2019-INV3 Class A1144A±± | 2.69 | 11-25-2059 | 331,044 | 317,273 | ||
Verus Securitization Trust Series 2021-3 Class A1144A±± | 1.05 | 6-25-2066 | 946,564 | 792,963 | ||
Verus Securitization Trust Series 2021-4 Class A1144A±± | 0.94 | 7-25-2066 | 72 | 56 | ||
Total non-agency mortgage-backed securities (Cost $9,560,149) | 9,198,418 | |||||
U.S. Treasury securities: 12.83% | ||||||
U.S. Treasury Notes## | 0.13 | 1-15-2024 | 7,100,000 | 6,964,102 | ||
U.S. Treasury Notes | 3.75 | 4-15-2026 | 3,919,000 | 3,834,344 | ||
U.S. Treasury Notes | 3.88 | 1-15-2026 | 3,781,000 | 3,709,515 | ||
U.S. Treasury Notes | 4.25 | 10-15-2025 | 2,952,000 | 2,918,905 | ||
U.S. Treasury Notes | 4.38 | 8-15-2026 | 5,408,000 | 5,383,495 | ||
U.S. Treasury Notes | 4.50 | 11-30-2024 | 18,000 | 17,838 | ||
U.S. Treasury Notes | 5.00 | 8-31-2025 | 4,978,000 | 4,992,195 | ||
Total U.S. Treasury securities (Cost $27,873,421) | 27,820,394 |
Yield | Shares | Value | ||||
Short-term investments: 2.13% | ||||||
Investment companies: 2.13% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.26 % | 4,619,516 | $4,619,516 | |||
Total short-term investments (Cost $4,619,516) | 4,619,516 | |||||
Total investments in securities (Cost $231,462,427) | 103.84 % | 225,249,084 | ||||
Other assets and liabilities, net | (3.84 ) | (8,325,097 ) | ||||
Total net assets | 100.00 % | $216,923,987 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
‡ | Security is valued using significant unobservable inputs. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $9,265,106 | $246,305,396 | $(250,950,986 ) | $0 | $0 | $4,619,516 | 4,619,516 | $352,250 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
2-Year U.S. Treasury Notes | 535 | 12-29-2023 | $108,743,722 | $109,035,508 | $291,786 | $0 |
Short | ||||||
Ultra 10-Year U.S. Treasury Notes | (54 ) | 12-19-2023 | (6,203,703 ) | (6,269,906 ) | 0 | (66,203 ) |
5-Year U.S. Treasury Notes | (232 ) | 12-29-2023 | (24,638,754 ) | (24,805,875 ) | 0 | (167,121 ) |
$291,786 | $(233,324 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $226,842,911) | $220,629,568 |
Investments in affiliated securities, at value (cost $4,619,516) | 4,619,516 |
Cash | 17 |
Cash at broker segregated for futures contracts | 1,174,000 |
Principal paydown receivable | 2,775,296 |
Receivable for investments sold | 2,469,360 |
Receivable for interest | 985,514 |
Receivable for Fund shares sold | 52,221 |
Receivable for daily variation margin on open futures contracts | 26,627 |
Prepaid expenses and other assets | 92,620 |
Total assets | 232,824,739 |
Liabilities | |
Payable for when-issued transactions | 9,065,555 |
Payable for investments purchased | 6,240,259 |
Payable for Fund shares redeemed | 318,293 |
Dividends payable | 152,069 |
Management fee payable | 41,094 |
Payable for daily variation margin on open futures contracts | 40,687 |
Administration fees payable | 15,070 |
Trustees’ fees and expenses payable | 1,237 |
Distribution fee payable | 968 |
Accrued expenses and other liabilities | 25,520 |
Total liabilities | 15,900,752 |
Total net assets | $216,923,987 |
Net assets consist of | |
Paid-in capital | $350,275,398 |
Total distributable loss | (133,351,411 ) |
Total net assets | $216,923,987 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $23,260,263 |
Shares outstanding–Class A1 | 2,649,603 |
Net asset value per share–Class A | $8.78 |
Maximum offering price per share – Class A2 | $8.96 |
Net assets–Class C | $1,462,755 |
Shares outstanding–Class C1 | 166,367 |
Net asset value per share–Class C | $8.79 |
Net assets–Class R6 | $36,154,812 |
Shares outstanding–Class R61 | 4,104,303 |
Net asset value per share–Class R6 | $8.81 |
Net assets–Administrator Class | $18,631,614 |
Shares outstanding–Administrator Class1 | 2,118,179 |
Net asset value per share–Administrator Class | $8.80 |
Net assets–Institutional Class | $137,414,543 |
Shares outstanding–Institutional Class1 | 15,631,226 |
Net asset value per share–Institutional Class | $8.79 |
Investment income | |
Interest | $10,821,307 |
Income from affiliated securities | 352,250 |
Total investment income | 11,173,557 |
Expenses | |
Management fee | 1,203,555 |
Administration fees | |
Class A | 42,484 |
Class C | 3,295 |
Class R6 | 11,882 |
Administrator Class | 22,267 |
Institutional Class | 202,490 |
Shareholder servicing fees | |
Class A | 67,024 |
Class C | 5,182 |
Administrator Class | 55,276 |
Distribution fee | |
Class C | 15,548 |
Custody and accounting fees | 27,937 |
Professional fees | 73,288 |
Registration fees | 57,462 |
Shareholder report expenses | 24,726 |
Trustees’ fees and expenses | 25,700 |
Other fees and expenses | 14,582 |
Total expenses | 1,852,698 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (171,325 ) |
Class A | (59 ) |
Class R6 | (11,279 ) |
Administrator Class | (25,641 ) |
Institutional Class | (61,681 ) |
Net expenses | 1,582,713 |
Net investment income | 9,590,844 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (15,910,220 ) |
Futures contracts | (4,056,225 ) |
Net realized losses on investments | (19,966,445 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 9,662,927 |
Futures contracts | 129,408 |
Net change in unrealized gains (losses) on investments | 9,792,335 |
Net realized and unrealized gains (losses) on investments | (10,174,110 ) |
Net decrease in net assets resulting from operations | $(583,266 ) |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $9,590,844 | $4,606,625 | ||
Net realized losses on investments | (19,966,445 ) | (20,233,978 ) | ||
Net change in unrealized gains (losses) on investments | 9,792,335 | (18,519,705 ) | ||
Net decrease in net assets resulting from operations | (583,266 ) | (34,147,058 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (776,407 ) | (598,430 ) | ||
Class C | (44,066 ) | (17,988 ) | ||
Class R6 | (1,313,290 ) | (758,267 ) | ||
Administrator Class | (678,320 ) | (434,404 ) | ||
Institutional Class | (8,064,585 ) | (7,869,553 ) | ||
Total distributions to shareholders | (10,876,668 ) | (9,678,642 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 103,898 | 921,903 | 170,022 | 1,592,587 |
Class C | 6,088 | 54,117 | 8,053 | 74,814 |
Class R6 | 410,399 | 3,651,257 | 1,230,686 | 11,586,137 |
Administrator Class | 251,249 | 2,249,946 | 378,650 | 3,509,562 |
Institutional Class | 5,726,191 | 50,821,066 | 16,694,832 | 156,076,726 |
57,698,289 | 172,839,826 | |||
Reinvestment of distributions | ||||
Class A | 84,224 | 744,518 | 62,180 | 581,610 |
Class C | 4,977 | 44,063 | 1,944 | 17,988 |
Class R6 | 131,680 | 1,168,038 | 76,231 | 712,095 |
Administrator Class | 75,932 | 672,494 | 46,297 | 432,110 |
Institutional Class | 758,037 | 6,713,571 | 745,676 | 6,981,870 |
9,342,684 | 8,725,673 | |||
Payment for shares redeemed | ||||
Class A | (946,327 ) | (8,379,462 ) | (3,825,387 ) | (35,919,031 ) |
Class C | (132,017 ) | (1,173,532 ) | (233,246 ) | (2,192,919 ) |
Class R6 | (1,192,121 ) | (10,595,972 ) | (1,425,467 ) | (13,557,384 ) |
Administrator Class | (1,214,436 ) | (10,771,868 ) | (748,286 ) | (7,075,499 ) |
Institutional Class | (27,736,964 ) | (245,586,462 ) | (39,209,404 ) | (364,188,674 ) |
(276,507,296 ) | (422,933,507 ) | |||
Net decrease in net assets resulting from capital share transactions | (209,466,323 ) | (241,368,008 ) | ||
Total decrease in net assets | (220,926,257 ) | (285,193,708 ) | ||
Net assets | ||||
Beginning of period | 437,850,244 | 723,043,952 | ||
End of period | $216,923,987 | $437,850,244 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.04 | $9.71 | $9.85 | $9.73 | $9.60 |
Net investment income | 0.22 1 | 0.04 1 | 0.00 1,2 | 0.15 | 0.21 |
Net realized and unrealized gains (losses) on investments | (0.22 ) | (0.59 ) | (0.04 ) | 0.18 | 0.16 |
Total from investment operations | 0.00 | (0.55 ) | (0.04 ) | 0.33 | 0.37 |
Distributions to shareholders from | |||||
Net investment income | (0.26 ) | (0.12 ) | (0.10 ) | (0.21 ) | (0.24 ) |
Net asset value, end of period | $8.78 | $9.04 | $9.71 | $9.85 | $9.73 |
Total return3 | 0.02 % | (5.65 )% | (0.45 )% | 3.41 % | 3.92 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.83 % | 0.79 % | 0.79 % | 0.81 % | 0.81 % |
Net expenses | 0.78 % | 0.78 % | 0.78 % | 0.78 % | 0.78 % |
Net investment income | 2.53 % | 0.38 % | 0.01 % | 1.32 % | 2.22 % |
Supplemental data | |||||
Portfolio turnover rate | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $23,260 | $30,817 | $67,959 | $60,425 | $29,618 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Net investment income (loss) | 0.16 1 | (0.03 )1 | (0.07 )1 | 0.07 | 0.14 1 |
Net realized and unrealized gains (losses) on investments | (0.24 ) | (0.58 ) | (0.06 ) | 0.18 | 0.16 |
Total from investment operations | (0.08 ) | (0.61 ) | (0.13 ) | 0.25 | 0.30 |
Distributions to shareholders from | |||||
Net investment income | (0.19 ) | (0.05 ) | (0.02 ) | (0.13 ) | (0.17 ) |
Net asset value, end of period | $8.79 | $9.06 | $9.72 | $9.87 | $9.75 |
Total return2 | (0.84 )% | (6.26 )% | (1.29 )% | 2.64 % | 3.14 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.57 % | 1.53 % | 1.54 % | 1.56 % | 1.56 % |
Net expenses | 1.53 % | 1.52 % | 1.53 % | 1.53 % | 1.53 % |
Net investment income (loss) | 1.75 % | (0.34 )% | (0.69 )% | 0.61 % | 1.49 % |
Supplemental data | |||||
Portfolio turnover rate | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $1,463 | $2,602 | $4,963 | $8,868 | $10,032 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class R6 | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.07 | $9.74 | $9.89 | $9.77 | $9.64 |
Net investment income | 0.26 1 | 0.09 | 0.04 | 0.19 | 0.25 1 |
Net realized and unrealized gains (losses) on investments | (0.22 ) | (0.60 ) | (0.05 ) | 0.18 | 0.16 |
Total from investment operations | 0.04 | (0.51 ) | (0.01 ) | 0.37 | 0.41 |
Distributions to shareholders from | |||||
Net investment income | (0.30 ) | (0.16 ) | (0.14 ) | (0.25 ) | (0.28 ) |
Net asset value, end of period | $8.81 | $9.07 | $9.74 | $9.89 | $9.77 |
Total return | 0.43 % | (5.24 )% | (0.13 )% | 3.83 % | 4.34 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.45 % | 0.42 % | 0.41 % | 0.43 % | 0.43 % |
Net expenses | 0.37 % | 0.37 % | 0.37 % | 0.37 % | 0.37 % |
Net investment income | 2.95 % | 0.93 % | 0.42 % | 1.77 % | 2.62 % |
Supplemental data | |||||
Portfolio turnover rate | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $36,155 | $43,142 | $47,471 | $48,371 | $41,987 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.06 | $9.73 | $9.87 | $9.75 | $9.62 |
Net investment income | 0.24 1 | 0.06 | 0.02 1 | 0.16 1 | 0.23 1 |
Net realized and unrealized gains (losses) on investments | (0.22 ) | (0.59 ) | (0.05 ) | 0.19 | 0.16 |
Total from investment operations | 0.02 | (0.53 ) | (0.03 ) | 0.35 | 0.39 |
Distributions to shareholders from | |||||
Net investment income | (0.28 ) | (0.14 ) | (0.11 ) | (0.23 ) | (0.26 ) |
Net asset value, end of period | $8.80 | $9.06 | $9.73 | $9.87 | $9.75 |
Total return | 0.20 % | (5.47 )% | (0.26 )% | 3.60 % | 4.10 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.76 % | 0.73 % | 0.73 % | 0.75 % | 0.75 % |
Net expenses | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % |
Net investment income | 2.67 % | 0.68 % | 0.20 % | 1.54 % | 2.41 % |
Supplemental data | |||||
Portfolio turnover rate | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $18,632 | $27,229 | $32,375 | $36,262 | $38,816 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Net investment income | 0.25 1 | 0.07 1 | 0.04 1 | 0.17 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.23 ) | (0.57 ) | (0.06 ) | 0.19 | 0.16 |
Total from investment operations | 0.02 | (0.50 ) | (0.02 ) | 0.36 | 0.41 |
Distributions to shareholders from | |||||
Net investment income | (0.29 ) | (0.16 ) | (0.13 ) | (0.24 ) | (0.28 ) |
Net asset value, end of period | $8.79 | $9.06 | $9.72 | $9.87 | $9.75 |
Total return | 0.27 % | (5.20 )% | (0.19 )% | 3.78 % | 4.29 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.49 % | 0.46 % | 0.46 % | 0.48 % | 0.48 % |
Net expenses | 0.42 % | 0.42 % | 0.42 % | 0.42 % | 0.42 % |
Net investment income | 2.81 % | 0.79 % | 0.37 % | 1.72 % | 2.57 % |
Supplemental data | |||||
Portfolio turnover rate | 350 % | 367 % | 294 % | 395 % | 635 % |
Net assets, end of period (000s omitted) | $137,415 | $334,060 | $570,276 | $451,715 | $445,211 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $466,313 |
Gross unrealized losses | (6,723,903 ) |
Net unrealized losses | $(6,257,590 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $169,177,942 | $4,176,388 | $173,354,330 |
Asset-backed securities | 0 | 10,256,426 | 0 | 10,256,426 |
Non-agency mortgage-backed securities | 0 | 9,198,418 | 0 | 9,198,418 |
U.S. Treasury securities | 27,820,394 | 0 | 0 | 27,820,394 |
Short-term investments | ||||
Investment companies | 4,619,516 | 0 | 0 | 4,619,516 |
32,439,910 | 188,632,786 | 4,176,388 | 225,249,084 | |
Futures contracts | 291,786 | 0 | 0 | 291,786 |
Total assets | $32,731,696 | $188,632,786 | $4,176,388 | $225,540,870 |
Liabilities | ||||
Futures contracts | $233,324 | $0 | $0 | $233,324 |
Total liabilities | $233,324 | $0 | $0 | $233,324 |
Balance, beginning of period | Net Purchases | Net Sales/ Settlements | Accrued Discounts (Premiums) | Realized Gains (Losses) | Net Change in Unrealized gains (losses) | Transfers into Level 3 | Transfers out of Level 3 | Balance, end of period | |
Investments in: | |||||||||
Agency securities | $0 | $4,184,387 | $0 | $0 | $0 | $(7,999 ) | $0 | $0 | $4,176,388 |
Net Change in Unrealized Gains (Losses) on Investments Held at August 31, 2023 | |
Investments in: | |
Agency securities | $(7,999 ) |
Average daily net assets | Management fee |
First $1 billion | 0.350 % |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.77 % |
Class C | 1.52 |
Class R6 | 0.37 |
Administrator Class | 0.60 |
Institutional Class | 0.42 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$933,268,247 | $268,123,520 | $926,826,820 | $417,946,939 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$387,358 | $(6,257,590 ) | $(127,329,110 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR0932 08-23
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SSTVX) | 8-31-1999 | 0.12 | 1.26 | 1.20 | 2.16 | 1.67 | 1.40 | 0.82 | 0.62 |
Class C (WFSHX) | 3-31-2008 | 0.38 | 0.90 | 0.80 | 1.38 | 0.90 | 0.80 | 1.57 | 1.37 |
Class R6 (SSTYX)3 | 7-31-2018 | – | – | – | 2.63 | 1.96 | 1.70 | 0.44 | 0.25 |
Institutional Class (SSHIX) | 8-31-1999 | – | – | – | 2.45 | 1.93 | 1.67 | 0.49 | 0.30 |
Bloomberg U.S. 1-3 Year Government/Credit Bond Index4 | – | – | – | – | 1.57 | 1.21 | 1.05 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2024, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.61% for Class A, 1.36% for Class C, 0.24% for Class R6 and 0.29% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. 1-3 Year Government/Credit Bond Index is the one- to three-year component of the Bloomberg U.S. Government/Credit Bond Index that includes securities in the Government and Credit Indexes. The Government Index includes Treasuries (that is, public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (that is, publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. 1-3 Year Government/Credit Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 2.00%. |
Ten largest holdings (%) as of August 31, 20231 | |
U.S. Treasury Notes, 1.13%, 1-15-2025 | 6.56 |
U.S. Treasury Notes, 0.38%, 12-31-2025 | 6.49 |
U.S. Treasury Notes, 3.25%, 8-31-2024 | 3.99 |
French Republic, 0.75%, 2-25-2028 | 1.73 |
U.K. Gilts, 1.63%, 10-22-2028 | 1.53 |
GNMA, 6.00%, 9-21-2053 | 1.08 |
CPS Auto Receivables Trust, 1.16%, 12-15-2026 | 0.78 |
Avis Budget Rental Car Funding AESOP LLC, 3.35%, 9-22-2025 | 0.73 |
Anchorage Capital CLO 6 Ltd., 7.42%, 7-15-2030 | 0.69 |
CIFC Funding Ltd., 6.57%, 4-18-2031 | 0.69 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,021.07 | $3.26 | 0.64 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.98 | $3.26 | 0.64 % |
Class C | ||||
Actual | $1,000.00 | $1,018.41 | $7.07 | 1.39 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.20 | $7.07 | 1.39 % |
Class R6 | ||||
Actual | $1,000.00 | $1,024.14 | $1.43 | 0.28 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.79 | $1.43 | 0.28 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,022.65 | $1.68 | 0.33 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.54 | $1.68 | 0.33 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 1.66% | ||||||
FHLMC | 4.00 % | 5-1-2025 | $ | 84,480 | $83,128 | |
FHLMC Multifamily Structured Pass-Through Certificates Series Q004 Class AFL (12 Month Treasury Average+0.74%)± | 5.37 | 5-25-2044 | 283,254 | 283,116 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A6 | 9.50 | 2-25-2042 | 195,530 | 213,812 | ||
FHLMC Structured Pass-Through Certificates Series T-57 Class 2A1±± | 3.81 | 7-25-2043 | 46,293 | 42,514 | ||
FHLMC Structured Pass-Through Certificates Series T-59 Class 2A1±± | 3.76 | 10-25-2043 | 489,496 | 373,761 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.47 | 4-1-2038 | 70,015 | 70,291 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.25 | 4-1-2032 | 10,598 | 10,479 | ||
FHLMC (12 Month LIBOR+1.91%)± | 4.16 | 9-1-2031 | 1,564 | 1,542 | ||
FHLMC (3 Year Treasury Constant Maturity+2.18%)± | 3.58 | 5-1-2026 | 1,536 | 1,513 | ||
FHLMC Series 2597 Class AE | 5.50 | 4-15-2033 | 7,141 | 7,066 | ||
FHLMC Series 3735 Class KL | 3.50 | 10-15-2025 | 66,493 | 64,941 | ||
FNMA | 6.00 | 3-1-2033 | 46,824 | 46,944 | ||
FNMA | 6.50 | 8-1-2031 | 110,169 | 113,961 | ||
FNMA | 9.00 | 11-1-2024 | 5,263 | 5,245 | ||
FNMA (1 Year Treasury Constant Maturity+1.27%)± | 3.40 | 8-1-2034 | 48,957 | 47,805 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 4.32 | 11-1-2031 | 20,995 | 20,667 | ||
FNMA (1 Year Treasury Constant Maturity+2.27%)± | 4.88 | 8-1-2036 | 346,852 | 352,239 | ||
FNMA (12 Month LIBOR+1.77%)± | 4.83 | 7-1-2044 | 233,001 | 237,127 | ||
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 13,167 | 14,208 | ||
FNMA Series 2002-T12 Class A4 | 9.50 | 5-25-2042 | 321,225 | 331,518 | ||
FNMA Series 2003-W11 Class A1±± | 5.72 | 6-25-2033 | 3,593 | 3,577 | ||
FNMA Series 2003-W6 Class 6A±± | 3.96 | 8-25-2042 | 240,550 | 228,685 | ||
FNMA Series 2003-W6 Class PT4±± | 8.35 | 10-25-2042 | 30,476 | 32,207 | ||
FNMA Series 2005-84 Class MB | 5.75 | 10-25-2035 | 82,030 | 81,617 | ||
FNMA Series 2006-W1 Class 2AF2 (30 Day Average U.S. SOFR+0.30%)± | 5.59 | 2-25-2046 | 496,125 | 490,472 | ||
FNMA Series 2009-87 Class QC | 4.00 | 8-25-2037 | 10,365 | 10,294 | ||
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 84,162 | 83,319 | ||
FNMA Series 2011-48 Class CN | 4.00 | 6-25-2026 | 75,272 | 73,463 | ||
GNMA%% | 6.00 | 9-21-2053 | 6,185,000 | 6,205,053 | ||
GNMA | 8.00 | 12-15-2023 | 18 | 18 | ||
GNMA Series 2005-27 Class PA | 4.50 | 4-20-2035 | 19,045 | 18,543 | ||
Total agency securities (Cost $9,643,125) | 9,549,125 | |||||
Asset-backed securities: 19.55% | ||||||
Anchorage Capital CLO 6 Ltd. Series 2015-6A Class B2RR (U.S. SOFR 3 Month+2.11%)144A± | 7.42 | 7-15-2030 | 4,000,000 | 3,976,658 | ||
Apex Credit CLO LLC Series 2017-2A Class BR (3 Month LIBOR+1.60%)144A± | 7.11 | 9-20-2029 | 3,000,000 | 2,943,143 | ||
Aqua Finance Trust Series 2021-A Class A144A | 1.54 | 7-17-2046 | 1,573,669 | 1,388,187 | ||
Arm Master Trust LLC Series 2023-T1 Class A144A | 6.56 | 2-17-2025 | 3,200,000 | 3,192,540 | ||
Auburn CLO Ltd. Series 2017-1A Class A2A (U.S. SOFR 3 Month+1.88%)144A± | 7.21 | 10-20-2030 | 470,000 | 467,749 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Avis Budget Rental Car Funding AESOP LLC Series 2019-2A Class A144A | 3.35 % | 9-22-2025 | $ | 4,330,000 | $4,227,689 | |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A Class B144A | 2.68 | 8-20-2026 | 2,220,000 | 2,076,236 | ||
BHG Securitization Trust Series 2021-A Class A144A | 1.42 | 11-17-2033 | 1,231,134 | 1,148,173 | ||
BHG Securitization Trust Series 2021-A Class B144A | 2.79 | 11-17-2033 | 1,335,000 | 1,183,753 | ||
Black Diamond CLO Ltd. Series 2017-1A Class A1AR (U.S. SOFR 3 Month+1.31%)144A± | 6.66 | 4-24-2029 | 1,455,191 | 1,453,392 | ||
Bojangles Issuer LLC Series 2020-1A Class A2144A | 3.83 | 10-20-2050 | 2,191,625 | 2,002,170 | ||
BRAVO Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR+0.75%)144A± | 6.04 | 11-25-2069 | 1,762,051 | 1,729,890 | ||
Cajun Global LLC Series 2021-1 Class A2144A | 3.93 | 11-20-2051 | 973,750 | 853,231 | ||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class CR3 (U.S. SOFR 3 Month+2.26%)144A± | 7.59 | 7-20-2031 | 3,000,000 | 2,931,436 | ||
CFMT LLC Series 2021-AL1 Class B144A | 1.39 | 9-22-2031 | 1,023,798 | 986,522 | ||
CIFC Funding Ltd. Series 2017-2A Class CR (U.S. SOFR 3 Month+2.11%)144A± | 7.44 | 4-20-2030 | 1,250,000 | 1,219,793 | ||
CIFC Funding Ltd. Series 2018-1A Class A (U.S. SOFR 3 Month+1.26%)144A± | 6.57 | 4-18-2031 | 4,000,000 | 3,983,980 | ||
Commonbond Student Loan Trust Series 2018-BGS Class A1144A | 3.56 | 9-25-2045 | 701,043 | 651,931 | ||
Contimortgage Home Equity Loan Trust Series 1996-2 Class IOƒ±±¤ | 0.00 | 7-15-2027 | 359,338 | 4,758 | ||
CPS Auto Receivables Trust Series 2020-A Class D144A | 2.90 | 12-15-2025 | 132,026 | 131,816 | ||
CPS Auto Receivables Trust Series 2021-A Class D144A | 1.16 | 12-15-2026 | 4,645,000 | 4,495,516 | ||
Domino’s Pizza Master Issuer LLC Series 2015-1A Class A2II144A | 4.47 | 10-25-2045 | 3,077,250 | 2,947,707 | ||
Drive Auto Receivables Trust Series 2019-3 Class D | 3.18 | 10-15-2026 | 1,305,765 | 1,301,324 | ||
Dryden 72 CLO Ltd. Series 2019-72A Class CR (U.S. SOFR 3 Month+2.11%)144A± | 7.48 | 5-15-2032 | 1,000,000 | 963,102 | ||
DT Auto Owner Trust Series 2020-2A Class C144A | 3.28 | 3-16-2026 | 529,683 | 526,839 | ||
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (U.S. SOFR 1 Month+1.24%)± | 6.55 | 9-25-2033 | 107,338 | 104,328 | ||
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 1,800,000 | 1,740,303 | ||
FirstKey Homes Trust Series 2021-SFR1 Class C144A | 1.89 | 8-17-2038 | 1,835,000 | 1,603,872 | ||
FirstKey Homes Trust Series 2021-SFR2 Class B144A | 1.61 | 9-17-2038 | 2,235,000 | 1,953,575 | ||
FS Rialto Issuer Ltd. Series 2021-FL3 Class B (U.S. SOFR 1 Month+1.91%)144A± | 7.23 | 11-16-2036 | 2,000,000 | 1,900,714 | ||
Gracie Point International Funding Series 2021-1A Class B (1 Month LIBOR+1.40%)144A± | 6.83 | 11-1-2023 | 1,500,000 | 1,499,715 | ||
Gracie Point International Funding Series 2022-1A Class B (30 Day Average U.S. SOFR+2.75%)144A± | 8.06 | 4-1-2024 | 1,595,000 | 1,602,867 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class A144A | 1.21 | 12-26-2025 | 2,325,000 | 2,200,759 | ||
HGI CRE CLO Ltd. Series 2021-FL1 Class A (U.S. SOFR 1 Month+1.16%)144A± | 6.48 | 6-16-2036 | 1,126,370 | 1,104,308 | ||
HGI CRE CLO Ltd. Series 2021-FL2 Class C (1 Month LIBOR+1.80%)144A± | 7.23 | 9-17-2036 | 1,000,000 | 954,126 | ||
Jonah Energy Abs I LLC Series 2022-1 Class A1144A | 7.20 | 12-10-2037 | 2,437,685 | 2,386,631 | ||
JPMorgan Chase Bank NA - CACLN Series 2020-1 Class B144A | 0.99 | 1-25-2028 | 31,233 | 31,116 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Madison Park Funding XX Ltd. Series 2016-20A Class BR (U.S. SOFR 3 Month+1.81%)144A± | 7.17 % | 7-27-2030 | $ | 1,570,000 | $1,554,841 | |
Marlette Funding Trust Series 2021-2A Class B144A | 1.06 | 9-15-2031 | 1,142,415 | 1,130,221 | ||
MF1 Ltd. Series 2022-FL8 Class A (U.S. SOFR 1 Month+1.35%)144A± | 6.66 | 2-19-2037 | 3,800,000 | 3,728,750 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month+0.96%)144A± | 6.28 | 7-15-2036 | 912,251 | 896,287 | ||
Navient Private Education Refinance Loan Trust Series 2021-EA Class A144A | 0.97 | 12-16-2069 | 2,104,819 | 1,771,728 | ||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A2R (U.S. SOFR 3 Month+1.71%)144A± | 7.04 | 3-17-2030 | 2,190,000 | 2,164,342 | ||
Octane Receivables Trust Series 2020-1A Class A144A | 1.71 | 2-20-2025 | 1,747 | 1,745 | ||
Octane Receivables Trust Series 2021-1A Class A144A | 0.93 | 3-22-2027 | 333,983 | 326,497 | ||
Octane Receivables Trust Series 2022-2A Class A144A | 5.11 | 2-22-2028 | 1,078,531 | 1,067,855 | ||
Octane Receivables Trust Series 2023-1A Class A144A | 5.87 | 5-21-2029 | 605,435 | 603,136 | ||
Octane Receivables Trust Series 2023-1A Class B144A | 5.96 | 7-20-2029 | 645,000 | 638,061 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 2,855,000 | 2,731,436 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A144A | 1.22 | 1-16-2029 | 1,265,706 | 1,219,679 | ||
Pagaya AI Debt Selection Trust Series 2023-1 Class A144A | 7.56 | 7-15-2030 | 2,633,139 | 2,640,052 | ||
PFS Financing Corp. Series 2021-A Class A144A | 0.71 | 4-15-2026 | 2,010,000 | 1,944,450 | ||
PFS Financing Corp. Series 2021-A Class B144A | 0.96 | 4-15-2026 | 1,000,000 | 964,757 | ||
Prodigy Finance CM2021-1 DAC Series 2021-1A Class A (U.S. SOFR 1 Month+1.36%)144A± | 6.68 | 7-25-2051 | 1,304,730 | 1,288,390 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 595,255 | 592,975 | ||
Service Experts Issuer LLC Series 2021-1A Class A144A | 2.67 | 2-2-2032 | 1,862,962 | 1,699,364 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR+0.67%)144A± | 6.22 | 12-17-2068 | 1,917,658 | 1,901,303 | ||
SLM Student Loan Trust Series 2012-3 Class A (30 Day Average U.S. SOFR+0.76%)± | 6.05 | 12-27-2038 | 1,129,472 | 1,100,987 | ||
SLM Student Loan Trust Series 2013-1 Class A3 (30 Day Average U.S. SOFR+0.66%)± | 5.95 | 5-26-2055 | 578,751 | 562,010 | ||
Sound Point CLO Ltd. Series 2015-1RA Class BR (U.S. SOFR 3 Month+1.81%)144A± | 7.12 | 4-15-2030 | 2,660,000 | 2,599,172 | ||
Sound Point CLO VIII-R Ltd. Series 2015-1RA Class AR (U.S. SOFR 3 Month+1.34%)144A± | 6.65 | 4-15-2030 | 559,298 | 557,978 | ||
SpringCastle America Funding LLC Series 2020-AA Class A144A | 1.97 | 9-25-2037 | 760,360 | 690,498 | ||
Store Master Funding I-VII Series 2018-1A Class A2144A | 4.29 | 10-20-2048 | 958,254 | 879,223 | ||
Taco Bell Funding LLC Series 2021-1A Class A2I144A | 1.95 | 8-25-2051 | 2,711,700 | 2,349,341 | ||
THL Credit Wind River CLO Ltd. Series 2013-2A Class AR2 (U.S. SOFR 3 Month+1.26%)144A± | 6.57 | 10-18-2030 | 3,221,649 | 3,212,831 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (U.S. SOFR 1 Month+0.71%)144A± | 6.03 | 1-25-2046 | 218,252 | 217,498 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1144A±± | 3.00 | 11-25-2058 | 80,446 | 79,625 | ||
Venture XXIX CLO Ltd. Series 2017-29A Class AR (U.S. SOFR 3 Month+1.25%)144A± | 6.62 | 9-7-2030 | 2,197,322 | 2,193,307 | ||
Vibrant CLO VI Ltd. Series 2017-6A Class AR (3 Month LIBOR+0.95%)144A± | 6.46 | 6-20-2029 | 1,007,286 | 1,006,080 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Voya CLO Ltd. Series 2017-1A Class BR (U.S. SOFR 3 Month+2.16%)144A± | 7.47 % | 4-17-2030 | $ | 2,500,000 | $2,422,835 | |
Zais CLO 6 Ltd. Series 2017-1A Class CR (U.S. SOFR 3 Month+2.91%)144A± | 8.22 | 7-15-2029 | 2,050,000 | 2,021,714 | ||
Total asset-backed securities (Cost $116,539,731) | 112,628,817 |
Shares | ||||||
Common stocks: 0.01% | ||||||
Consumer discretionary: 0.01% | ||||||
Hotels, restaurants & leisure: 0.01% | ||||||
Royal Caribbean Cruises Ltd.† | 535 | 52,933 | ||||
Total common stocks (Cost $116,969) | 52,933 |
Principal | ||||||
Corporate bonds and notes: 28.52% | ||||||
Basic materials: 0.58% | ||||||
Chemicals: 0.16% | ||||||
International Flavors & Fragrances, Inc.144A | 1.23 | 10-1-2025 | $ | 1,000,000 | 895,372 | |
Mining: 0.42% | ||||||
Glencore Funding LLC144A | 5.40 | 5-8-2028 | 2,465,000 | 2,441,188 | ||
Communications: 0.67% | ||||||
Telecommunications: 0.67% | ||||||
Sprint LLC | 7.63 | 3-1-2026 | 2,000,000 | 2,073,056 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 875,000 | 866,073 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 5.15 | 3-20-2028 | 950,000 | 941,907 | ||
3,881,036 | ||||||
Consumer, cyclical: 4.56% | ||||||
Airlines: 0.33% | ||||||
American Airlines Pass-Through Trust Series 2017-2 Class B | 3.70 | 10-15-2025 | 1,483,407 | 1,406,216 | ||
United Airlines Pass-Through Trust Series 2020-1 Class B | 4.88 | 1-15-2026 | 523,665 | 508,091 | ||
1,914,307 | ||||||
Apparel: 0.38% | ||||||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 2,241,000 | 2,201,513 | ||
Auto manufacturers: 2.11% | ||||||
American Honda Finance Corp. | 5.13 | 7-7-2028 | 3,000,000 | 3,002,015 | ||
Daimler Truck Finance North America LLC144A | 5.15 | 1-16-2026 | 2,000,000 | 1,984,858 | ||
Ford Motor Credit Co. LLC | 2.30 | 2-10-2025 | 4,000,000 | 3,757,913 | ||
General Motors Financial Co., Inc. | 6.00 | 1-9-2028 | 1,300,000 | 1,303,217 |
Interest rate | Maturity date | Principal | Value | |||
Auto manufacturers (continued) | ||||||
Hyundai Capital America144A | 1.30 % | 1-8-2026 | $ | 1,115,000 | $1,009,119 | |
Hyundai Capital America144A | 5.65 | 6-26-2026 | 1,080,000 | 1,077,742 | ||
12,134,864 | ||||||
Entertainment: 0.41% | ||||||
Warnermedia Holdings, Inc. | 3.64 | 3-15-2025 | 1,000,000 | 967,520 | ||
Warnermedia Holdings, Inc. | 3.76 | 3-15-2027 | 1,500,000 | 1,406,877 | ||
2,374,397 | ||||||
Housewares: 0.37% | ||||||
Newell Brands, Inc. | 4.70 | 4-1-2026 | 2,250,000 | 2,155,738 | ||
Lodging: 0.53% | ||||||
Genting New York LLC/GENNY Capital, Inc.144A | 3.30 | 2-15-2026 | 1,080,000 | 962,630 | ||
Las Vegas Sands Corp. | 3.20 | 8-8-2024 | 2,155,000 | 2,086,401 | ||
3,049,031 | ||||||
Retail: 0.43% | ||||||
Advance Auto Parts, Inc. | 5.95 | 3-9-2028 | 2,500,000 | 2,472,231 | ||
Consumer, non-cyclical: 1.93% | ||||||
Agriculture: 0.79% | ||||||
Altria Group, Inc. | 1.70 | 6-15-2025 | 1,515,000 | 1,574,707 | ||
Philip Morris International, Inc. | 4.88 | 2-15-2028 | 3,000,000 | 2,961,270 | ||
4,535,977 | ||||||
Commercial services: 0.81% | ||||||
CoreCivic, Inc. | 8.25 | 4-15-2026 | 2,500,000 | 2,509,920 | ||
Equifax, Inc. | 5.10 | 6-1-2028 | 2,205,000 | 2,156,395 | ||
4,666,315 | ||||||
Pharmaceuticals: 0.33% | ||||||
Utah Acquisition Sub, Inc. | 3.95 | 6-15-2026 | 2,000,000 | 1,890,419 | ||
Energy: 0.38% | ||||||
Pipelines: 0.38% | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 3.85 | 10-15-2023 | 2,205,000 | 2,198,804 | ||
Financial: 15.14% | ||||||
Banks: 6.41% | ||||||
Bank of America Corp. (U.S. SOFR+0.65%)± | 1.53 | 12-6-2025 | 2,500,000 | 2,364,028 | ||
Bank of America Corp. (U.S. SOFR+0.73%)± | 0.81 | 10-24-2024 | 3,000,000 | 2,976,755 | ||
Bank of America Corp. Series N (U.S. SOFR+0.91%)± | 1.66 | 3-11-2027 | 2,370,000 | 2,141,526 | ||
Citigroup, Inc. (U.S. SOFR+1.28%)± | 3.07 | 2-24-2028 | 2,500,000 | 2,294,901 | ||
Citigroup, Inc. (U.S. SOFR+1.55%)± | 5.61 | 9-29-2026 | 3,000,000 | 2,986,305 | ||
Goldman Sachs Group, Inc. (U.S. SOFR+0.91%)± | 1.95 | 10-21-2027 | 3,000,000 | 2,669,745 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.49%)± | 0.77 | 8-9-2025 | 2,000,000 | 1,900,062 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.54%)± | 0.82 | 6-1-2025 | 1,220,000 | 1,171,530 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.70%)± | 1.04 | 2-4-2027 | 835,000 | 747,379 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
Morgan Stanley (U.S. SOFR+0.56%)± | 1.16 % | 10-21-2025 | $ | 2,000,000 | $1,886,164 | |
Morgan Stanley (U.S. SOFR+1.73%)± | 5.12 | 2-1-2029 | 2,035,000 | 1,994,566 | ||
Morgan Stanley (U.S. SOFR+1.99%)± | 2.19 | 4-28-2026 | 2,305,000 | 2,172,343 | ||
Santander Holdings USA, Inc. (U.S. SOFR+1.38%)± | 4.26 | 6-9-2025 | 800,000 | 784,213 | ||
Santander Holdings USA, Inc. (U.S. SOFR+2.33%)± | 5.81 | 9-9-2026 | 1,250,000 | 1,238,342 | ||
Truist Financial Corp. (U.S. SOFR+1.44%)± | 4.87 | 1-26-2029 | 2,800,000 | 2,686,263 | ||
Truist Financial Corp. (U.S. SOFR+2.05%)± | 6.05 | 6-8-2027 | 1,000,000 | 999,301 | ||
U.S. Bancorp (U.S. SOFR+2.02%)± | 5.78 | 6-12-2029 | 3,135,000 | 3,128,152 | ||
Wells Fargo & Co. (U.S. SOFR+1.51%)± | 3.53 | 3-24-2028 | 3,000,000 | 2,791,268 | ||
36,932,843 | ||||||
Diversified financial services: 1.15% | ||||||
Blackstone Holdings Finance Co. LLC144A | 5.90 | 11-3-2027 | 2,145,000 | 2,172,238 | ||
Capital One Financial Corp. | 0.80 | 6-12-2024 | 2,500,000 | 2,622,361 | ||
GTP Acquisition Partners I LLC Series 2015-2 Class A144A | 3.48 | 6-16-2025 | 1,900,000 | 1,817,367 | ||
6,611,966 | ||||||
Insurance: 5.25% | ||||||
Allied World Assurance Co. Holdings Ltd. | 4.35 | 10-29-2025 | 2,880,000 | 2,763,154 | ||
Athene Global Funding | 0.37 | 9-10-2026 | 2,000,000 | 1,903,469 | ||
Brighthouse Financial Global Funding144A | 1.00 | 4-12-2024 | 2,000,000 | 1,939,147 | ||
Equitable Financial Life Global Funding144A | 5.50 | 12-2-2025 | 3,080,000 | 3,050,803 | ||
GA Global Funding Trust144A | 1.00 | 4-8-2024 | 3,022,000 | 2,920,520 | ||
Guardian Life Global Funding144A | 5.55 | 10-28-2027 | 2,815,000 | 2,836,253 | ||
Lincoln National Corp. | 3.63 | 12-12-2026 | 1,500,000 | 1,405,213 | ||
Metropolitan Life Global Funding I144A | 4.40 | 6-30-2027 | 2,000,000 | 1,933,019 | ||
Minnesota Life Insurance Co.144A | 8.25 | 9-15-2025 | 3,000,000 | 3,089,554 | ||
New York Life Global Funding144A | 4.90 | 6-13-2028 | 3,000,000 | 2,966,151 | ||
Northwestern Mutual Global Funding144A | 4.90 | 6-12-2028 | 3,000,000 | 2,966,718 | ||
Protective Life Global Funding144A | 1.62 | 4-15-2026 | 2,370,000 | 2,138,385 | ||
Security Benefit Global Funding144A | 1.25 | 5-17-2024 | 335,000 | 322,034 | ||
30,234,420 | ||||||
REITS: 2.33% | ||||||
Boston Properties LP | 3.20 | 1-15-2025 | 500,000 | 479,467 | ||
Brandywine Operating Partnership LP | 7.55 | 3-15-2028 | 1,140,000 | 1,068,931 | ||
EPR Properties | 4.50 | 4-1-2025 | 1,500,000 | 1,437,481 | ||
Omega Healthcare Investors, Inc. | 4.75 | 1-15-2028 | 145,000 | 136,167 | ||
Piedmont Operating Partnership LP | 9.25 | 7-20-2028 | 980,000 | 1,002,370 | ||
Realty Income Corp. | 4.70 | 12-15-2028 | 3,000,000 | 2,911,371 | ||
Sabra Health Care LP | 5.13 | 8-15-2026 | 1,490,000 | 1,441,547 | ||
Starwood Property Trust, Inc.144A | 3.75 | 12-31-2024 | 65,000 | 62,481 | ||
Starwood Property Trust, Inc.144A | 5.50 | 11-1-2023 | 750,000 | 747,260 | ||
VICI Properties LP | 4.38 | 5-15-2025 | 1,835,000 | 1,784,005 | ||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 3.75 | 9-17-2024 | 2,500,000 | 2,383,130 | ||
13,454,210 |
Interest rate | Maturity date | Principal | Value | |||
Industrial: 0.65% | ||||||
Trucking & leasing: 0.65% | ||||||
DAE Funding LLC144A | 1.55 % | 8-1-2024 | $ | 1,000,000 | $954,094 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 5.75 | 5-24-2026 | 1,800,000 | 1,787,533 | ||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 6.05 | 8-1-2028 | 1,000,000 | 1,000,868 | ||
3,742,495 | ||||||
Technology: 1.08% | ||||||
Computers: 0.31% | ||||||
Kyndryl Holdings, Inc. | 2.05 | 10-15-2026 | 2,010,000 | 1,769,180 | ||
Semiconductors: 0.77% | ||||||
Microchip Technology, Inc. | 2.67 | 9-1-2023 | 1,525,000 | 1,525,000 | ||
Micron Technology, Inc. | 5.38 | 4-15-2028 | 3,000,000 | 2,949,241 | ||
4,474,241 | ||||||
Utilities: 3.53% | ||||||
Electric: 3.53% | ||||||
AES Corp. | 5.45 | 6-1-2028 | 1,500,000 | 1,471,991 | ||
Alexander Funding Trust144A | 1.84 | 11-15-2023 | 2,000,000 | 1,979,301 | ||
Black Hills Corp. | 5.95 | 3-15-2028 | 2,250,000 | 2,281,538 | ||
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.98 | 5-13-2024 | 680,000 | 679,828 | ||
Evergy Missouri West, Inc.144A | 5.15 | 12-15-2027 | 2,500,000 | 2,461,095 | ||
National Rural Utilities Cooperative Finance Corp. | 5.05 | 9-15-2028 | 3,000,000 | 2,993,650 | ||
New York State Electric & Gas Corp.144A | 5.65 | 8-15-2028 | 1,260,000 | 1,264,967 | ||
NextEra Energy Capital Holdings, Inc. | 6.05 | 3-1-2025 | 1,750,000 | 1,756,899 | ||
San Diego Gas & Electric Co. | 4.95 | 8-15-2028 | 2,540,000 | 2,514,250 | ||
Vistra Operations Co. LLC144A | 3.55 | 7-15-2024 | 3,000,000 | 2,919,141 | ||
20,322,660 | ||||||
Total corporate bonds and notes (Cost $168,786,151) | 164,353,207 | |||||
Foreign corporate bonds and notes: 1.70% | ||||||
Communications: 0.26% | ||||||
Telecommunications: 0.26% | ||||||
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.19%)ʊ± | 2.88 | 5-27-2026 | EUR | 1,625,000 | 1,524,895 | |
Consumer, cyclical: 0.58% | ||||||
Auto parts & equipment: 0.50% | ||||||
Conti-Gummi Finance BV | 1.13 | 9-25-2024 | EUR | 2,000,000 | 2,098,435 | |
Forvia SE | 7.25 | 6-15-2026 | EUR | 700,000 | 788,557 | |
2,886,992 | ||||||
Entertainment: 0.08% | ||||||
Cirsa Finance International Sarl144A | 10.38 | 11-30-2027 | EUR | 400,000 | 466,813 | |
Consumer, non-cyclical: 0.17% | ||||||
Commercial services: 0.06% | ||||||
Verisure Holding AB144A | 9.25 | 10-15-2027 | EUR | 300,000 | 346,450 |
Interest rate | Maturity date | Principal | Value | |||
Pharmaceuticals: 0.11% | ||||||
Bayer AG (EURIBOR ICE Swap Rate 11:00am+2.65%)± | 2.38 % | 11-12-2079 | EUR | 600,000 | $605,068 | |
Financial: 0.45% | ||||||
Banks: 0.19% | ||||||
Permanent TSB Group Holdings PLC (EUR Swap Annual (vs. 6 Month EURIBOR) 1 Year+2.55%)± | 2.13 | 9-26-2024 | EUR | 1,000,000 | 1,082,876 | |
Real estate: 0.26% | ||||||
Aedas Homes Opco SLU144A | 4.00 | 8-15-2026 | EUR | 1,500,000 | 1,492,506 | |
Industrial: 0.24% | ||||||
Packaging & containers: 0.24% | ||||||
Canpack SA/Canpack U.S. LLC144A | 2.38 | 11-1-2027 | EUR | 1,500,000 | 1,390,680 | |
Total foreign corporate bonds and notes (Cost $11,020,521) | 9,796,280 | |||||
Foreign government bonds: 4.53% | ||||||
Brazil¤ | 0.00 | 1-1-2024 | BRL | 17,000,000 | 3,304,994 | |
French Republic | 0.75 | 2-25-2028 | EUR | 10,045,000 | 9,953,276 | |
Malaysia | 3.88 | 3-14-2025 | MYR | 6,895,000 | 1,498,553 | |
Spain¤ | 0.00 | 1-31-2028 | EUR | 2,680,000 | 2,535,721 | |
U.K. Gilts | 1.63 | 10-22-2028 | GBP | 7,950,000 | 8,810,165 | |
Total foreign government bonds (Cost $26,148,949) | 26,102,709 |
Shares | ||||||
Investment companies: 0.58% | ||||||
Exchange-traded funds: 0.58% | ||||||
iShares 0-5 Year High Yield Corporate Bond ETF | 80,600 | 3,353,766 | ||||
Total investment companies (Cost $3,310,905) | 3,353,766 |
Principal | ||||||
Loans: 0.32% | ||||||
Communications: 0.32% | ||||||
Media: 0.32% | ||||||
CSC Holdings LLC (1 Month LIBOR+2.25%)± | 7.67 | 7-17-2025 | $ | 1,938,837 | 1,864,114 | |
Total loans (Cost $1,916,664) | 1,864,114 | |||||
Municipal obligations: 0.14% | ||||||
Indiana: 0.14% | ||||||
Education revenue: 0.14% | ||||||
Indiana Secondary Market for Education Loans, Inc. (U.S. SOFR 1 Month+0.80%)± | 6.21 | 2-25-2044 | 807,575 | 807,350 | ||
Total municipal obligations (Cost $800,478) | 807,350 | |||||
Non-agency mortgage-backed securities: 9.37% | ||||||
Ajax Mortgage Loan Trust Series 2021-E Class A1144A±± | 1.74 | 12-25-2060 | 2,947,594 | 2,492,448 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 % | 6-25-2065 | $ | 363,541 | $335,689 | |
Angel Oak Mortgage Trust Series 2020-R1 Class A1144A±± | 0.99 | 4-25-2053 | 583,360 | 524,144 | ||
Brean Asset-Backed Securities Trust Series 2021-RM2 Class A144A±± | 1.75 | 10-25-2061 | 1,722,546 | 1,478,475 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1144A | 2.72 | 11-25-2059 | 240,653 | 230,682 | ||
BX Trust Series 2021-ARIA Class D (U.S. SOFR 1 Month+2.01%)144A± | 7.32 | 10-15-2036 | 2,165,000 | 2,053,625 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A144A±± | 4.00 | 10-25-2068 | 169,181 | 166,702 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B144A±± | 4.00 | 10-25-2068 | 904,347 | 872,807 | ||
CHL Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1±± | 4.01 | 6-19-2031 | 58,990 | 56,211 | ||
COLT Mortgage Loan Trust Series 2020-2 Class A1144A±± | 1.85 | 3-25-2065 | 30,533 | 30,312 | ||
COMM Mortgage Trust Series 2012-CR4 Class AM | 3.25 | 10-15-2045 | 2,000,000 | 1,735,000 | ||
COMM Mortgage Trust Series 2014-CR14 Class B±± | 4.73 | 2-10-2047 | 680,000 | 597,948 | ||
COMM Mortgage Trust Series 2015-DC1 Class A3 | 3.22 | 2-10-2048 | 58,798 | 58,691 | ||
CSAIL Commercial Mortgage Trust Series 2016-C5 Class A4 | 3.49 | 11-15-2048 | 817,720 | 777,119 | ||
CSMC Trust Series 2020-AFC1 Class A3144A±± | 2.51 | 2-25-2050 | 588,215 | 538,593 | ||
CSMC Trust Series 2021-AFC1 Class A2144A±± | 1.07 | 3-25-2056 | 1,331,565 | 1,000,097 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (U.S. SOFR 1 Month+1.18%)144A± | 6.49 | 12-19-2030 | 550,000 | 546,188 | ||
FIGRE Trust Series 2023-HE2 Class A | 6.51 | 5-25-2053 | 1,555,655 | 1,557,967 | ||
FREED Mortgage Trust Series 2022-HE1 Class A144A | 7.00 | 10-25-2037 | 2,170,320 | 2,165,622 | ||
FWD Securitization Trust Series 2020-INV1 Class A3144A±± | 2.44 | 1-25-2050 | 699,323 | 626,482 | ||
GCAT Trust Series 2021-NQM1 Class A1144A±± | 0.87 | 1-25-2066 | 1,100,059 | 918,968 | ||
GS Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,173,793 | ||
GSMPS Mortgage Loan Trust Series 1998-1 Class A144A±± | 8.00 | 9-19-2027 | 99,556 | 93,213 | ||
HPLY Trust Series 2019-HIT Class A (U.S. SOFR 1 Month+1.11%)144A± | 6.43 | 11-15-2036 | 1,653,875 | 1,641,333 | ||
Hudsons Bay Simon JV Trust Series 2015-HB10 Class A10144A | 4.15 | 8-5-2034 | 2,215,000 | 1,893,964 | ||
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1144A±± | 1.60 | 11-25-2056 | 2,499,239 | 2,055,292 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3144A±± | 4.45 | 5-25-2067 | 4,005,000 | 3,320,537 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (U.S. SOFR 1 Month+1.26%)144A± | 6.57 | 6-15-2035 | 566,915 | 528,721 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (U.S. SOFR 1 Month+1.01%)144A± | 6.32 | 7-15-2036 | 42,444 | 42,126 | ||
JP Morgan Mortgage Trust Series 2020-2 Class A7144A±± | 3.50 | 7-25-2050 | 943,355 | 811,927 | ||
MASTR Adjustable Rate Mortgages Trust Series 2002-3 Class 4A1±± | 4.75 | 10-25-2032 | 719 | 683 | ||
Med Trust Series 2021-MDLN Class B (U.S. SOFR 1 Month+1.56%)144A± | 6.87 | 11-15-2038 | 2,985,671 | 2,903,257 | ||
Merrill Lynch Golden National MTGE Asset Backed Certificates Series 1998-GN1 Class M2 | 8.02 | 2-25-2027 | 34,322 | 33,468 | ||
MFA Trust Series 2020-NQM1 Class A2144A±± | 1.79 | 8-25-2049 | 490,934 | 444,319 | ||
MFA Trust Series 2021-NQM1 Class A2144A±± | 1.38 | 4-25-2065 | 746,701 | 653,723 | ||
Morgan Stanley Capital I Trust Series 2014-150E Class A144A | 3.91 | 9-9-2032 | 800,000 | 630,232 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
New Residential Mortgage Loan Trust Series 2018-5A Class A1A144A±± | 4.25 % | 12-25-2057 | $ | 1,644,565 | $1,556,874 | |
New Residential Mortgage Loan Trust Series 2019-6A Class A1B144A±± | 3.50 | 9-25-2059 | 1,041,815 | 947,887 | ||
NYMT Loan Trust Series 2022-CP1 Class A1144A | 2.04 | 7-25-2061 | 2,490,884 | 2,221,990 | ||
Oceanview Trust Series 2021-1 Class A144A | 1.22 | 12-29-2051 | 189,107 | 185,597 | ||
OPG Trust Series 2021-PORT Class B (U.S. SOFR 1 Month+0.83%)144A± | 6.14 | 10-15-2036 | 3,062,876 | 2,967,749 | ||
PKHL Commercial Mortgage Trust Series 2021-MF Class B (U.S. SOFR 1 Month+1.29%)144A± | 6.61 | 7-15-2038 | 3,342,000 | 3,017,422 | ||
Ready Capital Mortgage Trust Series 2019-5 Class A144A | 3.78 | 2-25-2052 | 78,443 | 78,049 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2144A±± | 1.10 | 1-25-2065 | 246,407 | 222,611 | ||
Starwood Mortgage Residential Trust Series 2020-1 Class A3144A±± | 2.56 | 2-25-2050 | 1,151,220 | 1,062,672 | ||
Towd Point Mortgage Trust Series 2017-1 Class A1144A±± | 2.75 | 10-25-2056 | 185,297 | 182,989 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1144A±± | 2.75 | 6-25-2057 | 327,476 | 309,065 | ||
Towd Point Mortgage Trust Series 2019-4 Class A1144A±± | 2.90 | 10-25-2059 | 836,505 | 771,359 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (U.S. SOFR 1 Month+0.90%)144A± | 6.21 | 2-15-2032 | 1,459,270 | 1,443,624 | ||
Verus Securitization Trust Series 2021-2 Class A1144A±± | 1.03 | 2-25-2066 | 1,638,899 | 1,377,121 | ||
Verus Securitization Trust Series 2021-8 Class A2144A±± | 2.29 | 11-25-2066 | 2,010,878 | 1,651,884 | ||
Verus Securitization Trust Series 2021-R1 Class A2144A±± | 1.06 | 10-25-2063 | 110,269 | 98,558 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 906,551 | 797,538 | ||
Wilshire Funding Corp. Series 1996-3 Class M2±± | 7.54 | 8-25-2032 | 47,308 | 47,754 | ||
Wilshire Funding Corp. Series 1996-3 Class M3±± | 7.54 | 8-25-2032 | 27,444 | 26,849 | ||
Wilshire Funding Corp. Series 1998-WFC2 Class M1 (12 Month Treasury Average+2.00%)± | 5.98 | 12-28-2037 | 3,450 | 3,402 | ||
Total non-agency mortgage-backed securities (Cost $59,280,705) | 53,961,352 | |||||
U.S. Treasury securities: 18.17% | ||||||
U.S. Treasury Notes | 0.38 | 12-31-2025 | 41,305,000 | 37,426,202 | ||
U.S. Treasury Notes | 1.13 | 1-15-2025 | 39,905,000 | 37,786,606 | ||
U.S. Treasury Notes | 2.88 | 6-15-2025 | 2,470,000 | 2,382,489 | ||
U.S. Treasury Notes | 3.25 | 8-31-2024 | 23,505,000 | 23,019,291 | ||
U.S. Treasury Notes | 3.50 | 9-15-2025 | 1,690,000 | 1,646,034 | ||
U.S. Treasury Notes | 4.63 | 2-28-2025 | 2,480,000 | 2,462,853 | ||
Total U.S. Treasury securities (Cost $106,554,369) | 104,723,475 | |||||
Yankee corporate bonds and notes: 13.22% | ||||||
Communications: 0.31% | ||||||
Internet: 0.31% | ||||||
Prosus NV144A | 3.26 | 1-19-2027 | 2,000,000 | 1,796,277 | ||
Consumer, cyclical: 0.31% | ||||||
Airlines: 0.31% | ||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.144A | 4.50 | 10-20-2025 | 1,841,264 | 1,799,636 |
Interest rate | Maturity date | Principal | Value | |||
Consumer, non-cyclical: 0.85% | ||||||
Agriculture: 0.34% | ||||||
Viterra Finance BV144A | 4.90 % | 4-21-2027 | $ | 2,000,000 | $1,935,056 | |
Pharmaceuticals: 0.51% | ||||||
Pfizer Investment Enterprises Pte. Ltd. | 4.45 | 5-19-2026 | 3,000,000 | 2,951,541 | ||
Energy: 0.50% | ||||||
Oil & gas: 0.50% | ||||||
BP Capital Markets PLC (5 Year Treasury Constant Maturity+4.04%)ʊ± | 4.38 | 6-22-2025 | 3,000,000 | 2,870,250 | ||
Financial: 9.42% | ||||||
Banks: 7.62% | ||||||
Banco Santander SA (1 Year Treasury Constant Maturity+0.45%)± | 5.74 | 6-30-2024 | 2,000,000 | 1,993,847 | ||
Banque Federative du Credit Mutuel SA144A | 4.52 | 7-13-2025 | 3,000,000 | 2,930,568 | ||
Barclays PLC (1 Year Treasury Constant Maturity+0.80%)± | 1.01 | 12-10-2024 | 1,155,000 | 1,139,034 | ||
BNP Paribas SA (1 Year Treasury Constant Maturity+1.45%)144A± | 5.13 | 1-13-2029 | 3,000,000 | 2,939,123 | ||
BNP Paribas SA (U.S. SOFR+1.00%)144A± | 1.32 | 1-13-2027 | 1,545,000 | 1,389,285 | ||
BPCE SA144A | 4.75 | 7-19-2027 | 2,560,000 | 2,474,322 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+0.55%)144A± | 0.98 | 9-10-2025 | 2,000,000 | 1,891,978 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+2.10%)144A± | 6.47 | 1-9-2026 | 1,000,000 | 1,000,458 | ||
Deutsche Bank AG (U.S. SOFR+2.16%)± | 2.22 | 9-18-2024 | 1,500,000 | 1,497,650 | ||
Federation des Caisses Desjardins du Quebec144A | 5.70 | 3-14-2028 | 1,490,000 | 1,492,132 | ||
HSBC Holdings PLC (U.S. SOFR+0.71%)± | 0.98 | 5-24-2025 | 600,000 | 576,687 | ||
HSBC Holdings PLC (U.S. SOFR+1.10%)± | 2.25 | 11-22-2027 | 1,760,000 | 1,569,472 | ||
HSBC Holdings PLC (U.S. SOFR+2.61%)± | 5.21 | 8-11-2028 | 2,400,000 | 2,341,924 | ||
Intesa Sanpaolo SpA Series XR144A | 3.25 | 9-23-2024 | 2,000,000 | 1,930,637 | ||
Macquarie Group Ltd. (U.S. SOFR+1.07%)144A± | 1.34 | 1-12-2027 | 1,885,000 | 1,690,763 | ||
Mitsubishi UFJ Financial Group, Inc. (1 Year Treasury Constant Maturity+1.08%)± | 5.72 | 2-20-2026 | 3,000,000 | 2,991,224 | ||
Mitsubishi UFJ Financial Group, Inc. (1 Year Treasury Constant Maturity+1.90%)± | 5.35 | 9-13-2028 | 2,950,000 | 2,922,207 | ||
Mizuho Financial Group, Inc. (U.S. SOFR 3 Month+1.24%)± | 2.84 | 7-16-2025 | 1,000,000 | 970,492 | ||
Sumitomo Mitsui Financial Group, Inc. | 5.52 | 1-13-2028 | 2,840,000 | 2,838,921 | ||
Toronto-Dominion Bank | 5.52 | 7-17-2028 | 1,000,000 | 1,004,935 | ||
UBS Group AG (1 Year Treasury Constant Maturity+0.85%)144A± | 1.49 | 8-10-2027 | 2,000,000 | 1,758,675 | ||
UBS Group AG (1 Year Treasury Constant Maturity+1.08%)144A± | 1.36 | 1-30-2027 | 2,000,000 | 1,787,232 | ||
UBS Group AG (U.S. SOFR+2.04%)144A± | 2.19 | 6-5-2026 | 3,000,000 | 2,794,341 | ||
43,925,907 | ||||||
Diversified financial services: 0.71% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 1.65 | 10-29-2024 | 2,500,000 | 2,376,794 |
Interest rate | Maturity date | Principal | Value | |||
Diversified financial services (continued) | ||||||
Avolon Holdings Funding Ltd.144A | 2.53 % | 11-18-2027 | $ | 862,000 | $735,869 | |
Avolon Holdings Funding Ltd.144A | 5.50 | 1-15-2026 | 965,000 | 939,478 | ||
4,052,141 | ||||||
Real estate: 0.27% | ||||||
Ontario Teachers’ Cadillac Fairview Properties Trust144A | 3.88 | 3-20-2027 | 1,687,000 | 1,561,469 | ||
REITS: 0.33% | ||||||
Scentre Group Trust 1/Scentre Group Trust 2144A | 3.63 | 1-28-2026 | 2,000,000 | 1,909,894 | ||
Savings & loans: 0.49% | ||||||
Nationwide Building Society144A | 4.85 | 7-27-2027 | 2,860,000 | 2,791,506 | ||
Government securities: 1.20% | ||||||
Multi-national: 1.20% | ||||||
African Export-Import Bank144A | 2.63 | 5-17-2026 | 2,185,000 | 1,962,786 | ||
Banque Ouest Africaine de Developpement144A | 5.00 | 7-27-2027 | 3,000,000 | 2,696,250 | ||
Central American Bank for Economic Integration144A | 1.14 | 2-9-2026 | 2,500,000 | 2,256,110 | ||
6,915,146 | ||||||
Industrial: 0.17% | ||||||
Trucking & leasing: 0.17% | ||||||
SMBC Aviation Capital Finance DAC144A | 5.45 | 5-3-2028 | 1,005,000 | 990,736 | ||
Technology: 0.46% | ||||||
Semiconductors: 0.46% | ||||||
Renesas Electronics Corp.144A | 1.54 | 11-26-2024 | 2,830,000 | 2,664,398 | ||
Total yankee corporate bonds and notes (Cost $79,111,624) | 76,163,957 |
Yield | Shares | |||||
Short-term investments: 2.43% | ||||||
Investment companies: 2.43% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.26 | 13,985,749 | 13,985,749 | |||
Total short-term investments (Cost $13,985,749) | 13,985,749 | |||||
Total investments in securities (Cost $597,215,940) | 100.20 % | 577,342,834 | ||||
Other assets and liabilities, net | (0.20 ) | (1,127,060 ) | ||||
Total net assets | 100.00 % | $576,215,774 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
%% | The security is purchased on a when-issued basis. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
ƒ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
† | Non-income-earning security |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
Abbreviations: | |
BRL | Brazilian real |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GBP | Great British pound |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $34,859,487 | $356,712,066 | $(377,585,804 ) | $0 | $0 | $13,985,749 | 13,985,749 | $816,547 |
Investments in affiliates no longer held at end of period | ||||||||
Securities Lending Cash Investments LLC | 385,605 | 159,872,526 | (160,257,862 ) | (269 ) | 0 | 0 | 0 | 144,250 1 |
$(269 ) | $0 | $13,985,749 | $960,797 |
1 | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
USD | 33,877,711 | EUR | 31,552,600 | Morgan Stanley Inc. | 9-29-2023 | $0 | $(375,785 ) |
USD | 745,672 | EUR | 680,000 | Morgan Stanley Inc. | 9-29-2023 | 7,465 | 0 |
USD | 2,632,397 | EUR | 2,400,000 | Morgan Stanley Inc. | 9-29-2023 | 26,957 | 0 |
USD | 619,197 | EUR | 565,000 | Morgan Stanley Inc. | 9-29-2023 | 5,833 | 0 |
EUR | 7,875,000 | USD | 8,847,452 | Morgan Stanley Inc. | 9-29-2023 | 0 | (298,354 ) |
EUR | 1,450,000 | USD | 1,584,625 | Morgan Stanley Inc. | 9-29-2023 | 0 | (10,506 ) |
USD | 8,861,220 | GBP | 6,860,000 | Morgan Stanley Inc. | 9-29-2023 | 169,993 | 0 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
GBP | 2,300,000 | USD | 2,928,172 | Morgan Stanley Inc. | 9-29-2023 | $0 | $(14,203 ) |
JPY | 90,451,034 | EUR | 615,808 | Morgan Stanley Inc. | 9-29-2023 | 0 | (44,455 ) |
USD | 1,485,040 | MYR | 6,800,000 | Morgan Stanley Inc. | 9-29-2023 | 17,212 | 0 |
$227,460 | $(743,303 ) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
2-Year U.S. Treasury Notes | 1,203 | 12-29-2023 | $244,455,284 | $245,177,040 | $721,756 | $0 |
Short | ||||||
1-Year Euro-BOBL Futures | (41 ) | 9-7-2023 | (5,215,350 ) | (5,162,062 ) | 53,288 | 0 |
10-Year U.S. Treasury Notes | (40 ) | 12-19-2023 | (4,404,531 ) | (4,441,250 ) | 0 | (36,719 ) |
5-Year U.S. Treasury Notes | (592 ) | 12-29-2023 | (62,878,104 ) | (63,297,750 ) | 0 | (419,646 ) |
$775,044 | $(456,365 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $583,230,191) | $563,357,085 |
Investments in affiliated securities, at value (cost $13,985,749) | 13,985,749 |
Cash | 1,276 |
Cash at broker segregated for futures contracts | 1,835,000 |
Segregated cash for forward foreign currency contracts | 602,397 |
Foreign currency, at value (cost $2,106) | 2,107 |
Receivable for interest | 3,707,408 |
Receivable for Fund shares sold | 658,072 |
Unrealized gains on forward foreign currency contracts | 227,460 |
Receivable for daily variation margin on open futures contracts | 65,789 |
Prepaid expenses and other assets | 105,265 |
Total assets | 584,547,608 |
Liabilities | |
Payable for when-issued transactions | 6,193,053 |
Payable for Fund shares redeemed | 1,068,525 |
Unrealized losses on forward foreign currency contracts | 743,303 |
Payable for daily variation margin on open futures contracts | 96,436 |
Management fee payable | 64,621 |
Administration fees payable | 47,397 |
Distribution fee payable | 2,062 |
Trustees’ fees and expenses payable | 1,237 |
Accrued expenses and other liabilities | 115,200 |
Total liabilities | 8,331,834 |
Total net assets | $576,215,774 |
Net assets consist of | |
Paid-in capital | $611,251,817 |
Total distributable loss | (35,036,043 ) |
Total net assets | $576,215,774 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $129,076,478 |
Shares outstanding–Class A1 | 15,494,707 |
Net asset value per share–Class A | $8.33 |
Maximum offering price per share – Class A2 | $8.50 |
Net assets–Class C | $3,109,003 |
Shares outstanding–Class C1 | 373,701 |
Net asset value per share–Class C | $8.32 |
Net assets–Class R6 | $12,140,522 |
Shares outstanding–Class R61 | 1,457,957 |
Net asset value per share–Class R6 | $8.33 |
Net assets–Institutional Class | $431,889,771 |
Shares outstanding–Institutional Class1 | 51,825,748 |
Net asset value per share–Institutional Class | $8.33 |
Investment income | |
Interest | $22,822,631 |
Income from affiliated securities | 887,961 |
Dividends | 112,223 |
Total investment income | 23,822,815 |
Expenses | |
Management fee | 2,183,236 |
Administration fees | |
Class A | 215,232 |
Class C | 5,720 |
Class R6 | 4,171 |
Institutional Class | 376,269 |
Shareholder servicing fees | |
Class A | 339,534 |
Class C | 9,003 |
Distribution fee | |
Class C | 27,009 |
Custody and accounting fees | 45,643 |
Professional fees | 102,989 |
Registration fees | 66,328 |
Shareholder report expenses | 67,758 |
Trustees’ fees and expenses | 25,628 |
Other fees and expenses | 21,232 |
Total expenses | 3,489,752 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (572,971 ) |
Class A | (59,950 ) |
Class C | (1,328 ) |
Net expenses | 2,855,503 |
Net investment income | 20,967,312 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | $(6,963,457 ) |
Affiliated securities | (269 ) |
Foreign currency and foreign currency translations | (57,101 ) |
Forward foreign currency contracts | 95,919 |
Futures contracts | (4,912,032 ) |
Net realized losses on investments | (11,836,940 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 6,866,512 |
Foreign currency and foreign currency translations | 45,366 |
Forward foreign currency contracts | (1,345,909 ) |
Futures contracts | 538,661 |
Net change in unrealized gains (losses) on investments | 6,104,630 |
Net realized and unrealized gains (losses) on investments | (5,732,310 ) |
Net increase in net assets resulting from operations | $15,235,002 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $20,967,312 | $8,785,034 | ||
Net realized losses on investments | (11,836,940 ) | (4,518,213 ) | ||
Net change in unrealized gains (losses) on investments | 6,104,630 | (32,399,021 ) | ||
Net increase (decrease) in net assets resulting from operations | 15,235,002 | (28,132,200 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (4,184,146 ) | (3,260,447 ) | ||
Class C | (82,342 ) | (66,976 ) | ||
Class R6 | (468,196 ) | (576,380 ) | ||
Institutional Class | (15,818,576 ) | (9,456,485 ) | ||
Total distributions to shareholders | (20,553,260 ) | (13,360,288 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,520,269 | 12,650,875 | 1,472,078 | 12,971,130 |
Class C | 33,557 | 279,900 | 111,895 | 994,577 |
Class R6 | 247,240 | 2,055,487 | 489,531 | 4,166,599 |
Institutional Class | 31,678,230 | 263,290,807 | 29,373,532 | 254,171,578 |
278,277,069 | 272,303,884 | |||
Reinvestment of distributions | ||||
Class A | 477,435 | 3,966,133 | 351,308 | 3,077,067 |
Class C | 9,925 | 82,335 | 7,551 | 66,318 |
Class R6 | 16,522 | 137,208 | 4,660 | 40,256 |
Institutional Class | 1,428,058 | 11,868,020 | 867,848 | 7,589,450 |
16,053,696 | 10,773,091 | |||
Payment for shares redeemed | ||||
Class A | (3,364,492 ) | (27,990,635 ) | (4,367,651 ) | (38,301,946 ) |
Class C | (172,942 ) | (1,435,938 ) | (203,015 ) | (1,765,491 ) |
Class R6 | (777,901 ) | (6,469,610 ) | (2,084,157 ) | (18,249,955 ) |
Institutional Class | (34,372,447 ) | (286,091,490 ) | (22,157,051 ) | (192,938,192 ) |
(321,987,673 ) | (251,255,584 ) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (27,656,908 ) | 31,821,391 | ||
Total decrease in net assets | (32,975,166 ) | (9,671,097 ) | ||
Net assets | ||||
Beginning of period | 609,190,940 | 618,862,037 | ||
End of period | $576,215,774 | $609,190,940 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.41 | $9.02 | $9.09 | $8.84 | $8.65 |
Net investment income | 0.27 | 0.11 1 | 0.14 | 0.19 | 0.20 |
Net realized and unrealized gains (losses) on investments | (0.09 ) | (0.54 ) | 0.02 | 0.24 | 0.19 |
Total from investment operations | 0.18 | (0.43 ) | 0.16 | 0.43 | 0.39 |
Distributions to shareholders from | |||||
Net investment income | (0.26 ) | (0.11 ) | (0.13 ) | (0.18 ) | (0.20 ) |
Net realized gains | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.26 ) | (0.18 ) | (0.23 ) | (0.18 ) | (0.20 ) |
Net asset value, end of period | $8.33 | $8.41 | $9.02 | $9.09 | $8.84 |
Total return2 | 2.16 % | (4.83 )% | 1.76 % | 4.96 % | 4.60 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.81 % | 0.81 % | 0.81 % | 0.82 % | 0.82 % |
Net expenses | 0.68 % | 0.70 % | 0.70 % | 0.71 % | 0.72 % |
Net investment income | 3.13 % | 1.30 % | 1.48 % | 2.10 % | 2.33 % |
Supplemental data | |||||
Portfolio turnover rate | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $129,076 | $141,782 | $175,111 | $170,975 | $170,345 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.40 | $9.01 | $9.07 | $8.83 | $8.64 |
Net investment income | 0.21 | 0.05 | 0.06 | 0.12 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.10 ) | (0.55 ) | 0.04 | 0.24 | 0.19 |
Total from investment operations | 0.11 | (0.50 ) | 0.10 | 0.36 | 0.33 |
Distributions to shareholders from | |||||
Net investment income | (0.19 ) | (0.04 ) | (0.06 ) | (0.12 ) | (0.14 ) |
Net realized gains | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.19 ) | (0.11 ) | (0.16 ) | (0.12 ) | (0.14 ) |
Net asset value, end of period | $8.32 | $8.40 | $9.01 | $9.07 | $8.83 |
Total return1 | 1.38 % | (5.57 )% | 1.10 % | 4.10 % | 3.82 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.56 % | 1.55 % | 1.56 % | 1.56 % | 1.57 % |
Net expenses | 1.43 % | 1.47 % | 1.47 % | 1.47 % | 1.47 % |
Net investment income | 2.35 % | 0.53 % | 0.71 % | 1.36 % | 1.57 % |
Supplemental data | |||||
Portfolio turnover rate | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $3,109 | $4,225 | $5,286 | $5,773 | $7,146 |
1 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class R6 | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.40 | $9.02 | $9.08 | $8.83 | $8.66 |
Net investment income | 0.32 | 0.14 1 | 0.16 | 0.21 | 0.23 |
Net realized and unrealized gains (losses) on investments | (0.10 ) | (0.56 ) | 0.03 | 0.25 | 0.17 |
Total from investment operations | 0.22 | (0.42 ) | 0.19 | 0.46 | 0.40 |
Distributions to shareholders from | |||||
Net investment income | (0.29 ) | (0.13 ) | (0.15 ) | (0.21 ) | (0.23 ) |
Net realized gains | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.29 ) | (0.20 ) | (0.25 ) | (0.21 ) | (0.23 ) |
Net asset value, end of period | $8.33 | $8.40 | $9.02 | $9.08 | $8.83 |
Total return | 2.63 % | (4.65 )% | 2.18 % | 5.28 % | 4.69 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.43 % | 0.43 % | 0.43 % | 0.44 % | 0.44 % |
Net expenses | 0.35 % | 0.40 % | 0.40 % | 0.40 % | 0.40 % |
Net investment income | 3.43 % | 1.55 % | 1.79 % | 2.41 % | 2.71 % |
Supplemental data | |||||
Portfolio turnover rate | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $12,141 | $16,575 | $32,131 | $35,301 | $30,585 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.41 | $9.03 | $9.09 | $8.84 | $8.65 |
Net investment income | 0.29 | 0.13 | 0.15 | 0.21 | 0.23 |
Net realized and unrealized gains (losses) on investments | (0.09 ) | (0.55 ) | 0.04 | 0.24 | 0.19 |
Total from investment operations | 0.20 | (0.42 ) | 0.19 | 0.45 | 0.42 |
Distributions to shareholders from | |||||
Net investment income | (0.28 ) | (0.13 ) | (0.15 ) | (0.20 ) | (0.23 ) |
Net realized gains | 0.00 | (0.07 ) | (0.10 ) | 0.00 | 0.00 |
Total distributions to shareholders | (0.28 ) | (0.20 ) | (0.25 ) | (0.20 ) | (0.23 ) |
Net asset value, end of period | $8.33 | $8.41 | $9.03 | $9.09 | $8.84 |
Total return | 2.45 % | (4.69 )% | 2.13 % | 5.23 % | 4.88 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.48 % | 0.48 % | 0.48 % | 0.49 % | 0.49 % |
Net expenses | 0.39 % | 0.45 % | 0.45 % | 0.45 % | 0.45 % |
Net investment income | 3.43 % | 1.57 % | 1.69 % | 2.37 % | 2.60 % |
Supplemental data | |||||
Portfolio turnover rate | 79 % | 65 % | 65 % | 88 % | 43 % |
Net assets, end of period (000s omitted) | $431,890 | $446,610 | $406,333 | $251,480 | $226,517 |
The Fund may enter into credit default swaps for hedging or speculative purposes to provide or receive a measure of protection against default on a referenced entity, obligation or index or a basket of single-name issuers or traded indexes. An index credit default swap references all the names in the index, and if a credit event is triggered, the credit event is settled based on that name’s weight in the index. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the protection seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring).
Gross unrealized gains | $884,194 |
Gross unrealized losses | (20,513,615 ) |
Net unrealized losses | $(19,629,421 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $9,549,125 | $0 | $9,549,125 |
Asset-backed securities | 0 | 112,628,817 | 0 | 112,628,817 |
Common stocks | ||||
Consumer discretionary | 52,933 | 0 | 0 | 52,933 |
Corporate bonds and notes | 0 | 164,353,207 | 0 | 164,353,207 |
Foreign corporate bonds and notes | 0 | 9,796,280 | 0 | 9,796,280 |
Foreign government bonds | 0 | 26,102,709 | 0 | 26,102,709 |
Investment companies | 3,353,766 | 0 | 0 | 3,353,766 |
Loans | 0 | 1,864,114 | 0 | 1,864,114 |
Municipal obligations | 0 | 807,350 | 0 | 807,350 |
Non-agency mortgage-backed securities | 0 | 53,961,352 | 0 | 53,961,352 |
U.S. Treasury securities | 104,723,475 | 0 | 0 | 104,723,475 |
Yankee corporate bonds and notes | 0 | 76,163,957 | 0 | 76,163,957 |
Short-term investments | ||||
Investment companies | 13,985,749 | 0 | 0 | 13,985,749 |
122,115,923 | 455,226,911 | 0 | 577,342,834 | |
Forward foreign currency contracts | 0 | 227,460 | 0 | 227,460 |
Futures contracts | 775,044 | 0 | 0 | 775,044 |
Total assets | $122,890,967 | $455,454,371 | $0 | $578,345,338 |
Liabilities | ||||
Forward foreign currency contracts | $0 | $743,303 | $0 | $743,303 |
Futures contracts | 456,365 | 0 | 0 | 456,365 |
Total liabilities | $456,365 | $743,303 | $0 | $1,199,668 |
Average daily net assets | Management fee |
First $1 billion | 0.350 % |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Class R6 | 0.03 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | ||
Current | Prior to April 17, 2023 | |
Class A | 0.61 % | 0.72 % |
Class C | 1.36 | 1.47 |
Class R6 | 0.24 | 0.40 |
Institutional Class | 0.29 | 0.45 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$201,576,291 | $324,204,585 | $210,296,788 | $258,117,107 |
Forward foreign currency contracts | |
Average contract amounts to buy | $4,818,809 |
Average contract amounts to sell | 33,867,280 |
Futures contracts | |
Average notional balance on long futures | $223,697,192 |
Average notional balance on short futures | 59,067,431 |
Interest rate risk | Foreign currency risk | Total | |
Asset derivatives | |||
Forward foreign currency contracts | $0 | $227,460 | $227,460 |
Futures contracts | 775,044 * | 0 | 775,044 |
$775,044 | $227,460 | $1,002,504 | |
Liability derivatives | |||
Forward foreign currency contracts | $0 | $743,303 | $743,303 |
Futures contracts | 456,365 * | 0 | 456,365 |
$456,365 | $743,303 | $1,199,668 |
* | Amount represents the cumulative unrealized gains (losses) as reported in the table following the Portfolio of Investments. For futures contracts, only the current day’s variation margin as of August 31, 2023 is reported separately on the Statement of Assets and Liabilities. |
Interest rate risk | Foreign currency risk | Total | |
Net realized gains (losses) on derivatives | |||
Forward foreign currency contracts | $0 | $95,919 | $95,919 |
Futures contracts | (4,912,032 ) | 0 | (4,912,032 ) |
$(4,912,032 ) | $95,919 | $(4,816,113 ) | |
Net change in unrealized gains (losses) on derivatives | |||
Forward foreign currency contracts | $0 | $(1,345,909 ) | $(1,345,909 ) |
Futures contracts | 538,661 | 0 | 538,661 |
$538,661 | $(1,345,909 ) | $(807,248 ) |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Morgan Stanley Inc. | $227,460 | $(227,460 ) | $0 | $0 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged1 | Net amount of liabilities |
Morgan Stanley Inc. | $743,303 | $(227,460 ) | $(515,843 ) | $0 |
1 | Collateral pledged within this table is limited to the collateral for the net transaction with the counterparty. |
Year ended August 31 | ||
2023 | 2022 | |
Ordinary income | $20,553,260 | $12,313,837 |
Long-term capital gain | 0 | 1,046,451 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$1,743,557 | $(19,617,872 ) | $(17,161,728 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR3005 08-23
Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA, Michael J. Schueller, CFA |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SSTHX) | 2-29-2000 | 3.14 | 2.79 | 2.67 | 6.33 | 3.42 | 2.98 | 0.92 | 0.81 |
Class C (WFHYX) | 3-31-2008 | 4.67 | 2.64 | 2.38 | 5.67 | 2.64 | 2.38 | 1.67 | 1.56 |
Administrator Class (WDHYX) | 7-30-2010 | – | – | – | 6.50 | 3.58 | 3.15 | 0.86 | 0.65 |
Institutional Class (STYIX) | 11-30-2012 | – | – | – | 6.66 | 3.73 | 3.31 | 0.59 | 0.50 |
ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index3 | – | – | – | – | 6.45 | 3.75 | 3.82 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.81% for Class A, 1.56% for Class C, 0.65% for Administrator Class and 0.50% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index, a subset of the ICE BofA U.S. High Yield Master II Index, tracks the performance of U.S- dollar denominated below investment grade rated corporate debt publicly issued in the U.S. domestic market. This subset includes all securities with a given investment grade rating BB with maturities between one to three years. You cannot invest directly in an index. Copyright 2023. ICE Data Indices, LLC. All rights reserved. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 3.00%. |
Ten largest holdings (%) as of August 31, 20231 | |
Enact Holdings, Inc., 6.50%, 8-15-2025 | 2.02 |
CoreCivic, Inc., 8.25%, 4-15-2026 | 1.85 |
Celanese U.S. Holdings LLC, 6.05%, 3-15-2025 | 1.76 |
NextEra Energy Operating Partners LP, 4.25%, 7-15-2024 | 1.72 |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00, 09-20-2025 | 1.71 |
Northriver Midstream Finance LP, 5.63%, 2-15-2026 | 1.70 |
Tenet Healthcare Corp., 4.88%, 1-1-2026 | 1.45 |
Oceaneering International, Inc., 4.65%, 11-15-2024 | 1.37 |
Enviva Partners LP/Enviva Partners Finance Corp., 6.50%, 1-15-2026 | 1.26 |
HAT Holdings I LLC/HAT Holdings II LLC, 6.00%, 4-15-2025 | 1.25 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of August 31, 20231 |
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,033.45 | $4.15 | 0.81 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.12 | $4.13 | 0.81 % |
Class C | ||||
Actual | $1,000.00 | $1,029.57 | $7.98 | 1.56 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.34 | $7.93 | 1.56 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,034.28 | $3.33 | 0.65 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.93 | $3.31 | 0.65 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,035.06 | $2.56 | 0.50 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.69 | $2.55 | 0.50 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Corporate bonds and notes: 76.65% | ||||||
Basic materials: 2.45% | ||||||
Chemicals: 2.16% | ||||||
Avient Corp.144A | 5.75 % | 5-15-2025 | $ | 6,760,000 | $6,670,047 | |
Celanese U.S. Holdings LLC | 6.05 | 3-15-2025 | 29,775,000 | 29,799,933 | ||
36,469,980 | ||||||
Iron/steel: 0.29% | ||||||
Cleveland-Cliffs, Inc.144A | 6.75 | 3-15-2026 | 4,885,000 | 4,886,505 | ||
Communications: 8.23% | ||||||
Internet: 1.86% | ||||||
Gen Digital, Inc.144A | 5.00 | 4-15-2025 | 13,997,000 | 13,721,119 | ||
Uber Technologies, Inc.144A | 7.50 | 5-15-2025 | 17,570,000 | 17,739,617 | ||
31,460,736 | ||||||
Media: 4.40% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 5.13 | 5-1-2027 | 430,000 | 404,239 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 5.50 | 5-1-2026 | 21,100,000 | 20,607,642 | ||
Gray Television, Inc.144A | 5.88 | 7-15-2026 | 12,152,000 | 11,117,356 | ||
Nexstar Media, Inc.144A | 5.63 | 7-15-2027 | 17,130,000 | 16,101,222 | ||
Sirius XM Radio, Inc.144A | 5.00 | 8-1-2027 | 19,380,000 | 17,918,360 | ||
Townsquare Media, Inc.144A | 6.88 | 2-1-2026 | 8,630,000 | 8,306,375 | ||
74,455,194 | ||||||
Telecommunications: 1.97% | ||||||
CommScope, Inc.144A | 6.00 | 3-1-2026 | 12,445,000 | 11,309,585 | ||
Sprint LLC | 7.13 | 6-15-2024 | 18,109,000 | 18,252,641 | ||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 3,771,250 | 3,732,772 | ||
33,294,998 | ||||||
Consumer, cyclical: 19.94% | ||||||
Airlines: 3.15% | ||||||
Delta Air Lines, Inc. | 7.38 | 1-15-2026 | 2,600,000 | 2,675,003 | ||
Hawaiian Airlines Pass-Through Certificates Series 2013-1 Class A | 3.90 | 1-15-2026 | 3,294,198 | 2,980,977 | ||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.144A | 5.75 | 1-20-2026 | 15,355,000 | 14,208,944 | ||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.144A | 6.50 | 6-20-2027 | 4,448,000 | 4,432,480 | ||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.144A | 8.00 | 9-20-2025 | 28,971,000 | 29,002,689 | ||
53,300,093 | ||||||
Apparel: 0.90% | ||||||
Hanesbrands, Inc.144A | 4.88 | 5-15-2026 | 11,270,000 | 10,535,187 | ||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 4,755,000 | 4,671,217 | ||
15,206,404 |
Interest rate | Maturity date | Principal | Value | |||
Auto manufacturers: 1.84% | ||||||
Allison Transmission, Inc.144A | 5.88 % | 6-1-2029 | $ | 915,000 | $883,731 | |
Ford Motor Credit Co. LLC | 4.13 | 8-17-2027 | 8,900,000 | 8,075,583 | ||
Ford Motor Credit Co. LLC | 5.13 | 6-16-2025 | 3,955,000 | 3,850,239 | ||
Ford Motor Credit Co. LLC | 5.58 | 3-18-2024 | 18,425,000 | 18,330,042 | ||
31,139,595 | ||||||
Auto parts & equipment: 0.87% | ||||||
Adient Global Holdings Ltd.144A | 4.88 | 8-15-2026 | 10,605,000 | 10,213,143 | ||
Goodyear Tire & Rubber Co. | 5.00 | 5-31-2026 | 4,624,000 | 4,462,000 | ||
14,675,143 | ||||||
Distribution/wholesale: 0.90% | ||||||
G-III Apparel Group Ltd.144A | 7.88 | 8-15-2025 | 15,505,000 | 15,194,900 | ||
Entertainment: 4.94% | ||||||
CCM Merger, Inc.144A | 6.38 | 5-1-2026 | 3,145,000 | 3,056,283 | ||
Churchill Downs, Inc.144A | 5.50 | 4-1-2027 | 19,140,000 | 18,440,184 | ||
Cinemark USA, Inc.144A | 5.88 | 3-15-2026 | 4,435,000 | 4,257,656 | ||
Cinemark USA, Inc.144A | 8.75 | 5-1-2025 | 9,269,000 | 9,362,617 | ||
Live Nation Entertainment, Inc.144A | 4.88 | 11-1-2024 | 13,250,000 | 13,015,523 | ||
Live Nation Entertainment, Inc.144A | 6.50 | 5-15-2027 | 3,350,000 | 3,352,596 | ||
SeaWorld Parks & Entertainment, Inc.144A | 8.75 | 5-1-2025 | 19,407,000 | 19,843,657 | ||
Six Flags Theme Parks, Inc.144A | 7.00 | 7-1-2025 | 12,225,000 | 12,221,909 | ||
83,550,425 | ||||||
Food service: 1.08% | ||||||
Aramark Services, Inc.144A | 6.38 | 5-1-2025 | 18,150,000 | 18,180,583 | ||
Home builders: 0.79% | ||||||
Tri Pointe Group, Inc./Tri Pointe Homes, Inc. | 5.88 | 6-15-2024 | 13,313,000 | 13,279,718 | ||
Housewares: 0.68% | ||||||
Newell Brands, Inc. | 4.70 | 4-1-2026 | 12,060,000 | 11,554,756 | ||
Leisure time: 0.44% | ||||||
NCL Corp. Ltd.144A | 8.38 | 2-1-2028 | 7,205,000 | 7,426,691 | ||
Lodging: 2.17% | ||||||
Hilton Domestic Operating Co., Inc.144A | 5.38 | 5-1-2025 | 17,777,000 | 17,583,250 | ||
Las Vegas Sands Corp. | 3.20 | 8-8-2024 | 11,900,000 | 11,521,196 | ||
MGM Resorts International | 6.75 | 5-1-2025 | 7,660,000 | 7,672,724 | ||
36,777,170 | ||||||
Retail: 2.12% | ||||||
Bath & Body Works, Inc.144A | 9.38 | 7-1-2025 | 18,196,000 | 19,036,819 | ||
Dave & Buster’s, Inc.144A | 7.63 | 11-1-2025 | 16,246,000 | 16,407,300 | ||
Penske Automotive Group, Inc. | 3.50 | 9-1-2025 | 375,000 | 357,071 | ||
35,801,190 |
Interest rate | Maturity date | Principal | Value | |||
Toys/games/hobbies: 0.06% | ||||||
Mattel, Inc.144A | 3.38 % | 4-1-2026 | $ | 1,150,000 | $1,070,542 | |
Consumer, non-cyclical: 7.80% | ||||||
Commercial services: 3.83% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.63 | 7-15-2026 | 9,485,000 | 9,021,600 | ||
Block, Inc. | 2.75 | 6-1-2026 | 1,760,000 | 1,600,469 | ||
CoreCivic, Inc. | 8.25 | 4-15-2026 | 31,155,000 | 31,278,617 | ||
Prime Security Services Borrower LLC/Prime Finance, Inc.144A | 5.75 | 4-15-2026 | 10,850,000 | 10,647,595 | ||
Sabre Global, Inc.144A | 9.25 | 4-15-2025 | 1,392,000 | 1,371,290 | ||
Sabre Global, Inc.144A | 11.25 | 12-15-2027 | 11,325,000 | 10,796,538 | ||
64,716,109 | ||||||
Food: 1.98% | ||||||
Performance Food Group, Inc.144A | 6.88 | 5-1-2025 | 14,552,000 | 14,573,537 | ||
U.S. Foods, Inc.144A | 6.25 | 4-15-2025 | 18,903,000 | 18,952,488 | ||
33,526,025 | ||||||
Healthcare-services: 1.99% | ||||||
IQVIA, Inc.144A | 5.00 | 10-15-2026 | 9,540,000 | 9,214,933 | ||
Tenet Healthcare Corp. | 4.88 | 1-1-2026 | 25,255,000 | 24,481,747 | ||
33,696,680 | ||||||
Energy: 13.59% | ||||||
Energy-alternate sources: 1.26% | ||||||
Enviva Partners LP/Enviva Partners Finance Corp.144A | 6.50 | 1-15-2026 | 25,041,000 | 21,347,452 | ||
Oil & gas: 3.52% | ||||||
Aethon United BR LP/Aethon United Finance Corp.144A | 8.25 | 2-15-2026 | 16,375,000 | 16,456,875 | ||
Antero Resources Corp.144A | 8.38 | 7-15-2026 | 6,395,000 | 6,634,787 | ||
EQT Corp. | 6.13 | 2-1-2025 | 5,546,000 | 5,533,832 | ||
Murphy Oil Corp. | 5.75 | 8-15-2025 | 6,086,000 | 6,011,794 | ||
Nabors Industries, Inc.144A | 7.38 | 5-15-2027 | 10,525,000 | 10,271,348 | ||
Range Resources Corp. | 8.25 | 1-15-2029 | 1,910,000 | 1,982,867 | ||
Southwestern Energy Co. | 5.70 | 1-23-2025 | 12,702,000 | 12,578,277 | ||
59,469,780 | ||||||
Oil & gas services: 2.21% | ||||||
Oceaneering International, Inc. | 4.65 | 11-15-2024 | 23,585,000 | 23,092,074 | ||
USA Compression Partners LP/USA Compression Finance Corp. | 6.88 | 4-1-2026 | 12,640,000 | 12,498,054 | ||
USA Compression Partners LP/USA Compression Finance Corp. | 6.88 | 9-1-2027 | 1,795,000 | 1,749,813 | ||
37,339,941 | ||||||
Pipelines: 6.60% | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.144A | 7.88 | 5-15-2026 | 7,618,000 | 7,750,462 | ||
Buckeye Partners LP144A | 4.13 | 3-1-2025 | 6,795,000 | 6,543,789 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. | 5.75 | 4-1-2025 | 16,325,000 | 16,186,727 | ||
DCP Midstream Operating LP | 5.38 | 7-15-2025 | 8,640,000 | 8,553,728 |
Interest rate | Maturity date | Principal | Value | |||
Pipelines (continued) | ||||||
EnLink Midstream Partners LP | 4.15 % | 6-1-2025 | $ | 5,917,000 | $5,726,591 | |
EQM Midstream Partners LP | 4.00 | 8-1-2024 | 7,785,000 | 7,595,607 | ||
Rockies Express Pipeline LLC144A | 3.60 | 5-15-2025 | 16,795,000 | 15,842,403 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 3-1-2027 | 20,290,000 | 19,442,689 | ||
Venture Global LNG, Inc.144A | 8.13 | 6-1-2028 | 17,005,000 | 17,153,692 | ||
Western Midstream Operating LP | 3.95 | 6-1-2025 | 1,735,000 | 1,674,225 | ||
Western Midstream Operating LP | 4.65 | 7-1-2026 | 5,335,000 | 5,159,754 | ||
111,629,667 | ||||||
Financial: 12.43% | ||||||
Diversified financial services: 6.70% | ||||||
Enact Holdings, Inc.144A | 6.50 | 8-15-2025 | 34,467,000 | 34,155,717 | ||
Nationstar Mortgage Holdings, Inc.144A | 6.00 | 1-15-2027 | 8,575,000 | 8,167,687 | ||
Navient Corp. | 5.88 | 10-25-2024 | 14,850,000 | 14,627,297 | ||
Navient Corp. | 7.25 | 9-25-2023 | 2,265,000 | 2,265,000 | ||
OneMain Finance Corp. | 3.50 | 1-15-2027 | 2,440,000 | 2,123,410 | ||
OneMain Finance Corp. | 6.13 | 3-15-2024 | 10,443,000 | 10,436,132 | ||
OneMain Finance Corp. | 7.13 | 3-15-2026 | 2,350,000 | 2,311,798 | ||
PRA Group, Inc.144A | 7.38 | 9-1-2025 | 11,880,000 | 11,616,090 | ||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.144A | 2.88 | 10-15-2026 | 11,865,000 | 10,545,019 | ||
United Wholesale Mortgage LLC144A | 5.50 | 11-15-2025 | 17,745,000 | 17,056,219 | ||
113,304,369 | ||||||
REITS: 5.73% | ||||||
Boston Properties LP | 3.65 | 2-1-2026 | 1,750,000 | 1,648,349 | ||
HAT Holdings I LLC/HAT Holdings II LLC144A | 3.38 | 6-15-2026 | 2,745,000 | 2,465,098 | ||
HAT Holdings I LLC/HAT Holdings II LLC144A | 6.00 | 4-15-2025 | 21,550,000 | 21,152,904 | ||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.144A | 5.25 | 10-1-2025 | 18,090,000 | 17,381,492 | ||
MPT Operating Partnership LP/MPT Finance Corp. | 5.25 | 8-1-2026 | 16,425,000 | 13,954,005 | ||
Service Properties Trust | 4.35 | 10-1-2024 | 12,732,000 | 12,249,541 | ||
Service Properties Trust | 7.50 | 9-15-2025 | 4,085,000 | 4,036,156 | ||
Starwood Property Trust, Inc.144A | 3.63 | 7-15-2026 | 2,930,000 | 2,621,852 | ||
Starwood Property Trust, Inc.144A | 3.75 | 12-31-2024 | 7,730,000 | 7,430,463 | ||
Starwood Property Trust, Inc. | 4.75 | 3-15-2025 | 10,120,000 | 9,783,393 | ||
Starwood Property Trust, Inc.144A | 5.50 | 11-1-2023 | 3,390,000 | 3,377,617 | ||
Vornado Realty LP | 2.15 | 6-1-2026 | 980,000 | 847,096 | ||
96,947,966 | ||||||
Industrial: 8.05% | ||||||
Aerospace/defense: 2.33% | ||||||
Spirit AeroSystems, Inc.144A | 7.50 | 4-15-2025 | 19,077,000 | 18,840,577 | ||
TransDigm, Inc.144A | 6.25 | 3-15-2026 | 20,820,000 | 20,621,573 | ||
39,462,150 | ||||||
Electrical components & equipment: 1.07% | ||||||
WESCO Distribution, Inc.144A | 7.13 | 6-15-2025 | 18,072,000 | 18,151,824 |
Interest rate | Maturity date | Principal | Value | |||
Environmental control: 1.01% | ||||||
Stericycle, Inc.144A | 5.38 % | 7-15-2024 | $ | 17,165,000 | $17,104,751 | |
Packaging & containers: 2.06% | ||||||
Berry Global, Inc.144A | 4.88 | 7-15-2026 | 1,750,000 | 1,689,080 | ||
Berry Global, Inc.144A | 5.63 | 7-15-2027 | 140,000 | 137,235 | ||
Clearwater Paper Corp.144A | 5.38 | 2-1-2025 | 18,530,000 | 17,964,579 | ||
Sealed Air Corp.144A | 5.13 | 12-1-2024 | 7,629,000 | 7,524,101 | ||
Sealed Air Corp.144A | 5.50 | 9-15-2025 | 7,550,000 | 7,467,290 | ||
34,782,285 | ||||||
Trucking & leasing: 1.58% | ||||||
DAE Funding LLC144A | 2.63 | 3-20-2025 | 5,910,000 | 5,562,787 | ||
Fortress Transportation & Infrastructure Investors LLC144A | 6.50 | 10-1-2025 | 21,351,000 | 21,082,631 | ||
26,645,418 | ||||||
Technology: 0.68% | ||||||
Computers: 0.68% | ||||||
NCR Corp.144A | 5.75 | 9-1-2027 | 2,060,000 | 2,079,914 | ||
Western Digital Corp. | 4.75 | 2-15-2026 | 9,883,000 | 9,422,702 | ||
11,502,616 | ||||||
Utilities: 3.48% | ||||||
Electric: 3.48% | ||||||
NextEra Energy Operating Partners LP144A | 4.25 | 7-15-2024 | 29,632,000 | 29,073,923 | ||
NSG Holdings LLC/NSG Holdings, Inc.144A | 7.75 | 12-15-2025 | 7,701,487 | 7,662,980 | ||
Vistra Operations Co. LLC144A | 5.50 | 9-1-2026 | 4,781,000 | 4,611,592 | ||
Vistra Operations Co. LLC144A | 5.63 | 2-15-2027 | 18,100,000 | 17,425,047 | ||
58,773,542 | ||||||
Total corporate bonds and notes (Cost $1,319,235,760) | 1,296,125,198 |
Shares | ||||||
Investment companies: 0.59% | ||||||
Exchange-traded funds: 0.59% | ||||||
SPDR Bloomberg Short Term High Yield Bond ETF | 405,000 | 10,048,050 | ||||
Total investment companies (Cost $9,938,700) | 10,048,050 |
Principal | ||||||
Loans: 5.70% | ||||||
Communications: 0.58% | ||||||
Media: 0.58% | ||||||
DirecTV Financing LLC (U.S. SOFR 1 Month+5.00%)± | 10.45 | 8-2-2027 | $ | 8,190,000 | 8,085,741 | |
Gray Television, Inc. (U.S. SOFR 1 Month+2.50%)± | 7.93 | 1-2-2026 | 1,725,000 | 1,713,494 | ||
9,799,235 |
Interest rate | Maturity date | Principal | Value | |||
Consumer, cyclical: 2.24% | ||||||
Airlines: 1.53% | ||||||
Mileage Plus Holdings LLC (3 Month LIBOR+5.25%)± | 10.76 % | 6-21-2027 | $ | 7,500,000 | $7,812,750 | |
SkyMiles IP Ltd. (U.S. SOFR 3 Month+3.75%)± | 9.08 | 10-20-2027 | 17,333,290 | 18,024,541 | ||
25,837,291 | ||||||
Entertainment: 0.44% | ||||||
SeaWorld Parks & Entertainment, Inc. (U.S. SOFR 1 Month+3.00%)± | 8.45 | 8-25-2028 | 7,472,053 | 7,457,109 | ||
Leisure time: 0.27% | ||||||
Carnival Corp. (U.S. SOFR 3 Month+3.00%)± | 8.32 | 8-8-2027 | 4,600,000 | 4,591,950 | ||
Consumer, non-cyclical: 1.36% | ||||||
Commercial services: 1.02% | ||||||
Geo Group, Inc. (U.S. SOFR 1 Month+7.13%)± | 12.46 | 3-23-2027 | 16,976,497 | 17,233,861 | ||
Healthcare-services: 0.34% | ||||||
Select Medical Corp. (U.S. SOFR 1 Month+3.00%)± | 8.32 | 3-6-2027 | 5,695,000 | 5,695,000 | ||
Energy: 0.37% | ||||||
Pipelines: 0.37% | ||||||
AL NGPL Holdings LLC (U.S. SOFR 3 Month+3.75%)± | 9.02 | 4-13-2028 | 2,000,000 | 2,000,420 | ||
GIP II Blue Holding LP (U.S. SOFR 1 Month+4.50%)± | 9.95 | 9-29-2028 | 4,334,700 | 4,343,110 | ||
6,343,530 | ||||||
Financial: 0.71% | ||||||
Insurance: 0.71% | ||||||
Asurion LLC (3 Month LIBOR+3.25%)± | 8.79 | 12-23-2026 | 12,428,520 | 12,071,200 | ||
Industrial: 0.09% | ||||||
Environmental control: 0.09% | ||||||
GFL Environmental, Inc. (U.S. SOFR 3 Month+3.00%)± | 8.47 | 5-31-2027 | 1,457,443 | 1,461,276 | ||
Machinery-diversified: 0.00% | ||||||
Vertical U.S. Newco, Inc. (U.S. SOFR 6 Month+3.50%)± | 9.38 | 7-30-2027 | 21,155 | 21,114 | ||
Utilities: 0.35% | ||||||
Electric: 0.35% | ||||||
ExGen Renewables IV LLC (U.S. SOFR 3 Month+2.50%)± | 8.18 | 12-15-2027 | 5,887,180 | 5,845,499 | ||
Total loans (Cost $95,922,960) | 96,357,065 | |||||
Yankee corporate bonds and notes: 11.19% | ||||||
Basic materials: 0.32% | ||||||
Mining: 0.32% | ||||||
Constellium SE144A | 5.88 | 2-15-2026 | 5,594,000 | 5,489,279 | ||
Communications: 0.68% | ||||||
Media: 0.68% | ||||||
Videotron Ltd.144A | 5.38 | 6-15-2024 | 11,523,000 | 11,436,022 |
Interest rate | Maturity date | Principal | Value | |||
Consumer, cyclical: 3.80% | ||||||
Airlines: 1.42% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C144A | 10.50 % | 7-15-2026 | $ | 17,784,000 | $19,292,972 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.144A | 5.50 | 4-20-2026 | 4,872,084 | 4,780,896 | ||
24,073,868 | ||||||
Auto parts & equipment: 0.81% | ||||||
Clarios Global LP144A | 6.75 | 5-15-2025 | 7,058,000 | 7,055,296 | ||
Clarios Global LP/Clarios U.S. Finance Co.144A | 6.25 | 5-15-2026 | 6,605,000 | 6,541,424 | ||
13,596,720 | ||||||
Entertainment: 0.20% | ||||||
International Game Technology PLC144A | 6.50 | 2-15-2025 | 3,290,000 | 3,292,921 | ||
Leisure time: 1.37% | ||||||
Royal Caribbean Cruises Ltd.144A | 5.38 | 7-15-2027 | 21,690,000 | 20,410,629 | ||
Royal Caribbean Cruises Ltd.144A | 11.50 | 6-1-2025 | 2,654,000 | 2,802,879 | ||
23,213,508 | ||||||
Consumer, non-cyclical: 0.75% | ||||||
Pharmaceuticals: 0.75% | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 6.00 | 4-15-2024 | 12,848,000 | 12,767,754 | ||
Energy: 1.70% | ||||||
Pipelines: 1.70% | ||||||
Northriver Midstream Finance LP144A | 5.63 | 2-15-2026 | 29,885,000 | 28,726,956 | ||
Financial: 1.35% | ||||||
Diversified financial services: 1.35% | ||||||
Macquarie Airfinance Holdings Ltd.144A | 8.38 | 5-1-2028 | 9,110,000 | 9,301,492 | ||
Park Aerospace Holdings Ltd.144A | 5.50 | 2-15-2024 | 13,602,000 | 13,511,224 | ||
22,812,716 | ||||||
Industrial: 1.59% | ||||||
Electronics: 0.09% | ||||||
Sensata Technologies BV144A | 5.63 | 11-1-2024 | 1,605,000 | 1,590,637 | ||
Packaging & containers: 1.50% | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC144A | 6.00 | 6-15-2027 | 12,000,000 | 11,701,363 | ||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.144A | 5.25 | 4-30-2025 | 13,934,000 | 13,613,196 | ||
25,314,559 | ||||||
Utilities: 1.00% | ||||||
Electric: 1.00% | ||||||
Drax Finco PLC144A | 6.63 | 11-1-2025 | 17,272,000 | 16,939,406 | ||
Total yankee corporate bonds and notes (Cost $190,253,020) | 189,254,346 |
Yield | Shares | Value | ||||
Short-term investments: 4.31% | ||||||
Investment companies: 4.31% | ||||||
Allspring Government Money Market Fund Select Class♠∞ | 5.26 % | 72,874,106 | $72,874,106 | |||
Total short-term investments (Cost $72,874,106) | 72,874,106 | |||||
Total investments in securities (Cost $1,688,224,546) | 98.44 % | 1,664,658,765 | ||||
Other assets and liabilities, net | 1.56 | 26,317,361 | ||||
Total net assets | 100.00 % | $1,690,976,126 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $59,079,830 | $870,915,069 | $(857,120,793 ) | $0 | $0 | $72,874,106 | 72,874,106 | $2,792,355 |
Investments in affiliates no longer held at end of period | ||||||||
Securities Lending Cash Investments LLC | 257,700 | 84,750,287 | (85,009,145 ) | 1,158 | 0 | 0 | 0 | 302,187 1 |
$1,158 | $0 | $72,874,106 | $3,094,542 |
1 | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities, at value (cost $1,615,350,440) | $1,591,784,659 |
Investments in affiliated securities, at value (cost $72,874,106) | 72,874,106 |
Cash | 1,723 |
Receivable for interest | 25,871,433 |
Receivable for investments sold | 12,681,754 |
Receivable for Fund shares sold | 4,179,078 |
Prepaid expenses and other assets | 196,289 |
Total assets | 1,707,589,042 |
Liabilities | |
Payable for investments purchased | 12,575,541 |
Payable for Fund shares redeemed | 3,122,691 |
Management fee payable | 560,657 |
Dividends payable | 136,142 |
Administration fees payable | 121,067 |
Distribution fee payable | 13,779 |
Trustees’ fees and expenses payable | 1,238 |
Accrued expenses and other liabilities | 81,801 |
Total liabilities | 16,612,916 |
Total net assets | $1,690,976,126 |
Net assets consist of | |
Paid-in capital | $1,777,406,443 |
Total distributable loss | (86,430,317 ) |
Total net assets | $1,690,976,126 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $112,192,667 |
Shares outstanding–Class A1 | 14,379,512 |
Net asset value per share–Class A | $7.80 |
Maximum offering price per share – Class A2 | $8.04 |
Net assets–Class C | $22,345,113 |
Shares outstanding–Class C1 | 2,862,923 |
Net asset value per share–Class C | $7.81 |
Net assets–Administrator Class | $45,839,402 |
Shares outstanding–Administrator Class1 | 5,875,780 |
Net asset value per share–Administrator Class | $7.80 |
Net assets–Institutional Class | $1,510,598,944 |
Shares outstanding–Institutional Class1 | 193,893,673 |
Net asset value per share–Institutional Class | $7.79 |
Investment income | |
Interest | $86,992,327 |
Income from affiliated securities | 2,913,385 |
Dividends | 119,210 |
Total investment income | 90,024,922 |
Expenses | |
Management fee | 7,221,629 |
Administration fees | |
Class A | 166,933 |
Class C | 32,856 |
Administrator Class | 46,770 |
Institutional Class | 1,078,734 |
Shareholder servicing fees | |
Class A | 263,790 |
Class C | 51,887 |
Administrator Class | 116,770 |
Distribution fee | |
Class C | 155,660 |
Custody and accounting fees | 72,071 |
Professional fees | 76,566 |
Registration fees | 60,185 |
Shareholder report expenses | 38,518 |
Trustees’ fees and expenses | 25,697 |
Other fees and expenses | 14,471 |
Total expenses | 9,422,537 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (1,112,553 ) |
Class A | (23,560 ) |
Class C | (4,327 ) |
Administrator Class | (57,926 ) |
Net expenses | 8,224,171 |
Net investment income | 81,800,751 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (11,193,033 ) |
Affiliated securities | 1,158 |
Net realized losses on investments | (11,191,875 ) |
Net change in unrealized gains (losses) on investments | 28,500,977 |
Net realized and unrealized gains (losses) on investments | 17,309,102 |
Net increase in net assets resulting from operations | $99,109,853 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $81,800,751 | $40,573,223 | ||
Net realized losses on investments | (11,191,875 ) | (1,017,745 ) | ||
Net change in unrealized gains (losses) on investments | 28,500,977 | (68,869,372 ) | ||
Net increase (decrease) in net assets resulting from operations | 99,109,853 | (29,313,894 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (5,426,839 ) | (4,440,504 ) | ||
Class C | (911,565 ) | (747,079 ) | ||
Administrator Class | (2,435,496 ) | (3,101,812 ) | ||
Institutional Class | (74,116,325 ) | (34,334,025 ) | ||
Total distributions to shareholders | (82,890,225 ) | (42,623,420 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 4,709,766 | 36,497,197 | 2,984,697 | 24,088,926 |
Class C | 1,204,927 | 9,355,025 | 461,803 | 3,733,142 |
Administrator Class | 1,971,602 | 15,329,867 | 2,784,449 | 22,285,584 |
Institutional Class | 160,573,025 | 1,243,088,265 | 86,332,743 | 683,450,660 |
1,304,270,354 | 733,558,312 | |||
Reinvestment of distributions | ||||
Class A | 682,626 | 5,299,433 | 537,113 | 4,300,266 |
Class C | 117,335 | 911,379 | 93,087 | 746,042 |
Administrator Class | 312,794 | 2,425,799 | 386,235 | 3,095,742 |
Institutional Class | 9,315,015 | 72,257,999 | 3,866,076 | 30,795,541 |
80,894,610 | 38,937,591 | |||
Payment for shares redeemed | ||||
Class A | (3,945,529 ) | (30,544,674 ) | (5,537,985 ) | (44,164,124 ) |
Class C | (993,494 ) | (7,714,141 ) | (1,550,050 ) | (12,485,964 ) |
Administrator Class | (4,241,969 ) | (32,917,656 ) | (5,289,215 ) | (41,553,437 ) |
Institutional Class | (103,684,941 ) | (803,288,440 ) | (62,445,161 ) | (496,501,163 ) |
(874,464,911 ) | (594,704,688 ) | |||
Net increase in net assets resulting from capital share transactions | 510,700,053 | 177,791,215 | ||
Total increase in net assets | 526,919,681 | 105,853,901 | ||
Net assets | ||||
Beginning of period | 1,164,056,445 | 1,058,202,544 | ||
End of period | $1,690,976,126 | $1,164,056,445 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $7.72 | $8.25 | $8.09 | $8.07 | $7.99 |
Net investment income | 0.40 | 0.29 | 0.28 | 0.26 | 0.25 |
Net realized and unrealized gains (losses) on investments | 0.08 | (0.51 ) | 0.18 | 0.02 | 0.09 |
Total from investment operations | 0.48 | (0.22 ) | 0.46 | 0.28 | 0.34 |
Distributions to shareholders from | |||||
Net investment income | (0.40 ) | (0.31 ) | (0.30 ) | (0.26 ) | (0.26 ) |
Net asset value, end of period | $7.80 | $7.72 | $8.25 | $8.09 | $8.07 |
Total return1 | 6.33 % | (2.73 )% | 5.73 % | 3.61 % | 4.40 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.90 % | 0.92 % | 0.93 % | 0.94 % | 0.94 % |
Net expenses | 0.81 % | 0.81 % | 0.80 % | 0.81 % | 0.81 % |
Net investment income | 5.08 % | 3.65 % | 3.46 % | 3.19 % | 3.18 % |
Supplemental data | |||||
Portfolio turnover rate | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $112,193 | $99,828 | $123,375 | $97,985 | $104,671 |
1 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $7.72 | $8.26 | $8.09 | $8.07 | $8.00 |
Net investment income | 0.33 | 0.24 | 0.24 | 0.20 | 0.19 |
Net realized and unrealized gains (losses) on investments | 0.10 | (0.53 ) | 0.17 | 0.02 | 0.08 |
Total from investment operations | 0.43 | (0.29 ) | 0.41 | 0.22 | 0.27 |
Distributions to shareholders from | |||||
Net investment income | (0.34 ) | (0.25 ) | (0.24 ) | (0.20 ) | (0.20 ) |
Net asset value, end of period | $7.81 | $7.72 | $8.26 | $8.09 | $8.07 |
Total return1 | 5.67 % | (3.58 )% | 5.06 % | 2.84 % | 3.49 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.65 % | 1.67 % | 1.68 % | 1.69 % | 1.69 % |
Net expenses | 1.56 % | 1.56 % | 1.56 % | 1.56 % | 1.56 % |
Net investment income | 4.33 % | 2.88 % | 2.73 % | 2.43 % | 2.43 % |
Supplemental data | |||||
Portfolio turnover rate | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $22,345 | $19,567 | $29,136 | $46,066 | $59,113 |
1 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $7.72 | $8.25 | $8.09 | $8.06 | $7.99 |
Net investment income | 0.41 | 0.30 | 0.30 1 | 0.27 | 0.27 |
Net realized and unrealized gains (losses) on investments | 0.08 | (0.51 ) | 0.17 | 0.03 | 0.08 |
Total from investment operations | 0.49 | (0.21 ) | 0.47 | 0.30 | 0.35 |
Distributions to shareholders from | |||||
Net investment income | (0.41 ) | (0.32 ) | (0.31 ) | (0.27 ) | (0.28 ) |
Net asset value, end of period | $7.80 | $7.72 | $8.25 | $8.09 | $8.06 |
Total return | 6.50 % | (2.58 )% | 5.90 % | 3.90 % | 4.44 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.84 % | 0.86 % | 0.87 % | 0.88 % | 0.87 % |
Net expenses | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % |
Net investment income | 5.17 % | 3.80 % | 3.63 % | 3.29 % | 3.34 % |
Supplemental data | |||||
Portfolio turnover rate | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $45,839 | $60,460 | $82,124 | $52,406 | $86,892 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $7.71 | $8.24 | $8.08 | $8.05 | $7.98 |
Net investment income | 0.41 | 0.32 | 0.31 1 | 0.29 | 0.28 |
Net realized and unrealized gains (losses) on investments | 0.09 | (0.52 ) | 0.17 | 0.03 | 0.08 |
Total from investment operations | 0.50 | (0.20 ) | 0.48 | 0.32 | 0.36 |
Distributions to shareholders from | |||||
Net investment income | (0.42 ) | (0.33 ) | (0.32 ) | (0.29 ) | (0.29 ) |
Net asset value, end of period | $7.79 | $7.71 | $8.24 | $8.08 | $8.05 |
Total return | 6.66 % | (2.44 )% | 6.06 % | 4.06 % | 4.59 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.57 % | 0.59 % | 0.60 % | 0.61 % | 0.61 % |
Net expenses | 0.50 % | 0.50 % | 0.50 % | 0.50 % | 0.50 % |
Net investment income | 5.42 % | 3.99 % | 3.78 % | 3.47 % | 3.49 % |
Supplemental data | |||||
Portfolio turnover rate | 27 % | 43 % | 63 % | 78 % | 44 % |
Net assets, end of period (000s omitted) | $1,510,599 | $984,201 | $823,568 | $554,044 | $701,157 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $3,326,056 |
Gross unrealized losses | (30,209,822 ) |
Net unrealized losses | $(26,883,766 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Corporate bonds and notes | $0 | $1,296,125,198 | $0 | $1,296,125,198 |
Investment companies | 10,048,050 | 0 | 0 | 10,048,050 |
Loans | 0 | 96,357,065 | 0 | 96,357,065 |
Yankee corporate bonds and notes | 0 | 189,254,346 | 0 | 189,254,346 |
Short-term investments | ||||
Investment companies | 72,874,106 | 0 | 0 | 72,874,106 |
Total assets | $82,922,156 | $1,581,736,609 | $0 | $1,664,658,765 |
Average daily net assets | Management fee |
First $500 million | 0.500 % |
Next $500 million | 0.475 |
Next $2 billion | 0.450 |
Next $2 billion | 0.425 |
Next $5 billion | 0.390 |
Over $10 billion | 0.380 |
Class-level administration fee | |
Class A | 0.15 % |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.81 % |
Class C | 1.56 |
Administrator Class | 0.65 |
Institutional Class | 0.50 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$781,876 | $(26,883,766 ) | $(60,192,285 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR3017 08-23
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Allspring Funds
President
Allspring Funds
second-quarter gross
domestic product
growth—initially
estimated at 2.4%—and
U.S. annual inflation easing steadily to 3.2%
in July, hopes for a soft
economic landing grew. ”
Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of August 31, 2023 | |||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net2 | |
Class A (SADAX) | 8-31-1999 | 2.41 | 1.50 | 1.16 | 4.50 | 1.91 | 1.37 | 0.66 | 0.51 |
Class A2 (WUSNX)3 | 5-29-2020 | – | – | – | 4.61 | 1.90 | 1.36 | 0.56 | 0.41 |
Class C (WUSTX) | 7-18-2008 | 2.72 | 1.15 | 0.77 | 3.72 | 1.15 | 0.77 | 1.41 | 1.26 |
Administrator Class (WUSDX) | 4-8-2005 | – | – | – | 4.51 | 1.93 | 1.45 | 0.60 | 0.51 |
Institutional Class (SADIX) | 8-31-1999 | – | – | – | 4.76 | 2.17 | 1.69 | 0.33 | 0.26 |
Bloomberg Short-Term Government/Corporate Bond Index4 | – | – | – | – | 3.97 | 1.73 | 1.21 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the Financial Highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.50% for Class A, 0.40% for Class A2, 1.25% for Class C, 0.50% for Administrator Class and 0.25% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance for the Class A2 shares prior to their inception reflects the performance of the Class A shares, and includes the higher expenses applicable to the Class A shares. If these expenses had not been included, returns for the Class A2 shares would be higher. |
4 | The Bloomberg Short-Term Government/Corporate Bond Index contains securities that have fallen out of the Bloomberg Government/Credit Bond Index because of the standard minimum one-year-to-maturity constraint. Securities in the Bloomberg Short-Term Government/Corporate Bond Index must have a maturity from 1 up to (but not including) 12 months. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg Short-Term Government/Corporate Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 2.00%. |
Ten largest holdings (%) as of August 31, 20231 | |
SPDR Portfolio Short Term Corporate Bond ETF | 1.75 |
Santander Drive Auto Receivables Trust, 1.48%, 1-15-2027 | 1.45 |
GA Global Funding Trust, 1.00%, 4-8-2024 | 1.40 |
Nationwide Building Society, 0.55%, 1-22-2024 | 1.37 |
Mercury Financial Credit Card Master Trust, 2.50%, 9-21-2026 | 1.33 |
SPGN Mortgage Trust, 6.86%, 2-15-2039 | 1.33 |
Palmer Square CLO Ltd., 6.57%, 10-17-2031 | 1.24 |
Danske Bank AS, 3.77%, 3-28-2025 | 1.16 |
U.S. Treasury Notes, 3.88%, 4-30-2025 | 1.14 |
OPG Trust, 5.91%, 10-15-2036 | 1.13 |
1 | Figures represent the percentage of the Fund’s net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,026.06 | $2.55 | 0.50 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.69 | $2.55 | 0.50 % |
Class A2 | ||||
Actual | $1,000.00 | $1,026.59 | $2.04 | 0.40 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.19 | $2.04 | 0.40 % |
Class C | ||||
Actual | $1,000.00 | $1,022.22 | $6.37 | 1.25 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.90 | $6.36 | 1.25 % |
Administrator Class | ||||
Actual | $1,000.00 | $1,026.12 | $2.55 | 0.50 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.69 | $2.55 | 0.50 % |
Institutional Class | ||||
Actual | $1,000.00 | $1,027.36 | $1.28 | 0.25 % |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.95 | $1.28 | 0.25 % |
1 | Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 1.18% | ||||||
FHLMC | 4.50 % | 6-1-2024 | $ | 45,904 | $45,133 | |
FHLMC | 4.50 | 9-1-2026 | 99,773 | 98,010 | ||
FHLMC | 5.50 | 12-1-2023 | 904 | 901 | ||
FHLMC | 6.00 | 1-1-2024 | 56 | 56 | ||
FHLMC | 7.00 | 6-1-2031 | 137,981 | 138,849 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series Q004 Class AFL (12 Month Treasury Average+0.74%)± | 5.37 | 5-25-2044 | 887,824 | 887,393 | ||
FHLMC Structured Pass-Through Certificates Series T-42 Class A6 | 9.50 | 2-25-2042 | 376,020 | 411,176 | ||
FHLMC (1 Year Treasury Constant Maturity+2.21%)± | 4.65 | 5-1-2035 | 68,752 | 68,279 | ||
FHLMC (1 Year Treasury Constant Maturity+2.23%)± | 5.25 | 3-1-2035 | 249,596 | 252,165 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.47 | 4-1-2038 | 211,030 | 211,861 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 4.72 | 9-1-2038 | 469,847 | 470,464 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.10 | 10-1-2038 | 227,809 | 222,786 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.25 | 4-1-2032 | 25,171 | 24,887 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 5.38 | 6-1-2032 | 237 | 235 | ||
FHLMC (1 Year Treasury Constant Maturity+2.25%)± | 6.01 | 11-1-2035 | 541,217 | 552,696 | ||
FHLMC Series 2704 Class BH | 4.50 | 11-15-2023 | 720 | 717 | ||
FHLMC Series 3924 Class MF (30 Day Average U.S. SOFR+0.61%)± | 5.80 | 9-15-2041 | 506,508 | 491,685 | ||
FHLMC Series 4889 Class CD | 3.00 | 4-15-2049 | 584,094 | 514,537 | ||
FHLMC Series 4938 Class BF (30 Day Average U.S. SOFR+0.61%)± | 5.90 | 12-25-2049 | 2,757,876 | 2,643,025 | ||
FNMA | 4.50 | 1-1-2027 | 189,796 | 185,943 | ||
FNMA | 5.00 | 6-1-2024 | 19,851 | 19,639 | ||
FNMA | 6.50 | 8-1-2031 | 177,249 | 183,349 | ||
FNMA (1 Year Treasury Constant Maturity+2.02%)± | 4.36 | 12-1-2034 | 94,130 | 95,402 | ||
FNMA (1 Year Treasury Constant Maturity+2.19%)± | 4.32 | 11-1-2031 | 30,176 | 29,705 | ||
FNMA (1 Year Treasury Constant Maturity+2.20%)± | 4.84 | 12-1-2040 | 1,088,426 | 1,102,788 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.10 | 10-1-2034 | 2,709 | 2,747 | ||
FNMA (1 Year Treasury Constant Maturity+2.21%)± | 5.39 | 9-1-2035 | 114,521 | 114,863 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.34 | 6-1-2032 | 51,271 | 50,798 | ||
FNMA (1 Year Treasury Constant Maturity+2.22%)± | 5.35 | 6-1-2034 | 326,109 | 324,909 | ||
FNMA (1 Year Treasury Constant Maturity+2.23%)± | 4.83 | 11-1-2038 | 257,477 | 261,723 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 4.84 | 12-1-2040 | 78,872 | 77,621 | ||
FNMA (1 Year Treasury Constant Maturity+2.24%)± | 5.02 | 7-1-2038 | 923,850 | 938,681 | ||
FNMA (1 Year Treasury Constant Maturity+2.26%)± | 4.38 | 11-1-2035 | 36,727 | 36,096 | ||
FNMA (1 Year Treasury Constant Maturity+2.27%)± | 4.88 | 8-1-2036 | 589,649 | 598,806 | ||
FNMA (1 Year Treasury Constant Maturity+2.31%)± | 5.55 | 5-1-2036 | 175,068 | 176,135 | ||
FNMA (1 Year Treasury Constant Maturity+2.36%)± | 4.91 | 11-1-2034 | 288,429 | 294,129 | ||
FNMA (12 Month LIBOR+1.77%)± | 4.83 | 7-1-2044 | 699,003 | 711,380 | ||
FNMA (12 Month Treasury Average+2.05%)± | 6.30 | 8-1-2045 | 150,772 | 147,966 | ||
FNMA (6 Month LIBOR+1.38%)± | 6.50 | 10-1-2031 | 33,371 | 33,406 | ||
FNMA (6 Month LIBOR+1.51%)± | 4.37 | 9-1-2037 | 165,838 | 166,042 | ||
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 162,862 | 164,677 | ||
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 246,692 | 255,071 | ||
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 217,044 | 228,480 | ||
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 245,632 | 265,061 | ||
FNMA Series 2002-W4 Class A6±± | 4.22 | 5-25-2042 | 286,002 | 271,631 | ||
FNMA Series 2003-W11 Class A1±± | 5.72 | 6-25-2033 | 9,262 | 9,221 | ||
FNMA Series 2003-W3 Class 1A4±± | 4.08 | 8-25-2042 | 16,592 | 15,174 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA Series 2007-W2 Class 1A1 (30 Day Average U.S. SOFR+0.43%)± | 5.72 % | 3-25-2037 | $ | 182,871 | $177,771 | |
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 253,535 | 250,997 | ||
FNMA Series 2013-23 Class LF (30 Day Average U.S. SOFR+0.46%)± | 4.50 | 3-25-2043 | 2,380,529 | 2,319,812 | ||
FNMA Series 2014-19 Class HA | 2.00 | 6-25-2040 | 136,931 | 127,894 | ||
GNMA | 7.00 | 6-15-2033 | 202,170 | 211,293 | ||
Total agency securities (Cost $17,165,418) | 16,884,065 | |||||
Asset-backed securities: 25.99% | ||||||
ACRES Commercial Realty Ltd. Series 2021-FL2 Class A (U.S. SOFR 1 Month+1.51%)144A± | 6.83 | 1-15-2037 | 4,000,000 | 3,950,250 | ||
American Credit Acceptance Receivables Trust Series 2019-4 Class D144A | 2.97 | 12-12-2025 | 1,246,647 | 1,242,990 | ||
American Credit Acceptance Receivables Trust Series 2021-1 Class C144A | 0.83 | 3-15-2027 | 2,125,970 | 2,109,785 | ||
Aqua Finance Trust Series 2021-A Class A144A | 1.54 | 7-17-2046 | 1,723,168 | 1,520,065 | ||
BHG Securitization Trust Series 2021-A Class A144A | 1.42 | 11-17-2033 | 2,088,083 | 1,947,375 | ||
Black Diamond CLO Ltd. Series 2017-1A Class A1AR (U.S. SOFR 3 Month+1.31%)144A± | 6.66 | 4-24-2029 | 398,760 | 398,267 | ||
BRAVO Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR+0.75%)144A± | 6.04 | 11-25-2069 | 5,095,087 | 5,002,090 | ||
Carlyle C17 CLO Ltd. Series C17A Class A1AR (U.S. SOFR 3 Month+1.29%)144A± | 6.66 | 4-30-2031 | 2,996,062 | 2,979,831 | ||
Carlyle Global Market Strategies CLO Ltd. Series 2015-1A Class AR3 (U.S. SOFR 3 Month+1.24%)144A± | 6.57 | 7-20-2031 | 10,653,362 | 10,608,686 | ||
Carvana Auto Receivables Trust Series 2019-4A Class D144A | 3.07 | 7-15-2025 | 3,434,815 | 3,410,781 | ||
CCG Receivables Trust Series 2022-1 Class A2144A | 3.91 | 7-16-2029 | 3,451,615 | 3,391,841 | ||
CFMT LLC Series 2021-AL1 Class B144A | 1.39 | 9-22-2031 | 5,118,989 | 4,932,609 | ||
CFMT LLC Series 2021-EBO1 Class A144A±± | 0.98 | 11-25-2050 | 3,447,749 | 3,151,323 | ||
CIFC Funding Ltd. Series 2018-1A Class A (U.S. SOFR 3 Month+1.26%)144A± | 6.57 | 4-18-2031 | 1,750,000 | 1,742,991 | ||
Commonbond Student Loan Trust Series 2018-BGS Class A1144A | 3.56 | 9-25-2045 | 2,134,324 | 1,984,802 | ||
Credit Acceptance Auto Loan Trust Series 2020-3A Class A144A | 1.24 | 10-15-2029 | 523,451 | 521,683 | ||
Domino’s Pizza Master Issuer LLC Series 2015-1A Class A2II144A | 4.47 | 10-25-2045 | 15,852,500 | 15,185,157 | ||
Dryden 30 Senior Loan Fund Series 2013-30A Class AR (U.S. SOFR 3 Month+1.08%)144A± | 6.45 | 11-15-2028 | 3,534,227 | 3,522,925 | ||
Dryden 80 CLO Ltd. Series 2019-80A Class AR (U.S. SOFR 3 Month+1.25%)144A± | 6.56 | 1-17-2033 | 11,000,000 | 10,915,875 | ||
DT Auto Owner Trust Series 2019-4A Class D144A | 2.85 | 7-15-2025 | 3,091,002 | 3,060,405 | ||
ECMC Group Student Loan Trust Series 2020-2A Class A (30 Day Average U.S. SOFR+1.26%)144A± | 6.55 | 11-25-2069 | 4,471,961 | 4,427,390 | ||
Enterprise Fleet Funding LLC Series 2021-1 Class A2144A | 0.44 | 12-21-2026 | 2,208,719 | 2,172,345 | ||
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (U.S. SOFR 1 Month+1.24%)± | 6.55 | 9-25-2033 | 142,125 | 138,139 | ||
Exeter Automobile Receivables Trust Series 2020-1A Class D144A | 2.73 | 12-15-2025 | 3,263,487 | 3,200,415 | ||
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 8,418,000 | 8,138,818 | ||
Flagship Credit Auto Trust Series 2018-3 Class D144A | 4.15 | 12-16-2024 | 968,749 | 965,327 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
GLS Auto Receivables Issuer Trust Series 2019-3A Class C144A | 2.96 % | 5-15-2025 | $ | 701,280 | $697,534 | |
GLS Auto Receivables Issuer Trust Series 2020-1A Class C144A | 2.72 | 11-17-2025 | 3,899,107 | 3,860,730 | ||
Gracie Point International Funding Series 2022-1A Class A (30 Day Average U.S. SOFR+2.25%)144A± | 7.56 | 4-1-2024 | 6,166,136 | 6,187,832 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class A144A | 1.21 | 12-26-2025 | 11,325,000 | 10,719,828 | ||
HGI CRE CLO Ltd. Series 2021-FL2 Class A (1 Month LIBOR+1.00%)144A± | 6.43 | 9-17-2036 | 6,199,736 | 6,049,773 | ||
Mercury Financial Credit Card Master Trust Series 2022-1A Class A144A | 2.50 | 9-21-2026 | 20,000,000 | 19,024,702 | ||
MF1 Ltd. Series 2021-FL7 Class A (U.S. SOFR 1 Month+1.19%)144A± | 6.51 | 10-16-2036 | 12,000,000 | 11,760,000 | ||
MF1 Ltd. Series 2022-FL8 Class A (U.S. SOFR 1 Month+1.35%)144A± | 6.66 | 2-19-2037 | 13,025,000 | 12,780,781 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month+0.96%)144A± | 6.28 | 7-15-2036 | 4,865,340 | 4,780,196 | ||
Navient Private Education Refinance Loan Trust Series 2018-CA Class A2144A | 3.52 | 6-16-2042 | 253,396 | 249,454 | ||
Navient Private Education Refinance Loan Trust Series 2021-EA Class A144A | 0.97 | 12-16-2069 | 6,591,318 | 5,548,232 | ||
Navient Student Loan Trust Series 2017-3A Class A3 (30 Day Average U.S. SOFR+1.16%)144A± | 6.45 | 7-26-2066 | 5,196,433 | 5,112,511 | ||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R (U.S. SOFR 3 Month+1.26%)144A± | 6.59 | 3-17-2030 | 10,744,917 | 10,708,947 | ||
Octane Receivables Trust Series 2020-1A Class A144A | 1.71 | 2-20-2025 | 5,242 | 5,235 | ||
Octane Receivables Trust Series 2021-1A Class A144A | 0.93 | 3-22-2027 | 3,402,491 | 3,326,224 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 8,500,000 | 8,132,122 | ||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A144A | 0.87 | 7-14-2028 | 11,760,000 | 11,157,454 | ||
OneMain Financial Issuance Trust Series 2020-1A Class A144A | 3.84 | 5-14-2032 | 1,856,745 | 1,851,912 | ||
Palmer Square CLO Ltd. Series 2013-2A Class A1A3 (U.S. SOFR 3 Month+1.26%)144A± | 6.57 | 10-17-2031 | 17,785,000 | 17,686,650 | ||
PFS Financing Corp. Series 2020-E Class A144A | 1.00 | 10-15-2025 | 15,000,000 | 14,909,358 | ||
PFS Financing Corp. Series 2021-A Class A144A | 0.71 | 4-15-2026 | 9,340,000 | 9,035,406 | ||
Santander Drive Auto Receivables Trust Series 2020-4 Class D | 1.48 | 1-15-2027 | 21,370,000 | 20,748,661 | ||
SLM Private Credit Student Loan Trust Series 2004-B Class A3 (3 Month LIBOR+0.33%)± | 5.88 | 3-15-2024 | 103,330 | 103,295 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR+0.67%)144A± | 6.22 | 12-17-2068 | 14,601,045 | 14,476,523 | ||
SLM Student Loan Trust Series 2013-1 Class A3 (30 Day Average U.S. SOFR+0.66%)± | 5.95 | 5-26-2055 | 3,120,432 | 3,030,172 | ||
SoFi Consumer Loan Program Trust Series 2021-1 Class A144A | 0.49 | 9-25-2030 | 226,586 | 224,199 | ||
Sound Point CLO VIII-R Ltd. Series 2015-1RA Class AR (U.S. SOFR 3 Month+1.34%)144A± | 6.65 | 4-15-2030 | 7,845,800 | 7,827,278 | ||
SpringCastle America Funding LLC Series 2020-AA Class A144A | 1.97 | 9-25-2037 | 2,335,392 | 2,120,815 | ||
Taco Bell Funding LLC Series 2016-1A Class A23144A | 4.97 | 5-25-2046 | 6,426,562 | 6,196,247 | ||
TCI-Symphony CLO Ltd. Series 2016-1A Class AR2 (U.S. SOFR 3 Month+1.28%)144A± | 6.58 | 10-13-2032 | 7,685,000 | 7,637,124 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
THL Credit Wind River CLO Ltd. Series 2013-2A Class AR2 (U.S. SOFR 3 Month+1.26%)144A± | 6.57 % | 10-18-2030 | $ | 13,611,467 | $13,574,209 | |
Towd Point Asset Trust Series 2018-SL1 Class A (U.S. SOFR 1 Month+0.71%)144A± | 6.03 | 1-25-2046 | 436,440 | 434,934 | ||
TRTX Issuer Ltd. Series 2022-FL5 Class A (30 Day Average U.S. SOFR+1.65%)144A± | 6.87 | 2-15-2039 | 15,000,000 | 14,625,000 | ||
Voya CLO Ltd. Series 2017-1A Class A1R (U.S. SOFR 3 Month+1.21%)144A± | 6.52 | 4-17-2030 | 6,303,175 | 6,274,744 | ||
Zais CLO Ltd. Series 2020-14A Class A1AR (U.S. SOFR 3 Month+1.46%)144A± | 6.77 | 4-15-2032 | 9,916,945 | 9,870,261 | ||
Total asset-backed securities (Cost $381,511,827) | 371,350,508 | |||||
Corporate bonds and notes: 28.05% | ||||||
Basic materials: 0.11% | ||||||
Chemicals: 0.11% | ||||||
Celanese U.S. Holdings LLC | 6.05 | 3-15-2025 | 1,515,000 | 1,516,269 | ||
Communications: 0.20% | ||||||
Telecommunications: 0.20% | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC144A | 4.74 | 3-20-2025 | 2,921,188 | 2,891,382 | ||
Consumer, cyclical: 5.56% | ||||||
Airlines: 0.02% | ||||||
U.S. Airways Pass-Through Trust Series 2013-1 Class A | 3.95 | 11-15-2025 | 359,640 | 341,147 | ||
Apparel: 0.86% | ||||||
Michael Kors USA, Inc.144A | 4.25 | 11-1-2024 | 12,574,000 | 12,352,446 | ||
Auto manufacturers: 3.67% | ||||||
Daimler Truck Finance North America LLC144A | 1.13 | 12-14-2023 | 10,780,000 | 10,634,460 | ||
Daimler Truck Finance North America LLC144A | 5.15 | 1-16-2026 | 7,800,000 | 7,740,946 | ||
Ford Motor Credit Co. LLC | 2.30 | 2-10-2025 | 8,000,000 | 7,515,825 | ||
General Motors Financial Co., Inc. | 5.40 | 4-6-2026 | 5,000,000 | 4,937,796 | ||
Hyundai Capital America144A | 0.80 | 1-8-2024 | 10,000,000 | 9,825,837 | ||
Hyundai Capital America144A | 1.25 | 9-18-2023 | 4,750,000 | 4,740,766 | ||
Mercedes-Benz Finance North America LLC144A | 5.20 | 8-3-2026 | 7,000,000 | 6,986,202 | ||
52,381,832 | ||||||
Lodging: 1.01% | ||||||
Las Vegas Sands Corp. | 3.20 | 8-8-2024 | 14,845,000 | 14,372,450 | ||
Consumer, non-cyclical: 0.75% | ||||||
Pharmaceuticals: 0.75% | ||||||
Bayer U.S. Finance II LLC144A | 3.88 | 12-15-2023 | 10,700,000 | 10,639,708 |
Interest rate | Maturity date | Principal | Value | |||
Energy: 2.01% | ||||||
Oil & gas: 1.05% | ||||||
Occidental Petroleum Corp. | 5.88 % | 9-1-2025 | $ | 10,000,000 | $9,977,150 | |
Ovintiv, Inc. | 5.65 | 5-15-2025 | 5,000,000 | 4,985,878 | ||
14,963,028 | ||||||
Pipelines: 0.96% | ||||||
Energy Transfer LP Series 5Y | 4.20 | 9-15-2023 | 4,866,000 | 4,863,597 | ||
Plains All American Pipeline LP/PAA Finance Corp. | 3.85 | 10-15-2023 | 8,971,000 | 8,945,791 | ||
13,809,388 | ||||||
Financial: 13.98% | ||||||
Banks: 6.34% | ||||||
Bank of America Corp. (U.S. SOFR+0.65%)± | 1.53 | 12-6-2025 | 4,500,000 | 4,255,251 | ||
Bank of America Corp. (U.S. SOFR+0.67%)± | 1.84 | 2-4-2025 | 8,000,000 | 7,854,942 | ||
Bank of America Corp. (U.S. SOFR+0.73%)± | 0.81 | 10-24-2024 | 12,000,000 | 11,907,018 | ||
Citigroup, Inc. (U.S. SOFR+0.67%)± | 0.98 | 5-1-2025 | 2,000,000 | 1,931,518 | ||
Citigroup, Inc. (U.S. SOFR+0.69%)± | 0.78 | 10-30-2024 | 8,000,000 | 7,927,317 | ||
Goldman Sachs Group, Inc. (U.S. SOFR+0.49%)± | 0.93 | 10-21-2024 | 8,000,000 | 7,937,172 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.49%)± | 0.77 | 8-9-2025 | 6,000,000 | 5,700,185 | ||
JPMorgan Chase & Co. (U.S. SOFR+0.92%)± | 6.25 | 2-24-2026 | 5,000,000 | 5,003,029 | ||
JPMorgan Chase & Co. (U.S. SOFR 3 Month+0.54%)± | 0.82 | 6-1-2025 | 6,280,000 | 6,030,499 | ||
Morgan Stanley (U.S. SOFR+0.56%)± | 1.16 | 10-21-2025 | 8,000,000 | 7,544,656 | ||
Morgan Stanley (U.S. SOFR+1.16%)± | 3.62 | 4-17-2025 | 10,000,000 | 9,846,877 | ||
National Securities Clearing Corp.144A | 5.15 | 5-30-2025 | 4,000,000 | 3,990,007 | ||
Santander Holdings USA, Inc. (U.S. SOFR+1.38%)± | 4.26 | 6-9-2025 | 7,900,000 | 7,744,105 | ||
Truist Financial Corp. (U.S. SOFR+2.05%)± | 6.05 | 6-8-2027 | 3,000,000 | 2,997,903 | ||
90,670,479 | ||||||
Diversified financial services: 0.17% | ||||||
Navient Corp. | 7.25 | 9-25-2023 | 2,400,000 | 2,400,000 | ||
Insurance: 6.75% | ||||||
Allied World Assurance Co. Holdings Ltd. | 4.35 | 10-29-2025 | 4,700,000 | 4,509,314 | ||
Athene Global Funding144A | 0.91 | 8-19-2024 | 5,000,000 | 4,748,903 | ||
Athene Global Funding144A | 1.20 | 10-13-2023 | 5,000,000 | 4,972,835 | ||
Brighthouse Financial Global Funding144A | 1.75 | 1-13-2025 | 11,340,000 | 10,685,957 | ||
Equitable Financial Life Global Funding144A | 5.50 | 12-2-2025 | 10,615,000 | 10,514,374 | ||
GA Global Funding Trust144A | 1.00 | 4-8-2024 | 20,775,000 | 20,077,368 | ||
Jackson Financial, Inc. | 1.13 | 11-22-2023 | 5,725,000 | 5,666,100 | ||
Met Tower Global Funding144A | 0.70 | 4-5-2024 | 12,000,000 | 11,649,057 | ||
Principal Life Global Funding II144A | 1.38 | 1-10-2025 | 13,000,000 | 12,260,479 | ||
Protective Life Global Funding144A | 0.47 | 1-12-2024 | 10,000,000 | 9,809,870 | ||
Security Benefit Global Funding144A | 1.25 | 5-17-2024 | 1,665,000 | 1,600,555 | ||
96,494,812 | ||||||
REITS: 0.72% | ||||||
WEA Finance LLC/Westfield U.K. & Europe Finance PLC144A | 3.75 | 9-17-2024 | 10,766,000 | 10,262,710 |
Interest rate | Maturity date | Principal | Value | |||
Industrial: 1.41% | ||||||
Aerospace/defense: 0.34% | ||||||
Boeing Co. | 1.43 % | 2-4-2024 | $ | 5,000,000 | $4,903,378 | |
Hand/machine tools: 0.37% | ||||||
Regal Rexnord Corp.144A | 6.05 | 2-15-2026 | 5,255,000 | 5,226,650 | ||
Trucking & leasing: 0.70% | ||||||
DAE Funding LLC144A | 1.55 | 8-1-2024 | 5,250,000 | 5,008,994 | ||
Penske Truck Leasing Co. LP/PTL Finance Corp.144A | 5.75 | 5-24-2026 | 5,000,000 | 4,965,369 | ||
9,974,363 | ||||||
Technology: 0.44% | ||||||
Computers: 0.20% | ||||||
Western Digital Corp. | 4.75 | 2-15-2026 | 3,000,000 | 2,860,276 | ||
Semiconductors: 0.24% | ||||||
Microchip Technology, Inc. | 2.67 | 9-1-2023 | 3,475,000 | 3,475,000 | ||
Utilities: 3.59% | ||||||
Electric: 3.59% | ||||||
Alexander Funding Trust144A | 1.84 | 11-15-2023 | 12,265,000 | 12,138,065 | ||
American Electric Power Co., Inc. Series M | 0.75 | 11-1-2023 | 7,000,000 | 6,942,317 | ||
CenterPoint Energy, Inc. (U.S. SOFR+0.65%)± | 5.98 | 5-13-2024 | 3,840,000 | 3,839,030 | ||
Entergy Louisiana LLC | 0.62 | 11-17-2023 | 6,045,000 | 5,983,289 | ||
NextEra Energy Capital Holdings, Inc. | 6.05 | 3-1-2025 | 6,250,000 | 6,274,640 | ||
NextEra Energy Operating Partners LP144A | 4.25 | 7-15-2024 | 2,030,000 | 1,991,768 | ||
Oncor Electric Delivery Co. LLC | 2.95 | 4-1-2025 | 5,105,000 | 4,903,169 | ||
Vistra Operations Co. LLC144A | 3.55 | 7-15-2024 | 9,500,000 | 9,243,945 | ||
51,316,223 | ||||||
Total corporate bonds and notes (Cost $410,197,793) | 400,851,541 |
Shares | ||||||
Investment companies: 2.66% | ||||||
Exchange-traded funds: 2.66% | ||||||
iShares 0-5 Year High Yield Corporate Bond ETF | 314,900 | 13,102,989 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 847,800 | 24,984,666 | ||||
Total investment companies (Cost $39,934,659) | 38,087,655 |
Principal | ||||||
Municipal obligations: 0.13% | ||||||
Indiana: 0.13% | ||||||
Education revenue: 0.13% | ||||||
Indiana Secondary Market for Education Loans, Inc. (U.S. SOFR 1 Month+0.80%)± | 6.21 | 2-25-2044 | $ | 1,797,505 | 1,797,003 | |
Total municipal obligations (Cost $1,781,709) | 1,797,003 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities: 13.81% | ||||||
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±± | 1.47 % | 6-25-2065 | $ | 727,083 | $671,377 | |
Angel Oak Mortgage Trust Series 2020-5 Class A2144A±± | 1.58 | 5-25-2065 | 544,219 | 499,179 | ||
Angel Oak Mortgage Trust Series 2020-R1 Class A1144A±± | 0.99 | 4-25-2053 | 2,264,810 | 2,034,912 | ||
BRAVO Residential Funding Trust Series 2020-RPL1 Class A1144A±± | 2.50 | 5-26-2059 | 813,136 | 767,473 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1144A | 2.88 | 7-25-2049 | 1,126,150 | 1,047,475 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A144A±± | 4.00 | 10-25-2068 | 415,967 | 409,873 | ||
CFMT LLC Series 2021-HB7 Class A144A±± | 1.15 | 10-27-2031 | 3,187,549 | 3,032,784 | ||
CHL Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1±± | 4.01 | 6-19-2031 | 50,363 | 47,991 | ||
CHL Mortgage Pass-Through Trust Series 2001-HYB1 Class 1A1±± | 4.24 | 6-19-2031 | 80,518 | 78,021 | ||
CHNGE Mortgage Trust Series 2022-2 Class A1144A±± | 3.76 | 3-25-2067 | 12,283,060 | 11,404,862 | ||
Citigroup Global Markets Mortgage Securities VII, Inc. Series 1990-2 Class A±± | 0.30 | 11-25-2049 | 68,497 | 68,175 | ||
COLT Mortgage Loan Trust Series 2020-2 Class A1144A±± | 1.85 | 3-25-2065 | 73,071 | 72,542 | ||
COLT Mortgage Loan Trust Series 2021-HX1 Class A1144A±± | 1.11 | 10-25-2066 | 10,674,639 | 8,578,088 | ||
COLT Pass-Through Certificates Series 2021-1R Class A1144A±± | 0.86 | 5-25-2065 | 2,487,683 | 2,082,266 | ||
COMM Mortgage Trust Series 2014-CR16 Class ASB | 3.65 | 4-10-2047 | 223,363 | 222,282 | ||
Credit Suisse Mortgage Capital Certificates Series 2020-SPT1 Class A1144A | 1.62 | 4-25-2065 | 279,100 | 275,608 | ||
CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A2 | 4.14 | 8-15-2051 | 606,343 | 603,263 | ||
CSMC Trust Series 2020-AFC1 Class A3144A±± | 2.51 | 2-25-2050 | 1,442,619 | 1,320,919 | ||
CSMC Trust Series 2021-NQM2 Class A1144A±± | 1.18 | 2-25-2066 | 4,018,041 | 3,350,549 | ||
CSMC Trust Series 2022-NQM1 Class A1144A±± | 2.27 | 11-25-2066 | 6,182,250 | 5,159,790 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (U.S. SOFR 1 Month+1.18%)144A± | 6.49 | 12-19-2030 | 635,000 | 630,599 | ||
Ellington Financial Mortgage Trust Series 2020-1 Class A1144A±± | 2.01 | 5-25-2065 | 278,372 | 265,344 | ||
Ellington Financial Mortgage Trust Series 2021-1 Class A1144A±± | 0.80 | 2-25-2066 | 606,095 | 505,142 | ||
GCAT Trust Series 2022-HX1 Class A1144A±± | 2.89 | 12-27-2066 | 14,636,970 | 12,858,066 | ||
GS Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,173,793 | ||
GS Mortgage-Backed Securities Trust Series 2020-NQM1 Class A1144A±± | 1.38 | 9-27-2060 | 1,076,054 | 984,614 | ||
GSMPS Mortgage Loan Trust Series 1998-1 Class A144A±± | 8.00 | 9-19-2027 | 22,898 | 21,439 | ||
HPLY Trust Series 2019-HIT Class A (U.S. SOFR 1 Month+1.11%)144A± | 6.43 | 11-15-2036 | 3,728,874 | 3,700,598 | ||
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1144A±± | 1.38 | 10-25-2055 | 2,366,290 | 2,085,809 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1144A±± | 1.07 | 6-25-2056 | 1,923,019 | 1,568,539 | ||
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1144A±± | 1.60 | 11-25-2056 | 6,290,584 | 5,173,171 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A1144A | 4.38 | 5-25-2067 | 13,402,320 | 12,770,563 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (U.S. SOFR 1 Month+1.26%)144A± | 6.57 | 6-15-2035 | 3,571,081 | 3,330,490 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (U.S. SOFR 1 Month+1.01%)144A± | 6.32 | 7-15-2036 | 84,888 | 84,253 | ||
JP Morgan Mortgage Trust Series 2019-7 Class B2A144A±± | 2.99 | 2-25-2050 | 2,271,816 | 1,822,949 | ||
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1144A±± | 3.00 | 9-25-2059 | 7,324,069 | 6,734,535 | ||
MASTR Adjustable Rate Mortgages Trust Series 2002-3 Class 4A1±± | 4.75 | 10-25-2032 | 1,438 | 1,367 | ||
Med Trust Series 2021-MDLN Class A (U.S. SOFR 1 Month+1.06%)144A± | 6.37 | 11-15-2038 | 7,961,789 | 7,761,990 | ||
MFA Trust Series 2020-NQM1 Class A1144A±± | 1.48 | 3-25-2065 | 1,075,196 | 982,519 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
MFA Trust Series 2020-NQM3 Class A1144A±± | 1.01 % | 1-26-2065 | $ | 1,028,461 | $928,734 | |
MFA Trust Series 2021-NQM1 Class A1144A±± | 1.15 | 4-25-2065 | 3,249,396 | 2,839,925 | ||
Mill City Mortgage Loan Trust Series 2017-2 Class A1144A±± | 2.75 | 7-25-2059 | 218,754 | 216,808 | ||
Mill City Mortgage Loan Trust Series 2018-2 Class A1144A±± | 3.50 | 5-25-2058 | 597,982 | 583,051 | ||
New Residential Mortgage Loan Trust Series 2021-INV1 Class A6144A±± | 2.50 | 6-25-2051 | 5,416,643 | 4,652,465 | ||
NewRez Warehouse Securitization Trust Series 2021-1 Class A (U.S. SOFR 1 Month+0.86%)144A± | 6.18 | 5-25-2055 | 8,666,667 | 8,624,679 | ||
OBX Trust Series 2020-EXP1 Class 1A8144A±± | 3.50 | 2-25-2060 | 646,218 | 565,107 | ||
OBX Trust Series 2021-NQM3 Class A1144A±± | 1.05 | 7-25-2061 | 4,210,386 | 3,140,596 | ||
Oceanview Trust Series 2021-1 Class A144A | 1.22 | 12-29-2051 | 850,980 | 835,184 | ||
OPG Trust Series 2021-PORT Class A (U.S. SOFR 1 Month+0.60%)144A± | 5.91 | 10-15-2036 | 16,646,066 | 16,217,833 | ||
Ready Capital Mortgage Trust Series 2019-5 Class A144A | 3.78 | 2-25-2052 | 198,415 | 197,418 | ||
Residential Mortgage Loan Trust Series 2019-2 Class A1144A±± | 2.91 | 5-25-2059 | 156,466 | 154,153 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A1144A±± | 0.86 | 1-25-2065 | 2,464,074 | 2,224,208 | ||
SPGN Mortgage Trust Series 2022-TFLM Class A (U.S. SOFR 1 Month+1.55%)144A± | 6.86 | 2-15-2039 | 20,000,000 | 19,034,626 | ||
Starwood Mortgage Residential Trust Series 2020-1 Class A3144A±± | 2.56 | 2-25-2050 | 2,823,054 | 2,605,914 | ||
Starwood Mortgage Residential Trust Series 2021-2 Class A1144A±± | 0.94 | 5-25-2065 | 2,413,201 | 2,127,957 | ||
Towd Point Mortgage Trust Series 2017-1 Class A1144A±± | 2.75 | 10-25-2056 | 260,571 | 257,325 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1144A±± | 2.75 | 6-25-2057 | 808,081 | 762,650 | ||
Towd Point Mortgage Trust Series 2017-6 Class A1144A±± | 2.75 | 10-25-2057 | 835,976 | 792,568 | ||
Towd Point Mortgage Trust Series 2018-2 Class A1144A±± | 3.25 | 3-25-2058 | 1,419,858 | 1,354,598 | ||
Towd Point Mortgage Trust Series 2018-3 Class A1144A±± | 3.75 | 5-25-2058 | 3,144,069 | 2,992,017 | ||
TRK Trust Series 2021-INV2 Class A1144A±± | 1.97 | 11-25-2056 | 12,045,346 | 9,892,420 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (U.S. SOFR 1 Month+0.90%)144A± | 6.21 | 2-15-2032 | 3,574,342 | 3,536,019 | ||
Verus Securitization Trust Series 2019-INV3 Class A1144A±± | 2.69 | 11-25-2059 | 1,010,218 | 968,194 | ||
Verus Securitization Trust Series 2020-2 Class A1144A±± | 2.23 | 5-25-2060 | 133,259 | 129,885 | ||
Verus Securitization Trust Series 2020-INV1 Class A1144A±± | 1.98 | 3-25-2060 | 232,869 | 227,371 | ||
Verus Securitization Trust Series 2021-1 Class A2144A±± | 1.05 | 1-25-2066 | 3,200,399 | 2,727,489 | ||
Verus Securitization Trust Series 2021-2 Class A1144A±± | 1.03 | 2-25-2066 | 1,868,770 | 1,570,275 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 3,186,526 | 2,803,346 | ||
Wilshire Funding Corp. Series 1996-3 Class M2±± | 7.54 | 8-25-2032 | 78,194 | 78,931 | ||
Wilshire Funding Corp. Series 1996-3 Class M3±± | 7.54 | 8-25-2032 | 39,990 | 39,123 | ||
Wilshire Funding Corp. Series 1998-WFC2 Class M1 (12 Month Treasury Average+2.00%)± | 5.98 | 12-28-2037 | 65,889 | 64,985 | ||
Total non-agency mortgage-backed securities (Cost $218,016,178) | 197,329,063 | |||||
U.S. Treasury securities: 2.90% | ||||||
U.S. Treasury Notes | 3.88 | 4-30-2025 | 16,620,000 | 16,318,113 | ||
U.S. Treasury Notes | 4.63 | 2-28-2025 | 4,800,000 | 4,766,813 | ||
U.S. Treasury Notes | 4.63 | 3-15-2026 | 9,380,000 | 9,373,038 | ||
U.S. Treasury Notes | 4.75 | 7-31-2025 | 11,000,000 | 10,970,352 | ||
Total U.S. Treasury securities (Cost $41,915,523) | 41,428,316 |
Interest rate | Maturity date | Principal | Value | |||
Yankee corporate bonds and notes: 12.74% | ||||||
Consumer, cyclical: 0.83% | ||||||
Airlines: 0.51% | ||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.144A | 4.50 % | 10-20-2025 | $ | 7,500,061 | $7,330,495 | |
Auto manufacturers: 0.32% | ||||||
Nissan Motor Co. Ltd.144A | 3.04 | 9-15-2023 | 4,500,000 | 4,495,955 | ||
Energy: 0.34% | ||||||
Oil & gas: 0.34% | ||||||
Harvest Operations Corp.144A | 1.00 | 4-26-2024 | 5,000,000 | 4,840,150 | ||
Financial: 10.54% | ||||||
Banks: 8.48% | ||||||
Banco Bilbao Vizcaya Argentaria SA | 0.88 | 9-18-2023 | 5,000,000 | 4,991,050 | ||
Banco Santander SA | 3.89 | 5-24-2024 | 10,000,000 | 9,844,338 | ||
Banque Federative du Credit Mutuel SA144A | 4.94 | 1-26-2026 | 5,000,000 | 4,900,615 | ||
Barclays PLC (1 Year Treasury Constant Maturity+0.80%)± | 1.01 | 12-10-2024 | 5,135,000 | 5,064,018 | ||
Credit Agricole Corporate & Investment Bank SA144A | 5.59 | 7-5-2026 | 12,000,000 | 11,996,143 | ||
Credit Suisse AG | 3.63 | 9-9-2024 | 4,000,000 | 3,890,803 | ||
Danske Bank AS (1 Year Treasury Constant Maturity+1.45%)144A± | 3.77 | 3-28-2025 | 16,850,000 | 16,582,895 | ||
Deutsche Bank AG (U.S. SOFR+2.16%)± | 2.22 | 9-18-2024 | 3,500,000 | 3,494,517 | ||
Federation des Caisses Desjardins du Quebec144A | 4.40 | 8-23-2025 | 12,000,000 | 11,646,684 | ||
HSBC Holdings PLC (U.S. SOFR+0.58%)± | 1.16 | 11-22-2024 | 10,000,000 | 9,878,918 | ||
HSBC Holdings PLC (U.S. SOFR 3 Month+1.47%)± | 3.80 | 3-11-2025 | 10,000,000 | 9,874,850 | ||
Mitsubishi UFJ Financial Group, Inc. (1 Year Treasury Constant Maturity+0.68%)± | 0.85 | 9-15-2024 | 4,000,000 | 3,994,110 | ||
Mitsubishi UFJ Financial Group, Inc. (1 Year Treasury Constant Maturity+1.08%)± | 5.72 | 2-20-2026 | 5,000,000 | 4,985,374 | ||
Mizuho Financial Group, Inc. (U.S. SOFR 3 Month+0.87%)± | 0.85 | 9-8-2024 | 6,990,000 | 6,987,592 | ||
Sumitomo Mitsui Financial Group, Inc. | 5.46 | 1-13-2026 | 10,000,000 | 9,968,066 | ||
Toronto-Dominion Bank (U.S. SOFR+0.45%)± | 5.71 | 9-28-2023 | 3,000,000 | 3,000,354 | ||
121,100,327 | ||||||
Diversified financial services: 0.69% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 1.15 | 10-29-2023 | 10,000,000 | 9,923,375 | ||
Savings & loans: 1.37% | ||||||
Nationwide Building Society144A | 0.55 | 1-22-2024 | 20,000,000 | 19,592,897 | ||
Technology: 1.03% | ||||||
Semiconductors: 1.03% | ||||||
Renesas Electronics Corp.144A | 1.54 | 11-26-2024 | 15,670,000 | 14,753,046 | ||
Total yankee corporate bonds and notes (Cost $185,339,138) | 182,036,245 |
Yield | Shares | |||||
Short-term investments: 11.98% | ||||||
Investment companies: 5.55% | ||||||
Allspring Government Money Market Fund Select Class♠∞ | 5.26 | 79,386,475 | 79,386,475 |
Yield | Maturity date | Principal | Value | |||
U.S. Treasury securities: 6.43% | ||||||
U.S. Treasury Bills☼ | 4.12 % | 9-7-2023 | $ | 22,000,000 | $21,980,663 | |
U.S. Treasury Bills☼ | 5.01 | 9-19-2023 | 20,000,000 | 19,947,250 | ||
U.S. Treasury Bills☼ | 5.42 | 2-22-2024 | 51,240,000 | 49,930,085 | ||
91,857,998 | ||||||
Total short-term investments (Cost $171,241,030) | 171,244,473 | |||||
Total investments in securities (Cost $1,467,103,275) | 99.44 % | 1,421,008,869 | ||||
Other assets and liabilities, net | 0.56 | 7,984,777 | ||||
Total net assets | 100.00 % | $1,428,993,646 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
Abbreviations: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $90,308,312 | $1,114,227,252 | $(1,125,149,089 ) | $0 | $0 | $79,386,475 | 79,386,475 | $3,512,413 |
Investments in affiliates no longer held at end of period | ||||||||
Securities Lending Cash Investments LLC | 0 | 96,427,620 | (96,427,958 ) | 338 | 0 | 0 | 0 | 72,497 1 |
$338 | $0 | $79,386,475 | $3,584,910 |
1 | Amount shown represents income before fees and rebates. |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
5-Year U.S. Treasury Notes | 123 | 12-29-2023 | $13,054,422 | $13,151,391 | $96,969 | $0 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Short | ||||||
10-Year U.S. Treasury Notes | (334 ) | 12-19-2023 | $(36,777,835 ) | $(37,084,438 ) | $0 | $(306,603 ) |
2-Year U.S. Treasury Notes | (183 ) | 12-29-2023 | (37,182,870 ) | (37,296,258 ) | 0 | (113,388 ) |
$96,969 | $(419,991 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $1,387,716,800) | $1,341,622,394 |
Investments in affiliated securities, at value (cost $79,386,475) | 79,386,475 |
Cash | 3,623 |
Cash at broker segregated for futures contracts | 2,919,000 |
Receivable for interest | 6,961,505 |
Receivable for Fund shares sold | 2,200,501 |
Principal paydown receivable | 24,703 |
Receivable for daily variation margin on open futures contracts | 14,414 |
Prepaid expenses and other assets | 124,687 |
Total assets | 1,433,257,302 |
Liabilities | |
Payable for Fund shares redeemed | 2,529,299 |
Dividends payable | 1,263,121 |
Management fee payable | 132,989 |
Administration fees payable | 107,461 |
Payable for daily variation margin on open futures contracts | 72,633 |
Distribution fee payable | 2,540 |
Trustees’ fees and expenses payable | 1,237 |
Accrued expenses and other liabilities | 154,376 |
Total liabilities | 4,263,656 |
Total net assets | $1,428,993,646 |
Net assets consist of | |
Paid-in capital | $1,499,472,581 |
Total distributable loss | (70,478,935 ) |
Total net assets | $1,428,993,646 |
Computation of net asset value and offering price per share | |
Net assets–Class A | $174,660,022 |
Shares outstanding–Class A1 | 20,404,574 |
Net asset value per share–Class A | $8.56 |
Maximum offering price per share – Class A2 | $8.73 |
Net assets–Class A2 | $48,413,728 |
Shares outstanding–Class A21 | 5,659,233 |
Net asset value per share–Class A2 | $8.55 |
Net assets–Class C | $4,090,410 |
Shares outstanding–Class C1 | 478,391 |
Net asset value per share–Class C | $8.55 |
Net assets–Administrator Class | $12,686,082 |
Shares outstanding–Administrator Class1 | 1,488,856 |
Net asset value per share–Administrator Class | $8.52 |
Net assets–Institutional Class | $1,189,143,404 |
Shares outstanding–Institutional Class1 | 139,017,414 |
Net asset value per share–Institutional Class | $8.55 |
Investment income | |
Interest | $46,968,418 |
Income from affiliated securities | 3,572,989 |
Dividends | 1,866,131 |
Total investment income | 52,407,538 |
Expenses | |
Management fee | 4,073,084 |
Administration fees | |
Class A | 310,987 |
Class A2 | 97,183 |
Class C | 7,176 |
Administrator Class | 13,447 |
Institutional Class | 1,138,916 |
Shareholder servicing fees | |
Class A | 489,752 |
Class A2 | 91,894 |
Class C | 11,303 |
Administrator Class | 33,362 |
Distribution fee | |
Class C | 33,908 |
Custody and accounting fees | 102,056 |
Professional fees | 95,475 |
Registration fees | 140,499 |
Shareholder report expenses | 90,814 |
Trustees’ fees and expenses | 25,447 |
Other fees and expenses | 48,507 |
Total expenses | 6,803,810 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (1,691,531 ) |
Class A | (157,257 ) |
Class A2 | (47,065 ) |
Class C | (3,494 ) |
Administrator Class | (2,631 ) |
Net expenses | 4,901,832 |
Net investment income | 47,505,706 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | $(7,412,921 ) |
Affiliated securities | 338 |
Futures contracts | 9,546,805 |
Net realized gains on investments | 2,134,222 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 23,084,057 |
Futures contracts | (300,497 ) |
Net change in unrealized gains (losses) on investments | 22,783,560 |
Net realized and unrealized gains (losses) on investments | 24,917,782 |
Net increase in net assets resulting from operations | $72,423,488 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $47,505,706 | $30,150,890 | ||
Net realized gains on investments | 2,134,222 | 2,203,909 | ||
Net change in unrealized gains (losses) on investments | 22,783,560 | (78,974,874 ) | ||
Net increase (decrease) in net assets resulting from operations | 72,423,488 | (46,620,075 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (5,093,296 ) | (2,203,328 ) | ||
Class A2 | (1,605,528 ) | (1,210,667 ) | ||
Class C | (83,726 ) | (10,434 ) | ||
Administrator Class | (352,925 ) | (144,350 ) | ||
Institutional Class | (40,162,958 ) | (27,124,417 ) | ||
Total distributions to shareholders | (47,298,433 ) | (30,693,196 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 2,254,764 | 18,983,214 | 5,895,635 | 50,420,825 |
Class A2 | 1,495,986 | 12,666,422 | 9,904,616 | 84,764,729 |
Class C | 107,180 | 903,269 | 159,424 | 1,346,884 |
Administrator Class | 529,764 | 4,449,222 | 813,408 | 6,904,746 |
Institutional Class | 70,983,692 | 599,098,072 | 273,686,740 | 2,334,975,807 |
636,100,199 | 2,478,412,991 | |||
Reinvestment of distributions | ||||
Class A | 545,169 | 4,611,755 | 232,255 | 1,967,202 |
Class A2 | 190,063 | 1,605,182 | 142,824 | 1,210,276 |
Class C | 8,552 | 72,295 | 1,082 | 9,096 |
Administrator Class | 41,646 | 350,886 | 16,776 | 141,490 |
Institutional Class | 2,820,264 | 23,841,917 | 1,711,908 | 14,504,288 |
30,482,035 | 17,832,352 | |||
Payment for shares redeemed | ||||
Class A | (11,516,526 ) | (96,944,926 ) | (10,433,023 ) | (88,799,648 ) |
Class A2 | (7,914,549 ) | (66,487,856 ) | (19,219,923 ) | (163,385,107 ) |
Class C | (258,669 ) | (2,177,878 ) | (263,806 ) | (2,242,894 ) |
Administrator Class | (843,293 ) | (7,086,213 ) | (1,559,646 ) | (13,205,778 ) |
Institutional Class | (155,827,769 ) | (1,312,343,086 ) | (369,065,613 ) | (3,132,101,475 ) |
(1,485,039,959 ) | (3,399,734,902 ) | |||
Net decrease in net assets resulting from capital share transactions | (818,457,725 ) | (903,489,559 ) | ||
Total decrease in net assets | (793,332,670 ) | (980,802,830 ) | ||
Net assets | ||||
Beginning of period | 2,222,326,316 | 3,203,129,146 | ||
End of period | $1,428,993,646 | $2,222,326,316 |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class A | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.41 | $8.61 | $8.60 | $8.54 | $8.46 |
Net investment income | 0.22 | 0.07 | 0.07 | 0.16 | 0.17 1 |
Net realized and unrealized gains (losses) on investments | 0.15 | (0.20 ) | 0.01 | 0.06 | 0.08 |
Total from investment operations | 0.37 | (0.13 ) | 0.08 | 0.22 | 0.25 |
Distributions to shareholders from | |||||
Net investment income | (0.22 ) | (0.07 ) | (0.07 ) | (0.16 ) | (0.17 ) |
Net asset value, end of period | $8.56 | $8.41 | $8.61 | $8.60 | $8.54 |
Total return2 | 4.50 % | (1.51 )% | 0.99 % | 2.62 % | 3.04 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.68 % | 0.65 % | 0.66 % | 0.77 % | 0.80 % |
Net expenses | 0.50 % | 0.49 % | 0.49 % | 0.64 % | 0.70 % |
Net investment income | 2.61 % | 0.79 % | 0.84 % | 1.92 % | 2.05 % |
Supplemental data | |||||
Portfolio turnover rate | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $174,660 | $244,894 | $287,697 | $232,660 | $215,503 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | ||||
Class A2 | 2023 | 2022 | 2021 | 20201 |
Net asset value, beginning of period | $8.40 | $8.60 | $8.59 | $8.52 |
Net investment income | 0.23 | 0.07 | 0.07 | 0.03 |
Net realized and unrealized gains (losses) on investments | 0.15 | (0.20 ) | 0.01 | 0.07 |
Total from investment operations | 0.38 | (0.13 ) | 0.08 | 0.10 |
Distributions to shareholders from | ||||
Net investment income | (0.23 ) | (0.07 ) | (0.07 ) | (0.03 ) |
Net asset value, end of period | $8.55 | $8.40 | $8.60 | $8.59 |
Total return2 | 4.61 % | (1.49 )% | 0.97 % | 1.22 % |
Ratios to average net assets (annualized) | ||||
Gross expenses | 0.58 % | 0.62 % | 0.65 % | 0.66 % |
Net expenses | 0.40 % | 0.47 % | 0.50 % | 0.50 % |
Net investment income | 2.63 % | 0.75 % | 0.73 % | 1.38 % |
Supplemental data | ||||
Portfolio turnover rate | 25 % | 77 % | 106 % | 68 % |
Net assets, end of period (000s omitted) | $48,414 | $99,902 | $181,131 | $29,971 |
1 | For the period from May 29, 2020 (commencement of class operations) to August 31, 2020 |
2 | Returns for periods of less than one year are not annualized. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Class C | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Net investment income | 0.15 | 0.01 | 0.01 1 | 0.10 | 0.11 |
Net realized and unrealized gains (losses) on investments | 0.16 | (0.19 ) | 0.01 | 0.05 | 0.08 |
Total from investment operations | 0.31 | (0.18 ) | 0.02 | 0.15 | 0.19 |
Distributions to shareholders from | |||||
Net investment income | (0.16 ) | (0.02 ) | (0.01 ) | (0.10 ) | (0.11 ) |
Net asset value, end of period | $8.55 | $8.40 | $8.60 | $8.59 | $8.54 |
Total return2 | 3.72 % | (2.13 )% | 0.28 % | 1.73 % | 2.27 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.43 % | 1.38 % | 1.40 % | 1.51 % | 1.55 % |
Net expenses | 1.25 % | 1.11 %* | 1.19 %* | 1.40 % | 1.45 % |
Net investment income | 1.86 % | 0.18 % | 0.13 % | 1.16 % | 1.31 % |
Supplemental data | |||||
Portfolio turnover rate | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $4,090 | $5,219 | $6,230 | $5,187 | $5,257 |
* | Ratio includes class-level expenses which were voluntarily waived by the investment manager. Without this voluntary waiver, the net expense ratio would be increased by the following amounts: |
Year ended August 31, 2022 | 0.14% |
Year ended August 31, 2021 | 0.06% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Administrator Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.37 | $8.57 | $8.56 | $8.51 | $8.43 |
Net investment income | 0.21 | 0.07 1 | 0.07 1 | 0.17 | 0.19 1 |
Net realized and unrealized gains (losses) on investments | 0.16 | (0.20 ) | 0.01 | 0.05 | 0.08 |
Total from investment operations | 0.37 | (0.13 ) | 0.08 | 0.22 | 0.27 |
Distributions to shareholders from | |||||
Net investment income | (0.22 ) | (0.07 ) | (0.07 ) | (0.17 ) | (0.19 ) |
Net asset value, end of period | $8.52 | $8.37 | $8.57 | $8.56 | $8.51 |
Total return | 4.51 % | (1.53 )% | 0.98 % | 2.61 % | 3.19 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.62 % | 0.59 % | 0.60 % | 0.71 % | 0.74 % |
Net expenses | 0.50 % | 0.50 % | 0.50 % | 0.54 % | 0.55 % |
Net investment income | 2.64 % | 0.77 % | 0.82 % | 2.03 % | 2.20 % |
Supplemental data | |||||
Portfolio turnover rate | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $12,686 | $14,740 | $21,336 | $15,359 | $13,748 |
1 | Calculated based upon average shares outstanding |
(For a share outstanding throughout each period)
Year ended August 31 | |||||
Institutional Class | 2023 | 2022 | 2021 | 2020 | 2019 |
Net asset value, beginning of period | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Net investment income | 0.24 | 0.09 | 0.09 | 0.19 | 0.20 |
Net realized and unrealized gains (losses) on investments | 0.15 | (0.20 ) | 0.02 | 0.05 | 0.08 |
Total from investment operations | 0.39 | (0.11 ) | 0.11 | 0.24 | 0.28 |
Distributions to shareholders from | |||||
Net investment income | (0.24 ) | (0.09 ) | (0.10 ) | (0.19 ) | (0.20 ) |
Net asset value, end of period | $8.55 | $8.40 | $8.60 | $8.59 | $8.54 |
Total return | 4.76 % | (1.28 )% | 1.23 % | 2.83 % | 3.40 % |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.35 % | 0.32 % | 0.33 % | 0.44 % | 0.47 % |
Net expenses | 0.25 % | 0.25 % | 0.25 % | 0.32 % | 0.35 % |
Net investment income | 2.83 % | 1.01 % | 1.03 % | 2.25 % | 2.41 % |
Supplemental data | |||||
Portfolio turnover rate | 25 % | 77 % | 106 % | 68 % | 36 % |
Net assets, end of period (000s omitted) | $1,189,143 | $1,857,572 | $2,706,735 | $1,004,777 | $836,456 |
Gross unrealized gains | $395,548 |
Gross unrealized losses | (46,489,954 ) |
Net unrealized losses | $(46,094,406 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $16,884,065 | $0 | $16,884,065 |
Asset-backed securities | 0 | 371,350,508 | 0 | 371,350,508 |
Corporate bonds and notes | 0 | 400,851,541 | 0 | 400,851,541 |
Investment companies | 38,087,655 | 0 | 0 | 38,087,655 |
Municipal obligations | 0 | 1,797,003 | 0 | 1,797,003 |
Non-agency mortgage-backed securities | 0 | 197,329,063 | 0 | 197,329,063 |
U.S. Treasury securities | 41,428,316 | 0 | 0 | 41,428,316 |
Yankee corporate bonds and notes | 0 | 182,036,245 | 0 | 182,036,245 |
Short-term investments | ||||
Investment companies | 79,386,475 | 0 | 0 | 79,386,475 |
U.S. Treasury securities | 91,857,998 | 0 | 0 | 91,857,998 |
250,760,444 | 1,170,248,425 | 0 | 1,421,008,869 | |
Futures contracts | 96,969 | 0 | 0 | 96,969 |
Total assets | $250,857,413 | $1,170,248,425 | $0 | $1,421,105,838 |
Liabilities | ||||
Futures contracts | $419,991 | $0 | $0 | $419,991 |
Total liabilities | $419,991 | $0 | $0 | $419,991 |
Average daily net assets | Management fee |
First $1 billion | 0.250 % |
Next $4 billion | 0.225 |
Next $5 billion | 0.190 |
Over $10 billion | 0.180 |
Class-level administration fee | |
Class A | 0.15 % |
Class A2 | 0.15 |
Class C | 0.15 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
EXPENSE RATIO CAPS | |
Class A | 0.50 % |
Class A2 | 0.40 |
Class C | 1.25 |
Administrator Class | 0.50 |
Institutional Class | 0.25 |
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$52,092,223 | $323,543,322 | $9,965,235 | $731,486,330 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$996,061 | $(46,094,406 ) | $(24,117,469 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
P.O. Box 219967
Kansas City, MO 64121-9967
AR3006 08-23
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Notice to Shareholders |
Beginning in July 2024, the Fund will be required by the Securities and Exchange Commission to send shareholders a paper copy of a new tailored shareholder report in place of the full shareholder report that you are now receiving. The tailored shareholder report will contain concise information about the Fund, including certain expense and performance information and fund statistics. If you wish to receive this new tailored shareholder report electronically, please follow the instructions on the back cover of this report. |
Other information that is currently included in the shareholder report, such as the Fund’s financial statements, will be available online and upon request, free of charge, in paper or electronic format. |
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA, Janet S. Rilling, CFA, CPA, Michael J. Schueller, CFA, Michal Stanczyk, Noah M. Wise, CFA |
Average annual total returns (%) as of August 31, 2023 | |||||
Expense ratios (%) | |||||
Inception date | 1 year | Since inception | Gross | Net1 | |
Allspring Managed Account CoreBuilder® Shares - Series CP (WFCPX) | 6-2-2021 | 0.95 | -4.37 | 0.96 | 0.00 |
Bloomberg U.S. Aggregate Bond Index2 | – | -1.19 | -5.09 * | – | – |
* | Based on the Fund’s inception date. |
1 | Generally, no ordinary fees or expenses are charged to the Fund. Allspring Funds Management, LLC has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
2 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Growth of $10,000 investment as of August 31, 20231 |
1 | The chart compares the performance of the Fund since inception with the Bloomberg U.S. Aggregate Bond Index. The chart assumes a hypothetical investment of $10,000 investment and reflects all operating expenses of the Fund. |
Credit quality as of August 31, 20231 |
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of August 31, 20231 |
1 | Figures represent the percentage of the Fund’s long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2023 | Ending account value 8-31-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Actual | $1,000.00 | $1,015.47 | $0.00 * | 0.00 %* |
Hypothetical (5% return before expenses) | $1,000.00 | $1,025.21 | $0.00 * | 0.00 %* |
1 | Expenses paid is equal to the annualized net expense ratio multiplied by the average account value over the period, multiplied by 184 divided by 365 (to reflect the one-half-year period). |
* | Generally, no ordinary fees or expenses are charged to the Fund. Allspring Funds Management, LLC has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 25.45% | ||||||
FHLMC | 5.50 % | 3-1-2053 | $ | 289,642 | $285,925 | |
FNMA | 5.50 | 2-1-2053 | 1,107,793 | 1,093,578 | ||
FNMA | 6.21 | 8-6-2038 | 95,000 | 112,136 | ||
GNMA%% | 2.00 | 9-21-2053 | 525,000 | 433,002 | ||
GNMA%% | 2.50 | 9-21-2053 | 760,000 | 646,534 | ||
GNMA%% | 3.00 | 9-21-2053 | 740,000 | 650,593 | ||
GNMA%% | 3.50 | 9-21-2053 | 400,000 | 363,203 | ||
GNMA | 5.00 | 6-20-2053 | 896,457 | 872,394 | ||
GNMA | 5.50 | 12-20-2052 | 518,812 | 513,905 | ||
GNMA | 5.50 | 4-20-2053 | 232,112 | 229,767 | ||
GNMA%% | 6.00 | 9-21-2053 | 1,190,000 | 1,193,858 | ||
Resolution Funding Corp. Principal STRIPS¤ | 0.00 | 4-15-2030 | 310,000 | 227,705 | ||
TVA | 3.50 | 12-15-2042 | 220,000 | 178,188 | ||
TVA | 4.88 | 1-15-2048 | 300,000 | 291,793 | ||
Total agency securities (Cost $7,117,941) | 7,092,581 | |||||
Asset-backed securities: 21.44% | ||||||
Auburn CLO Ltd. Series 2017-1A Class A2A (U.S. SOFR 3 Month+1.88%)144A± | 7.21 | 10-20-2030 | 250,000 | 248,803 | ||
Avis Budget Rental Car Funding AESOP LLC Series 2023-6A Class A144A | 5.81 | 12-20-2029 | 260,000 | 259,932 | ||
Bojangles Issuer LLC Series 2020-1A Class A2144A | 3.83 | 10-20-2050 | 270,875 | 247,459 | ||
Carlyle U.S. CLO Ltd. Series 2017-2A Class A2R (U.S. SOFR 3 Month+1.86%)144A± | 7.19 | 7-20-2031 | 250,000 | 246,544 | ||
DB Master Finance LLC Series 2021-1A Class A23144A | 2.79 | 11-20-2051 | 299,663 | 237,311 | ||
Dryden 78 CLO Ltd. Series 2020-78A Class A (U.S. SOFR 3 Month+1.44%)144A± | 6.75 | 4-17-2033 | 400,000 | 396,670 | ||
ECMC Group Student Loan Trust Series 2018-1A Class A (30 Day Average U.S. SOFR+0.86%)144A± | 6.15 | 2-27-2068 | 192,529 | 188,584 | ||
FIGRE Trust Series 2023-HE1 Class A144A | 5.85 | 3-25-2053 | 177,894 | 176,170 | ||
Madison Park Funding XLVI Ltd. Series 2020-46A Class B1R (U.S. SOFR 3 Month+1.91%)144A± | 7.22 | 10-15-2034 | 500,000 | 491,279 | ||
MF1 Ltd. Series 2022-FL8 Class C (U.S. SOFR 1 Month+2.20%)144A± | 7.51 | 2-19-2037 | 250,000 | 239,541 | ||
Neuberger Berman Loan Advisers CLO 25 Ltd. Series 2017-25A Class BR (U.S. SOFR 3 Month+1.61%)144A± | 6.92 | 10-18-2029 | 250,000 | 244,720 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3144A | 2.80 | 1-20-2051 | 250,000 | 222,952 | ||
Octagon Investment Partners 30 Ltd. Series 2017-1A Class A1R (U.S. SOFR 3 Month+1.26%)144A± | 6.59 | 3-17-2030 | 235,634 | 234,845 | ||
OnDeck Asset Securitization Trust LLC Series 2021-1A Class A144A | 1.59 | 5-17-2027 | 300,000 | 287,016 | ||
OneMain Financial Issuance Trust Series 2018-2A Class A144A | 3.57 | 3-14-2033 | 160,783 | 158,746 | ||
PFS Financing Corp. Series 2021-A Class A144A | 0.71 | 4-15-2026 | 300,000 | 290,217 | ||
Taco Bell Funding LLC Series 2016-1A Class A23144A | 4.97 | 5-25-2046 | 234,375 | 225,976 | ||
THL Credit Wind River CLO Ltd. Series 2018-2A Class A2 (U.S. SOFR 3 Month+1.71%)144A± | 7.02 | 7-15-2030 | 409,000 | 402,214 | ||
Wendy’s Funding LLC Series 2021-1A Class A2II144A | 2.78 | 6-15-2051 | 245,000 | 195,404 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Westlake Automobile Receivables Trust Series 2020-1A Class D144A | 2.80 % | 6-16-2025 | $ | 179,149 | $177,893 | |
Westlake Automobile Receivables Trust Series 2021-1A Class C144A | 0.95 | 3-16-2026 | 388,851 | 382,368 | ||
Wingstop Funding LLC Series 2020-1A Class A2144A | 2.84 | 12-5-2050 | 246,250 | 216,215 | ||
Zaxby’s Funding LLC Series 2021-1A Class A2144A | 3.24 | 7-30-2051 | 245,000 | 206,123 | ||
Total asset-backed securities (Cost $6,239,287) | 5,976,982 | |||||
Corporate bonds and notes: 16.51% | ||||||
Basic materials: 0.33% | ||||||
Chemicals: 0.33% | ||||||
Westlake Corp. | 1.63 | 7-17-2029 | 100,000 | 91,506 | ||
Communications: 1.52% | ||||||
Internet: 0.58% | ||||||
MercadoLibre, Inc. | 3.13 | 1-14-2031 | 200,000 | 160,060 | ||
Media: 0.94% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.144A | 4.50 | 8-15-2030 | 150,000 | 126,180 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital | 5.50 | 4-1-2063 | 70,000 | 54,992 | ||
CSC Holdings LLC144A | 4.63 | 12-1-2030 | 60,000 | 31,391 | ||
Scripps Escrow II, Inc.144A | 5.38 | 1-15-2031 | 70,000 | 50,001 | ||
262,564 | ||||||
Consumer, cyclical: 1.23% | ||||||
Airlines: 0.69% | ||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.144A | 5.75 | 1-20-2026 | 100,000 | 92,537 | ||
United Airlines Pass-Through Trust Series 2023-1 Class A | 5.80 | 1-15-2036 | 100,000 | 99,650 | ||
192,187 | ||||||
Home builders: 0.16% | ||||||
KB Home | 4.80 | 11-15-2029 | 50,000 | 45,100 | ||
Retail: 0.38% | ||||||
Michaels Cos., Inc.144A | 7.88 | 5-1-2029 | 50,000 | 34,660 | ||
NMG Holding Co., Inc./Neiman Marcus Group LLC144A | 7.13 | 4-1-2026 | 45,000 | 42,769 | ||
Walgreens Boots Alliance, Inc. | 4.80 | 11-18-2044 | 35,000 | 27,385 | ||
104,814 | ||||||
Consumer, non-cyclical: 1.29% | ||||||
Commercial services: 0.93% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.144A | 6.00 | 6-1-2029 | 100,000 | 76,478 | ||
Howard University Series 22A | 5.21 | 10-1-2052 | 30,000 | 25,781 | ||
MPH Acquisition Holdings LLC144A | 5.50 | 9-1-2028 | 60,000 | 50,954 |
Interest rate | Maturity date | Principal | Value | |||
Commercial services (continued) | ||||||
PECF USS Intermediate Holding III Corp.144A | 8.00 % | 11-15-2029 | $ | 50,000 | $31,888 | |
Upbound Group, Inc.144A | 6.38 | 2-15-2029 | 80,000 | 72,680 | ||
257,781 | ||||||
Healthcare-products: 0.36% | ||||||
Danaher Corp. | 2.50 | 3-30-2030 | 100,000 | 101,011 | ||
Energy: 1.33% | ||||||
Oil & gas: 0.58% | ||||||
Aethon United BR LP/Aethon United Finance Corp.144A | 8.25 | 2-15-2026 | 160,000 | 160,800 | ||
Pipelines: 0.75% | ||||||
Harvest Midstream I LP144A | 7.50 | 9-1-2028 | 120,000 | 120,263 | ||
Rockies Express Pipeline LLC144A | 4.95 | 7-15-2029 | 50,000 | 45,764 | ||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.144A | 6.00 | 12-31-2030 | 50,000 | 44,730 | ||
210,757 | ||||||
Financial: 8.92% | ||||||
Banks: 2.69% | ||||||
Citigroup, Inc. Series T (U.S. SOFR 3 Month+4.78%)ʊ± | 6.25 | 8-15-2026 | 50,000 | 49,195 | ||
HSBC USA, Inc. | 5.63 | 3-17-2025 | 200,000 | 199,485 | ||
Morgan Stanley (U.S. SOFR+1.20%)± | 2.51 | 10-20-2032 | 150,000 | 119,446 | ||
Morgan Stanley (U.S. SOFR+1.36%)± | 2.48 | 9-16-2036 | 55,000 | 41,479 | ||
PNC Financial Services Group, Inc. Series W (7 Year Treasury Constant Maturity+2.81%)ʊ± | 6.25 | 3-15-2030 | 150,000 | 132,688 | ||
U.S. Bancorp (U.S. SOFR+2.26%)± | 5.84 | 6-12-2034 | 110,000 | 109,898 | ||
Wells Fargo & Co. (U.S. SOFR+1.32%)± | 3.91 | 4-25-2026 | 100,000 | 96,678 | ||
748,869 | ||||||
Diversified financial services: 1.51% | ||||||
Charles Schwab Corp. Series I (5 Year Treasury Constant Maturity+3.17%)ʊ± | 4.00 | 6-1-2026 | 200,000 | 173,060 | ||
Computershare U.S., Inc. | 1.13 | 10-7-2031 | 100,000 | 80,149 | ||
OneMain Finance Corp. | 7.13 | 3-15-2026 | 170,000 | 167,236 | ||
420,445 | ||||||
Insurance: 2.02% | ||||||
Athene Global Funding | 0.37 | 9-10-2026 | 100,000 | 95,173 | ||
Hill City Funding Trust144A | 4.05 | 8-15-2041 | 100,000 | 66,980 | ||
Maple Grove Funding Trust I144A | 4.16 | 8-15-2051 | 100,000 | 66,986 | ||
MetLife, Inc. | 5.00 | 7-15-2052 | 115,000 | 105,145 | ||
National Life Insurance Co. (3 Month LIBOR+3.31%)144A± | 5.25 | 7-19-2068 | 40,000 | 34,525 | ||
OneAmerica Financial Partners, Inc.144A | 4.25 | 10-15-2050 | 25,000 | 16,941 | ||
Reinsurance Group of America, Inc. | 6.00 | 9-15-2033 | 125,000 | 125,711 | ||
Transatlantic Holdings, Inc. | 8.00 | 11-30-2039 | 43,000 | 52,531 | ||
563,992 | ||||||
Private equity: 0.23% | ||||||
Brookfield Capital Finance LLC | 6.09 | 6-14-2033 | 65,000 | 65,160 |
Interest rate | Maturity date | Principal | Value | |||
REITS: 2.47% | ||||||
Brandywine Operating Partnership LP | 7.55 % | 3-15-2028 | $ | 90,000 | $84,389 | |
EPR Properties | 3.60 | 11-15-2031 | 25,000 | 19,139 | ||
EPR Properties | 3.75 | 8-15-2029 | 35,000 | 28,541 | ||
Equinix, Inc. | 3.00 | 7-15-2050 | 30,000 | 18,884 | ||
Omega Healthcare Investors, Inc. | 3.63 | 10-1-2029 | 150,000 | 127,101 | ||
Realty Income Corp. | 5.13 | 7-6-2034 | 150,000 | 163,454 | ||
Sabra Health Care LP | 5.13 | 8-15-2026 | 125,000 | 120,935 | ||
Service Properties Trust | 4.35 | 10-1-2024 | 130,000 | 125,074 | ||
687,517 | ||||||
Industrial: 1.02% | ||||||
Aerospace/defense: 0.12% | ||||||
Boeing Co. | 5.81 | 5-1-2050 | 35,000 | 34,051 | ||
Building materials: 0.32% | ||||||
Camelot Return Merger Sub, Inc.144A | 8.75 | 8-1-2028 | 90,000 | 89,775 | ||
Miscellaneous manufacturing: 0.12% | ||||||
General Electric Co. Series D (3 Month LIBOR+3.33%)ʊ± | 8.88 | 9-15-2023 | 32,000 | 32,000 | ||
Packaging & containers: 0.32% | ||||||
Clydesdale Acquisition Holdings, Inc.144A | 8.75 | 4-15-2030 | 100,000 | 90,434 | ||
Trucking & leasing: 0.14% | ||||||
Fortress Transportation & Infrastructure Investors LLC144A | 6.50 | 10-1-2025 | 38,000 | 37,522 | ||
Technology: 0.13% | ||||||
Software: 0.13% | ||||||
Fidelity National Information Services, Inc. | 5.63 | 7-15-2052 | 40,000 | 37,960 | ||
Utilities: 0.74% | ||||||
Electric: 0.56% | ||||||
Duke Energy Corp. | 3.10 | 6-15-2028 | 100,000 | 103,087 | ||
Southern California Edison Co. | 3.65 | 2-1-2050 | 75,000 | 54,386 | ||
157,473 | ||||||
Gas: 0.18% | ||||||
Southern California Gas Co. | 5.20 | 6-1-2033 | 50,000 | 49,099 | ||
Total corporate bonds and notes (Cost $4,894,555) | 4,600,877 | |||||
Foreign corporate bonds and notes: 5.46% | ||||||
Basic materials: 0.32% | ||||||
Forest products & paper: 0.32% | ||||||
Ahlstrom Holding 3 Oy144A | 3.63 | 2-4-2028 | EUR | 100,000 | 90,587 |
Interest rate | Maturity date | Principal | Value | |||
Communications: 1.49% | ||||||
Media: 0.54% | ||||||
Tele Columbus AG144A | 3.88 % | 5-2-2025 | EUR | 100,000 | $68,314 | |
Ziggo Bond Co. BV144A | 3.38 | 2-28-2030 | EUR | 100,000 | 81,188 | |
149,502 | ||||||
Telecommunications: 0.95% | ||||||
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year+3.19%)ʊ± | 2.88 | 5-27-2026 | EUR | 100,000 | 93,839 | |
Tele2 AB | 0.75 | 3-23-2031 | EUR | 200,000 | 170,692 | |
264,531 | ||||||
Consumer, cyclical: 0.38% | ||||||
Auto manufacturers: 0.38% | ||||||
Stellantis NV | 2.00 | 3-20-2025 | EUR | 100,000 | 105,294 | |
Consumer, non-cyclical: 1.13% | ||||||
Agriculture: 0.43% | ||||||
BAT International Finance PLC | 2.25 | 1-16-2030 | EUR | 130,000 | 120,233 | |
Food: 0.34% | ||||||
Sigma Holdco BV144A | 5.75 | 5-15-2026 | EUR | 100,000 | 93,218 | |
Pharmaceuticals: 0.36% | ||||||
Bayer AG (EURIBOR ICE Swap Rate 11:00am+2.65%)± | 2.38 | 11-12-2079 | EUR | 100,000 | 100,845 | |
Energy: 0.38% | ||||||
Oil & gas: 0.38% | ||||||
Petroleos Mexicanos | 3.75 | 2-21-2024 | EUR | 100,000 | 106,570 | |
Financial: 0.76% | ||||||
Banks: 0.76% | ||||||
Deutsche Bank AG (3 Month EURIBOR+2.95%)± | 5.00 | 9-5-2030 | EUR | 200,000 | 210,869 | |
Industrial: 0.64% | ||||||
Engineering & construction: 0.31% | ||||||
Cellnex Finance Co. SA | 2.00 | 9-15-2032 | EUR | 100,000 | 86,073 | |
Packaging & containers: 0.33% | ||||||
Canpack SA/Canpack U.S. LLC144A | 2.38 | 11-1-2027 | EUR | 100,000 | 92,712 | |
Utilities: 0.36% | ||||||
Electric: 0.36% | ||||||
RWE AG | 2.75 | 5-24-2030 | EUR | 100,000 | 100,446 | |
Total foreign corporate bonds and notes (Cost $1,790,879) | 1,520,880 | |||||
Foreign government bonds: 14.25% | ||||||
Brazil¤ | 0.00 | 7-1-2024 | BRL | 2,900,000 | 536,820 | |
French Republic | 0.75 | 2-25-2028 | EUR | 1,080,000 | 1,070,138 | |
Malaysia | 3.88 | 3-14-2025 | MYR | 975,000 | 211,906 |
Interest rate | Maturity date | Principal | Value | |||
Foreign government bonds (continued) | ||||||
Spain¤ | 0.00 % | 1-31-2028 | EUR | 565,000 | $534,583 | |
U.K. Gilts## | 3.25 | 1-31-2033 | GBP | 1,395,000 | 1,617,868 | |
Total foreign government bonds (Cost $4,014,618) | 3,971,315 |
Shares | ||||||
Investment companies: 1.68% | ||||||
Exchange-traded funds: 1.68% | ||||||
Xtrackers USD High Yield Corporate Bond ETF | 13,500 | 467,100 | ||||
Total investment companies (Cost $457,244) | 467,100 |
Principal | ||||||
Loans: 0.84% | ||||||
Consumer, non-cyclical: 0.84% | ||||||
Commercial services: 0.84% | ||||||
MPH Acquisition Holdings LLC (U.S. SOFR 3 Month+4.25%)± | 9.92 | 9-1-2028 | $ | 250,000 | 234,532 | |
Total loans (Cost $236,562) | 234,532 | |||||
Non-agency mortgage-backed securities: 9.79% | ||||||
Benchmark Mortgage Trust Series 2022-B35 Class A5±± | 4.59 | 5-15-2055 | 280,000 | 252,608 | ||
BMO Mortgage Trust Series 2023-C4 Class A5±± | 5.12 | 2-15-2056 | 250,000 | 243,981 | ||
BX Trust Series 2019-OC11 Class A144A | 3.20 | 12-9-2041 | 250,000 | 214,648 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B144A±± | 4.00 | 10-25-2068 | 301,449 | 290,936 | ||
CFMT LLC Series 2021-HB7 Class M2144A±± | 2.68 | 10-27-2031 | 250,000 | 229,028 | ||
CHNGE Mortgage Trust Series 2023-4 Class A1144A | 7.57 | 9-25-2058 | 395,000 | 395,534 | ||
FREMF Mortgage Trust Series 2019-KF70 Class B (30 Day Average U.S. SOFR+2.41%)144A± | 7.52 | 9-25-2029 | 76,836 | 70,973 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1144A±± | 1.07 | 6-25-2056 | 128,544 | 104,849 | ||
JP Morgan Mortgage Trust Series 2020-1 Class A15144A±± | 3.50 | 6-25-2050 | 83,210 | 72,311 | ||
MFA Trust Series 2020-NQM3 Class M1144A±± | 2.65 | 1-26-2065 | 250,000 | 205,324 | ||
Residential Mortgage Loan Trust Series 2019-3 Class A3144A±± | 3.04 | 9-25-2059 | 28,460 | 27,330 | ||
Starwood Mortgage Residential Trust Series 2020-INV1 Class A1144A±± | 1.03 | 11-25-2055 | 77,108 | 67,765 | ||
Towd Point Mortgage Trust Series 2019-HY3 Class A2 (U.S. SOFR 1 Month+1.41%)144A± | 6.73 | 10-25-2059 | 150,000 | 147,942 | ||
Towd Point Mortgage Trust Series 2020-4 Class A2144A | 2.50 | 10-25-2060 | 350,000 | 270,771 | ||
Verus Securitization Trust Series 2021-R3 Class A1144A±± | 1.02 | 4-25-2064 | 75,546 | 66,461 | ||
Verus Securitization Trust Series 2021-R3 Class A2144A±± | 1.28 | 4-25-2064 | 77,966 | 68,719 | ||
Total non-agency mortgage-backed securities (Cost $3,032,428) | 2,729,180 | |||||
U.S. Treasury securities: 2.39% | ||||||
U.S. Treasury Bonds## | 3.63 | 5-15-2053 | 205,000 | 184,885 | ||
U.S. Treasury Bonds## | 4.13 | 8-15-2053 | 50,000 | 49,328 | ||
U.S. Treasury Notes## | 4.13 | 7-31-2028 | 435,000 | 432,451 | ||
Total U.S. Treasury securities (Cost $662,309) | 666,664 |
Interest rate | Maturity date | Principal | Value | |||
Yankee corporate bonds and notes: 4.01% | ||||||
Consumer, cyclical: 0.27% | ||||||
Airlines: 0.27% | ||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.144A | 5.75 % | 4-20-2029 | $ | 80,000 | $76,511 | |
Consumer, non-cyclical: 0.29% | ||||||
Pharmaceuticals: 0.29% | ||||||
Pfizer Investment Enterprises Pte. Ltd. | 4.45 | 5-19-2028 | 25,000 | 24,526 | ||
Pfizer Investment Enterprises Pte. Ltd. | 5.30 | 5-19-2053 | 55,000 | 55,020 | ||
79,546 | ||||||
Financial: 2.89% | ||||||
Banks: 1.68% | ||||||
Banco Industrial SA (5 Year Treasury Constant Maturity+4.44%)144A± | 4.88 | 1-29-2031 | 150,000 | 139,155 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity+4.64%)144Aʊ± | 5.88 | 1-24-2027 | 200,000 | 176,077 | ||
Macquarie Bank Ltd. (5 Year Treasury Constant Maturity+1.70%)144A± | 3.05 | 3-3-2036 | 200,000 | 152,844 | ||
468,076 | ||||||
Diversified financial services: 0.96% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 2.45 | 10-29-2026 | 150,000 | 134,962 | ||
CI Financial Corp. | 4.10 | 6-15-2051 | 200,000 | 121,024 | ||
Unifin Financiera SAB de CV144A† | 9.88 | 1-28-2029 | 250,000 | 12,500 | ||
268,486 | ||||||
Private equity: 0.25% | ||||||
Brookfield Finance, Inc. | 3.90 | 1-25-2028 | 75,000 | 70,069 | ||
Utilities: 0.56% | ||||||
Electric: 0.56% | ||||||
Comision Federal de Electricidad144A | 3.88 | 7-26-2033 | 200,000 | 155,246 | ||
Total yankee corporate bonds and notes (Cost $1,432,601) | 1,117,934 | |||||
Yankee government bonds: 1.99% | ||||||
Colombia | 3.13 | 4-15-2031 | 200,000 | 153,896 | ||
Dominican Republic144A | 4.88 | 9-23-2032 | 230,000 | 194,865 | ||
Mexico | 6.35 | 2-9-2035 | 200,000 | 207,436 | ||
Total yankee government bonds (Cost $592,407) | 556,197 |
Yield | Shares | Value | ||||
Short-term investments: 7.35% | ||||||
Investment companies: 7.35% | ||||||
Allspring Government Money Market Fund Select Class♠∞## | 5.26 % | 2,048,819 | $2,048,819 | |||
Total short-term investments (Cost $2,048,819) | 2,048,819 | |||||
Total investments in securities (Cost $32,519,650) | 111.16 % | 30,983,061 | ||||
Other assets and liabilities, net | (11.16 ) | (3,110,192 ) | ||||
Total net assets | 100.00 % | $27,872,869 |
%% | The security is purchased on a when-issued basis. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
## | All or a portion of this security is segregated as collateral for when-issued securities. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
† | Non-income-earning security |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
BRL | Brazilian real |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GBP | Great British pound |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $1,224,726 | $19,527,738 | $(18,703,645 ) | $0 | $0 | $2,048,819 | 2,048,819 | $45,230 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | ||
USD | 4,218,727 | EUR | 3,928,000 | Citibank N.A. | 9-29-2023 | $0 | $(45,509 ) |
USD | 98,645 | EUR | 90,000 | Citibank N.A. | 9-29-2023 | 941 | 0 |
USD | 102,977 | EUR | 94,000 | Citibank N.A. | 9-29-2023 | 931 | 0 |
EUR | 960,000 | USD | 1,079,030 | Citibank N.A. | 9-29-2023 | 0 | (36,854 ) |
USD | 259,098 | EUR | 235,000 | Citibank N.A. | 9-29-2023 | 3,982 | 0 |
USD | 82,749 | EUR | 75,000 | Citibank N.A. | 9-29-2023 | 1,329 | 0 |
USD | 14,210 | EUR | 13,000 | Citibank N.A. | 9-29-2023 | 97 | 0 |
USD | 1,084,661 | GBP | 840,000 | Citibank N.A. | 9-29-2023 | 20,429 | 0 |
GBP | 100,000 | USD | 127,534 | Citibank N.A. | 9-29-2023 | 0 | (840 ) |
USD | 127,159 | GBP | 100,000 | Citibank N.A. | 9-29-2023 | 465 | 0 |
JPY | 6,140,524 | EUR | 41,807 | Citibank N.A. | 9-29-2023 | 0 | (3,019 ) |
USD | 212,929 | MYR | 975,000 | Morgan Stanley, Inc. | 9-29-2023 | 2,468 | 0 |
$30,642 | $(86,222 ) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses |
Long | ||||||
Ultra Long Term U.S. Treasury Bond | 14 | 12-19-2023 | $1,794,760 | $1,812,563 | $17,803 | $0 |
2-Year U.S. Treasury Notes | 60 | 12-29-2023 | 12,192,283 | 12,228,281 | 35,998 | 0 |
5-Year U.S. Treasury Notes | 27 | 12-29-2023 | 2,867,201 | 2,886,891 | 19,690 | 0 |
Short | ||||||
1-Year Euro-BOBL Futures | (4 ) | 9-7-2023 | (508,815 ) | (503,616 ) | 5,199 | 0 |
2-Year Euro | (2 ) | 9-7-2023 | (229,391 ) | (227,974 ) | 1,417 | 0 |
10-Year Euro | (1 ) | 9-7-2023 | (146,527 ) | (144,425 ) | 2,102 | 0 |
10-Year U.S. Treasury Notes | (2 ) | 12-19-2023 | (220,226 ) | (222,062 ) | 0 | (1,836 ) |
$82,209 | $(1,836 ) |
Assets | |
Investments in unaffiliated securities, at value (cost $30,470,831) | $28,934,242 |
Investments in affiliated securities, at value (cost $2,048,819) | 2,048,819 |
Cash | 21 |
Cash at broker segregated for futures contracts | 220,000 |
Receivable for interest | 203,941 |
Unrealized gains on forward foreign currency contracts | 30,642 |
Receivable for daily variation margin on open futures contracts | 14,321 |
Receivable from manager | 4,961 |
Prepaid expenses and other assets | 21,437 |
Total assets | 31,478,384 |
Liabilities | |
Payable for when-issued transactions | 3,272,716 |
Payable for investments purchased | 236,563 |
Unrealized losses on forward foreign currency contracts | 86,222 |
Due to custodian bank, foreign currency, at value (cost $280) | 4,305 |
Payable for daily variation margin on open futures contracts | 3,563 |
Accrued expenses and other liabilities | 2,146 |
Total liabilities | 3,605,515 |
Total net assets | $27,872,869 |
Net assets consist of | |
Paid-in capital | $32,211,797 |
Total distributable loss | (4,338,928 ) |
Total net assets | $27,872,869 |
Computation of net asset value per share | |
Net assets | $27,872,869 |
Shares outstanding1 | 1,674,457 |
Net asset value per share | $16.65 |
Investment income | |
Interest (net of foreign withholding taxes of $151) | $980,254 |
Income from affiliated securities | 45,230 |
Dividends | 14,173 |
Total investment income | 1,039,657 |
Expenses | |
Custody and accounting fees | 7,693 |
Professional fees | 79,555 |
Registration fees | 28,969 |
Shareholder report expenses | 12,920 |
Trustees’ fees and expenses | 23,969 |
Other fees and expenses | 5,214 |
Total expenses | 158,320 |
Less: Fee waivers and/or expense reimbursements | (158,320 ) |
Net expenses | 0 |
Net investment income | 1,039,657 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (1,827,244 ) |
Foreign currency and foreign currency translations | (17,119 ) |
Forward foreign currency contracts | 38,332 |
Futures contracts | (530,171 ) |
Net realized losses on investments | (2,336,202 ) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 1,573,293 |
Foreign currency and foreign currency translations | 15,543 |
Forward foreign currency contracts | (152,943 ) |
Futures contracts | 71,409 |
Net change in unrealized gains (losses) on investments | 1,507,302 |
Net realized and unrealized gains (losses) on investments | (828,900 ) |
Net increase in net assets resulting from operations | $210,757 |
Year ended August 31, 2023 | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $1,039,657 | $732,682 | ||
Net realized losses on investments | (2,336,202 ) | (499,398 ) | ||
Net change in unrealized gains (losses) on investments | 1,507,302 | (3,174,526 ) | ||
Net increase (decrease) in net assets resulting from operations | 210,757 | (2,941,242 ) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | (984,333 ) | (961,294 ) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | 302,878 | 5,070,415 | 26,564 | 496,561 |
Reinvestment of distributions | 56,706 | 933,806 | 38,309 | 711,015 |
Net increase in net assets resulting from capital share transactions | 6,004,221 | 1,207,576 | ||
Total increase (decrease) in net assets | 5,230,645 | (2,694,960 ) | ||
Net assets | ||||
Beginning of period | 22,642,224 | 25,337,184 | ||
End of period | $27,872,869 | $22,642,224 |
(For a share outstanding throughout each period)
Year ended August 31 | |||
2023 | 2022 | 20211 | |
Net asset value, beginning of period | $17.22 | $20.27 | $20.00 |
Net investment income | 0.76 2 | 0.57 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.62 ) | (2.86 ) | 0.13 |
Total from investment operations | 0.14 | (2.29 ) | 0.27 |
Distributions to shareholders from | |||
Net investment income | (0.71 ) | (0.72 ) | 0.00 |
Net realized gains | 0.00 | (0.04 ) | 0.00 |
Total distributions to shareholders | (0.71 ) | (0.76 ) | 0.00 |
Net asset value, end of period | $16.65 | $17.22 | $20.27 |
Total return3 | 0.95 % | (11.59 )% | 1.35 % |
Ratios to average net assets (annualized) | |||
Gross expenses | 0.69 % | 0.96 % | 0.83 % |
Net expenses4 | 0.00 % | 0.00 % | 0.00 % |
Net investment income | 4.53 % | 3.04 % | 2.75 % |
Supplemental data | |||
Portfolio turnover rate | 249 % | 125 % | 27 % |
Net assets, end of period (000s omitted) | $27,873 | $22,642 | $25,337 |
1 | For the period from June 2, 2021 (commencement of operations) to August 31, 2021 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
4 | The manager has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment-related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses, and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
day specified by the Valuation Committee at Allspring Funds Management.
Gross unrealized gains | $157,703 |
Gross unrealized losses | (1,709,015 ) |
Net unrealized losses | $(1,551,312 ) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $7,092,581 | $0 | $7,092,581 |
Asset-backed securities | 0 | 5,976,982 | 0 | 5,976,982 |
Corporate bonds and notes | 0 | 4,600,877 | 0 | 4,600,877 |
Foreign corporate bonds and notes | 0 | 1,520,880 | 0 | 1,520,880 |
Foreign government bonds | 0 | 3,971,315 | 0 | 3,971,315 |
Investment companies | 467,100 | 0 | 0 | 467,100 |
Loans | 0 | 234,532 | 0 | 234,532 |
Non-agency mortgage-backed securities | 0 | 2,729,180 | 0 | 2,729,180 |
U.S. Treasury securities | 666,664 | 0 | 0 | 666,664 |
Yankee corporate bonds and notes | 0 | 1,117,934 | 0 | 1,117,934 |
Yankee government bonds | 0 | 556,197 | 0 | 556,197 |
Short-term investments | ||||
Investment companies | 2,048,819 | 0 | 0 | 2,048,819 |
3,182,583 | 27,800,478 | 0 | 30,983,061 | |
Forward foreign currency contracts | 0 | 30,642 | 0 | 30,642 |
Futures contracts | 82,209 | 0 | 0 | 82,209 |
Total assets | $3,264,792 | $27,831,120 | $0 | $31,095,912 |
Liabilities | ||||
Forward foreign currency contracts | $0 | $86,222 | $0 | $86,222 |
Futures contracts | 1,836 | 0 | 0 | 1,836 |
Total liabilities | $1,836 | $86,222 | $0 | $88,058 |
the tables following the Portfolio of Investments. For futures contracts, the current day’s variation margin is reported on the Statement of Assets and
Liabilities. All other assets and liabilities are reported at their market value at measurement date.
Purchases at cost | Sales proceeds | ||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government |
$27,042,641 | $41,132,357 | $28,089,695 | $31,648,815 |
Forward foreign currency contracts | |
Average contract amounts to buy | $542,699 |
Average contract amounts to sell | 4,037,283 |
Futures contracts | |
Average notional balance on long futures | $13,018,742 |
Average notional balance on short futures | 4,187,279 |
Interest rate risk | Foreign currency risk | Total | |
Asset derivatives | |||
Forward foreign currency contracts | $0 | $30,642 | $30,642 |
Futures contracts | 82,209 * | 0 | 82,209 |
$82,209 | $30,642 | $112,851 | |
Liability derivatives | |||
Forward foreign currency contracts | $0 | $86,222 | $86,222 |
Futures contracts | 1,836 * | 0 | 1,836 |
$1,836 | $86,222 | $88,058 |
* | Amount represents the cumulative unrealized gains (losses) as reported in the table following the Portfolio of Investments. For futures contracts, only the current day’s variation margin as of August 31, 2023 is reported separately on the Statement of Assets and Liabilities. |
Interest rate risk | Foreign currency risk | Total | |
Net realized gains (losses) on derivatives | |||
Forward foreign currency contracts | $0 | $38,332 | $38,332 |
Futures contracts | (530,171 ) | 0 | (530,171 ) |
$(530,171 ) | $38,332 | $(491,839 ) | |
Net change in unrealized gains (losses) on derivatives | |||
Forward foreign currency contracts | $0 | $(152,943 ) | $(152,943 ) |
Futures contracts | 71,409 | 0 | 71,409 |
$71,409 | $(152,943 ) | $(81,534 ) |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Citibank N.A. | $28,174 | $(28,174 ) | $0 | $0 |
Morgan Stanley, Inc. | 2,468 | 0 | 0 | 2,468 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Citibank N.A. | $86,222 | $(28,174 ) | $0 | $58,048 |
Year ended August 31 | ||
2023 | 2022 | |
Ordinary income | $984,333 | $932,123 |
Long-term capital gain | 0 | 29,171 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$191,607 | $(1,546,578 ) | $(2,983,957 ) |
Allspring Funds Trust:
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (non-profit organization). Mr. Ebsworth is a CFA charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Member of the Advisory Board of CEF of East Central Florida. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | Distinguished Visiting Fellow at the Hoover Institution since 2022. James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, from 2007-2022. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non- profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012- 2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | N/A |
* | Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable. |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
Attn: Managed Account Services
P.O. Box 1450
Milwaukee, WI 53201
AR4903 08-23
ITEM 2. CODE OF ETHICS
(a) As of the end of the period covered by the report, Allspring Funds Trust has adopted a code of ethics that applies to its President and Treasurer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
(c) During the period covered by this report, there were no amendments to the provisions of the code of ethics adopted in Item 2(a) above.
(d) During the period covered by this report, there were no implicit or explicit waivers to the provisions of the code of ethics adopted in Item 2(a) above.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The Board of Trustees of Allspring Funds Trust has determined that Isaiah Harris is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Harris is independent for purposes of Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
(a), (b), (c), (d) The following table presents aggregate fees billed in each of the last two fiscal years for services rendered to the Registrant by the Registrant’s principal accountant. These fees were billed to the registrant and were approved by the Registrant’s audit committee.
Fiscal | Fiscal | |||||||
year ended | year ended | |||||||
August 31, 2023 | August 31, 2022 | |||||||
Audit Fees | $ | 633,685 | $ | 601,720 | ||||
Audit-Related Fees | — | — | ||||||
Tax Fees (1) | 47,830 | 46,820 | ||||||
All Other Fees | — | — | ||||||
$ | 681,515 | $ | 648,090 |
(1) | Tax fees consist of fees for tax compliance, tax advice, tax planning and excise tax. |
(e)(1) The Chair of the Audit Committees is authorized to pre-approve: (1) audit services for the mutual funds of Allspring Funds Trust; (2) non-audit tax or compliance consulting or training services provided to the Funds by the independent auditors (“Auditors”) if the fees for any particular engagement are not anticipated to exceed $50,000; and (3) non-audit tax or compliance consulting or training services provided by the Auditors to a Fund’s investment adviser and its controlling entities (where pre-approval is required because the engagement relates directly to the operations and financial reporting of the Fund) if the fee to the Auditors for any particular engagement is not anticipated to exceed $50,000. For any such pre-approval sought from the Chair, Management shall prepare a brief description of the proposed services.
If the Chair approves of such service, he or she shall sign the statement prepared by Management. Such written statement shall be presented to the full Committees at their next regularly scheduled meetings.
(e)(2) Not applicable.
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(f) Not applicable.
(g) Not applicable.
(h) Not applicable.
(i) Not applicable.
(j) Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. INVESTMENTS
A Portfolio of Investments for the series of Allspring Funds Trust is included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.
ITEM 11. CONTROLS AND PROCEDURES
(a) The President and Treasurer have concluded that the Allspring Funds Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.
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(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 13. EXHIBITS
(a)(1) | Code of Ethics. | |
(a)(2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: October 26, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the date indicated.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: October 26, 2023 | ||
By: | /s/Jeremy DePalma | |
Jeremy DePalma | ||
Treasurer | ||
Date: October 26, 2023 |