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Frost Family of Funds

Filed: 7 Apr 21, 10:19am

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSRS

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-23410

 

 

FROST FAMILY OF FUNDS

(Exact name of registrant as specified in charter)

 

 

One Freedom Valley Drive

Oaks, PA 19456

(Address of Principal Executive Offices, Zip code)

 

 

Michael Beattie

c/o SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Name and Address of Agent for Service)

 

 

Registrant’s telephone number, including area code: 1-877-713-7678

Date of fiscal year end: July 31, 2021

Date of reporting period: January 31, 2021

 

 

 


Item 1.

Reports to Stockholders.

A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act or 1940, as amended (the “Act”) (17 CFR § 270.30e-1), is attached hereto.


LOGO

 


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1

 

 

 

 

 

TABLE OF CONTENTS 
  Page 

Schedules of Investments

  1 

Statements of Assets and Liabilities

  28 

Statements of Operations

  30 

Statements of Changes in Net Assets

  32 

Financial Highlights

  36 

Notes to Financial Statements

  39 

Disclosure of Fund Expenses

  50 

The Funds file their complete schedule of investments of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-PORT within sixty days after period end. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-877-71-FROST; and (ii) on the Commission’s website at http://www.sec.gov.


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST GROWTH EQUITY FUND  

 

SECTOR WEIGHTINGS†

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Shares         
Value
 

COMMON STOCK§ — 99.2%

 

Communication Services — 12.0%

 

Alphabet, Cl A*

   7,254     $13,255,669 

Alphabet, Cl C*

   7,220      13,254,043 

Facebook, Cl A*

   53,190      13,740,573 

Netflix*

   16,000      8,518,240 
      

 

 

 
       48,768,525 
      

 

 

 

Consumer Discretionary — 20.8%

 

Amazon.com*

   12,871      41,267,000 

Booking Holdings*

   2,170      4,219,196 

Chipotle Mexican Grill, Cl A*

   4,000      5,920,000 

Home Depot

   35,590      9,638,484 

Lululemon Athletica*

   7,500      2,465,100 

NIKE, Cl B

   40,000      5,343,600 

O’Reilly Automotive*

   6,000      2,552,820 

Starbucks

   47,550      4,603,315 

Tesla*

   4,500      3,570,885 

TJX

   83,000      5,315,320 
      

 

 

 
       84,895,720 
      

 

 

 

Consumer Staples — 1.1%

 

Costco Wholesale

   12,632      4,451,896 
      

 

 

 

Financials — 2.5%

 

JPMorgan Chase

   46,000      5,918,820 

Moody’s

   15,905      4,234,865 
      

 

 

 
       10,153,685 
      

 

 

 

Health Care — 13.4%

 

Abbott Laboratories

   50,000      6,179,500 

Boston Scientific*

   160,000      5,670,400 

Danaher

   28,500      6,778,440 

Edwards Lifesciences*

   28,500      2,353,530 
Description  Shares         
Value
 

Eli Lilly and

   30,000     $6,239,100 

Humana

   11,500      4,405,765 

Merck

   55,000      4,238,850 

Seagen*

   20,000      3,285,400 

UnitedHealth Group

   17,800      5,937,724 

Vertex Pharmaceuticals*

   24,500      5,612,460 

Zoetis, Cl A

   26,235      4,046,749 
      

 

 

 
       54,747,918 
      

 

 

 

Industrials — 3.6%

 

Canadian Pacific Railway

   18,040      6,065,409 

Fortive

   42,000      2,775,360 

Uber Technologies*

   40,000      2,037,200 

Union Pacific

   20,000      3,949,400 
      

 

 

 
       14,827,369 
      

 

 

 

Information Technology — 42.8%

 

Adobe*

   21,000      9,634,170 

Advanced Micro Devices*

   15,000      1,284,600 

Apple

   233,584      30,823,745 

Autodesk*

   10,000      2,774,300 

Global Payments

   11,000      1,941,720 

Inphi*

   45,000      7,587,450 

Mastercard, Cl A

   43,410      13,730,149 

Microsoft

   174,000      40,361,040 

NVIDIA

   15,500      8,053,645 

PayPal Holdings*

   54,020      12,657,426 

QUALCOMM

   29,500      4,610,260 

salesforce.com*

   48,135      10,857,330 

ServiceNow*

   16,000      8,690,560 

Twilio, Cl A*

   10,000      3,594,300 

Visa, Cl A

   71,600      13,836,700 

Workday, Cl A*

   17,500      3,981,775 
      

 

 

 
       174,419,170 
      

 

 

 

Materials — 1.2%

 

Sherwin-Williams

   7,000      4,842,600 
      

 

 

 

Real Estate — 0.6%

 

American Tower ‡

   10,500      2,387,280 
      

 

 

 

Telecommunication Services — 1.2%

 

Pinterest, Cl A*

   30,000      2,055,300 

Snap, Cl A*

   55,000      2,911,700 
      

 

 

 
       4,967,000 
      

 

 

 

Total Common Stock
(Cost $ 172,552,797)

       404,461,163 
      

 

 

 

Total Investments — 99.2%
(Cost $ 172,552,797)

      $404,461,163 
      

 

 

 
 

 

The accompanying notes are an integral part of the financial statements.

 

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FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST GROWTH EQUITY FUND  

 

Percentages are based on Net Assets of $407,659,090.

*

Non-income producing security.

§

Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

Real Estate Investment Trust

Cl

— Class

As of January 31, 2021, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For the period ended January 31, 2021, there have been no transfers in or out of Level 3.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

The accompanying notes are an integral part of the financial statements.

 

2


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

SECTOR WEIGHTINGS†

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount     

Value

 

CORPORATE OBLIGATIONS — 20.9%

 

Communication Services — 0.7%

 

Telecom Argentina
8.500%, 08/06/25 (A)

  $5,000,000     $4,443,750 

T-Mobile USA

      

2.625%, 02/15/29

   2,000,000      2,010,400 

2.550%, 02/15/31 (A)

   13,000,000      13,315,640 

Zayo Group Holdings 4.000%, 03/01/27 (A)

   1,000,000      1,002,820 
      

 

 

 
       20,772,610 
      

 

 

 

Consumer Discretionary — 6.7%

      

Air Canada
7.750%, 04/15/21 (A)

   1,995,000      2,007,469 

Capitol Investment Merger Sub 2
10.000%, 08/01/24 (A)

   10,000,000      10,900,000 

Carnival
11.500%, 04/01/23 (A)

   2,500,000      2,837,500 

Choice Hotels International

      

3.700%, 01/15/31

   3,000,000      3,262,350 

3.700%, 12/01/29

   8,000,000      8,710,160 
Description  Face Amount     

Value

 

Expedia
3.800%, 02/15/28

  $5,915,000     $6,299,786 

Expedia Group
4.625%, 08/01/27 (A)

   5,000,000      5,540,501 

Ford Motor

      

9.625%, 04/22/30

   5,750,000      8,148,834 

9.000%, 04/22/25

   1,412,000      1,717,246 

5.291%, 12/08/46

   5,500,000      5,793,865 

4.346%, 12/08/26

   19,033,000      20,349,893 

Ford Motor Credit

      

5.125%, 06/16/25

   1,000,000      1,086,250 

4.375%, 08/06/23

   2,000,000      2,082,920 

GameStop

      

10.000%, 03/15/23 (A)

   1,150,000      1,201,031 

6.750%, 03/15/21 (A)

   2,137,000      2,137,000 

General Motors Financial

      

5.200%, 03/20/23

   4,000,000      4,371,187 

4.000%, 01/15/25

   11,126,000      12,235,846 

Jaguar Land Rover Automotive
4.500%, 10/01/27 (A)

   6,000,000      5,821,395 

Macy’s
8.375%, 06/15/25 (A)

   7,000,000      7,752,500 

Marriott International
3.500%, 10/15/32

   3,000,000      3,179,307 

Mohawk Industries
3.625%, 05/15/30

   13,000,000      14,521,810 

Mohegan Gaming & Entertainment
8.000%, 02/01/26 (A)

   9,000,000      9,007,920 

QVC

      

4.850%, 04/01/24

   4,500,000      4,888,125 

4.750%, 02/15/27

   4,000,000      4,288,500 

Scientific Games International
8.625%, 07/01/25 (A)

   5,750,000      6,217,187 

Staples
10.750%, 04/15/27 (A)

   2,850,000      2,764,073 

STL Holding
7.500%, 02/15/26 (A)

   12,500,000      13,000,000 

TJX
3.875%, 04/15/30

   5,000,000      5,852,249 

TransJamaican Highway
5.750%, 10/10/36 (A)

   1,500,000      1,530,000 

Under Armour
3.250%, 06/15/26

   3,200,000      3,207,312 

VistaJet Malta Finance
10.500%, 06/01/24 (A)

   26,799,000      27,401,977 
      

 

 

 
       208,114,193 
      

 

 

 

Energy — 3.7%

      

Antero Midstream Partners

      

7.875%, 05/15/26 (A)

   4,000,000      4,280,500 

5.750%, 01/15/28 (A)

   15,000,000      15,000,000 

Apache
7.750%, 12/15/29

   4,138,000      4,665,595 
 

 

The accompanying notes are an integral part of the financial statements.

 

3


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description  Face Amount     

Value

 

Colbun
3.150%, 03/06/30

  $200,000     $213,939 

Exxon Mobil
3.482%, 03/19/30

   2,000,000      2,265,910 

Intesa Sanpaolo
4.000%, 09/23/29 (A)

   5,000,000      5,583,365 

Lukoil International Finance BV
4.563%, 04/24/23

   3,000,000      3,199,410 

New England Power
2.807%, 10/06/50 (A)

   5,000,000      4,851,332 

Noble Holding International

      

6.050%, 03/01/41 (B)

   13,462,000      269,240 

4.900%, 08/01/20 (B)

   16,451,000      329,020 

4.625%, 03/01/21 (B)

   57,294,000      1,145,880 

NuStar Logistics
6.000%, 06/01/26

   1,000,000      1,062,500 

Petroleos Mexicanos

      

6.840%, 01/23/30

   4,000,000      4,020,000 

5.350%, 02/12/28

   7,000,000      6,713,000 

Seadrill New Finance

      

12.000%, 07/15/25

   13,575,356      6,176,787 

12.000%, 07/15/25 (B)

   65,338,161      29,728,863 

Standard Chartered
0.991%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+0.780%, 01/12/25 (A)

   1,000,000      1,000,453 

Suriname Government International Bond
9.875%, 12/30/23 (A)

   8,000,000      5,440,000 

Talen Energy Supply
7.250%, 05/15/27 (A)

   1,500,000      1,586,250 

Tallgrass Energy Partners
6.000%, 03/01/27 (A)

   1,000,000      1,010,000 

Transocean
11.500%, 01/30/27 (A)

   22,118,000      17,086,155 

Weatherford International
11.000%, 12/01/24 (A)

   584,000      500,780 
      

 

 

 
       116,128,979 
      

 

 

 

Financials — 4.0%

      

Aflac
3.600%, 04/01/30

   5,000,000      5,749,302 

Assured Guaranty US Holdings
5.000%, 07/01/24

   5,000,000      5,728,416 

Athene Holding
6.150%, 04/03/30

   10,000,000      12,440,784 

BankUnited
5.125%, 06/11/30

   9,450,000      10,973,371 

Barclays MTN
4.972%, VAR ICE LIBOR USD 3 Month+1.902%, 05/16/29

   2,000,000      2,379,121 

Capital One Financial
3.800%, 01/31/28

   5,000,000      5,693,970 
Description  Face Amount     

Value

 

Chubb INA Holdings
1.375%, 09/15/30

  $5,000,000     $4,881,766 

Deutsche Bank
4.500%, 04/01/25

   15,000,000      16,043,427 

Enova International
8.500%, 09/15/25 (A)

   15,557,000      15,168,075 

Farmers Exchange Capital
7.050%, 07/15/28 (A)

   6,075,000      7,572,512 

Genworth Holdings
7.625%, 09/24/21

   4,750,000      4,750,000 

Huntington Bancshares
2.550%, 02/04/30

   3,000,000      3,198,487 

Nasdaq
1.650%, 01/15/31

   5,000,000      4,876,422 

Navient
5.000%, 03/15/27

   1,000,000      1,016,250 

Societe Generale
5.000%, 01/17/24 (A)

   4,025,000      4,449,709 

Synchrony Financial
4.500%, 07/23/25

   9,905,000      11,167,253 

Wachovia
6.605%, 10/01/25

   5,650,000      6,976,641 
      

 

 

 
       123,065,506 
      

 

 

 

Industrials — 2.2%

      

American Airlines Group
11.750%, 07/15/25 (A)

   5,000,000      5,800,500 

3.750%, 03/01/25 (A)

   10,000,000      7,657,800 

Boeing
2.950%, 02/01/30

   3,344,000      3,403,989 

2.850%, 10/30/24

   1,625,000      1,713,134 

2.300%, 08/01/21

   2,688,000      2,712,827 

Burlington Northern Santa Fe 7.290%, 06/01/36

   5,000,000      7,977,883 

Carrier Global
2.700%, 02/15/31

   2,000,000      2,112,550 

Equifax
3.100%, 05/15/30

   3,000,000      3,276,370 

FedEx
3.100%, 08/05/29

   5,000,000      5,486,229 

Flowserve
4.000%, 11/15/23

   1,000,000      1,057,599 

3.500%, 10/01/30

   4,000,000      4,257,189 

General Electric MTN
5.875%, 01/14/38

   4,377,000      5,848,614 

Great Lakes Dredge & Dock
8.000%, 05/15/22

   1,410,000      1,432,913 

Teekay
9.250%, 11/15/22 (A)

   13,750,000      13,887,500 
      

 

 

 
       66,625,097 
      

 

 

 

Information Technology — 3.1%

      

Amkor Technology
6.625%, 09/15/27 (A)

   1,900,000      2,068,625 
 

 

The accompanying notes are an integral part of the financial statements.

 

4


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

Avaya
6.125%, 09/15/28 (A)

 $4,000,000     $4,260,000 

Castle US Holding
9.500%, 02/15/28 (A)

  1,000,000      1,026,610 

Citrix Systems
3.300%, 03/01/30

  6,000,000      6,452,960 

Diebold Nixdorf
9.375%, 07/15/25 (A)

  500,000      553,125 

8.500%, 04/15/24

  26,371,000      26,898,420 

Jabil
3.600%, 01/15/30

  4,496,000      4,936,169 

Juniper Networks
3.750%, 08/15/29

  10,000,000      11,253,921 

Micron Technology
4.185%, 02/15/27

  10,000,000      11,611,823 

Motorola Solutions
4.600%, 05/23/29

  21,435,000      25,433,963 

QUALCOMM
2.150%, 05/20/30

  3,000,000      3,114,845 
     

 

 

 
      97,610,461 
     

 

 

 

Materials — 0.1%

     

Cleveland-Cliffs
6.750%, 03/15/26 (A)

  1,500,000      1,614,060 

Nacional del Cobre de Chile
3.150%, 01/15/51 (A)

  500,000      487,208 
     

 

 

 
      2,101,268 
     

 

 

 

Real Estate — 0.1%

     

Brookfield Property
5.750%, 05/15/26 ‡(A)

  2,000,000      2,080,000 
     

 

 

 

Utilities — 0.3%

     

Pacific Gas and Electric
4.500%, 07/01/40

  5,000,000      5,456,353 

3.750%, 08/15/42

  5,000,000      4,911,687 
     

 

 

 
      10,368,040 
     

 

 

 

Total Corporate Obligations
(Cost $703,005,155)

      646,866,154 
     

 

 

 

COLLATERALIZED LOAN OBLIGATIONS — 19.1%

 

Collateralized Loan Obligation — 19.1%

 

    

Apidos Funding RR Subsidiary,
Ser 2018-12RR, Cl A
1.771%, VAR ICE LIBOR USD
3 Month+1.530%, 04/15/31 (A)

  3,000,000      2,999,655 

Apidos XI,
Ser 2019-11A, Cl BRR
1.923%, VAR ICE LIBOR USD 3 Month+1.700%, 10/17/30 (A)

  15,000,000      15,037,920 

Apidos XXVIII,
Ser 2017-28A, Cl A2
1.624%, VAR ICE LIBOR USD
3 Month+1.400%, 01/20/31 (A)

  15,000,000      14,977,935 
Description Face Amount     

Value

 

Avery Point IV,
Ser 2017-1A, Cl BR
1.818%, VAR ICE LIBOR USD
3 Month+1.600%, 04/25/26 (A)

 $7,500,000     $7,505,602 

BCC Middle Market,
Ser 2018-1A, Cl A1A
1.774%, VAR ICE LIBOR USD 3 Month+1.550%, 10/20/30 (A)

  21,000,000      20,767,278 

Benefit Street Partners III,
Ser 2017-IIIA, Cl A1R
1.474%, VAR ICE LIBOR USD
3 Month+1.250%, 07/20/29 (A)

  14,975,799      14,964,403 

Benefit Street Partners III,
Ser 2017-IIIA, Cl DR
6.824%, VAR ICE LIBOR USD
3 Month+6.600%, 07/20/29 (A)

  5,000,000      4,516,950 

Benefit Street Partners IV,
Ser 2019-IVA, Cl A1RR
1.474%, VAR ICE LIBOR USD
3 Month+1.250%, 01/20/29 (A)

  10,000,000      9,992,390 

Benefit Street Partners VIII,
Ser 2018-8A, Cl A1AR
1.324%, VAR ICE LIBOR USD
3 Month+1.100%, 01/20/31 (A)

  5,450,000      5,446,806 

BlueMountain,
Ser 2019-2A, Cl A2R
2.024%, VAR ICE LIBOR USD
3 Month+1.800%, 08/20/32 (A)

  23,000,000      23,053,843 

Carlyle Global Market Strategies,
Ser 2018-1A, Cl CR2
2.023%, VAR ICE LIBOR USD
3 Month+1.800%, 04/17/31 (A)

  4,500,000      4,295,308 

Carlyle Global Market Strategies,
Ser 2018-3A, Cl A1A2
1.414%, VAR ICE LIBOR USD
3 Month+1.180%, 01/14/32 (A)

  24,855,641      24,289,678 

Carlyle Global Market Strategies,
Ser 2018-3A, Cl A2A2
2.084%, VAR ICE LIBOR USD
3 Month+1.850%, 01/14/32 (A)

  7,000,000      7,052,472 

Carlyle Global Market Strategies,
Ser 2018-3RA, Cl A1A
1.263%, VAR ICE LIBOR USD
3 Month+1.050%, 07/27/31 (A)

  14,877,491      14,875,854 

Carlyle Global Market Strategies,
Ser 2018-3RA, Cl A2
1.763%, VAR ICE LIBOR USD
3 Month+1.550%, 07/27/31 (A)

  9,000,000      8,967,321 

Carlyle Global Market Strategies,
Ser 2018-5A, Cl A1RR
1.381%, VAR ICE LIBOR USD
3 Month+1.140%, 07/15/31 (A)

  15,834,091      15,850,352 

Carlyle Global Market Strategies,
Ser 2019-2A, Cl A2A
1.991%, VAR ICE LIBOR USD
3 Month+1.750%, 07/15/32 (A)

  10,000,000      9,992,980 
 

 

The accompanying notes are an integral part of the financial statements.

 

5


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

CIFC Funding,
Ser 2018-1A, Cl A
1.223%, VAR ICE LIBOR USD
3 Month+1.000%, 04/18/31 (A)

 $10,000,000     $9,969,330 

CIFC Funding,
Ser 2018-1A, Cl C
1.973%, VAR ICE LIBOR USD
3 Month+1.750%, 04/18/31 (A)

  2,000,000      1,989,248 

Dryden 68,
Ser 2019-68A, Cl B
1.981%, VAR ICE LIBOR USD
3 Month+1.740%, 07/15/32 (A)

  11,750,000      11,744,936 

Fortress Credit Opportunities IX,
Ser 2017- 9A, Cl A1T
1.771%, VAR ICE LIBOR USD
3 Month+1.550%, 11/15/29 (A)

  21,000,000      20,938,995 

Galaxy XXI,
Ser 2015-21A, Cl AR
1.244%, VAR ICE LIBOR USD
3 Month+1.020%, 04/20/31 (A)

  5,000,000      4,988,320 

GoldenTree Credit Opportunities Financing,
Ser 2018-1A, Cl A1R
1.930%, VAR ICE LIBOR USD
3 Month+1.680%, 06/15/34 (A)

  15,000,000      14,788,350 

Golub Capital Partners,
Ser 2017-17A, Cl A1R
1.865%, VAR ICE LIBOR USD
3 Month+1.650%, 10/25/30 (A)

  9,000,000      8,941,734 

Golub Capital Partners,
Ser 2017-19RA, Cl A1A
1.515%, VAR ICE LIBOR USD
3 Month+1.300%, 07/26/29 (A)

  20,000,000      20,018,300 

Golub Capital Partners,
Ser 2017-21A, Cl AR
1.685%, VAR ICE LIBOR USD
3 Month+1.470%, 01/25/31 (A)

  11,000,000      10,894,279 

Golub Capital Partners,
Ser 2017-21A, Cl CR
2.665%, VAR ICE LIBOR USD
3 Month+2.450%, 01/25/31 (A)

  2,000,000      1,941,806 

Golub Capital Partners,
Ser 2017-22A, Cl AR
1.404%, VAR ICE LIBOR USD
3 Month+1.180%, 01/20/31 (A)

  9,000,000      8,997,885 

Golub Capital Partners,
Ser 2017-23A, Cl AR
1.424%, VAR ICE LIBOR USD
3 Month+1.200%, 01/20/31 (A)

  20,000,000      19,907,000 

Golub Capital Partners,
Ser 2017-23A, Cl BR
1.774%, VAR ICE LIBOR USD
3 Month+1.550%, 01/20/31 (A)

  4,000,000      4,030,268 

Golub Capital Partners,
Ser 2017-24A, Cl AR
1.825%, VAR ICE LIBOR USD
3 Month+1.600%, 11/05/29 (A)

  9,500,000      9,464,565 
Description Face Amount     

Value

 

Golub Capital Partners,
Ser 2017-24A, Cl DR
4.125%, VAR ICE LIBOR USD
3 Month+3.900%, 11/05/29 (A)

 $3,000,000     $2,954,946 

Golub Capital Partners,
Ser 2018-26A, Cl BR
1.774%, VAR ICE LIBOR USD
3 Month+1.550%, 04/20/31 (A)

  12,000,000      11,914,452 

Golub Capital Partners,
Ser 2018-36A, Cl A
1.495%, VAR ICE LIBOR USD
3 Month+1.300%, 02/05/31 (A)

  11,000,000      10,904,399 

Golub Capital Partners,
Ser 2019-34A, Cl AR
1.895%, VAR ICE LIBOR USD
3 Month+1.700%, 03/14/31 (A)

  7,000,000      6,926,829 

LCM Loan Income Fund I Income Note Issuer,
Ser 2018-27A, Cl A1
1.303%, VAR ICE LIBOR USD
3 Month+1.080%, 07/16/31 (A)

  13,000,000      13,007,228 

MCF IV,
Ser 2017-1A, Cl AR
1.774%, VAR ICE LIBOR USD
3 Month+1.550%, 10/20/29 (A)

  10,000,000      9,905,680 

MCF IV,
Ser 2017-1A, Cl CR
2.874%, VAR ICE LIBOR USD
3 Month+2.650%, 10/20/29 (A)

  3,000,000      2,954,445 

NewStar Berkeley Fund,
Ser 2019-1A, Cl AR
1.818%, VAR ICE LIBOR USD
3 Month+1.600%, 10/25/28 (A)

  4,176,678      4,154,675 

NXT Capital,
Ser 2017-1A, Cl A
1.924%, VAR ICE LIBOR USD
3 Month+1.700%, 04/20/29 (A)

  9,000,000      8,947,260 

NXT Capital,
Ser 2020-1A, Cl B
2.560%, VAR ICE LIBOR USD
3 Month+2.400%, 01/20/31 (A)

  2,250,000      2,244,335 

Oak Hill Credit Partners X-R,
Ser 2018- 10RA, Cl B 1.973%, VAR ICE LIBOR USD
3 Month+1.750%, 12/12/30 (A)

  8,000,000      8,054,120 

Oak Hill Credit Partners X-R,
Ser 2018- 10RA, Cl C
2.423%, VAR ICE LIBOR USD
3 Month+2.200%, 12/12/30 (A)

  5,100,000      5,145,900 

Oaktree EIF II,
Ser 2017-IIIA, Cl A2
1.673%, VAR ICE LIBOR USD
3 Month+1.450%, 07/17/29 (A)

  7,250,000      7,251,660 

Oaktree,
Ser 2019-3A, Cl B
2.224%, VAR ICE LIBOR USD
3 Month+2.000%, 07/20/31 (A)

  13,500,000      13,529,119 
 

 

The accompanying notes are an integral part of the financial statements.

 

6


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

Oaktree,
Ser 2019-4A, Cl B
2.224%, VAR ICE LIBOR USD
3 Month+2.000%, 10/20/32 (A)

 $25,000,000     $25,058,400 

Octagon Investment Partners XX,
Ser 2019-4A, Cl B
2.114%, VAR ICE LIBOR USD
3 Month+1.900%, 05/12/31 (A)

  9,500,000      9,515,894 

OHA Credit Partners VII,
Ser 2016-7A, Cl DR
4.424%, VAR ICE LIBOR USD
3 Month+4.200%, 11/20/27 (A)

  6,500,000      6,498,174 

OZLM Funding IV,
Ser 2017-4A, Cl A2R
1.922%, VAR ICE LIBOR USD
3 Month+1.700%, 10/22/30 (A)

  5,000,000      5,007,090 

OZLM XVI,
Ser 2017-16A, Cl A1
1.481%, VAR ICE LIBOR USD
3 Month+1.260%, 05/16/30 (A)

  9,947,888      9,967,186 

Sudbury Mill,
Ser 2013-1A, Cl E
4.973%, VAR ICE LIBOR USD
3 Month+4.750%, 01/17/26 (A)

  1,500,000      1,195,170 

Thayer Park,
Ser 2017-1A, Cl B
2.574%, VAR ICE LIBOR USD
3 Month+2.350%, 04/20/29 (A)

  9,500,000      9,504,152 

Venture 35,
Ser 2018-35A, Cl BL
2.072%, VAR ICE LIBOR USD
3 Month+1.850%, 10/22/31 (A)

  20,000,000      20,154,600 

Venture XIX,
Ser 2018-19A, Cl ARR
1.501%, VAR ICE LIBOR USD
3 Month+1.260%, 01/15/32 (A)

  19,250,000      19,290,252 

Venture,
Ser 2019-37A, Cl BN
2.141%, VAR ICE LIBOR USD
3 Month+1.900%, 07/15/32 (A)

  10,000,000      10,025,520 

Zais,
Ser 2017-1A, Cl A2
1.741%, VAR ICE LIBOR USD
3 Month+1.500%, 07/15/29 (A)

  11,250,000      11,063,723 

Zais,
Ser 2018-1A, Cl B
1.691%, VAR ICE LIBOR USD
3 Month+1.450%, 04/15/29 (A)

  5,000,000      4,835,585 
     

 

 

 

Total Collateralized Loan Obligations (Cost $594,865,660)

      593,212,557 
     

 

 

 

MORTGAGE-BACKED SECURITIES — 18.9%

 

    

Agency Mortgage-Backed Obligation — 4.5%

 

    

FHLMC
3.069%, VAR ICE LIBOR USD
12 Month+1.620%, 01/01/45

  4,987,352      5,204,782 
Description Face Amount     

Value

 

2.359%, VAR ICE LIBOR USD
12 Month+1.650%, 06/01/43

 $5,367,975     $5,555,627 

FHLMC REMIC,
Ser 2011-3898, Cl FC
0.637%, VAR LIBOR USD
1 Month+0.510%, 11/15/36

  1,722,442      1,740,758 

FHLMC,
Ser 2012-293, Cl IO, IO
4.000%, 11/15/32

  1,089,113      128,491 

FHLMC,
Ser 2012-3996, Cl QL
4.000%, 02/15/42

  8,847,611      10,070,461 

FHLMC,
Ser 2012-4029, Cl LI, IO
3.000%, 01/15/27

  4,172,426      188,878 

FHLMC,
Ser 2012-4054, Cl HI, IO
3.000%, 05/15/26

  1,724,861      35,164 

FHLMC,
Ser 2012-4077, Cl AI, IO
3.000%, 01/15/27

  5,693,339      212,120 

FHLMC,
Ser 2012-4106, Cl YI, IO
2.500%, 09/15/27

  2,713,424      151,934 

FHLMC,
Ser 2012-4116, Cl MI, IO
4.000%, 10/15/42

  23,252,197      3,081,593 

FHLMC,
Ser 2012-4116, Cl PI, IO 4.000%, 10/15/42

  7,466,380      1,387,933 

FHLMC,
Ser 2012-4134, Cl BI, IO 2.500%, 11/15/27

  7,629,548      417,513 

FHLMC,
Ser 2012-4136, Cl PI, IO
3.000%, 11/15/32

  14,734,037      1,504,049 

FHLMC,
Ser 2012-4148, Cl LI, IO
2.500%, 12/15/27

  4,785,628      265,551 

FHLMC,
Ser 2013-4213, Cl IG, IO
4.000%, 06/15/43

  12,133,412      1,439,276 

FHLMC,
Ser 2014-4349, Cl KI, IO
3.000%, 04/15/33

  7,982,711      551,239 

FHLMC,
Ser 2015-4457, Cl EI, IO
3.500%, 02/15/45

  988,028      68,425 

FHLMC,
Ser 2017-4655, Cl HA
3.500%, 01/15/42

  2,504,709      2,517,800 

FHLMC,
Ser 2017-4662, Cl VC
3.500%, 08/15/35

  5,000,000      5,193,029 

FHLMC,
Ser 2017-4671, Cl ME
3.000%, 02/15/43

  6,505,207      6,618,599 
 

 

The accompanying notes are an integral part of the financial statements.

 

7


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

FHLMC,
Ser 2017-4675, Cl VE
3.500%, 08/15/37

 $4,707,000     $5,094,078 

FHLMC,
Ser 2018-4773, Cl DM
4.000%, 09/15/42

  775,337      775,282 

FHLMC,
Ser 2019-4908, Cl AS, IO
5.970%, VAR ICE LIBOR USD
1 Month+6.100%, 01/25/45

  17,901,807      3,506,185 

FNMA
5.500%, 04/01/38 to 05/01/44

  5,950,585      6,949,162 

4.500%, 08/01/41

  4,288,998      4,826,096 

4.000%, 03/01/47

  1,203,594      1,327,202 

3.261%, VAR ICE LIBOR USD
12 Month+1.755%, 02/01/42

  2,670,894      2,798,855 

3.000%, 10/01/32 to 01/01/50

  11,864,722      12,686,834 

2.840%, VAR ICE LIBOR USD
12 Month+1.700%, 10/01/42

  2,482,553      2,593,093 

2.710%, 08/01/23

  259,243      272,300 

2.250%, 10/30/24

  10,000,000      10,698,104 

FNMA REMIC,
Ser 2017-52, Cl DI, IO
4.500%, 07/25/47

  12,362,006      1,715,132 

FNMA STRIPS,
Ser 2009-397, Cl 2, IO
5.000%, 09/25/39

  2,100,557      347,850 

FNMA STRIPS,
Ser 2009-400, Cl 2, IO
4.500%, 11/25/39

  1,722,758      265,371 

FNMA STRIPS,
Ser 2010-404, Cl 2, IO
4.500%, 05/25/40

  3,093,733      503,885 

FNMA STRIPS,
Ser 2010-405, Cl 2, IO
4.000%, 10/25/40

  2,238,493      275,336 

FNMA STRIPS,
Ser 2011-407, Cl 2, IO
4.000%, 03/25/41

  3,464,947      493,409 

FNMA,
Ser 2011-103, Cl GI, IO
3.500%, 10/25/26

  1,938,607      98,339 

FNMA,
Ser 2011-146, Cl AY
3.500%, 01/25/32

  4,039,727      4,334,990 

FNMA,
Ser 2012-31, Cl LI, IO
4.000%, 07/25/40

  1,921,487      68,164 

FNMA,
Ser 2012-410, Cl C5, IO
3.500%, 05/25/27

  7,924,957      441,829 

FNMA,
Ser 2012-61, Cl KI, IO
4.000%, 12/25/41

  8,478,515      704,014 

FNMA,
Ser 2012-68, Cl GY
3.000%, 07/25/32

  5,000,000      5,525,551 
Description Face Amount     

Value

 

FNMA,
Ser 2013-104, Cl TI, IO
3.000%, 08/25/32

 $4,193,330     $182,674 

FNMA,
Ser 2013-36, Cl MH
2.500%, 12/25/36

  5,004,046      5,091,634 

FNMA,
Ser 2014-40, Cl GI, IO
3.000%, 06/25/33

  7,732,721      752,450 

FNMA,
Ser 2014-59, Cl CI, IO
3.000%, 08/25/40

  1,214,483      34,890 

FNMA,
Ser 2015-421, Cl C1, IO
3.000%, 05/25/30

  5,316,280      451,061 

FNMA,
Ser 2017-4, Cl VD
3.500%, 06/25/37

  10,000,000      10,123,952 

FNMA,
Ser 2017-53, Cl KA
3.500%, 12/25/43

  1,915,527      1,940,730 

FNMA,
Ser 2019-44, Cl CI, IO
4.000%, 08/25/59

  10,560,728      1,936,867 

FNMA,
Ser 2019-44, Cl PI, IO
4.000%, 08/25/49

  12,269,344      1,248,051 

GNMA REMIC,
Ser 2011-125, Cl BI, IO
4.000%, 12/20/30

  2,332,194      29,800 

GNMA,
Ser 2013-170, Cl QI, IO
5.500%, 11/20/43 (C)

  12,558,825      2,377,016 

GNMA,
Ser 2013-42, Cl MI, IO
3.500%, 04/20/41

  2,281,359      83,760 

GNMA,
Ser 2013-62, Cl NI, IO
4.000%, 08/20/40

  5,407,029      454,753 

GNMA,
Ser 2014-32, Cl CI, IO
4.000%, 03/20/43

  3,605,664      332,302 

GNMA,
Ser 2014-44, Cl IO, IO
4.000%, 11/16/26

  7,372,603      472,387 

GNMA,
Ser 2015-17, Cl JI, IO
3.500%, 05/20/28

  6,831,373      393,894 

GNMA,
Ser 2017-137, Cl DI, IO
3.000%, 02/20/47

  4,671,577      108,888 
     

 

 

 
      138,649,392 
     

 

 

 
 

 

The accompanying notes are an integral part of the financial statements.

 

8


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

Commercial Mortgage-Backed Obligation — 12.1%

 

Banc of America Commercial
Mortgage Trust,
Ser 2008-1, Cl AJ
6.786%, 02/10/51 (C)

 $240,943     $244,532 

Banc of America Commercial
Mortgage Trust,
Ser 2008-1, Cl B
6.786%, 02/10/51 (A) (C)

  4,925,000      4,301,495 

BANK,
Ser 2018-BN10, Cl A5
3.688%, 02/15/61

  10,000,000      11,409,577 

BANK,
Ser 2018-BN14, Cl A3
3.966%, 09/15/60

  10,000,000      11,577,554 

Bear Stearns Commercial Mortgage Securities Trust,
Ser 2007-T26, Cl AJ
5.432%, 01/12/45 (C)

  14,150,000      11,611,844 

Benchmark Mortgage Trust,
Ser 2020-B18, Cl E
2.250%, 07/15/53 (A)

  8,000,000      6,708,097 

Benchmark Mortgage Trust,
Ser 2020-B21, Cl D
2.000%, 12/17/53 (A)

  13,000,000      11,121,257 

Benchmark Mortgage Trust,
Ser 2020-IG3, Cl A4
2.437%, 09/15/48 (A)

  10,000,000      10,622,050 

Citigroup Commercial Mortgage
Trust,
Ser 2015-GC31, Cl C
4.055%, 06/10/48 (C)

  5,000,000      5,288,293 

Commercial Mortgage Trust,
Ser 2012- CR2, Cl C
4.831%, 08/15/45 (C)

  1,000,000      995,184 

Commercial Mortgage Trust,
Ser 2012- CR2, Cl D
4.831%, 08/15/45 (A) (C)

  224,200      207,614 

Commercial Mortgage Trust,
Ser 2014- LC15, Cl D
4.984%, 04/10/47 (A) (C)

  9,500,000      9,513,948 

Commercial Mortgage Trust,
Ser 2014- UBS6, Cl C
4.446%, 12/10/47 (C)

  4,000,000      3,957,588 

Commercial Mortgage Trust,
Ser 2015- DC1, Cl D
4.308%, 02/10/48 (A) (C)

  9,000,000      7,010,698 

Credit Suisse Commercial Mortgage Trust,
Ser 2008-C1, Cl D
5.997%, 02/15/41 (A) (C)

  4,107,435      239,874 

Credit Suisse First Boston Mortgage Securities,
Ser 2005-C2, Cl AMFL
0.377%, VAR ICE LIBOR USD
1 Month+0.250%, 04/15/37

  76,581      72,752 
Description Face Amount     

Value

 

Credit Suisse First Boston Mortgage Securities,
Ser 2005-C2, Cl AMFX
4.877%, 04/15/37

 $6,855     $6,786 

CSAIL Commercial Mortgage Trust,
Ser 2019-C15, Cl A4
4.053%, 03/15/52

  10,000,000      11,665,471 

CSMC Trust,
Ser 2019-AFC1, Cl A1
2.573%, 07/25/49 (A)

  9,480,173  ��   9,733,211 

DBUBS Mortgage Trust,
Ser 2011-LC1A, Cl C
5.535%, 11/10/46 (A) (C)

  1,450,000      1,449,597 

FHLMC Military Housing Bonds
Resecuritization Trust Certificates,
Ser 2015-R1, Cl C3
6.002%, 11/25/52 (A) (C)

  36,542,471      34,777,462 

FNMA,
Ser 2020-44, Cl MI, IO
2.500%, 01/25/57

  16,475,222      2,192,796 

Fontainebleau Miami Beach Trust,
Ser 2019-FBLU, Cl A
3.144%, 12/10/36 (A)

  5,000,000      5,330,842 

FREMF Mortgage Trust,
Ser 2012-K21, Cl C
3.935%, 07/25/45 (A) (C)

  5,000,000      5,172,046 

FREMF Mortgage Trust,
Ser 2012-K22, Cl C
3.686%, 08/25/45 (A) (C)

  4,500,000      4,651,405 

FREMF Mortgage Trust,
Ser 2013-K26, Cl C
3.597%, 12/25/45 (A) (C)

  5,000,000      5,204,880 

FREMF Mortgage Trust,
Ser 2015-K720, Cl B
3.394%, 07/25/22 (A) (C)

  5,000,000      5,159,047 

FREMF Mortgage Trust,
Ser 2015-K720, Cl C
3.394%, 07/25/22 (A) (C)

  8,000,000      8,195,630 

FREMF Mortgage Trust,
Ser 2015-K721, Cl C
3.565%, 11/25/47 (A) (C)

  14,000,000      14,388,479 

FREMF Mortgage Trust,
Ser 2016-K54, Cl C
4.051%, 04/25/48 (A) (C)

  5,000,000      5,475,954 

FREMF Mortgage Trust,
Ser 2016-K57, Cl C
3.919%, 08/25/49 (A) (C)

  8,840,000      9,605,679 

FREMF Mortgage Trust,
Ser 2017-K67, Cl B
3.944%, 09/25/49 (A) (C)

  2,000,000      2,226,797 

FREMF Mortgage Trust,
Ser 2017-K70, Cl B
3.804%, 12/25/49 (A) (C)

  3,403,000      3,766,814 

Galton Funding Mortgage Trust,
Ser 2019-1, Cl A22
4.000%, 02/25/59 (A) (C)

  963,552      995,810 
 

 

The accompanying notes are an integral part of the financial statements.

 

9


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

Galton Funding Mortgage Trust,
Ser 2019-2, Cl A21
4.000%, 06/25/59 (A) (C)

 $7,612,869     $7,818,745 

GNMA,
Ser 2015-103, Cl CI, IO
4.000%, 07/20/45

  26,316,047      2,559,604 

GNMA,
Ser 2016-99, Cl ID, IO
4.500%, 04/16/44

  22,022,130      4,689,824 

GNMA,
Ser 2019-137, Cl GI, IO
4.000%, 11/20/49

  51,356,182      5,919,247 

GNMA,
Ser 2020-189, Cl IJ, IO
2.500%, 12/20/50

  28,158,934      3,131,932 

GS Mortgage Securities Trust,
Ser 2017- G5, Cl AS
3.826%, 03/10/50 (C)

  3,500,000      3,919,425 

GS Mortgage Securities Trust,
Ser 2018- GS9, Cl A4
3.992%, 03/10/51 (C)

  10,000,000      11,591,218 

Homeward Opportunities Fund I
Trust,
Ser 2019-1, Cl A1
3.454%, 01/25/59 (A) (C)

  2,136,811      2,161,514 

Homeward Opportunities Fund I Trust,
Ser 2019-3, Cl A1 2.
675%, 11/25/59 (A) (C)

  6,892,011      7,040,902 

Hudson Yards Mortgage Trust,
Ser 2019-30HY, Cl B
3.380%, 07/10/39 (A) (C)

  2,500,000      2,793,897 

Impact Funding,
Ser 2001-AA, Cl D
5.036%, 07/25/33 (A) (C)

  62,892      62,685 

JPMDB Commercial Mortgage Securities Trust,
Ser 2016-C2, Cl C
3.350%, 06/15/49 (C)

  4,328,000      4,149,105 

JPMorgan Chase Commercial Mortgage Securities,
Ser 2006-LDP9, Cl AMS
5.337%, 05/15/47

  2,238,223      1,556,588 

JPMorgan Chase Commercial Mortgage Securities,
Ser 2007-LD12, Cl AJ
6.523%, 02/15/51 (C)

  1,923,542      1,792,386 

JPMorgan Chase Commercial Mortgage Securities,
Ser 2007-LD12, Cl J
5.994%, 02/15/51 (A) (B) (C) (D)

  1,000,000       

LB-UBS Commercial Mortgage Trust,
Ser 2007-C6, Cl AJ
6.242%, 07/15/40 (C)

  218,665      210,118 
Description Face Amount     

Value

 

LStar Commercial Mortgage Trust,
Ser 2016-4, Cl AS
3.188%, 03/10/49 (A)

 $3,000,000     $3,160,293 

Morgan Stanley Bank of America
Merrill Lynch Trust,
Ser 2016-C29, Cl C
4.746%, 05/15/49 (C)

  2,413,000      2,440,115 

Morgan Stanley Capital I,
Ser 2007-T25, Cl AJ
5.574%, 11/12/49 (C)

  114,635      91,351 

Morgan Stanley Capital I,
Ser 2007-T27, Cl B
6.014%, 06/11/42 (A) (C)

  500,000      516,616 

New Residential Mortgage Loan Trust,
Ser 2020-NPL1, Cl A1
4.335%, 07/25/60 (A)

  9,406,087      9,555,320 

PSMC Trust,
Ser 2020-2, Cl A2
3.000%, 05/25/50 (A) (C)

  3,535,010      3,609,998 

UBS Commercial Mortgage Trust,
Ser 2012-C1, Cl C
5.569%, 05/10/45 (A) (C)

  9,160,000      9,045,210 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C2, Cl D
4.889%, 05/10/63 (A) (C)

  7,245,000      4,305,615 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C2, Cl E
4.889%, 05/10/63 (A) (C)

  15,614,806      7,596,420 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C3, Cl C
5.031%, 08/10/49 (A) (C)

  3,000,000      3,149,971 

UBS-Barclays Commercial Mortgage Trust,
Ser 2012-C4, Cl D
4.470%, 12/10/45 (A) (C)

  13,624,000      8,127,561 

Wells Fargo Commercial Mortgage Trust,
Ser 2016-C32, Cl C
4.709%, 01/15/59 (C)

  5,000,000      5,351,933 

Wells Fargo Commercial Mortgage Trust,
Ser 2016-C32, Cl D
3.788%, 01/15/59 (A) (C)

  2,000,000      1,961,350 

Wells Fargo Commercial Mortgage Trust,
Ser 2016-C34, Cl B
4.089%, 06/15/49

  5,000,000      5,266,181 

Wells Fargo Commercial Mortgage Trust,
Ser 2018-AUS, Cl A
4.058%, 08/17/36 (A) (C)

  5,000,000      5,640,921 
 

 

The accompanying notes are an integral part of the financial statements.

 

10


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

Wells Fargo Commercial Mortgage Trust,
Ser 2018-C43, Cl A4
4.012%, 03/15/51 (C)

 $6,000,000     $6,962,696 

West Town Mall Trust,
Ser 2017-KNOX, Cl A
3.823%, 07/05/30 (A)

  4,866,338      4,887,433 

WFRBS Commercial Mortgage Trust,
Ser 2013-UBS1, Cl C
5.040%, 03/15/46 (C)

  3,000,000      3,059,663 

WFRBS Commercial Mortgage Trust,
Ser 2014-C25, Cl D
3.803%, 11/15/47 (A) (C)

  7,310,000      6,623,640 
     

 

 

 
      375,630,540 
     

 

 

 

Non-Agency Residential Mortgage-Backed Obligation — 2.3%

 

Arroyo Mortgage Trust,
Ser 2018-1, Cl A1
3.763%, 04/25/48 (A) (C)

  9,413,758      9,578,052 

Arroyo Mortgage Trust,
Ser 2019-2, Cl A2
3.498%, 04/25/49 (A) (C)

  6,958,734      7,211,401 

Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl M8
2.461%, VAR ICE LIBOR USD
1 Month+2.250%, 02/25/37 (B) (D)

  1,000,000       

CSAIL Mortgage Trust,
Ser 2018-CX11, Cl A5
4.033%, 04/15/51

  10,000,000      11,550,416 

Deephaven Residential Mortgage Trust,
Ser 2018-2A, Cl A1
3.479%, 04/25/58 (A) (C)

  1,317,035      1,345,222 

FirstKey Mortgage Trust,
Ser 2015-1, Cl A3
3.500%, 03/25/45 (A) (C)

  2,156,252      2,203,051 

JPMorgan Mortgage Trust,
Ser 2016-4, Cl A3
3.500%, 10/25/46 (A) (C)

  857,916      872,482 

JPMorgan Mortgage Trust,
Ser 2017-1, Cl A3
3.500%, 01/25/47 (A) (C)

  479,001      480,189 

JPMorgan Mortgage Trust,
Ser 2019-1, Cl A3
4.000%, 05/25/49 (A) (C)

  2,217,373      2,275,174 

Sequoia Mortgage Trust,
Ser 2013-4, Cl AIO1, IO
0.887%, 04/25/43 (A) (C)

  106,398,177      2,124,176 

Sequoia Mortgage Trust,
Ser 2017-2, Cl A4
3.500%, 02/25/47 (A) (C)

  963,716      969,553 

Sequoia Mortgage Trust,
Ser 2017-6, Cl A4
3.500%, 09/25/47 (A) (C)

  790,031      791,470 
Description Face Amount     

Value

 

Sequoia Mortgage Trust,
Ser 2017-CH1, Cl A2
3.500%, 08/25/47 (A) (C)

 $793,236     $812,585 

Sequoia Mortgage Trust,
Ser 2018-3, Cl A4
3.500%, 03/25/48 (A) (C)

  699,754      700,535 

Sequoia Mortgage Trust,
Ser 2018-CH4, Cl A2
4.000%, 10/25/48 (A) (C)

  1,373,858      1,404,083 

Sequoia Mortgage Trust,
Ser 2019-CH1, Cl A1
4.500%, 03/25/49 (A) (C)

  1,842,355      1,890,267 

Wells Fargo Mortgage Backed Securities Trust,
Ser 2019-1, Cl A1
4.000%, 11/25/48 (A) (C)

  3,161,874      3,229,410 

Wells Fargo Mortgage Backed Securities Trust,
Ser 2019-2, Cl A1
4.000%, 04/25/49 (A) (C)

  2,565,434      2,614,825 

Wells Fargo Mortgage Backed Securities Trust,
Ser 2019-3, Cl A1
3.500%, 07/25/49 (A) (C)

  4,106,090      4,219,005 

Wells Fargo Mortgage Backed Securities Trust,
Ser 2020-1, Cl A1
3.000%, 12/25/49 (A) (C)

  7,330,234      7,497,166 

Wells Fargo Mortgage Backed Securities Trust,
Ser 2020-4, Cl A2
2.500%, 07/25/50 (A) (C)

  1,609,702      1,656,808 

Wells Fargo Mortgage Backed Securities,
Ser 2018-1, Cl A7
3.500%, 07/25/47 (A) (C)

  241,451      241,383 

WinWater Mortgage Loan Trust,
Ser 2014-1, Cl A1
3.847%, 06/20/44 (A) (C)

  1,436,482      1,484,561 

WinWater Mortgage Loan Trust,
Ser 2014-2, Cl A1
4.000%, 09/20/44 (A) (C)

  531,433      552,956 

WinWater Mortgage Loan Trust,
Ser 2014-3, Cl A3
3.500%, 11/20/44 (A) (C)

  1,069,225      1,108,553 

WinWater Mortgage Loan Trust,
Ser 2015-2, Cl A11
3.500%, 02/20/45 (A) (C)

  1,471,021      1,525,311 

WinWater Mortgage Loan Trust,
Ser 2015-3, Cl A3
3.500%, 03/20/45 (A) (C)

  1,699,190      1,736,931 
     

 

 

 
      70,075,565 
     

 

 

 

Total Mortgage-Backed Securities
(Cost $620,590,367)

      584,355,497 
     

 

 

 
 

 

The accompanying notes are an integral part of the financial statements.

 

11


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

U.S. TREASURY OBLIGATIONS — 18.1%

 

U.S. Treasury Bonds
1.375%, 11/15/40

 $30,000,000     $28,514,062 

1.250%, 05/15/50

  25,000,000      21,539,062 

U.S. Treasury Inflationary Protection Securities
1.000%, 02/15/46 to 02/15/48

  17,142,420      23,297,588 

0.875%, 01/15/29

  30,918,000      36,513,031 

U.S. Treasury Notes
2.875%, 05/15/28

  200,000,000      229,320,312 

2.375%, 05/15/29

  17,000,000      18,961,641 

1.500%, 08/15/26

  15,000,000      15,783,398 

0.875%, 11/15/30

  15,000,000      14,697,656 

0.125%, 08/31/22 to 11/30/22

  141,000,000      141,023,165 

0.120%, VAR US Treasury
3 Month Bill Money Market
Yield+0.055%, 10/31/22

  30,000,000      30,009,430 
     

 

 

 

Total U.S. Treasury Obligations
(Cost $518,827,960)

      559,659,345 
     

 

 

 

ASSET-BACKED SECURITIES — 17.5%

 

Automotive — 13.5%

 

American Credit Acceptance
Receivables Trust,
Ser 2017-3, Cl E
5.170%, 06/10/24 (A)

  2,180,000      2,186,793 

American Credit Acceptance
Receivables Trust,
Ser 2018-3, Cl F
6.440%, 06/12/25 (A)

  4,000,000      4,232,043 

American Credit Acceptance
Receivables Trust,
Ser 2018-4, Cl D
4.400%, 01/13/25 (A)

  12,605,000      13,058,271 

American Credit Acceptance
Receivables Trust,
Ser 2019-3, Cl C
2.760%, 09/12/25 (A)

  6,500,000      6,615,269 

American Credit Acceptance
Receivables Trust,
Ser 2020-1, Cl D
2.390%, 03/13/26 (A)

  2,000,000      2,056,875 

American Credit Acceptance
Receivables Trust,
Ser 2020-2, Cl E
7.600%, 02/16/27 (A)

  13,750,000      15,536,704 

American Credit Acceptance
Receivables Trust,
Ser 2020-3, Cl D
2.400%, 06/15/26 (A)

  6,500,000      6,744,696 

American Credit Acceptance
Receivables Trust,
Ser 2020-4, Cl E
3.650%, 12/14/26 (A)

  4,000,000      4,186,172 

AmeriCredit Automobile
Receivables Trust,
Ser 2017-2, Cl D
3.420%, 04/18/23

  8,570,000      8,783,690 
Description Face Amount     

Value

 

Avid Automobile Receivables Trust,
Ser 2019-1, Cl D
4.030%, 07/15/26 (A)

 $1,300,000     $1,324,029 

Benefit Street Partners CLO IV,
Ser 2021- IVA, Cl A2AR %,
VAR ICE LIBOR USD
3 Month+1.550%, 01/20/32 (A)

  8,750,000      8,750,000 

Canadian Pacer Auto Receivables
Trust,
Ser 2019-1A, Cl A4
2.960%, 06/19/24 (A)

  5,000,000      5,215,822 

CarMax Auto Owner Trust,
Ser 2017-3, Cl D
3.460%, 10/16/23

  250,000      253,697 

CarMax Auto Owner Trust,
Ser 2018-1, Cl D
3.370%, 07/15/24

  1,485,000      1,541,887 

Carmax Auto Owner Trust,
Ser 2018-4, Cl D
4.150%, 04/15/25

  1,000,000      1,054,545 

Carnow Auto Receivables Trust,
Ser 2019-1A, Cl A
2.720%, 11/15/22 (A)

  3,296,749      3,314,678 

Carvana Auto Receivables Trust,
Ser 2019-1A, Cl E
5.640%, 01/15/26 (A)

  8,000,000      8,561,037 

Carvana Auto Receivables Trust,
Ser 2019-2A, Cl B
2.740%, 12/15/23 (A)

  9,000,000      9,131,227 

Carvana Auto Receivables Trust,
Ser 2019-3A, Cl E
4.600%, 07/15/26 (A)

  5,000,000      5,260,235 

Carvana Auto Receivables Trust,
Ser 2019-4A, Cl E
4.700%, 10/15/26 (A)

  6,000,000      6,409,926 

CF Hippolyta,
Ser 2020-1, Cl A2
1.990%, 07/15/60 (A)

  5,697,478      5,753,716 

CPS Auto Receivables Trust,
Ser 2016-A, Cl F
7.650%, 03/15/23 (A)

  10,540,000      10,561,814 

CPS Auto Receivables Trust,
Ser 2016-B, Cl E
8.140%, 05/15/23 (A)

  6,500,000      6,609,287 

CPS Auto Receivables Trust,
Ser 2016-D, Cl E
6.860%, 04/15/24 (A)

  8,000,000      8,142,660 

CPS Auto Receivables Trust,
Ser 2017-B, Cl D
3.950%, 03/15/23 (A)

  1,763,296      1,771,903 

CPS Auto Receivables Trust,
Ser 2019-B, Cl F
7.480%, 06/15/26 (A)

  6,055,000      6,319,781 
 

 

The accompanying notes are an integral part of the financial statements.

 

12


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

CPS Auto Receivables Trust,
Ser 2019-D, Cl D
2.720%, 09/15/25 (A)

 $3,000,000     $3,077,526 

CPS Auto Receivables Trust,
Ser 2019-D, Cl E
3.860%, 10/15/25 (A)

  6,000,000      6,287,552 

DT Auto Owner Trust,
Ser 2018-3A, Cl D
4.190%, 07/15/24 (A)

  10,000,000      10,399,288 

DT Auto Owner Trust,
Ser 2020-1A, Cl E
3.480%, 02/16/27 (A)

  4,500,000      4,669,853 

DT Auto Owner Trust,
Ser 2020-3A, Cl D
1.840%, 06/15/26 (A)

  2,000,000      2,037,669 

DT Auto Owner Trust,
Ser 2021-1A, Cl E
2.380%, 01/18/28 (A)

  1,000,000      998,839 

Exeter Automobile Receivables Trust,
Ser 2018-1A, Cl D
3.530%, 11/15/23 (A)

  5,500,000      5,649,159 

Exeter Automobile Receivables Trust,
Ser 2019-3A, Cl C
2.790%, 05/15/24 (A)

  7,000,000      7,148,673 

Exeter Automobile Receivables Trust,
Ser 2020-1A, Cl D
2.730%, 12/15/25 (A)

  2,500,000      2,596,570 

First Investors Auto Owner Trust,
Ser 2019-1A, Cl D
3.550%, 04/15/25 (A)

  1,700,000      1,770,357 

First Investors Auto Owner Trust,
Ser 2020-1A, Cl D
3.150%, 04/15/26 (A)

  4,000,000      4,145,664 

First Investors Auto Owner Trust,
Ser 2020-1A, Cl E
4.630%, 06/16/26 (A)

  5,510,000      5,869,628 

First Investors Auto Owner Trust,
Ser 2020-1A, Cl F
7.070%, 06/15/27 (A)

  5,300,000      5,924,392 

Flagship Credit Auto Trust,
Ser 2017-4, Cl C
2.920%, 11/15/23 (A)

  4,466,000      4,520,391 

Flagship Credit Auto Trust,
Ser 2018-3, Cl D
4.150%, 12/16/24 (A)

  568,000      600,219 

Flagship Credit Auto Trust,
Ser 2019-2, Cl D
3.530%, 05/15/25 (A)

  5,190,000      5,478,707 

Flagship Credit Auto Trust,
Ser 2020-1, Cl E
3.520%, 06/15/27 (A)

  7,931,000      8,236,094 
Description Face Amount     

Value

 

Flagship Credit Auto Trust,
Ser 2020-2, Cl E
8.220%, 09/15/27 (A)

 $8,000,000     $9,554,934 

Foursight Capital Automobile
Receivables Trust,
Ser 2017-1, Cl C
3.470%, 12/15/22 (A)

  2,200,000      2,207,478 

Foursight Capital Automobile
Receivables Trust,
Ser 2018-2, Cl D
4.330%, 07/15/24 (A)

  4,650,000      4,879,155 

Foursight Capital Automobile
Receivables Trust,
Ser 2020-1, Cl E
3.490%, 04/15/26 (A)

  1,300,000      1,319,674 

Global SC Finance VII Srl,
Ser 2020-1A, Cl A
2.170%, 10/17/40 (A)

  3,860,321      3,909,930 

GLS Auto Receivables Issuer Trust,
Ser 2019-3A, Cl D
3.840%, 05/15/26 (A)

  6,000,000      6,245,357 

GLS Auto Receivables Issuer Trust,
Ser 2020-1A, Cl D
3.680%, 11/16/26 (A)

  5,000,000      5,194,949 

GLS Auto Receivables Issuer Trust,
Ser 2020-4A, Cl E
3.510%, 10/15/27 (A)

  650,000      678,593 

Marlette Funding Trust,
Ser 2020-1A, Cl D
3.540%, 03/15/30 (A)

  1,500,000      1,560,257 

Master Credit Card Trust II,
Ser 2019-2A, Cl B
2.390%, 01/21/23 (A)

  5,582,000      5,626,284 

Master Credit Card Trust II,
Ser 2019-2A, Cl C
2.830%, 01/21/23 (A)

  1,509,000      1,521,947 

Master Credit Card Trust II,
Ser 2020-1A, Cl C
2.590%, 09/21/24 (A)

  2,000,000      2,069,277 

MelTel Land Funding,
Ser 2019-1A, Cl B
4.701%, 04/15/49 (A)

  1,300,000      1,350,550 

Mosaic Solar Loan Trust,
Ser 2020-2A, Cl B
2.210%, 08/20/46 (A)

  4,799,933      4,842,758 

Octane Receivables Trust,
Ser 2019-1A, Cl A
3.160%, 09/20/23 (A)

  3,890,973      3,940,559 

OHA Credit Funding 7,
Ser 2020-7A, Cl A
1.475%, VAR ICE LIBOR USD 3 Month+1.250%, 10/19/32 (A)

  17,000,000      17,008,993 

OHA Credit Funding 7,
Ser 2020-7A, Cl E
7.475%, VAR ICE LIBOR USD
3 Month+7.250%, 10/19/32 (A)

  2,500,000      2,485,662 
 

 

The accompanying notes are an integral part of the financial statements.

 

13


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

Orange Lake Timeshare Trust,
Ser 2019-A, Cl D
4.930%, 04/09/38 (A)

 $482,816     $490,486 

OSCAR US Funding Trust V,
Ser 2016-2A, Cl A4
2.990%, 12/15/23 (A)

  3,527,228      3,542,030 

Pawnee Equipment Receivables Series,
Ser 2019-1, Cl D
2.860%, 10/15/24 (A)

  5,500,000      5,389,827 

Pawnee Equipment Receivables Series,
Ser 2020-1, Cl A
1.370%, 11/17/25 (A)

  2,474,921      2,483,872 

Prestige Auto Receivables Trust,
Ser 2019-1A, Cl C
2.700%, 10/15/24 (A)

  6,095,000      6,266,667 

Pretium Mortgage Credit Partners I,
Ser 2020-NPL1, Cl A2
3.967%, 05/27/59 (A)

  7,000,000      6,893,656 

RCO V Mortgage,
Ser 2019-2, Cl A1
3.475%, 11/25/24 (A)

  8,089,185      8,109,363 

Santander Consumer Auto Receivables Trust,
Ser 2020-AA, Cl E
7.690%, 05/15/26 (A)

  9,006,000      10,270,945 

Santander Consumer Auto
Receivables Trust,
Ser 2020-AA, Cl F
10.120%, 01/16/29 (A)

  27,740,000      31,227,573 

Santander Consumer Auto
Receivables Trust,
Ser 2020-BA, Cl F
7.030%, 08/15/28 (A)

  6,250,000      6,746,586 

Santander Consumer Auto
Receivables Trust,
Ser 2021-AA, Cl E
3.280%, 03/15/27 (A)

  1,000,000      1,003,718 

SFS Asset Securitization,
Ser 2019-1, Cl A
4.238%, 06/10/25 (A)

  11,000,000      11,019,059 

Skopos Auto Receivables Trust,
Ser 2019-1A, Cl C
3.630%, 09/16/24 (A)

  2,300,000      2,359,065 

Textainer Marine Containers VIII,
Ser 2020-2A, Cl B
3.340%, 09/20/45 (A)

  1,937,961      1,957,163 

United Auto Credit Securitization Trust,
Ser 2020-1, Cl F
9.080%, 01/12/26 (A)

  3,680,000      3,977,055 

VR Funding,
Ser 2020-1A, Cl C
6.420%, 11/15/50 (A)

  7,798,000      7,701,429 
     

 

 

 
      416,622,189 
     

 

 

 
Description Face Amount     

Value

 

Other Asset-Backed Securities — 3.2%

 

321 Henderson Receivables I,
Ser 2010-2A, Cl B
7.450%, 01/15/50 (A)

 $1,870,122     $2,077,131 

321 Henderson Receivables I,
Ser 2012-1A, Cl B
7.140%, 02/15/67 (A)

  650,478      825,533 

321 Henderson Receivables I,
Ser 2012-2A, Cl B
6.770%, 10/17/61 (A)

  1,747,241      2,168,253 

BCC Funding XVI,
Ser 2019-1A, Cl B
2.640%, 09/20/24 (A)

  6,000,000      6,076,902 

BCC Funding XVI,
Ser 2019-1A, Cl C
2.950%, 09/20/24 (A)

  500,000      504,877 

Business Jet Securities,
Ser 2018-2, Cl A
4.447%, 06/15/33 (A)

  3,880,497      3,968,450 

Business Jet Securities,
Ser 2018-2, Cl C
6.656%, 06/15/33 (A)

  1,159,429      1,165,324 

BX Commercial Mortgage Trust,
Ser 2020- VIV3, Cl B
3.544%, 03/09/44 (A) (C)

  8,000,000      8,744,628 

BXMT,
Ser 2020-FL2, Cl A
1.027%, VAR ICE LIBOR USD
1 Month+0.900%, 02/16/37 (A)

  13,000,000      12,983,750 

CAL Funding IV,
Ser 2020-1A, Cl B
3.500%, 09/25/45 (A)

  1,651,833      1,671,076 

CFG Investments,
Ser 2019-1, Cl A
5.560%, 08/15/29 (A)

  7,800,000      7,829,348 

Credibly Asset Securitization,
Ser 2018-1A, Cl A
4.800%, 11/15/23 (A)

  6,000,000      6,011,201 

Credibly Asset Securitization,
Ser 2018-1A, Cl C
6.760%, 11/15/23 (A)(D)

  5,201,000      756,225 

Diamond Resorts Owner Trust,
Ser 2019-1A, Cl A
2.890%, 02/20/32 (A)

  2,936,299      3,050,693 

Harley Marine Financing,
Ser 2018-1A, Cl A2
5.682%, 05/15/43 (A)

  10,424,989      9,472,551 

Harley Marine Financing,
Ser 2018-1A, Cl B
7.869%, 05/15/43 (A)(D)

  6,000,000      5,021,766 

Harvest SBA Loan Trust,
Ser 2018-1, Cl A
2.380%, VAR ICE LIBOR USD
1 Month+2.250%, 08/25/44 (A)

  4,470,973      4,327,473 
 

 

The accompanying notes are an integral part of the financial statements.

 

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FROST TOTAL RETURN BOND FUND  

 

Description Face Amount     

Value

 

Orange Lake Timeshare Trust,
Ser 2019-A, Cl C
3.610%, 04/09/38 (A)

 $2,926,125     $3,038,364 

Pawnee Equipment Receivables Series,
Ser 2019-1, Cl E
3.800%, 01/15/26 (A)

  2,500,000      2,429,168 

PRPM,
Ser 2019-4A, Cl A1
3.351%, 11/25/24 (A)

  1,656,569      1,663,982 

Sapphire Aviation Finance I,
Ser 2018-1A, Cl B
5.926%, 03/15/40 (A)

  2,011,922      1,832,127 

Stack Infrastructure Issuer Series,
Ser 2019-1A, Cl A2
4.540%, 02/25/44 (A)

  3,531,000      3,766,454 

Trip Rail Master Funding,
Ser 2011-1A, Cl A2
6.024%, 07/15/41 (A)

  2,995,483      3,044,518 

Triton Container Finance VIII,
Ser 2020-1A, Cl B
3.740%, 09/20/45 (A)

  971,667      996,222 

Vericrest Opportunity Loan Trust,
Ser 2020-NPL6, Cl A1A
3.967%, 04/25/50 (A)

  5,548,349      5,578,776 
     

 

 

 
      99,004,792 
     

 

 

 

Student Loan — 0.8%

     

Brazos Student Finance,
Ser 2009-1, Cl B
2.751%, VAR ICE LIBOR USD
3 Month+2.500%, 12/27/39

  5,000,000      5,203,870 

College Ave Student Loans,
Ser 2018-A, Cl A1
1.330%, VAR ICE LIBOR USD
1 Month+1.200%, 12/26/47 (A)

  2,685,848      2,701,380 

Commonbond Student Loan Trust, Ser 2017-AGS, Cl A1
2.550%, 05/25/41 (A)

  2,878,936      2,957,861 

Nelnet Student Loan Trust,
Ser 2013-3A, Cl B
1.630%, VAR ICE LIBOR USD
1 Month+1.500%, 07/25/47 (A)

  10,000,000      9,847,768 

SLM Student Loan Trust,
Ser 2012-7, Cl B
1.930%, VAR ICE LIBOR USD
1 Month+1.800%, 09/25/43

  5,000,000      4,935,854 
     

 

 

 
      25,646,733 
     

 

 

 

Total Asset-Backed Securities
(Cost $522,696,023)

      541,273,714 
     

 

 

 

MUNICIPAL BONDS — 2.2%

     

Calhoun County Navigation Industrial Development Authority, RB(A)
Callable 03/01/21 @ 100 10.500%, 07/27/21(E)

  10,000,000      10,000,600 
Description Face Amount     

Value

 

Dallas County Schools, Taxable Public Property Finance, GO
3.450%, 06/01/22

 $806,474     $770,183 

3.200%, 06/01/21

  804,988      768,764 

Dallas County, Schools Tax, GO 4.000%, 06/01/19

  784,793      776,945 

3.000%, 06/01/19

  476,529      471,764 

GDB Debt Recovery Authority of Puerto Rico, RB
7.500%, 08/20/40

  8,264,850      6,622,211 

Mission, Economic Development, RB(B)
Callable 03/08/21 @ 300 10.875%, 12/01/28(D)

  3,315,000      33,150 

9.750%, 12/01/25(D)

  3,045,000      30,450 

8.550%, 12/01/21(D)

  2,125,000      1,168,750 

Northwest Independent School District, Ser A, GO, PSF-GTD Callable 02/15/30 @ 200
1.776%, 02/15/31

  2,000,000      2,082,700 

1.836%, 02/15/32

  1,890,000      1,962,500 

Rhode Island State, Health & Educational System, Providence Public Schools, Ser A, RB, CITY APPROP ST AID WITHHLDG Callable 03/08/21 @ 100
8.000%, 05/15/29

  5,000,000      5,017,900 

San Juan, Higher Education Finance Authority,
RB Callable 03/08/21 @ 100
8.250%, 08/15/29

  4,400,000      4,418,084 

State of Illinois,
Ser A, GO
3.140%, 10/01/24

  18,170,000      18,247,223 

Texas State, Public Finance Authority Charter School, Charter Education New Frontiers, Ser Q, RB
Callable 03/08/21 @ 100
8.750%, 08/15/27

  955,000      955,401 

Texas State, Public Finance Authority Charter School,
Ser 2010-Q, RB
8.125%, 02/15/27

  1,900,000      2,381,346 

Texas State, Transportation Commission State Highway Fund, RB
4.000%, 10/01/33

  3,000,000      3,780,810 

Texas State, Transportation Commission State Highway Fund,
Ser B-BUILD, RB
5.178%, 04/01/30

  3,980,000      5,070,918 
 

 

The accompanying notes are an integral part of the financial statements.

 

15


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FROST TOTAL RETURN BOND FUND  

 

Description Face Amount/
Shares
     

Value

 

University of Texas, Build America Bonds,
Ser D, RB
5.134%, 08/15/42

 $3,000,000     $4,158,030 
     

 

 

 

Total Municipal Bonds
(Cost $73,230,807)

      68,717,729 
     

 

 

 

SOVEREIGN DEBT — 1.2%

     

Argentine Republic Government International Bond
1.125%, 07/09/35

  8,925,940      3,050,529 

1.000%, 07/09/29

  717,588      297,799 

0.500%, 07/09/30

  5,141,000      1,967,769 

Kenya Government International Bond
7.250%, 02/28/28 to 02/28/28 (A)

  4,000,000      4,467,432 

Oman Government International Bond
6.500%, 03/08/47 (A)

  15,000,000      14,610,300 

Province of British Columbia Canada
1.300%, 01/29/31

  8,000,000      7,983,058 

Provincia de Buenos Aires
7.875%, 06/15/27 (A)(B)

  300,000      111,375 

Turkey Government International Bond
6.125%, 10/24/28

  5,000,000      5,310,520 
     

 

 

 

Total Sovereign Debt
(Cost $36,914,984)

      37,798,782 
     

 

 

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8%

 

FFCB
2.920%, 04/29/26

  5,635,000      5,813,277 

2.070%, 12/21/40

  5,000,000      4,978,610 

FHLB
2.200%, 06/28/24

  15,000,000      15,108,092 
     

 

 

 

Total U.S. Government Agency Obligations
(Cost $25,635,000)

 

     25,899,979 
     

 

 

 

COMMON STOCK — 0.0%

 

Energy — 0.0%

 

Seadrill Ltd.*

  39,323      10,287 

Seadrill New Finance Ltd.*

  206,695      56,466 
     

 

 

 

Total Common Stock
(Cost $536,742)

      66,753 
     

 

 

 

Total Investments — 98.7%
(Cost $3,096,302,698)

     $3,057,850,510 
     

 

 

 

Percentages are based on Net Assets of $3,099,006,722.

 

*

Non-income producing security.

Real Estate Investment Trust

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of

 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at January 31, 2021 was $1,693,072,825 and represents 54.6% of Net Assets.
(B)

Security in default on interest payments.

(C)

Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(D)

Level 3 security in accordance with fair value hierarchy.

(E)

Variable or floating rate security, the interest rate of which adjusts periodically based prevailing interest rates.

Cl — Class

CLO — Collateralized Loan Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

IO — Interest Only—face amount represents notional amount

MTN — Medium Term Note

PSF-GTD — Texas Public School Fund Guarantee

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

USD — U.S. Dollar

The following is a list of the level of inputs used as of January 31, 2021 in valuing the Fund’s investments carried at value:

 

Investments in
Securities
 Level 1  Level 2  Level 3(1)  Total 

Corporate
Obligations

 $  $646,866,154  $  $646,866,154 

Collateralized Loan Obligations

     593,212,557      593,212,557 

Mortgage-Backed Securities

     584,355,497      584,355,497 

U.S. Treasury Obligations

  559,659,345         559,659,345 

Asset-Backed
Securities

     535,495,723   5,777,991   541,273,714 

Municipal Bonds

     67,485,379   1,232,350   68,717,729 

Sovereign Debt

     37,798,782      37,798,782 

U.S. Government Agency
Obligations

     25,899,979      25,899,979 

Common Stock

  66,753         66,753 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Investments in Securities

 $559,726,098  $2,491,114,071  $7,010,341  $3,057,850,510 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

(1)

A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets.

For the period ended January 31, 2021, there have been no transfers in or out of Level 3.

Amounts designated as “—” are $0 or have been rounded to $0.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

 

The accompanying notes are an integral part of the financial statements.

 

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FROST CREDIT FUND  

 

SECTOR WEIGHTINGS†

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount         
Value
 

CORPORATE OBLIGATIONS — 38.9%

 

Communication Services — 5.6%

 

ANGI Group
3.875%, 08/15/28 (A)

  $1,000,000     $996,250 

LCPR Senior Secured Financing DAC
6.750%, 10/15/27 (A)

   1,000,000      1,077,780 

Photo Holdings Merger Sub
8.500%, 10/01/26 (A)

   1,500,000      1,582,500 

Sprint
7.875%, 09/15/23

   1,500,000      1,732,500 

Twitter
3.875%, 12/15/27 (A)

   2,000,000      2,104,920 

ViacomCBS
5.850%, 09/01/43

   2,000,000      2,713,193 
      

 

 

 
       10,207,143 
      

 

 

 

Consumer Discretionary — 16.4%

 

Beazer Homes USA
7.250%, 10/15/29 (A)

   1,000,000      1,122,500 

Block Financial
3.875%, 08/15/30

   2,000,000      2,134,660 

Choice Hotels International
3.700%, 12/01/29

   2,000,000      2,177,540 

Dillard’s
7.000%, 12/01/28

   500,000      544,984 

Expedia
3.800%, 02/15/28

   2,000,000      2,130,105 

Expedia Group
7.000%, 05/01/25 (A)

   500,000      547,347 

Ford Motor Credit
3.087%, 01/09/23

   1,000,000      1,011,050 

GameStop
10.000%, 03/15/23 (A)

   500,000      522,187 

Jaguar Land Rover Automotive
4.500%, 10/01/27 (A)

   2,000,000      1,940,465 

Macy’s
8.375%, 06/15/25 (A)

   500,000      553,750 
Description  Face Amount         
Value
 

Marriott International
3.500%, 10/15/32

  $2,000,000     $2,119,538 

Mohawk Industries
3.625%, 05/15/30

   2,000,000      2,234,125 

Mohegan Gaming & Entertainment
8.000%, 02/01/26 (A)

   1,000,000      1,000,880 

QVC
5.450%, 08/15/34

   1,000,000      1,065,000 

4.850%, 04/01/24

   500,000      543,125 

4.750%, 02/15/27

   1,000,000      1,072,125 

Scientific Games International
8.625%, 07/01/25 (A)

   2,000,000      2,162,500 

STL Holding
7.500%, 02/15/26 (A)

   1,500,000      1,560,000 

Under Armour
3.250%, 06/15/26

   2,000,000      2,004,570 

VistaJet Malta Finance
10.500%, 06/01/24 (A)

   2,000,000      2,045,000 

Whirlpool
4.600%, 05/15/50

   1,000,000      1,252,776 
      

 

 

 
       29,744,227 
      

 

 

 

Energy — 0.8%

 

Murphy Oil
6.875%, 08/15/24

   500,000      488,750 

5.750%, 08/15/25

   1,000,000      961,460 
      

 

 

 
       1,450,210 
      

 

 

 

Financials — 3.6%

      

Athene Holding
6.150%, 04/03/30

   500,000      622,039 

Deutsche Bank MTN
4.296%, VAR USD Swap Semi 30/360 5 Yr Curr+2.248%, 05/24/28

   500,000      512,984 

HSBC Holdings
6.500%, 09/15/37

   1,500,000      2,137,071 

Springleaf Finance
5.375%, 11/15/29

   500,000      550,000 

UBS
5.125%, 05/15/24

   1,500,000      1,658,430 

Westpac Banking
2.894%, VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+1.350%, 02/04/30

   1,000,000      1,047,821 
      

 

 

 
       6,528,345 
      

 

 

 

Industrials — 8.7%

      

Boeing
5.150%, 05/01/30

   500,000      593,053 

Brundage-Bone Concrete Pumping Holdings
6.000%, 02/01/26 (A)

   1,000,000      1,017,500 

Builders FirstSource
6.750%, 06/01/27 (A)

   1,000,000      1,076,250 
 

 

The accompanying notes are an integral part of the financial statements.

 

17


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FROST CREDIT FUND  

 

Description  Face Amount         
Value
 

Flowserve
3.500%, 10/01/30

  $1,000,000     $1,064,297 

General Electric MTN
6.150%, 08/07/37

   945,000      1,274,308 

Great Lakes Dredge & Dock
8.000%, 05/15/22

   2,010,000      2,042,662 

Masco
7.750%, 08/01/29

   1,088,000      1,499,082 

Owens Corning
3.950%, 08/15/29

   2,000,000      2,306,015 

Southwest Airlines
3.450%, 11/16/27

   2,500,000      2,712,406 

Teekay
9.250%, 11/15/22 (A)

   2,080,000      2,100,800 
      

 

 

 
       15,686,373 
      

 

 

 

Information Technology — 3.2%

 

    

Castle US Holding
9.500%, 02/15/28 (A)

   1,000,000      1,026,610 

Diebold Nixdorf
9.375%, 07/15/25 (A)

   500,000      553,125 

8.500%, 04/15/24

   2,000,000      2,040,000 

Shift4 Payments
4.625%, 11/01/26 (A)

   1,000,000      1,042,500 

VeriSign
4.750%, 07/15/27

   1,000,000      1,062,590 
      

 

 

 
       5,724,825 
      

 

 

 

Materials — 0.6%

      

NOVA Chemicals
4.875%, 06/01/24 (A)

   1,000,000      1,025,000 
      

 

 

 

Total Corporate Obligations
(Cost $65,399,136)

       70,366,123 
      

 

 

 

COLLATERALIZED LOAN OBLIGATIONS — 32.5%

 

Automotive — 32.5%

      

BCC Middle Market,
Ser 2018-1A, Cl B
3.224%, VAR ICE LIBOR USD 3 Month+3.000%, 10/20/30 (A)

   1,000,000      992,492 

Benefit Street Partners III,
Ser 2017-IIIA, Cl CR
4.124%, VAR ICE LIBOR USD
3 Month+3.900%, 07/20/29 (A)

   2,000,000      1,999,776 

Benefit Street Partners III,
Ser 2017-IIIA, Cl DR
6.824%, VAR ICE LIBOR USD
3 Month+6.600%, 07/20/29 (A)

   2,500,000      2,258,475 

Benefit Street Partners IV,
Ser 2016-IVA, Cl DR
7.474%, VAR ICE LIBOR USD
3 Month+7.250%, 01/20/29 (A)

   3,000,000      2,786,883 

Carlyle Global Market Strategies,
Ser 2018-1A, Cl CR2
2.023%, VAR ICE LIBOR USD
3 Month+1.800%, 04/17/31 (A)

   1,250,000      1,193,141 
Description  Face Amount         
Value
 

CARLYLE US,
Ser 2018-1A, Cl B
2.074%, VAR ICE LIBOR USD
3 Month+1.850%, 04/20/31 (A)

  $2,000,000     $1,938,238 

Chenango Park,
Ser 2018-1A, Cl B
2.091%, VAR ICE LIBOR USD
3 Month+1.850%, 04/15/30 (A)

   1,000,000      1,000,345 

CIFC Funding,
Ser 2018-1A, Cl C
1.973%, VAR ICE LIBOR USD
3 Month+1.750%, 04/18/31 (A)

   500,000      497,312 

Fortress Credit Opportunities IX,
Ser 2017-9A, Cl C
2.871%, VAR ICE LIBOR USD
3 Month+2.650%, 11/15/29 (A)

   1,400,000      1,392,327 

Galaxy XXIX,
Ser 2018-29A, Cl D
2.621%, VAR ICE LIBOR USD
3 Month+2.400%, 11/15/26 (A)

   500,000      499,952 

Golub Capital Partners,
Ser 2017-17A, Cl BR
3.115%, VAR ICE LIBOR USD
3 Month+2.900%, 10/25/30 (A)

   1,500,000      1,482,135 

Golub Capital Partners,
Ser 2017-19RA, Cl B
2.765%, VAR ICE LIBOR USD
3 Month+2.550%, 07/26/29 (A)

   2,000,000      2,007,840 

Golub Capital Partners,
Ser 2017-21A, Cl CR
2.665%, VAR ICE LIBOR USD
3 Month+2.450%, 01/25/31 (A)

   3,000,000      2,912,709 

Golub Capital Partners,
Ser 2017-22A, Cl CR
2.074%, VAR ICE LIBOR USD
3 Month+1.850%, 01/20/31 (A)

   1,500,000      1,451,829 

Golub Capital Partners,
Ser 2017-23A, Cl BR
1.774%, VAR ICE LIBOR USD
3 Month+1.550%, 01/20/31 (A)

   1,000,000      1,007,567 

Golub Capital Partners,
Ser 2017-23A, Cl CR
2.024%, VAR ICE LIBOR USD
3 Month+1.800%, 01/20/31 (A)

   2,000,000      1,919,736 

Golub Capital Partners,
Ser 2017-24A, Cl DR
4.125%, VAR ICE LIBOR USD
3 Month+3.900%, 11/05/29 (A)

   2,000,000      1,969,964 

Golub Capital Partners,
Ser 2018-26A, Cl BR
1.774%, VAR ICE LIBOR USD
3 Month+1.550%, 04/20/31 (A)

   1,000,000      992,871 

Golub Capital Partners,
Ser 2018-36A, Cl B
1.845%, VAR ICE LIBOR USD
3 Month+1.650%, 02/05/31 (A)

   2,000,000      1,944,604 
 

 

The accompanying notes are an integral part of the financial statements.

 

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FROST CREDIT FUND  

 

Description  Face Amount         
Value
 

Golub Capital Partners,
Ser 2018-36A, Cl C
2.295%, VAR ICE LIBOR USD
3 Month+2.100%, 02/05/31 (A)

  $1,500,000     $1,440,010 

Jay Park,
Ser 2018-1A, Cl BR
2.224%, VAR ICE LIBOR USD
3 Month+2.000%, 10/20/27 (A)

   1,000,000      1,004,235 

LCM XXII,
Ser 2018-22A, Cl BR
2.224%, VAR ICE LIBOR USD
3 Month+2.000%, 10/20/28 (A)

   1,500,000      1,486,761 

Madison Park Funding XII,
Ser 2014-12A, Cl D
3.724%, VAR ICE LIBOR USD
3 Month+3.500%, 07/20/26 (A)

   3,000,000      2,991,867 

MCF IV,
Ser 2017-1A, Cl CR
2.874%, VAR ICE LIBOR USD
3 Month+2.650%, 10/20/29 (A)

   1,000,000      984,815 

MCF VIII,
Ser 2018-1A, Cl B
1.973%, VAR ICE LIBOR USD
3 Month+1.750%, 07/18/30 (A)

   3,000,000      2,899,530 

Northwoods Capital XV,
Ser 2017-15A, Cl C
2.889%, VAR ICE LIBOR USD
3 Month+2.650%, 06/20/29 (A)

   1,000,000      993,117 

OZLM Funding IV,
Ser 2017-4A, Cl BR
2.422%, VAR ICE LIBOR USD
3 Month+2.200%, 10/22/30 (A)

   2,000,000      1,993,900 

OZLM XVI,
Ser 2017-16A, Cl B
2.771%, VAR ICE LIBOR USD
3 Month+2.550%, 05/16/30 (A)

   1,000,000      997,630 

Race Point IX,
Ser 2017-9A, Cl BR
2.391%, VAR ICE LIBOR USD
3 Month+2.150%, 10/15/30 (A)

   4,000,000      3,924,604 

Race Point IX,
Ser 2017-9A, Cl DR
7.141%, VAR ICE LIBOR USD
3 Month+6.900%, 10/15/30 (A)

   2,000,000      1,989,570 

Sudbury Mill,
Ser 2013-1A, Cl E
4.973%, VAR ICE LIBOR USD
3 Month+4.750%, 01/17/26 (A)

   4,700,000      3,744,866 

TCI-Symphony,
Ser 2018-1A, Cl BR
1.874%, VAR ICE LIBOR USD
3 Month+1.650%, 10/13/29 (A)

   2,000,000      2,001,774 

Thayer Park,
Ser 2017-1A, Cl D
6.324%, VAR ICE LIBOR USD
3 Month+6.100%, 04/20/29 (A)

   1,000,000      989,970 
Description  Face Amount         
Value
 

Zais Clo 6,
Ser 2017-1A, Cl C
3.041%, VAR ICE LIBOR USD
3 Month+2.800%, 07/15/29 (A)

  $1,000,000     $981,644 
      

 

 

 

Total Collateralized Loan Obligations
(Cost $59,861,797)

       58,672,489 
      

 

 

 

ASSET-BACKED SECURITIES — 19.9%

 

Automotive — 13.1%

 

American Credit Acceptance Receivables Trust,
Ser 2017-3, Cl E
5.170%, 06/10/24 (A)

   2,500,000      2,507,790 

Avid Automobile Receivables Trust,
Ser 2019-1, Cl E
6.760%, 05/17/27 (A)

   1,000,000      1,012,278 

Carvana Auto Receivables Trust,
Ser 2019-1A, Cl E
5.640%, 01/15/26 (A)

   1,584,000      1,695,085 

Carvana Auto Receivables Trust,
Ser 2019-4A, Cl E
4.700%, 10/15/26 (A)

   1,000,000      1,068,321 

CPS Auto Receivables Trust,
Ser 2015-C, Cl F
7.510%, 11/15/22 (A)

   1,500,000      1,503,952 

CPS Auto Receivables Trust,
Ser 2016-B, Cl E
8.140%, 05/15/23 (A)

   1,500,000      1,525,220 

CPS Auto Receivables Trust,
Ser 2016-D, Cl E
6.860%, 04/15/24 (A)

   1,155,000      1,175,597 

CPS Auto Receivables Trust,
Ser 2019-B, Cl F
7.480%, 06/15/26 (A)

   500,000      521,865 

CPS Auto Receivables Trust,
Ser 2019-D, Cl E
3.860%, 10/15/25 (A)

   2,000,000      2,095,851 

Drive Auto Receivables Trust,
Ser 2018-1, Cl D
3.810%, 05/15/24

   1,332,808      1,357,859 

DT Auto Owner Trust,
Ser 2017-2A, Cl E
6.030%, 01/15/24 (A)

   1,500,000      1,526,687 

DT Auto Owner Trust,
Ser 2019-4A, Cl E
3.930%, 10/15/26 (A)

   2,000,000      2,098,942 

DT Auto Owner Trust,
Ser 2020-3A, Cl E
3.620%, 10/15/27 (A)

   1,500,000      1,565,431 

First Investors Auto Owner Trust,
Ser 2016-2A, Cl E
5.750%, 09/15/23 (A)

   1,250,000      1,258,764 

Flagship Credit Auto Trust,
Ser 2016-2, Cl D
8.560%, 11/15/23 (A)

   900,000      908,930 
 

 

The accompanying notes are an integral part of the financial statements.

 

19


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FROST CREDIT FUND  

 

Description  Face Amount         
Value
 

Octane Receivables Trust,
Ser 2019-1A, Cl A
3.160%, 09/20/23 (A)

  $432,330     $437,840 

SFS Asset Securitization,
Ser 2019-1, Cl A
4.238%, 06/10/25 (A)

   1,500,000      1,502,599 
      

 

 

 
       23,763,011 
      

 

 

 

Other Asset-Backed Securities — 6.8%

      

BCC Funding XVI,
Ser 2019-1A, Cl C
2.950%, 09/20/24 (A)

   1,500,000      1,514,630 

Business Jet Securities,
Ser 2018-2, Cl A
4.447%, 06/15/33 (A)

   401,431      410,529 

Business Jet Securities,
Ser 2018-2, Cl C
6.656%, 06/15/33 (A)

   267,561      268,921 

BXMT,
Ser 2020-FL2, Cl A
1.027%, VAR ICE LIBOR USD
1 Month+0.900%, 02/16/37 (A)

   1,000,000      998,750 

CFG Investments,
Ser 2019-1, Cl A
5.560%, 08/15/29 (A)

   1,200,000      1,204,515 

Cold Storage Trust,
Ser 2020-ICE5, Cl E
2.892%, VAR ICE LIBOR USD
1 Month+2.766%, 11/15/37 (A)

   1,000,000      1,003,095 

Credibly Asset Securitization,
Ser 2018-1A, Cl A
4.800%, 11/15/23 (A)

   1,500,000      1,502,800 

Harley Marine Financing,
Ser 2018-1A, Cl A2
5.682%, 05/15/43 (A)

   1,828,945      1,661,851 

MelTel Land Funding,
Ser 2019-1A, Cl C
6.070%, 04/15/49 (A)

   500,000      528,525 

Mosaic Solar Loans,
Ser 2017-2A, Cl B
4.770%, 06/22/43 (A)

   334,778      365,590 

Pawnee Equipment Receivables Series,
Ser 2019-1, Cl E
3.800%, 01/15/26 (A)

   1,500,000      1,457,501 

Sapphire Aviation Finance I,
Ser 2018-1A, Cl B
5.926%, 03/15/40 (A)

   335,320      305,355 

Stack Infrastructure Issuer Series,
Ser 2019-1A, Cl A2
4.540%, 02/25/44 (A)

   980,833      1,046,237 
      

 

 

 
       12,268,299 
      

 

 

 

Total Asset-Backed Securities
(Cost $35,056,287)

       36,031,310 
      

 

 

 
Description  Face Amount/
Shares
         
Value
 

MORTGAGE-BACKED SECURITIES — 6.2%

 

Commercial Mortgage-Backed Obligation — 6.2%

 

Benchmark 2020-B21 Mortgage Trust,
Ser B21, Cl D
2.000%, 12/17/53 (A)

  $1,000,000     $855,481 

Commercial Mortgage Trust,
Ser 2014-UBS6, Cl C
4.446%, 12/10/47 (B)

   1,000,000      989,397 

Commercial Mortgage Trust,
Ser 2015-DC1, Cl D
4.308%, 02/10/48 (A)(B)

   1,517,000      1,181,692 

Credit Suisse Commercial Mortgage Trust,
Ser 2008-C1, Cl D
5.997%, 02/15/41 (A)(B)

   574,219      33,534 

FREMF Mortgage Trust,
Ser 2016-K54, Cl C
4.051%, 04/25/48 (A)(B)

   1,000,000      1,095,191 

FREMF Mortgage Trust,
Ser 2016-K722, Cl B
3.845%, 07/25/49 (A)(B)

   1,500,000      1,586,522 

FREMF Mortgage Trust,
Ser 2017-K70, Cl B
3.804%, 12/25/49 (A)(B)

   2,000,000     

 

2,213,820

 

FREMF Mortgage Trust,
Ser 2017-K71, Cl B
3.753%, 11/25/50 (A)(B)

   1,250,000      1,379,114 

UBS Commercial Mortgage Trust,
Ser 2012-C1, Cl C
5.569%, 05/10/45 (A)(B)

   1,000,000      987,468 

WFRBS Commercial Mortgage Trust,
Ser 2014-C25, Cl D
3.803%, 11/15/47 (A)(B)

   1,000,000      906,107 
      

 

 

 

Total Mortgage-Backed Securities
(Cost $11,035,288)

       11,228,326 
      

 

 

 

PREFERRED STOCK — 0.1%

      

Communication Services — 0.1%

      

MYT Holdings LLC
10.000%, 06/07/29 *

   76,092      87,506 
      

 

 

 

Total Preferred Stock
(Cost $76,092)

       87,506 
      

 

 

 

COMMON STOCK — 0.0%

      

Industrials — 0.0%

      

Erickson*(C)

   3,761      81,388 
      

 

 

 

Total Common Stock
(Cost $1,829,567)

       81,388 
      

 

 

 

Total Investments — 97.6%
(Cost $173,258,167)

      $176,467,142 
      

 

 

 

Percentages are based on Net Assets of $180,789,817.    

*

Non-income producing security.

 

 

The accompanying notes are an integral part of the financial statements.

 

20


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FROST CREDIT FUND  

 

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at January 31, 2021 was $128,642,733 and represents 71.2% of Net Assets.

(B)

Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(C)

Level 3 security in accordance with fair value hierarchy.

Cl — Class

FREMF — Freddie Mac Multi-Family

ICE — Intercontinental Exchange

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

MTN — Medium Term Note

Ser — Series

USD — U.S. Dollar VAR — Variable Security

The following is a list of the level of inputs used as of January 31, 2021 in valuing the Fund’s investments carried at value:

 

Investments in Securities Level 1  Level 2  Level 3(1)  Total 

Corporate Obligations

 $  $70,366,123  $  $70,366,123 

Collateralized Loan Obligations

     58,672,489      58,672,489 

Asset-Backed Securities

     36,031,310      36,031,310 

Mortgage-Backed Securities

     11,228,326      11,228,326 

Common Stock

        81,388   81,388 

Preferred Stock

  87,506         87,506 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Investments in Securities

 $87,506  $176,298,248  $81,388  $176,467,142 
 

 

 

  

 

 

  

 

 

  

 

 

 

 

(1)

A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets.

For the period ended January 31, 2021, there were no transfers in or out of Level 3.

Amounts designated as “—” are $0 or have been rounded to $0.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

 

The accompanying notes are an integral part of the financial statements.

 

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FROST LOW DURATION BOND FUND  

 

SECTOR WEIGHTINGS†

 

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount         
Value
 

ASSET-BACKED SECURITIES — 51.1%

 

Automotive — 47.7%

 

American Credit Acceptance Receivables Trust,
Ser 2019-3, Cl C
2.760%, 09/12/25 (A)

  $5,305,000     $5,399,077 

American Credit Acceptance Receivables Trust,
Ser 2020-1, Cl C
2.190%, 03/13/26 (A)

   5,000,000      5,098,627 

American Credit Acceptance Receivables Trust,
Ser 2020-2, Cl B
2.480%, 09/13/24 (A)

   1,500,000      1,535,002 

American Credit Acceptance Receivables Trust,
Ser 2020-3, Cl A
0.620%, 10/13/23 (A)

   2,579,871      2,582,976 

American Credit Acceptance Receivables Trust,
Ser 2020-4, Cl C
1.310%, 12/14/26 (A)

   8,250,000      8,310,903 

American Credit Acceptance Receivables Trust,
Ser 2021-1, Cl A
0.350%, 05/13/24 (A)

   2,250,000      2,251,255 

Amur Equipment Finance Receivables VIII,
Ser 2020-1A, Cl B
2.500%, 03/20/26 (A)

   1,384,090      1,420,753 
Description  Face Amount         
Value
 

Arivo Acceptance Auto Loan Receivables Trust,
Ser 2021-1A, Cl A
1.190%, 01/15/27 (A)

  $2,000,000     $2,007,863 

Canadian Pacer Auto Receivables Trust,
Ser 2019-1A, Cl C
3.750%, 07/21/25 (A)

   2,550,000      2,663,866 

Canadian Pacer Auto Receivables Trust,
Ser 2020-1A, Cl C
2.490%, 05/19/26 (A)

   5,000,000      5,169,148 

Capital One Multi-Asset Execution Trust,
Ser 2019-A3, Cl A3
2.060%, 08/15/28

   3,000,000      3,201,742 

Carnow Auto Receivables Trust,
Ser 2019-1A, Cl A
2.720%, 11/15/22 (A)

   682,086      685,795 

CLI Funding VI,
Ser 2020-1A, Cl A
2.080%, 09/18/45 (A)

   2,391,667      2,435,372 

Credit Acceptance Auto Loan Trust,
Ser 2018-2A, Cl C
4.160%, 09/15/27 (A)

   4,500,000      4,615,660 

Credit Acceptance Auto Loan Trust, Ser 2019-1A, Cl B
3.750%, 04/17/28 (A)

   2,700,000      2,812,420 

Drive Auto Receivables Trust,
Ser 2020-1, Cl C
2.360%, 03/16/26

   2,750,000      2,818,779 

DT Auto Owner Trust,
Ser 2018-3A, Cl D
4.190%, 07/15/24 (A)

   5,000,000      5,199,644 

DT Auto Owner Trust,
Ser 2019-4A, Cl C
2.730%, 07/15/25 (A)

   2,000,000      2,048,979 

DT Auto Owner Trust,
Ser 2020-1A, Cl D
2.550%, 11/17/25 (A)

   5,500,000      5,699,824 

DT Auto Owner Trust,
Ser 2020-2A, Cl B
2.080%, 03/16/26 (A)

   2,000,000      2,043,386 

DT Auto Owner Trust,
Ser 2020-2A, Cl C
3.280%, 03/16/26 (A)

   2,250,000      2,362,476 

DT Auto Owner Trust,
Ser 2020-3A, Cl C
1.470%, 06/15/26 (A)

   1,410,000      1,437,007 

Exeter Automobile Receivables Trust,
Ser 2018-2A, Cl C
3.690%, 03/15/23 (A)

   463,451      465,276 

Exeter Automobile Receivables Trust,
Ser 2018-2A, Cl D
4.040%, 03/15/24 (A)

   5,250,000      5,408,435 
 

 

The accompanying notes are an integral part of the financial statements.

 

22


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FROST LOW DURATION BOND FUND  

 

Description  Face Amount         
Value
 

Exeter Automobile Receivables Trust,
Ser 2019-2A, Cl C
3.300%, 03/15/24 (A)

  $2,565,000     $2,613,990 

Exeter Automobile Receivables Trust,
Ser 2020-1A, Cl C
2.490%, 01/15/25 (A)

   1,500,000      1,536,568 

Exeter Automobile Receivables Trust,
Ser 2020-3A, Cl C
1.320%, 07/15/25

   1,250,000      1,268,360 

Exeter Automobile Receivables Trust,
Ser 2021-1A, Cl D
1.080%, 11/16/26

   2,500,000      2,501,422 

First Investors Auto Owner Trust,
Ser 2017-1A, Cl D
3.600%, 04/17/23 (A)

   5,000,000      5,092,646 

First Investors Auto Owner Trust,
Ser 2018-2A, Cl C
4.030%, 01/15/25 (A)

   8,800,000      9,041,076 

First Investors Auto Owner Trust,
Ser 2019-2A, Cl B
2.470%, 01/15/25 (A)

   6,000,000      6,174,857 

First Investors Auto Owner Trust,
Ser 2020-1A, Cl D
3.150%, 04/15/26 (A)

   3,000,000      3,109,248 

Flagship Credit Auto Trust,
Ser 2016-4, Cl C
2.710%, 11/15/22 (A)

   10,228      10,245 

Flagship Credit Auto Trust,
Ser 2018-1, Cl B
3.130%, 01/17/23 (A)

   276,746      277,778 

Flagship Credit Auto Trust,
Ser 2018-4, Cl D
4.330%, 12/16/24 (A)

   4,935,000      5,222,256 

Flagship Credit Auto Trust,
Ser 2019-3, Cl C
2.740%, 10/15/25 (A)

   6,686,000      6,948,483 

Flagship Credit Auto Trust,
Ser 2019-4, Cl B
2.530%, 11/17/25 (A)

   4,550,000      4,711,592 

Ford Credit Auto Owner Trust,
Ser 2019-B, Cl B
2.400%, 11/15/24

   1,365,000      1,416,648 

Foursight Capital Automobile Receivables Trust,
Ser 2020-1, Cl D
2.600%, 01/15/26 (A)

   2,100,000      2,158,016 

GLS Auto Receivables Issuer Trust,
Ser 2019-4A, Cl A
2.470%, 11/15/23 (A)

   1,313,562      1,326,687 

GLS Auto Receivables Issuer Trust,
Ser 2020-2A, Cl B
3.160%, 06/16/25 (A)

   1,750,000      1,835,328 
Description  Face Amount         
Value
 

GLS Auto Receivables Issuer Trust,
Ser 2020-3A, Cl B
1.380%, 08/15/24 (A)

  $1,000,000     $1,011,308 

GLS Auto Receivables Issuer Trust,
Ser 2020-4A, Cl C
1.140%, 11/17/25 (A)

   1,000,000      1,005,296 

NextGear Floorplan Master Owner Trust,
Ser 2018-1A, Cl A2
3.220%, 02/15/23 (A)

   1,500,000      1,501,854 

OneMain Direct Auto Receivables Trust,
Ser 2018-1A, Cl B
3.710%, 04/14/25 (A)

   3,750,000      3,825,626 

OSCAR US Funding Trust IX,
Ser 2018-2A, Cl A3
3.390%, 09/12/22 (A)

   598,413      601,418 

Pawnee Equipment Receivables Series,
Ser 2019-1, Cl A2
2.290%, 10/15/24 (A)

   1,317,423      1,330,952 

Pawnee Equipment Receivables Series,
Ser 2019-1, Cl D
2.860%, 10/15/24 (A)

   5,000,000      4,899,843 

Pawnee Equipment Receivables Series,
Ser 2020-1, Cl A
1.370%, 11/17/25 (A)

   4,124,868      4,139,786 

Prestige Auto Receivables Trust,
Ser 2020-1A, Cl C
1.310%, 11/16/26 (A)

   2,000,000      2,018,268 

Santander Consumer Auto Receivables Trust,
Ser 2020-BA, Cl A4
0.540%, 04/15/25 (A)

   1,000,000      1,003,353 

SCF Equipment Leasing,
Ser 2020-1A, Cl B
2.020%, 03/20/28 (A)

   2,000,000      2,040,647 

SoFi Consumer Loan Program,
Ser 2019-1, Cl B
3.450%, 02/25/28 (A)

   2,400,000      2,434,344 

Synchrony Card Funding,
Ser 2019-A1, Cl A
2.950%, 03/15/25

   2,410,000      2,483,090 

Synchrony Credit Card Master Note Trust,
Ser 2018-2, Cl B
3.670%, 05/15/26

   995,000      1,065,200 

United Auto Credit Securitization Trust,
Ser 2020-1, Cl C
2.150%, 02/10/25 (A)

   3,000,000      3,045,302 

Vantage Data Centers Issuer,
Ser 2018-2A, Cl A2
4.196%, 11/16/43 (A)

   3,913,333      4,198,356 
 

 

The accompanying notes are an integral part of the financial statements.

 

23


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST LOW DURATION BOND FUND  

 

Description  Face Amount         
Value
 

Volvo Financial Equipment,
Ser 2018-1A, Cl A4
2.760%, 10/17/22 (A)

  $4,500,000     $4,547,129 

Westlake Automobile Receivables Trust,
Ser 2018-2A, Cl E
4.860%, 01/16/24 (A)

   5,000,000      5,207,567 

Westlake Automobile Receivables Trust,
Ser 2019-1A, Cl D
3.670%, 03/15/24 (A)

   6,575,000      6,821,561 

Westlake Automobile Receivables Trust,
Ser 2020-2A, Cl C
2.010%, 07/15/25 (A)

   2,750,000      2,817,558 

Westlake Automobile Receivables Trust,
Ser 2020-2A, Cl D
2.760%, 01/15/26 (A)

   4,5020,000      4,702,205 

Westlake Automobile Receivables Trust,
Ser 2020-3A, Cl C
1.240%, 11/17/25 (A)

   1,000,000      1,010,441 

World Financial Network Credit Card Master Trust,
Ser 2016-A, Cl M
2.330%, 04/15/25

   2,000,000      2,012,991 

World Financial Network Credit Card Master Trust,
Ser 2019-B, Cl A
2.490%, 04/15/26

   7,000,000      7,210,830 

World Financial Network Credit Card Master Trust,
Ser 2019-C, Cl M
2.710%, 07/15/26

   7,495,000      7,729,588 

W orld Omni Auto Receivables Trust,
Ser 2018-B, Cl B
3.170%, 01/15/25

   1,520,000      1,564,4 55 
      

 

 

 
       213,148,433 
      

 

 

 

Other Asset-Backed Securities — 0.5%

 

Diamond Resorts Owner Trust,
Ser 2019-1A, Cl A
2.890%, 02/20/32 (A)

   1,174,520      1,220,277 

Mosaic Solar Loans,
Ser 2017-1A, Cl A
4.450%, 06/20/42 (A)

   361,362      390,087 

SoFi Consumer Loan Program,
Ser 2017-5, Cl A2
2.780%, 09/25/26 (A)

   423,539      426,600 
      

 

 

 
       2,036,964 
      

 

 

 

Student Loan — 2.9%

 

AccessLex Institute,
Ser 2002-A, Cl A2
4.000%, 09/25/37 (B)

   350,000      349,284 
Description  Face Amount         
Value
 

Commonbond Student Loan Trust,
Ser 2017-AGS, Cl A1
2.550%, 05/25/41 (A)

  $1,113,463     $1,143,988 

Nelnet Student Loan Trust,
Ser 2012-6A, Cl B
1.630%, VAR ICE LIBOR USD 1 Month+1.500%, 08/26/52 (A)

   3,000,000      2,754,758 

Nelnet Student Loan Trust,
Ser 2013-3A, Cl B
1.630%, VAR ICE LIBOR USD
1 Month+1.500%, 07/25/47 (A)

   4,000,000      3,939,107 

Nelnet Student Loan Trust,
Ser 2015-3A, Cl B
1.630%, VAR ICE LIBOR USD
1 Month+1.500%, 06/25/54 (A)

   3,000,000      2,861,900 

SLM Student Loan Trust,
Ser 2013-2, Cl B
1.630%, VAR ICE LIBOR USD
1 Month+1.500%, 06/25/43

   2,000,000      1,925,017 
      

 

 

 
       12,974,054 
      

 

 

 

Total Asset-Backed Securities
(Cost $222,711,635)

       228,159,451 
      

 

 

 

U.S. TREASURY OBLIGATIONS — 23.5%

 

U.S. Treasury Note
1.625%, 12/15/22

   40,000,000      41,121,875 

1.500%, 01/15/23

   40,000,000      41,067,188 

0.120%, VAR US Treasury 3 Month Bill Money Market Yield+0.055%, 10/31/22

   5,000,000      5,001,572 

United States Treasury Bill
0.125%, 10/07/21 (C)(D)(E)

   18,000,000      17,990,080 
      

 

 

 

Total U.S. Treasury Obligations
(Cost $102,961,462)

       105,180,715 
      

 

 

 

CORPORATE OBLIGATIONS — 21.7%

 

Consumer Discretionary — 0.7%

      

Hyundai Capital America
5.750%, 04/06/23 (A)

   3,000,000      3,316,283 
      

 

 

 

Energy — 3.3%

 

Marathon Petroleum
4.500%, 05/01/23

   2,000,000      2,163,552 

Nationwide Building Society
2.000%, 01/27/23 (A)

   9,000,000      9,281,789 

Schlumberger Finance Canada
1.400%, 09/17/25

   3,000,000      3,050,142 
      

 

 

 
       14,495,483 
      

 

 

 

Financials — 11.6%

      

Athene Global Funding
2.500%, 01/14/25 (A)

   10,000,000      10,507,662 

Bank of Montreal MTN
1.850%, 05/01/25

   3,000,000      3,131,949 

Capital One Financial
4.200%, 10/29/25

   10,000,000      11,331,040 
 

 

The accompanying notes are an integral part of the financial statements.

 

24


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST LOW DURATION BOND FUND  

 

Description  Face Amount         
Value
 

Citigroup
3.106%, VAR United States Secured Overnight Financing Rate+2.750%, 04/08/26

  $2,000,000     $2,169,774 

Danske Bank
3.875%, 09/12/23 (A)

   4,205,000      4,525,856 

Deutsche Bank NY
2.222%, VAR United States Secured Overnight Financing Rate+2.159%, 09/18/24

   2,000,000      2,056,309 

Lloyds Banking Group
4.050%, 08/16/23

   9,000,000      9,777,090 

Royal Bank of Scotland Group
3.498%, VAR ICE LIBOR USD
3 Month+1.480%, 05/15/23

   2,328,000      2,414,220 

Swedbank
1.300%, 06/02/23

   1,000,000      1,019,648 

0.600%, 09/25/23 (A)

   5,000,000      5,008,500 
      

 

 

 
       51,942,048 
      

 

 

 

Health Care — 1.1%

    �� 

Johnson & Johnson
0.550%, 09/01/25

   5,000,000      4,994,979 
      

 

 

 

Industrials — 1.2%

      

AerCap Ireland Capital DAC
4.500%, 09/15/23

   3,000,000      3,247,557 

1.750%, 01/30/26

   2,000,000      1,969,737 
      

 

 

 
       5,217,294 
      

 

 

 

Information Technology — 0.5%

 

Broadcom
3.150%, 11/15/25

   2,000,000      2,170,519 
      

 

 

 

Materials — 0.7%

      

Eagle Materials
4.500%, 08/01/26

   2,939,000      3,045,385 
      

 

 

 

Real Estate — 2.3%

      

Corporate Office Properties
2.250%, 03/15/26 ‡

   3,000,000      3,114,190 

Equinix
1.000%, 09/15/25 ‡

   5,000,000      5,000,225 

Federal Realty Investment Trust
1.250%, 02/15/26 ‡

   2,000,000      2,023,985 
      

 

 

 
       10,138,400 
      

 

 

 

Utilities — 0.3%

      

Duke Energy 0.900%, 09/15/25

   1,400,000      1,403,363 
      

 

 

 

Total Corporate Obligations
(Cost $94,013,158)

       96,723,754 
      

 

 

 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.7%

 

FFCB
0.570%, 08/12/25

   5,000,000      4,981,197 
Description  Face Amount         
Value
 

FHLB
0.525%, 01/15/26

  $2,520,000     $2,517,834 
      

 

 

 

Total U.S. Government Agency Obligations
(Cost $7,518,217)

 

     7,499,031 
      

 

 

 

MORTGAGE-BACKED SECURITIES — 1.5%

 

Commercial Mortgage-Backed Obligation — 1.5%

 

Benchmark Mortgage Trust,
Ser 2020-B19, Cl A2
1.691%, 09/15/53

   1,305,000      1,342,338 

Cold Storage Trust,
Ser 2020-ICE5, Cl A
1.027%, VAR ICE LIBOR USD
1 Month+0.900%, 11/15/37 (A)

   5,500,000      5,523,390 
      

 

 

 

Total Mortgage-Backed Securities
(Cost $6,843,792)

       6,865,728 
      

 

 

 

Total Investments — 99.5%
(Cost $434,048,264)

      $444,428,679 
      

 

 

 

Percentages are based on Net Assets of $446,467,721.

Real Estate Investment Trust

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at January 31, 2021 was $230,775,525 and represents 51.7% of Net Assets.

(B)

Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(C)

At amortized cost

(D)

Rate shown represents the bond equivalent yield to maturity at date of purchase.

(E)

Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at the time of purchase.

Cl — Class

DAC — Designated Activity Company

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

MTN — Medium Term Note

Ser — Series

USD — U.S. Dollar

The following is a list of the level of inputs used as of January 31, 2021 in valuing the Fund’s investments carried at value:

 

Investments in Securities Level 1  Level 2  Level 3  Total 

Asset-Backed Securities

 $  $228,159,451  $  $228,159,451 

U.S. Treasury Obligations

  105,180,715         105,180,715 

Corporate Obligations

     96,723,754      96,723,754 

U.S. Government Agency Obligations

     7,499,031      7,499,031 

Mortgage-Backed Securities

     6,865,728      6,865,728 
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Investments in Securities

 $105,180,715  $339,247,964  $  $444,428,679 
 

 

 

  

 

 

  

 

 

  

 

 

 

For the period ended January 31, 2021, there have been no transfers in or out of Level 3.

Amounts designated as “—” are $0 or have been rounded to $0.

For information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

 

The accompanying notes are an integral part of the financial statements.

 

25


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST MUNICIPAL BOND FUND  

 

SECTOR WEIGHTINGS†

LOGO

 

Percentages are based on total investments.

 

SCHEDULE OF INVESTMENTS

 

Description  Face Amount         
Value
 

MUNICIPAL BONDS — 95.6%

      

California — 5.5%

      

California State, Municipal Finance Authority,
Ser A, RB 5.000%, 03/01/25

  $1,450,000     $1,485,395 

California State, School Finance Authority,
RB Callable 02/01/24 @ 100
5.350%, 08/01/24

   370,000      391,767 

Golden State, Tobacco Securitization, Ser A, RB, ST APPROP
4.000%, 06/01/21

   1,000,000      1,012,680 
      

 

 

 
       2,889,842 
      

 

 

 

Colorado — 3.0%

      

El Paso County, School District No. 49 Falcon, Ser A, COP
5.000%, 12/15/24

   525,000      617,190 

El Paso County, School District No. 49 Falcon, Ser B, COP

      

5.000%, 12/15/24

   300,000      352,680 

5.000%, 12/15/26

   500,000      628,080 
      

 

 

 
       1,597,950 
      

 

 

 

District of Columbia — 1.7%

      

District of Columbia, RB
4.000%, 10/01/22

   895,000      892,682 
      

 

 

 

Idaho — 1.0%

      

Idaho State, Housing & Finance Association, RB
4.000%, 07/01/26

   500,000      536,375 
      

 

 

 

Illinois — 1.6%

      

Lee & Ogle Counties, School District No. 170 Dixon, GO, BAM
4.000%, 01/30/25

   760,000      854,012 
      

 

 

 
Description  Face Amount         
Value
 

Kansas — 3.0%

      

Geary County, GO
5.000%, 09/01/25

  $1,300,000     $1,567,098 
      

 

 

 

Michigan — 2.5%

      

Taylor, Brownfield Redevelopment Authority, RB, NATL
Callable 05/01/24 @ 100
4.000%, 05/01/28

   1,175,000      1,296,930 
      

 

 

 

Minnesota — 0.7%

      

Minnesota State, Housing Finance Agency,
Ser A, RB, GNMA
Callable 07/01/22 @ 100
2.600%, 09/01/42

   378,611      388,807 
      

 

 

 

Missouri — 3.2%

      

Saint Louis, Municipal Finance, RB,
AGM
5.000%, 07/15/22

   1,575,000      1,678,178 
      

 

 

 

New York — 0.6%

      

Niagara County, Tobacco Asset Securitization, RB
5.000%, 05/15/21

   300,000      302,838 
      

 

 

 

Oklahoma — 4.4%

      

University of Oklahoma, Ser C, RB Callable 07/01/25 @ 100
5.000%, 07/01/35

   2,000,000      2,321,400 
      

 

 

 

South Carolina — 3.1%

      

Hilton Head Island, Ser C, GO, ST AID WITHHLDG
Callable 03/01/26 @ 100

      

2.250%, 03/01/33

   530,000      552,011 

2.125%, 03/01/32

   520,000      540,306 

2.000%, 03/01/30

   495,000      516,928 
      

 

 

 
       1,609,245 
      

 

 

 

Texas — 61.5%

      

Central Texas Regional Mobility Authority Callable 01/01/26 @ 100
5.000%, 01/01/46

   1,000,000      1,151,640 

Central Texas Turnpike System, Sub-Ser C, RB
Callable 08/15/24 @ 100
5.000%, 08/15/42

   2,000,000      2,248,860 

Clifton, Higher Education Finance, Idea Public Schools Project, RB
4.800%, 08/15/21(A)

   110,000      112,728 

Clifton, Higher Education Finance, RB, PSF-GTD
5.000%, 08/15/24

   1,185,000      1,380,347 

Clifton, Higher Education Finance, RB, PSF-GTD
Callable 08/15/24 @ 100
5.000%, 08/15/25

   700,000      814,317 
 

 

The accompanying notes are an integral part of the financial statements.

 

26


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

FROST MUNICIPAL BOND FUND  

 

Description  Face Amount         
Value
 

Clifton, Higher Education Finance, Ser A, RB
3.375%, 12/01/24

  $1,025,000     $1,062,874 

Clifton, Higher Education Finance, Ser B, RB
5.000%, 08/15/25

   460,000      541,613 

4.000%, 08/15/22

   525,000      549,197 

4.000%, 08/15/23

   500,000      538,250 

Cypress-Fairbanks Independent School District,
Ser A, GO, PSF-GTD
Callable 02/15/29 @ 100
5.000%, 02/15/30

   1,500,000      1,999,215 

Dallas Area, Rapid Transit,
Ser A, RB
5.000%, 12/01/22

   1,000,000      1,088,240 

Downtown Redevelopment Authority, TA, BAM
5.000%, 09/01/25

   1,000,000      1,185,960 

Downtown Redevelopment Authority, TA, BAM
Callable 09/01/25 @ 100
5.000%, 09/01/29

   1,000,000      1,196,910 

El Paso County, Hospital District, GO 5.000%, 08/15/25

   2,070,000      2,410,225 

Houston, Higher Education Finance,
Ser A, RB, PSF-GTD
4.000%, 02/15/22

   1,005,000      1,043,974 

La Vernia, Higher Education Finance,
Ser A, RB
4.200%, 08/15/25

   500,000      528,225 

La Vernia, Higher Education Finance,
Ser A, RB
Callable 08/15/24 @ 100
5.250%, 08/15/35

   2,435,000      2,644,337 

Love Field Airport Modernization, AMT, RB
5.000%, 11/01/22

   1,000,000      1,070,540 

Lower Colorado River Authority
Callable 05/15/30 @ 100
5.000%, 05/15/39

   1,875,000      2,464,875 

New Hope, Cultural Education
Facilities, RB
5.000%, 04/01/21

   355,000      356,193 

San Antonio, Public Facilities, RB
Callable 09/15/22 @ 100
5.000%, 09/15/26

   2,000,000      2,144,600 

Seminole, Hospital District, GO
Callable 02/15/26 @ 100
4.000%, 02/15/31

   545,000      591,265 

Texas A&M University, Permanent
University Fund, Ser B, RB
Callable 07/01/25 @ 100
5.000%, 07/01/34

   1,000,000      1,198,300 
Description  Face Amount         
Value
 

Texas State, Public Finance Authority,
Financing System, Texas Southern
University, RB
5.625%, 05/01/21

  $1,440,000     $1,453,133 

Texas State, Public Finance Authority,
New Frontiers School, Ser A, RB
Callable 03/08/21 @ 100
5.800%, 08/15/40

   1,100,000      1,102,244 

Texas State, Public Finance Authority,
RB, BAM
5.000%, 11/01/21

   1,400,000      1,440,600 
      

 

 

 
       32,318,662 
      

 

 

 

Virginia — 3.8%

      

Virginia Commonwealth, Housing
Development Authority,
Sub-Ser C-3, RB
2.150%, 04/01/21

   2,000,000      2,005,920 
      

 

 

 

Total Municipal Bonds
(Cost $47,735,144)

       50,259,939 
      

 

 

 

Total Investments — 95.6%
(Cost $47,735,144)

      $50,259,939 
      

 

 

 

Percentages are based on Net Assets of $52,565,660.

(A)

Security is escrowed to maturity.

AGM — Assured Guaranty Municipal

AMT — Alternative Minimum Tax (subject to)

BAM — Build America Mutual COP — Certificate of Participation

GNMA — Government National Mortgage Association

GO — General Obligation

NATL — National Public Finance Guaranty Corporation

PSF-GTD — Texas Public School Fund Guarantee

RB — Revenue Bond Ser — Series

TA — Tax Allocation

As of January 31, 2021, all of the Fund’s investments in securities were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For the period ended January 31, 2021, there have been no transfers in or out of Level 3.

Amounts designated as “—“ are $0 or have been rounded to $0.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.

 

 

The accompanying notes are an integral part of the financial statements.

 

27


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

  

 

STATEMENTS OF ASSETS AND LIABILITIES

 

   Growth
Equity
Fund
   Total
Return
Bond
Fund
 

Assets:

    

Investments at Value

  $404,461,163   $3,057,850,510 

Cash

   3,250,634    36,551,750 

Receivable for Investment Securities Sold

       2,390,364 

Receivable for Capital Shares Sold

   271,645    7,537,342 

Dividends and Interest Receivable

   62,636    17,222,105 

Prepaid Expenses

   19,709    45,205 
  

 

 

   

 

 

 

Total Assets

   408,065,787    3,121,597,276 
  

 

 

   

 

 

 

Liabilities:

    

Payable for Investment Securities Purchased

       17,257,528 

Payable for Capital Shares Redeemed

   152,901    3,857,677 

Payable Due to Investment Adviser

   176,293    914,394 

Shareholder Servicing Fees Payable — A Class Shares

       1,010 

Professional Fees Payable

   17,408    44,600 

Payable Due to Administrator

   25,738    190,696 

Payable Due to Distributor — Investor Class Shares

   12,694    75,885 

Payable Due to Distributor — A Class Shares

       812 

Payable Due to Trustees

   3,384    26,938 

Chief Compliance Officer Fees Payable

   680    5,641 

Transfer Agent Fees Payable

   9,692    97,427 

Pricing Fees Payable

       40,256 

Other Accrued Expenses

   7,907    77,690 
  

 

 

   

 

 

 

Total Liabilities

   406,697    22,590,554 
  

 

 

   

 

 

 

Net Assets

  $407,659,090   $3,099,006,722 
  

 

 

   

 

 

 

NET ASSETS:

    

Paid-in Capital

  $153,215,927   $3,190,627,012 

Total Distributable Earnings (Loss)

   254,443,163    (91,620,290
  

 

 

   

 

 

 

Net Assets

  $407,659,090   $3,099,006,722 
  

 

 

   

 

 

 

Institutional Class Shares:

    

Net Assets

  $346,946,362   $2,714,776,238 

Outstanding Shares of Beneficial Interest
(unlimited authorization — no par value)

   20,346,981    262,728,406 

Net Asset Value, Offering and Redemption Price Per Share

  $17.05   $10.33 
  

 

 

   

 

 

 

Investor Class Shares:

    

Net Assets

  $60,712,728   $380,172,959 

Outstanding Shares of Beneficial Interest
(unlimited authorization — no par value)

   3,626,429    36,808,767 

Net Asset Value, Offering and Redemption Price Per Share

  $16.74   $10.33 
  

 

 

   

 

 

 

A Class Shares:

    

Net Assets

  $n/a   $4,057,525 

Outstanding Shares of Beneficial Interest
(unlimited authorization — no par value)

   n/a    392,995 

Net Asset Value, Offering and Redemption Price Per Share

  $n/a   $10.32 
  

 

 

   

 

 

 

Maximum Offering Price Per Share — Class A

  $n/a   $10.67 
  

 

 

   

 

 

 

Cost of Investments

  $172,552,797   $3,096,302,698 

“n/a” designates that the Fund does not offer this class.

Amounts designated as “—” are $0.

 

The accompanying notes are an integral part of the financial statements.

 

28


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

  

 

STATEMENTS OF ASSETS AND LIABILITIES

 

   Credit
Fund
   Low
Duration
Bond
Fund
   Municipal
Bond
Fund
 

Assets:

      

Investments at Value

  $176,467,142   $444,428,679   $50,259,939 

Cash

   3,061,344    3,775,330    1,647,700 

Receivable for Capital Shares Sold

   76,781    294,811    19,114 

Dividends and Interest Receivable

   1,356,496    1,133,694    666,223 

Prepaid Expenses

   27,879    23,152    15,170 
  

 

 

   

 

 

   

 

 

 

Total Assets

   180,989,642    449,655,666    52,608,146 
  

 

 

   

 

 

   

 

 

 

Liabilities:

      

Payable for Investment Securities Purchased

       2,499,195     

Payable for Capital Shares Redeemed

   50,045    491,859     

Payable Due to Investment Adviser

   76,591    113,906    11,168 

Shareholder Servicing Fees Payable — A Class Shares

   299         

Professional Fee Payable

   26,741    19,669    18,643 

Payable Due to Administrator

   11,181    27,715    3,261 

Payable Due to Distributor — Investor Class Shares

   1,880    6,221    928 

Payable Due to Distributor — A Class Shares

   197         

Payable Due to Trustees

   1,677    3,717    473 

Chief Compliance Officer Fees Payable

   346    770    100 

Transfer Agent Fees Payable

   9,466    11,083    5,265 

Pricing Fees Payable

   16,296    3,241    2,648 

Other Accrued Expenses

   5,106    10,569     
  

 

 

   

 

 

   

 

 

 

Total Liabilities

   199,825    3,187,945    42,486 
  

 

 

   

 

 

   

 

 

 

Net Assets

  $180,789,817   $446,467,721   $52,565,660 
  

 

 

   

 

 

   

 

 

 

NET ASSETS:

      

Paid-in Capital

  $179,695,816   $434,932,214   $49,696,062 

Distributable Earnings

   1,094,001    11,535,507    2,869,598 
  

 

 

   

 

 

��  

 

 

 

Net Assets

  $180,789,817   $446,467,721   $52,565,660 
  

 

 

   

 

 

   

 

 

 

Institutional Class Shares:

      

Net Assets

  $170,836,268   $415,875,444   $47,892,722 

Outstanding Shares of Beneficial Interest
(unlimited authorization — no par value)

   17,088,475    39,544,701    4,670,400 

Net Asset Value, Offering and Redemption Price Per Share

  $10.00   $10.52   $10.25 
  

 

 

   

 

 

   

 

 

 

Investor Class Shares:

      

Net Assets

  $9,264,288   $30,592,277   $4,672,938 

Outstanding Shares of Beneficial Interest
(unlimited authorization — no par value)

   927,992    2,908,199    455,556 

Net Asset Value, Offering and Redemption Price Per Share

  $9.98   $10.52   $10.26 
  

 

 

   

 

 

   

 

 

 

A Class Shares:

      

Net Assets

  $689,261   $n/a   $n/a 

Outstanding Shares of Beneficial Interest
(unlimited authorization — no par value)

   69,074    n/a    n/a 

Net Asset Value, Offering and Redemption Price Per Share

  $9.98   $n/a   $n/a 
  

 

 

   

 

 

   

 

 

 

Maximum Offering Price Per Share — Class A

  $10.21   $n/a   $n/a 
  

 

 

   

 

 

   

 

 

 

Cost of Investments

  $173,258,167   $434,048,264   $47,735,144 

“n/a” designates that the Fund does not offer this class.

Amounts designated as “—” are $0.

 

The accompanying notes are an integral part of the financial statements.

 

29


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   F O R   T H E   S I X   M O N T H S   E N D E D   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

  

 

STATEMENTS OF OPERATIONS

 

     Growth
Equity
Fund
     Total
Return
Bond
Fund
 

Investment Income:

        

Dividend Income

    $1,279,045     $2,797 

Interest income

           58,032,858 

Foreign Taxes Withheld

     (10,433      
    

 

 

     

 

 

 

Total Investment Income

     1,268,612      58,035,655 
    

 

 

     

 

 

 

Expenses:

        

Investment Advisory Fees

     1,039,335      5,570,581 

Administration Fees

     151,528      1,160,186 

Distribution Fees — Investor Class Shares

     75,249      504,183 

Distribution Fees — A Class Shares

           3,147 

Trustees’ Fees

     5,771      46,241 

Chief Compliance Officer Fees

     1,028      8,087 

Transfer Agent Fees

     30,632      223,763 

Professional Fees

     22,819      85,876 

Registration Fees

     23,137      49,711 

Printing Fees

     11,781      93,308 

Custodian Fees

     8,486      65,377 

Insurance and Other Expenses

     7,368      142,053 
    

 

 

     

 

 

 

Total Expenses

     1,377,134      7,952,513 

Less: Fees Paid Indirectly

     (60     (1,113
    

 

 

     

 

 

 

Net Expenses

     1,377,074      7,951,400 
    

 

 

     

 

 

 

Net Investment Income

     (108,462     50,084,255 
    

 

 

     

 

 

 

Net Realized Gain (Loss) from Investments

     27,800,868      (17,923,754

Net Change in Unrealized Appreciation (Depreciation) on Investments

     14,541,076      102,435,072 
    

 

 

     

 

 

 

Net Realized and Unrealized Gain on Investments

     42,341,944      84,511,318 
    

 

 

     

 

 

 

Increase in Net Assets Resulting from Operations

    $42,233,482     $134,595,573 
    

 

 

     

 

 

 

Amounts designated as “—” are $0.

 

The accompanying notes are an integral part of the financial statements.

 

30


FROST FAMILY OF FUNDS  F R O S T   F U N D S   |   F O R   T H E   S I X   M O N T H S   E N D E D   J A N U A R Y   3 1,   2 0 2 1   (U n a u d i t e d)

 

 

 

 

  

 

STATEMENTS OF OPERATIONS

 

     Credit
Fund
     Low
Duration
Bond
Fund
     Municipal
Bond
Fund
 

Investment Income:

            

Interest Income

    $4,578,945     $4,723,763     $ 

Dividend Income

     1,109      377      1,074,372 
    

 

 

     

 

 

     

 

 

 

Total Investment Income

     4,580,054      4,724,140      1,074,372 
    

 

 

     

 

 

     

 

 

 

Expenses:

            

Investment Advisory Fees

     497,217      657,365      98,367 

Administration Fees

     72,487      159,738      20,486 

Distribution Fees — Investor Class Shares

     12,808      36,733      6,035 

Distribution Fees — A Class Shares

     812             

Trustees’ Fees

     2,901      6,251      822 

Chief Compliance Officer Fees

     515      1,107      142 

Transfer Agent Fees

     27,609      32,088      14,818 

Registration Fees

     25,667      23,894      18,102 

Professional Fees

     29,817      25,400      19,727 

Printing Fees

     5,743      12,174      1,601 

Custodian Fees

     5,420      9,040      1,612 

Insurance and Other Expenses

     37,370      16,364      5,323 
    

 

 

     

 

 

     

 

 

 

Total Expenses

     718,366      980,154      187,035 

Less: Investment Advisory Fees Waived

                 (28,092

Less: Fees Paid Indirectly

     (58     (61     (4
    

 

 

     

 

 

     

 

 

 

Net Expenses

     718,308      980,093      158,939 
    

 

 

     

 

 

     

 

 

 

Net Investment Income

     3,861,746      3,744,047      915,433 
    

 

 

     

 

 

     

 

 

 

Net Realized Gain (Loss) from Investments

     (480,070     1,665,202      284,829 

Net Change in Unrealized Appreciation (Depreciation) on Investments

     11,121,433      1,035,786      (293,853
    

 

 

     

 

 

     

 

 

 

Net Realized and Unrealized Gain (Loss) on Investments

     10,641,363      2,700,988      (9,024
    

 

 

     

 

 

     

 

 

 

Increase in Net Assets Resulting from Operations

    $14,503,109     $6,445,035     $906,409 
    

 

 

     

 

 

     

 

 

 

Amounts designated as “—” are $0.

 

The accompanying notes are an integral part of the financial statements.

 

31


FROST FAMILY OF FUNDS  

 

 

 

 

  

 

STATEMENTS OF CHANGES IN NET ASSETS

 

    Growth Equity Fund 
    Six Months Ended
January 31, 2021
(Unaudited)
     Year Ended
July 31,
2020
 

Operations:

      

Net Investment Income (Loss)

  $(108,462    $568,009 

Net Realized Gain on Investments

   27,800,868      19,362,795 

Net Change in Unrealized Appreciation (Depreciation) on Investments

   14,541,076      68,019,731 
  

 

 

     

 

 

 

Net Increase in Net Assets Resulting from Operations

   42,233,482      87,950,535 
  

 

 

     

 

 

 

Distributions:

      

Net Investment Income:

      

Institutional Class Shares

   (12,687,207     (29,507,815

Investor Class Shares

   (2,146,616     (4,828,153

A Class Shares

   n/a      n/a 
  

 

 

     

 

 

 

Total Distributions

   (14,833,823     (34,335,968
  

 

 

     

 

 

 

Capital Share Transactions:

      

Institutional Class Shares:

      

Issued

   12,347,160      36,374,424 

Reinvestment of Dividends

   6,400,714      13,734,711 

Redeemed

   (34,880,043     (47,331,688
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets from
Institutional Class Share Transactions

   (16,132,169     2,777,447 
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   990,235      2,867,306 

Reinvestment of Dividends

   2,109,846      4,729,005 

Redeemed

   (3,062,576     (5,518,481
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets from
Investor Class Share Transactions

   37,505      2,077,830 
  

 

 

     

 

 

 

A Class Shares:

      

Issued

   n/a      n/a 

Reinvestment of Dividends

   n/a      n/a 

Redeemed

   n/a      n/a 
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets from
A Class Share Transactions

   n/a      n/a 
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets from
Capital Share Transactions

   (16,094,664     4,855,277 
  

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

   11,304,995      58,469,844 
  

 

 

     

 

 

 

Net assets:

      

Beginning of Year / Period

   396,354,095      337,884,251 
  

 

 

     

 

 

 

End of Year / Period

  $407,659,090     $396,354,095 
  

 

 

     

 

 

 

Share Transactions:

      

Institutional Class Shares:

      

Issued

   728,421      2,670,702 

Reinvestment of Dividends

   378,398      1,035,347 

Redeemed

   (2,051,050     (3,456,764
  

 

 

     

 

 

 

Total Increase (Decrease) in Institutional Class Shares

   (944,231     249,285 
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   59,324      211,039 

Reinvestment of Dividends

   127,099      362,875 

Redeemed

   (183,844     (411,217
  

 

 

     

 

 

 

Total Increase (Decrease) in Investor Class Shares

   2,579      162,697 
  

 

 

     

 

 

 

A Class Shares:

      

Issued

   n/a      n/a 

Reinvestment of Dividends

   n/a      n/a 

Redeemed

   n/a      n/a 
  

 

 

     

 

 

 

Total Increase (Decrease) in Investor Class Shares

   n/a      n/a 
  

 

 

     

 

 

 

Net Increase (Decrease) in Shares Outstanding

   (941,652     411,982 
  

 

 

     

 

 

 

 

“n/a”

designates that the Fund does not offer this class.

 

Amounts

designated as “—” are $0.

 

The accompanying notes are an integral part of the financial statements.

 

32


  F R O S T   F U N D S

 

 

 

 

 
 

 

Total Return Bond Fund 
Six Months Ended
January 31, 2021
(Unaudited)
     Year Ended
July 31,
2020
 
    
$50,084,255     $135,771,673 
 (17,923,754     4,524,747 
 102,435,072      (138,036,077

 

 

     

 

 

 
 134,595,573      2,260,343 

 

 

     

 

 

 
    
    
 (47,850,467     (125,231,018
 (6,404,003     (18,817,985
 (43,781     (69,877

 

 

     

 

 

 
 (54,298,251     (144,118,880

 

 

     

 

 

 
    
    
 350,378,072      814,585,252 
 28,679,587      72,744,679 
 (569,000,634     (1,124,079,814

 

 

     

 

 

 
 (189,942,975     (236,749,883

 

 

     

 

 

 
    
 20,687,513      172,446,248 
 5,632,111      16,980,474 
 (85,428,241     (258,805,689

 

 

     

 

 

 
 (59,108,617     (69,378,967

 

 

     

 

 

 
    
 2,246,639      2,069,964 
 26,107      42,319 
 (68,999     (1,249,029

 

 

     

 

 

 
 2,203,747      863,254 

 

 

     

 

 

 
 (246,847,845     (305,265,596

 

 

     

 

 

 
 (166,550,523     (447,124,133

 

 

     

 

 

 
    
 3,265,557,245      3,712,681,378 

 

 

     

 

 

 
$3,099,006,722     $3,265,557,245 

 

 

     

 

 

 
    
    
 34,375,863      79,535,260 
 2,814,822      7,166,892 
 (55,938,054     (111,528,936

 

 

     

 

 

 
 (18,747,369     (24,826,784

 

 

     

 

 

 
    
 2,029,034      16,716,875 
 553,064      1,672,615 
 (8,398,936     (25,724,465

 

 

     

 

 

 
 (5,816,838     (7,334,975

 

 

     

 

 

 
    
 219,594      199,402 
 2,563      4,202 
 (6,787     (121,865

 

 

     

 

 

 
 215,370      81,739 

 

 

     

 

 

 
 (24,348,837     (32,080,020

 

 

     

 

 

 

 

The accompanying notes are an integral part of the financial statements.

 

33


FROST FAMILY OF FUNDS  

 

 

 

 

  

 

STATEMENTS OF CHANGES IN NET ASSETS

 

    Credit Fund 
    Six Months Ended
January 31, 2021
(Unaudited)
     Year Ended
July 31,
2020
 

Operations:

      

Net Investment Income

  $3,861,746     $9,128,196 

Net Realized Gain (Loss) on Investments

   (480,070     1,467,102 

Net Change in Unrealized Appreciation (Depreciation) on Investments

   11,121,433      (7,833,816
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   14,503,109      2,761,482 
  

 

 

     

 

 

 

Distributions:

      

Institutional Class Shares

   (3,666,857     (8,661,274

Investor Class Shares

   (184,855     (490,081

A Class Shares

   (12,220     (20,588

Return of Capital:

      

Institutional Class Shares

          

Investor Class Shares

          

A Class Shares

          
  

 

 

     

 

 

 

Total Distributions

   (3,863,932     (9,171,943
  

 

 

     

 

 

 

Capital Share Transactions:

      

Institutional Class Shares:

      

Issued

   7,636,171      37,159,580 

Reinvestment of Dividends

   727,987      1,647,783 

Redeemed

   (41,762,489     (38,439,618
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets from
Institutional Class Share Transactions

   (33,398,331     367,745 
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   256,440      1,414,840 

Reinvestment of Dividends

   181,012      480,065 

Redeemed

   (2,540,408     (4,031,933
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets from
Investor Class Share Transactions

   (2,102,956     (2,137,028
  

 

 

     

 

 

 

A Class Shares:

      

Issued

   97,818      310,042 

Reinvestment of Dividends

   10,783      19,157 

Redeemed

   (91,954     (69,939
  

 

 

     

 

 

 

Net Increase in Net Assets from
A Class Share Transactions

   16,647      259,260 
  

 

 

     

 

 

 

Net Increase (Decrease) in Net Assets from
Capital Share Transactions

   (35,484,640     (1,510,023
  

 

 

     

 

 

 

Total Increase (Decrease) in Net Assets

   (24,845,463     (7,920,484
  

 

 

     

 

 

 

Net assets:

      

Beginning of Year / Period

   205,635,280      213,555,764 
  

 

 

     

 

 

 

End of Year / Period

  $180,789,817     $205,635,280 
  

 

 

     

 

 

 

Share Transactions:

      

Institutional Class Shares:

      

Issued

   785,181      3,884,745 

Reinvestment of Dividends

   74,966      174,523 

Redeemed

   (4,275,750     (4,104,654
  

 

 

     

 

 

 

Total Increase (Decrease) in Institutional Class Shares

   (3,415,603     (45,386
  

 

 

     

 

 

 

Investor Class Shares:

      

Issued

   26,248      151,235 

Reinvestment of Dividends

   18,637      50,921 

Redeemed

   (260,633     (435,001
  

 

 

     

 

 

 

Total Increase (Decrease) in Investor Class Shares

   (215,748     (232,845
  

 

 

     

 

 

 

A Class Shares:

      

Issued

   9,885      32,436 

Reinvestment of Dividends

   1,110      2,046 

Redeemed

   (9,394     (7,195
  

 

 

     

 

 

 

Total Increase in A Class Shares

   1,601      27,287 
  

 

 

     

 

 

 

Net Increase (Decrease) in Shares Outstanding

   (3,629,750     (250,944
  

 

 

     

 

 

 

“n/a” designates that the Fund does not offer this class.

Amounts designated as “—” are $0.

 

The accompanying notes are an integral part of the financial statements.

 

34


  F R O S T   F U N D S

 

 

 

 

 
 

 

Low Duration Bond Fund    

Municipal Bond Fund

 
Six Months Ended
January 31, 2021
(Unaudited)
     Year Ended
July 31,
2020
    

Six Months Ended
January 31, 2021
(Unaudited)

 Year Ended
July 31,
2020
 
       
$3,744,047     $7,235,891   $ 915,433 $2,501,812 
 1,665,202      1,033,047   284,829  1,898,942 
 1,035,786      7,328,623   (293,853)  (583,889

 

 

     

 

 

   

 

 

 

 

 
 6,445,035      15,597,561   906,409  3,816,865 

 

 

     

 

 

   

 

 

 

 

 
       
 (3,633,109     (6,816,119  (2,489,867)  (2,608,571
 (226,247     (420,280  (234,876)  (126,907
             
       
 
(776,070

           
 
(62,644

           
             

 

 

     

 

 

   

 

 

 

 

 
 (4,698,070     (7,236,399  (2,724,743)  (2,735,478

 

 

     

 

 

   

 

 

 

 

 
       
       
 60,694,366      150,697,807   1,297,633  4,238,557 
 1,622,660      2,152,221   1,160,875  639,131 
 (51,052,703     (75,899,277  (8,194,145)  (105,843,582

 

 

     

 

 

   

 

 

 

 

 
 
    
11,264,323

 
     76,950,751   (5,735,637)  (100,965,894

 

 

     

 

 

   

 

 

 

 

 
       
 9,965,695      11,294,065   6,100,974  326,068 
 283,867      411,230   233,831  109,020 
 (7,185,699     (10,306,698  (6,230,191)  (2,051,724

 

 

     

 

 

   

 

 

 

 

 
 
    
3,063,863

 
     1,398,597   104,614  (1,616,636

 

 

     

 

 

   

 

 

 

 

 
       
 n/a      n/a   n/a  n/a 
 n/a      n/a   n/a  n/a 
 n/a      n/a   n/a  n/a 

 

 

     

 

 

   

 

 

 

 

 
 
    
n/a

 
     n/a   n/a  n/a 

 

 

     

 

 

   

 

 

 

 

 
 
    
14,328,186

 
     78,349,348   (5,631,023)  (102,582,530

 

 

     

 

 

   

 

 

 

 

 
 16,075,151      86,710,510   (7,449,357)  (101,501,143

 

 

     

 

 

   

 

 

 

 

 
       
 430,392,570      343,682,060   60,015,017  161,516,160 

 

 

     

 

 

   

 

 

 

 

 
$446,467,721     $430,392,570   $52,565,660 $60,015,017 

 

 

     

 

 

   

 

 

 

 

 
       
       
 5,776,330      14,667,017   122,434  402,897 
 154,508      208,486   112,628  60,856 
 (4,858,850     (7,368,009  (775,727)  (10,024,880

 

 

     

 

 

   

 

 

 

 

 
 1,071,988      7,507,494   (540,665)  (9,561,127

 

 

     

 

 

   

 

 

 

 

 
       
 948,472      1,099,000   573,497  31,047 
 27,019      39,819   22,673  10,376 
 (683,893     (999,666  (586,108)  (194,614

 

 

     

 

 

   

 

 

 

 

 
 291,598      139,153   10,062  (153,191

 

 

     

 

 

   

 

 

 

 

 
       
 n/a      n/a   n/a  n/a 
 n/a      n/a   n/a  n/a 
 n/a      n/a   n/a  n/a 

 

 

     

 

 

   

 

 

 

 

 
 n/a      n/a   n/a  n/a 

 

 

     

 

 

   

 

 

 

 

 
 1,363,586      7,646,647   (530,603)  (9,714,318

 

 

     

 

 

   

 

 

 

 

 

 

The accompanying notes are an integral part of the financial statements.

 

35


FROST FAMILY OF FUNDS  F R O S T   F U N D S

 

 

 

 

  

 

FINANCIAL HIGHLIGHTS

 

For a Share Outstanding Throughout Each Period

For the Six Months Ended January 31, 2021 (Unaudited) and the Years Ended July 31,

 

               
   Net Asset
Value,
Beginning
of Year
  Net
Investment
Income
(Loss)(1)
  Net Realized
and
Unrealized
Gains
(Losses) on
Investments
  Total
From
Operations
  Dividends
From Net
Investment
Income
  Distributions
From
Realized
Gains
  Total
Dividends
& Distributions
  Net Asset
Value, End
of Year
  Total
Return†
  Net Assets
End of Year
(000)
  Ratio of
Expenses
to Average
Net Assets
  Expenses
to Average
Net Assets
(Excluding
Waivers and
Fees Paid
Indirectly)
  Ratio of Net
Investment
Income (Loss)
to Average
Net Assets
  Portfolio
Turnover
Rate
 
              

Growth Equity Fund

 

Institutional Class Shares

 

2021***

 $15.95  $  $1.72  $1.72  $(0.01 $(0.61 $(0.62 $17.05   10.83 $346,946   0.63%*   0.63%*   (0.02)%*   11%** 

2020

  13.82   0.03   3.53   3.56   (0.04  (1.39  (1.43  15.95   27.91   339,542   0.64   0.64   0.20   17 

2019

  14.49   0.05   1.09   1.14   (0.04  (1.77  (1.81  13.82   10.34   290,773   0.63   0.63   0.34   25 

2018

  14.82   0.04   3.18   3.22   (0.03  (3.52  (3.55  14.49   25.05   272,509   0.65   0.65   0.26   15 

2017

  13.61   0.04   2.51   2.55   (0.02  (1.32  (1.34  14.82   20.54   251,675   0.79   0.79   0.27   16 

2016

  15.61   0.02   (0.32  (0.30  (0.02  (1.68  (1.70  13.61   (1.72  348,935   0.80   0.80   0.11   23 

Investor Class Shares

 

2021***

 $15.68  $(0.02 $1.69  $1.67  $  $(0.61 $(0.61 $16.74   10.69 $60,713   0.87%*   0.87%*   (0.27)%*   11%** 

2020

  13.61   (0.01  3.48   3.47   (0.01  (1.39  (1.40  15.68   27.62   56,812   0.89   0.89   (0.05  17 

2019

  14.30   0.01   1.08   1.09   (0.01  (1.77  (1.78  13.61   10.05   47,111   0.88   0.88   0.09   25 

2018

  14.70      3.15   3.15   (0.03  (3.52  (3.55  14.30   24.72   46,266   0.90   0.90   0.01   15 

2017

  13.51   0.01   2.50   2.51      (1.32  (1.32  14.70   20.33   40,287   1.04   1.04   0.04   16 

2016

  15.53   (0.02  (0.32  (0.34     (1.68  (1.68  13.51   (2.01  64,238   1.05   1.05   (0.14  23 

 

*

Annualized.

**

Not annualized.

***

Six Months Ended January 31, 2021.

Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

(1)

Per share data calculated using the average shares method.

Amounts designated as “—” are either $0 or have been rounded to $0.

 

The accompanying notes are an integral part of the financial statements.

 

36


FROST FAMILY OF FUNDS  F R O S T   F U N D S

 

 

 

 

  

 

FINANCIAL HIGHLIGHTS

 

For a Share Outstanding Throughout Each Period

For the Six Months Ended January 31, 2021 (Unaudited) and the Years Ended July 31,

 

               
   Net Asset
Value,
Beginning
of Period
  Net
Investment
Income(1)
  Net Realized
and
Unrealized
Gains
(Losses) on
Investments
  Total
From
Operations
  Dividends
From Net
Investment
Income
  Distributions
From
Realized
Gains
  Total
Dividends
& Distributions
  Net Asset
Value, End
of Period
  Total
Return†
  Net Assets
End of Period
(000)
  Ratio of
Expenses
to Average
Net Assets
  Expenses
to Average
Net Assets
(Excluding
Waivers and
Fees Paid
Indirectly)
  Ratio of Net
Investment
Income to
Average Net
Assets
  Portfolio
Turnover
Rate
 
              

Total Return Bond Fund

 

Institutional Class Shares

 

2021***

 $10.07  $0.16  $0.28  $0.44  $(0.18 $  $(0.18 $10.33   4.38 $2,714,776   0.47  0.47  3.17  20

2020

  10.42   0.38   (0.32  0.06   (0.41     (0.41  10.07   0.60   2,834,690   0.47   0.47   3.74   48 

2019

  10.28   0.39   0.13   0.52   (0.38     (0.38  10.42   5.19   3,191,392   0.47   0.48   3.77   40 

2018

  10.50   0.37   (0.20  0.17   (0.37  (0.02  (0.39  10.28   1.60   2,349,388   0.48   0.48   3.60   15 

2017

  10.52   0.39   (0.02  0.37   (0.38  (0.01  (0.39  10.50   3.63   1,918,126   0.51   0.51   3.68   24 

2016

  10.56   0.41      0.41   (0.40  (0.05  (0.45  10.52   4.02   1,606,097   0.52   0.52   3.90   32 

Investor Class Shares

 

2021***

 $10.07  $0.15  $0.28  $0.43  $(0.17 $   (0.17 $10.33   4.25 $380,173   0.72  0.72  2.92  20

2020

  10.41   0.35   (0.31  0.04   (0.38     (0.38  10.07   0.44   429,079   0.72   0.72   3.47   48 

2019

  10.28   0.36   0.13   0.49   (0.36     (0.36  10.41   4.83   520,291   0.72   0.73   3.51   40 

2018

  10.50   0.35   (0.21  0.14   (0.34  (0.02  (0.36  10.28   1.35   374,298   0.73   0.73   3.35   15 

2017

  10.52   0.36   (0.02  0.34   (0.35  (0.01  (0.36  10.50   3.37   324,772   0.76   0.76   3.43   24 

2016

  10.56   0.38      0.38   (0.37  (0.05  (0.42  10.52   3.76   260,702   0.77   0.77   3.65   32 

A Class Shares

 

2021***

 $10.06  $0.15  $0.28  $0.43  $(0.17 $   (0.17 $10.32   4.27 $4,058   0.72  0.72  2.94  20

2020

  10.41   0.35   (0.32  0.03   (0.38     (0.38  10.06   0.34   1,788   0.72   0.72   3.47   48 

2019

  10.28   0.36   0.11   0.47   (0.34     (0.34  10.41   4.69   998   0.82   0.83   3.49   40 

2018(a)

  10.29   0.05   (0.01  0.04   (0.05     (0.05  10.28   0.44**   193   0.88  0.88  3.05  15** 
              

Credit Fund

 

Institutional Class Shares

 

2021***

 $9.47  $0.18  $0.54  $0.72  $(0.19 $   (0.19 $10.00   7.72 $170,836   0.71  0.71  3.68  11

2020

  9.72   0.41   (0.25  0.16   (0.41     (0.41  9.47   1.79   194,182   0.71   0.71   4.35   35 

2019

  9.78   0.40   0.06   0.46   (0.49  (0.03  (0.52  9.72   4.88   199,800   0.70   0.70   4.18   19 

2018

  9.99   0.56   (0.17  0.39   (0.47  (0.13  (0.60  9.78   3.96   197,014   0.71   0.71   5.67   33 

2017

  9.63   0.55   0.30   0.85   (0.49     (0.49  9.99   9.08   163,210   0.81   0.81   5.57   27 

2016

  9.86   0.49   (0.24  0.25   (0.48)^      (0.48  9.63   2.79   129,395   0.83   0.83   5.27   36 

Investor Class Shares

 

2021***

 $9.46  $0.17  $0.53  $0.70  $(0.18 $   (0.18 $9.98   7.48 $9,265   0.96  0.96  3.43  11

2020

  9.71   0.39   (0.25  0.14   (0.39     (0.39  9.46   1.53   10,815   0.96   0.96   4.11   35 

2019

  9.77   0.38   0.05   0.43   (0.46  (0.03  (0.49  9.71   4.62   13,366   0.95   0.95   3.93   19 

2018

  9.98   0.54   (0.18  0.36   (0.44  (0.13  (0.57  9.77   3.71   13,779   0.96   0.96   5.41   33 

2017

  9.62   0.52   0.31   0.83   (0.47     (0.47  9.98   8.82   13,317   1.06   1.06   5.28   27 

2016

  9.85   0.47   (0.25  0.22   (0.45)^      (0.45  9.62   2.54   10,565   1.08   1.08   5.02   36 

A Class Shares

 

2021***

 $9.45  $0.17  $0.54  $0.71  $(0.18 $   (0.18 $9.98   7.60 $689   0.96  0.96  3.43  11

2020

  9.71   0.38   (0.25  0.13   (0.39     (0.39  9.45   1.44   638   0.96   0.96   4.06   35 

2019

  9.76   0.37   0.06   0.43   (0.45  (0.03  (0.48  9.71   4.60   390   1.05   1.05   3.83   19 

2018(a)

  9.80   0.08   (0.04  0.04   (0.08     (0.08  9.76   0.36   160   1.11  1.11  4.68  33** 

 

*

Annualized.

**

Not annualized.

***

Six Months Ended January 31, 2021.

Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

^

Includes a return of capital of less than $0.005 per share.

(a)

Commenced operations onJune 1, 2018.

(1)

Per share data calculated using the average shares method.

Amounts

designated as “—” are either $0 or have been rounded to $0.

 

 

The accompanying notes are an integral part of the financial statements.

 

37


FROST FAMILY OF FUNDS  F R O S T   F U N D S

 

 

 

 

  

 

FINANCIAL HIGHLIGHTS

 

For a Share Outstanding Throughout Each Period

For the Six Months Ended January 31, 2021 (Unaudited) and the Years Ended July 31,

 

               
   Net Asset
Value,
Beginning
of Period
  Net
Investment
Income(1)
  Net Realized
and
Unrealized
Gains
(Losses) on
Investments
  Total
From
Operations
  Dividends
From Net
Investment
Income
  Distributions
From
Realized
Gains
  Total
Dividends
& Distributions
  Net Asset
Value, End
of Period
  Total
Return†
  Net Assets
End of
Period (000)
  Ratio of
Expenses
to Average
Net Assets
  Expenses
to Average
Net Assets
(Excluding
Waivers and
Fees Paid
Indirectly)
  Ratio of Net
Investment
Income to
Average Net
Assets
  Portfolio
Turnover
Rate
 
              

Low Duration Bond Fund

 

Institutional Class Shares

 

2021***

 $10.47  $0.09  $0.07  $0.16  $(0.09 $(0.02  (0.11 $ 10.52   1.57 $415,876   0.43  0.43  1.72  28

2020

  10.28   0.20   0.19   0.39   (0.20     (0.20  10.47   3.86   402,977   0.44   0.44   1.96   71 

2019

  10.14   0.22   0.13   0.35   (0.21     (0.21  10.28   3.52   318,215   0.43   0.43   2.16   23 

2018

  10.25   0.19   (0.11  0.08   (0.19)^      (0.19  10.14   0.80   280,519   0.45   0.45   1.83   20 

2017

  10.28   0.18   (0.03  0.15   (0.18     (0.18  10.25   1.48   244,575   0.46   0.46   1.80   26 

2016

  10.30   0.16   (0.01  0.15   (0.17     (0.17  10.28   1.43   214,708   0.51   0.51   1.58   36 

Investor Class Shares

 

2021***

 $10.48  $0.08  $0.06  $0.14  $(0.08 $(0.02  (0.10 $10.52   1.35 $30,592   0.68  0.68  1.47  28

2020

  10.28   0.18   0.20   0.38   (0.18     (0.18  10.48   3.70   27,415   0.69   0.69   1.72   71 

2019

  10.14   0.19   0.14   0.33   (0.19     (0.19  10.28   3.26   25,467   0.68   0.68   1.90   23 

2018

  10.25   0.16   (0.10  0.06   (0.17)^      (0.17  10.14   0.54   28,236   0.70   0.70   1.58   20 

2017

  10.28   0.16   (0.03  0.13   (0.16     (0.16  10.25   1.24   28,317   0.71   0.71   1.55   26 

2016

  10.30   0.14   (0.02  0.12   (0.14     (0.14  10.28   1.18   19,678   0.76   0.76   1.33   36 
              

Municipal Bond Fund

 

Institutional Class Shares

 

2021***

 $10.61  $0.14  $0.03  $0.17  $(0.14 $(0.39 $(0.53 $10.25   1.62%††  $47,893   0.54%*   0.64%*   2.55%*   0%** 

2020

  10.51   0.23   0.14   0.37   (0.27  ^^   (0.27  10.61   3.56††   55,286   0.46   0.56   2.19   19 

2019

  10.20   0.24   0.31   0.55   (0.24  ^^   (0.24  10.51   5.49††   155,224   0.41   0.51   2.31   9 

2018

  10.46   0.24   (0.21  0.03   (0.25  (0.04  (0.29  10.20   0.26††   167,105   0.43   0.53   2.35   3 

2017

  10.70   0.24   (0.24     (0.24     (0.24  10.46   0.00††   259,606   0.42   0.52   2.28   21 

2016

  10.51   0.26   0.18   0.44   (0.25     (0.25  10.70   4.22††   265,697   0.42   0.52   2.45   5 

Investor Class Shares

 

2021***

 $10.61  $0.12  $0.04  $0.16  $(0.12 $(0.39 $(0.51 $10.26   1.59%††  $4,673   0.79%*   0.89%*   2.29%*   0%** 

2020

  10.51   0.21   0.13   0.34   (0.24  ^^   (0.24  10.61   3.30††   4,729   0.73   0.83   1.96   19 

2019

  10.20   0.21   0.31   0.52   (0.21  ^^   (0.21  10.51   5.21††   6,292   0.66   0.76   2.07   9 

2018

  10.46   0.22   (0.22     (0.22  (0.04  (0.26  10.20   0.00††   4,071   0.68   0.78   2.12   3 

2017

  10.70   0.21   (0.24  (0.03  (0.21     (0.21  10.46   (0.25)††   5,440   0.67   0.77   2.03   21 

2016

  10.50   0.23   0.19   0.42   (0.22     (0.22  10.70   4.06††   5,432   0.67   0.77   2.18   5 

 

*

Annualized.

**

Not annualized.

***

Six Months Ended January 31, 2021.

Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

††

Total return would have been lower had certain expenses not been waived and assumed by the Adviser during the period.

^

Includes a return of capital of less than $0.005 per share.

^^

Amount is less than $0.005 per share.

(1)

Per share data calculated using the average shares method.

Amounts

designated as “—” are either $0 or have been rounded to $0.

 

The accompanying notes are an integral part of the financial statements.

 

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NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization:

The Frost Family of Funds (the “Trust”) is an open-end investment management company established under Delaware law as a Delaware statutory trust under a Declaration of Trust dated December 11, 2018. The Frost Family of Funds include the Frost Growth Equity Fund (the “Growth Equity Fund”), Frost Total Return Bond Fund (the “Total Return Bond Fund”), Frost Credit Fund (the “Credit Fund”), Frost Low Duration Bond Fund (the “Low Duration Bond Fund”), and Frost Municipal Bond Fund (the “Municipal Bond Fund”) (each a “Fund” and, collectively, the “Funds”). Each Fund is classified as a “diversified” investment company under the 1940 Act. The Growth Equity Fund seeks to achieve long-term capital appreciation. The Total Return Bond Fund, Credit Fund and Low Duration Bond Fund seek to maximize total return, consisting of income and capital appreciation, consistent with the preservation of principal. The Municipal Bond Fund seeks to provide a consistent level of current income exempt from federal income tax with a secondary emphasis on maximizing total return through capital appreciation. The Funds may change their investment objective without shareholder approval. The assets of each Fund of the Trust are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Certain of the Funds currently offer Institutional Class Shares, Investor Class Shares and A Class Shares.

Each Fund is a successor to a corresponding predecessor mutual fund of the same name that was a series of The Advisors’ Inner Circle Fund II (each, a “Predecessor Fund” and, collectively, the “Predecessor Funds”). Each Predecessor Fund was managed by Frost Investment Advisors, LLC (the “Adviser” or “Frost”) using substantially the same investment objectives, strategies, policies and restrictions as those used by its corresponding Fund. Each Predecessor Fund was reorganized into its corresponding Fund on June 24, 2019 in connection with each Fund’s commencement of operations (each, a “Reorganization”). Each Predecessor Fund is treated as the survivor of the relevant Reorganization for accounting and performance reporting purposes. Accordingly, all performance and other information shown for the Funds for periods prior to June 24, 2019 is that of the Predecessor Funds.

2. Significant Accounting Policies:

The following are significant accounting policies, which are consistently followed in preparation of the financial statements of the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on an exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. Eastern Time if such exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if avail- able. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Such methodologies generally consider such factors as security prices, yields, maturities, call features, ratings and developments relating to specific securities in arriving at valuations. On the first day a new debt security purchase is recorded, if a price is not avail- able on the automated pricing feeds from the primary and secondary pricing vendors nor is it available from an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Trust’s fair value procedures until an independent source can be secured. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value provided that it is determined the amortized cost continues to approximate fair value. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates.

Exchange-traded registered investment companies are valued at the closing price from the primary exchange.

 

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Open-end investment companies held in the Funds’ portfolios are valued at the published net asset value.

Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Funds’ Board of Trustees (the “Board”). The Funds’ fair value procedures are implemented through a fair value pricing committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government-imposed restrictions. When a security is valued in accordance with the fair value procedures, the Committee will determine its value after taking into consideration relevant information reasonably available to the Committee.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, SEI Investments Global Funds Services (the “Administrator”), a wholly owned subsidiary of SEI Investments Company, monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the Administrator, the Administrator notifies the Adviser if a Fund is holding a relevant security that such limits have been exceeded. In such event, the Adviser makes the determination whether a Committee meeting should be called based on the information provided.

In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds dis- close fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

The three levels of the fair value hierarchy are described below:

 

  

Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds have the ability to access at the measurement date;

 

  

Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

 

  

Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

For the period ended January 31, 2021, there have been no changes to the Funds’ fair value methodologies.

Federal Income Taxes — It is each Fund’s intention to continue to qualify as a regulated investment company under Sub- chapter M of the Internal Revenue Code and to distribute substantially all of its taxable income. Accordingly, no provision for Federal income taxes has been made in the financial statements.

The Funds evaluate tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not” (i.e., greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more- likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Funds did not record any tax provision in the current period. However, management’s conclusions regarding tax positions taken may be subject to review

 

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and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last 3 tax year ends, as applicable), on-going analysis of and changes to tax laws, regulations and interpretations thereof.

As of and during the period ended January 31, 2021, the Funds did not have liabilities for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the period ended January 31, 2021, the Funds did not incur any interest or penalties.

The Funds may also be subject to taxes imposed by governments of countries in which they invest. Such taxes are generally based on either income or gains earned or repatriated. The Funds accrue and apply such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the Funds may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the Funds’ books. In many cases, however, the Funds may not receive such amounts for an extended period of time, depending on the country of investment. Upon the Fund’s receipt of reclaims, the reclaims are recorded as a reduction to foreign taxes withheld.

Security Transactions and Investment Income — Security transactions are accounted for on trade date for financial reporting purposes. Costs used in determining realized gains and losses on the sales of investment securities are based on the specific identification method. Dividend income is recognized on the ex-dividend date, interest income is recognized on an accrual basis and includes the amortization of premiums and the accretion of discount. Realized gains (losses) on paydowns of mortgage-backed and asset-backed securities are recorded as an adjustment to interest income. Litigation income received during the year is recorded as realized gains by the Fund when such information becomes known. Gains of this type are infrequent to the Fund and are not expected to reoccur on a consistent basis.

Repurchase Agreements — In connection with transactions involving repurchase agreements, a third party custodian bank takes possession of the underlying securities (“collateral”), the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. Such collateral will be cash, debt securities issued or guaranteed by the U.S. Government, securities that at the time the repurchase agreement is entered into are rated in the highest category by a nationally recognized statistical rating organization (“NRSRO”) or unrated category by an NRSRO, as determined by the Adviser. In the event of default on the obligation to repurchase, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.

Futures Contracts — To the extent consistent with its investment objective and strategies, the Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. The Fund’s investments in futures contracts are designed to enable the Fund to more closely approximate the performance of its benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked-to-market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Finally, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.

For the period ended January 31, 2021, the Funds did not hold any Futures Contracts.

Expenses — Expenses of the Trust that can be directly attributed to a particular fund are borne by that fund. Expenses which cannot be directly attributed to a fund are apportioned among the funds of the Trust based on the number of funds and/or relative net assets.

Classes — Class specific expenses are borne by the specific class of shares. Income, realized and unrealized gain (loss), and non-class specific expenses are allocated to the respective class on the basis of relative daily net assets.

Dividends and Distributions to Shareholders — The Growth Equity Fund distributes its net investment income and makes distributions of its net realized capital gains, if any, at least annually. The Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, and Municipal Bond Fund each distribute their net investment income monthly, as available, and make distributions of their net realized capital gains, if any, at least annually.

Interfund Lending — The SEC has granted an exemption that permits the Funds to participate in an interfund lending program (the “Interfund Lending Program”) whereby the Funds may lend money to, and borrow money from, each other for

 

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temporary or emergency purposes, subject to certain terms and conditions. Participation in the Interfund Lending Program is voluntary for both borrowing and lending Funds.

3. Transactions with Affiliates:

Certain officers and a trustee of the Trust are also employees of the Administrator, and/or SEI Investments Distribution Co. (the “Distributor”). Such officers and the trustee are paid no fees by the Trust for serving as officers and trustee of the Trust. A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are the employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed by the Board.

4. Administration, Distribution, Shareholder Servicing, Transfer Agent and Custodian Agreements:

The Funds and the Administrator are parties to an Administration Agreement under which the Administrator provides administrative services to the Fund. For these services, the Administrator is paid an asset-based fee, which will vary depending on the number of share classes and the average daily net assets of the Funds. For the period ended January 31, 2021, the Funds were charged as follows for these services: $151,528 in the Growth Equity Fund, $1,160,186 in the Total Return Bond Fund, $72,487 in the Credit Fund, $159,738 in the Low Duration Bond Fund, and $20,486 in the Municipal Bond Fund.

The Funds have adopted a Distribution Plan (the “Plan”) for the Investor Class Shares and A Class Shares. Under the Plan, the Distributor, or third parties that enter into agreements with the Distributor, may receive up to 0.25% of each Fund’s average net assets attributable to the Investor Class Shares and A Class Shares as compensation for distribution services.

The Funds have adopted a shareholder servicing plan that provides that the Funds may pay financial intermediaries for share- holder services in an annual amount not to exceed 0.15% based on the average daily net assets of the Funds’ A Class Shares. The services for which financial intermediaries are compensated may include record-keeping, transaction processing for share- holders’ accounts and other shareholder services.

DST Systems, Inc. serves as the transfer agent and dividend disbursing agent for the Funds under a transfer agency agreement with the Trust. The Funds may earn cash management credits which can be used to offset transfer agent expenses. These credit amounts are listed as “Fees Paid Indirectly” on the Statements of Operations.

Brown Brothers Harriman & Co. serves as Custodian for the Funds. The Custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold by the Funds.

5. Investment Advisory Agreement:

The Adviser serves as the investment adviser to the Funds. The Adviser is a wholly owned non-banking subsidiary of Cullen/ Frost Bankers, Inc. (“Frost Bank”). For its services, the Adviser is entitled to a fee, which is calculated daily and paid monthly, at the following annual rates based on the average daily net assets of each Fund. The Adviser has contractually agreed to reduce its fees and/or reimburse expenses for certain Funds to the extent necessary to keep total annual Fund operating expenses from exceeding certain levels as set forth below until June 24, 2022 (the “Contractual Expense Limitation”) for the Growth Equity Fund, Total Return Bond Fund, Credit Fund and Low Duration Bond Fund. The Adviser is entitled to the same fee for its services to each Predecessor Fund as it is for each Predecessor Fund’s corresponding Fund. In addition, the Adviser agreed to the same Contractual Expense Limitation and Voluntary Expense Limitation, as applicable, for each Predecessor Fund as with its corresponding Fund.

The table below shows the rate of each Fund’s investment advisory fee and the Adviser’s Contractual Expense Limitation, if any, for each Fund:

 

Fund    Advisory Fee
Before
Contractual Fee
Reduction
    

Institutional
Class Shares

Contractual Expense
Limitation

    

Investor Class Shares

Contractual Expense
Limitation*

    A Class Shares
Contractual Expense
Limitation**

Growth Equity Fund†

    0.50%    1.25%    1.25%    N/A

Total Return Bond Fund

    0.35%    0.95%    0.95%    0.95%

Credit Fund††

    0.50%    1.00%    1.00%    1.00%

Low Duration Bond Fund

    0.30%    0.95%    0.95%    N/A

Municipal Bond Fund†††

    0.25%    N/A    N/A    N/A

 

Prior to September 1, 2017, the investment advisory fee was 0.65%.

 

†��

Prior to September 1, 2017, the investment advisory fee was 0.60%.

 

†††

Prior to November 28, 2020, the investment advisory fee was 0.35%.

 

*

The Rate includes the distribution amount of 0.25%.

 

**

The Rate includes the distribution amount of 0.25% and the servicing amount of 0.15%.

 

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Prior to November 28, 2020, the Adviser had contractually agreed to waive the advisory fee for the Municipal Bond Fund by 0.01% (the “contractual fee reduction”) and had voluntarily agreed to reduce the advisory fee by an additional 0.09% (the “voluntary fee reduction”). In addition, the Adviser has voluntarily agreed to reduce its fees and/or reimburse expenses of the Frost Municipal Bond Fund to the extent necessary to keep total annual Fund operating expenses (not including excluded expenses) for Institutional Class Shares and Investor Class Shares from exceeding 1.05% (the “voluntary expense limitation”). The Adviser intends to continue this voluntary expense limitation until further notice, but may discontinue all or part of these fee reductions or expense reimbursements at any time.

If at any point it becomes unnecessary for the Adviser to make Expense Limitation reimbursements, the Adviser may retain the difference between the “Total Annual Fund Operating Expenses” and the aforementioned Expense Limitations to recapture all or a portion of its prior Expense Limitation reimbursements made during the preceding three year period up to the expense cap in place at the time the expenses were waived. The Adviser, however, will not be permitted to recapture any amount that is attributable to its Voluntary Fee Reduction. During the period ended January 31, 2021, the Adviser did not recapture previously waived/reimbursed fees for the Funds.

6. Investment Transactions:

The cost of security purchases and the proceeds from the sales and maturities of securities, other than short-term investments, for the period ended January 31, 2021 were as follows:

 

   U.S. Government  Other  Total 

Growth Equity Fund

   
Purchases $  $46,058,485  $46,058,485 
Sales     73,804,372   73,804,372 

Total Return Bond Fund

   
Purchases  340,581,766   242,458,670   583,040,436 
Sales  255,759,654   533,343,634   789,103,288 

Credit Fund

   
Purchases     17,974,942   17,974,942 
Sales     33,712,386   33,712,386 
   U.S. Government  Other  Total 

Low Duration Bond Fund

   
Purchases $  $128,899,822  $128,899,822 
Sales  1,966,289   106,985,480   108,951,769 

Municipal Bond Fund

   
Purchases         
Sales     7,880,757   7,880,757 
 

 

The Funds may purchase or sell investment securities in transactions with affiliated entities under procedures adopted by the Board, pursuant to Rule 17a-7 of the 1940 Act. These transactions are effected at market rates without incurring broker commissions.

7. Federal Tax Information:

The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from U.S. generally accepted accounting principles. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to distributable earnings or paid-in capital, as appropriate, in the period that the differences arise. The permanent differences primarily consist of reclassification of long term capital gain distribution on REITs, market discount adjustment, amortization adjustment on premium bond sold, gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, and distribution reclassification. There were no permanent difference that is credited or charged to Paid-in Capital and Distributable Earnings as of July 31, 2020.

 

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The tax character of dividends and distributions declared during the years ended July 31, 2020 and July 31, 2019 was as follows:

 

      Tax Exempt     Ordinary
Income
     Long-Term
Capital Gains
     Return of
Capital
     Total 

Growth Equity Fund

                    

2020

    $     $895,116     $33,440,852     $     $34,335,968 

2019

           792,945      38,925,590            39,718,535 

Total Return Bond Fund

                    

2020

           144,118,880                  144,118,880 

2019

           118,764,303                  118,764,303 

Credit Fund

                    

2020

           9,171,943                  9,171,943 

2019

           10,589,414      753,974            11,343,388 

Low Duration Bond Fund

                    

2020

           7,236,399                  7,236,399 

2019

           6,717,942                  6,717,942 

Municipal Bond Fund

                    

2020

     2,486,538      221,093      27,847            2,735,478 

2019

     3,585,302      215,090                  3,800,392 

As of July 31, 2020, the components of distributable earnings (accumulated losses) on a tax basis were as follows:

 

   Undistributed
Ordinary Income
  Undistributed
Tax-Exempt
Income
  Undistributed
Long-Term
Capital
Gain
  Capital Loss
Carryforwards
  Post-October
Losses
  Late-Year
Loss
Deferral
  Unrealized
Appreciation
(Depreciation)
  Other
Temporary
Differences
  Total
Distributable
Earnings
(Accumulated
Losses)
 

Growth Equity Fund

 $238,205  $  $9,438,002  $  $  $  $217,367,290  $7  $227,043,504 

Total Return Bond Fund

  151,075         (24,924,090        (147,144,623  26   (171,917,612

Credit Fund

  14,190         (1,449,822        (8,109,541  (3  (9,545,176

Low Duration Bond Fund

  171,736         (566,543        9,344,629   6   8,949,828 

Municipal Bond Fund

  459,725      1,409,563            2,818,648   (4  4,687,932 

Post-October capital losses represent capital losses realized on investment transactions from November 1, 2019 through July 31, 2020, that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year.

Deferred late-year losses represent ordinary losses realized on investment transactions from January 1, 2020 through July 31, 2020 and specified losses realized on investment transactions from November 1, 2019 through July 31, 2020, that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year.

The Funds have capital losses carried forward as follows:

 

      Short-Term Loss     Long-Term Loss     Total 

Total Return Bond Fund

    $9,664,851     $15,259,239     $24,924,090 

Credit Fund

     716,817      733,005      1,449,822 

Low Duration Bond Fund

     298,043      268,500      566,543 

During the year ended July 31, 2020, Low Duration Bond Fund utilized $994,101 in capital loss carryforwards to offset capital gains.

The aggregate cost of investments for federal income tax purposes at January 31, 2021 is different from book purposes primarily due to wash sales loss deferrals and the difference due premium amortization on callable securities. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at January 31, 2021 were as follows:

 

      Federal
Tax Cost
     Appreciated
Securities
     Depreciated
Securities
     Net Unrealized
Appreciation
(Depreciation)
 

Growth Equity Fund

    $172,552,797     $233,203,149     $(1,294,782)     $231,908,367 

Total Return Bond Fund

     3,104,217,220      161,524,972      (207,891,682     (46,366,710

Credit Fund

     173,469,821      7,022,744      (4,025,423     2,997,321 

Low Duration Bond Fund

     434,048,264      10,567,385      (186,970     10,380,415 

Municipal Bond Fund

     47,735,144      2,533,094      (8,299     2,524,795 

 

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8. Risks:

Asset-Backed and Mortgage-Backed Securities Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets, which raises the possibility that recoveries on repossessed collateral may not be available to support payments on these securities. Asset-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. To lessen the effect of failures by obligors on underlying assets to make payments, the entity administering the pool of assets may agree to ensure the receipt of payments on the underlying pool occurs in a timely fashion (“liquidity protection”). In addition, asset-backed securities may obtain insurance, such as guarantees, policies or letters of credit obtained by the issuer or sponsor from third parties, for some or all of the assets in the pool (“credit support”). Delinquency or loss more than that anticipated or failure of the credit support could adversely affect the return on an investment in such a security.

In addition, certain asset-backed securities may not have the benefit of any security interest in the related assets, which raises the possibility that recoveries on repossessed collateral may not be available to support payments on these securities. For example, credit card receivables are generally unsecured and the debtors are entitled to the protection of a number of state and federal consumer credit laws, many of which allow debtors to reduce their balances by offsetting certain amounts owed on the credit cards. Most issuers of asset-backed securities backed by automobile receivables permit the servicers of such receivables to retain possession of the underlying obligations. If the servicer were to sell these obligations to another party, there is a risk that the purchaser would acquire an interest superior to that of the holders of the related asset-backed securities. Due to the quantity of vehicles involved and requirements under state laws, asset-backed securities backed by automobile receivables may not have a proper security interest in all of the obligations backing such receivables.

Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. In addition, a variety of economic, geographic, social and other factors, such as the sale of the under- lying property, refinancing or foreclosure, can cause investors to repay the loans underlying a mortgage-backed security sooner than expected. If the prepayment rates increase, the Fund may have to reinvest its principal at a rate of interest that is lower than the rate on existing mortgage-backed securities.

Collateralized Loan Obligations Risk (Credit Fund, Low Duration Bond Fund, Total Return Bond Fund): Collateralized loan obligations are investment vehicles typically collateralized by a pool of loans, which may include, among others, senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. Collateralized loan obligations are subject to the risks of substantial losses due to actual defaults by borrowers of the loans underlying the collateralized loan obligations, which will be greater during periods of economic or financial stress. Collateralized loan obligations may also lose value due to collateral defaults and disappearance of subordinate tranches, market anticipation of defaults, and investor aversion to collateralized loan obligation securities as a class. The Fund may invest in collateralized loan obligations that hold loans of uncreditworthy borrowers or in subordinate tranches of a collateralized loan obligation, which may absorb losses from underlying borrower defaults before senior tranches. Investments in such collateralized loan obligations present a greater risk of loss. In addition, collateralized loan obligations are subject to interest rate risk and credit risk.

Credit Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): The credit rating or financial condition of an issuer may affect the value of a debt security. Generally, the lower the quality rating of a security, the greater the risk that the issuer will fail to pay interest fully and return principal in a timely manner. If an issuer defaults or becomes unable to honor its financial obligations, the security may lose some or all of its value. The issuer of an investment-grade security is more likely to pay interest and repay principal than an issuer of a lower rated bond. Adverse economic conditions or changing circumstances, however, may weaken the capacity of the issuer to pay interest and repay principal.

U.S. government securities are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the government sponsored agency’s own resources. As a result, investments in securities issued by government sponsored agencies that are not backed by the U.S. Treasury are subject to higher credit risk than those that are.

High yield, or “junk,” bonds are highly speculative securities that are usually issued by smaller less credit worthy and/or highly leveraged (indebted) companies. Compared with investment-grade bonds, high yield bonds carry a greater degree of risk and are less likely to make payments of interest and principal. Market developments and the financial and business conditions of the corporation issuing these securities influences their price and liquidity more than changes in interest rates, when compared

 

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to investment-grade debt securities. Insufficient liquidity in the junk bond market may make it more difficult to dispose of junk bonds and may cause the Fund to experience sudden and substantial price declines. A lack of reliable, objective data or market quotations may make it more difficult to value junk bonds accurately.

Equity Risk (Growth Equity Fund): Since they purchase equity securities, the Funds are subject to the risk that stock prices will fall over short or extended periods of time. Historically, the equity markets have moved in cycles, and the value of each Fund’s equity securities may fluctuate drastically from day to day. Individual companies may report poor results or be negatively affected by industry and/or economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. These factors contribute to price volatility, which is the principal risk of investing in each Fund.

Foreign Company Risk (Growth Equity Fund, Credit Fund): Investing in foreign companies, whether through investments made in foreign markets or made through the purchase of ADRs, which are traded on U.S. exchanges and represent an ownership in a foreign security, poses additional risks since political and economic events unique to a country or region will affect those markets and their issuers. These risks will not necessarily affect the U.S. economy or similar issuers located in the United States. In addition, investments in foreign companies are generally denominated in a foreign currency. As a result, changes in the value of those currencies compared to the U.S. dollar may affect (positively or negatively) the value of a Fund’s investments. These currency movements may occur separately from, and in response to, events that do not otherwise affect the value of the security in the issuer’s home country. Securities of foreign companies may not be registered with the U.S. Securities and Exchange Commission (“SEC”) and foreign companies are generally not subject to the regulatory controls imposed on U.S. issuers and, as a consequence, there is generally less publically available information about foreign securities than is available about domestic securities. Income from foreign securities owned by a Fund may be reduced by a withholding tax at the source, which tax would reduce income received from the securities comprising the Fund’s portfolio. Foreign securities may also be more difficult to value than securities of U.S. issuers. While ADRs provide an alternative to directly purchasing the underlying foreign securities in their respective national markets and currencies, investments in ADRs continue to be subject to many of the risks associated with investing directly in foreign securities.

Growth Style Risk (Growth Equity Fund): The price of equity securities rises and falls in response to many factors, including the historical and prospective earnings of the issuer of the stock, the value of its assets, general economic conditions, interest rates, investor perceptions, and market liquidity. The Fund may invest in securities of companies that the Adviser believes have superior prospects for robust and sustainable growth of revenues and earnings. These may be companies with new, limited or cyclical product lines, markets or financial resources, and the management of such companies may be dependent upon one or a few key people. The stocks of such companies can therefore be subject to more abrupt or erratic market movements than stocks of larger, more established companies or the stock market in general.

High Yield Bond Risk (Municipal Bond Fund, Credit Fund, Low Duration Bond Fund, Total Return Bond Fund): High yield, or “junk,” bonds are highly speculative securities that are usually issued by smaller less credit worthy and/or highly leveraged (indebted) companies. Compared with investment-grade bonds, high yield bonds carry a greater degree of risk and are less likely to make payments of interest and principal. Market developments and the financial and business conditions of the corporation issuing these securities influences their price and liquidity more than changes in interest rates, when compared to investment-grade debt securities. Insufficient liquidity in the junk bond market may make it more difficult to dispose of junk bonds and may cause the Fund to experience sudden and substantial price declines. A lack of reliable, objective data or market quotations may make it more difficult to value junk bonds accurately.

Interest Rate Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): As with most funds that invest in debt securities, changes in interest rates are one of the most important factors that could affect the value of your investment. Rising interest rates tend to cause the prices of debt securities (especially those with longer maturities) and the Fund’s share price to fall. Risks associated with rising interest rates are heightened given that interest rates in the U.S. are at, or near, historic lows.

The concept of duration is useful in assessing the sensitivity of a fixed income fund to interest rate movements, which are usually the main source of risk for most fixed income funds. Duration measures price volatility by estimating the change in price of a debt security for a 1% change in its yield. For example, a duration of five years means the price of a debt security will change about 5% for every 1% change in its yield. Thus, the higher the duration, the more volatile the security.

Debt securities have a stated maturity date when the issuer must repay the principal amount of the bond. Some debt securities, known as callable bonds, may repay the principal earlier than the stated maturity date. Debt securities are most likely to be called when interest rates are falling because the issuer can refinance at a lower rate.

 

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Rising interest rates may also cause investors to pay off mortgage-backed and asset-backed securities later than anticipated, forcing the Fund to keep its money invested at lower rates. Falling interest rates, however, generally cause investors to pay off mortgage-backed and asset-backed securities earlier than expected, forcing the Fund to reinvest the money at a lower interest rate.

Mutual funds that invest in debt securities have no real maturity. Instead, they calculate their weighted average maturity. This number is an average of the effective or anticipated maturity of each debt security held by the mutual fund, with the maturity of each security weighted by the percentage of its assets of the mutual fund it represents.

Issuer Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): The risk that the value of a security may decline for a reason directly related to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services.

Leverage Risk (Credit Fund): The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.

LIBOR Replacement Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): The elimination of the London Inter-Bank Offered Rate (“LIBOR”) may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K. Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021. However, it remains unclear if LIBOR will continue to exist in its current, or a modified, form. Alternatives to LIBOR are established or in development in most major currencies, including the Secured Overnight Financing Rate (“SOFR”), which is intended to replace U.S. dollar LIBOR. Markets are slowly developing in response to these new rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for the Fund. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted.

Liquidity Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to accept a lower price to sell a security, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative effect on Fund management or performance.

Management Risk (Each Fund): The risk that the investment techniques and risk analyses applied by the Adviser will not pro- duce the desired results and that legislative, regulatory, or tax developments may affect the investment techniques available to the Adviser and the individual portfolio manager in connection with managing each Fund. There is no guarantee that the investment objective of a Fund will be achieved.

Market Risk (Each Fund): The risk that the value of securities owned by the Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries. In addition, the impact of any epidemic, pandemic or natural disaster, or widespread fear that such events may occur, could negatively affect the global economy, as well as the economies of individual countries, the financial performance of individual companies and sectors, and the markets in general in significant and unforeseen ways. Any such impact could adversely affect the prices and liquidity of the securities and other instruments in which the Fund invests, which in turn could negatively impact the Fund’s performance and cause losses on your investment in the Fund. In addition, the impact of any epidemic, pandemic or natural disaster, or widespread fear that such events may occur, could negatively affect the global economy, as well as the economies of individual countries, the financial performance of individual companies and sectors, and the markets in general in significant and unforeseen ways. Any such impact could adversely affect the prices and liquidity of the securities and other instruments in which a Fund invests, which in turn could negatively impact the Fund’s performance and cause losses on your investment in the Fund. Global health events and pandemics, such as COVID-19, have the ability to affect —quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.

Municipal Issuers Risk (Low Duration Bond Fund, Municipal Bond Fund, Total Return Bond Fund): There may be economic or political changes that impact the ability of municipal issuers to repay principal and to make interest payments on municipal securities. Changes in the financial condition or credit rating of municipal issuers also may adversely affect the value of each

 

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Fund’s municipal securities. Constitutional or legislative limits on borrowing by municipal issuers may result in reduced supplies of municipal securities. Moreover, certain municipal securities are backed only by a municipal issuer’s ability to levy and collect taxes.

Prepayment and Extension Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): Prepayment and extension risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. This risk is primarily associated with corporate-backed, mortgage-backed and asset-backed securities. If a security is converted, prepaid or redeemed before maturity, particularly during a time of declining interest rates or spreads, the Fund may not be able to invest the proceeds in securities providing as high a level of income, resulting in a reduced yield to the Fund. Conversely, as interest rates rise or spreads widen, the likelihood of prepayment decreases. The Fund may be unable to capitalize on securities with higher interest rates or wider spreads because the Fund’s investments are locked in at a lower rate for a longer period of time.

Repurchase Agreement Risk (Credit Bond Fund, Low Duration Bond Fund, Total Return Bond Fund): Under a repurchase agreement, the seller of a security to the Fund agrees to repurchase the security at a mutually agreed-upon time and price. If the seller in a repurchase agreement transaction defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement.

Sector Focus Risk (Growth Equity Fund, Credit Fund, Low Duration Bond Fund, Total Return Bond Fund): Because the Fund may, from time to time, be more heavily invested in particular sectors, the value of its shares may be especially sensitive to factors and economic risks that specifically affect those sectors. As a result, the Fund’s share price may fluctuate more widely than the value of shares of a mutual fund that invests in a broader range of sectors.

Small- and Mid-Capitalization Company Risk (Growth Equity Fund): The small- and mid-capitalization companies in which these Funds may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, investments in these small- and mid-sized companies may pose additional risks, including liquidity risk, because these companies tend to have limited product lines, markets and financial resources, and may depend upon a relatively small management group. Therefore, small- and mid-capitalization stocks may be more volatile than those of larger companies. These securities may be traded over-the-counter or listed on an exchange.

State-Specific Risk (Municipal Bond Fund): The Fund is subject to the risk that the economy of the states in which it invests, and the revenues underlying state municipal bonds, may decline. Investing primarily in a single state means that the Fund is more exposed to negative political or economic factors in that state than a fund that invests more widely.

Structured Note Risk (Credit Fund): The Fund may invest in fixed income linked structured notes. Structured notes are typically privately negotiated transactions between two or more parties. The fees associated with a structured note may lead to increased tracking error. The Fund also bears the risk that the issuer of the structured note will default. The Fund bears the risk of loss of its principal investment and periodic payments expected to be received for the duration of its investment. In addition, a liquid market may not exist for the structured notes. The lack of a liquid market may make it difficult to sell the structured notes at an acceptable price or to accurately value them.

Zero Coupon, Deferred Interest and Pay-In-Kind Bond Risk (Credit Fund): These bonds are issued at a discount from their face value because interest payments are typically postponed until maturity. Pay-in-kind securities are securities that have interest payable by the delivery of additional securities. The market prices of these securities generally are more volatile than the market prices of interest-bearing securities and are likely to respond to a greater degree to changes in interest rates than interest- bearing securities having similar maturities and credit quality.

In the normal course of business, the Funds enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.

 

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9. Other:

On January 31, 2021, the number of shareholders below held the following percentage of the outstanding shares of the Funds:

 

      # of
Shareholders
    % of Outstanding
Shares

Growth Equity Fund

          

Institutional Class Shares

      3      71.40%

Investor Class Shares

      1      79.05%

Total Return Bond Fund

          

Institutional Class Shares

      3      51.87%

Investor Class Shares

      1      19.69%

A Class Shares

      2      32.24%

Credit Fund

          

Institutional Class Shares

      2      79.91%

Investor Class Shares

      1      73.90%

A Class Shares

      1      40.24%

Low Duration Bond Fund

          

Institutional Class Shares

      2      55.54%

Investor Class Shares

      1      57.46%

Municipal Bond Fund

          

Institutional Class Shares

      1      42.07%

Investor Class Shares

      2      91.30%

These shareholders are comprised of omnibus accounts, which are held on behalf of various individual shareholders.

10. New Accounting Pronouncement:

In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Under the new standard, the Total Return Bond Fund, Credit Fund, and Municipal Bond Fund have changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal period ended January 31, 2021. The adjustments to the cost basis of securities at the beginning of the period are as follows:

 

Total Return Bond Fund

  $5,755,424 

Credit Fund

   197,083 

Municipal Bond Fund

   186,081 

This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value of the Funds.

11. Subsequent Events:

The Funds have evaluated the need for additional disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no additional disclosures and/or adjustments were required to the financial statements as of January 31, 2021.

 

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DISCLOSURE OF FUND EXPENSES (Unaudited)

 

All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from a fund’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of a fund’s average net assets; this percentage is known as a fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (August 1, 2020 to January 31, 2021).

The table on the next page illustrates your Fund’s costs in two ways:

Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.

 

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DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)

 

  Beginning
Account
Value
7/31/2020
  Ending
Account
Value
1/31/2021
  Annualized
Expense
Ratios
  Expense
Paid
During
Period*
 
  

Growth Equity Fund

 

    

Actual Fund Return

    

Institutional Class Shares

 $1,000.00  $1,108.30   0.63 $3.35 

Investor Class Shares

 $1,000.00  $1,106.90   0.87 $4.62 

Hypothetical 5% Return

    

Institutional Class Shares

 $1,000.00  $1,022.03   0.63 $3.21 

Investor Class Shares

 $1,000.00  $1,020.82   0.87 $4.43 
  

Total Return Bond Fund

 

    

Actual Fund Return

    

Institutional Class Shares

 $1,000.00  $1,043.80   0.47 $2.42 

Investor Class Shares

 $1,000.00  $1,042.50   0.72 $3.71 

A Class Shares

 $1,000.00  $1,042.70   0.72 $3.71 

Hypothetical 5% Return

    

Institutional Class Shares

 $1,000.00  $1,022.84   0.47 $2.40 

Investor Class Shares

 $1,000.00  $1,021.58   0.72 $3.67 

A Class Shares

 $1,000.00  $1,021.58   0.72 $3.67 
  

Credit Fund

 

    

Actual Fund Return

    

Institutional Class Shares

 $1,000.00  $1,077.20   0.71 $3.72 

Investor Class Shares

 $1,000.00  $1,074.80   0.96 $5.02 

A Class Shares

 $1,000.00  $1,076.00   0.96 $5.02 

Hypothetical 5% Return

    

Institutional Class Shares

 $1,000.00  $1,021.63   0.71 $3.62 

Investor Class Shares

 $1,000.00  $1,020.37   0.96 $4.89 

A Class Shares

 $1,000.00  $1,020.37   0.96 $4.89 
  Beginning
Account
Value
7/31/2020
  Ending
Account
Value
1/31/2021
  Annualized
Expense
Ratios
  Expense
Paid
During
Period*
 
  

Low Duration Bond Fund

 

    

Actual Fund Return

    

Institutional Class Shares

 $1,000.00  $1,015.70   0.43 $2.18 

Investor Class Shares

 $1,000.00  $1,013.50   0.68 $3.45 

Hypothetical 5% Return

    

Institutional Class Shares

 $1,000.00  $1,023.04   0.43 $2.19 

Investor Class Shares

 $1,000.00  $1,021.78   0.68 $3.47 
  

Municipal Bond Fund

 

    

Actual Fund Return

    

Institutional Class Shares

 $1,000.00  $1,016.20   0.54  0.27

Investor Class Shares

 $1,000.00   1,015.90   0.79  4.01

Hypothetical 5% Return

    

Institutional Class Shares

 $1,000.00  $1,022.48   0.54  0.28

Investor Class Shares

 $1,000.00  $1,021.22   0.79  4.02
 

 

 

 

*

Unless otherwise indicated, expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the account period, multiplied by 184/365 (to reflect the one-half year period).

 

51


Frost Family of Funds

Semi-Annual Report

 

Investment Adviser

Frost Investment Advisors, LLC

111 Houston Street, 10th Floor

San Antonio, Texas 78205

Independent Registered Public Accounting Firm

Ernst & Young LLP

111 West Houston St., Suite 1901

San Antonio, Texas 78205

Distributor

SEI Investments Distribution Co.

One Freedom Valley Drive

Oaks, Pennsylvania 19456

Administrator

SEI Investments Global Funds Services

One Freedom Valley Drive

Oaks, Pennsylvania 19456

Legal Counsel

Morgan, Lewis & Bockius, LLP

1701 Market Street

Philadelphia, Pennsylvania 19103-2921

 

 

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Item 2.

Code of Ethics.

Not applicable for semi-annual report.

 

Item 3.

Audit Committee Financial Expert.

Not applicable for semi-annual report.

 

Item 4.

Principal Accountant Fees and Services.

Not applicable for semi-annual report.

 

Item 5.

Audit Committee of Listed Registrants.

Not applicable to open-end management investment companies.

 

Item 6.

Schedule of Investments.

Schedule of Investments 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 to open-end management investment companies.

 

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not ap