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.
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 | ||||
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28 | ||||
30 | ||||
32 | ||||
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39 | ||||
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† |
† | 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 | 404,461,163 | |||||||
|
| |||||||
Total Investments — 99.2% | $ | 404,461,163 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
1
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† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
CORPORATE OBLIGATIONS — 20.9% |
| |||||||
Communication Services — 0.7% |
| |||||||
Telecom Argentina | $ | 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 | 1,995,000 | 2,007,469 | ||||||
Capitol Investment Merger Sub 2 | 10,000,000 | 10,900,000 | ||||||
Carnival | 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 | $ | 5,915,000 | $ | 6,299,786 | ||||
Expedia Group | 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 | 6,000,000 | 5,821,395 | ||||||
Macy’s | 7,000,000 | 7,752,500 | ||||||
Marriott International | 3,000,000 | 3,179,307 | ||||||
Mohawk Industries | 13,000,000 | 14,521,810 | ||||||
Mohegan Gaming & Entertainment | 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 | 5,750,000 | 6,217,187 | ||||||
Staples | 2,850,000 | 2,764,073 | ||||||
STL Holding | 12,500,000 | 13,000,000 | ||||||
TJX | 5,000,000 | 5,852,249 | ||||||
TransJamaican Highway | 1,500,000 | 1,530,000 | ||||||
Under Armour | 3,200,000 | 3,207,312 | ||||||
VistaJet Malta Finance | 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 | 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 | $ | 200,000 | $ | 213,939 | ||||
Exxon Mobil | 2,000,000 | 2,265,910 | ||||||
Intesa Sanpaolo | 5,000,000 | 5,583,365 | ||||||
Lukoil International Finance BV | 3,000,000 | 3,199,410 | ||||||
New England Power | 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 | 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 | 1,000,000 | 1,000,453 | ||||||
Suriname Government International Bond | 8,000,000 | 5,440,000 | ||||||
Talen Energy Supply | 1,500,000 | 1,586,250 | ||||||
Tallgrass Energy Partners | 1,000,000 | 1,010,000 | ||||||
Transocean | 22,118,000 | 17,086,155 | ||||||
Weatherford International | 584,000 | 500,780 | ||||||
|
| |||||||
116,128,979 | ||||||||
|
| |||||||
Financials — 4.0% | ||||||||
Aflac | 5,000,000 | 5,749,302 | ||||||
Assured Guaranty US Holdings | 5,000,000 | 5,728,416 | ||||||
Athene Holding | 10,000,000 | 12,440,784 | ||||||
BankUnited | 9,450,000 | 10,973,371 | ||||||
Barclays MTN | 2,000,000 | 2,379,121 | ||||||
Capital One Financial | 5,000,000 | 5,693,970 |
Description | Face Amount | Value | ||||||
Chubb INA Holdings | $ | 5,000,000 | $ | 4,881,766 | ||||
Deutsche Bank | 15,000,000 | 16,043,427 | ||||||
Enova International | 15,557,000 | 15,168,075 | ||||||
Farmers Exchange Capital | 6,075,000 | 7,572,512 | ||||||
Genworth Holdings | 4,750,000 | 4,750,000 | ||||||
Huntington Bancshares | 3,000,000 | 3,198,487 | ||||||
Nasdaq | 5,000,000 | 4,876,422 | ||||||
Navient | 1,000,000 | 1,016,250 | ||||||
Societe Generale | 4,025,000 | 4,449,709 | ||||||
Synchrony Financial | 9,905,000 | 11,167,253 | ||||||
Wachovia | 5,650,000 | 6,976,641 | ||||||
|
| |||||||
123,065,506 | ||||||||
|
| |||||||
Industrials — 2.2% | ||||||||
American Airlines Group | 5,000,000 | 5,800,500 | ||||||
3.750%, 03/01/25 (A) | 10,000,000 | 7,657,800 | ||||||
Boeing | 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 | 2,000,000 | 2,112,550 | ||||||
Equifax | 3,000,000 | 3,276,370 | ||||||
FedEx | 5,000,000 | 5,486,229 | ||||||
Flowserve | 1,000,000 | 1,057,599 | ||||||
3.500%, 10/01/30 | 4,000,000 | 4,257,189 | ||||||
General Electric MTN | 4,377,000 | 5,848,614 | ||||||
Great Lakes Dredge & Dock | 1,410,000 | 1,432,913 | ||||||
Teekay | 13,750,000 | 13,887,500 | ||||||
|
| |||||||
66,625,097 | ||||||||
|
| |||||||
Information Technology — 3.1% | ||||||||
Amkor Technology | 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 | $ | 4,000,000 | $ | 4,260,000 | ||||
Castle US Holding | 1,000,000 | 1,026,610 | ||||||
Citrix Systems | 6,000,000 | 6,452,960 | ||||||
Diebold Nixdorf | 500,000 | 553,125 | ||||||
8.500%, 04/15/24 | 26,371,000 | 26,898,420 | ||||||
Jabil | 4,496,000 | 4,936,169 | ||||||
Juniper Networks | 10,000,000 | 11,253,921 | ||||||
Micron Technology | 10,000,000 | 11,611,823 | ||||||
Motorola Solutions | 21,435,000 | 25,433,963 | ||||||
QUALCOMM | 3,000,000 | 3,114,845 | ||||||
|
| |||||||
97,610,461 | ||||||||
|
| |||||||
Materials — 0.1% | ||||||||
Cleveland-Cliffs | 1,500,000 | 1,614,060 | ||||||
Nacional del Cobre de Chile | 500,000 | 487,208 | ||||||
|
| |||||||
2,101,268 | ||||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
Brookfield Property | 2,000,000 | 2,080,000 | ||||||
|
| |||||||
Utilities — 0.3% | ||||||||
Pacific Gas and Electric | 5,000,000 | 5,456,353 | ||||||
3.750%, 08/15/42 | 5,000,000 | 4,911,687 | ||||||
|
| |||||||
10,368,040 | ||||||||
|
| |||||||
Total Corporate Obligations | 646,866,154 | |||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 19.1% |
| |||||||
Collateralized Loan Obligation — 19.1% |
| |||||||
Apidos Funding RR Subsidiary, | 3,000,000 | 2,999,655 | ||||||
Apidos XI, | 15,000,000 | 15,037,920 | ||||||
Apidos XXVIII, | 15,000,000 | 14,977,935 |
Description | Face Amount | Value | ||||||
Avery Point IV, | $ | 7,500,000 | $ | 7,505,602 | ||||
BCC Middle Market, | 21,000,000 | 20,767,278 | ||||||
Benefit Street Partners III, | 14,975,799 | 14,964,403 | ||||||
Benefit Street Partners III, | 5,000,000 | 4,516,950 | ||||||
Benefit Street Partners IV, | 10,000,000 | 9,992,390 | ||||||
Benefit Street Partners VIII, | 5,450,000 | 5,446,806 | ||||||
BlueMountain, | 23,000,000 | 23,053,843 | ||||||
Carlyle Global Market Strategies, | 4,500,000 | 4,295,308 | ||||||
Carlyle Global Market Strategies, | 24,855,641 | 24,289,678 | ||||||
Carlyle Global Market Strategies, | 7,000,000 | 7,052,472 | ||||||
Carlyle Global Market Strategies, | 14,877,491 | 14,875,854 | ||||||
Carlyle Global Market Strategies, | 9,000,000 | 8,967,321 | ||||||
Carlyle Global Market Strategies, | 15,834,091 | 15,850,352 | ||||||
Carlyle Global Market Strategies, | 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, | $ | 10,000,000 | $ | 9,969,330 | ||||
CIFC Funding, | 2,000,000 | 1,989,248 | ||||||
Dryden 68, | 11,750,000 | 11,744,936 | ||||||
Fortress Credit Opportunities IX, | 21,000,000 | 20,938,995 | ||||||
Galaxy XXI, | 5,000,000 | 4,988,320 | ||||||
GoldenTree Credit Opportunities Financing, | 15,000,000 | 14,788,350 | ||||||
Golub Capital Partners, | 9,000,000 | 8,941,734 | ||||||
Golub Capital Partners, | 20,000,000 | 20,018,300 | ||||||
Golub Capital Partners, | 11,000,000 | 10,894,279 | ||||||
Golub Capital Partners, | 2,000,000 | 1,941,806 | ||||||
Golub Capital Partners, | 9,000,000 | 8,997,885 | ||||||
Golub Capital Partners, | 20,000,000 | 19,907,000 | ||||||
Golub Capital Partners, | 4,000,000 | 4,030,268 | ||||||
Golub Capital Partners, | 9,500,000 | 9,464,565 |
Description | Face Amount | Value | ||||||
Golub Capital Partners, | $ | 3,000,000 | $ | 2,954,946 | ||||
Golub Capital Partners, | 12,000,000 | 11,914,452 | ||||||
Golub Capital Partners, | 11,000,000 | 10,904,399 | ||||||
Golub Capital Partners, | 7,000,000 | 6,926,829 | ||||||
LCM Loan Income Fund I Income Note Issuer, | 13,000,000 | 13,007,228 | ||||||
MCF IV, | 10,000,000 | 9,905,680 | ||||||
MCF IV, | 3,000,000 | 2,954,445 | ||||||
NewStar Berkeley Fund, | 4,176,678 | 4,154,675 | ||||||
NXT Capital, | 9,000,000 | 8,947,260 | ||||||
NXT Capital, | 2,250,000 | 2,244,335 | ||||||
Oak Hill Credit Partners X-R, | 8,000,000 | 8,054,120 | ||||||
Oak Hill Credit Partners X-R, | 5,100,000 | 5,145,900 | ||||||
Oaktree EIF II, | 7,250,000 | 7,251,660 | ||||||
Oaktree, | 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, | $ | 25,000,000 | $ | 25,058,400 | ||||
Octagon Investment Partners XX, | 9,500,000 | 9,515,894 | ||||||
OHA Credit Partners VII, | 6,500,000 | 6,498,174 | ||||||
OZLM Funding IV, | 5,000,000 | 5,007,090 | ||||||
OZLM XVI, | 9,947,888 | 9,967,186 | ||||||
Sudbury Mill, | 1,500,000 | 1,195,170 | ||||||
Thayer Park, | 9,500,000 | 9,504,152 | ||||||
Venture 35, | 20,000,000 | 20,154,600 | ||||||
Venture XIX, | 19,250,000 | 19,290,252 | ||||||
Venture, | 10,000,000 | 10,025,520 | ||||||
Zais, | 11,250,000 | 11,063,723 | ||||||
Zais, | 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 | 4,987,352 | 5,204,782 |
Description | Face Amount | Value | ||||||
2.359%, VAR ICE LIBOR USD | $ | 5,367,975 | $ | 5,555,627 | ||||
FHLMC REMIC, | 1,722,442 | 1,740,758 | ||||||
FHLMC, | 1,089,113 | 128,491 | ||||||
FHLMC, | 8,847,611 | 10,070,461 | ||||||
FHLMC, | 4,172,426 | 188,878 | ||||||
FHLMC, | 1,724,861 | 35,164 | ||||||
FHLMC, | 5,693,339 | 212,120 | ||||||
FHLMC, | 2,713,424 | 151,934 | ||||||
FHLMC, | 23,252,197 | 3,081,593 | ||||||
FHLMC, | 7,466,380 | 1,387,933 | ||||||
FHLMC, | 7,629,548 | 417,513 | ||||||
FHLMC, | 14,734,037 | 1,504,049 | ||||||
FHLMC, | 4,785,628 | 265,551 | ||||||
FHLMC, | 12,133,412 | 1,439,276 | ||||||
FHLMC, | 7,982,711 | 551,239 | ||||||
FHLMC, | 988,028 | 68,425 | ||||||
FHLMC, | 2,504,709 | 2,517,800 | ||||||
FHLMC, | 5,000,000 | 5,193,029 | ||||||
FHLMC, | 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, | $ | 4,707,000 | $ | 5,094,078 | ||||
FHLMC, | 775,337 | 775,282 | ||||||
FHLMC, | 17,901,807 | 3,506,185 | ||||||
FNMA | 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 | 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 | 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, | 12,362,006 | 1,715,132 | ||||||
FNMA STRIPS, | 2,100,557 | 347,850 | ||||||
FNMA STRIPS, | 1,722,758 | 265,371 | ||||||
FNMA STRIPS, | 3,093,733 | 503,885 | ||||||
FNMA STRIPS, | 2,238,493 | 275,336 | ||||||
FNMA STRIPS, | 3,464,947 | 493,409 | ||||||
FNMA, | 1,938,607 | 98,339 | ||||||
FNMA, | 4,039,727 | 4,334,990 | ||||||
FNMA, | 1,921,487 | 68,164 | ||||||
FNMA, | 7,924,957 | 441,829 | ||||||
FNMA, | 8,478,515 | 704,014 | ||||||
FNMA, | 5,000,000 | 5,525,551 |
Description | Face Amount | Value | ||||||
FNMA, | $ | 4,193,330 | $ | 182,674 | ||||
FNMA, | 5,004,046 | 5,091,634 | ||||||
FNMA, | 7,732,721 | 752,450 | ||||||
FNMA, | 1,214,483 | 34,890 | ||||||
FNMA, | 5,316,280 | 451,061 | ||||||
FNMA, | 10,000,000 | 10,123,952 | ||||||
FNMA, | 1,915,527 | 1,940,730 | ||||||
FNMA, | 10,560,728 | 1,936,867 | ||||||
FNMA, | 12,269,344 | 1,248,051 | ||||||
GNMA REMIC, | 2,332,194 | 29,800 | ||||||
GNMA, | 12,558,825 | 2,377,016 | ||||||
GNMA, | 2,281,359 | 83,760 | ||||||
GNMA, | 5,407,029 | 454,753 | ||||||
GNMA, | 3,605,664 | 332,302 | ||||||
GNMA, | 7,372,603 | 472,387 | ||||||
GNMA, | 6,831,373 | 393,894 | ||||||
GNMA, | 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 | $ | 240,943 | $ | 244,532 | ||||
Banc of America Commercial | 4,925,000 | 4,301,495 | ||||||
BANK, | 10,000,000 | 11,409,577 | ||||||
BANK, | 10,000,000 | 11,577,554 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | 14,150,000 | 11,611,844 | ||||||
Benchmark Mortgage Trust, | 8,000,000 | 6,708,097 | ||||||
Benchmark Mortgage Trust, | 13,000,000 | 11,121,257 | ||||||
Benchmark Mortgage Trust, | 10,000,000 | 10,622,050 | ||||||
Citigroup Commercial Mortgage | 5,000,000 | 5,288,293 | ||||||
Commercial Mortgage Trust, | 1,000,000 | 995,184 | ||||||
Commercial Mortgage Trust, | 224,200 | 207,614 | ||||||
Commercial Mortgage Trust, | 9,500,000 | 9,513,948 | ||||||
Commercial Mortgage Trust, | 4,000,000 | 3,957,588 | ||||||
Commercial Mortgage Trust, | 9,000,000 | 7,010,698 | ||||||
Credit Suisse Commercial Mortgage Trust, | 4,107,435 | 239,874 | ||||||
Credit Suisse First Boston Mortgage Securities, | 76,581 | 72,752 |
Description | Face Amount | Value | ||||||
Credit Suisse First Boston Mortgage Securities, | $ | 6,855 | $ | 6,786 | ||||
CSAIL Commercial Mortgage Trust, | 10,000,000 | 11,665,471 | ||||||
CSMC Trust, | 9,480,173 | �� | 9,733,211 | |||||
DBUBS Mortgage Trust, | 1,450,000 | 1,449,597 | ||||||
FHLMC Military Housing Bonds | 36,542,471 | 34,777,462 | ||||||
FNMA, | 16,475,222 | 2,192,796 | ||||||
Fontainebleau Miami Beach Trust, | 5,000,000 | 5,330,842 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,172,046 | ||||||
FREMF Mortgage Trust, | 4,500,000 | 4,651,405 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,204,880 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,159,047 | ||||||
FREMF Mortgage Trust, | 8,000,000 | 8,195,630 | ||||||
FREMF Mortgage Trust, | 14,000,000 | 14,388,479 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,475,954 | ||||||
FREMF Mortgage Trust, | 8,840,000 | 9,605,679 | ||||||
FREMF Mortgage Trust, | 2,000,000 | 2,226,797 | ||||||
FREMF Mortgage Trust, | 3,403,000 | 3,766,814 | ||||||
Galton Funding Mortgage Trust, | 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, | $ | 7,612,869 | $ | 7,818,745 | ||||
GNMA, | 26,316,047 | 2,559,604 | ||||||
GNMA, | 22,022,130 | 4,689,824 | ||||||
GNMA, | 51,356,182 | 5,919,247 | ||||||
GNMA, | 28,158,934 | 3,131,932 | ||||||
GS Mortgage Securities Trust, | 3,500,000 | 3,919,425 | ||||||
GS Mortgage Securities Trust, | 10,000,000 | 11,591,218 | ||||||
Homeward Opportunities Fund I | 2,136,811 | 2,161,514 | ||||||
Homeward Opportunities Fund I Trust, | 6,892,011 | 7,040,902 | ||||||
Hudson Yards Mortgage Trust, | 2,500,000 | 2,793,897 | ||||||
Impact Funding, | 62,892 | 62,685 | ||||||
JPMDB Commercial Mortgage Securities Trust, | 4,328,000 | 4,149,105 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 2,238,223 | 1,556,588 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 1,923,542 | 1,792,386 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 1,000,000 | — | ||||||
LB-UBS Commercial Mortgage Trust, | 218,665 | 210,118 |
Description | Face Amount | Value | ||||||
LStar Commercial Mortgage Trust, | $ | 3,000,000 | $ | 3,160,293 | ||||
Morgan Stanley Bank of America | 2,413,000 | 2,440,115 | ||||||
Morgan Stanley Capital I, | 114,635 | 91,351 | ||||||
Morgan Stanley Capital I, | 500,000 | 516,616 | ||||||
New Residential Mortgage Loan Trust, | 9,406,087 | 9,555,320 | ||||||
PSMC Trust, | 3,535,010 | 3,609,998 | ||||||
UBS Commercial Mortgage Trust, | 9,160,000 | 9,045,210 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 7,245,000 | 4,305,615 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 15,614,806 | 7,596,420 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 3,000,000 | 3,149,971 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 13,624,000 | 8,127,561 | ||||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,351,933 | ||||||
Wells Fargo Commercial Mortgage Trust, | 2,000,000 | 1,961,350 | ||||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,266,181 | ||||||
Wells Fargo Commercial Mortgage Trust, | 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, | $ | 6,000,000 | $ | 6,962,696 | ||||
West Town Mall Trust, | 4,866,338 | 4,887,433 | ||||||
WFRBS Commercial Mortgage Trust, | 3,000,000 | 3,059,663 | ||||||
WFRBS Commercial Mortgage Trust, | 7,310,000 | 6,623,640 | ||||||
|
| |||||||
375,630,540 | ||||||||
|
| |||||||
Non-Agency Residential Mortgage-Backed Obligation — 2.3% |
| |||||||
Arroyo Mortgage Trust, | 9,413,758 | 9,578,052 | ||||||
Arroyo Mortgage Trust, | 6,958,734 | 7,211,401 | ||||||
Carrington Mortgage Loan Trust, | 1,000,000 | — | ||||||
CSAIL Mortgage Trust, | 10,000,000 | 11,550,416 | ||||||
Deephaven Residential Mortgage Trust, | 1,317,035 | 1,345,222 | ||||||
FirstKey Mortgage Trust, | 2,156,252 | 2,203,051 | ||||||
JPMorgan Mortgage Trust, | 857,916 | 872,482 | ||||||
JPMorgan Mortgage Trust, | 479,001 | 480,189 | ||||||
JPMorgan Mortgage Trust, | 2,217,373 | 2,275,174 | ||||||
Sequoia Mortgage Trust, | 106,398,177 | 2,124,176 | ||||||
Sequoia Mortgage Trust, | 963,716 | 969,553 | ||||||
Sequoia Mortgage Trust, | 790,031 | 791,470 |
Description | Face Amount | Value | ||||||
Sequoia Mortgage Trust, | $ | 793,236 | $ | 812,585 | ||||
Sequoia Mortgage Trust, | 699,754 | 700,535 | ||||||
Sequoia Mortgage Trust, | 1,373,858 | 1,404,083 | ||||||
Sequoia Mortgage Trust, | 1,842,355 | 1,890,267 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 3,161,874 | 3,229,410 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 2,565,434 | 2,614,825 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 4,106,090 | 4,219,005 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 7,330,234 | 7,497,166 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 1,609,702 | 1,656,808 | ||||||
Wells Fargo Mortgage Backed Securities, | 241,451 | 241,383 | ||||||
WinWater Mortgage Loan Trust, | 1,436,482 | 1,484,561 | ||||||
WinWater Mortgage Loan Trust, | 531,433 | 552,956 | ||||||
WinWater Mortgage Loan Trust, | 1,069,225 | 1,108,553 | ||||||
WinWater Mortgage Loan Trust, | 1,471,021 | 1,525,311 | ||||||
WinWater Mortgage Loan Trust, | 1,699,190 | 1,736,931 | ||||||
|
| |||||||
70,075,565 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 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 | $ | 30,000,000 | $ | 28,514,062 | ||||
1.250%, 05/15/50 | 25,000,000 | 21,539,062 | ||||||
U.S. Treasury Inflationary Protection Securities | 17,142,420 | 23,297,588 | ||||||
0.875%, 01/15/29 | 30,918,000 | 36,513,031 | ||||||
U.S. Treasury Notes | 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 | 30,000,000 | 30,009,430 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 559,659,345 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 17.5% |
| |||||||
Automotive — 13.5% |
| |||||||
American Credit Acceptance | 2,180,000 | 2,186,793 | ||||||
American Credit Acceptance | 4,000,000 | 4,232,043 | ||||||
American Credit Acceptance | 12,605,000 | 13,058,271 | ||||||
American Credit Acceptance | 6,500,000 | 6,615,269 | ||||||
American Credit Acceptance | 2,000,000 | 2,056,875 | ||||||
American Credit Acceptance | 13,750,000 | 15,536,704 | ||||||
American Credit Acceptance | 6,500,000 | 6,744,696 | ||||||
American Credit Acceptance | 4,000,000 | 4,186,172 | ||||||
AmeriCredit Automobile | 8,570,000 | 8,783,690 |
Description | Face Amount | Value | ||||||
Avid Automobile Receivables Trust, | $ | 1,300,000 | $ | 1,324,029 | ||||
Benefit Street Partners CLO IV, | 8,750,000 | 8,750,000 | ||||||
Canadian Pacer Auto Receivables | 5,000,000 | 5,215,822 | ||||||
CarMax Auto Owner Trust, | 250,000 | 253,697 | ||||||
CarMax Auto Owner Trust, | 1,485,000 | 1,541,887 | ||||||
Carmax Auto Owner Trust, | 1,000,000 | 1,054,545 | ||||||
Carnow Auto Receivables Trust, | 3,296,749 | 3,314,678 | ||||||
Carvana Auto Receivables Trust, | 8,000,000 | 8,561,037 | ||||||
Carvana Auto Receivables Trust, | 9,000,000 | 9,131,227 | ||||||
Carvana Auto Receivables Trust, | 5,000,000 | 5,260,235 | ||||||
Carvana Auto Receivables Trust, | 6,000,000 | 6,409,926 | ||||||
CF Hippolyta, | 5,697,478 | 5,753,716 | ||||||
CPS Auto Receivables Trust, | 10,540,000 | 10,561,814 | ||||||
CPS Auto Receivables Trust, | 6,500,000 | 6,609,287 | ||||||
CPS Auto Receivables Trust, | 8,000,000 | 8,142,660 | ||||||
CPS Auto Receivables Trust, | 1,763,296 | 1,771,903 | ||||||
CPS Auto Receivables Trust, | 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, | $ | 3,000,000 | $ | 3,077,526 | ||||
CPS Auto Receivables Trust, | 6,000,000 | 6,287,552 | ||||||
DT Auto Owner Trust, | 10,000,000 | 10,399,288 | ||||||
DT Auto Owner Trust, | 4,500,000 | 4,669,853 | ||||||
DT Auto Owner Trust, | 2,000,000 | 2,037,669 | ||||||
DT Auto Owner Trust, | 1,000,000 | 998,839 | ||||||
Exeter Automobile Receivables Trust, | 5,500,000 | 5,649,159 | ||||||
Exeter Automobile Receivables Trust, | 7,000,000 | 7,148,673 | ||||||
Exeter Automobile Receivables Trust, | 2,500,000 | 2,596,570 | ||||||
First Investors Auto Owner Trust, | 1,700,000 | 1,770,357 | ||||||
First Investors Auto Owner Trust, | 4,000,000 | 4,145,664 | ||||||
First Investors Auto Owner Trust, | 5,510,000 | 5,869,628 | ||||||
First Investors Auto Owner Trust, | 5,300,000 | 5,924,392 | ||||||
Flagship Credit Auto Trust, | 4,466,000 | 4,520,391 | ||||||
Flagship Credit Auto Trust, | 568,000 | 600,219 | ||||||
Flagship Credit Auto Trust, | 5,190,000 | 5,478,707 | ||||||
Flagship Credit Auto Trust, | 7,931,000 | 8,236,094 |
Description | Face Amount | Value | ||||||
Flagship Credit Auto Trust, | $ | 8,000,000 | $ | 9,554,934 | ||||
Foursight Capital Automobile | 2,200,000 | 2,207,478 | ||||||
Foursight Capital Automobile | 4,650,000 | 4,879,155 | ||||||
Foursight Capital Automobile | 1,300,000 | 1,319,674 | ||||||
Global SC Finance VII Srl, | 3,860,321 | 3,909,930 | ||||||
GLS Auto Receivables Issuer Trust, | 6,000,000 | 6,245,357 | ||||||
GLS Auto Receivables Issuer Trust, | 5,000,000 | 5,194,949 | ||||||
GLS Auto Receivables Issuer Trust, | 650,000 | 678,593 | ||||||
Marlette Funding Trust, | 1,500,000 | 1,560,257 | ||||||
Master Credit Card Trust II, | 5,582,000 | 5,626,284 | ||||||
Master Credit Card Trust II, | 1,509,000 | 1,521,947 | ||||||
Master Credit Card Trust II, | 2,000,000 | 2,069,277 | ||||||
MelTel Land Funding, | 1,300,000 | 1,350,550 | ||||||
Mosaic Solar Loan Trust, | 4,799,933 | 4,842,758 | ||||||
Octane Receivables Trust, | 3,890,973 | 3,940,559 | ||||||
OHA Credit Funding 7, | 17,000,000 | 17,008,993 | ||||||
OHA Credit Funding 7, | 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, | $ | 482,816 | $ | 490,486 | ||||
OSCAR US Funding Trust V, | 3,527,228 | 3,542,030 | ||||||
Pawnee Equipment Receivables Series, | 5,500,000 | 5,389,827 | ||||||
Pawnee Equipment Receivables Series, | 2,474,921 | 2,483,872 | ||||||
Prestige Auto Receivables Trust, | 6,095,000 | 6,266,667 | ||||||
Pretium Mortgage Credit Partners I, | 7,000,000 | 6,893,656 | ||||||
RCO V Mortgage, | 8,089,185 | 8,109,363 | ||||||
Santander Consumer Auto Receivables Trust, | 9,006,000 | 10,270,945 | ||||||
Santander Consumer Auto | 27,740,000 | 31,227,573 | ||||||
Santander Consumer Auto | 6,250,000 | 6,746,586 | ||||||
Santander Consumer Auto | 1,000,000 | 1,003,718 | ||||||
SFS Asset Securitization, | 11,000,000 | 11,019,059 | ||||||
Skopos Auto Receivables Trust, | 2,300,000 | 2,359,065 | ||||||
Textainer Marine Containers VIII, | 1,937,961 | 1,957,163 | ||||||
United Auto Credit Securitization Trust, | 3,680,000 | 3,977,055 | ||||||
VR Funding, | 7,798,000 | 7,701,429 | ||||||
|
| |||||||
416,622,189 | ||||||||
|
|
Description | Face Amount | Value | ||||||
Other Asset-Backed Securities — 3.2% |
| |||||||
321 Henderson Receivables I, | $ | 1,870,122 | $ | 2,077,131 | ||||
321 Henderson Receivables I, | 650,478 | 825,533 | ||||||
321 Henderson Receivables I, | 1,747,241 | 2,168,253 | ||||||
BCC Funding XVI, | 6,000,000 | 6,076,902 | ||||||
BCC Funding XVI, | 500,000 | 504,877 | ||||||
Business Jet Securities, | 3,880,497 | 3,968,450 | ||||||
Business Jet Securities, | 1,159,429 | 1,165,324 | ||||||
BX Commercial Mortgage Trust, | 8,000,000 | 8,744,628 | ||||||
BXMT, | 13,000,000 | 12,983,750 | ||||||
CAL Funding IV, | 1,651,833 | 1,671,076 | ||||||
CFG Investments, | 7,800,000 | 7,829,348 | ||||||
Credibly Asset Securitization, | 6,000,000 | 6,011,201 | ||||||
Credibly Asset Securitization, | 5,201,000 | 756,225 | ||||||
Diamond Resorts Owner Trust, | 2,936,299 | 3,050,693 | ||||||
Harley Marine Financing, | 10,424,989 | 9,472,551 | ||||||
Harley Marine Financing, | 6,000,000 | 5,021,766 | ||||||
Harvest SBA Loan Trust, | 4,470,973 | 4,327,473 |
The accompanying notes are an integral part of the financial statements.
14
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, | $ | 2,926,125 | $ | 3,038,364 | ||||
Pawnee Equipment Receivables Series, | 2,500,000 | 2,429,168 | ||||||
PRPM, | 1,656,569 | 1,663,982 | ||||||
Sapphire Aviation Finance I, | 2,011,922 | 1,832,127 | ||||||
Stack Infrastructure Issuer Series, | 3,531,000 | 3,766,454 | ||||||
Trip Rail Master Funding, | 2,995,483 | 3,044,518 | ||||||
Triton Container Finance VIII, | 971,667 | 996,222 | ||||||
Vericrest Opportunity Loan Trust, | 5,548,349 | 5,578,776 | ||||||
|
| |||||||
99,004,792 | ||||||||
|
| |||||||
Student Loan — 0.8% | ||||||||
Brazos Student Finance, | 5,000,000 | 5,203,870 | ||||||
College Ave Student Loans, | 2,685,848 | 2,701,380 | ||||||
Commonbond Student Loan Trust, Ser 2017-AGS, Cl A1 | 2,878,936 | 2,957,861 | ||||||
Nelnet Student Loan Trust, | 10,000,000 | 9,847,768 | ||||||
SLM Student Loan Trust, | 5,000,000 | 4,935,854 | ||||||
|
| |||||||
25,646,733 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 541,273,714 | |||||||
|
| |||||||
MUNICIPAL BONDS — 2.2% | ||||||||
Calhoun County Navigation Industrial Development Authority, RB(A) | 10,000,000 | 10,000,600 |
Description | Face Amount | Value | ||||||
Dallas County Schools, Taxable Public Property Finance, GO | $ | 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 | 8,264,850 | 6,622,211 | ||||||
Mission, Economic Development, RB(B) | 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 | 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 | 5,000,000 | 5,017,900 | ||||||
San Juan, Higher Education Finance Authority, | 4,400,000 | 4,418,084 | ||||||
State of Illinois, | 18,170,000 | 18,247,223 | ||||||
Texas State, Public Finance Authority Charter School, Charter Education New Frontiers, Ser Q, RB | 955,000 | 955,401 | ||||||
Texas State, Public Finance Authority Charter School, | 1,900,000 | 2,381,346 | ||||||
Texas State, Transportation Commission State Highway Fund, RB | 3,000,000 | 3,780,810 | ||||||
Texas State, Transportation Commission State Highway Fund, | 3,980,000 | 5,070,918 |
The accompanying notes are an integral part of the financial statements.
15
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/ Shares | Value | ||||||
University of Texas, Build America Bonds, | $ | 3,000,000 | $ | 4,158,030 | ||||
|
| |||||||
Total Municipal Bonds | 68,717,729 | |||||||
|
| |||||||
SOVEREIGN DEBT — 1.2% | ||||||||
Argentine Republic Government International Bond | 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 | 4,000,000 | 4,467,432 | ||||||
Oman Government International Bond | 15,000,000 | 14,610,300 | ||||||
Province of British Columbia Canada | 8,000,000 | 7,983,058 | ||||||
Provincia de Buenos Aires | 300,000 | 111,375 | ||||||
Turkey Government International Bond | 5,000,000 | 5,310,520 | ||||||
|
| |||||||
Total Sovereign Debt | 37,798,782 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8% |
| |||||||
FFCB | 5,635,000 | 5,813,277 | ||||||
2.070%, 12/21/40 | 5,000,000 | 4,978,610 | ||||||
FHLB | 15,000,000 | 15,108,092 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 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 | 66,753 | |||||||
|
| |||||||
Total Investments — 98.7% | $ | 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 | $ | — | $ | 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 | — | 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 | — | 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.
16
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 CREDIT FUND |
SECTOR WEIGHTINGS† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
CORPORATE OBLIGATIONS — 38.9% |
| |||||||
Communication Services — 5.6% |
| |||||||
ANGI Group | $ | 1,000,000 | $ | 996,250 | ||||
LCPR Senior Secured Financing DAC | 1,000,000 | 1,077,780 | ||||||
Photo Holdings Merger Sub | 1,500,000 | 1,582,500 | ||||||
Sprint | 1,500,000 | 1,732,500 | ||||||
Twitter | 2,000,000 | 2,104,920 | ||||||
ViacomCBS | 2,000,000 | 2,713,193 | ||||||
|
| |||||||
10,207,143 | ||||||||
|
| |||||||
Consumer Discretionary — 16.4% |
| |||||||
Beazer Homes USA | 1,000,000 | 1,122,500 | ||||||
Block Financial | 2,000,000 | 2,134,660 | ||||||
Choice Hotels International | 2,000,000 | 2,177,540 | ||||||
Dillard’s | 500,000 | 544,984 | ||||||
Expedia | 2,000,000 | 2,130,105 | ||||||
Expedia Group | 500,000 | 547,347 | ||||||
Ford Motor Credit | 1,000,000 | 1,011,050 | ||||||
GameStop | 500,000 | 522,187 | ||||||
Jaguar Land Rover Automotive | 2,000,000 | 1,940,465 | ||||||
Macy’s | 500,000 | 553,750 |
Description | Face Amount | Value | ||||||
Marriott International | $ | 2,000,000 | $ | 2,119,538 | ||||
Mohawk Industries | 2,000,000 | 2,234,125 | ||||||
Mohegan Gaming & Entertainment | 1,000,000 | 1,000,880 | ||||||
QVC | 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 | 2,000,000 | 2,162,500 | ||||||
STL Holding | 1,500,000 | 1,560,000 | ||||||
Under Armour | 2,000,000 | 2,004,570 | ||||||
VistaJet Malta Finance | 2,000,000 | 2,045,000 | ||||||
Whirlpool | 1,000,000 | 1,252,776 | ||||||
|
| |||||||
29,744,227 | ||||||||
|
| |||||||
Energy — 0.8% |
| |||||||
Murphy Oil | 500,000 | 488,750 | ||||||
5.750%, 08/15/25 | 1,000,000 | 961,460 | ||||||
|
| |||||||
1,450,210 | ||||||||
|
| |||||||
Financials — 3.6% | ||||||||
Athene Holding | 500,000 | 622,039 | ||||||
Deutsche Bank MTN | 500,000 | 512,984 | ||||||
HSBC Holdings | 1,500,000 | 2,137,071 | ||||||
Springleaf Finance | 500,000 | 550,000 | ||||||
UBS | 1,500,000 | 1,658,430 | ||||||
Westpac Banking | 1,000,000 | 1,047,821 | ||||||
|
| |||||||
6,528,345 | ||||||||
|
| |||||||
Industrials — 8.7% | ||||||||
Boeing | 500,000 | 593,053 | ||||||
Brundage-Bone Concrete Pumping Holdings | 1,000,000 | 1,017,500 | ||||||
Builders FirstSource | 1,000,000 | 1,076,250 |
The accompanying notes are an integral part of the financial statements.
17
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 CREDIT FUND |
Description | Face Amount | Value | ||||||
Flowserve | $ | 1,000,000 | $ | 1,064,297 | ||||
General Electric MTN | 945,000 | 1,274,308 | ||||||
Great Lakes Dredge & Dock | 2,010,000 | 2,042,662 | ||||||
Masco | 1,088,000 | 1,499,082 | ||||||
Owens Corning | 2,000,000 | 2,306,015 | ||||||
Southwest Airlines | 2,500,000 | 2,712,406 | ||||||
Teekay | 2,080,000 | 2,100,800 | ||||||
|
| |||||||
15,686,373 | ||||||||
|
| |||||||
Information Technology — 3.2% |
| |||||||
Castle US Holding | 1,000,000 | 1,026,610 | ||||||
Diebold Nixdorf | 500,000 | 553,125 | ||||||
8.500%, 04/15/24 | 2,000,000 | 2,040,000 | ||||||
Shift4 Payments | 1,000,000 | 1,042,500 | ||||||
VeriSign | 1,000,000 | 1,062,590 | ||||||
|
| |||||||
5,724,825 | ||||||||
|
| |||||||
Materials — 0.6% | ||||||||
NOVA Chemicals | 1,000,000 | 1,025,000 | ||||||
|
| |||||||
Total Corporate Obligations | 70,366,123 | |||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 32.5% |
| |||||||
Automotive — 32.5% | ||||||||
BCC Middle Market, | 1,000,000 | 992,492 | ||||||
Benefit Street Partners III, | 2,000,000 | 1,999,776 | ||||||
Benefit Street Partners III, | 2,500,000 | 2,258,475 | ||||||
Benefit Street Partners IV, | 3,000,000 | 2,786,883 | ||||||
Carlyle Global Market Strategies, | 1,250,000 | 1,193,141 |
Description | Face Amount | Value | ||||||
CARLYLE US, | $ | 2,000,000 | $ | 1,938,238 | ||||
Chenango Park, | 1,000,000 | 1,000,345 | ||||||
CIFC Funding, | 500,000 | 497,312 | ||||||
Fortress Credit Opportunities IX, | 1,400,000 | 1,392,327 | ||||||
Galaxy XXIX, | 500,000 | 499,952 | ||||||
Golub Capital Partners, | 1,500,000 | 1,482,135 | ||||||
Golub Capital Partners, | 2,000,000 | 2,007,840 | ||||||
Golub Capital Partners, | 3,000,000 | 2,912,709 | ||||||
Golub Capital Partners, | 1,500,000 | 1,451,829 | ||||||
Golub Capital Partners, | 1,000,000 | 1,007,567 | ||||||
Golub Capital Partners, | 2,000,000 | 1,919,736 | ||||||
Golub Capital Partners, | 2,000,000 | 1,969,964 | ||||||
Golub Capital Partners, | 1,000,000 | 992,871 | ||||||
Golub Capital Partners, | 2,000,000 | 1,944,604 |
The accompanying notes are an integral part of the financial statements.
18
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 CREDIT FUND |
Description | Face Amount | Value | ||||||
Golub Capital Partners, | $ | 1,500,000 | $ | 1,440,010 | ||||
Jay Park, | 1,000,000 | 1,004,235 | ||||||
LCM XXII, | 1,500,000 | 1,486,761 | ||||||
Madison Park Funding XII, | 3,000,000 | 2,991,867 | ||||||
MCF IV, | 1,000,000 | 984,815 | ||||||
MCF VIII, | 3,000,000 | 2,899,530 | ||||||
Northwoods Capital XV, | 1,000,000 | 993,117 | ||||||
OZLM Funding IV, | 2,000,000 | 1,993,900 | ||||||
OZLM XVI, | 1,000,000 | 997,630 | ||||||
Race Point IX, | 4,000,000 | 3,924,604 | ||||||
Race Point IX, | 2,000,000 | 1,989,570 | ||||||
Sudbury Mill, | 4,700,000 | 3,744,866 | ||||||
TCI-Symphony, | 2,000,000 | 2,001,774 | ||||||
Thayer Park, | 1,000,000 | 989,970 |
Description | Face Amount | Value | ||||||
Zais Clo 6, | $ | 1,000,000 | $ | 981,644 | ||||
|
| |||||||
Total Collateralized Loan Obligations | 58,672,489 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 19.9% |
| |||||||
Automotive — 13.1% |
| |||||||
American Credit Acceptance Receivables Trust, | 2,500,000 | 2,507,790 | ||||||
Avid Automobile Receivables Trust, | 1,000,000 | 1,012,278 | ||||||
Carvana Auto Receivables Trust, | 1,584,000 | 1,695,085 | ||||||
Carvana Auto Receivables Trust, | 1,000,000 | 1,068,321 | ||||||
CPS Auto Receivables Trust, | 1,500,000 | 1,503,952 | ||||||
CPS Auto Receivables Trust, | 1,500,000 | 1,525,220 | ||||||
CPS Auto Receivables Trust, | 1,155,000 | 1,175,597 | ||||||
CPS Auto Receivables Trust, | 500,000 | 521,865 | ||||||
CPS Auto Receivables Trust, | 2,000,000 | 2,095,851 | ||||||
Drive Auto Receivables Trust, | 1,332,808 | 1,357,859 | ||||||
DT Auto Owner Trust, | 1,500,000 | 1,526,687 | ||||||
DT Auto Owner Trust, | 2,000,000 | 2,098,942 | ||||||
DT Auto Owner Trust, | 1,500,000 | 1,565,431 | ||||||
First Investors Auto Owner Trust, | 1,250,000 | 1,258,764 | ||||||
Flagship Credit Auto Trust, | 900,000 | 908,930 |
The accompanying notes are an integral part of the financial statements.
19
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 CREDIT FUND |
Description | Face Amount | Value | ||||||
Octane Receivables Trust, | $ | 432,330 | $ | 437,840 | ||||
SFS Asset Securitization, | 1,500,000 | 1,502,599 | ||||||
|
| |||||||
23,763,011 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 6.8% | ||||||||
BCC Funding XVI, | 1,500,000 | 1,514,630 | ||||||
Business Jet Securities, | 401,431 | 410,529 | ||||||
Business Jet Securities, | 267,561 | 268,921 | ||||||
BXMT, | 1,000,000 | 998,750 | ||||||
CFG Investments, | 1,200,000 | 1,204,515 | ||||||
Cold Storage Trust, | 1,000,000 | 1,003,095 | ||||||
Credibly Asset Securitization, | 1,500,000 | 1,502,800 | ||||||
Harley Marine Financing, | 1,828,945 | 1,661,851 | ||||||
MelTel Land Funding, | 500,000 | 528,525 | ||||||
Mosaic Solar Loans, | 334,778 | 365,590 | ||||||
Pawnee Equipment Receivables Series, | 1,500,000 | 1,457,501 | ||||||
Sapphire Aviation Finance I, | 335,320 | 305,355 | ||||||
Stack Infrastructure Issuer Series, | 980,833 | 1,046,237 | ||||||
|
| |||||||
12,268,299 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 36,031,310 | |||||||
|
|
Description | Face Amount/ Shares | Value | ||||||
MORTGAGE-BACKED SECURITIES — 6.2% |
| |||||||
Commercial Mortgage-Backed Obligation — 6.2% |
| |||||||
Benchmark 2020-B21 Mortgage Trust, | $ | 1,000,000 | $ | 855,481 | ||||
Commercial Mortgage Trust, | 1,000,000 | 989,397 | ||||||
Commercial Mortgage Trust, | 1,517,000 | 1,181,692 | ||||||
Credit Suisse Commercial Mortgage Trust, | 574,219 | 33,534 | ||||||
FREMF Mortgage Trust, | 1,000,000 | 1,095,191 | ||||||
FREMF Mortgage Trust, | 1,500,000 | 1,586,522 | ||||||
FREMF Mortgage Trust, | 2,000,000 |
| 2,213,820 |
| ||||
FREMF Mortgage Trust, | 1,250,000 | 1,379,114 | ||||||
UBS Commercial Mortgage Trust, | 1,000,000 | 987,468 | ||||||
WFRBS Commercial Mortgage Trust, | 1,000,000 | 906,107 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 11,228,326 | |||||||
|
| |||||||
PREFERRED STOCK — 0.1% | ||||||||
Communication Services — 0.1% | ||||||||
MYT Holdings LLC | 76,092 | 87,506 | ||||||
|
| |||||||
Total Preferred Stock | 87,506 | |||||||
|
| |||||||
COMMON STOCK — 0.0% | ||||||||
Industrials — 0.0% | ||||||||
Erickson*(C) | 3,761 | 81,388 | ||||||
|
| |||||||
Total Common Stock | 81,388 | |||||||
|
| |||||||
Total Investments — 97.6% | $ | 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
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 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.
21
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 |
SECTOR WEIGHTINGS† |
† | 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, | $ | 5,305,000 | $ | 5,399,077 | ||||
American Credit Acceptance Receivables Trust, | 5,000,000 | 5,098,627 | ||||||
American Credit Acceptance Receivables Trust, | 1,500,000 | 1,535,002 | ||||||
American Credit Acceptance Receivables Trust, | 2,579,871 | 2,582,976 | ||||||
American Credit Acceptance Receivables Trust, | 8,250,000 | 8,310,903 | ||||||
American Credit Acceptance Receivables Trust, | 2,250,000 | 2,251,255 | ||||||
Amur Equipment Finance Receivables VIII, | 1,384,090 | 1,420,753 |
Description | Face Amount | Value | ||||||
Arivo Acceptance Auto Loan Receivables Trust, | $ | 2,000,000 | $ | 2,007,863 | ||||
Canadian Pacer Auto Receivables Trust, | 2,550,000 | 2,663,866 | ||||||
Canadian Pacer Auto Receivables Trust, | 5,000,000 | 5,169,148 | ||||||
Capital One Multi-Asset Execution Trust, | 3,000,000 | 3,201,742 | ||||||
Carnow Auto Receivables Trust, | 682,086 | 685,795 | ||||||
CLI Funding VI, | 2,391,667 | 2,435,372 | ||||||
Credit Acceptance Auto Loan Trust, | 4,500,000 | 4,615,660 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2019-1A, Cl B | 2,700,000 | 2,812,420 | ||||||
Drive Auto Receivables Trust, | 2,750,000 | 2,818,779 | ||||||
DT Auto Owner Trust, | 5,000,000 | 5,199,644 | ||||||
DT Auto Owner Trust, | 2,000,000 | 2,048,979 | ||||||
DT Auto Owner Trust, | 5,500,000 | 5,699,824 | ||||||
DT Auto Owner Trust, | 2,000,000 | 2,043,386 | ||||||
DT Auto Owner Trust, | 2,250,000 | 2,362,476 | ||||||
DT Auto Owner Trust, | 1,410,000 | 1,437,007 | ||||||
Exeter Automobile Receivables Trust, | 463,451 | 465,276 | ||||||
Exeter Automobile Receivables Trust, | 5,250,000 | 5,408,435 |
The accompanying notes are an integral part of the financial statements.
22
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 | ||||||
Exeter Automobile Receivables Trust, | $ | 2,565,000 | $ | 2,613,990 | ||||
Exeter Automobile Receivables Trust, | 1,500,000 | 1,536,568 | ||||||
Exeter Automobile Receivables Trust, | 1,250,000 | 1,268,360 | ||||||
Exeter Automobile Receivables Trust, | 2,500,000 | 2,501,422 | ||||||
First Investors Auto Owner Trust, | 5,000,000 | 5,092,646 | ||||||
First Investors Auto Owner Trust, | 8,800,000 | 9,041,076 | ||||||
First Investors Auto Owner Trust, | 6,000,000 | 6,174,857 | ||||||
First Investors Auto Owner Trust, | 3,000,000 | 3,109,248 | ||||||
Flagship Credit Auto Trust, | 10,228 | 10,245 | ||||||
Flagship Credit Auto Trust, | 276,746 | 277,778 | ||||||
Flagship Credit Auto Trust, | 4,935,000 | 5,222,256 | ||||||
Flagship Credit Auto Trust, | 6,686,000 | 6,948,483 | ||||||
Flagship Credit Auto Trust, | 4,550,000 | 4,711,592 | ||||||
Ford Credit Auto Owner Trust, | 1,365,000 | 1,416,648 | ||||||
Foursight Capital Automobile Receivables Trust, | 2,100,000 | 2,158,016 | ||||||
GLS Auto Receivables Issuer Trust, | 1,313,562 | 1,326,687 | ||||||
GLS Auto Receivables Issuer Trust, | 1,750,000 | 1,835,328 |
Description | Face Amount | Value | ||||||
GLS Auto Receivables Issuer Trust, | $ | 1,000,000 | $ | 1,011,308 | ||||
GLS Auto Receivables Issuer Trust, | 1,000,000 | 1,005,296 | ||||||
NextGear Floorplan Master Owner Trust, | 1,500,000 | 1,501,854 | ||||||
OneMain Direct Auto Receivables Trust, | 3,750,000 | 3,825,626 | ||||||
OSCAR US Funding Trust IX, | 598,413 | 601,418 | ||||||
Pawnee Equipment Receivables Series, | 1,317,423 | 1,330,952 | ||||||
Pawnee Equipment Receivables Series, | 5,000,000 | 4,899,843 | ||||||
Pawnee Equipment Receivables Series, | 4,124,868 | 4,139,786 | ||||||
Prestige Auto Receivables Trust, | 2,000,000 | 2,018,268 | ||||||
Santander Consumer Auto Receivables Trust, | 1,000,000 | 1,003,353 | ||||||
SCF Equipment Leasing, | 2,000,000 | 2,040,647 | ||||||
SoFi Consumer Loan Program, | 2,400,000 | 2,434,344 | ||||||
Synchrony Card Funding, | 2,410,000 | 2,483,090 | ||||||
Synchrony Credit Card Master Note Trust, | 995,000 | 1,065,200 | ||||||
United Auto Credit Securitization Trust, | 3,000,000 | 3,045,302 | ||||||
Vantage Data Centers Issuer, | 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, | $ | 4,500,000 | $ | 4,547,129 | ||||
Westlake Automobile Receivables Trust, | 5,000,000 | 5,207,567 | ||||||
Westlake Automobile Receivables Trust, | 6,575,000 | 6,821,561 | ||||||
Westlake Automobile Receivables Trust, | 2,750,000 | 2,817,558 | ||||||
Westlake Automobile Receivables Trust, | 4,5020,000 | 4,702,205 | ||||||
Westlake Automobile Receivables Trust, | 1,000,000 | 1,010,441 | ||||||
World Financial Network Credit Card Master Trust, | 2,000,000 | 2,012,991 | ||||||
World Financial Network Credit Card Master Trust, | 7,000,000 | 7,210,830 | ||||||
World Financial Network Credit Card Master Trust, | 7,495,000 | 7,729,588 | ||||||
W orld Omni Auto Receivables Trust, | 1,520,000 | 1,564,4 55 | ||||||
|
| |||||||
213,148,433 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 0.5% |
| |||||||
Diamond Resorts Owner Trust, | 1,174,520 | 1,220,277 | ||||||
Mosaic Solar Loans, | 361,362 | 390,087 | ||||||
SoFi Consumer Loan Program, | 423,539 | 426,600 | ||||||
|
| |||||||
2,036,964 | ||||||||
|
| |||||||
Student Loan — 2.9% |
| |||||||
AccessLex Institute, | 350,000 | 349,284 |
Description | Face Amount | Value | ||||||
Commonbond Student Loan Trust, | $ | 1,113,463 | $ | 1,143,988 | ||||
Nelnet Student Loan Trust, | 3,000,000 | 2,754,758 | ||||||
Nelnet Student Loan Trust, | 4,000,000 | 3,939,107 | ||||||
Nelnet Student Loan Trust, | 3,000,000 | 2,861,900 | ||||||
SLM Student Loan Trust, | 2,000,000 | 1,925,017 | ||||||
|
| |||||||
12,974,054 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 228,159,451 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 23.5% |
| |||||||
U.S. Treasury Note | 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 | 18,000,000 | 17,990,080 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 105,180,715 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 21.7% |
| |||||||
Consumer Discretionary — 0.7% | ||||||||
Hyundai Capital America | 3,000,000 | 3,316,283 | ||||||
|
| |||||||
Energy — 3.3% |
| |||||||
Marathon Petroleum | 2,000,000 | 2,163,552 | ||||||
Nationwide Building Society | 9,000,000 | 9,281,789 | ||||||
Schlumberger Finance Canada | 3,000,000 | 3,050,142 | ||||||
|
| |||||||
14,495,483 | ||||||||
|
| |||||||
Financials — 11.6% | ||||||||
Athene Global Funding | 10,000,000 | 10,507,662 | ||||||
Bank of Montreal MTN | 3,000,000 | 3,131,949 | ||||||
Capital One Financial | 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 | $ | 2,000,000 | $ | 2,169,774 | ||||
Danske Bank | 4,205,000 | 4,525,856 | ||||||
Deutsche Bank NY | 2,000,000 | 2,056,309 | ||||||
Lloyds Banking Group | 9,000,000 | 9,777,090 | ||||||
Royal Bank of Scotland Group | 2,328,000 | 2,414,220 | ||||||
Swedbank | 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 | 5,000,000 | 4,994,979 | ||||||
|
| |||||||
Industrials — 1.2% | ||||||||
AerCap Ireland Capital DAC | 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 | 2,000,000 | 2,170,519 | ||||||
|
| |||||||
Materials — 0.7% | ||||||||
Eagle Materials | 2,939,000 | 3,045,385 | ||||||
|
| |||||||
Real Estate — 2.3% | ||||||||
Corporate Office Properties | 3,000,000 | 3,114,190 | ||||||
Equinix | 5,000,000 | 5,000,225 | ||||||
Federal Realty Investment Trust | 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 | 96,723,754 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.7% |
| |||||||
FFCB | 5,000,000 | 4,981,197 |
Description | Face Amount | Value | ||||||
FHLB | $ | 2,520,000 | $ | 2,517,834 | ||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 7,499,031 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 1.5% |
| |||||||
Commercial Mortgage-Backed Obligation — 1.5% |
| |||||||
Benchmark Mortgage Trust, | 1,305,000 | 1,342,338 | ||||||
Cold Storage Trust, | 5,500,000 | 5,523,390 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 6,865,728 | |||||||
|
| |||||||
Total Investments — 99.5% | $ | 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† |
† | 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, | $ | 1,450,000 | $ | 1,485,395 | ||||
California State, School Finance Authority, | 370,000 | 391,767 | ||||||
Golden State, Tobacco Securitization, Ser A, RB, ST APPROP | 1,000,000 | 1,012,680 | ||||||
|
| |||||||
2,889,842 | ||||||||
|
| |||||||
Colorado — 3.0% | ||||||||
El Paso County, School District No. 49 Falcon, Ser A, COP | 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 | 895,000 | 892,682 | ||||||
|
| |||||||
Idaho — 1.0% | ||||||||
Idaho State, Housing & Finance Association, RB | 500,000 | 536,375 | ||||||
|
| |||||||
Illinois — 1.6% | ||||||||
Lee & Ogle Counties, School District No. 170 Dixon, GO, BAM | 760,000 | 854,012 | ||||||
|
|
Description | Face Amount | Value | ||||||
Kansas — 3.0% | ||||||||
Geary County, GO | $ | 1,300,000 | $ | 1,567,098 | ||||
|
| |||||||
Michigan — 2.5% | ||||||||
Taylor, Brownfield Redevelopment Authority, RB, NATL | 1,175,000 | 1,296,930 | ||||||
|
| |||||||
Minnesota — 0.7% | ||||||||
Minnesota State, Housing Finance Agency, | 378,611 | 388,807 | ||||||
|
| |||||||
Missouri — 3.2% | ||||||||
Saint Louis, Municipal Finance, RB, | 1,575,000 | 1,678,178 | ||||||
|
| |||||||
New York — 0.6% | ||||||||
Niagara County, Tobacco Asset Securitization, RB | 300,000 | 302,838 | ||||||
|
| |||||||
Oklahoma — 4.4% | ||||||||
University of Oklahoma, Ser C, RB Callable 07/01/25 @ 100 | 2,000,000 | 2,321,400 | ||||||
|
| |||||||
South Carolina — 3.1% | ||||||||
Hilton Head Island, Ser C, GO, ST AID WITHHLDG | ||||||||
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 | 1,000,000 | 1,151,640 | ||||||
Central Texas Turnpike System, Sub-Ser C, RB | 2,000,000 | 2,248,860 | ||||||
Clifton, Higher Education Finance, Idea Public Schools Project, RB | 110,000 | 112,728 | ||||||
Clifton, Higher Education Finance, RB, PSF-GTD | 1,185,000 | 1,380,347 | ||||||
Clifton, Higher Education Finance, RB, PSF-GTD | 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 | $ | 1,025,000 | $ | 1,062,874 | ||||
Clifton, Higher Education Finance, Ser B, RB | 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, | 1,500,000 | 1,999,215 | ||||||
Dallas Area, Rapid Transit, | 1,000,000 | 1,088,240 | ||||||
Downtown Redevelopment Authority, TA, BAM | 1,000,000 | 1,185,960 | ||||||
Downtown Redevelopment Authority, TA, BAM | 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, | 1,005,000 | 1,043,974 | ||||||
La Vernia, Higher Education Finance, | 500,000 | 528,225 | ||||||
La Vernia, Higher Education Finance, | 2,435,000 | 2,644,337 | ||||||
Love Field Airport Modernization, AMT, RB | 1,000,000 | 1,070,540 | ||||||
Lower Colorado River Authority | 1,875,000 | 2,464,875 | ||||||
New Hope, Cultural Education | 355,000 | 356,193 | ||||||
San Antonio, Public Facilities, RB | 2,000,000 | 2,144,600 | ||||||
Seminole, Hospital District, GO | 545,000 | 591,265 | ||||||
Texas A&M University, Permanent | 1,000,000 | 1,198,300 |
Description | Face Amount | Value | ||||||
Texas State, Public Finance Authority, | $ | 1,440,000 | $ | 1,453,133 | ||||
Texas State, Public Finance Authority, | 1,100,000 | 1,102,244 | ||||||
Texas State, Public Finance Authority, | 1,400,000 | 1,440,600 | ||||||
|
| |||||||
32,318,662 | ||||||||
|
| |||||||
Virginia — 3.8% | ||||||||
Virginia Commonwealth, Housing | 2,000,000 | 2,005,920 | ||||||
|
| |||||||
Total Municipal Bonds | 50,259,939 | |||||||
|
| |||||||
Total Investments — 95.6% | $ | 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 | 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 | 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 | 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 | 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 | 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 | 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 | (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 | 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 | n/a | n/a | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | (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 | (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 | (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 | 16,647 | 259,260 | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | (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 | 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.
38
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 |
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 Contractual Expense | Investor Class Shares Contractual Expense | 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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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 |
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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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 |
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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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 |
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
47
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 |
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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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 |
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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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 |
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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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 |
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
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 applicable to open-end management investment companies. Effective for closed-end management investment companies for fiscal-years-ending on or after December 31, 2005.
Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable to open-end management investment companies.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees during the period covered by this report.
Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures, as defined in Rule 30a-3(c) under the Act (17 CFR § 270.30a-3(c)), as of a date within 90 days of the filing date of the report, are effective based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR § 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act, as amended (17 CFR § 270.30a-15(b) or § 240.15d-15(b)).
(b) There has been no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR § 270.3a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Items 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable to open-end management investment companies.
Items 13. | Exhibits. |
(a)(1) Not applicable for semi-annual report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Frost Family of Funds | |||||
By (Signature and Title) | /s/ Michael Beattie | |||||
Michael Beattie | ||||||
President |
Date: April 7, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Michael Beattie | |||||
Michael Beattie | ||||||
President |
Date: April 7, 2021
By (Signature and Title) | /s/ Andrew Metzger | |||||
Andrew Metzger | ||||||
Treasurer, Controller, and CFO |
Date: April 7, 2021